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, Suite 1800
Los Angeles, CA 90017
(Address of principal executive offices) (Zip code)
David B. Lippman
Metropolitan West Funds
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: March 31
Date of reporting period: September 30, 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.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
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METWEST FUNDS | | | | |
AlphaTrak 500 Fund | | | | |
Corporate Bond Fund | | | | |
Flexible Income Fund | | | | |
Floating Rate Income Fund | | | | |
High Yield Bond Fund | | | | |
Intermediate Bond Fund | | | | |
Investment Grade Credit Fund | | | | |
Low Duration Bond Fund | | | | |
Opportunistic High Income Credit Fund | | | | |
Strategic Income Fund | | | | |
Total Return Bond Fund | | | | |
Ultra Short Bond Fund | | | | |
Unconstrained Bond Fund | | | | |
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Paper copies of the Funds’ 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 Funds’ 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 Funds, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Funds 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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| Metropolitan West Funds | | |
| Table of Contents | | September 30, 2021 |
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Semi-Annual Report for the Funds for the period ended September 30, 2021. As the assets of the Funds grew to $97 billion over the course of the past six months on performance gains and continuing investor sponsorship, a new strategy was added to the complex in the Opportunistic High Income Credit Fund. This new Fund will use the bottom-up value discipline characteristic of the MetWest management team to seek credit-specific opportunities extending across the quality spectrum and equity exposure as warranted. Adding this Fund represents an ongoing commitment to grow the product range in a measured approach consistent with strengths of our investment professionals.
The September 30, 2021 Semi-Annual Report covers the following Metropolitan West Funds:
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| 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 Opportunistic High Income Credit Fund | | M-Class (MWORX), I-Class (MWOPX) |
| 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
Concerns about inflation monopolized headlines to start the year, leading to a significant re-pricing higher of interest rates in the opening months of 2021. Pricing pressures did ultimately manifest in the second quarter, with consecutive upside surprises for the consumer price index, though the reflation trade subsequently stalled as markets appeared to buy into the Fed’s narrative that these higher inflation prints would prove transitory. On the macroeconomic data front, though releases were generally positive to start the year (with a surge in manufacturing indices, relatively strong earnings results, and a marked improvement in consumer confidence), the sustainability of the recovery was brought into question during the summer months. The moderation of growth expectations stemmed partly from the spread of the Delta variant of the coronavirus, which held back economic activity despite accelerating inoculation progress and the avoidance of broader renewed lockdown measures. Further headwinds to economic growth came in the form of less accommodative monetary policy globally, as central banks signaled a move to reduced extraordinary pandemic-induced stimulus. At least fifteen central bank decisions came in the final week of the third quarter in response to robust recoveries and mounting inflation pressures, highlighted by the first post-crisis interest rate increase among G-10 currencies (Norway), while the Fed’s September meeting indicated that a taper announcement before the end of the year was all but certain. Amidst this environment, rates rose across all maturities in September, while equities as measured by the S&P Index fell over 4.6% for the month. For the full semi-annual period, however, the S&P 500 Index rose 9.2% and the 10-Year U.S. Treasury yield ended the period approximately 25 bps lower from the high of 1.74% hit at the end of March.
Given the decline in Treasury yields off March highs, fixed income markets delivered broadly positive total returns. The Bloomberg U.S. Aggregate Bond Index advanced 1.9% during the six-month period, outpacing duration-matched Treasuries by approximately 11 bps. This headline return was driven by investment grade corporates, which gained 3.5% and outpaced duration-matched Treasuries by 96 bps, led by sectors that benefitted from a re-opening theme such as energy and transportation. High yield fared even better, up nearly 3.7% with 290 bps of positive excess returns, driven by the lower quality cohort of CCC-rated issues, which were up 4.3%. Securitized sectors trailed corporates, though managed positive excess return with the exception of agency mortgage-backed securities (MBS). Agency MBS continued to benefit from ongoing Fed purchases, however, rate volatility as well as concerns over the prospect of Fed tapering held the sector back, resulting in nearly 60 bps of negative excess returns relative to Treasuries. Legacy non-agency MBS, on the other hand, delivered steady positive returns, recovering from early
1 / Semi-Annual Report September 2021
2020 losses amid improved sentiment and ongoing improvement in the macro environment. Commercial MBS returned 1.8%, driven by non-agency backed collateral, which delivered over 100 bps of positive excess returns. Finally, asset-backed securities (ABS) rose 0.4% and performed ahead of duration-matched Treasuries by 27 bps.
The Economy and Market Ahead
The Fed, along with central banks globally, has a very difficult job ahead in trying to manage the withdrawal of fiscal and monetary stimulus, particularly as the list of “unknowns” grows. Risks include the potential for meaningful volatility due to a mistake by the Fed, higher inflation, slowing growth, the effects of elevated leverage, a change in the course of the COVID-19 virus, or myriad other factors. As such, the Fed will likely be quicker to increase accommodation rather than to reduce it, as high inflation, while painful, is a problem with some history (and a presumption to choke it off a la Volcker). Within this more vulnerable environment, valuations have been broadly unchanged with spread decompression across sectors and ratings minimal at best. Financial markets across the board are priced for perfection and, as value driven fixed income investors, experience says that perfection carries more downside than upside. All of this suggests that caution is warranted (notably so in the credit space) as the disparate indicators will ultimately need to be reconciled, a process typically accompanied by increased volatility.
Data sources for the discussion above include 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)
The MetWest AlphaTrak 500 Fund (“Fund”) gained 8.8% (net of fees) for the six-month reporting period ending September 30, 2021, but trailed the S&P 500 Index by 34 bps. The allocation to corporate credit provided a boost to returns as corporates delivered excess returns of 96 bps versus Treasuries on a duration-adjusted basis, while issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, electric, wireless, midstream, airlines, manufacturing, pharmaceuticals, and finance companies. Away from credit, the emphasis on non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs (To-Be-Announced) further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains were ABS and non-agency commercial mortgage-backed securities (CMBS), owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with collateralized loan obligations (CLOs) and government-guaranteed student loans leading contributions to returns in the former. Finally, the Fund’s small positive duration position detracted from returns amid the rise in front-end yields. Note that the Fund holds S&P 500 Index futures, which allows the portfolio to replicate the return of the benchmark, while the underlying fixed income portfolio generated the excess return.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals, communications, and certain financials like well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy holds a small position in low coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a small allocation to well-structured collateralized mortgage obligations (CMOs) is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 AAA-rated exposures, 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 of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. In addition, the Fund maintains a sizable allocation to government and cash bonds, despite low rates, as a buffer given the potential for equity volatility. Finally, duration positioning stands at a relatively modest 0.7 years as Treasury rates remain near historic lows.
Semi-Annual Report September 2021 / 2
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| | | Performance Through September 30, 2021 |
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| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWATX (Inception: June 29, 1998) | | | 8.84% | | | | 30.07% | | | | 16.29% | | | 17.58% | | 17.78% | | 8.18% |
| S&P 500 Index | | | 9.18% | | | | 30.00% | | | | 15.98% | | | 16.89% | | 16.62% | | 7.90% |
Metropolitan West Corporate Bond Fund
M-Class (MWCSX), I-Class (MWCBX)
The MetWest Corporate Bond Fund – I Class (“Fund”) gained 3.4% (net of fees) over the six-month period ending September 30, 2021, trailing the Bloomberg U.S. Corporate Index (“Index”) by approximately 10 bps. Performance was held back by the underweight to corporate credit as yield premiums declined amid improved economic data. Most notably, the underweight to top performing energy and retail sectors was a headwind. However, this was somewhat offset by issue selection within the space that rewarded relative returns. More specifically, credit holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with midstream energy and non-cyclical holdings that outpaced those in the benchmark. An off-Index position in taxable municipals was additive, given that the sector generally outperformed corporate credit. The modest allocation to securitized products had a positive impact on returns, with contributions led by non-agency backed CMBS issues. Finally, the duration profile of the portfolio has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Among financials, while the Fund added new issue banking credits earlier in the year, the position remains underweight, though this is somewhat offset by an overweight to finance companies, REITs and certain insurance credits with attractive long-term fundamentals. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Within the off-Index allocation to securitized products, the focus remains on high quality, more defensive CMBS and ABS holdings generally at the top-of-the-capital structure (though there is some potential to move down the capital structure as opportunities arise). Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period approximately 0.5 years shorter than the Index.
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| | | Performance Through September 30, 2021 |
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| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| MWCSX (Inception: June 29, 2018) | | | 3.31% | | | | 1.90% | | | | 8.73% | | | | — | | | | — | | | 8.58% |
| Bloomberg U.S. Corporate Index | | | 3.54% | | | | 1.74% | | | | 7.44% | | | | — | | | | — | | | 7.15% |
| MWCBX (Inception: June 29, 2018) | | | 3.44% | | | | 2.15% | | | | 9.00% | | | | — | | | | — | | | 8.85% |
| Bloomberg U.S. Corporate Index | | | 3.54% | | | | 1.74% | | | | 7.44% | | | | — | | | | — | | | 7.15% |
Metropolitan West Flexible Income Fund
M-Class (MWFSX), I-Class (MWFEX)
The MetWest Flexible Income Fund – I Class (“Fund”) gained 2.6% (net of fees) for the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by nearly 70 bps. Outperformance for the period was driven by issue selection among corporate and securitized issues, particularly legacy non-agency residential MBS positions (not held in the benchmark) as the sector benefitted from the ongoing strength in housing with the added bonus of being mostly floating rate amid the rise in yields later in the period, gaining more than 3% over the past six months. In the credit space, holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with favorable issue selection, with the emphasis on non-cyclicals and communications contributing as these sectors tightened, albeit by less than other areas more impacted by the pandemic. Additionally, the allocation to high yield debt provided a sizable tailwind as the sector outpaced Treasuries by 290 bps on a duration-adjusted basis. Smaller, though notable, contributions came from the allocation with ABS on CLOs, and among CMBS on private label issuance which outpaced agency CMBS for the period. Agency residential MBS, however, underperformed, led lower by current coupon issues resulting in a drag on relative performance. Finally, with rates falling during the earlier part of the period, the duration position of the Fund was trimmed in disciplined fashion, with the significant underweight to the index growing, particularly in the long-end of the curve. This position weighed on relative performance as longer Treasury yields fell.
3 / Semi-Annual Report September 2021
Given prevailing conditions, the strategy is more defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by swapping into shorter-dated issues where credit curves are flat, reducing tight commodity-exposed names/sectors based upon our value discipline, and enhancing liquidity in anticipation of better entry points. The focus remains on sectors that offer more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Additionally, a sizable allocation to up in quality high yield corporate credit is maintained, while avoiding the lowest quality bonds (i.e., the CCC and below rated cohort) as these are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields. Finally, overall duration positioning remains defensive given historically low yields.
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| | | Performance Through September 30, 2021 |
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| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| MWFSX (Inception: November 30, 2018) | | | 2.44% | | | | 5.24% | | | | — | | | | — | | | | — | | | 11.91% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | — | | | | — | | | | — | | | 5.75% |
| MWFEX (Inception: November 30, 2018) | | | 2.56% | | | | 5.49% | | | | — | | | | — | | | | — | | | 12.05% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | — | | | | — | | | | — | | | 5.75% |
Metropolitan West Floating Rate Income Fund
M-Class (MWFRX), I-Class (MWFLX), Plan-Class (MWFPX)
The MetWest Floating Rate Income Fund – I Class (“Fund”) gained 1.9% (net of fees) for the six-month period ending September 30, 2021, but trailed the S&P/LSTA Leveraged Loan Index (“Index”) by 71 bps. As risk generally outperformed amid the ongoing recovery from March 2020 lows, a defensive posture expressed via an underweight in outperforming energy and metals & minerals hindered returns, with these industries further sustained by a surge in commodity prices toward the end of the period due to a global supply crunch. Issue selection among technology also detracted, though holdings in the consumer sectors netted a small positive contribution, notably among non-cyclicals in healthcare and beverage as these also bested the Index, with consumers largely healthy as reflected in high savings and robust spending, partially attributable to government stimulus checks. In communications, although the sector was among laggards in loans, weighed down in part by C-band auction spending for 5G investment, idiosyncratic names selected in the Fund rewarded performance. Financial holdings, meanwhile, detracted amid a flatter curve, with brokerage names particularly negative. Finally, on a quality basis, the Fund’s preference for higher rated loans was a drag against the outperformance by lower quality, illustrated by CCCs gaining 5.6% while Bs were up 2.7% for the semi-annual period.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within loans, the team has taken a prudent approach, de-risking exposures by moving up the quality spectrum, reducing tight commodity-exposed names/industries, swapping into shorter-dated, and enhancing liquidity. Prospective returns for the lowest rated issues (i.e., the CCC and below segments) are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Against this backdrop, TCW’s value-oriented strategy will continue to approach markets with caution. The focus remains on industries that offer more stability in times of volatility (such as consumer non-cyclicals, certain communications, regional gaming, and select packaging) and on idiosyncratic opportunities where wider spreads offer more compelling value. Meanwhile, those that are asset-light and more susceptible to potential market headwinds like energy, cyclicals (e.g., retail), transportation, capital goods, and technology represent a relative underweight. In financials, allocations are based on attractive relative value, while banking is a small overweight amid the potential for a steeper curve, which benefits net interest margins. Finally, the small allocation to utilities remains an underweight, with the position emphasizing electric names. Going forward, performance in the intermediate term is likely to be less attributable to market beta and more the result of loan-specific alpha given expectations for episodic volatility, informing the continued focus on issue selection and fundamental underwriting metrics to extract value from idiosyncratic opportunities with favorable risk-adjusted potential.
Semi-Annual Report September 2021 / 4
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| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| MWFRX (Inception: June 28, 2013) | | | 1.78% | | | | 5.63% | | | | 3.51% | | | | 3.64% | | | | — | | | 3.64% |
| S&P/LSTA Leveraged Loan Index | | | 2.60% | | | | 8.40% | | | | 4.14% | | | | 4.56% | | | | — | | | 4.14% |
| | | | | | |
| MWFLX (Inception: June 28, 2013) | | | 1.89% | | | | 5.85% | | | | 3.72% | | | | 3.87% | | | | — | | | 3.84% |
| S&P/LSTA Leveraged Loan Index | | | 2.60% | | | | 8.40% | | | | 4.14% | | | | 4.56% | | | | — | | | 4.14% |
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| MWFPX (Inception: January 29, 2021) | | | 1.99% | | | | — | | | | — | | | | — | | | | — | | | 2.31% 1 |
| S&P/LSTA Leveraged Loan Index | | | 2.60% | | | | — | | | | — | | | | — | | | | — | | | 3.20% |
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| 1 Non-annualized. Cumulative return for the Plan Class during the period of January 29, 2021 through September 30, 2021. |
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
The MetWest High Yield Bond Fund – I Class (“Fund”) gained 3.34% (net of fees) over the six-month reporting period ending September 30, 2021, approximately 28 bps behind the return of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. An underweight to energy weighed on relative returns as this was the best performing sector in the Index, led higher by an over 12% gain for oil field services, while independent exploration and production (E&P) credits followed with a gain of 9.5%. The underweight to retailers and retail REITs was another drag on returns as both outperformed the Index given the continued recovery for consumer spending. Meanwhile, an overweight to trailing communications and consumer non-cyclicals (particularly pharmaceuticals) was offset by favorable issue selection within these sectors. An up-in-quality bias was a slight headwind, as the CCC-rated cohort outpaced the broader universe with a total return of 4.3% (B- and BB-rated credits followed with gains of 2.8% and 4.0%, respectively). Finally, the Fund’s duration was maintained relatively short versus the Index (from 0.4 to 0.5 years short), which weighed on performance as Treasury rates fell during the period for intermediate Treasuries.
Given prevailing conditions, the strategy is more defensively positioned, with elevated liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, enhancing quality and de-risking where possible. 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. The percent of high yield bonds trading at distressed valuations (spreads wide of 1,000 bps) has collapsed to 1.2%, with less than ten discrete bonds trading at a price below $70. Against this backdrop, TCW’s value-oriented strategy will continue to approach markets prospectively with caution given expectations for episodic volatility. A prevailing view from the team is that there will be additional opportunities to expand the risk budget at more attractive entry points. Until such time, 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 (e.g., communications and consumer non-cyclicals) while financials, energy, retail and technology credits represent relative underweights. Given expectations for further 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 0.4 years shorter than the benchmark as Treasury rates remain near historic lows.
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| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since
Inception
(Annualized) |
| MWHYX (Inception: September 30, 2002) | | | 3.34% | | | | 8.34% | | | | 8.13% | | | | 6.54% | | | 6.33% | | 8.10% |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 3.65% | | | | 11.27% | | | | 6.88% | | | | 6.50% | | | 7.41% | | 8.64% |
| | | | | | |
| MWHIX (Inception: March 31, 2003) | | | 3.37% | | | | 8.51% | | | | 8.36% | | | | 6.79% | | | 6.59% | | 7.59% |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 3.65% | | | | 11.27% | | | | 6.88% | | | | 6.50% | | | 7.41% | | 8.09% |
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 0.88% (net of fees) for the six-month period ending September 30, 2021, trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 12 bps. Returns benefitted from issue selection among corporate and residential MBS. More specifically, legacy non-agency residential MBS positions (not held in the benchmark) boosted performance as the sector benefitted from the ongoing strength in housing with the added bonus of being
5 / Semi-Annual Report September 2021
mostly floating rate amid the rise in yields later in the period, gaining more than 3% for the period. Agency residential MBS, however, underperformed for the period, led lower by current coupon issues resulting in a drag on relative performance. While the underweight to corporate credit also resulted in a small drag as yield premiums declined amid improved economic data, issue selection within the space rewarded relative returns with credit holdings in the portfolio maintaining a higher average yield than those in the benchmark. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.4 years shorter than the Index.
| | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since
Inception
(Annualized) |
| MWIMX (Inception: June 30, 2003) | | | 0.77% | | | | 0.34% | | | | 4.95% | | | | 2.72% | | | 3.06% | | 4.17% |
| Bloomberg Intermediate U.S. Government/Credit Index | | | 1.00% | | | | -0.40% | | | | 4.63% | | | | 2.60% | | | 2.52% | | 3.41% |
| MWIIX (Inception: June 28, 2002) | | | 0.88% | | | | 0.47% | | | | 5.16% | | | | 2.94% | | | 3.28% | | 4.96% |
| Bloomberg Intermediate U.S. Government/Credit Index | | | 1.00% | | | | -0.40% | | | | 4.63% | | | | 2.60% | | | 2.52% | | 3.78% |
Metropolitan West Investment Grade Credit Fund
M-Class (MWISX), I-Class (MWIGX)
The MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 1.66% (net of fees) over the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Intermediate Credit Index (“Index”) by 3 bps. The Fund’s more defensive posture with an underweight to corporate credit detracted from relative returns as intermediate corporates outpaced Treasuries by approximately 90 bps and saw yield premiums grind lower, particularly for COVID-19-sensitive segments of industrials like lodging and energy. Nevertheless, issue selection helped to somewhat offset this drag, with the emphasis on non-cyclicals and communications contributing as these sectors tightened, albeit by less than other areas more impacted by the pandemic. Meanwhile, the off-Index allocation to securitized products was the largest driver of returns. In particular, the Fund’s CMBS holdings fared well during the period, led by contributions from non-agency backed issues which outpaced Treasuries by over 100 bps on a duration-adjusted basis, and the position was trimmed on strength. Meanwhile, the allocation to residential agency MBS was a modest headwind to returns as the sector underperformed for the period, led lower by current coupon issues. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Within the off-Index allocation to securitized products, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy will seek to add new
Semi-Annual Report September 2021 / 6
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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period approximately 0.5 years shorter than the Index.
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) |
| MWISX (Inception: June 29, 2018) | | | 1.56% | | | | 2.09% | | | | 6.53% | | | | — | | | | — | | | 7.17% |
| Bloomberg U.S. Intermediate Credit Index | | | 1.63% | | | | 1.06% | | | | 5.55% | | | | — | | | | — | | | 5.34% |
| MWIGX (Inception: June 29, 2018) | | | 1.66% | | | | 2.30% | | | | 6.76% | | | | — | | | | — | | | 7.39% |
| Bloomberg U.S. Intermediate Credit Index | | | 1.63% | | | | 1.06% | | | | 5.55% | | | | — | | | | — | | | 5.34% |
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 0.7% (net of fees) over the six-month reporting period as of September 30, 2021, outpacing the ICE BofA 1-3 Year U.S. Treasury Index by 70 bps. The allocation to corporate credit provided a boost to returns as short corporates outpaced Treasuries by 36 bps on a duration-adjusted basis, while issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, healthcare, midstream, finance companies, and communications. Meanwhile, a notable gain derived from a modest allocation to bank loans, which performed well given higher inflation expectations. Away from credit, the emphasis on non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains were ABS and non-agency CMBS, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e., lower delinquencies and special servicing rates), with CLOs leading contributions to returns in the former. Finally, the duration profile of the Fund was adjusted in a disciplined manner based on evolving value propositions but remained shorter than that of the Index overall, which resulted in a small contribution as short yields ended higher for the specified period.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with possible additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.3 years shorter than the Index.
7 / Semi-Annual Report September 2021
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) |
| MWLDX (Inception: March 31, 1997) | | | 0.50% | | | | 0.93% | | | | 2.97% | | | | 2.03% | | | | 2.29% | | | 3.50% |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 0.02% | | | | 0.03% | | | | 2.63% | | | | 1.63% | | | | 1.16% | | | 3.09% |
| MWLIX (Inception: March 31, 2000) | | | 0.72% | | | | 1.25% | | | | 3.18% | | | | 2.23% | | | | 2.51% | | | 3.21% |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 0.02% | | | | 0.03% | | | | 2.63% | | | | 1.63% | | | | 1.16% | | | 2.72% |
| MWLNX (Inception: September 22, 2009) | | | 0.43% | | | | 0.92% | | | | 2.84% | | | | 1.91% | | | | 2.16% | | | 3.04% |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 0.02% | | | | 0.03% | | | | 2.63% | | | | 1.63% | | | | 1.16% | | | 1.29% |
Metropolitan West Opportunistic High Income Credit Fund
M-Class (MWORX), I-Class (MWOPX)
Following its launch date of August 2, 2021, the MetWest Opportunistic High Income Fund – I Class (“Fund”) returned 2.47% (net of fees), ahead of the 0.89% gain delivered by the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap over the same period. Given a broad selection set including equities, bank loans, corporate and securitized credit, the Fund performance benefitted from weightings to legacy non-agency residential mortgage-backed securities, as well as commercial mortgage-backed securities. In addition, selections in the Pharmaceutical, Communications, Entertainment and Energy industries provided good incremental return contributions.
Strategically, the Fund will tend to position for good value opportunities with a higher yield profile. With a view that general valuation levels across risk markets skew to the richer end, the search for idiosyncratic securities and themes will guide the approach. Presently, just under a quarter of the holdings are allocated to residential and commercial MBS, with just 10% of Fund NAV allocated to each of equities and bank loans. Expectations are that these exposures can vary substantially as value perspectives shift in the market and present yield opportunities at attractive risk-adjusted yields.
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception1
|
| MWORX (Inception: August 2, 2021) | | | — | | | | — | | | | — | | | | — | | | | — | | | 2.62% |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | — | | | | — | | | | — | | | | — | | | | — | | | 0.89% |
| MWOPX (Inception: August 2, 2021) | | | — | | | | — | | | | — | | | | — | | | | — | | | 2.47% |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | — | | | | — | | | | — | | | | — | | | | — | | | 0.89% |
| | | | | | | | | | | | |
| 1 Non-annualized. Cumulative return for the Fund during the period of August 2, 2021 through September 30, 2021. |
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
The MetWest Strategic Income Fund – I Class (“Fund”) gained 1.50% (net of fees) for the six-month period ending September 30, 2021, outpacing the ICE BofA U.S. 3-Month U.S. Treasury Bill Index Plus 200 bps by over 60 bps. Returns were boosted by spread sector exposure, led by securitized products. In particular, non-agency MBS holdings provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Smaller, though still meaningful, contributions came from ABS and CMBS exposures, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with CLOs and government-guaranteed student loans leading contributions to returns in the former. The agency MBS allocation was challenged during the period in light of tapering concerns, and the sector posted negative excess returns – though a focus on TBAs offset this drag. Meanwhile, the allocation to corporate credit was additive, as the sector delivered excess returns of 96 bps versus Treasuries on a duration-adjusted basis. Notably, favorable issue selection within the sector further boosted relative returns, with the biggest absolute contributions coming from banking, midstream energy, consumer non-cyclicals, and communications names. Finally, the duration position was adjusted in a disciplined manner against a backdrop of rate volatility from 2.4 years at March month-end to close the period at 1.9 years, a position which boosted performance as rates fell for intermediate and longer maturities, with the 10-Year yield over 25 bps lower from the end of March.
Given prevailing conditions, the strategy remains defensively positioned, with ample levels of liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum (given tight A/BBB relationships), reducing tight commodity-exposed names/sectors, swapping into shorter-dated maturities (where
Semi-Annual Report September 2021 / 8
curves are flat), and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy will seek to add new exposure at favorable valuations. The strategy also maintains a position in agency MBS, with a focus on 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. 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period at approximately 1.9 years.
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) |
| MWSTX (Inception: June 30, 2003) | | | 1.50% | | | | 5.56% | | | | 4.43% | | | | 3.56% | | | | 3.99% | | | 4.16% |
| ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | | | 1.01% | | | | 2.07% | | | | 3.20% | | | | 3.17% | | | | 2.63% | | | 3.31% |
| MWSIX (Inception: March 31, 2004) | | | 1.62% | | | | 5.81% | | | | 4.66% | | | | 3.80% | | | | 4.25% | | | 3.70% |
| ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | | | 1.01% | | | | 2.07% | | | | 3.20% | | | | 3.17% | | | | 2.63% | | | 3.32% |
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX),
Plan-Class (MWTSX)
The MetWest Total Return Bond Fund – I Class (“Fund”) returned 1.9% (net of fees) for the six-month period ending September 30, 2021, outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 5 bps. Outperformance for the period was driven by issue selection among corporate and residential MBS. More specifically, legacy non-agency residential MBS positions (not held in the benchmark) boosted performance as the sector benefitted from the ongoing strength in housing with the added bonus of being mostly floating rate amid the rise in yields later in the period, gaining more than 3% for the period. Agency residential MBS, however, underperformed for the period, led lower by current coupon issues resulting in a drag on relative performance. While the underweight to corporate credit also resulted in a small drag as yield premiums declined amid improved economic data, issue selection within the space rewarded relative returns. More specifically, credit holdings in the portfolio maintained a higher average yield than those in the benchmark, which benefitted relative returns, along with energy and non-cyclical holdings that outpaced those in the benchmark. Additionally, the small position in high yield corporates contributed as the sector outpaced Treasuries by 290 bps on a duration-adjusted basis. Finally, the duration profile of the Fund has been adjusted in a disciplined manner given the evolving value proposition, but was shorter than the Index for most of the period, which rewarded returns as Treasury yields rose later in the period, but was a drag in June and July when rates declined notably.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated issues, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship as well as money center banks. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter approximately 0.4 years shorter than the Index.
9 / Semi-Annual Report September 2021
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| MWTRX (Inception: March 31, 1997) | | | 1.91% | | | | 0.02% | | | | 5.91% | | | | 3.30% | | | | 3.94% | | | 5.96% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | 5.35% | | | | 2.94% | | | | 3.01% | | | 5.07% |
| MWTIX (Inception: March 31, 2000) | | | 1.93% | | | | 0.15% | | | | 6.15% | | | | 3.51% | | | | 4.17% | | | 5.83% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | 5.35% | | | | 2.94% | | | | 3.01% | | | 4.84% |
| MWTTX (Inception: March 6, 2020) | | | 1.90% | | | | 0.07% | | | | — | | | | — | | | | — | | | 1.60% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | — | | | | — | | | | — | | | 1.27% |
| MWTNX (Inception: December 18, 2009) | | | 1.76% | | | | -0.18% | | | | 5.79% | | | | 3.16% | | | | 3.80% | | | 4.44% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | 5.35% | | | | 2.94% | | | | 3.01% | | | 3.58% |
| MWTSX (Inception: August 1, 2011) | | | 1.96% | | | | 0.25% | | | | 6.21% | | | | 3.59% | | | | 4.19% | | | 4.16% |
| Bloomberg U.S. Aggregate Bond Index | | | 1.88% | | | | -0.90% | | | | 5.35% | | | | 2.94% | | | | 3.01% | | | 3.18% |
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.3% (net of fees) over the six-month period ending September 30, 2021, ahead of the ICE BofA 1-Year U.S. Treasury Index (“Index”) by 29 bps. The allocation to corporate credit benefited returns as short corporates outpaced Treasuries by 36 bps on a duration-adjusted basis, while issue selection within the sector further added to relative returns, with the biggest absolute contributions coming from banking, healthcare, wirelines, pharmaceuticals, and midstream. In securitized, the Fund’s off-Index exposure to non-agency MBS provided a tailwind to performance as the sector continued to benefit from a solid housing backdrop and improving loan-to-value ratios. Agency MBS holdings maintained a bias for current (low) coupon issues, which benefited performance for the overall period given the Fed’s significant sponsorship, despite the sector coming under pressure toward the end of the timeframe on tapering concerns. The Fund’s emphasis on mortgage TBAs further contributed, owing to TBAs maintaining a higher running yield than specified pools. Producing additional gains, meanwhile, were ABS and non-agency CMBS, owing to strong investor demand, a relatively healthy consumer base, and ongoing improvements in fundamentals (i.e. lower delinquencies and special servicing rates), with CLOs leading contributions to returns in the former. Finally, the duration profile of the Fund was adjusted in a disciplined manner based on evolving value propositions but remained shorter than that of the Index overall, which resulted in a small contribution as short yields ended higher for the specified period.
Given prevailing conditions, the strategy remains defensively positioned, with ample flexibility to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum, reducing tight commodity-exposed names/sectors, swapping into shorter-dated, and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and certain financials like well-capitalized banks) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools; the sector continues to benefit from the tailwind of Fed sponsorship and money center banks. Meanwhile, a modest allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, 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 AAA-rated exposures, 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 of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes single family rental and government-guaranteed FFELP student loans. Finally, the Fund’s overall duration positioning remains defensive given historically low yields, with the strategy ending the quarter nearly 0.4 years shorter than the Index.
Semi-Annual Report September 2021 / 10
| | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWUSX (Inception: June 30, 2003) | | | 0.25% | | | | 0.21% | | | | 1.60% | | | | 1.33% | | | 1.50% | | 1.79% |
| ICE BofA 1-Year U.S. Treasury Index | | | 0.04% | | | | 0.17% | | | | 1.88% | | | | 1.46% | | | 0.89% | | 1.62% |
| MWUIX (Inception: July 31, 2004) | | | 0.33% | | | | 0.37% | | | | 1.76% | | | | 1.54% | | | 1.68% | | 1.65% |
| ICE BofA 1-Year U.S. Treasury Index | | | 0.04% | | | | 0.17% | | | | 1.88% | | | | 1.46% | | | 0.89% | | 1.67% |
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX), Plan-Class (MWCPX)
The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 1.49% (net of fees) for the six-month period ending September 30, 2021, outpacing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index by over 140 bps. Returns were boosted by spread sector exposure, most notably securitized products. In particular, non-agency MBS holdings fared well during the period, as a strong fundamental backdrop of housing strength (i.e., robust demand and scarce inventory) and improving borrower profiles supported the sector. Smaller, though still meaningful, contributions came from CMBS and ABS exposures, while agency MBS had limited impact on performance during the period. Within the credit allocation, investment grade credit was additive, with favorable issue selection among consumer non-cyclicals, energy, and communications names. The small allocation to high yield corporates was also beneficial, as it was one of the best performing fixed income sectors with a 3.7% return and roughly 290 bps of positive excess return over Treasuries. Finally, the duration position was adjusted in a disciplined manner against a backdrop of rate volatility and ended the period at 1.9 years, a position which boosted performance as rates fell for intermediate and longer maturities, with the 10-Year yield over 25 bps lower from the end of March.
Given prevailing conditions, the strategy remains defensively positioned, with ample levels of liquidity to respond to potential volatility. Within credit, the team has taken a prudent approach, de-risking exposure by moving up the quality spectrum (given tight A/BBB relationships), reducing tight commodity-exposed names/sectors, swapping into shorter-dated maturities (where curves are flat), and enhancing liquidity. The focus remains on sectors that are viewed as offering more stability in times of volatility (such as consumer non-cyclicals and communications) and on idiosyncratic opportunities where wider spreads offer more compelling value. Though currently a small position, emerging market debt issues are add candidates on cheaper entry points. Among securitized, legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, and the strategy will seek to add new exposure at favorable valuations. The strategy also maintains a position in agency MBS, with a focus on 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. 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 CLOs, with additions of well-collateralized AA-rated issues offering good yields, while other ABS exposure includes government-guaranteed FFELP student loans. Finally, overall duration positioning remains defensive given historically low yields, with the strategy ending the period at approximately 1.9 years.
| | | | | | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2021 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) |
| MWCRX (Inception: October 1, 2011) | | | 1.34% | | | | 3.83% | | | | 3.93% | | | | 3.27% | | | | 4.94% | | | 4.94% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 0.08% | | | | 0.19% | | | | 1.37% | | | | 1.43% | | | | 0.90% | | | 0.90% |
| MWCIX (Inception: October 1, 2011) | | | 1.49% | | | | 4.13% | | | | 4.22% | | | | 3.57% | | | | 5.21% | | | 5.21% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 0.08% | | | | 0.19% | | | | 1.37% | | | | 1.43% | | | | 0.90% | | | 0.90% |
| MWCPX (Inception: March 6, 2020) | | | 1.51% | | | | 4.18% | | | | — | | | | — | | | | — | | | 3.39% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 0.08% | | | | 0.19% | | | | — | | | | — | | | | — | | | 0.44% |
11 / Semi-Annual Report September 2021
A Disciplined Value Philosophy
As we think about the environment of the past 18 months and the economic and market conditions that have followed, it’s clear that it has been a period without precedent. Despite that, the practice of disciplined investment and rewards to such consistency also remain evident. Our commitment to that steady approach remains unflinching as we seek to deliver the best reward for the risk we can to our investors.
Thank you again for your investment in the Metropolitan West Funds. We look forward to continuing to assist you in the fulfillment of your financial goals.
Sincerely,
David B. Lippman
President and Principal Executive Officer of the Trust
Metropolitan West Funds
Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.
Bond Funds have similar interest 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 October 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.
Semi-Annual Report September 2021 / 12
Metropolitan West Funds
Disclosure of Fund Expenses (Unaudited)
For the Six Months Ended September 30, 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 expenses shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/21 | | Ending
Account Value
09/30/21 | | Expense
Ratio1 | | Expenses
Paid During
Period2 | | | |
ALPHATRAK 500 FUND | | | | | | | | | | | | |
Actual Fund Return | | $1,000.00 | | $1,088.40 | | 0.90% | | $4.71 | | | | |
Hypothetical 5% Return | | $1,000.00 | | $1,020.56 | | 0.90% | | $4.56 | | | | |
| | | | | |
CORPORATE BOND FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,033.10 | | 0.75% | | $3.82 | | | | |
Class I | | $1,000.00 | | $1,034.40 | | 0.50% | | $2.55 | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,021.31 | | 0.75% | | $3.80 | | | | |
Class I | | $1,000.00 | | $1,022.56 | | 0.50% | | $2.54 | | | | |
| | | | | |
FLEXIBLE INCOME FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,024.40 | | 0.80% | | $4.06 | | | | |
Class I | | $1,000.00 | | $1,025.60 | | 0.55% | | $2.79 | | | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,021.06 | | 0.80% | | $4.05 | | | | |
Class I | | $1,000.00 | | $1,022.31 | | 0.55% | | $2.79 | | | | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
13 / Semi-Annual Report September 2021
| | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/21 | | Ending
Account Value
09/30/21 | | Expense
Ratio1 | | Expenses
Paid During
Period2 | | | |
| | | | | |
FLOATING RATE INCOME FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,017.80 | | 0.90% | | $4.55 | | | | |
Class I | | $1,000.00 | | $1,018.90 | | 0.68% | | $3.44 | | | | |
Plan Class | | $1,000.00 | | $1,019.90 | | 0.60% | | $3.04 | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,020.56 | | 0.90% | | $4.56 | | | | |
Class I | | $1,000.00 | | $1,021.66 | | 0.68% | | $3.45 | | | | |
Plan Class | | $1,000.00 | | $1,022.06 | �� | 0.60% | | $3.04 | | | | |
| | | | | |
HIGH YIELD BOND FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,033.40 | | 0.85% | | $4.33 | | | | |
Class I | | $1,000.00 | | $1,033.70 | | 0.60% | | $3.06 | | | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,020.81 | | 0.85% | | $4.31 | | | | |
Class I | | $1,000.00 | | $1,022.06 | | 0.60% | | $3.04 | | | | |
| | | | | |
INTERMEDIATE BOND FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,007.70 | | 0.70% | | $3.52 | | | | |
Class I | | $1,000.00 | | $1,008.80 | | 0.48% | | $2.42 | | | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,021.56 | | 0.70% | | $3.55 | | | | |
Class I | | $1,000.00 | | $1,022.66 | | 0.48% | | $2.43 | | | | |
| | | | | |
INVESTMENT GRADE CREDIT FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,015.60 | | 0.70% | | $3.54 | | | | |
Class I | | $1,000.00 | | $1,016.60 | | 0.49% | | $2.48 | | | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,021.56 | | 0.70% | | $3.55 | | | | |
Class I | | $1,000.00 | | $1,022.61 | | 0.49% | | $2.48 | | | | |
| | | | | |
LOW DURATION BOND FUND | | | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,005.00 | | 0.61% | | $3.07 | | | | |
Class I | | $1,000.00 | | $1,007.20 | | 0.41% | | $2.06 | | | | |
Administrative Class | | $1,000.00 | | $1,004.30 | | 0.73% | | $3.67 | | | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $1,000.00 | | $1,022.01 | | 0.61% | | $3.09 | | | | |
Class I | | $1,000.00 | | $1,023.01 | | 0.41% | | $2.08 | | | | |
Administrative Class | | $1,000.00 | | $1,021.41 | | 0.73% | | $3.70 | | | | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
Semi-Annual Report September 2021 / 14
| | | | | | | | | | |
| | | Beginning
Account Value
04/01/21 | | Ending
Account Value
09/30/21 | | Expense
Ratio1 | | Expenses
Paid During
Period2 | | |
| | | | | |
OPPORTUNISTIC HIGH INCOME CREDIT FUND3 | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,026.20 | | 0.85%4 | | $1.425 | | |
Class I | | $1,000.00 | | $1,024.70 | | 0.60%4 | | $1.005 | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,006.82 | | 0.85%4 | | $1.405 | | |
Class I | | $1,000.00 | | $1,007.23 | | 0.60%4 | | $0.995 | | |
| | | | | |
STRATEGIC INCOME FUND | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,015.00 | | 1.04% | | $5.25 | | |
Class I | | $1,000.00 | | $1,016.20 | | 0.80% | | $4.04 | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,019.85 | | 1.04% | | $5.27 | | |
Class I | | $1,000.00 | | $1,021.06 | | 0.80% | | $4.05 | | |
| | | | | |
TOTAL RETURN BOND FUND | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,019.10 | | 0.67% | | $3.39 | | |
Class I | | $1,000.00 | | $1,019.30 | | 0.45% | | $2.28 | | |
Class I-2 | | $1,000.00 | | $1,019.00 | | 0.50% | | $2.53 | | |
Administrative Class | | $1,000.00 | | $1,017.60 | | 0.78% | | $3.95 | | |
Plan Class | | $1,000.00 | | $1,019.60 | | 0.37% | | $1.87 | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,021.71 | | 0.67% | | $3.40 | | |
Class I | | $1,000.00 | | $1,022.81 | | 0.45% | | $2.28 | | |
Class I-2 | | $1,000.00 | | $1,022.56 | | 0.50% | | $2.54 | | |
Administrative Class | | $1,000.00 | | $1,021.16 | | 0.78% | | $3.95 | | |
Plan Class | | $1,000.00 | | $1,023.21 | | 0.37% | | $1.88 | | |
| | | | | |
ULTRA SHORT BOND FUND | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,002.50 | | 0.50% | | $2.51 | | |
Class I | | $1,000.00 | | $1,003.30 | | 0.34% | | $1.71 | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,022.56 | | 0.50% | | $2.54 | | |
Class I | | $1,000.00 | | $1,023.36 | | 0.34% | | $1.72 | | |
| | | | | |
UNCONSTRAINED BOND FUND | | | | | | | | | | |
| | | | | |
Actual Fund Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,013.40 | | 1.02% | | $5.15 | | |
Class I | | $1,000.00 | | $1,014.90 | | 0.74% | | $3.74 | | |
Plan Class | | $1,000.00 | | $1,015.10 | | 0.69% | | $3.49 | | |
| | | | | |
Hypothetical 5% Return | | | | | | | | | | |
Class M | | $1,000.00 | | $1,019.95 | | 1.02% | | $5.16 | | |
Class I | | $1,000.00 | | $1,021.36 | | 0.74% | | $3.75 | | |
Plan Class | | $1,000.00 | | $1,021.61 | | 0.69% | | $3.50 | | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
| 3 | The Opportunistic High Income Credit Fund commenced operations on August 2, 2021. |
| 4 | Annualized, based on the Fund’s expenses for the period between August 2, 2021 (the commencement date of the Fund) and September 30, 2021. |
| 5 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 60 days of expenses, then divided by 365 (to reflect the period shown between August 2, 2021 and September 30, 2021). |
15 / Semi-Annual Report September 2021
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2021 (Unaudited)
These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.
| | | | |
|
| ALPHATRAK 500 FUND | |
|
| Sector Diversification | |
| |
Corporate Bonds | | | 24.18% | |
| |
Mutual Funds | | | 23.49% | |
| |
Asset-Backed Securities | | | 14.80% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 9.80% | |
| |
U.S. Treasury Securities | | | 4.96% | |
| |
U.S. Agency Discount Notes | | | 4.39% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 3.41% | |
| |
U.S. Treasury Bills | | | 3.30% | |
| |
Non-Agency Mortgage-Backed | | | 2.81% | |
| |
U.S. Agency Mortgage-Backed | | | 2.80% | |
| |
Municipal Bonds | | | 1.70% | |
| |
Money Market Funds | | | 0.16% | |
| |
Other* | | | 4.20% | |
| |
Total | | | 100.00% | |
| | | | |
|
| CORPORATE BOND FUND | |
|
| Sector Diversification | |
| |
Corporate Bonds | | | 82.84% | |
| |
U.S. Treasury Securities | | | 8.64% | |
| |
Money Market Funds | | | 2.79% | |
| |
Municipal Bonds | | | 2.35% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 0.47% | |
| |
Asset-Backed Securities | | | 0.29% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 0.27% | |
| |
U.S. Agency Mortgage-Backed | | | 0.15% | |
| |
Other* | | | 2.20% | |
| |
Total | | | 100.00% | |
| | | | |
|
| FLEXIBLE INCOME FUND | |
|
| Sector Diversification | |
| |
Corporate Bonds | | | 28.44% | |
| |
Asset-Backed Securities | | | 18.61% | |
| |
Non-Agency Mortgage-Backed | | | 17.72% | |
| |
U.S. Agency Mortgage-Backed | | | 14.10% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 13.98% | |
| |
Bank Loans | | | 8.83% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 3.40% | |
| |
Foreign Government Obligations | | | 2.37% | |
| |
U.S. Treasury Bills | | | 1.12% | |
| |
U.S. Treasury Securities | | | 1.02% | |
| |
Money Market Funds | | | 0.61% | |
| |
Municipal Bonds | | | 0.48% | |
| |
Common Stock | | | 0.22% | |
| |
Warrant | | | 0.05% | |
| |
Other* | | | (10.95)% | |
| |
Total | | | 100.00% | |
| | | | |
|
| FLOATING RATE INCOME FUND | |
|
| Sector Diversification | |
| |
Bank Loans | | | 86.64% | |
| |
Corporate Bonds | | | 6.91% | |
| |
U.S. Treasury Bills | | | 5.28% | |
| |
Money Market Funds | | | 4.11% | |
| |
Warrant | | | 0.03% | |
| |
Other* | | | (2.97)% | |
| |
Total | | | 100.00% | |
| | | | |
|
| HIGH YIELD BOND FUND | |
|
| Sector Diversification | |
| |
Corporate Bonds | | | 73.89% | |
| |
Bank Loans | | | 18.20% | |
| |
U.S. Treasury Bills | | | 3.05% | |
| |
Money Market Funds | | | 2.23% | |
| |
Common Stock | | | 0.32% | |
| |
Warrant | | | 0.02% | |
| |
Other* | | | 2.29% | |
| |
Total | | | 100.00% | |
| | | | |
|
| INTERMEDIATE BOND FUND | |
|
| Sector Diversification | |
| |
U.S. Treasury Securities | | | 53.44% | |
| |
Corporate Bonds | | | 25.51% | |
| |
Asset-Backed Securities | | | 9.68% | |
| |
U.S. Agency Mortgage-Backed | | | 8.39% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 2.32% | |
| |
Non-Agency Mortgage-Backed | | | 2.04% | |
| |
Bank Loans | | | 1.07% | |
| |
Municipal Bonds | | | 0.78% | |
| |
Purchased Options | | | 0.03% | |
| |
Money Market Funds | | | 0.01% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 0.01% | |
| |
Common Stock | | | 0.00% | |
| |
Written Options | | | (0.02)% | |
| |
Other* | | | (3.26)% | |
| |
Total | | | 100.00% | |
Semi-Annual Report September 2021 / 16
| | | | |
|
| INVESTMENT GRADE CREDIT FUND | |
Sector Diversification | |
| |
Corporate Bonds | | | 57.55% | |
| |
U.S. Treasury Securities | | | 22.73% | |
| |
U.S. Agency Mortgage-Backed | | | 5.53% | |
| |
Asset-Backed Securities | | | 5.29% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 5.03% | |
| |
Non-Agency Mortgage-Backed | | | 2.69% | |
| |
Municipal Bonds | | | 2.17% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 1.08% | |
| |
Money Market Funds | | | 0.10% | |
| |
Other* | | | (2.17)% | |
| |
Total | | | 100.00% | |
| | | | | |
|
| LOW DURATION BOND FUND | |
Sector Diversification | |
| |
Corporate Bonds | | | 28.94% | |
| |
U.S. Treasury Securities | | | 27.04% | |
| |
Asset-Backed Securities | | | 16.93% | |
| |
U.S. Agency Mortgage-Backed | | | 15.34% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 12.14% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 5.92% | |
| |
U.S. Treasury Bills | | | 4.33% | |
| |
Non-Agency Mortgage-Backed | | | 3.14% | |
| |
Bank Loans | | | 1.11% | |
| |
U.S. Agency Discount Notes | | | 0.94% | |
| |
Municipal Bonds | | | 0.93% | |
| |
Money Market Funds | | | 0.64% | |
| |
Purchased Options | | | 0.03% | |
| |
Common Stock | | | 0.00% | |
| |
Purchased Swaptions | | | 0.00% | |
| |
Written Swaptions | | | 0.00% | |
| |
Written Options | | | (0.02)% | |
| |
Other* | | | (17.41)% | |
| |
Total | | | 100.00% | |
| | | | | |
|
| OPPORTUNISTIC HIGH INCOME CREDIT FUND | |
Sector Diversification | |
| |
Corporate Bonds | | | 47.52% | |
| |
U.S. Treasury Bills | | | 15.29% | |
| |
Common Stock | | | 11.07% | |
| |
Bank Loans | | | 10.88% | |
| |
Non-Agency Mortgage-Backed | | | 8.29% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 6.60% | |
| |
Money Market Funds | | | 4.42% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 2.72% | |
| |
Master Limited Partnerships | | | 2.39% | |
| |
Other* | | | (9.18)% | |
| |
Total | | | 100.00% | |
| | | | |
|
| STRATEGIC INCOME FUND | |
Sector Diversification | |
| |
Asset-Backed Securities | | | 29.53% | |
| |
Corporate Bonds | | | 27.98% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 11.75% | |
| |
Non-Agency Mortgage-Backed | | | 8.12% | |
| |
U.S. Agency Mortgage-Backed | | | 6.77% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 6.20% | |
| |
U.S. Treasury Bills | | | 5.86% | |
| |
U.S. Agency Discount Notes | | | 3.26% | |
| |
Municipal Bonds | | | 0.47% | |
| |
Common Stock | | | 0.23% | |
| |
Money Market Funds | | | 0.12% | |
| |
Other* | | | (0.29)% | |
| |
Total | | | 100.00% | |
| | | | | |
|
| TOTAL RETURN BOND FUND | |
Sector Diversification | |
| |
U.S. Treasury Securities | | | 39.58% | |
| |
U.S. Agency Mortgage-Backed | | | 32.26% | |
| |
Corporate Bonds | | | 23.57% | |
| |
Asset-Backed Securities | | | 5.62% | |
| |
U.S. Treasury Bills | | | 4.88% | |
| |
Non-Agency Mortgage-Backed | | | 4.64% | |
| |
U.S. Agency Discount Notes | | | 3.80% | |
| |
Money Market Funds | | | 2.28% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 1.72% | |
| |
Bank Loans | | | 1.60% | |
| |
Foreign Government Obligations | | | 0.97% | |
| |
Repurchase Agreements | | | 0.85% | |
| |
Municipal Bonds | | | 0.62% | |
| |
Purchased Options | | | 0.03% | |
| |
Purchased Swaptions | | | 0.01% | |
| |
Common Stock | | | 0.00% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 0.00% | |
| |
Written Options | | | (0.01)% | |
| |
Other* | | | (22.42)% | |
| |
Total | | | 100.00% | |
| | | | | |
|
| ULTRA SHORT BOND FUND | |
Sector Diversification | |
| |
U.S. Treasury Securities | | | 24.06% | |
| |
Corporate Bonds | | | 22.48% | |
| |
U.S. Treasury Bills | | | 17.98% | |
| |
U.S. Agency Mortgage-Backed | | | 15.11% | |
| |
Asset-Backed Securities | | | 11.43% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 7.70% | |
| |
Money Market Funds | | | 3.81% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 2.27% | |
| |
Non-Agency Mortgage-Backed | | | 1.34% | |
| |
Municipal Bonds | | | 0.72% | |
| |
Purchased Options | | | 0.03% | |
| |
Written Options | | | (0.02)% | |
| |
Other* | | | (6.91)% | |
| |
Total | | | 100.00% | |
17 / Semi-Annual Report September 2021
| | | | |
|
| UNCONSTRAINED BOND FUND | |
Sector Diversification | |
| |
Corporate Bonds | | | 23.60% | |
| |
Asset-Backed Securities | | | 22.75% | |
| |
U.S. Treasury Bills | | | 12.81% | |
| |
Non-Agency Mortgage-Backed | | | 12.50% | |
| |
U.S. Agency Mortgage-Backed | | | 11.12% | |
| |
Non-Agency Commercial Mortgage-Backed | | | 7.65% | |
| |
Bank Loans | | | 4.35% | |
| |
U.S. Agency Commercial Mortgage-Backed | | | 3.44% | |
| |
Money Market Funds | | | 3.07% | |
| |
U.S. Agency Discount Notes | | | 3.05% | |
| |
Foreign Government Obligations | | | 2.74% | |
| |
U.S. Treasury Securities | | | 0.85% | |
| |
Municipal Bonds | | | 0.52% | |
| |
Common Stock | | | 0.22% | |
| |
Purchased Options | | | 0.03% | |
| |
Written Options | | | (0.01)% | |
| |
Other* | | | (8.69)% | |
| |
Total | | | 100.00% | |
| * | Includes cash and equivalents, futures, foreign currency exchange contracts, swaps, pending trades, fund share transactions, interest and dividends receivable and accrued expenses payable. |
In addition to 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.
Semi-Annual Report September 2021 / 18
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 64.46% | |
|
ASSET-BACKED SECURITIES — 14.80%** | |
Access Group, Inc., | |
Series 2015-1, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | | 07/25/56 | 1,2 | | $ | 12,739 | | | $ | 12,717 | |
Aimco CLO 11 Ltd., | |
Series 2020-11A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.38%) | |
1.51% | | | 10/15/31 | 1,2,3 | | | 100,000 | | | | 100,015 | |
AMMC CLO 23 Ltd., | |
Series 2020-23A, Class A1L | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.40%) | |
1.53% | | | 10/17/31 | 1,2,3 | | | 85,000 | | | | 85,020 | |
| Arbor Realty Commercial Real Estate Notes Ltd., | | | | | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.15%) | |
1.23% | | | 05/15/37 | 1,2,3 | | | 170,000 | | | | 170,178 | |
Asset-Backed Funding Certificates, | |
Series 2006-OPT1, Class A2 | |
(LIBOR USD 1-Month plus 0.28%) | |
0.37% | | | 09/25/36 | 2 | | | 11,700 | | | | 11,650 | |
Barings CLO Ltd., | |
Series 2013-IA, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 01/20/28 | 1,2,3 | | | 64,358 | | | | 64,321 | |
Barings CLO Ltd., | |
Series 2018-3A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | | 07/20/29 | 1,2,3 | | | 85,000 | | | | 85,030 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.64% | | | 01/25/35 | 1,2 | | | 8,747 | | | | 8,654 | |
Brazos Higher Education Authority, Inc., | |
Series 2010-1, Class A2 | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 02/25/35 | 2 | | | 215,000 | | | | 218,843 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 02/25/30 | 2 | | | 202,221 | | | | 203,070 | |
Cedar Funding XII CLO Ltd., | |
Series 2020-12A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | | 10/25/32 | 1,2,3 | | | 80,000 | | | | 80,015 | |
Centex Home Equity Loan Trust, | |
Series 2005-B, Class M2 | |
(LIBOR USD 1-Month plus 0.65%) | |
0.73% | | | 03/25/35 | 2 | | | 181,946 | | | | 181,216 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Centex Home Equity Loan Trust, | |
Series 2005-D, Class M4 | |
(LIBOR USD 1-Month plus 0.92%) | |
1.00% | | | 10/25/35 | 2 | | $ | 182,000 | | | $ | 182,758 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-HE4, Class M2 | |
(LIBOR USD 1-Month plus 0.68%) | |
0.76% | | | 10/25/35 | 2 | | | 259,850 | | | | 257,559 | |
CLNC Ltd., | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(SOFR30A plus 1.36%) | |
1.41% | | | 08/20/35 | 1,2,3 | | | 240,000 | | | | 240,490 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2007-13, Class 2A1 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 10/25/47 | 2 | | | 77,318 | | | | 77,539 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2003-CB1, Class AF (STEP-reset date 11/25/21) | | | | | |
3.95% | | | 01/25/33 | | | | 9,361 | | | | 9,530 | |
Dryden XXVI Senior Loan Fund, | |
Series 2013-26A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | | 04/15/29 | 1,2,3 | | | 49,194 | | | | 49,194 | |
Eaton Vance CLO Ltd., | |
Series 2020-1A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.17%) | |
1.25% | | | 10/15/34 | 1,2,3 | | | 150,000 | | | | 150,103 | |
Educational Funding of the South, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.65%) | |
0.78% | | | 04/25/35 | 2 | | | 2,199 | | | | 2,189 | |
Educational Funding of the South, Inc., | |
Series 2012-1, Class A | |
(LIBOR USD 1-Month plus 1.05%) | |
1.14% | | | 03/25/36 | 2 | | | 24,627 | | | | 24,776 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF4, Class A3 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | | 03/25/36 | 2 | | | 54,363 | | | | 53,247 | |
Ford Credit Floorplan Master Owner Trust A, | |
Series 2019-3, Class A1 | |
2.23% | | | 09/15/24 | | | | 250,000 | | | | 254,684 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | |
Series 2020-8A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
1.24% | | | 10/20/34 | 1,2,3 | | | 140,000 | | | | 140,096 | |
Grand Avenue CRE, | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.12%) | |
1.20% | | | 06/15/37 | 1,2,3 | | | 50,879 | | | | 50,864 | |
|
| See accompanying Notes to Financial Statements. |
|
| 19 / Semi-Annual Report September 2021 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 05/25/34 | 1,2 | | $ | 101,791 | | | $ | 102,213 | |
Home Partners of America Trust, | |
Series 2017-1, Class B | |
(LIBOR USD 1-Month plus 1.35%) | |
1.43% | | | 07/17/34 | 1,2 | | | 113,000 | | | | 113,017 | |
HSI Asset Securitization Corp. Trust, | |
Series 2007-WF1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.16%) | |
0.25% | | | 05/25/37 | 2 | | | 84,528 | | | | 83,964 | |
Invitation Homes Trust, | |
Series 2018-SFR2, Class B | |
(LIBOR USD 1-Month plus 1.08%) | |
1.16% | | | 06/17/37 | 1,2 | | | 99,984 | | | | 99,997 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2005-WMC1, Class M3 | |
(LIBOR USD 1-Month plus 0.71%) | |
0.79% | | | 09/25/35 | 2 | | | 254,215 | | | | 252,438 | |
LCM 29 Ltd., | |
Series 29A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 04/15/31 | 1,2,3 | | | 125,000 | | | | 125,062 | |
LCM XIII LP, | |
Series 13A, Class ARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 07/19/27 | 1,2,3 | | | 80,000 | | | | 79,995 | |
Legacy Mortgage Asset Trust, | |
Series 2019-GS1, Class A1 (STEP-reset date 10/25/21) | | | | | |
4.00% | | | 01/25/59 | 1 | | | 86,018 | | | | 86,203 | |
LoanCore Issuer Ltd., | |
Series 2019-CRE2, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | | 05/15/36 | 1,2,3 | | | 112,042 | | | | 112,112 | |
Long Beach Mortgage Loan Trust, | |
Series 2004-4, Class 1A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | | 10/25/34 | 2 | | | 100,360 | | | | 96,617 | |
MF1 Ltd., | |
Series 2020-FL4, Class A | |
(SOFR30A plus 1.81%) | |
1.86% | | | 11/15/35 | 1,2 | | | 220,000 | | | | 221,774 | |
Navient Student Loan Trust, | |
Series 2014-1, Class A3 | |
(LIBOR USD 1-Month plus 0.51%) | |
0.60% | | | 06/25/31 | 2 | | | 90,654 | | | | 88,993 | |
Navient Student Loan Trust, | |
Series 2017-2A, Class A | |
(LIBOR USD 1-Month plus 1.05%) | |
1.14% | | | 12/27/66 | 1,2 | | | 67,908 | | | | 68,960 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Navient Student Loan Trust, | |
Series 2017-4A, Class A2 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 09/27/66 | 1,2 | | $ | 52,302 | | | $ | 52,382 | |
Nelnet Student Loan Trust, | |
Series 2014-3A, Class A | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 06/25/41 | 1,2 | | | 14,276 | | | | 14,409 | |
North Carolina State Education Authority, | |
Series 2011-1, Class A3 | |
(LIBOR USD 3-Month plus 0.90%) | |
1.08% | | | 10/25/41 | 2 | | | 9,086 | | | | 9,115 | |
NYACK Park CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.65%) | |
0.00% | | | 10/20/34 | 1,2,3 | | | 120,000 | | | | 120,060 | |
OCP CLO Ltd., | |
Series 2017-14A, Class A1A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
1.28% | | | 11/20/30 | 1,2,3 | | | 85,000 | | | | 85,035 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.25%) | |
1.38% | | | 10/19/32 | 1,2,3 | | | 80,000 | | | | 80,012 | |
Option One Mortgage Loan Trust, | |
Series 2006-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | | 01/25/36 | 2 | | | 60,543 | | | | 60,526 | |
Palmer Square CLO Ltd., | |
Series 2014-1A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.13%) | |
1.26% | | | 01/17/31 | 1,2,3 | | | 85,000 | | | | 85,014 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-WCW3, Class M1 | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | | 08/25/35 | 2 | | | 57,707 | | | | 58,525 | |
PHEAA Student Loan Trust, | |
Series 2016-1A, Class A | |
(LIBOR USD 1-Month plus 1.15%) | |
1.24% | | | 09/25/65 | 1,2 | | | 60,519 | | | | 61,543 | |
Progress Residential Trust, | |
Series 2019-SFR4, Class A | |
2.69% | | | 10/17/36 | 1 | | | 100,000 | | | | 101,264 | |
Residential Asset Mortgage Products Trust, | |
Series 2005-RZ3, Class M3 | |
(LIBOR USD 1-Month plus 0.55%) | |
0.91% | | | 09/25/35 | 2 | | | 21,470 | | | | 21,488 | |
Residential Asset Mortgage Products Trust, | |
Series 2006-NC3, Class M1 | |
(LIBOR USD 1-Month plus 0.34%) | |
0.60% | | | 03/25/36 | 2 | | | 100,000 | | | | 95,940 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 20 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Residential Asset Securities Corp., | |
Series 2005-AHL2, Class M1 | |
(LIBOR USD 1-Month plus 0.63%) | |
0.72% | | | 10/25/35 | 2 | | $ | 107,903 | | | $ | 107,880 | |
Rockford Tower CLO Ltd., | |
Series 2017-3A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.19%) | |
1.32% | | | 10/20/30 | 1,2,3 | | | 130,000 | | �� | | 130,015 | |
SLM Student Loan Trust, | |
Series 2003-10A, Class A3 | |
(LIBOR USD 3-Month plus 0.47%) | |
0.59% | | | 12/15/27 | 1,2 | | | 14,686 | | | | 14,690 | |
SLM Student Loan Trust, | |
Series 2003-11, Class A6 | |
(LIBOR USD 3-Month plus 0.55%) | |
0.67% | | | 12/15/25 | 1,2 | | | 24,541 | | | | 24,545 | |
SLM Student Loan Trust, | |
Series 2004-1, Class A4 | |
(LIBOR USD 3-Month plus 0.26%) | |
0.39% | | | 10/27/25 | 2 | | | 33,660 | | | | 33,615 | |
SLM Student Loan Trust, | |
Series 2005-4, Class A3 | |
(LIBOR USD 3-Month plus 0.12%) | |
0.25% | | | 01/25/27 | 2 | | | 50,809 | | | | 50,706 | |
SLM Student Loan Trust, | |
Series 2005-5, Class A4 | |
(LIBOR USD 3-Month plus 0.14%) | |
0.27% | | | 10/25/28 | 2 | | | 103,037 | | | | 102,630 | |
SLM Student Loan Trust, | |
Series 2005-7, Class A4 | |
(LIBOR USD 3-Month plus 0.15%) | |
0.28% | | | 10/25/29 | 2 | | | 250,393 | | | | 249,499 | |
SLM Student Loan Trust, | |
Series 2005-8, Class A4 | |
(LIBOR USD 3-Month plus 0.55%) | |
0.68% | | | 01/25/28 | 2 | | | 2,602 | | | | 2,602 | |
SLM Student Loan Trust, | |
Series 2008-5, Class A4 | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | | 07/25/23 | 2 | | | 104,665 | | | | 105,704 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(LIBOR USD 3-Month plus 1.10%) | |
1.23% | | | 07/25/23 | 2 | | | 147,611 | | | | 148,439 | |
SLM Student Loan Trust, | |
Series 2008-9, Class A | |
(LIBOR USD 3-Month plus 1.50%) | |
1.63% | | | 04/25/23 | 2 | | | 39,228 | | | | 39,504 | |
SLM Student Loan Trust, | |
Series 2011-2, Class A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 11/25/27 | 2 | | | 455 | | | | 455 | |
SLM Student Loan Trust, | |
Series 2012-1, Class A3 | |
(LIBOR USD 1-Month plus 0.95%) | |
1.04% | | | 09/25/28 | 2 | | | 147,983 | | | | 146,772 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2012-2, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | | 01/25/29 | 2 | | $ | 85,649 | | | $ | 84,336 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
0.64% | | | 06/25/43 | 2 | | | 5,906 | | | | 5,877 | |
Terwin NIMs Trust, | |
Series 2004-13AL, Class 2PX (IO) | |
0.34% | | | 08/25/34 | 1,4,5 | | | 1,717,237 | | | | 22,235 | |
Toyota Auto Receivables Owner Trust, | |
Series 2018-B, Class A4 | |
3.11% | | | 11/15/23 | | | | 270,000 | | | | 273,118 | |
| Wells Fargo Home Equity Asset-Backed Securities Trust, | | | | | |
Series 2005-4, Class M3 | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | | 12/25/35 | 2 | | | 100,000 | | | | 97,874 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
(Cost $6,742,124) | | | | 6,730,912 | |
| | | | | | | | | | | | |
|
CORPORATES — 24.18%* | |
|
Banking — 6.29% | |
Bank of America Corp. | |
3.00% | | | 12/20/23 | 6 | | | 91,000 | | | | 93,803 | |
Bank of America Corp. | |
(MTN) | |
3.46% | | | 03/15/25 | 6 | | | 550,000 | | | | 585,401 | |
Credit Suisse Group AG | |
(Switzerland) | |
2.59% | | | 09/11/25 | 1,3,6 | | | 80,000 | | | | 82,890 | |
Discover Bank | |
(BKNT) | |
4.20% | | | 08/08/23 | | | | 125,000 | | | | 133,413 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | | 09/30/25 | 1,3,6 | | | 200,000 | | | | 200,124 | |
HSBC Holdings PLC | |
(United Kingdom) | |
0.73% | | | 08/17/24 | 3,6 | | | 225,000 | | | | 225,193 | |
(LIBOR USD 3-Month plus 1.00%) | |
1.12% | | | 05/18/24 | 2,3 | | | 85,000 | | | | 85,972 | |
JPMorgan Chase & Co. | |
0.77% | | | 08/09/25 | 6 | | | 110,000 | | | | 109,584 | |
0.97% | | | 06/23/25 | 6 | | | 50,000 | | | | 50,069 | |
3.21% | | | 04/01/23 | 6 | | | 200,000 | | | | 202,812 | |
4.02% | | | 12/05/24 | 6 | | | 290,000 | | | | 310,668 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
2.91% | | | 11/07/23 | 3,6 | | | 200,000 | | | | 205,056 | |
3.87% | | | 07/09/25 | 3,6 | | | 60,000 | | | | 64,709 | |
Macquarie Group Ltd. | |
(Australia) | |
1.34% | | | 01/12/27 | 1,3,6 | | | 70,000 | | | | 69,420 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/25 | 3,6 | | | 105,000 | | | | 113,327 | |
See accompanying Notes to Financial Statements.
|
|
| 21 / Semi-Annual Report September 2021 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
CORPORATES (continued) | |
|
Banking (continued) | |
4.52% | | | 06/25/24 | 3,6 | | $ | 45,000 | | | $ | 47,910 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
4.80% | | | 11/15/24 | 3,6 | | | 75,000 | | | | 81,219 | |
UBS AG | |
(Switzerland) | |
0.70% | | | 08/09/24 | 1,3 | | | 200,000 | | | | 199,569 | |
| | | | | | | | | | | | |
| | | | 2,861,139 | |
| | | | | | | | | | | | |
|
Communications — 1.99% | |
AT&T, Inc. | |
(LIBOR USD 3-Month plus 1.18%) | |
1.29% | | | 06/12/24 | 2 | | | 175,000 | | | | 179,466 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
(LIBOR USD 3-Month plus 1.65%) | |
1.78% | | | 02/01/24 | 2 | | | 125,000 | | | | 128,582 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
8.50% | | | 10/15/24 | 1,3,7,8 | | | 20,000 | | | | 11,600 | |
9.75% | | | 07/15/25 | 1,3,7,8 | | | 61,000 | | | | 34,406 | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 100,000 | | | | 119,142 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
4.74% | | | 03/20/25 | 1 | | | 118,125 | | | | 126,305 | |
5.15% | | | 03/20/28 | 1 | | | 50,000 | | | | 57,203 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 113,000 | | | | 114,416 | |
2.63% | | | 04/15/26 | | | | 124,000 | | | | 126,862 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
5.50% | | | 05/15/29 | 1,3 | | | 5,000 | | | | 5,276 | |
| | | | | | | | | | | | |
| | | | 903,258 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.80% | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | | 05/15/25 | 1,3 | | | 100,000 | | | | 110,260 | |
Hyatt Hotels Corp. | |
1.30% | | | 10/01/23 | | | | 140,000 | | | | 140,198 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.75% | | | 07/21/22 | 1,3 | | | 110,000 | | | | 112,188 | |
| | | | | | | | | | | | |
| | | | 362,646 | |
| | | | | | | | | | | | |
|
Electric — 1.06% | |
Alliant Energy Finance LLC | |
3.75% | | | 06/15/23 | 1 | | | 140,000 | | | | 146,830 | |
Dominion Energy, Inc., | |
Series B | |
2.75% | | | 09/15/22 | | | | 150,000 | | | | 152,637 | |
El Paso Electric Co. | |
3.30% | | | 12/15/22 | | | | 50,000 | | | | 51,258 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Electric (continued) | |
FirstEnergy Transmission LLC | |
2.87% | | | 09/15/28 | 1 | | $ | 128,000 | | | $ | 133,718 | |
| | | | | | | | | | | | |
| | | | 484,443 | |
| | | | | | | | | | | | |
|
Energy — 0.82% | |
Antero Resources Corp. | |
8.38% | | | 07/15/26 | 1 | | | 9,000 | | | | 10,240 | |
Energy Transfer LP | |
4.25% | | | 04/01/24 | | | | 150,000 | | | | 160,634 | |
5.50% | | | 06/01/27 | | | | 12,000 | | | | 14,087 | |
Occidental Petroleum Corp. | |
0.00% | | | 10/10/36 | 9 | | | 25,000 | | | | 13,813 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 125,000 | | | | 138,721 | |
Transocean Phoenix 2 Ltd. | |
(Cayman Islands) | |
7.75% | | | 10/15/24 | 1,3 | | | 11,550 | | | | 11,795 | |
Transocean Pontus Ltd. | |
(Cayman Islands) | |
6.13% | | | 08/01/25 | 1,3 | | | 4,020 | | | | 4,033 | |
Transocean Poseidon Ltd. | |
(Cayman Islands) | |
6.88% | | | 02/01/27 | 1,3 | | | 18,000 | | | | 17,938 | |
Transocean Proteus Ltd. | |
(Cayman Islands) | |
6.25% | | | 12/01/24 | 1,3 | | | 2,200 | | | | 2,210 | |
| | | | | | | | | | | | |
| | | | 373,471 | |
| | | | | | | | | | | | |
|
Finance — 5.74% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
4.45% | | | 12/16/21 | 3 | | | 150,000 | | | | 150,712 | |
Air Lease Corp. | |
2.25% | | | 01/15/23 | | | | 75,000 | | | | 76,655 | |
3.50% | | | 01/15/22 | | | | 65,000 | | | | 65,564 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 1,3 | | | 5,000 | | | | 4,922 | |
Citigroup, Inc. | |
2.88% | | | 07/24/23 | 6 | | | 225,000 | | | | 229,397 | |
3.35% | | | 04/24/25 | 6 | | | 290,000 | | | | 308,095 | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | | 07/24/23 | 2 | | | 30,000 | | | | 30,191 | |
Daimler Finance North America LLC | |
1.75% | | | 03/10/23 | 1 | | | 75,000 | | | | 76,378 | |
(LIBOR USD 3-Month plus 0.90%) | |
1.02% | | | 02/15/22 | 1,2 | | | 150,000 | | | | 150,481 | |
Ford Motor Credit Co. LLC | |
3.81% | | | 10/12/21 | | | | 35,000 | | | | 35,061 | |
General Motors Financial Co., Inc. | |
4.20% | | | 11/06/21 | | | | 60,000 | | | | 60,204 | |
Goldman Sachs Group, Inc. (The) | |
2.88% | | | 10/31/22 | 6 | | | 170,000 | | | | 170,349 | |
3.27% | | | 09/29/25 | 6 | | | 40,000 | | | | 42,784 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 22 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
Goldman Sachs Group, Inc. (The) | |
(MTN) | |
(LIBOR USD 3-Month plus 1.60%) | |
1.72% | | | 11/29/23 | 2 | | $ | 75,000 | | | $ | 77,160 | |
Goldman Sachs Group, Inc. (The), | |
Series FXD | |
0.48% | | | 01/27/23 | | | | 275,000 | | | | 275,045 | |
Morgan Stanley | |
(MTN) | |
0.53% | | | 01/25/24 | 6 | | | 150,000 | | | | 150,109 | |
2.72% | | | 07/22/25 | 6 | | | 400,000 | | | | 419,121 | |
Nationwide Building Society | |
(United Kingdom) | |
3.62% | | | 04/26/23 | 1,3,6 | | | 90,000 | | | | 91,573 | |
4.36% | | | 08/01/24 | 1,3,6 | | | 75,000 | | | | 79,844 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | | 03/15/23 | 1,3 | | | 110,000 | | | | 114,970 | |
| | | | | | | | | | | | |
| | | | 2,608,615 | |
| | | | | | | | | | | | |
|
Food — 0.26% | |
Smithfield Foods, Inc. | |
3.35% | | | 02/01/22 | 1 | | | 115,000 | | | | 116,107 | |
| | | | | | | | | | | | |
|
Health Care — 2.47% | |
AbbVie, Inc. | |
3.45% | | | 03/15/22 | | | | 50,000 | | | | 50,449 | |
3.75% | | | 11/14/23 | | | | 125,000 | | | | 133,209 | |
Bayer U.S. Finance II LLC | |
2.20% | | | 07/15/22 | 1 | | | 150,000 | | | | 151,594 | |
Catalent Pharma Solutions, Inc. | |
3.50% | | | 04/01/30 | 1 | | | 14,000 | | | | 13,983 | |
Dignity Health | |
3.13% | | | 11/01/22 | | | | 50,000 | | | | 51,392 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | |
6.00% | | | 06/30/28 | 1,3 | | | 21,000 | | | | 15,172 | |
Fresenius Medical Care U.S. Finance II, Inc. | |
5.88% | | | 01/31/22 | 1 | | | 100,000 | | | | 101,748 | |
Fresenius U.S. Finance II, Inc. | |
4.50% | | | 01/15/23 | 1 | | | 75,000 | | | | 77,990 | |
HCA, Inc. | |
5.00% | | | 03/15/24 | | | | 75,000 | | | | 82,314 | |
Humana, Inc. | |
0.65% | | | 08/03/23 | | | | 85,000 | | | | 85,058 | |
3.85% | | | 10/01/24 | | | | 130,000 | | | | 140,734 | |
Mozart Debt Merger Sub, Inc. | |
3.88% | | | 04/01/29 | 1 | | | 32,000 | | | | 32,000 | |
Royalty Pharma PLC | |
(United Kingdom) | |
0.75% | | | 09/02/23 | 3 | | | 85,000 | | | | 85,271 | |
Viatris, Inc. | |
1.13% | | | 06/22/22 | 1 | | | 100,000 | | | | 100,542 | |
| | | | | | | | | | | | |
| | | | 1,121,456 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Industrials — 0.95% | |
Artera Services LLC | |
9.03% | | | 12/04/25 | 1 | | $ | 9,000 | | | $ | 9,774 | |
Berry Global, Inc. | |
0.95% | | | 02/15/24 | 1 | | | 110,000 | | | | 110,169 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | | 05/05/26 | 2 | | | 30,000 | | | | 29,710 | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 2 | | | 75,000 | | | | 65,473 | |
General Electric Co., | |
Series NOTZ (MTN) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 04/15/23 | 2 | | | 50,000 | | | | 50,414 | |
Mauser Packaging Solutions Holding Co. | |
5.50% | | | 04/15/24 | 1 | | | 5,000 | | | | 5,050 | |
Sealed Air Corp. | |
4.00% | | | 12/01/27 | 1 | | | 5,000 | | | | 5,344 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | | 03/22/23 | 1,3 | | | 150,000 | | | | 156,733 | |
| | | | | | | | | | | | |
| | | | 432,667 | |
| | | | | | | | | | | | |
|
Information Technology — 0.73% | |
NXP BV/NXP Funding LLC | |
(Netherlands) | |
3.88% | | | 09/01/22 | 1,3 | | | 100,000 | | | | 102,993 | |
4.63% | | | 06/01/23 | 1,3 | | | 10,000 | | | | 10,646 | |
Skyworks Solutions, Inc. | |
0.90% | | | 06/01/23 | | | | 110,000 | | | | 110,223 | |
VMware, Inc. | |
1.00% | | | 08/15/24 | | | | 110,000 | | | | 110,391 | |
| | | | | | | | | | | | |
| | | | 334,253 | |
| | | | | | | | | | | | |
|
Insurance — 0.32% | |
Athene Global Funding | |
(SOFR Rate plus 0.70%) | |
0.75% | | | 05/24/24 | 1,2 | | | 85,000 | | | | 85,421 | |
Nationwide Mutual Insurance Co. | |
2.41% | | | 12/15/24 | 1,6 | | | 60,000 | | | | 60,071 | |
| | | | | | | | | | | | |
| | | | 145,492 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 2.03% | |
| American Campus Communities Operating Partnership LP | | | | | |
3.75% | | | 04/15/23 | | | | 115,000 | | | | 119,772 | |
Camden Property Trust | |
2.95% | | | 12/15/22 | | | | 55,000 | | | | 56,271 | |
CyrusOne LP/CyrusOne Finance Corp. | |
2.90% | | | 11/15/24 | | | | 140,000 | | | | 146,892 | |
GLP Capital LP/GLP Financing II, Inc. | |
3.35% | | | 09/01/24 | | | | 25,000 | | | | 26,519 | |
5.38% | | | 11/01/23 | | | | 190,000 | | | | 205,193 | |
Healthpeak Properties, Inc. | |
4.00% | | | 06/01/25 | | | | 60,000 | | | | 65,562 | |
Host Hotels & Resorts LP, | |
Series D | |
3.75% | | | 10/15/23 | | | | 100,000 | | | | 104,837 | |
|
| See accompanying Notes to Financial Statements. |
|
| 23 / Semi-Annual Report September 2021 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Real Estate Investment Trust (REIT) (continued) | |
Kimco Realty Corp. | |
3.40% | | | 11/01/22 | | | $ | 100,000 | | | $ | 102,747 | |
| MGM Growth Properties Operating Partnership LP/MGP | | | | | |
Finance Co.-Issuer, Inc. | |
4.50% | | | 01/15/28 | | | | 6,000 | | | | 6,567 | |
Post Apartment Homes LP | |
3.38% | | | 12/01/22 | | | | 37,000 | | | | 37,965 | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | | 50,000 | | | | 51,255 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 923,580 | |
| | | | | | | | | | | | |
|
Retail — 0.14% | |
7-Eleven, Inc. | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | | 08/10/22 | 1,2 | | | 44,000 | | | | 44,011 | |
Michaels Cos., Inc. (The) | |
5.25% | | | 05/01/28 | 1 | | | 20,000 | | | | 20,655 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 64,666 | |
| | | | | | | | | | | | |
|
Services — 0.26% | |
IHS Markit Ltd. | |
(Bermuda) | |
5.00% | | | 11/01/22 | 1,3 | | | 115,000 | | | | 119,389 | |
| | | | | | | | | | | | |
|
Transportation — 0.32% | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class A | |
5.98% | | | 04/19/22 | | | | 71,777 | | | | 72,721 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A1 | |
7.04% | | | 04/01/22 | | | | 32,002 | | | | 32,814 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 37,464 | | | | 39,659 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 145,194 | |
| | | | | | | | | | | | |
| | |
Total Corporates | | | | | | | | | |
(Cost $10,916,116) | | | | 10,996,376 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 18.82%** | |
|
Non-Agency Commercial Mortgage-Backed — 9.80% | |
1345 Avenue of the Americas & Park Avenue Plaza Trust, | |
Series 2005-1, Class A3 | |
5.28% | | | 08/10/35 | 1 | | | 47,016 | | | | 49,437 | |
Banc of America Commercial Mortgage Trust, | |
Series 2017-BNK3, Class A2 | |
3.12% | | | 02/15/50 | | | | 125,500 | | | | 126,260 | |
BANK, | |
Series 2017-BNK9, Class A1 | |
2.32% | | | 11/15/54 | | | | 103,698 | | | | 104,156 | |
BANK, | | | | | | | | | | | | |
Series 2018-BN14, Class A2 | |
4.13% | | | 09/15/60 | | | | 125,000 | | | | 131,059 | |
| Barclays Commercial Mortgage Securities Trust, Series 2018-BXH, Class A | |
(LIBOR USD 1-Month plus 1.00%) | |
1.08% | | | 10/15/37 | 1,2 | | | 119,346 | | | | 119,644 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
Benchmark Mortgage Trust, | |
Series 2018-B6, Class A2 | |
4.20% | | | 10/10/51 | | | $ | 198,930 | | | $ | 207,125 | |
BFLD Trust, | | | | | | | | | | | | |
Series 2020-EYP, Class A | |
(LIBOR USD 1-Month plus 1.15%) | |
1.23% | | | 10/15/35 | 1,2 | | | 125,000 | | | | 125,913 | |
BX Commercial Mortgage Trust, | |
Series 2018-IND, Class B | |
(LIBOR USD 1-Month plus 0.90%) | |
0.98% | | | 11/15/35 | 1,2 | | | 154,000 | | | | 154,124 | |
BX Trust, | |
Series 2019-MMP, Class A | |
(LIBOR USD 1-Month plus 1.00%) | |
1.08% | | | 08/15/36 | 1,2 | | | 233,830 | | | | 234,062 | |
BXMT Ltd., | |
Series 2020-FL3, Class A | |
(Cayman Islands) | |
(SOFR30A plus 1.51%) | |
1.56% | | | 03/15/37 | 1,2,3 | | | 410,000 | | | | 411,970 | |
CD Mortgage Trust, | |
Series 2017-CD4, Class A2 | |
3.03% | | | 05/10/50 | | | | 143,000 | | | | 144,492 | |
Citigroup Commercial Mortgage Trust | |
Series 2013-375P, Class A | |
3.25% | | | 05/10/35 | 1 | | | 97,000 | | | | 100,318 | |
Citigroup Commercial Mortgage Trust, | |
Series 2012-GC8, Class AAB | |
2.61% | | | 09/10/45 | | | | 22,256 | | | | 22,404 | |
Citigroup Commercial Mortgage Trust, | |
Series 2013-GC11, Class AAB | |
2.69% | | | 04/10/46 | | | | 34,362 | | | | 34,767 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-GC29, Class AAB | |
2.98% | | | 04/10/48 | | | | 62,086 | | | | 64,245 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-P1, Class AAB | |
3.47% | | | 09/15/48 | | | | 43,391 | | | | 45,551 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class A3 | |
2.82% | | | 10/15/45 | | | | 110,500 | | | | 112,066 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class ASB | |
2.37% | | | 10/15/45 | | | | 10,336 | | | | 10,406 | |
Commercial Mortgage Trust, | |
Series 2012-CR4, Class XA (IO) | |
1.84% | | | 10/15/45 | 6 | | | 323,186 | | | | 4,141 | |
Commercial Mortgage Trust, | |
Series 2013-CR11, Class ASB | |
3.66% | | | 08/10/50 | | | | 8,694 | | | | 8,937 | |
Commercial Mortgage Trust, | |
Series 2013-CR7, Class XA (IO) | |
1.32% | | | 03/10/46 | 6 | | | 1,196,548 | | | | 16,344 | |
Commercial Mortgage Trust, | |
Series 2013-LC6, Class XB (IO) | |
0.51% | | | 01/10/46 | 1,6 | | | 1,750,000 | | | | 7,872 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 24 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2015-LC23, Class A2 | |
3.22% | | | 10/10/48 | | | $ | 125,159 | | | $ | 125,196 | |
Commercial Mortgage Trust, | |
Series 2015-PC1, Class A4 | |
3.62% | | | 07/10/50 | | | | 138,567 | | | | 144,075 | |
CSAIL Commercial Mortgage Trust, | |
Series 2017-CX9, Class A2 | |
3.05% | | | 09/15/50 | | | | 150,000 | | | | 152,471 | |
GS Mortgage Securities Trust, | |
Series 2010-C1, Class X (IO) | |
0.89% | | | 08/10/43 | 1,6 | | | 3,032,471 | | | | 36,732 | |
GS Mortgage Securities Trust, | |
Series 2011-GC3, Class X (IO) | |
0.42% | | | 03/10/44 | 1,6 | | | 438,743 | | | | 1,332 | |
GS Mortgage Securities Trust, | |
Series 2012-GCJ7, Class A4 | |
3.38% | | | 05/10/45 | | | | 17,368 | | | | 17,410 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2013-C17, Class XA (IO) | |
0.89% | | | 01/15/47 | 6 | | | 1,607,767 | | | | 21,981 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C19, Class A3 | |
3.67% | | | 04/15/47 | | | | 88,306 | | | | 89,141 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C24, Class A3 | |
3.10% | | | 11/15/47 | | | | 270,000 | | | | 279,686 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C32, Class A2 | |
2.82% | | | 11/15/48 | | | | 178,004 | | | | 179,664 | |
JPMCC Commercial Mortgage Securities Trust, | |
Series 2017-JP5, Class A2 | |
3.24% | | | 03/15/50 | | | | 43,832 | | | | 44,093 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C6, Class ASB | |
3.14% | | | 05/15/45 | | | | 32,730 | | | | 32,867 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-C13, Class XA (IO) | |
0.21% | | | 01/15/46 | 6 | | | 8,453,323 | | | | 14,314 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | |
1.38% | | | 04/15/46 | 6 | | | 3,177,105 | | | | 45,451 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2015-JP1, Class XA (IO) | |
1.06% | | | 01/15/49 | 4,5,6 | | | 703,217 | | | | 22,939 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2006-C6, Class XCL (IO) | |
0.77% | | | 09/15/39 | 1,6 | | | 303,520 | | | | 40 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2012-C6, Class A4 | |
2.86% | | | 11/15/45 | | | | 138,925 | | | | 140,736 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2013-C13, Class ASB | |
3.56% | | | 11/15/46 | | | | 9,549 | | | | 9,807 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2014-C14, Class XA (IO) | |
1.15% | | | 02/15/47 | 6 | | $ | 1,289,572 | | | $ | 23,264 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C26, Class ASB | |
3.32% | | | 10/15/48 | | | | 64,837 | | | | 67,986 | |
One New York Plaza Trust, | |
Series 2020-1NYP, Class A | |
(LIBOR USD 1-Month plus 0.95%) | |
1.03% | | | 01/15/26 | 1,2 | | | 94,000 | | | | 94,455 | |
TMSQ Mortgage Trust, | |
Series 2014-1500, Class XA (IO) | |
0.28% | | | 10/10/36 | 1,6 | | | 14,000,000 | | | | 71,206 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C3, Class XB (IO) | |
0.32% | | | 08/10/49 | 1,4,5,6 | | | 3,000,000 | | | | 6,204 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class A4 | |
3.55% | | | 08/15/50 | | | | 168,100 | | | | 174,321 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-NXS6, Class A2 | |
2.40% | | | 11/15/49 | | | | 106,166 | | | | 106,274 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2017-C38, Class A2 | |
3.04% | | | 07/15/50 | | | | 88,561 | | | | 89,392 | |
WF-RBS Commercial Mortgage Trust | |
Series 2014-C20, Class A4 | �� |
3.72% | | | 05/15/47 | | | | 165,654 | | | | 171,199 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C21, Class ASB | |
3.39% | | | 08/15/47 | | | | 31,622 | | | | 32,630 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-LC14, Class ASB | |
3.52% | | | 03/15/47 | | | | 23,392 | | | | 24,044 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,454,203 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 2.81% | |
Alternative Loan Trust, | |
Series 2005-J4, Class M2 | |
(LIBOR USD 1-Month plus 0.96%) | |
1.05% | | | 07/25/35 | 2 | | | 174,021 | | | | 174,227 | |
Alternative Loan Trust, | |
Series 2007-22, Class 2A16 | |
6.50% | | | 09/25/37 | | | | 204,606 | | | | 117,855 | |
Banc of America Funding Trust, | |
Series 2006-G, Class 2A4 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 07/20/36 | 2 | | | 2,592 | | | | 2,596 | |
Banc of America Funding Trust, | |
Series 2014-R7, Class 1A1 | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | | 05/26/36 | 1,2 | | | 49,479 | | | | 48,372 | |
|
| See accompanying Notes to Financial Statements. |
|
| 25 / Semi-Annual Report September 2021 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | |
Banc of America Funding Trust, | |
Series 2015-R7, Class 1A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.92%) | | | | | |
1.02% | | | 09/26/46 | 1,2 | | $ | 70,922 | | | $ | 71,122 | |
CIM Trust, | |
Series 2019-R1, Class A | |
3.25% | | | 10/25/58 | 1,6 | | | 117,640 | | | | 109,801 | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | | 06/25/57 | 1,6 | | | 165,656 | | | | 166,406 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 05/25/35 | 2 | | | 49,861 | | | | 42,909 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR3, Class 2A2A | |
(LIBOR USD 1-Month plus 0.74%) | |
0.83% | | | 07/19/44 | 2 | | | 2,828 | | | | 2,761 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
2.98% | | | 04/19/36 | 6 | | | 71,312 | | | | 62,869 | |
HarborView Mortgage Loan Trust, | |
Series 2005-4, Class 2A | |
2.59% | | | 07/19/35 | 6 | | | 1,074 | | | | 974 | |
HarborView Mortgage Loan Trust, | |
Series 2005-9, Class 2A1A | |
(LIBOR USD 1-Month plus 0.68%) | |
0.77% | | | 06/20/35 | 2 | | | 132,154 | | | | 130,498 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR5, Class 2A1A | |
(LIBOR USD 1-Month plus 0.86%) | |
0.95% | | | 08/25/34 | 2 | | | 7,451 | | | | 7,190 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR4, Class A1A | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 05/25/46 | 2 | | | 92,420 | | | | 89,613 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR1, Class 2A1 | |
2.91% | | | 06/25/37 | 6 | | | 68,755 | | | | 55,619 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL1, Class A2 | |
8.50% | | | 11/25/31 | | | | 4,097 | | | | 1 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR1, Class 3A1 | |
(LIBOR USD 1-Month plus 0.46%) | |
0.55% | | | 02/25/36 | 2 | | | 71,280 | | | | 69,108 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR6, Class A | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.40%) | | | | | |
1.49% | | | 06/25/42 | 2 | | | 1,487 | | | | 1,489 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR8, Class 2AB2 | |
(LIBOR USD 1-Month plus 0.84%) | |
0.93% | | | 07/25/45 | 2 | | | 112,581 | | | | 113,415 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Wells Fargo Alternative Loan Trust, | |
Series 2005-2, Class M1 | |
(LIBOR USD 1-Month plus 0.68%) | |
0.76% | | | 10/25/35 | 2 | | $ | 1,771 | | | $ | 1,796 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2003-I, Class A1 | |
2.38% | | | 09/25/33 | 6 | | | 9,700 | | | | 9,733 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,278,354 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 3.41% | |
Fannie Mae-Aces, | |
Series 2015-M4, Class X2 (IO) | |
0.61% | | | 07/25/22 | 6 | | | 6,939,255 | | | | 1,224 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K031, Class X1 (IO) | |
0.30% | | | 04/25/23 | 6 | | | 7,640,564 | | | | 21,689 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K033, Class X1 (IO) | |
0.40% | | | 07/25/23 | 6 | | | 4,040,260 | | | | 18,999 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K036, Class X1 (IO) | |
0.85% | | | 10/25/23 | 6 | | | 5,218,289 | | | | 65,577 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K044, Class X1 (IO) | |
0.84% | | | 01/25/25 | 6 | | | 1,396,800 | | | | 26,232 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K732, Class X3 (IO) | |
2.25% | | | 05/25/46 | 6 | | | 250,000 | | | | 18,792 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC01, Class X1 (IO) | |
0.55% | | | 12/25/22 | 6 | | | 4,167,165 | | | | 18,137 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.34% | | | 06/25/27 | 6 | | | 995,810 | | | | 47,028 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF28, Class A | |
(LIBOR USD 1-Month plus 0.36%) | |
0.44% | | | 01/25/24 | 2 | | | 262,946 | | | | 263,276 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF88, Class AL | |
(LIBOR USD 1-Month plus 0.33%) | |
0.41% | | | 09/25/30 | 2 | | | 265,691 | | | | 266,898 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR1, Class A1 | |
2.45% | | | 03/25/26 | | | | 204,690 | | | | 211,982 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 26 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR1, Class X (IO) | |
1.19% | | | 03/25/26 | 6 | | $ | 904,926 | | | $ | 36,054 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR2, Class A1 | |
2.75% | | | 03/25/27 | | | | 227,971 | | | | 238,826 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ30, Class A1 | |
0.53% | | | 01/25/25 | | | | 245,615 | | | | 244,758 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.77% | | | 09/25/25 | 6 | | | 2,951,207 | | | | 73,063 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,552,535 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 2.80% | |
Fannie Mae Pool 802665 | |
(LIBOR USD 6-Month plus 1.74%) | |
1.99% | | | 12/01/34 | 2 | | | 627 | | | | 631 | |
Fannie Mae Pool AL0851 | |
6.00% | | | 10/01/40 | | | | 2,386 | | | | 2,790 | |
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 | | | 7,903 | | | | 369 | |
Fannie Mae REMICS, | |
Series 2002-21, Class FB | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 04/25/32 | 2 | | | 33,071 | | | | 33,439 | |
Fannie Mae REMICS, | |
Series 2002-53, Class FY | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 08/25/32 | 2 | | | 88,423 | | | | 89,450 | |
Fannie Mae REMICS, | |
Series 2003-11, Class FA | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | | 09/25/32 | 2 | | | 4,678 | | | | 4,744 | |
Fannie Mae REMICS, | |
Series 2003-81, Class FE | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 09/25/33 | 2 | | | 33,381 | | | | 33,731 | |
Fannie Mae REMICS, | |
Series 2006-48, Class FL | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | | 06/25/36 | 2 | | | 42,809 | | | | 43,096 | |
Fannie Mae REMICS, | |
Series 2006-8, Class NF | |
(LIBOR USD 1-Month plus 0.37%) | |
0.46% | | | 03/25/36 | 2 | | | 39,523 | | | | 39,853 | |
Fannie Mae REMICS, | |
Series 2008-12, Class FA | |
(LIBOR USD 1-Month plus 0.67%) | |
0.76% | | | 03/25/38 | 2 | | | 120,455 | | | | 122,658 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
0.49% | | | 10/25/40 | 2 | | $ | 4,023 | | | $ | 4,058 | |
Fannie Mae REMICS, | |
Series 2010-74, Class AF | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | | 07/25/37 | 2 | | | 37,938 | | | | 38,584 | |
Freddie Mac REMICS, | |
Series 2684, Class F | |
(LIBOR USD 1-Month plus 0.90%) | |
0.98% | | | 01/15/33 | 2 | | | 4,197 | | | | 4,296 | |
Freddie Mac REMICS, | |
Series 3231, Class FB | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | | 10/15/36 | 2 | | | 72,017 | | | | 72,595 | |
Freddie Mac Strips, | |
Series 263, Class F5 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 06/15/42 | 2 | | | 10,954 | | | | 11,058 | |
UMBS (TBA) | |
2.50% | | | 11/01/51 | | | | 750,000 | | | | 771,766 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,273,118 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $9,001,956) | | | | 8,558,210 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 1.70%* | |
|
California — 0.45% | |
State of California General Obligation, Series B | |
2.50% | | | 10/01/22 | | | | 200,000 | | | | 204,520 | |
| | | | | | | | | | | | |
|
Colorado — 0.30% | |
| City & County of Denver Airport System Revenue Bonds, Series C | | | | | |
0.88% | | | 11/15/23 | | | | 135,000 | | | | 136,289 | |
| | | | | | | | | | | | |
|
Florida — 0.20% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
2.32% | | | 10/01/22 | | | | 90,000 | | | | 91,777 | |
| | | | | | | | | | | | |
|
Maryland — 0.24% | |
| City of Baltimore General Obligation, School Improvements, Series C | | | | | |
5.00% | | | 10/15/25 | | | | 100,000 | | | | 110,773 | |
| | | | | | | | | | | | |
|
New York — 0.51% | |
City of New York General Obligation, Series D | |
0.43% | | | 08/01/22 | | | | 230,000 | | | | 230,451 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $772,448) | | | | 773,810 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 4.96% | |
|
U.S. Treasury Notes — 4.96% | |
U.S. Treasury Notes | |
0.13% | | | 07/31/23 | | | | 95,000 | | | | 94,805 | |
|
| See accompanying Notes to Financial Statements. |
|
| 27 / Semi-Annual Report September 2021 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes (continued) | |
0.25% | | | 09/30/23 | | | $ | 155,000 | | | $ | 154,891 | |
1.75% | | | 11/30/21 | | | | 2,000,000 | | | | 2,005,586 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $2,255,367) | | | | 2,255,282 | |
| | | | | | | | | | | | |
| |
Total Bonds — 64.46% | | | | | |
(Cost $29,688,011) | | | | 29,314,590 | |
| | | | | | | | | | | | |
| | | | | |
| | | |
| Issues | | | | Shares | | | Value |
| |
MUTUAL FUNDS — 23.49% | | | | | |
Mutual Funds — 23.49% | | | | | |
| iShares Core S&P 500 ETF | | | | 3,845 | | | | 1,656,503 | |
| SPDR S&P 500 ETF Trust10 | | | | 21,035 | | | | 9,026,960 | |
| | | | | | | | | | | | |
| |
Total Mutual Funds | | | | | |
(Cost $9,639,610) | | | | 10,683,463 | |
| | | | | | | | | | | | |
| | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 7.85% | | | | | |
Money Market Funds — 0.16% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%11 | | | | | | | 71,068 | | | | 71,068 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 4.39% | |
Federal Home Loan Bank | | | | | |
0.04%12 | | | 10/15/21 | | | | 2,000,000 | | | | 1,999,992 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 3.30% | |
U.S. Treasury Bills | |
0.05%12 | | | 10/07/21 | | | | 1,500,000 | | | | 1,499,993 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $3,571,023) | | | | 3,571,053 | |
| | | | | | | | | | | | |
| |
Total Investments - 95.80% | | | | | |
(Cost $42,898,644) | | | | 43,569,106 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities - 4.20% | | | | 1,910,382 | |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 45,479,488 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $51,378, which is 0.11% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Non-income producing security. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 10 | 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. |
| 11 | Represents the current yield as of September 30, 2021. |
| 12 | Represents annualized yield at date of purchase. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Bank Note
(CLO): Collateralized Loan Obligation
(ETF): Exchange-Traded Fund
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(S&P): Standard & Poor’s
(SOFR): Secured Overnight Financing Rate
(SPDR): Standard & Poor’s Depositary Receipts
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
| | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
(Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
S&P 500 E-mini Index | | 160 | | | 12/17/21 | | | $ | 34,376,000 | | | $ | (1,749,338 | ) | | $ | (1,749,338 | ) |
| | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 28 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 95.01% | |
|
ASSET-BACKED SECURITIES — 0.29%** | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 12/30/99 | 1,2 | | $ | 43,567 | | | $ | 43,691 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $43,567) | |
|
CORPORATES — 82.84%* | |
|
Banking — 11.38% | |
Bank of America Corp. | |
1.73% | | | 07/22/27 | 3 | | | 200,000 | | | | 201,097 | |
3.00% | | | 12/20/23 | 3 | | | 35,000 | | | | 36,078 | |
Bank of America Corp. | |
(MTN) | |
2.09% | | | 06/14/29 | 3 | | | 110,000 | | | | 109,926 | |
3.97% | | | 03/05/29 | 3 | | | 20,000 | | | | 22,226 | |
4.08% | | | 03/20/51 | 3 | | | 20,000 | | | | 23,653 | |
4.27% | | | 07/23/29 | 3 | | | 15,000 | | | | 17,036 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 3,4,5 | | | 30,000 | | | | 29,369 | |
2.19% | | | 06/05/26 | 3,4,5 | | | 25,000 | | | | 25,503 | |
3.09% | | | 05/14/32 | 3,4,5 | | | 10,000 | | | | 10,262 | |
4.55% | | | 04/17/26 | 5 | | | 5,000 | | | | 5,619 | |
Discover Bank | |
(BKNT) | |
3.45% | | | 07/27/26 | | | | 25,000 | | | | 27,119 | |
4.20% | | | 08/08/23 | | | | 10,000 | | | | 10,673 | |
DNB Bank ASA | |
(Norway) | |
1.13% | | | 09/16/26 | 3,4,5 | | | 50,000 | | | | 49,489 | |
Fifth Third Bancorp | |
2.55% | | | 05/05/27 | | | | 40,000 | | | | 42,073 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.21% | | | 08/17/29 | 3,5 | | | 120,000 | | | | 119,172 | |
JPMorgan Chase & Co. | |
1.58% | | | 04/22/27 | 3 | | | 50,000 | | | | 50,113 | |
2.07% | | | 06/01/29 | 3 | | | 15,000 | | | | 15,054 | |
2.58% | | | 04/22/32 | 3 | | | 10,000 | | | | 10,146 | |
3.11% | | | 04/22/51 | 3 | | | 70,000 | | | | 71,229 | |
4.01% | | | 04/23/29 | 3 | | | 20,000 | | | | 22,322 | |
4.02% | | | 12/05/24 | 3 | | | 55,000 | | | | 58,920 | |
4.20% | | | 07/23/29 | 3 | | | 25,000 | | | | 28,456 | |
4.49% | | | 03/24/31 | 3 | | | 35,000 | | | | 40,872 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | | 05/11/27 | 3,5 | | | 10,000 | | | | 9,995 | |
3.87% | | | 07/09/25 | 3,5 | | | 65,000 | | | | 70,101 | |
Macquarie Group Ltd. | |
(Australia) | |
1.34% | | | 01/12/27 | 3,4,5 | | | 20,000 | | | | 19,834 | |
1.63% | | | 09/23/27 | 3,4,5 | | | 30,000 | | | | 29,877 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/25 | 3,5 | | | 50,000 | | | | 53,965 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.09% | | | 03/15/25 | 3,5 | | $ | 80,000 | | | $ | 80,173 | |
3.57% | | | 01/10/23 | 5 | | | 15,000 | | | | 15,130 | |
State Street Corp. | | | | | |
3.78% | | | 12/03/24 | 3 | | | 5,000 | | | | 5,364 | |
Truist Financial Corp. | | | | | |
(MTN) | | | | | | | | | | | | |
1.89% | | | 06/07/29 | 3 | | | 30,000 | | | | 30,025 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | | | | | | | | |
2.16% | | | 02/11/26 | 3 | | | 20,000 | | | | 20,638 | |
2.39% | | | 06/02/28 | 3 | | | 275,000 | | | | 283,869 | |
3.58% | | | 05/22/28 | 3 | | | 25,000 | | | | 27,389 | |
5.01% | | | 04/04/51 | 3 | | | 15,000 | | | | 20,159 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,692,926 | |
| | | | | | | | | | | | |
| |
Communications —11.51% | | | | | |
AT&T, Inc. | | | | | | | | | | | | |
2.55% | | | 12/01/33 | | | | 70,000 | | | | 68,931 | |
3.80% | | | 12/01/57 | | | | 188,000 | | | | 192,724 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
2.30% | | | 02/01/32 | | | | 50,000 | | | | 47,678 | |
3.75% | | | 02/15/28 | | | | 45,000 | | | | 49,317 | |
5.38% | | | 05/01/47 | | | | 52,000 | | | | 62,437 | |
5.75% | | | 04/01/48 | | | | 20,000 | | | | 25,399 | |
Comcast Corp. | | | | | |
1.50% | | | 02/15/31 | | | | 85,000 | | | | 80,393 | |
2.89% | | | 11/01/51 | 4 | | | 25,000 | | | | 23,989 | |
3.97% | | | 11/01/47 | | | | 35,000 | | | | 39,819 | |
4.00% | | | 11/01/49 | | | | 15,000 | | | | 17,374 | |
Cox Communications, Inc. | | | | | |
2.60% | | | 06/15/31 | 4 | | | 40,000 | | | | 40,516 | |
3.15% | | | 08/15/24 | 4 | | | 18,000 | | | | 19,066 | |
Discovery Communications LLC | | | | | |
3.63% | | | 05/15/30 | | | | 45,000 | | | | 48,861 | |
Fox Corp. | | | | | | | | | | | | |
3.50% | | | 04/08/30 | | | | 25,000 | | | | 27,299 | |
Level 3 Financing, Inc. | | | | | |
3.88% | | | 11/15/29 | 4 | | | 24,000 | | | | 25,693 | |
Qwest Corp. | | | | | | | | | | | | |
7.25% | | | 09/15/25 | | | | 20,000 | | | | 23,828 | |
SES GLOBAL Americas Holdings GP | | | | | |
5.30% | | | 03/25/44 | 4 | | | 35,000 | | | | 40,104 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
4.74% | | | 03/20/25 | 4 | | | 87,500 | | | | 93,559 | |
5.15% | | | 03/20/28 | 4 | | | 15,000 | | | | 17,161 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
3.98% | | | 04/11/29 | 4,5 | | | 40,000 | | | | 43,955 | |
| | | | | | | | | | | | |
Time Warner Cable LLC | | | | | |
5.50% | | | 09/01/41 | | | | 33,000 | | | | 40,507 | |
T-Mobile USA, Inc. | | | | | |
2.55% | | | 02/15/31 | | | | 103,000 | | | | 103,434 | |
|
| See accompanying Notes to Financial Statements. |
|
| 29 / Semi-Annual Report September 2021 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
3.50% | | | 04/15/25 | | | $ | 15,000 | | | $ | 16,162 | |
3.75% | | | 04/15/27 | | | | 25,000 | | | | 27,555 | |
4.50% | | | 04/15/50 | | | | 22,000 | | | | 25,691 | |
Verizon Communications, Inc. | |
2.36% | | | 03/15/32 | 4 | | | 75,000 | | | | 74,274 | |
2.55% | | | 03/21/31 | | | | 107,000 | | | | 108,566 | |
4.02% | | | 12/03/29 | | | | 45,000 | | | | 51,068 | |
4.50% | | | 08/10/33 | | | | 95,000 | | | | 113,214 | |
ViacomCBS, Inc. | |
4.20% | | | 05/19/32 | | | | 20,000 | | | | 22,888 | |
4.60% | | | 01/15/45 | | | | 14,000 | | | | 16,720 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.13% | | | 05/30/25 | 5 | | | 21,000 | | | | 23,222 | |
4.25% | | | 09/17/50 | 5 | | | 41,000 | | | | 47,329 | |
Walt Disney Co. (The) | |
3.60% | | | 01/13/51 | | | | 38,000 | | | | 42,383 | |
6.20% | | | 12/15/34 | | | | 8,000 | | | | 11,330 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,712,446 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 3.73% | |
Altria Group, Inc. | |
3.70% | | | 02/04/51 | | | | 5,000 | | | | 4,706 | |
3.88% | | | 09/16/46 | | | | 11,000 | | | | 10,770 | |
5.95% | | | 02/14/49 | | | | 15,000 | | | | 19,118 | |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.70% | | | 02/01/36 | | | | 30,000 | | | | 36,304 | |
Anheuser-Busch InBev Worldwide, Inc. | |
4.50% | | | 06/01/50 | | | | 35,000 | | | | 41,919 | |
4.60% | | | 04/15/48 | | | | 77,000 | | | | 92,270 | |
4.75% | | | 01/23/29 | | | | 30,000 | | | | 35,349 | |
Bacardi Ltd. | |
(Bermuda) | |
4.70% | | | 05/15/28 | 4,5 | | | 75,000 | | | | 86,694 | |
BAT Capital Corp. | |
4.39% | | | 08/15/37 | | | | 45,000 | | | | 48,394 | |
4.54% | | | 08/15/47 | | | | 50,000 | | | | 51,880 | |
Constellation Brands, Inc. | |
3.75% | | | 05/01/50 | | | | 35,000 | | | | 38,107 | |
Hyatt Hotels Corp. | |
1.80% | | | 10/01/24 | | | | 45,000 | | | | 45,109 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
4.25% | | | 07/21/25 | 4,5 | | | 35,000 | | | | 38,175 | |
Reynolds American, Inc. | |
5.85% | | | 08/15/45 | | | | 5,000 | | | | 6,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 554,895 | |
| | | | | | | | | | | | |
|
Electric — 7.08% | |
AEP Transmission Co. LLC, | |
Series M | |
3.65% | | | 04/01/50 | | | | 10,000 | | | | 11,196 | |
AEP Transmission Co. LLC, | |
Series N | |
2.75% | | | 08/15/51 | | | | 50,000 | | | | 48,064 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
CORPORATES (continued) | |
|
Electric (continued) | |
Alabama Power Co. | |
5.50% | | | 03/15/41 | | | $ | 9,000 | | | $ | 11,889 | |
Alliant Energy Finance LLC | |
1.40% | | | 03/15/26 | 4 | | | 45,000 | | | | 44,429 | |
Ameren Corp. | |
3.50% | | | 01/15/31 | | | | 15,000 | | | | 16,323 | |
Appalachian Power Co. | |
4.45% | | | 06/01/45 | | | | 10,000 | | | | 11,949 | |
Appalachian Power Co., | |
Series X | |
3.30% | | | 06/01/27 | | | | 30,000 | | | | 32,455 | |
Baltimore Gas and Electric Co. | |
2.90% | | | 06/15/50 | | | | 50,000 | | | | 49,617 | |
Black Hills Corp. | |
4.35% | | | 05/01/33 | | | | 35,000 | | | | 40,541 | |
Consolidated Edison Co. of New York, Inc., | |
Series 2017 | |
3.88% | | | 06/15/47 | | | | 10,000 | | | | 11,145 | |
Consolidated Edison Co. of New York, Inc., | |
Series 20B | |
3.95% | | | 04/01/50 | | | | 40,000 | | | | 45,786 | |
Duke Energy Carolinas LLC | |
3.75% | | | 06/01/45 | | | | 70,000 | | | | 78,195 | |
3.88% | | | 03/15/46 | | | | 15,000 | | | | 17,160 | |
4.00% | | | 09/30/42 | | | | 10,000 | | | | 11,461 | |
Evergy, Inc. | |
2.45% | | | 09/15/24 | | | | 5,000 | | | | 5,229 | |
FirstEnergy Transmission LLC | |
5.45% | | | 07/15/44 | 4 | | | 55,000 | | | | 70,485 | |
Florida Power & Light Co. | |
4.13% | | | 02/01/42 | | | | 115,000 | | | | 138,840 | |
Interstate Power and Light Co. | |
2.30% | | | 06/01/30 | | | | 20,000 | | | | 20,104 | |
ITC Holdings Corp. | |
4.05% | | | 07/01/23 | | | | 10,000 | | | | 10,501 | |
Metropolitan Edison Co. | |
4.00% | | | 04/15/25 | 4 | | | 39,000 | | | | 41,111 | |
4.30% | | | 01/15/29 | 4 | | | 15,000 | | | | 16,836 | |
MidAmerican Energy Co. | |
4.25% | | | 05/01/46 | | | | 10,000 | | | | 12,219 | |
Narragansett Electric Co. (The) | |
3.40% | | | 04/09/30 | 4 | | | 10,000 | | | | 10,837 | |
Northern States Power Co. | |
4.13% | | | 05/15/44 | | | | 10,000 | | | | 12,034 | |
PacifiCorp. | |
4.13% | | | 01/15/49 | | | | 60,000 | | | | 70,991 | |
Public Service Co. of New Mexico | |
3.85% | | | 08/01/25 | | | | 45,000 | | | | 48,273 | |
Southern Co. (The) | |
3.25% | | | 07/01/26 | | | | 6,000 | | | | 6,462 | |
Tucson Electric Power Co. | |
3.85% | | | 03/15/23 | | | | 60,000 | | | | 62,332 | |
Virginia Electric & Power Co., | |
Series B | |
3.80% | | | 09/15/47 | | | | 20,000 | | | | 22,806 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 30 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Electric (continued) | |
Vistra Operations Co. LLC | |
3.55% | | | 07/15/24 | 4 | | $ | 6,000 | | | $ | 6,331 | |
Xcel Energy, Inc. | |
4.80% | | | 09/15/41 | | | | 55,000 | | | | 67,620 | |
| | | | 1,053,221 | |
| | | | | | | | | | | | |
|
Energy — 6.26% | |
BP Capital Markets America, Inc. | |
3.63% | | | 04/06/30 | | | | 45,000 | | | | 50,199 | |
ConocoPhillips | |
2.40% | | | 02/15/31 | 4 | | | 35,000 | | | | 35,596 | |
Diamondback Energy, Inc. | |
4.40% | | | 03/24/51 | | | | 15,000 | | | | 17,044 | |
Energy Transfer LP | |
4.95% | | | 06/15/28 | | | | 25,000 | | | | 28,702 | |
5.00% | | | 05/15/50 | | | | 55,000 | | | | 63,570 | |
5.40% | | | 10/01/47 | | | | 6,000 | | | | 7,162 | |
5.50% | | | 06/01/27 | | | | 37,000 | | | | 43,435 | |
6.13% | | | 12/15/45 | | | | 12,000 | | | | 15,287 | |
EQM Midstream Partners LP | |
6.50% | | | 07/15/48 | | | | 8,000 | | | | 9,190 | |
Exxon Mobil Corp. | |
3.45% | | | 04/15/51 | | | | 24,000 | | | | 25,562 | |
4.33% | | | 03/19/50 | | | | 17,000 | | | | 20,849 | |
Hess Corp. | |
4.30% | | | 04/01/27 | | | | 33,000 | | | | 36,673 | |
KeySpan Gas East Corp. | |
5.82% | | | 04/01/41 | 4 | | | 15,000 | | | | 20,083 | |
Kinder Morgan Energy Partners LP | |
5.80% | | | 03/15/35 | | | | 15,000 | | | | 19,320 | |
Kinder Morgan Energy Partners LP | |
(MTN) | |
6.95% | | | 01/15/38 | | | | 15,000 | | | | 21,280 | |
Kinder Morgan, Inc. | |
(GMTN) | |
7.80% | | | 08/01/31 | | | | 15,000 | | | | 21,430 | |
Lundin Energy Finance BV | |
(Netherlands) | |
3.10% | | | 07/15/31 | 4,5 | | | 30,000 | | | | 30,440 | |
NGPL Pipe Co. LLC | |
3.25% | | | 07/15/31 | 4 | | | 20,000 | | | | 20,558 | |
4.88% | | | 08/15/27 | 4 | | | 10,000 | | | | 11,379 | |
Petroleos Mexicanos | |
(Mexico) | |
7.69% | | | 01/23/50 | 5 | | | 40,000 | | | | 37,931 | |
Phillips 66 Partners LP | |
4.90% | | | 10/01/46 | | | | 10,000 | | | | 11,935 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
3.80% | | | 09/15/30 | | | | 15,000 | | | | 16,025 | |
4.50% | | | 12/15/26 | | | | 44,000 | | | | 49,182 | |
Rockies Express Pipeline LLC | |
3.60% | | | 05/15/25 | 4 | | | 30,000 | | | | 30,990 | |
6.88% | | | 04/15/40 | 4 | | | 17,000 | | | | 18,785 | |
Ruby Pipeline LLC | |
8.00% | | | 04/01/22 | 1,2,4 | | | 5,758 | | | | 5,355 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Energy (continued) | |
Sabine Pass Liquefaction LLC | |
4.20% | | | 03/15/28 | | | $ | 3,000 | | | $ | 3,361 | |
Shell International Finance BV | |
(Netherlands) | |
2.38% | | | 11/07/29 | 5 | | | 25,000 | | | | 25,960 | |
3.13% | | | 11/07/49 | 5 | | | 20,000 | | | | 20,808 | |
3.25% | | | 04/06/50 | 5 | | | 10,000 | | | | 10,651 | |
Southern Co. Gas Capital Corp. | |
2.45% | | | 10/01/23 | | | | 13,000 | | | | 13,457 | |
4.40% | | | 06/01/43 | | | | 10,000 | | | | 11,762 | |
5.88% | | | 03/15/41 | | | | 30,000 | | | | 41,395 | |
Southern Natural Gas Co. LLC | |
4.80% | | | 03/15/47 | 4 | | | 15,000 | | | | 18,394 | |
TC PipeLines LP | |
3.90% | | | 05/25/27 | | | | 15,000 | | | | 16,666 | |
4.38% | | | 03/13/25 | | | | 30,000 | | | | 32,843 | |
Texas Eastern Transmission LP | |
2.80% | | | 10/15/22 | 4 | | | 40,000 | | | | 40,664 | |
TransCanada PipeLines Ltd. | |
(Canada) | |
5.00% | | | 10/16/43 | 5 | | | 15,000 | | | | 18,624 | |
Williams Cos., Inc. (The) | |
3.90% | | | 01/15/25 | | | | 8,000 | | | | 8,647 | |
| | | | 931,194 | |
|
Finance — 8.88% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.65% | | | 07/21/27 | 5 | | | 25,000 | | | | 26,573 | |
3.88% | | | 01/23/28 | 5 | | | 4,000 | | | | 4,273 | |
Air Lease Corp. | |
3.63% | | | 12/01/27 | | | | 19,000 | | | | 20,359 | |
4.25% | | | 09/15/24 | | | | 20,000 | | | | 21,699 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 4,5 | | | 3,000 | | | | 2,953 | |
2.88% | | | 02/15/25 | 4,5 | | | 25,000 | | | | 25,722 | |
Citigroup, Inc. | |
1.46% | | | 06/09/27 | 3 | | | 15,000 | | | | 14,926 | |
2.57% | | | 06/03/31 | 3 | | | 100,000 | | | | 101,990 | |
2.88% | | | 07/24/23 | 3 | | | 50,000 | | | | 50,977 | |
3.67% | | | 07/24/28 | 3 | | | 25,000 | | | | 27,459 | |
Ford Motor Credit Co. LLC | |
3.34% | | | 03/28/22 | | | | 54,000 | | | | 54,477 | |
4.25% | | | 09/20/22 | | | | 19,000 | | | | 19,456 | |
GE Capital International Funding Co. | |
(Ireland) | |
4.42% | | | 11/15/35 | 5 | | | 153,000 | | | | 183,787 | |
General Motors Financial Co., Inc. | |
4.20% | | | 11/06/21 | | | | 20,000 | | | | 20,068 | |
Goldman Sachs Group, Inc. (The) | |
1.43% | | | 03/09/27 | 3 | | | 15,000 | | | | 14,961 | |
1.54% | | | 09/10/27 | 3 | | | 20,000 | | | | 19,947 | |
2.60% | | | 02/07/30 | | | | 100,000 | | | | 102,989 | |
2.91% | | | 07/24/23 | 3 | | | 35,000 | | | | 35,678 | |
3.27% | | | 09/29/25 | 3 | | | 30,000 | | | | 32,088 | |
|
| See accompanying Notes to Financial Statements. |
|
| 31 / Semi-Annual Report September 2021 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
3.50% | | | 11/16/26 | | | $ | 5,000 | | | $ | 5,406 | |
Intercontinental Exchange, Inc. | |
1.85% | | | 09/15/32 | | | | 50,000 | | | | 47,288 | |
LSEGA Financing PLC | |
(United Kingdom) | |
2.00% | | | 04/06/28 | 4,5 | | | 45,000 | | | | 45,208 | |
Morgan Stanley | |
0.99% | | | 12/10/26 | 3 | | | 70,000 | | | | 68,803 | |
1.59% | | | 05/04/27 | 3 | | | 30,000 | | | | 30,095 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | | 07/20/27 | 3 | | | 85,000 | | | | 84,639 | |
3.70% | | | 10/23/24 | | | | 5,000 | | | | 5,426 | |
3.77% | | | 01/24/29 | 3 | | | 25,000 | | | | 27,682 | |
Morgan Stanley, | |
Series F | |
3.88% | | | 04/29/24 | | | | 20,000 | | | | 21,587 | |
Nationwide Building Society | |
(United Kingdom) | |
3.62% | | | 04/26/23 | 3,4,5 | | | 10,000 | | | | 10,175 | |
3.77% | | | 03/08/24 | 3,4,5 | | | 65,000 | | | | 67,782 | |
4.36% | | | 08/01/24 | 3,4,5 | | | 15,000 | | | | 15,969 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
5.50% | | | 02/15/24 | 4,5 | | | 2,000 | | | | 2,183 | |
Pipeline Funding Co. LLC | |
7.50% | | | 01/15/30 | 4 | | | 26,694 | | | | 34,016 | |
Raymond James Financial, Inc. | |
3.75% | | | 04/01/51 | | | | 40,000 | | | | 44,657 | |
4.65% | | | 04/01/30 | | | | 25,000 | | | | 29,683 | |
| | | | | | | | | | | | |
| | | | 1,320,981 | |
| | | | | | | | | | | | |
|
Food — 0.94% | |
Kraft Heinz Foods Co. | |
3.75% | | | 04/01/30 | | | | 5,000 | | | | 5,431 | |
4.63% | | | 10/01/39 | | | | 10,000 | | | | 11,718 | |
5.00% | | | 07/15/35 | | | | 13,000 | | | | 16,022 | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | 4 | | | 35,000 | | | | 35,663 | |
Smithfield Foods, Inc. | |
2.63% | | | 09/13/31 | 4 | | | 30,000 | | | | 29,259 | |
3.35% | | | 02/01/22 | 4 | | | 35,000 | | | | 35,337 | |
5.20% | | | 04/01/29 | 4 | | | 5,000 | | | | 5,747 | |
| | | | | | | | | | | | |
| | | | 139,177 | |
| | | | | | | | | | | | |
|
Health Care — 11.94% | |
AbbVie, Inc. | |
4.05% | | | 11/21/39 | | | | 20,000 | | | | 23,000 | |
4.40% | | | 11/06/42 | | | | 45,000 | | | | 53,777 | |
4.50% | | | 05/14/35 | | | | 13,000 | | | | 15,557 | |
4.55% | | | 03/15/35 | | | | 20,000 | | | | 23,985 | |
Amgen, Inc. | |
3.15% | | | 02/21/40 | | | | 45,000 | | | | 45,953 | |
4.40% | | | 05/01/45 | | | | 15,000 | | | | 17,995 | |
Anthem, Inc. | |
3.60% | | | 03/15/51 | | | | 20,000 | | | | 21,868 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
3.70% | | | 09/15/49 | | | $ | 15,000 | | | $ | 16,593 | |
Ascension Health, | |
Series B | |
2.53% | | | 11/15/29 | | | | 10,000 | | | | 10,486 | |
AstraZeneca PLC | |
(United Kingdom) | |
3.38% | | | 11/16/25 | 5 | | | 10,000 | | | | 10,916 | |
Barnabas Health, Inc., | |
Series 2012 | |
4.00% | | | 07/01/28 | | | | 5,000 | | | | 5,639 | |
Baxter International, Inc. | |
3.95% | | | 04/01/30 | | | | 10,000 | | | | 11,371 | |
Bayer U.S. Finance II LLC | |
3.88% | | | 12/15/23 | 4 | | | 5,000 | | | | 5,321 | |
4.38% | | | 12/15/28 | 4 | | | 25,000 | | | | 28,326 | |
4.88% | | | 06/25/48 | 4 | | | 30,000 | | | | 36,774 | |
Becton Dickinson and Co. | |
3.79% | | | 05/20/50 | | | | 30,000 | | | | 33,563 | |
4.67% | | | 06/06/47 | | | | 5,000 | | | | 6,261 | |
Centene Corp. | |
3.00% | | | 10/15/30 | | | | 21,000 | | | | 21,551 | |
Children’s Hospital Medical Center | |
2.82% | | | 11/15/50 | | | | 20,000 | | | | 19,665 | |
Cigna Corp. | |
2.40% | | | 03/15/30 | | | | 16,000 | | | | 16,276 | |
3.40% | | | 03/15/51 | | | | 5,000 | | | | 5,172 | |
3.88% | | | 10/15/47 | | | | 33,000 | | | | 36,771 | |
4.38% | | | 10/15/28 | | | | 25,000 | | | | 28,913 | |
City of Hope, | |
Series 2013 | |
5.62% | | | 11/15/43 | | | | 15,000 | | | | 21,843 | |
City of Hope, | |
Series 2018 | |
4.38% | | | 08/15/48 | | | | 10,000 | | | | 12,415 | |
CommonSpirit Health | |
2.78% | | | 10/01/30 | | | | 35,000 | | | | 36,056 | |
3.91% | | | 10/01/50 | | | | 10,000 | | | | 10,946 | |
CVS Health Corp. | |
3.25% | | | 08/15/29 | | | | 60,000 | | | | 64,530 | |
5.05% | | | 03/25/48 | | | | 78,000 | | | | 100,629 | |
DENTSPLY SIRONA, Inc. | |
3.25% | | | 06/01/30 | | | | 45,000 | | | | 47,981 | |
Elanco Animal Health, Inc. | |
5.90% | | | 08/28/28 | | | | 5,000 | | | | 5,856 | |
Fresenius Medical Care U.S. Finance II, Inc. | |
5.88% | | | 01/31/22 | 4 | | | 50,000 | | | | 50,874 | |
Gilead Sciences, Inc. | |
(LIBOR USD 3-Month plus 0.52%) | |
0.65% | | | 09/29/23 | 6 | | | 50,000 | | | | 50,030 | |
Hackensack Meridian Health, Inc., | |
Series 2020 | |
2.88% | | | 09/01/50 | | | | 30,000 | | | | 29,885 | |
HCA, Inc. | |
2.38% | | | 07/15/31 | | | | 5,000 | | | | 4,919 | |
5.00% | | | 03/15/24 | | | | 29,000 | | | | 31,828 | |
5.25% | | | 06/15/49 | | | | 50,000 | | | | 63,928 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 32 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
Humana, Inc. | |
3.95% | | | 03/15/27 | | | $ | 25,000 | | | $ | 27,917 | |
Illumina, Inc. | |
2.55% | | | 03/23/31 | | | | 35,000 | | | | 35,374 | |
Johnson & Johnson | |
4.50% | | | 09/01/40 | | | | 35,000 | | | | 44,922 | |
Kaiser Foundation Hospitals | |
3.15% | | | 05/01/27 | | | | 10,000 | | | | 10,871 | |
Mass General Brigham, Inc., | |
Series 2020 | |
3.34% | | | 07/01/60 | | | | 10,000 | | | | 10,694 | |
Mayo Clinic, | |
Series 2013 | |
4.00% | | | 11/15/47 | | | | 25,000 | | | | 30,454 | |
Memorial Sloan-Kettering Cancer Center | |
4.13% | | | 07/01/52 | | | | 5,000 | | | | 6,289 | |
NYU Langone Hospitals, | |
Series 2020 | |
3.38% | | | 07/01/55 | | | | 15,000 | | | | 15,739 | |
OhioHealth Corp., | |
Series 2020 | |
3.04% | | | 11/15/50 | | | | 15,000 | | | | 15,641 | |
PerkinElmer, Inc. | |
2.25% | | | 09/15/31 | | | | 20,000 | | | | 19,761 | |
2.55% | | | 03/15/31 | | | | 35,000 | | | | 35,571 | |
Pfizer, Inc. | |
4.10% | | | 09/15/38 | | | | 10,000 | | | | 11,967 | |
Providence St. Joseph Health Obligated Group, | |
Series H | |
2.75% | | | 10/01/26 | | | | 10,000 | | | | 10,603 | |
Regeneron Pharmaceuticals, Inc. | |
1.75% | | | 09/15/30 | | | | 70,000 | | | | 66,602 | |
Royalty Pharma PLC | |
(United Kingdom) | |
0.75% | | | 09/02/23 | 5 | | | 25,000 | | | | 25,079 | |
1.75% | | | 09/02/27 | 5 | | | 45,000 | | | | 44,699 | |
Sharp HealthCare, | |
Series 20B | |
2.68% | | | 08/01/50 | | | | 50,000 | | | | 47,987 | |
Smith & Nephew PLC | |
(United Kingdom) | |
2.03% | | | 10/14/30 | 5 | | | 30,000 | | | | 29,287 | |
STERIS Irish FinCo UnLtd Co. | |
(Ireland) | |
2.70% | | | 03/15/31 | 5 | | | 30,000 | | | | 30,648 | |
Thermo Fisher Scientific, Inc. | |
2.00% | | | 10/15/31 | | | | 45,000 | | | | 44,093 | |
UnitedHealth Group, Inc. | |
3.25% | | | 05/15/51 | | | | 60,000 | | | | 64,035 | |
3.70% | | | 08/15/49 | | | | 10,000 | | | | 11,385 | |
4.25% | | | 04/15/47 | | | | 15,000 | | | | 18,525 | |
Universal Health Services, Inc. | |
1.65% | | | 09/01/26 | 4 | | | 40,000 | | | | 39,779 | |
Viatris, Inc. | |
1.13% | | | 06/22/22 | 4 | | | 15,000 | | | | 15,081 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
West Virginia United Health System Obligated Group, | |
Series 2020 | |
3.13% | | | 06/01/50 | | | $ | 35,000 | | | $ | 35,535 | |
| | | | | | | | | | | | |
| | | | 1,775,991 | |
| | | | | | | | | | | | |
|
Industrials — 2.59% | |
Amcor Finance USA, Inc. | |
3.63% | | | 04/28/26 | | | | 10,000 | | | | 10,912 | |
Amcor Flexibles North America, Inc. | |
2.63% | | | 06/19/30 | | | | 5,000 | | | | 5,116 | |
BAE Systems Holdings, Inc. | |
3.85% | | | 12/15/25 | 4 | | | 20,000 | | | | 21,836 | |
BAE Systems PLC | |
(United Kingdom) | |
3.40% | | | 04/15/30 | 4,5 | | | 30,000 | | | | 32,403 | |
Berry Global, Inc. | |
0.95% | | | 02/15/24 | 4 | | | 15,000 | | | | 15,023 | |
1.57% | | | 01/15/26 | 4 | | | 28,000 | | | | 28,025 | |
Boeing Co. (The) | |
1.43% | | | 02/04/24 | | | | 35,000 | | | | 35,052 | |
CCL Industries, Inc. | |
(Canada) | |
3.05% | | | 06/01/30 | 4,5 | | | 25,000 | | | | 26,229 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | | 05/05/26 | 6 | | | 10,000 | | | | 9,903 | |
L3Harris Technologies, Inc. | |
3.85% | | | 06/15/23 | | | | 40,000 | | | | 42,181 | |
Northrop Grumman Corp. | |
5.25% | | | 05/01/50 | | | | 20,000 | | | | 27,931 | |
Sealed Air Corp. | |
1.57% | | | 10/15/26 | 4 | | | 20,000 | | | | 19,909 | |
Sonoco Products Co. | |
3.13% | | | 05/01/30 | | | | 10,000 | | | | 10,669 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.63% | | | 04/28/26 | 4,5 | | | 5,000 | | | | 5,377 | |
3.90% | | | 03/22/23 | 4,5 | | | 50,000 | | | | 52,244 | |
Trane Technologies Luxembourg Finance SA | |
(Luxembourg) | |
3.55% | | | 11/01/24 | 5 | | | 5,000 | | | | 5,374 | |
WRKCo, Inc. | |
3.00% | | | 09/15/24 | | | | 30,000 | | | | 31,842 | |
3.00% | | | 06/15/33 | | | | 5,000 | | | | 5,224 | |
| | | | | | | | | | | | |
| | | | 385,250 | |
| | | | | | | | | | | | |
|
Information Technology — 3.82% | |
Amazon.com, Inc. | |
3.10% | | | 05/12/51 | | | | 73,000 | | | | 76,904 | |
Analog Devices, Inc. | |
2.95% | | | 10/01/51 | | | | 35,000 | | | | 35,010 | |
Apple, Inc. | |
2.38% | | | 02/08/41 | | | | 25,000 | | | | 24,004 | |
2.65% | | | 02/08/51 | | | | 25,000 | | | | 24,092 | |
2.70% | | | 08/05/51 | | | | 70,000 | | | | 68,116 | |
|
| See accompanying Notes to Financial Statements. |
|
| 33 / Semi-Annual Report September 2021 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Information Technology (continued) | |
Broadcom, Inc. | |
3.63% | | | 10/15/24 | | | $ | 15,000 | | | $ | 16,198 | |
Fiserv, Inc. | |
2.65% | | | 06/01/30 | | | | 15,000 | | | | 15,359 | |
Intel Corp. | |
3.05% | | | 08/12/51 | | | | 35,000 | | | | 35,055 | |
3.25% | | | 11/15/49 | | | | 15,000 | | | | 15,567 | |
NVIDIA Corp. | |
3.50% | | | 04/01/50 | | | | 20,000 | | | | 22,443 | |
NXP BV/NXP Funding LLC | |
(Netherlands) | |
3.88% | | | 09/01/22 | 4,5 | | | 30,000 | | | | 30,898 | |
4.63% | | | 06/01/23 | 4,5 | | | 10,000 | | | | 10,646 | |
Oracle Corp. | |
3.60% | | | 04/01/50 | | | | 60,000 | | | | 60,194 | |
3.95% | | | 03/25/51 | | | | 45,000 | | | | 47,726 | |
salesforce.com, Inc. | |
2.90% | | | 07/15/51 | | | | 30,000 | | | | 30,042 | |
Skyworks Solutions, Inc. | |
0.90% | | | 06/01/23 | | | | 25,000 | | | | 25,051 | |
VMware, Inc. | |
1.00% | | | 08/15/24 | | | | 30,000 | | | | 30,107 | |
| | | | | | | | | | | | |
| | | | 567,412 | |
| | | | | | | | | | | | |
|
Insurance — 4.72% | |
Allstate Corp. (The) | |
3.85% | | | 08/10/49 | | | | 20,000 | | | | 23,738 | |
Aon Corp. | |
2.80% | | | 05/15/30 | | | | 25,000 | | | | 26,141 | |
3.75% | | | 05/02/29 | | | | 5,000 | | | | 5,569 | |
Aon Corp./Aon Global Holdings PLC | |
2.05% | | | 08/23/31 | | | | 10,000 | | | | 9,745 | |
Athene Global Funding | |
1.61% | | | 06/29/26 | 4 | | | 15,000 | | | | 14,995 | |
1.99% | | | 08/19/28 | 4 | | | 10,000 | | | | 9,890 | |
(SOFR Rate plus 0.70%) | |
0.75% | | | 05/24/24 | 4,6 | | | 30,000 | | | | 30,149 | |
Berkshire Hathaway Finance Corp. | |
2.85% | | | 10/15/50 | | | | 35,000 | | | | 34,582 | |
4.20% | | | 08/15/48 | | | | 20,000 | | | | 24,273 | |
Equitable Financial Life Global Funding | |
1.80% | | | 03/08/28 | 4 | | | 20,000 | | | | 19,890 | |
Farmers Insurance Exchange | |
4.75% | | | 11/01/57 | 3,4 | | | 55,000 | | | | 62,523 | |
Guardian Life Insurance Co. of America (The) | |
3.70% | | | 01/22/70 | 4 | | | 45,000 | | | | 47,404 | |
Marsh & McLennan Cos., Inc. | |
2.25% | | | 11/15/30 | | | | 10,000 | | | | 10,080 | |
Massachusetts Mutual Life Insurance Co. | |
3.38% | | | 04/15/50 | 4 | | | 37,000 | | | | 38,801 | |
Metropolitan Life Global Funding I | |
3.45% | | | 10/09/21 | 4 | | | 42,000 | | | | 42,024 | |
Nationwide Mutual Insurance Co. | |
2.41% | | | 12/15/24 | 3,4 | | | 30,000 | | | | 30,036 | |
New York Life Insurance Co. | |
3.75% | | | 05/15/50 | 4 | | | 65,000 | | | | 72,929 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Insurance (continued) | |
Northwestern Mutual Life Insurance Co. (The) | |
3.45% | | | 03/30/51 | 4 | | $ | 39,000 | | | $ | 41,922 | |
Principal Life Global Funding II | |
0.75% | | | 04/12/24 | 4 | | | 25,000 | | | | 25,025 | |
| Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | | 05/15/50 | 4 | | | 15,000 | | | | 15,794 | |
4.38% | | | 09/15/54 | 3,4 | | | 65,000 | | | | 68,185 | |
Travelers Cos., Inc. (The) | |
4.05% | | | 03/07/48 | | | | 10,000 | | | | 12,241 | |
Willis North America, Inc. | |
2.95% | | | 09/15/29 | | | | 35,000 | | | | 36,622 | |
| | | | | | | | | | | | |
| | | | 702,558 | |
| | | | | | | | | | | | |
|
Materials — 0.59% | |
Georgia-Pacific LLC | |
2.30% | | | 04/30/30 | 4 | | | 15,000 | | | | 15,302 | |
International Flavors & Fragrances, Inc. | |
1.23% | | | 10/01/25 | 4 | | | 5,000 | | | | 4,961 | |
2.30% | | | 11/01/30 | 4 | | | 15,000 | | | | 14,882 | |
5.00% | | | 09/26/48 | | | | 25,000 | | | | 32,386 | |
Sherwin-Williams Co. (The) | |
2.30% | | | 05/15/30 | | | | 20,000 | | | | 20,174 | |
| | | | | | | | | | | | |
| | | | 87,705 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 6.10% | |
Alexandria Real Estate Equities, Inc. | |
3.80% | | | 04/15/26 | | | | 50,000 | | | | 55,240 | |
4.50% | | | 07/30/29 | | | | 11,000 | | | | 12,791 | |
American Assets Trust LP | |
3.38% | | | 02/01/31 | | | | 30,000 | | | | 31,077 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.30% | | | 07/15/26 | | | | 10,000 | | | | 10,712 | |
3.63% | | | 11/15/27 | | | | 35,000 | | | | 38,330 | |
3.75% | | | 04/15/23 | | | | 25,000 | | | | 26,037 | |
3.88% | | | 01/30/31 | | | | 10,000 | | | | 11,179 | |
American Homes 4 Rent LP | |
2.38% | | | 07/15/31 | | | | 15,000 | | | | 14,875 | |
Boston Properties LP | |
2.55% | | | 04/01/32 | | | | 10,000 | | | | 10,012 | |
3.25% | | | 01/30/31 | | | | 5,000 | | | | 5,302 | |
3.40% | | | 06/21/29 | | | | 5,000 | | | | 5,420 | |
Crown Castle International Corp. | |
3.30% | | | 07/01/30 | | | | 50,000 | | | | 53,324 | |
CubeSmart LP | |
4.38% | | | 02/15/29 | | | | 5,000 | | | | 5,702 | |
CyrusOne LP/CyrusOne Finance Corp. | |
2.90% | | | 11/15/24 | | | | 5,000 | | | | 5,246 | |
3.45% | | | 11/15/29 | | | | 55,000 | | | | 57,342 | |
Essex Portfolio LP | |
2.65% | | | 03/15/32 | | | | 5,000 | | | | 5,068 | |
GLP Capital LP/GLP Financing II, Inc. | |
3.35% | | | 09/01/24 | | | | 5,000 | | | | 5,304 | |
4.00% | | | 01/15/30 | | | | 65,000 | | | | 70,330 | |
Healthcare Realty Trust, Inc. | |
3.63% | | | 01/15/28 | | | | 30,000 | | | | 32,848 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 34 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Real Estate Investment Trust (REIT) (continued) | |
Healthcare Trust of America Holdings LP | |
3.75% | | | 07/01/27 | | | $ | 65,000 | | | $ | 71,941 | |
Healthpeak Properties, Inc. | |
4.00% | | | 06/01/25 | | | | 35,000 | | | | 38,244 | |
Host Hotels & Resorts LP, | |
Series D | |
3.75% | | | 10/15/23 | | | | 35,000 | | | | 36,693 | |
Hudson Pacific Properties LP | |
3.95% | | | 11/01/27 | | | | 50,000 | | | | 54,795 | |
Kilroy Realty LP | |
2.50% | | | 11/15/32 | | | | 15,000 | | | | 14,771 | |
3.45% | | | 12/15/24 | | | | 10,000 | | | | 10,674 | |
Lexington Realty Trust | |
2.38% | | | 10/01/31 | | | | 5,000 | | | | 4,861 | |
2.70% | | | 09/15/30 | | | | 45,000 | | | | 45,595 | |
Life Storage LP | |
2.20% | | | 10/15/30 | | | | 40,000 | | | | 39,657 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.63% | | | 06/15/25 | 4 | | | 28,000 | | | | 30,274 | |
Mid-America Apartments LP | |
1.70% | | | 02/15/31 | | | | 10,000 | | | | 9,504 | |
Piedmont Operating Partnership LP | |
2.75% | | | 04/01/32 | | | | 15,000 | | | | 14,788 | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | | 45,000 | | | | 46,130 | |
UDR, Inc. | |
(MTN) | |
4.40% | | | 01/26/29 | | | | 5,000 | | | | 5,699 | |
Ventas Realty LP | |
3.00% | | | 01/15/30 | | | | 15,000 | | | | 15,614 | |
4.13% | | | 01/15/26 | | | | 10,000 | | | | 11,054 | |
| | | | | | | | | | | | |
| | | �� | 906,433 | |
| | | | | | | | | | | | |
|
Retail — 0.68% | |
7-Eleven, Inc. | |
0.80% | | | 02/10/24 | 4 | | | 35,000 | | | | 34,995 | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
3.80% | | | 01/25/50 | 4,5 | | | 45,000 | | | | 48,119 | |
McDonald’s Corp. | |
(MTN) | |
4.20% | | | 04/01/50 | | | | 15,000 | | | | 17,925 | |
| | | | | | | | | | | | |
| | | | 101,039 | |
| | | | | | | | | | | | |
|
Services — 1.27% | |
IHS Markit Ltd. | |
(Bermuda) | |
4.00% | | | 03/01/26 | 4,5 | | | 50,000 | | | | 55,073 | |
4.75% | | | 08/01/28 | 5 | | | 15,000 | | | | 17,581 | |
5.00% | | | 11/01/22 | 4,5 | | | 5,000 | | | | 5,191 | |
Moody’s Corp. | |
2.75% | | | 08/19/41 | | | | 20,000 | | | | 19,415 | |
Northwestern University | |
3.69% | | | 12/01/38 | | | | 10,000 | | | | 11,919 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Services (continued) | |
RELX Capital, Inc. | |
4.00% | | | 03/18/29 | | | $ | 35,000 | | | $ | 39,415 | |
University of Southern California | |
2.81% | | | 10/01/50 | | | | 10,000 | | | | 10,271 | |
Waste Connections, Inc. | |
(Canada) | |
2.60% | | | 02/01/30 | 5 | | | 5,000 | | | | 5,153 | |
3.05% | | | 04/01/50 | 5 | | | 20,000 | | | | 19,952 | |
William Marsh Rice University | |
2.60% | | | 05/15/50 | | | | 5,000 | | | | 4,950 | |
| | | | | | | | | | | | |
| | | | 188,920 | |
| | | | | | | | | | | | |
|
Transportation — 1.27% | |
Burlington Northern Santa Fe LLC | |
3.30% | | | 09/15/51 | | | | 20,000 | | | | 21,559 | |
4.40% | | | 03/15/42 | | | | 18,000 | | | | 21,981 | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | | 23,505 | | | | 23,504 | |
JetBlue Airways Pass-Through Trust, | |
Series 1A | |
4.00% | | | 11/15/32 | | | | 29,018 | | | | 31,780 | |
JetBlue Airways Pass-Through Trust, | |
Series 2019-1, Class AA | |
2.75% | | | 05/15/32 | | | | 14,086 | | | | 14,146 | |
U.S. Airways Pass-Through Trust, | |
Series 2011-1, Class A | |
7.13% | | | 10/22/23 | | | | 22,147 | | | | 23,537 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 14,597 | | | | 15,452 | |
Union Pacific Corp. | |
3.84% | | | 03/20/60 | | | | 25,000 | | | | 28,733 | |
United Airlines Pass-Through Trust, | |
Series 2016-2, Class AA | |
2.88% | | | 10/07/28 | | | | 8,150 | | | | 8,365 | |
| | | | | | | | | | | | |
| | | | 189,057 | |
| | | | | | | | | | | | |
|
Water — 0.08% | |
American Water Capital Corp. | |
3.45% | | | 05/01/50 | | | | 11,000 | | | | 11,826 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $12,194,616) | | | | 12,321,031 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 0.89%** | |
|
Non-Agency Commercial Mortgage-Backed — 0.47% | |
Commercial Mortgage Trust, | |
Series 2013-CR7, Class XA (IO) | |
1.32% | | | 03/10/46 | 3 | | | 312,577 | | | | 4,269 | |
Commercial Mortgage Trust, | |
Series 2014-UBS5, Class XA (IO) | |
1.01% | | | 09/10/47 | 1,2,3 | | | 607,120 | | | | 12,459 | |
Commercial Mortgage Trust, | |
Series 2014-UBS6, Class XA (IO) | |
1.03% | | | 12/10/47 | 3 | | | 463,812 | | | | 10,949 | |
|
| See accompanying Notes to Financial Statements. |
|
| 35 / Semi-Annual Report September 2021 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Trust, | |
Series 2010-C1, Class X (IO) | |
0.89% | | | 08/10/43 | 3,4 | | $ | 2,487,750 | | | $ | 30,134 | |
GS Mortgage Securities Trust, | |
Series 2011-GC3, Class X (IO) | |
0.42% | | | 03/10/44 | 3,4 | | | 109,686 | | | | 333 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C5, Class XA (IO) | |
1.53% | | | 08/15/45 | 3,4 | | | 222,622 | | | | 1,188 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C6, Class XA (IO) | |
1.75% | | | 11/15/45 | 1,2,3,4 | | | 140,445 | | | | 1,082 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C3, Class XB (IO) | |
0.32% | | | 08/10/49 | 1,2,3,4 | | | 2,200,000 | | | | 4,550 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C7, Class XA (IO) | |
1.45% | | | 06/15/45 | 3,4 | | | 748,119 | | | | 5,018 | |
| | | | | | | | | | | | |
| | | | 69,982 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.27% | |
Fannie Mae-Aces, | |
Series 2015-M4, Class X2 (IO) | |
0.61% | | | 07/25/22 | 3 | | | 315,240 | | | | 56 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K723, Class X1 (IO) | |
1.04% | | | 08/25/23 | 3 | | | 822,754 | | | | 11,559 | |
Ginnie Mae, | |
Series 2009-111, Class IO (IO) | |
0.22% | | | 09/16/51 | 3 | | | 575,044 | | | | 26,351 | |
Ginnie Mae, | |
Series 2011-53, Class IO (IO) | |
0.00% | | | 05/16/51 | 3 | | | 1,743,708 | | | | 64 | |
Ginnie Mae, | |
Series 2012-144, Class IO (IO) | |
0.36% | | | 01/16/53 | 3 | | | 173,473 | | | | 2,225 | |
| | | | | | | | | | | | |
| | | | 40,255 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 0.15% | |
Fannie Mae REMICS, | |
Series 2011-116, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
5.91% | | | 11/25/41 | 6 | | | 47,421 | | | | 6,445 | |
Fannie Mae REMICS, | |
Series 2012-128, Class UA | |
2.50% | | | 06/25/42 | | | | 15,271 | | | | 15,536 | |
| | | | | | | | | | | | |
| | | | 21,981 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $253,656) | | | | 132,218 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 2.35%* | |
|
California — 1.12% | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.37% | | | 11/01/35 | | | | 35,000 | | | | 34,289 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MUNICIPAL BONDS (continued) | |
|
California (continued) | |
| City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E | | | | | |
2.83% | | | 11/01/41 | | | $ | 25,000 | | | $ | 25,483 | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
3.89% | | | 05/15/38 | | | | 15,000 | | | | 16,936 | |
| Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY | | | | | |
6.01% | | | 07/01/39 | | | | 5,000 | | | | 6,658 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR | | | | | |
5.75% | | | 07/01/34 | | | | 30,000 | | | | 39,732 | |
5.76% | | | 07/01/29 | | | | 10,000 | | | | 12,331 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY | | | | | |
6.76% | | | 07/01/34 | | | | 5,000 | | | | 7,072 | |
| Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home | | | | | |
Improvements, Series N | |
3.26% | | | 05/15/60 | | | | 5,000 | | | | 5,391 | |
| Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
5.88% | | | 04/01/32 | | | | 10,000 | | | | 12,367 | |
| University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AJ | | | | | |
4.60% | | | 05/15/31 | | | | 5,000 | | | | 5,859 | |
| | | | | | | | | | | | |
| | | | 166,118 | |
| | | | | | | | | | | | |
|
Florida — 0.11% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 15,000 | | | | 16,102 | |
| | | | | | | | | | | | |
|
Massachusetts — 0.07% | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | | 10/15/32 | | | | 10,000 | | | | 10,572 | |
| | | | | | | | | | | | |
|
New York — 0.94% | |
City of New York General Obligation Bonds, Series D | |
1.92% | | | 08/01/31 | | | | 25,000 | | | | 24,580 | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | | 11/15/49 | | | | 5,000 | | | | 6,788 | |
New York City Transitional Finance Authority Future Tax | |
Secured Revenue Bonds, Public Improvements | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 5,605 | |
New York City Transitional Finance Authority Future Tax | |
Secured Revenue Bonds, Public Improvements, Series E | |
1.97% | | | 02/01/33 | | | | 20,000 | | | | 19,616 | |
New York City Transitional Finance Authority Future | |
Tax Secured Revenue Bonds, Taxable Bonds, Public | |
Improvements | |
3.96% | | | 08/01/32 | | | | 30,000 | | | | 33,506 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 36 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MUNICIPAL BONDS (continued) | |
|
New York (continued) | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | $ | 50,000 | | | $ | 50,342 | |
| | | | | | | | | | | | |
| | | | 140,437 | |
| | | | | | | | | | | | |
| |
Ohio — 0.11% | | | | | |
Ohio, Taxable Revenue Bonds, Advanced Refunding, | |
Cleveland Clinic | | | | | |
2.89% | | | 01/01/32 | | | | 15,000 | | | | 15,707 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $347,043) | | | | 348,936 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 8.64% | |
|
U.S. Treasury Bonds — 1.00% | |
U.S. Treasury Bonds | | | | | |
2.00% | | | 08/15/51 | | | | 151,000 | | | | 148,241 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Notes — 7.64% | | | | | |
U.S. Treasury Notes | | | | | |
0.13% | | | 07/31/23 | | | | 180,000 | | | | 179,630 | |
0.13% | | | 08/31/23 | | | | 198,000 | | | | 197,489 | |
0.25% | | | 09/30/23 | | | | 103,000 | | | | 102,928 | |
0.88% | | | 09/30/26 | | | | 335,000 | | | | 333,237 | |
1.25% | | | 08/15/31 | | | | 332,000 | | | | 323,985 | |
| | | | | | | | | | | | |
| | | | 1,137,269 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $1,294,612) | | | | 1,285,510 | |
| | | | | | | | | | | | |
| |
Total Bonds — 95.01% | | | | | |
(Cost $14,133,494) | | | | 14,131,386 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 2.79% | |
| |
Money Market Funds — 2.79% | | | | | |
Fidelity Investments Money Market Funds - Government | |
Portfolio | | | | | |
0.01%7 | | | | | | | 22,345 | | | | 22,345 | |
Morgan Stanley Institutional Liquidity Funds - Government | |
Portfolio | | | | | |
0.03%7 | | | | | | | 393,000 | | | | 393,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $415,345) | | | | 415,345 | |
| | | | | | | | | | | | |
| |
Total Investments - 97.80% | | | | | |
(Cost $14,548,839) | | | | 14,546,731 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities - 2.20% | | | | 326,529 | |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 14,873,260 | |
| | | | | | | | | | | | |
| 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 $67,137, which is 0.45% 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 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | Foreign denominated security issued by foreign domiciled entity. |
| 6 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 7 | Represents the current yield as of September 30, 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
(SOFR): Secured Overnight Financing Rate
(USD): U.S. Dollar
|
| See accompanying Notes to Financial Statements. |
|
| 37 / Semi-Annual Report September 2021 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 5 | | | | 12/31/21 | | | $ | 1,100,273 | | | $ | (635) | | | $ | (635) | |
U.S. Treasury Five-Year Note | | | 2 | | | | 12/31/21 | | | | 245,484 | | | | (1,574) | | | | (1,574) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 1,345,757 | | | | (2,209) | | | | (2,209) | |
| | | | | | | | | | | | | | | | | | | | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 6 | | | | 12/21/21 | | | | (871,500) | | | | 16,080 | | | | 16,080 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 474,257 | | | $ | 13,871 | | | $ | 13,871 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | |
| | | | | | | | | | |
| Description | | Put/
Call | | | Maturity Date | | | Rate | | Frequency | | Rate | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | | Call | | | | 09/28/53 | | | 3-month USD
LIBOR | | Quarterly | | 1.87% | | | Semi-annually | | | $ | 95 | | | $ | 2,321 | | | $ | — | | | $ | 2,321 | |
| Interest Rate Swap1 | | | Call | | | | 09/28/25 | | | 1.39% | | Semi-annually | | 3-month USD
LIBOR | | | Quarterly | | | | 1,130 | | | | (361) | | | | — | | | | (361) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | $ | 1,225 | | | $ | 1,960 | | | $ | — | | | $ | 1,960 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 38 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 108.95% | |
|
ASSET-BACKED SECURITIES — 18.61%** | |
Aimco CLO 11 Ltd., | |
Series 2020-11A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.38%) | |
1.51% | | | 10/15/31 | 1,2,3 | | $ | 185,000 | | | $ | 185,028 | |
Aimco CLO 14 Ltd., | |
Series 2021-14A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/20/34 | 1,3,4 | | | 700,000 | | | | 740,513 | |
AMMC CLO 19 Ltd., | |
Series 2016-19A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 10/16/28 | 1,2,3 | | | 10,191 | | | | 10,192 | |
AMMC CLO 23 Ltd., | |
Series 2020-23A, Class A1L | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.40%) | |
1.53% | | | 10/17/31 | 1,2,3 | | | 480,000 | | | | 480,115 | |
AMSR Trust, | |
Series 2020-SFR1, Class I | |
8.19% | | | 04/17/37 | 1 | | | 450,000 | | | | 485,689 | |
BlueMountain CLO Ltd., | |
Series 2018-3A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.77%) | |
1.90% | | | 10/25/30 | 1,2,3 | | | 250,000 | | | | 250,033 | |
BlueMountain CLO XXX Ltd., | |
Series 2020-30A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.80%) | |
1.93% | | | 01/15/33 | 1,2,3 | | | 250,000 | | | | 250,268 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
Series 1999-B, Class A2 | |
6.98% | | | 12/15/29 | 4 | | | 997,492 | | | | 207,208 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
Series 2000-A, Class A3 | |
7.83% | | | 06/15/30 | 4 | | | 1,658,345 | | | | 369,831 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
Series 2000-A, Class A4 | |
8.29% | | | 06/15/30 | 4 | | | 142,144 | | | | 33,562 | |
Cedar Funding XII CLO Ltd., | |
Series 2020-12A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | | 10/25/32 | 1,2,3 | | | 250,000 | | | | 250,047 | |
CIFC Funding Ltd., | |
Series 2018-1A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/18/31 | 1,3,4 | | | 575,000 | | | | 438,080 | |
CIT Mortgage Loan Trust, | |
Series 2007-1, Class 1M2 | |
(LIBOR USD 1-Month plus 1.75%) | |
1.84% | | | 10/25/37 | 1,2 | | | 600,000 | | | | 607,703 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Citigroup Mortgage Loan Trust, | |
| Series 2006-WF1, Class A2C (STEP-reset date 11/25/21) | | | | | |
4.86% | | | 03/25/36 | | | $ | 33,579 | | | $ | 20,373 | |
Conseco Finance Securitizations Corp., | |
Series 2000-1, Class A5 | |
8.06% | | | 09/01/29 | 4 | | | 3,422,964 | | | | 962,569 | |
Conseco Finance Securitizations Corp., | |
Series 2000-4, Class A5 | |
7.97% | | | 05/01/32 | | | | 1,992,158 | | | | 571,754 | |
CoreVest American Finance Trust, | |
Series 2019-3, Class XA (IO) | |
2.20% | | | 10/15/52 | 1,4 | | | 759,124 | | | | 50,026 | |
CoreVest American Finance Trust, | |
Series 2021-1, Class XB (IO) | |
1.72% | | | 04/15/53 | 1,4 | | | 4,459,000 | | | | 449,865 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB7, Class A4 | |
(LIBOR USD 1-Month plus 0.16%) | |
0.25% | | | 10/25/36 | 2 | | | 45,505 | | | | 38,545 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-MH1, Class B1 (STEP-reset date 11/25/21) | | | | | |
6.25% | | | 10/25/36 | 1 | | | 61,000 | | | | 63,634 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF3 (STEP-reset date 11/25/21) | | | | | |
3.26% | | | 01/25/37 | | | | 1,085,917 | | | | 460,386 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF6 (STEP-reset date 11/25/21) | | | | | |
3.26% | | | 01/25/37 | | | | 1,917,100 | | | | 813,287 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
| Series 2007-CB2, Class A2B (STEP-reset date 11/25/21) | | | | | |
3.66% | | | 02/25/37 | | | | 1,097,175 | | | | 876,102 | |
| | | | | | | | | | | | | |
Dryden 72 CLO Ltd., | |
Series 2019-72A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.65%) | |
1.77% | | | 05/15/32 | 1,2,3 | | | 925,000 | | | | 925,865 | |
| | | | | | | | | | | | | |
Dryden 85 CLO Ltd., | |
Series 2020-85A, Class D | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 3.90%) | |
4.03% | | | 10/15/32 | 1,2,3 | | | 90,000 | | | | 90,025 | |
| | | | | | | | | | | | | |
Dryden XXVI Senior Loan Fund, | |
Series 2013-26A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | | 04/15/29 | 1,2,3 | | | 62,968 | | | | 62,968 | |
| | | | | | | | | | | | | |
Dryden XXVIII Senior Loan Fund, | |
Series 2013-28A, Class A1LR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.20%) | |
1.32% | | | 08/15/30 | 1,2,3 | | | 10,000 | | | | 10,004 | |
| | | | | | | | | | | | | |
Elmwood CLO VI Ltd., | |
Series 2020-3A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.65%) | |
0.00% | | | 10/20/34 | 1,2,3 | | | 440,000 | | | | 440,220 | |
|
| See accompanying Notes to Financial Statements. |
|
| 39 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | | 10/25/36 | 2 | | $ | 448,841 | | | $ | 364,144 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2D | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 03/25/37 | 2 | | | 797,431 | | | | 507,188 | |
Fremont Home Loan Trust, | |
Series 2005-E, Class 2A4 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | | 01/25/36 | 2 | | | 27,457 | | | | 27,137 | |
Gilbert Park CLO Ltd., | |
Series 2017-1A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.19%) | |
1.32% | | | 10/15/30 | 1,2,3 | | | 485,000 | | | | 485,073 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | |
Series 2020-8A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
1.24% | | | 10/20/34 | 1,2,3 | | | 250,000 | | | | 250,172 | |
Greenwood Park CLO Ltd., | |
Series 2018-1A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/15/31 | 1,3,4 | | | 675,000 | | | | 488,018 | |
GSAA Home Equity Trust, | |
Series 2007-5, Class 1F3B | |
6.00% | | | 05/25/37 | 4 | | | 4,300,000 | | | | 600,650 | |
GSAA Home Equity Trust, | |
| Series 2007-5, Class 1F5B (STEP-reset date 11/25/21) | | | | | |
6.44% | | | 05/25/37 | | | | 1,987,261 | | | | 264,851 | |
GSAA Home Equity Trust, | |
Series 2007-5, Class 2A2A | |
(LIBOR USD 1-Month plus 0.23%) | |
0.55% | | | 04/25/47 | 2 | | | 953,029 | | | | 588,979 | |
GSAA Trust, | |
Series 2007-3, Class 2A1B | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 03/25/47 | 2 | | | 166,316 | | | | 17,199 | |
HSI Asset Loan Obligation Trust, | |
| Series 2007-WF1, Class A5 (STEP-reset date 11/25/21) | | | | | |
4.80% | | | 12/25/36 | | | | 275,401 | | | | 130,917 | |
Invesco CLO Ltd., | |
Series 2021-1A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/15/34 | 1,3,4 | | | 650,000 | | | | 595,336 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | | 01/17/73 | 1 | | | 45,884 | | | | 51,510 | |
J.G. Wentworth XXXII LLC, | |
Series 2014-2A, Class A | |
3.61% | | | 01/17/73 | 1 | | | 47,471 | | | | 52,268 | |
| JPMorgan Chase Bank Auto Credit Linked Notes, | | | | | |
Series 2021-1, Class R | |
28.35% | | | 09/25/28 | †,1 | | | 545,515 | | | | 569,513 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-CH2, Class AF3 (STEP-reset date 11/25/21) | | | | | |
5.46% | | | 09/25/29 | | | $ | 581,064 | | | $ | 452,497 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-CW2, Class AF4 (STEP-reset date 11/25/21) | | | | | |
6.08% | | | 08/25/36 | | | | 597,346 | | | | 432,229 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-CW2, Class AF5 (STEP-reset date 11/25/21) | | | | | |
6.34% | | | 08/25/36 | | | | 301,142 | | | | 221,446 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-WF1, Class A5 (STEP-reset date 11/25/21) | | | | | |
6.91% | | | 07/25/36 | | | | 1,886,159 | | | | 795,049 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-CH1, Class AF6 (STEP-reset date 11/25/21) | | | | | |
4.72% | | | 11/25/36 | | | | 12,449 | | | | 12,808 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-CH2, Class AF2 (STEP-reset date 11/25/21) | | | | | |
4.54% | | | 01/25/37 | | | | 475,691 | | | | 336,588 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-CH2, Class AF3 (STEP-reset date 11/25/21) | | | | | |
4.54% | | | 10/25/30 | | | | 730,311 | | | | 516,104 | |
LCM XIII LP, | |
Series 13A, Class ARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 07/19/27 | 1,2,3 | | | 500,000 | | | | 499,970 | |
LCM XXIV Ltd., | |
Series 24A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
1.11% | | | 03/20/30 | 1,2,3 | | | 500,000 | | | | 500,490 | |
| Lehman ABS Manufactured Housing Contract Trust, | | | | | |
Series 2001-B, Class M1 | |
6.63% | | | 04/15/40 | 4 | | | 1,113,814 | | | | 1,194,250 | |
Lehman XS Trust, | |
Series 2006-17, Class 1A3 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 08/25/46 | 2 | | | 265,133 | | | | 258,238 | |
Lehman XS Trust, | |
Series 2006-17, Class 1AIO (IO) | |
0.60% | | | 08/25/46 | 5,6 | | | 9,534,323 | | | | 210,725 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-NC2, Class A3 | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 08/25/36 | 2 | | | 802,768 | | | | 417,050 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |
Series 2007-3, Class A2B | |
(LIBOR USD 1-Month plus 0.13%) | |
0.22% | | | 06/25/37 | 2 | | | 606,478 | | | | 573,419 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2006-HE6, Class A2B | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | | 11/25/37 | 2 | | | 881,257 | | | | 404,951 | |
Mid-State Capital Corp. Trust, | |
Series 2005-1, Class A | |
5.75% | | | 01/15/40 | | | | 7,309 | | | | 7,799 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 40 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Mid-State Capital Corp. Trust, | |
Series 2006-1, Class A | |
5.79% | | | 10/15/40 | 1 | | $ | 47,110 | | | $ | 49,944 | |
Mid-State Trust XI, | |
Series 11, Class A1 | |
4.86% | | | 07/15/38 | | | | 3,281 | | | | 3,455 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-C, Class 2AV4 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 06/25/37 | 2 | | | 27,935 | | | | 27,608 | |
Navient Student Loan Trust, | |
Series 2018-4A, Class B | |
(LIBOR USD 1-Month plus 1.30%) | |
1.39% | | | 06/27/67 | 1,2 | | | 850,000 | | | | 841,999 | |
Nelnet Student Loan Trust, | |
Series 2015-3A, Class A3 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 06/25/54 | 1,2 | | | 630,000 | | | | 636,933 | |
Neuberger Berman Loan Advisers CLO 40 Ltd., | |
Series 2021-40A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/16/33 | 1,3,4 | | | 275,000 | | | | 261,082 | |
Oakwood Mortgage Investors, Inc., | |
Series 1999-C, Class A2 | |
7.48% | | | 08/15/27 | | | | 474,426 | | | | 449,246 | |
Oakwood Mortgage Investors, Inc., | |
Series 2002-A, Class A2 | |
5.01% | | | 03/15/20 | 4 | | | 11,080 | | | | 11,305 | |
OCP CLO Ltd., | |
Series 2017-14A, Class A1A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
1.28% | | | 11/20/30 | 1,2,3 | | | 325,000 | | | | 325,133 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.25%) | |
1.38% | | | 10/19/32 | 1,2,3 | | | 275,000 | | | | 275,041 | |
Palmer Square CLO Ltd., | |
Series 2014-1A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.13%) | |
1.26% | | | 01/17/31 | 1,2,3 | | | 725,000 | | | | 725,116 | |
Palmer Square CLO Ltd., | |
Series 2020-3A, Class A1A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.37%) | |
1.49% | | | 11/15/31 | 1,2,3 | | | 550,000 | | | | 551,198 | |
Palmer Square CLO Ltd., | |
Series 2021-1A, Class SUB | |
(Cayman Islands) | |
0.00% | | | 04/20/34 | 1,3,4 | | | 625,000 | | | | 579,374 | |
Palmer Square Loan Funding Ltd., | |
Series 2019-4A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | | 10/24/27 | 1,2,3 | | | 19,447 | | | | 19,451 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
1.68% | | | 04/20/28 | 1,2,3 | | $ | 10,000 | | | $ | 10,003 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through | | | | | |
Certificates, | |
Series 2005-WCH1, Class M4 | |
(LIBOR USD 1-Month plus 1.25%) | |
1.33% | | | 01/25/36 | 2 | | | 15,016 | | | | 15,189 | |
PHEAA Student Loan Trust, | |
Series 2014-3A, Class A | |
(LIBOR USD 1-Month plus 0.59%) | |
0.68% | | | 08/25/40 | 1,2 | | | 39,206 | | | | 38,991 | |
Progress Residential Trust, | |
Series 2019-SFR1, Class A | |
3.42% | | | 08/17/35 | 1 | | | 347,657 | | | | 351,588 | |
Progress Residential Trust, | |
Series 2019-SFR2, Class A | |
3.15% | | | 05/17/36 | 1 | | | 331,059 | | | | 334,848 | |
Progress Residential, | |
Series 2021-SFR1, Class H | |
5.00% | | | 04/17/38 | 1 | | | 750,000 | | | | 770,809 | |
Residential Asset Mortgage Products Trust, | |
Series 2006-EFC2, Class A4 | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 12/25/36 | 2 | | | 67,466 | | | | 67,420 | |
Rockford Tower CLO Ltd., | |
Series 2017-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.02%) | |
1.15% | | | 10/15/29 | 1,2,3 | | | 55,000 | | | | 55,003 | |
Rockford Tower CLO Ltd., | |
Series 2017-3A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.19%) | |
1.32% | | | 10/20/30 | 1,2,3 | | | 475,000 | | | | 475,054 | |
Securitized Asset-Backed Receivables LLC Trust, | |
| Series 2006-CB1, Class AF4 (STEP-reset date 11/25/21) | | | | | |
2.92% | | | 01/25/36 | | | | 116,997 | | | | 107,902 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC1, Class A2B | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | | 12/25/36 | 2 | | | 1,039,825 | | | | 747,765 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 12/30/99 | 5,6 | | | 532,481 | | | | 533,999 | |
SLM Student Loan Trust, | |
Series 2004-1, Class B | |
(LIBOR USD 3-Month plus 0.50%) | |
0.63% | | | 07/25/39 | 2 | | | 198,095 | | | | 190,127 | |
SLM Student Loan Trust, | |
Series 2007-2, Class B | |
(LIBOR USD 3-Month plus 0.17%) | |
0.30% | | | 07/25/25 | 2 | | | 115,000 | | | | 104,272 | |
|
| See accompanying Notes to Financial Statements. |
|
| 41 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| 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%) | |
1.83% | | | 07/25/23 | 2 | | $ | 95,361 | | | $ | 96,308 | |
SLM Student Loan Trust, | |
Series 2008-7, Class A4 | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | | 07/25/23 | 2 | | | 17,106 | | | | 17,095 | |
SLM Student Loan Trust, | |
Series 2008-7, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | | 07/26/83 | 2 | | | 10,000 | | | | 10,041 | |
Soundview Home Loan Trust, | |
Series 2007-OPT2, Class 2A4 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 07/25/37 | 2 | | | 348,706 | | | | 315,657 | |
Soundview Home Loan Trust, | |
Series 2007-OPT4, Class 1A1 | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | | 09/25/37 | 2 | | | 471,985 | | | | 381,288 | |
TAL Advantage VII LLC, | |
Series 2020-1A, Class A | |
2.05% | | | 09/20/45 | 1 | | | 554,900 | | | | 559,926 | |
Textainer Marine Containers VIII Ltd., | |
Series 2020-2A, Class A | |
(Bermuda) | |
2.10% | | | 09/20/45 | 1,3 | | | 524,977 | | | | 530,744 | |
TIF Funding II LLC, | |
Series 2020-1A, Class A | |
2.09% | | | 08/20/45 | 1 | | | 505,083 | | | | 509,142 | |
Voya CLO Ltd., | |
Series 2018-4A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.65%) | |
1.78% | | | 01/15/32 | 1,2,3 | | | 250,000 | | | | 250,026 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $34,519,489) | | | | 33,200,542 | |
| | | | | | | | | | | | |
|
BANK LOANS — 8.83%* | |
|
Communications — 1.11% | |
CenturyLink, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 03/15/27 | 2 | | | 124,053 | | | | 122,873 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 04/15/27 | 2 | | | 49,622 | | | | 49,131 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 08/02/27 | 2 | | | 350,000 | | | | 350,620 | |
Frontier Communications holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/01/28 | 2 | | | 124,375 | | | | 124,491 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
GTT Communications BV, | |
Term Loan B, 1st Lien | |
(EURIBOR plus 3.25%) | |
3.25% | | | 05/31/25 | 2 | | $ | 75,786 | | | $ | 74,822 | |
Intelsat Jackson Holdings SA, | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
(LIBOR plus 4.75%) | |
5.75% | | | 07/13/22 | 2,3,7 | | | 1,000,000 | | �� | | 1,008,750 | |
National CineMedia LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 8.00%) | |
9.00% | | | 12/20/24 | 2 | | | 248,750 | | | | 249,994 | |
| | | | | | | | | | | | |
| | | | 1,980,681 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.61% | |
ADMI Corp., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 3.13%) | |
3.63% | | | 12/23/27 | 2 | | | 149,250 | | | | 148,237 | |
Kwor Acquisition, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 06/03/26 | 2 | | | 322,525 | | | | 320,106 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 02/01/28 | 2 | | | 273,625 | | | | 274,267 | |
Sunshine Luxembourg VII SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 10/01/26 | 2 | | | 248,750 | | | | 249,730 | |
Waystar technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 10/22/26 | 2 | | | 98,995 | | | | 99,181 | |
| | | | | | | | | | | | |
| | | | 1,091,521 | |
| | | | | | | | | | | | |
|
Electric — 1.01% | |
Astoria Energy LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 12/10/27 | 2 | | | 271,069 | | | | 272,339 | |
Calpine Corp., | |
Term Loan B9, 1st Lien | |
(LIBOR plus 2.00%) | |
2.09% | | | 04/05/26 | 2 | | | 248,096 | | | | 245,577 | |
CommScope, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/06/26 | 2 | | | 396,962 | | | | 395,763 | |
Endure Digital, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 02/10/28 | 2 | | | 399,000 | | | | 397,454 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 42 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric (continued) | |
Vistra Operations Co., LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 12/31/25 | 2 | | $ | 495,846 | | | $ | 492,645 | |
| | | | | | | | | | | | |
| | | | 1,803,778 | |
| | | | | | | | | | | | |
|
Entertainment — 0.58% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 02/28/25 | 2 | | | 125,881 | | | | 104,114 | |
Crown Finance U.S., Inc., | |
Term Loan B1, 1st Lien | |
7.00% | | | 05/23/24 | 2 | | | 751,453 | | | | 931,177 | |
| | | | | | | | | | | | |
| | | | 1,035,291 | |
| | | | | | | | | | | | |
|
Finance — 0.36% | |
DCG Acquisition Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
4.59% | | | 09/30/26 | 2 | | | 272,933 | | | | 273,615 | |
Mirion Technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 03/06/26 | 2 | | | 98,985 | | | | 99,295 | |
Schweitzer-Mauduit International, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 02/09/28 | 2 | | | 274,313 | | | | 274,655 | |
| | | | | | | | | | | | |
| | | | 647,565 | |
| | | | | | | | | | | | |
|
Food — 0.06% | |
Houston Foods, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 07/20/25 | 2 | | | 98,977 | | | | 97,864 | |
| | | | | | | | | | | | |
|
Gaming — 0.22% | |
Churchill Downs, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.10% | | | 12/27/24 | 2 | | | 396,907 | | | | 396,907 | |
| | | | | | | | | | | | |
|
Health Care — 1.41% | |
Avantor Funding, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
2.75% | | | 11/08/27 | 2 | | | 99,500 | | | | 99,780 | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
2.50% | | | 01/15/25 | 2 | | | 275,000 | | | | 274,245 | |
Buckeye Partners LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 11/01/26 | 2 | | | 248,125 | | | | 247,172 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Certara Holdco, Inc., | |
Term Loan B | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/15/26 | 2 | | $ | 274,313 | | | $ | 274,143 | |
CPI Holdco LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 11/04/26 | 2 | | | 98,995 | | | | 99,119 | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 08/01/27 | 2 | | | 545,365 | | | | 539,374 | |
Genesee & Wyoming, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.00%) | |
2.13% | | | 12/30/26 | 2 | | | 272,922 | | | | 271,557 | |
Gentiva Health Services, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 07/02/25 | 2 | | | 62,115 | | | | 62,166 | |
Horizon Therapeutics USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 03/15/28 | 2 | | | 273,625 | | | | 273,454 | |
ICON Luxembourg SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 07/03/28 | 2 | | | 223,592 | | | | 224,585 | |
Indigo Merger Sub, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 07/03/28 | 2 | | | 55,708 | | | | 55,956 | |
Pathway Vet Alliance LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 03/31/27 | 2 | | | 99,001 | | | | 98,928 | |
| | | | | | | | | | | | |
| | | | 2,520,479 | |
| | | | | | | | | | | | |
|
Industrials — 0.60% | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
1.86% | | | 07/01/26 | 2 | | | 357,442 | | | | 355,922 | |
Charter NEX U.S., Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 12/01/27 | 2 | | | 74,625 | | | | 74,876 | |
Michaels Cos., Inc. (The), | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 04/15/28 | 2 | | | 169,575 | | | | 169,940 | |
Proampac PG Borrower LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 11/03/25 | 2 | | | 199,000 | | | | 199,622 | |
|
| See accompanying Notes to Financial Statements. |
|
| 43 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 08/12/24 | 2 | | $ | 272,550 | | | $ | 266,588 | |
| | | | | | | | | | | | |
| | | | 1,066,948 | |
| | | | | | | | | | | | |
|
Information Technology — 1.59% | |
AppLovin Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 08/15/25 | 2 | | | 272,895 | | | | 272,874 | |
BJ’s Wholesale Club, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 02/03/24 | 2 | | | 372,002 | | | | 372,635 | |
CT Technologies Intermediate Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 12/16/25 | 2 | | | 74,625 | | | | 74,847 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/14/25 | 2 | | | 273,597 | | | | 270,792 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 10/01/27 | 2 | | | 248,747 | | | | 249,680 | |
IQVIA, Inc., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 01/17/25 | 2 | | | 369,469 | | | | 368,915 | |
Nouryon USA LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 10/01/25 | 2 | | | 332,587 | | | | 330,799 | |
Precision Medicine Group LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.75% | | | 11/18/27 | 2,8 | | | 351,192 | | | | 351,703 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 04/24/28 | 2 | | | 275,000 | | | | 274,455 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 03/04/28 | 2 | | | 274,313 | | | | 275,388 | |
| | | | | | | | | | | | |
| | | | 2,842,088 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.28% | |
Aveanna Healthcare LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 07/01/28 | 2 | | | 251,509 | | | | 251,725 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Real Estate Investment Trust (REIT) (continued) | |
Rent-A-Center, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 02/17/28 | 2 | | $ | 248,750 | | | $ | 249,994 | |
| | | | | | | | | | | | |
| | | | 501,719 | |
| | | | | | | | | | | | |
|
Retail — 0.62% | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | | 02/19/28 | 2 | | | 173,688 | | | | 172,820 | |
Aveanna Healthcare LLC, | |
Delayed-Draw Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.00% | | | 07/17/28 | 2 | | | 58,491 | | | | 58,541 | |
Sinclair Television Group, Inc., | |
Term Loan B2B, 1st Lien | |
(LIBOR plus 2.50%) | |
2.59% | | | 09/30/26 | 2 | | | 396,962 | | | | 391,010 | |
U.S. Anesthesia Partners, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | | 09/22/28 | 2 | | | 475,000 | | | | 476,299 | |
| | | | | | | | | | | | |
| | | | 1,098,670 | |
| | | | | | | | | | | | |
|
Services — 0.22% | |
SS&C Technologies, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 2 | | | 396,716 | | | | 393,576 | |
| | | | | | | | | | | | |
|
Transportation — 0.16% | |
Kenan Advantage Group, Inc. (The), | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.00% | | | 08/17/29 | 2 | | | 275,000 | | | | 273,281 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $15,521,107) | | | | 15,750,368 | |
| | | | | | | | | | | | |
|
CORPORATES — 28.44%* | |
|
Banking — 4.20% | |
Bank of America Corp. | |
(MTN) | |
2.02% | | | 02/13/26 | 4 | | | 375,000 | | | | 384,857 | |
2.09% | | | 06/14/29 | 4 | | | 365,000 | | | | 364,754 | |
3.82% | | | 01/20/28 | 4 | | | 125,000 | | | | 138,044 | |
Bank of America Corp., | |
Series N | |
1.66% | | | 03/11/27 | 4 | | | 865,000 | | | | 870,819 | |
Comerica, Inc. | |
5.63% | | | 10/01/70 | 4 | | | 15,000 | | | | 16,556 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 1,3,4 | | | 425,000 | | | | 416,055 | |
2.19% | | | 06/05/26 | 1,3,4 | | | 195,000 | | | | 198,923 | |
2.59% | | | 09/11/25 | 1,3,4 | | | 40,000 | | | | 41,445 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 44 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
3.75% | | | 03/26/25 | 3 | | $ | 80,000 | | | $ | 86,311 | |
4.55% | | | 04/17/26 | 3 | | | 155,000 | | | | 174,204 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | | 09/30/25 | 1,3,4 | | | 270,000 | | | | 270,168 | |
HSBC Holdings PLC | |
(United Kingdom) | |
0.98% | | | 05/24/25 | 3,4 | | | 245,000 | | | | 244,594 | |
1.59% | | | 05/24/27 | 3,4 | | | 380,000 | | | | 377,615 | |
2.21% | | | 08/17/29 | 3,4 | | | 200,000 | | | | 198,620 | |
2.63% | | | 11/07/25 | 3,4 | | | 150,000 | | | | 156,496 | |
4.29% | | | 09/12/26 | 3,4 | | | 130,000 | | | | 143,327 | |
JPMorgan Chase & Co. | |
0.97% | | | 06/23/25 | 4 | | | 280,000 | | | | 280,385 | |
1.47% | | | 09/22/27 | 4 | | | 270,000 | | | | 268,216 | |
1.58% | | | 04/22/27 | 4 | | | 270,000 | | | | 270,612 | |
2.01% | | | 03/13/26 | 4 | | | 25,000 | | | | 25,632 | |
2.08% | | | 04/22/26 | 4 | | | 165,000 | | | | 169,775 | |
2.52% | | | 04/22/31 | 4 | | | 80,000 | | | | 81,663 | |
2.58% | | | 04/22/32 | 4 | | | 205,000 | | | | 207,995 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | | 05/11/27 | 3,4 | | | 305,000 | | | | 304,849 | |
2.86% | | | 03/17/23 | 3,4 | | | 220,000 | | | | 222,465 | |
3.87% | | | 07/09/25 | 3,4 | | | 30,000 | | | | 32,355 | |
Macquarie Group Ltd. | |
(Australia) | |
2.69% | | | 06/23/32 | 1,3,4 | | | 100,000 | | | | 99,911 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.09% | | | 03/15/25 | 3,4 | | | 325,000 | | | | 325,703 | |
1.67% | | | 06/14/27 | 3,4 | | | 270,000 | | | | 269,071 | |
3.37% | | | 01/05/24 | 3,4 | | | 35,000 | | | | 36,170 | |
4.80% | | | 11/15/24 | 3,4 | | | 135,000 | | | | 146,195 | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | | 02/11/26 | 4 | | | 345,000 | | | | 356,003 | |
2.39% | | | 06/02/28 | 4 | | | 305,000 | | | | 314,836 | |
| | | | | | | | | | | | |
| | | | 7,494,624 | |
| | | | | | | | | | | | |
|
Communications — 5.23% | |
AT&T, Inc. | |
2.55% | | | 12/01/33 | | | | 897,000 | | | | 883,304 | |
4.75% | | | 05/15/46 | | | | 200,000 | | | | 239,668 | |
Cable One, Inc. | |
4.00% | | | 11/15/30 | 1 | | | 167,000 | | | | 166,165 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
5.38% | | | 05/01/47 | | | | 141,000 | | | | 169,300 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 1 | | | 751,000 | | | | 499,121 | |
6.63% | | | 08/15/27 | 1 | | | 660,000 | | | | 293,823 | |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | | | | | |
5.88% | | | 08/15/27 | 1 | | | 275,000 | | | | 287,369 | |
DISH Network Corp. | |
3.38% | | | 08/15/26 | | | | 837,000 | | | | 872,154 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
5.50% | | | 08/01/23 | 3,9,10 | | $ | 535,000 | | | $ | 299,223 | |
8.50% | | | 10/15/24 | 1,3,9,10 | | | 270,000 | | | | 156,600 | |
9.75% | | | 07/15/25 | 1,3,9,10 | | | 360,000 | | | | 203,054 | |
Level 3 Financing, Inc. | |
3.63% | | | 01/15/29 | 1 | | | 40,000 | | | | 38,803 | |
3.88% | | | 11/15/29 | 1 | | | 220,000 | | | | 235,521 | |
Lumen Technologies, Inc. | |
5.38% | | | 06/15/29 | 1 | | | 450,000 | | | | 459,724 | |
National CineMedia LLC | |
5.88% | | | 04/15/28 | 1 | | | 657,000 | | | | 602,331 | |
Scripps Escrow II, Inc. | |
5.38% | | | 01/15/31 | 1 | | | 449,000 | | | | 442,096 | |
Scripps Escrow, Inc. | |
5.88% | | | 07/15/27 | 1 | | | 116,000 | | | | 119,480 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | | 03/20/25 | 1 | | | 284,375 | | | | 304,068 | |
5.15% | | | 03/20/28 | 1 | | | 495,000 | | | | 566,305 | |
Tencent Holdings Ltd. | |
(Cayman Islands) | |
2.88% | | | 04/22/31 | 1,3 | | | 200,000 | | | | 204,361 | |
Time Warner Cable LLC | |
5.50% | | | 09/01/41 | | | | 80,000 | | | | 98,200 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 758,000 | | | | 767,495 | |
2.55% | | | 02/15/31 | | | | 199,000 | | | | 199,839 | |
4.38% | | | 04/15/40 | | | | 15,000 | | | | 17,300 | |
Verizon Communications, Inc. | |
3.15% | | | 03/22/30 | | | | 5,000 | | | | 5,350 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
4.50% | | | 08/15/30 | 1,3 | | | 324,000 | | | | 329,419 | |
Vmed O2 UK Financing I PLC | |
(United Kingdom) | |
4.25% | | | 01/31/31 | 1,3 | | | 560,000 | | | | 559,300 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.25% | | | 09/17/50 | 3 | | | 60,000 | | | | 69,261 | |
4.38% | | | 05/30/28 | 3 | | | 205,000 | | | | 235,591 | |
| | | | | | | | | | | | |
| | | | 9,324,225 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 1.13% | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev | |
Worldwide, Inc. | |
4.90% | | | 02/01/46 | | | | 215,000 | | | | 264,685 | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | | 05/15/25 | 1,3 | | | 215,000 | | | | 237,059 | |
4.70% | | | 05/15/28 | 1,3 | | | 65,000 | | | | 75,134 | |
5.30% | | | 05/15/48 | 1,3 | | | 115,000 | | | | 150,226 | |
BAT Capital Corp. | |
3.56% | | | 08/15/27 | | | | 165,000 | | | | 177,836 | |
4.39% | | | 08/15/37 | | | | 150,000 | | | | 161,312 | |
4.54% | | | 08/15/47 | | | | 5,000 | | | | 5,188 | |
|
| See accompanying Notes to Financial Statements. |
|
| 45 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Consumer Discretionary (continued) | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
4.25% | | | 07/21/25 | 1,3 | | $ | 160,000 | | | $ | 174,515 | |
Reynolds American, Inc. | |
4.45% | | | 06/12/25 | | | | 95,000 | | | | 104,774 | |
5.70% | | | 08/15/35 | | | | 100,000 | | | | 119,916 | |
5.85% | | | 08/15/45 | | | | 195,000 | | | | 237,900 | |
Spectrum Brands, Inc. | |
3.88% | | | 03/15/31 | 1 | | | 300,000 | | | | 303,559 | |
| | | | | | | | | | | | |
| | | | 2,012,104 | |
| | | | | | | | | | | | |
|
Electric — 1.17% | |
Alliant Energy Finance LLC | |
1.40% | | | 03/15/26 | 1 | | | 245,000 | | | | 241,890 | |
Duke Energy Carolinas LLC | |
4.00% | | | 09/30/42 | | | | 250,000 | | | | 286,541 | |
Eversource Energy, | |
Series O | |
4.25% | | | 04/01/29 | | | | 8,000 | | | | 9,207 | |
FirstEnergy Corp., | |
Series C | |
3.40% | | | 03/01/50 | | | | 546,000 | | | | 526,267 | |
FirstEnergy Transmission LLC | |
2.87% | | | 09/15/28 | 1 | | | 418,000 | | | | 436,672 | |
NextEra Energy Capital Holdings, Inc. | |
(LIBOR USD 3-Month plus 0.27%) | |
0.40% | | | 02/22/23 | 2 | | | 385,000 | | | | 385,052 | |
Pennsylvania Electric Co. | |
4.15% | | | 04/15/25 | 1 | | | 5,000 | | | | 5,317 | |
Public Service Co. of New Mexico | |
3.85% | | | 08/01/25 | | | | 40,000 | | | | 42,909 | |
Tucson Electric Power Co. | |
3.85% | | | 03/15/23 | | | | 140,000 | | | | 145,442 | |
| | | | | | | | | | | | |
| | | | 2,079,297 | |
| | | | | | | | | | | | |
|
Energy — 3.42% | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | | 04/01/28 | 1 | | | 323,000 | | | | 335,112 | |
Endeavor Energy Resources LP/EER Finance, Inc. | |
5.75% | | | 01/30/28 | 1 | | | 138,000 | | | | 145,417 | |
Energy Transfer LP | |
4.75% | | | 01/15/26 | | | | 10,000 | | | | 11,177 | |
4.90% | | | 03/15/35 | | | | 20,000 | | | | 23,027 | |
4.95% | | | 06/15/28 | | | | 100,000 | | | | 114,808 | |
5.00% | | | 05/15/50 | | | | 55,000 | | | | 63,570 | |
5.40% | | | 10/01/47 | | | | 28,000 | | | | 33,422 | |
Energy Transfer LP, | |
Series B | |
6.63% | | | 02/15/70 | 4 | | | 733,000 | | | | 715,591 | |
Exxon Mobil Corp. | |
4.23% | | | 03/19/40 | | | | 70,000 | | | | 83,176 | |
4.33% | | | 03/19/50 | | | | 20,000 | | | | 24,528 | |
Galaxy Pipeline Assets Bidco Ltd. | |
(United Kingdom) | |
2.16% | | | 03/31/34 | 1,3 | | | 200,000 | | | | 196,855 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Energy (continued) | |
Hess Corp. | |
4.30% | | | 04/01/27 | | | $ | 45,000 | | | $ | 50,008 | |
5.60% | | | 02/15/41 | | | | 20,000 | | | | 24,918 | |
KazMunayGas National Co. JSC | |
(Kazakhstan) | |
3.50% | | | 04/14/33 | 1,3 | | | 200,000 | | | | 206,840 | |
KazMunayGas National Co. JSC, | |
Series REGS | |
(Kazakhstan) | |
3.50% | | | 04/14/33 | 3 | | | 200,000 | | | | 206,840 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/26 | 1 | | | 294,000 | | | | 300,171 | |
NGPL Pipe Co. LLC | |
4.88% | | | 08/15/27 | 1 | | | 40,000 | | | | 45,518 | |
Occidental Petroleum Corp. | |
0.00% | | | 10/10/36 | 11 | | | 644,000 | | | | 355,810 | |
Petroleos Mexicanos | |
(Mexico) | |
6.63% | | | 06/15/35 | 3 | | | 5,000 | | | | 4,769 | |
6.75% | | | 09/21/47 | 3 | | | 15,000 | | | | 13,105 | |
6.95% | | | 01/28/60 | 3 | | | 5,000 | | | | 4,351 | |
7.69% | | | 01/23/50 | 3 | | | 145,000 | | | | 137,498 | |
Petronas Capital Ltd. | |
(Malaysia) | |
3.50% | | | 04/21/30 | 1,3 | | | 200,000 | | | | 217,080 | |
Rockies Express Pipeline LLC | |
4.80% | | | 05/15/30 | 1 | | | 234,000 | | | | 242,190 | |
4.95% | | | 07/15/29 | 1 | | | 215,000 | | | | 223,934 | |
Ruby Pipeline LLC | |
8.00% | | | 04/01/22 | 1,5,6 | | | 535,455 | | | | 497,973 | |
Southern Natural Gas Co. LLC | |
4.80% | | | 03/15/47 | 1 | | | 65,000 | | | | 79,708 | |
Texas Eastern Transmission LP | |
2.80% | | | 10/15/22 | 1 | | | 170,000 | | | | 172,824 | |
TransMontaigne Partners LP/TLP Finance Corp. | |
6.13% | | | 02/15/26 | | | | 150,000 | | | | 154,125 | |
Transocean Phoenix 2 Ltd. | |
(Cayman Islands) | |
7.75% | | | 10/15/24 | 1,3 | | | 85,250 | | | | 87,061 | |
Transocean Poseidon Ltd. | |
(Cayman Islands) | |
6.88% | | | 02/01/27 | 1,3 | | | 35,000 | | | | 34,879 | |
Transocean Proteus Ltd. | |
(Cayman Islands) | |
6.25% | | | 12/01/24 | 1,3 | | | 390,500 | | | | 392,314 | |
| USA Compression Partners LP/USA Compression Finance | | | | | |
Corp. | |
6.88% | | | 09/01/27 | | | | 132,000 | | | | 139,934 | |
Venture Global Calcasieu Pass LLC | |
4.13% | | | 08/15/31 | 1 | | | 675,000 | | | | 705,800 | |
Williams Cos., Inc. (The) | |
4.30% | | | 03/04/24 | | | | 60,000 | | | | 64,471 | |
| | | | | | | | | | | | |
| | | | 6,108,804 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 46 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Entertainment — 0.21% | |
Cinemark USA, Inc. | |
5.25% | | | 07/15/28 | 1 | | $ | 385,000 | | | $ | 380,188 | |
| | | | | | | | | | | | |
|
Finance — 2.36% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.65% | | | 07/21/27 | 3 | | | 25,000 | | | | 26,574 | |
3.88% | | | 01/23/28 | 3 | | | 5,000 | | | | 5,341 | |
4.45% | | | 10/01/25 | 3 | | | 110,000 | | | | 120,127 | |
Air Lease Corp. | |
2.25% | | | 01/15/23 | | | | 25,000 | | | | 25,551 | |
Air Lease Corp. | |
(MTN) | |
3.00% | | | 02/01/30 | | | | 35,000 | | | | 35,584 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 1,3 | | | 28,000 | | | | 27,561 | |
Citigroup, Inc. | |
4.41% | | | 03/31/31 | 4 | | | 15,000 | | | | 17,328 | |
Discover Financial Services | |
3.95% | | | 11/06/24 | | | | 205,000 | | | | 222,003 | |
Ford Motor Credit Co. LLC | |
3.22% | | | 01/09/22 | | | | 180,000 | | | | 180,675 | |
3.81% | | | 10/12/21 | | | | 6,000 | | | | 6,011 | |
4.25% | | | 09/20/22 | | | | 85,000 | | | | 87,040 | |
5.60% | | | 01/07/22 | | | | 430,000 | | | | 435,676 | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | | 03/28/22 | 2 | | | 300,000 | | | | 300,233 | |
GE Capital International Funding Co. | |
(Ireland) | |
4.42% | | | 11/15/35 | 3 | | | 330,000 | | | | 396,403 | |
Goldman Sachs Group, Inc. (The) | |
1.43% | | | 03/09/27 | 4 | | | 575,000 | | | | 573,506 | |
3.27% | | | 09/29/25 | 4 | | | 165,000 | | | | 176,484 | |
Goldman Sachs Group, Inc. (The), | |
Series VAR | |
1.09% | | | 12/09/26 | 4 | | | 5,000 | | | | 4,929 | |
Morgan Stanley | |
0.99% | | | 12/10/26 | 4 | | | 145,000 | | | | 142,520 | |
1.59% | | | 05/04/27 | 4 | | | 270,000 | | | | 270,856 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | | 07/20/27 | 4 | | | 510,000 | | | | 507,831 | |
Nationwide Building Society | |
(United Kingdom) | |
3.77% | | | 03/08/24 | 1,3,4 | | | 205,000 | | | | 213,774 | |
4.36% | | | 08/01/24 | 1,3,4 | | | 25,000 | | | | 26,615 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | | 03/15/23 | 1,3 | | | 30,000 | | | | 31,355 | |
5.50% | | | 02/15/24 | 1,3 | | | 2,000 | | | | 2,183 | |
Pipeline Funding Co. LLC | |
7.50% | | | 01/15/30 | 1 | | | 155,715 | | | | 198,430 | |
Raymond James Financial, Inc. | |
4.65% | | | 04/01/30 | | | | 145,000 | | | | 172,161 | |
| | | | | | | | | | | | |
| | | | 4,206,751 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Food — 1.44% | |
Conagra Brands, Inc. | |
4.85% | | | 11/01/28 | | | $ | 10,000 | | | $ | 11,737 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | | | | | |
Inc. | |
(Canada) | |
3.75% | | | 12/01/31 | 1,3 | | | 235,000 | | | | 246,478 | |
5.50% | | | 01/15/30 | 1,3 | | | 376,000 | | | | 418,665 | |
Kraft Heinz Foods Co. | |
3.00% | | | 06/01/26 | | | | 185,000 | | | | 194,813 | |
4.88% | | | 10/01/49 | | | | 70,000 | | | | 85,321 | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | 1 | | | 500,000 | | | | 509,470 | |
4.25% | | | 04/15/31 | 1 | | | 180,000 | | | | 192,604 | |
5.88% | | | 09/30/27 | 1 | | | 184,000 | | | | 195,440 | |
Post Holdings, Inc. | |
4.50% | | | 09/15/31 | 1 | | | 225,000 | | | | 223,211 | |
4.63% | | | 04/15/30 | 1 | | | 320,000 | | | | 322,874 | |
Smithfield Foods, Inc. | |
3.35% | | | 02/01/22 | 1 | | | 165,000 | | | | 166,589 | |
5.20% | | | 04/01/29 | 1 | | | 5,000 | | | | 5,746 | |
| | | | | | | | | | | | |
| | | | 2,572,948 | |
| | | | | | | | | | | | |
|
Health Care — 3.89% | |
180 Medical, Inc. | |
3.88% | | | 3.88 | 1 | | | 275,000 | | | | 275,000 | |
AbbVie, Inc. | |
3.85% | | | 06/15/24 | | | | 10,000 | | | | 10,759 | |
4.05% | | | 11/21/39 | | | | 5,000 | | | | 5,750 | |
4.50% | | | 05/14/35 | | | | 424,000 | | | | 507,379 | |
Aetna, Inc. | |
3.50% | | | 11/15/24 | | | | 10,000 | | | | 10,756 | |
Amgen, Inc. | |
3.15% | | | 02/21/40 | | | | 100,000 | | | | 102,118 | |
Bayer U.S. Finance II LLC | |
4.25% | | | 12/15/25 | 1 | | | 255,000 | | | | 282,004 | |
4.38% | | | 12/15/28 | 1 | | | 210,000 | | | | 237,938 | |
4.88% | | | 06/25/48 | 1 | | | 180,000 | | | | 220,642 | |
Becton Dickinson and Co. | |
3.73% | | | 12/15/24 | | | | 3,000 | | | | 3,243 | |
Centene Corp. | |
2.45% | | | 07/15/28 | | | | 349,000 | | | | 350,902 | |
3.00% | | | 10/15/30 | | | | 323,000 | | | | 331,479 | |
Cigna Corp. | |
3.40% | | | 03/01/27 | | | | 30,000 | | | | 32,799 | |
3.40% | | | 03/15/51 | | | | 75,000 | | | | 77,578 | |
CommonSpirit Health | |
2.78% | | | 10/01/30 | | | | 35,000 | | | | 36,056 | |
4.35% | | | 11/01/42 | | | | 100,000 | | | | 114,768 | |
CVS Health Corp. | |
5.05% | | | 03/25/48 | | | | 190,000 | | | | 245,122 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | |
6.00% | | | 06/30/28 | 1,3 | | | 300,000 | | | | 216,750 | |
| Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. | | | | | |
(Luxembourg) | |
6.13% | | | 04/01/29 | 1,3 | | | 175,000 | | | | 175,154 | |
|
| See accompanying Notes to Financial Statements. |
|
| 47 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| 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 | | $ | 120,000 | | | $ | 122,097 | |
Gilead Sciences, Inc. | |
(LIBOR USD 3-Month plus 0.52%) | |
0.65% | | | 09/29/23 | 2 | | | 155,000 | | | | 155,093 | |
Grifols Escrow Issuer SA | |
(Spain) | |
4.75% | | | 10/15/28 | 1,3 | | | 275,000 | | | | 281,734 | |
HCA, Inc. | |
4.13% | | | 06/15/29 | | | | 80,000 | | | | 89,418 | |
5.00% | | | 03/15/24 | | | | 10,000 | | | | 10,975 | |
5.25% | | | 06/15/49 | | | | 185,000 | | | | 236,533 | |
HCRX Investments Holdco LP | |
4.50% | | | 08/01/29 | 1 | | | 425,000 | | | | 427,658 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | | 10/01/29 | 1 | | | 425,000 | | | | 441,065 | |
Molina Healthcare, Inc. | |
3.88% | | | 11/15/30 | 1 | | | 763,000 | | | | 805,601 | |
4.38% | | | 06/15/28 | 1 | | | 74,000 | | | | 77,066 | |
Mozart Debt Merger Sub, Inc. | |
3.88% | | | 04/01/29 | 1 | | | 267,000 | | | | 267,000 | |
Prime Healthcare Services, Inc. | |
7.25% | | | 11/01/25 | 1 | | | 396,000 | | | | 424,710 | |
Royalty Pharma PLC | |
(United Kingdom) | |
1.75% | | | 09/02/27 | 3 | | | 225,000 | | | | 223,494 | |
Tenet Healthcare Corp. | |
4.63% | | | 06/15/28 | 1 | | | 96,000 | | | | 99,600 | |
UnitedHealth Group, Inc. | |
3.70% | | | 08/15/49 | | | | 5,000 | | | | 5,693 | |
Viatris, Inc. | |
1.13% | | | 06/22/22 | 1 | | | 40,000 | | | | 40,217 | |
| | | | | | | | | | | | |
| | | | 6,944,151 | |
| | | | | | | | | | | | |
|
Industrials — 0.42% | |
Artera Services LLC | |
9.03% | | | 12/04/25 | 1 | | | 179,000 | | | | 194,386 | |
BAE Systems Holdings, Inc. | |
3.85% | | | 12/15/251 | | | | 60,000 | | | | 65,508 | |
Boeing Co. (The) | |
1.43% | | | 02/04/24 | | | | 340,000 | | | | 340,507 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | | 05/05/26 | 2 | | | 60,000 | | | | 59,419 | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 2 | | | 52,000 | | | | 45,395 | |
General Electric Co., | |
Series A (MTN) | |
6.75% | | | 03/15/32 | | | | 30,000 | | | | 41,072 | |
| | | | | | | | | | | | |
| | | | 746,287 | |
| | | | | | | | | | | | |
|
Information Technology — 0.25% | |
Fiserv, Inc. | |
2.65% | | | 06/01/30 | | | | 10,000 | | | | 10,240 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Information Technology (continued) | |
Intel Corp. | |
3.05% | | | 08/12/51 | | | $ | 29,000 | | | $ | 29,045 | |
Oracle Corp. | |
2.88% | | | 03/25/31 | | | | 65,000 | | | | 67,022 | |
3.95% | | | 03/25/51 | | | | 320,000 | | | | 339,382 | |
| | | | | | | | | | | | |
| | | | 445,689 | |
| | | | | | | | | | | | |
|
Insurance — 0.95% | |
Acrisure LLC/Acrisure Finance, Inc. | |
4.25% | | | 02/15/29 | 1 | | | 305,000 | | | | 301,921 | |
AmWINS Group, Inc. | |
4.88% | | | 06/30/29 | 1 | | | 179,000 | | | | 181,756 | |
Aon Corp. | |
2.80% | | | 05/15/30 | | | | 15,000 | | | | 15,684 | |
Athene Global Funding | |
1.99% | | | 08/19/281 | | | | 445,000 | | | | 440,094 | |
Farmers Insurance Exchange | |
4.75% | | | 11/01/57 | 1,4 | | | 135,000 | | | | 153,467 | |
Metropolitan Life Global Funding I | |
2.95% | | | 04/09/30 | 1 | | | 15,000 | | | | 16,049 | |
Nationwide Mutual Insurance Co. | |
2.41% | | | 12/15/24 | 1,4 | | | 375,000 | | | | 375,445 | |
| Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | | 05/15/50 | 1 | | | 85,000 | | | | 89,501 | |
4.27% | | | 05/15/47 | 1 | | | 40,000 | | | | 48,349 | |
4.38% | | | 09/15/54 | 1,4 | | | 65,000 | | | | 68,185 | |
| | | | | | | | | | | | |
| | | | 1,690,451 | |
| | | | | | | | | | | | |
|
Materials — 1.03% | |
Corp. Nacional del Cobre de Chile, | |
Series REGS | |
(Chile) | |
3.15% | | | 01/14/30 | 3 | | | 200,000 | | | | 206,980 | |
Herens Holdco SARL | |
(Luxembourg) | |
4.75% | | | 05/15/28 | 1,3 | | | 450,000 | | | | 452,859 | |
Indonesia Asahan Aluminium Persero PT, | |
Series REGS | |
(Indonesia) | |
5.45% | | | 05/15/30 | 3 | | | 200,000 | | | | 230,260 | |
6.53% | | | 11/15/28 | 3 | | | 200,000 | | | | 244,000 | |
International Flavors & Fragrances, Inc. | |
2.30% | | | 11/01/30 | 1 | | | 270,000 | | | | 267,876 | |
Unifrax Escrow Issuer Corp. | |
5.25% | | | 09/30/28 | 1 | | | 425,000 | | | | 430,765 | |
| | | | | | | | | | | | |
| | | | 1,832,740 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.54% | |
Alexandria Real Estate Equities, Inc. | |
3.80% | | | 04/15/26 | | | | 75,000 | | | | 82,860 | |
American Assets Trust LP | |
3.38% | | | 02/01/31 | | | | 500,000 | | | | 517,950 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.30% | | | 07/15/26 | | | | 55,000 | | | | 58,919 | |
3.63% | | | 11/15/27 | | | | 80,000 | | | | 87,610 | |
3.75% | | | 04/15/23 | | | | 60,000 | | | | 62,490 | |
3.88% | | | 01/30/31 | | | | 35,000 | | | | 39,125 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 48 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Real Estate Investment Trust (REIT) (continued) | |
Boston Properties LP | |
2.75% | | | 10/01/26 | | | $ | 10,000 | | | $ | 10,559 | |
CyrusOne LP/CyrusOne Finance Corp. | |
2.90% | | | 11/15/24 | | | | 5,000 | | | | 5,246 | |
3.45% | | | 11/15/29 | | | | 140,000 | | | | 145,962 | |
GLP Capital LP/GLP Financing II, Inc. | |
4.00% | | | 01/15/30 | | | | 180,000 | | | | 194,760 | |
5.25% | | | 06/01/25 | | | | 465,000 | | | | 519,093 | |
5.38% | | | 11/01/23 | | | | 10,000 | | | | 10,800 | |
5.75% | | | 06/01/28 | | | | 10,000 | | | | 11,745 | |
Healthcare Realty Trust, Inc. | |
3.63% | | | 01/15/28 | | | | 150,000 | | | | 164,240 | |
Healthcare Trust of America Holdings LP | |
2.00% | | | 03/15/31 | | | | 140,000 | | | | 134,335 | |
Healthpeak Properties, Inc. | |
3.40% | | | 02/01/25 | | | | 2,000 | | | | 2,135 | |
Hudson Pacific Properties LP | |
3.95% | | | 11/01/27 | | | | 55,000 | | | | 60,274 | |
Kilroy Realty LP | |
2.50% | | | 11/15/32 | | | | 50,000 | | | | 49,238 | |
Lexington Realty Trust | |
2.70% | | | 09/15/30 | | | | 160,000 | | | | 162,114 | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | | 420,000 | | | | 430,544 | |
| | | | | | | | | | | | |
| | | | 2,749,999 | |
| | | | | | | | | | | | |
|
Retail — 0.47% | |
7-Eleven, Inc. | |
0.80% | | | 02/10/24 | 1 | | | 185,000 | | | | 184,974 | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
2.95% | | | 01/25/30 | 1,3 | | | 75,000 | | | | 78,053 | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 1 | | | 555,000 | | | | 577,464 | |
| | | | | | | | | | | | |
| | | | 840,491 | |
| | | | | | | | | | | | |
|
Services — 0.65% | |
Adtalem Global Education, Inc. | |
5.50% | | | 03/01/28 | 1 | | | 169,000 | | | | 170,869 | |
HealthEquity, Inc. | |
4.50% | | | 10/01/29 | 1 | | | 450,000 | | | | 457,700 | |
IHS Markit Ltd. | |
(Bermuda) | |
3.63% | | | 05/01/24 | 3 | | | 200,000 | | | | 213,090 | |
4.00% | | | 03/01/26 | 1,3 | | | 200,000 | | | | 220,292 | |
4.75% | | | 02/15/25 | 1,3 | | | 80,000 | | | | 88,605 | |
5.00% | | | 11/01/22 | 1,3 | | | 10,000 | | | | 10,382 | |
| | | | | | | | | | | | |
| | | | 1,160,938 | |
| | | | | | | | | | | | |
|
Transportation — 0.08% | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | | 23,505 | | | | 23,504 | |
JetBlue Airways Pass-Through Trust, | |
Series 1A | |
4.00% | | | 11/15/32 | | | | 72,546 | | | | 79,451 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Transportation (continued) | |
JetBlue Airways Pass-Through Trust, | |
Series 2019-1, Class AA | |
2.75% | | | 05/15/32 | | | $ | 28,171 | | | $ | 28,293 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 14,597 | | | | 15,451 | |
| | | | | | | | | | | | |
| | | | 146,699 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $50,355,911) | | | | 50,736,386 | |
| | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 2.37% | |
|
Foreign Government Obligations — 2.37% | |
Abu Dhabi Government International Bond, | |
Series REGS | |
(United Arab Emirates) | |
2.50% | | | 09/30/29 | 3 | | | 200,000 | | | | 209,100 | |
Brazilian Government International Bond | |
(Brazil) | |
3.88% | | | 06/12/30 | 3 | | | 200,000 | | | | 194,208 | |
Chile Government International Bond | |
(Chile) | |
2.55% | | | 01/27/32 | 3 | | | 200,000 | | | | 198,946 | |
Colombia Government International Bond | |
(Colombia) | |
3.00% | | | 01/30/30 | 3 | | | 400,000 | | | | 378,120 | |
Dominican Republic International Bond, | |
Series REGS | |
(Dominican Republic) | |
4.88% | | | 09/23/32 | 3 | | | 150,000 | | | | 153,390 | |
Egypt Government International Bond | |
(Egypt) | |
7.60% | | | 03/01/29 | 1,3 | | | 200,000 | | | | 207,812 | |
Mexico Government International Bond | |
(Mexico) | |
2.66% | | | 05/24/31 | 3 | | | 212,000 | | | | 204,707 | |
3.75% | | | 01/11/28 | 3 | | | 200,000 | | | | 218,224 | |
Panama Government International Bond | |
(Panama) | |
3.16% | | | 01/23/30 | 3 | | | 200,000 | | | | 206,392 | |
3.88% | | | 03/17/28 | 3 | | | 200,000 | | | | 217,620 | |
Paraguay Government International Bond | |
(Paraguay) | |
4.95% | | | 04/28/31 | 1,3 | | | 200,000 | | | | 226,260 | |
Philippine Government International Bond | |
(Philippines) | |
1.65% | | | 06/10/31 | 3 | | | 200,000 | | | | 190,500 | |
Qatar Government International Bond, | |
Series REGS | |
(Qatar) | |
3.75% | | | 04/16/30 | 3 | | | 200,000 | | | | 225,680 | |
4.50% | | | 04/23/28 | 3 | | | 200,000 | | | | 233,604 | |
| Republic of South Africa Government International Bond | | | | | |
(South Africa) | |
4.85% | | | 09/30/29 | 3 | | | 200,000 | | | | 205,932 | |
|
| See accompanying Notes to Financial Statements. |
|
| 49 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
Romanian Government International Bond, | |
Series REGS | |
(Romania) | |
3.00% | | | 02/14/31 | 3 | | $ | 100,000 | | | $ | 102,300 | |
Saudi Government International Bond, | |
Series REGS (EMTN) | |
(Saudi Arabia) | |
3.25% | | | 10/26/26 | 3 | | | 400,000 | | | | 432,000 | |
Turkey Government International Bond | |
(Turkey) | |
3.25% | | | 03/23/23 | 3 | | | 200,000 | | | | 199,405 | |
Uruguay Government International Bond | |
(Uruguay) | |
4.38% | | | 01/23/31 | 3 | | | 200,000 | | | | 231,620 | |
| | | | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $4,342,498) | | | | 4,235,820 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 49.20%** | |
|
Non-Agency Commercial Mortgage-Backed — 13.98% | |
Banc of America Commercial Mortgage Trust, | |
Series 2015-UBS7, Class XA (IO) | |
0.94% | | | 09/15/48 | 4 | | | 7,190,102 | | | | 191,415 | |
Banc of America Commercial Mortgage Trust, | |
Series 2015-UBS7, Class XE (IO) | |
1.25% | | | 09/15/48 | 1,4 | | | 500,000 | | | | 18,946 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2016-ISQ, Class E | |
3.73% | | | 08/14/34 | 1,4 | | | 273,000 | | | | 266,354 | |
BANK, | |
Series 2017-BNK5, Class XA (IO) | |
1.19% | | | 06/15/60 | 4 | | | 138,848 | | | | 5,672 | |
BANK, | |
Series 2018-BN10, Class XA (IO) | |
0.87% | | | 02/15/61 | 4 | | | 386,941 | | | | 15,150 | |
| Barclays Commercial Mortgage Securities Mortgage Trust, | | | | | |
Series 2017-C1, Class XA (IO) | |
1.61% | | | 02/15/50 | 4 | | | 135,244 | | | | 8,420 | |
BB-UBS Trust, | |
Series 2012-SHOW, Class XA (IO) | |
0.73% | | | 11/05/36 | 1,4 | | | 3,109,000 | | | | 57,368 | |
BB-UBS Trust, | |
Series 2012-SHOW, Class XB (IO) | |
0.28% | | | 11/05/36 | 1,4 | | | 1,395,000 | | | | 7,896 | |
Benchmark Mortgage Trust, | |
Series 2020-B18, Class AGNF | |
4.14% | | | 07/15/53 | 1 | | | 449,000 | | | | 460,974 | |
BMO SBA COOF Trust, | |
Series 2019-1, Class A (IO) | |
1.62% | | | 10/25/45 | 1,4 | | | 4,540,556 | | | | 271,238 | |
BX Commercial Mortgage Trust, | |
Series 2020-FOX, Class G | |
(LIBOR USD 1-Month plus 4.75%) | |
4.83% | | | 11/15/32 | 1,2 | | | 713,697 | | | | 724,093 | |
CD Mortgage Trust, | |
Series 2016-CD1, Class XA (IO) | |
1.52% | | | 08/10/49 | 4 | | | 9,768,056 | | | | 527,962 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Century Plaza Towers, | |
Series 2019-CPT, Class F | |
3.10% | | | 11/13/39 | 1,4 | | $ | 450,000 | | | $ | 422,531 | |
Citigroup Commercial Mortgage Trust, | |
Series 2013-GC15, Class XA (IO) | |
1.00% | | | 09/10/46 | 4 | | | 4,069,706 | | | | 53,615 | |
Citigroup Commercial Mortgage Trust, | |
Series 2014-GC19, Class XA (IO) | |
1.29% | | | 03/10/47 | 4 | | | 977,869 | | | | 21,694 | |
Citigroup Commercial Mortgage Trust, | |
Series 2014-GC25, Class XA (IO) | |
1.11% | | | 10/10/47 | 4 | | | 10,193,225 | | | | 250,196 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-GC27, Class XA (IO) | |
1.48% | | | 02/10/48 | 4 | | | 1,755,562 | | | | 64,879 | |
Citigroup Commercial Mortgage Trust, | |
Series 2016-GC36, Class XA (IO) | |
1.38% | | | 02/10/49 | 4 | | | 5,671,636 | | | | 251,930 | |
Citigroup Commercial Mortgage Trust, | |
Series 2017-B1, Class XF (IO) | |
1.01% | | | 08/15/50 | 1,4 | | | 11,628,000 | | | | 466,039 | |
Commercial Mortgage Lease-Backed Certificates-1, | |
Series 2001-CMLB, Class X (IO) | |
0.72% | | | 06/20/31 | 1,4 | | | 4,022,665 | | | | 51,568 | |
Commercial Mortgage Trust, | |
Series 2012-CR1, Class XA (IO) | |
2.05% | | | 05/15/45 | 4 | | | 589,740 | | | | 2,304 | |
Commercial Mortgage Trust, | |
Series 2012-CR2, Class XA (IO) | |
1.77% | | | 08/15/45 | 4 | | | 765,815 | | | | 5,725 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class XA (IO) | |
1.99% | | | 10/15/45 | 4 | | | 746,798 | | | | 6,424 | |
Commercial Mortgage Trust, | |
Series 2012-CR4, Class XA (IO) | |
1.84% | | | 10/15/45 | 4 | | | 792,070 | | | | 10,149 | |
Commercial Mortgage Trust, | |
Series 2012-LC4, Class XA (IO) | |
2.23% | | | 12/10/44 | 1,4 | | | 1,086,540 | | | | 61 | |
Commercial Mortgage Trust, | |
Series 2012-LC4, Class XB (IO) | |
0.63% | | | 12/10/44 | 1,4 | | | 1,800,000 | | | | 2,411 | |
Commercial Mortgage Trust, | |
Series 2013-CR7, Class XA (IO) | |
1.32% | | | 03/10/46 | 4 | | | 5,170,755 | | | | 70,629 | |
Commercial Mortgage Trust, | |
Series 2013-CR9, Class XA (IO) | |
0.08% | | | 07/10/45 | 4 | | | 15,635,874 | | | | 11,195 | |
Commercial Mortgage Trust, | |
Series 2014-CR14, Class XA (IO) | |
0.70% | | | 02/10/47 | 4 | | | 3,472,663 | | | | 39,698 | |
Commercial Mortgage Trust, | |
Series 2014-CR17, Class XA (IO) | |
1.12% | | | 05/10/47 | 4 | | | 6,687,295 | | | | 138,238 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 50 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2014-CR19, Class XA (IO) | |
1.11% | | | 08/10/47 | 4 | | $ | 978,083 | | | $ | 22,060 | |
Commercial Mortgage Trust, | |
Series 2014-CR19, Class XC (IO) | |
0.84% | | | 08/10/47 | 1,4 | | | 1,200,000 | | | | 22,126 | |
Commercial Mortgage Trust, | |
Series 2014-LC15, Class XA (IO) | |
1.23% | | | 04/10/47 | 4 | | | 3,468,037 | | | | 73,314 | |
Commercial Mortgage Trust, | |
Series 2014-LC17, Class A4 | |
3.65% | | | 10/10/47 | | | | 258,869 | | | | 272,547 | |
Commercial Mortgage Trust, | |
Series 2014-UBS3, Class XA (IO) | |
1.23% | | | 06/10/47 | 4 | | | 3,192,201 | | | | 76,079 | |
Commercial Mortgage Trust, | |
Series 2014-UBS5, Class XA (IO) | |
1.01% | | | 09/10/47 | 4,5,6 | | | 31,270,266 | | | | 641,726 | |
Commercial Mortgage Trust, | |
Series 2014-UBS6, Class XA (IO) | |
1.03% | | | 12/10/47 | 4 | | | 13,142,239 | | | | 310,248 | |
Commercial Mortgage Trust, | |
Series 2015-CR22, Class XA (IO) | |
1.02% | | | 03/10/48 | 4 | | | 12,006,407 | | | | 264,807 | |
Commercial Mortgage Trust, | |
Series 2015-CR25, Class XA (IO) | |
0.97% | | | 08/10/48 | 4 | | | 8,463,413 | | | | 235,448 | |
Commercial Mortgage Trust, | |
Series 2015-LC21, Class XE (IO) | |
1.23% | | | 07/10/48 | 1,4 | | | 10,015,000 | | | | 380,549 | |
Commercial Mortgage Trust, | |
Series 2016-CR28, Class XA (IO) | |
0.79% | | | 02/10/49 | 4 | | | 15,060,111 | | | | 353,475 | |
CSAIL Commercial Mortgage Trust, | |
Series 2015-C2, Class XA (IO) | |
0.88% | | | 06/15/57 | 4 | | | 17,915,011 | | | | 394,249 | |
CSAIL Commercial Mortgage Trust, | |
Series 2017-CX9, Class XA (IO) | |
1.00% | | | 09/15/50 | 4 | | | 9,810,584 | | | | 212,818 | |
CSAIL Commercial Mortgage Trust, | |
Series 2019-C16, Class XA (IO) | |
1.73% | | | 06/15/52 | 4 | | | 568,454 | | | | 54,956 | |
CSMC Trust, | |
Series 2016-NXSR, Class XA (IO) | |
0.89% | | | 12/15/49 | 4 | | | 549,600 | | | | 14,068 | |
CSMC, | |
Series 2019-RIO, Class A | |
(LIBOR USD 1-Month plus 3.02%) | |
4.02% | | | 12/15/21 | 1,2 | | | 425,000 | | | | 425,777 | |
CSMC, | |
Series 2020-522F, Class A | |
(LIBOR USD 1-Month plus 3.74%) | |
4.14% | | | 09/16/25 | 1,2 | | | 400,000 | | | | 401,542 | |
DBJPM 16-C1 Mortgage Trust, | |
Series 2016-C1, Class XA (IO) | |
1.53% | | | 05/10/49 | 4 | | | 6,615,358 | | | | 329,457 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
DBUBS Mortgage Trust, | |
Series 2011-LC1A, Class XB (IO) | |
1.36% | | | 11/10/46 | 1,4 | | $ | 81,101 | | | $ | 82 | |
Grace Trust, | |
Series 2020-GRCE, Class D | |
2.77% | | | 12/10/40 | 1,4 | | | 360,000 | | | | 353,187 | |
GS Mortgage Securities Corp. II, | |
Series 2013-GC10, Class XA (IO) | |
1.63% | | | 02/10/46 | 4 | | | 17,080,559 | | | | 262,706 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class E | |
3.35% | | | 02/10/37 | 1,4 | | | 500,000 | | | | 507,188 | |
GS Mortgage Securities Trust, | |
Series 2010-C1, Class X (IO) | |
0.89% | | | 08/10/43 | 1,4 | | | 10,468,200 | | | | 126,800 | |
GS Mortgage Securities Trust, | |
Series 2011-GC3, Class X (IO) | |
0.42% | | | 03/10/44 | 1,4 | | | 186,466 | | | | 566 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class XA (IO) | |
0.09% | | | 08/10/44 | 1,4 | | | 809,367 | | | | 8 | |
GS Mortgage Securities Trust, | |
Series 2012-GCJ9, Class XA (IO) | |
2.08% | | | 11/10/45 | 4 | | | 661,606 | | | | 10,446 | |
GS Mortgage Securities Trust, | |
Series 2014-GC18, Class XA (IO) | |
1.14% | | | 01/10/47 | 4 | | | 29,351,782 | | | | 556,765 | |
GS Mortgage Securities Trust, | |
Series 2015-GC32, Class XA (IO) | |
0.88% | | | 07/10/48 | 4 | | | 34,934,606 | | | | 841,617 | |
GS Mortgage Securities Trust, | |
Series 2015-GC34, Class XA (IO) | |
1.38% | | | 10/10/48 | 4 | | | 5,583,560 | | | | 228,568 | |
GS Mortgage Securities Trust, | |
Series 2015-GS1, Class XA (IO) | |
0.91% | | | 11/10/48 | 4 | | | 9,441,925 | | | | 268,203 | |
GS Mortgage Securities Trust, | |
Series 2016-GS2, Class XA (IO) | |
1.90% | | | 05/10/49 | 4 | | | 257,474 | | | | 17,281 | |
GS Mortgage Securities Trust, | |
Series 2016-GS3, Class XA (IO) | |
1.34% | | | 10/10/49 | 4 | | | 2,581,145 | | | | 128,609 | |
GS Mortgage Securities Trust, | |
Series 2016-GS4, Class XA (IO) | |
0.71% | | | 11/10/49 | 4 | | | 15,434,352 | | | | 350,920 | |
GS Mortgage Securities Trust, | |
Series 2017-GS7, Class XA (IO) | |
1.26% | | | 08/10/50 | 4 | | | 147,423 | | | | 7,306 | |
GSCG Trust, | |
Series 2019-600C, Class E | |
4.12% | | | 09/06/34 | 1,4 | | | 261,000 | | | | 260,260 | |
GSCG Trust, | |
Series 2019-600C, Class G | |
4.12% | | | 09/06/34 | 1,4 | | | 285,000 | | | | 270,374 | |
|
| See accompanying Notes to Financial Statements. |
|
| 51 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Hilton USA Trust, | |
Series 2016-SFP, Class E | |
5.52% | | | 11/05/35 | 1 | | $ | 400,000 | | | $ | 403,095 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class F | |
3.04% | | | 12/10/41 | 1,4 | | | 535,000 | | | | 511,770 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C19, Class XA (IO) | |
0.81% | | | 04/15/47 | 4 | | | 12,802,766 | | | | 187,337 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C30, Class XA (IO) | |
0.64% | | | 07/15/48 | 4 | | | 22,067,778 | | | | 368,655 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C30, Class XNR (IO) | |
0.25% | | | 07/15/48 | 1,4 | | | 48,265,099 | | | | 311,305 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C31, Class XA (IO) | |
0.98% | | | 08/15/48 | 4 | | | 6,218,434 | | | | 173,939 | |
JPMCC Commercial Mortgage Securities Trust, | |
Series 2017-JP5, Class XA (IO) | |
1.12% | | | 03/15/50 | 4 | | | 5,171,809 | | | | 208,953 | |
JPMDB Commercial Mortgage Securities Trust, | |
Series 2016-C2, Class XA (IO) | |
1.71% | | | 06/15/49 | 4 | | | 277,688 | | | | 14,708 | |
JPMDB Commercial Mortgage Securities Trust, | |
Series 2017-C7, Class XA (IO) | |
0.99% | | | 10/15/50 | 4 | | | 354,230 | | | | 14,630 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C6, Class XA (IO) | |
1.69% | | | 05/15/45 | 4 | | | 498,359 | | | | 1,987 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C8, Class XA (IO) | |
1.88% | | | 10/15/45 | 4 | | | 598,371 | | | | 6,251 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-CBX, Class XA (IO) | |
1.16% | | | 06/15/45 | 4 | | | 213,612 | | | | 604 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-CBX, Class XB (IO) | |
0.40% | | | 06/15/45 | 1,4 | | | 134,366,812 | | | | 408,018 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-LC9, Class XA (IO) | |
1.54% | | | 12/15/47 | 4 | | | 1,436,092 | | | | 17,121 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-C10, Class XA (IO) | |
1.08% | | | 12/15/47 | 4 | | | 1,192,735 | | | | 11,174 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | |
1.38% | | | 04/15/46 | 4 | | | 2,663,697 | | | | 38,107 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2020-ACE, Class XA (IO) | |
0.47% | | | 01/10/37 | 1,4 | | | 2,000,000 | | | | 23,106 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2020-LOOP, Class XB (IO) | |
0.38% | | | 12/05/38 | 1,4 | | | 2,010,000 | | | | 25,184 | |
| | | | | | | | | | | | |
| | | |
| 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) | |
2.03% | | | 01/16/37 | 1,4 | | $ | 450,000 | | | $ | 23,380 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2020-NNN, Class XBFX (IO) | |
0.68% | | | 01/16/37 | 1,4 | | | 1,450,000 | | | | 23,642 | |
Last Mile Logistics Pan Euro Finance DAC, | |
Series 1A, Class F | |
(Ireland) | |
(-1.00 X 3 month Euribor plus 3.65%) | |
3.65% | | | 08/17/33 | 1,2,3 | | | 500,000 | | | | 582,718 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2006-C7, Class XW (IO) | |
0.53% | | | 11/15/38 | 1,4 | | | 1,571,353 | | | | 5,086 | |
Merit 2020-Hill, | |
Series 2020-HILL, Class F | |
(LIBOR USD 1-Month plus 4.10%) | |
4.18% | | | 08/15/37 | 1,2 | | | 400,789 | | | | 403,411 | |
ML-CFC Commercial Mortgage Trust, | |
Series 2007-6, Class X (IO) | |
0.66% | | | 03/12/51 | 1,4 | | | 14,466,299 | | | | 61,883 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C5, Class XA (IO) | |
1.53% | | | 08/15/45 | 1,4 | | | 578,238 | | | | 3,085 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C5, Class XC (IO) | |
0.14% | | | 08/15/45 | 1,4 | | | 35,000,000 | | | | 34,480 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-CKSV, Class XA (IO) | |
1.17% | | | 10/15/30 | 1,4 | | | 1,107,023 | | | | 6,219 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C13, Class XA (IO) | |
1.11% | | | 11/15/46 | 4 | | | 2,475,677 | | | | 38,270 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C18, Class XA (IO) | |
0.79% | | | 10/15/47 | 4 | | | 98,630 | | | | 1,387 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C21, Class XA (IO) | |
1.01% | | | 03/15/48 | 4 | | | 3,494,770 | | | | 85,506 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C22, Class XA (IO) | |
1.16% | | | 04/15/48 | 4 | | | 1,137,519 | | | | 30,946 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C24, Class XA (IO) | |
0.86% | | | 05/15/48 | 4 | | | 7,547,949 | | | | 177,742 | |
Morgan Stanley Capital I Trust, | |
Series 2011-C2, Class XB (IO) | |
0.47% | | | 06/15/44 | 1,4 | | | 11,642,023 | | | | 45,672 | |
Morgan Stanley Capital I Trust, | |
Series 2012-C4, Class XA (IO) | |
2.05% | | | 03/15/45 | 1,4 | | | 266,970 | | | | 150 | |
Morgan Stanley Capital I Trust, | |
Series 2015-MS1, Class A3 | |
3.51% | | | 05/15/48 | | | | 415,000 | | | | 442,624 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 52 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Morgan Stanley Capital I Trust, | |
Series 2017-CLS, Class F | |
(LIBOR USD 1-Month plus 2.60%) | |
2.68% | | | 11/15/34 | 1,2 | | $ | 206,000 | | | $ | 206,269 | |
Natixis Commercial Mortgage Securities Trust, | |
Series 2018-ALXA, Class E | |
4.46% | | | 01/15/43 | 1,4 | | | 70,000 | | | | 71,187 | |
Natixis Commercial Mortgage Securities Trust, | |
Series 2020-2PAC, Class MSK1 | |
3.36% | | | 12/15/36 | 1,4 | | | 172,000 | | | | 172,049 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2A | |
3.66% | | | 01/05/43 | 1,4 | | | 400,000 | | | | 439,502 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2B | |
4.14% | | | 01/05/43 | 1,4 | | | 460,000 | | | | 509,598 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class C | |
4.53% | | | 01/05/43 | 1,4 | | | 925,000 | | | | 846,156 | |
Taurus UK DAC, | |
Series 2021-UK1A, Class D | |
(Ireland) | |
(SONIA plus 2.60%) | |
2.65% | | | 05/17/31 | 1,2,3 | | | 475,000 | | | | 647,112 | |
UBS Commercial Mortgage Trust, | |
Series 2017-C4, Class XA (IO) | |
1.19% | | | 10/15/50 | 4 | | | 9,688,747 | | | | 505,377 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C4, Class XA (IO) | |
1.73% | | | 12/10/45 | 1,4 | | | 740,320 | | | | 8,271 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2012-LC5, Class XA (IO) | |
1.89% | | | 10/15/45 | 1,4 | | | 865,785 | | | | 9,551 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class XA (IO) | |
1.24% | | | 08/15/50 | 4 | | | 18,280,831 | | | | 426,325 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC18, Class XA (IO) | |
1.18% | | | 12/15/47 | 4 | | | 1,563,750 | | | | 41,213 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-C27, Class XA (IO) | |
1.02% | | | 02/15/48 | 4 | | | 19,782,034 | | | | 468,638 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-C31, Class XA (IO) | |
1.12% | | | 11/15/48 | 4 | | | 18,279,843 | | | | 610,989 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-LC20, Class XF (IO) | |
1.89% | | | 04/15/50 | 1,4 | | | 415,000 | | | | 18,926 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-NXS3, Class XA (IO) | |
1.05% | | | 09/15/57 | 4 | | | 9,998,605 | | | | 306,852 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C34, Class XA (IO) | |
2.26% | | | 06/15/49 | 4 | | | 6,930,795 | | | | 464,568 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2021-SAVE, Class XCP (IO) | |
10.12% | | | 02/15/40 | 1,4 | | $ | 5,587,000 | | | $ | 397,558 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C10, Class XA (IO) | |
1.63% | | | 12/15/45 | 1,4 | | | 1,088,742 | | | | 14,140 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C10, Class XB (IO) | |
0.55% | | | 12/15/45 | 1,4 | | | 56,000,000 | | | | 309,473 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C7, Class XB (IO) | |
0.14% | | | 06/15/45 | 1,4 | | | 29,387,219 | | | | 23,217 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C8, Class XA (IO) | |
1.94% | | | 08/15/45 | 1,4 | | | 606,444 | | | | 3,825 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C20, Class XA (IO) | |
1.08% | | | 05/15/47 | 4 | | | 11,516,731 | | | | 209,621 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C22, Class XA (IO) | |
0.94% | | | 09/15/57 | 4 | | | 1,949,599 | | | | 37,126 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C24, Class XA (IO) | |
1.00% | | | 11/15/47 | 4 | | | 6,263,374 | | | | 140,877 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-LC14, Class XA (IO) | |
1.43% | | | 03/15/47 | 4 | | | 10,810,336 | | | | 259,054 | |
| | | | | | | | | | | | |
| | | | 24,940,525 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 17.72% | |
Alternative Loan Trust, | |
Series 2005-46CB, Class A3 | |
5.50% | | | 10/25/35 | | | | 320,342 | | | | 294,839 | |
Alternative Loan Trust, | |
Series 2005-46CB, Class A4 | |
5.25% | | | 10/25/35 | | | | 242,063 | | | | 220,864 | |
Alternative Loan Trust, | |
Series 2005-46CB, Class A7 | |
5.50% | | | 10/25/35 | | | | 682,843 | | | | 631,730 | |
Alternative Loan Trust, | |
Series 2005-55CB, Class 1A1 | |
5.50% | | | 11/25/35 | | | | 230,792 | | | | 201,321 | |
Alternative Loan Trust, | |
Series 2005-64CB, Class 2A1 | |
6.00% | | | 11/25/35 | | | | 3,150,870 | | | | 941,943 | |
Alternative Loan Trust, | |
Series 2005-65CB, Class 2A4 | |
5.50% | | | 12/25/35 | | | | 398,825 | | | | 354,242 | |
Alternative Loan Trust, | |
Series 2005-67CB, Class A1 | |
5.50% | | | 01/25/36 | | | | 89,364 | | | | 83,969 | |
Alternative Loan Trust, | |
Series 2005-74T1, Class A5 | |
6.00% | | | 01/25/36 | | | | 563,174 | | | | 449,644 | |
|
| See accompanying Notes to Financial Statements. |
|
| 53 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Alternative Loan Trust, | |
Series 2005-7CB, Class 2A2 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap) | | | | | |
4.96% | | | 03/01/38 | 2,5,6 | | $ | 1,769,768 | | | $ | 220,315 | |
Alternative Loan Trust, | |
Series 2005-86CB, Class A1 | |
5.50% | | | 02/25/36 | | | | 653,094 | | | | 537,900 | |
Alternative Loan Trust, | |
Series 2005-86CB, Class A8 | |
5.50% | | | 02/25/36 | | | | 298,558 | | | | 245,897 | |
Alternative Loan Trust, | |
Series 2006-19CB, Class A15 | |
6.00% | | | 08/25/36 | | | | 141,593 | | | | 112,798 | |
Alternative Loan Trust, | |
Series 2006-32CB, Class A18 | |
6.00% | | | 11/25/36 | | | | 159,215 | | | | 127,217 | |
Alternative Loan Trust, | |
Series 2006-34, Class A5 | |
6.25% | | | 11/25/46 | | | | 1,406,330 | | | | 1,009,262 | |
Alternative Loan Trust, | |
Series 2006-J1, Class 1A11 | |
5.50% | | | 02/25/36 | | | | 247,645 | | | | 223,969 | |
Alternative Loan Trust, | |
Series 2007-13, Class A1 | |
6.00% | | | 06/25/47 | | | | 307,347 | | | | 225,273 | |
Alternative Loan Trust, | |
Series 2007-15CB, Class A6 | |
5.75% | | | 07/25/37 | | | | 652,924 | | | | 527,292 | |
Alternative Loan Trust, | |
Series 2007-16CB, Class 1A7 | |
6.00% | | | 08/25/37 | | | | 9,026 | | | | 8,816 | |
Alternative Loan Trust, | |
Series 2007-18CB, Class 2A25 | |
6.00% | | | 08/25/37 | | | | 378,285 | | | | 305,370 | |
Alternative Loan Trust, | |
Series 2007-22, Class 2A16 | |
6.50% | | | 09/25/37 | | | | 255,758 | | | | 147,319 | |
Alternative Loan Trust, | |
Series 2007-5CB, Class 1A3 | |
6.00% | | | 04/25/37 | | | | 208,466 | | | | 158,067 | |
Alternative Loan Trust, | |
Series 2007-5CB, Class 1A4 | |
6.00% | | | 04/25/37 | | | | 615,059 | | | | 466,369 | |
American Home Mortgage Assets Trust, | |
Series 2006-6, Class XP (IO) (PO) | |
2.42% | | | 12/25/46 | 4,5,6 | | | 746,385 | | | | 68,843 | |
American Home Mortgage Assets Trust, | |
Series 2007-5, Class XP (IO) (PO) | |
2.92% | | | 06/25/47 | 5,6 | | | 1,157,640 | | | | 117,611 | |
American Home Mortgage Investment Trust, | |
Series 2006-1, Class 11A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
0.37% | | | 03/25/46 | 2 | | | 16,317 | | | | 15,864 | |
Banc of America Funding Trust, | |
Series 2006-3, Class 5A3 | |
5.50% | | | 03/25/36 | | | | 7,326 | | | | 7,308 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Banc of America Funding Trust, | |
Series 2014-R7, Class 1A1 | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | | 05/26/36 | 1,2 | | $ | 22,491 | | | $ | 21,987 | |
Banc of America Funding Trust, | |
Series 2015-R4, Class 5A1 | |
(LIBOR USD 1-Month plus 0.15%) | |
0.23% | | | 10/25/36 | 1,2 | | | 15,004 | | | | 14,639 | |
Bear Stearns ALT-A Trust, | |
Series 2005-7, Class 22A1 | |
2.91% | | | 09/25/35 | 4 | | | 169,419 | | | | 131,586 | |
Bear Stearns ARM Trust, | |
Series 2004-3, Class 2A | |
2.67% | | | 07/25/34 | 4 | | | 9,077 | | | | 9,315 | |
Bear Stearns ARM Trust, | |
Series 2005-10, Class A3 | |
2.70% | | | 10/25/35 | 4 | | | 188,349 | | | | 190,019 | |
ChaseFlex Trust, | |
Series 2007-1, Class 1A1 | |
6.50% | | | 02/25/37 | | | | 363,336 | | | | 183,196 | |
CIM Trust, | |
Series 2021-R5, Class A1B | |
2.00% | | | 08/25/61 | 1,4 | | | 681,000 | | | | 612,061 | |
Citigroup Mortgage Loan Trust, | |
Series 2009-10, Class 2A2 | |
7.00% | | | 12/25/35 | 1,4 | | | 642,245 | | | | 597,124 | |
CitiMortgage Alternative Loan Trust, | |
Series 2006-A1, Class 1A5 | |
5.50% | | | 04/25/36 | | | | 360,087 | | | | 346,540 | |
CitiMortgage Alternative Loan Trust, | |
Series 2007-A1, Class 1A1 | |
6.00% | | | 01/25/37 | | | | 137,924 | | | | 138,043 | |
CitiMortgage Alternative Loan Trust, | |
Series 2007-A1, Class 1A5 | |
6.00% | | | 01/25/37 | | | | 263,272 | | | | 263,248 | |
CitiMortgage Alternative Loan Trust, | |
Series 2007-A2, Class 1A13 | |
5.75% | | | 02/25/37 | | | | 313,256 | | | | 317,017 | |
CitiMortgage Alternative Loan Trust, | |
Series 2007-A3, Class 1A7 | |
5.75% | | | 03/25/37 | | | | 256,908 | | | | 259,568 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2007-14, Class A3 | |
6.25% | | | 09/25/37 | | | | 26,283 | | | | 20,193 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2007-20, Class A1 | |
6.50% | | | 01/25/38 | | | | 236,039 | | | | 167,467 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2007-7, Class A9 | |
5.50% | | | 06/25/37 | | | | 703,023 | | | | 471,797 | |
CSMC Mortgage-Backed Trust, | |
Series 2006-6, Class 1A8 | |
6.00% | | | 07/25/36 | | | | 423,770 | | | | 316,249 | |
CSMC Mortgage-Backed Trust, | |
Series 2006-7, Class 10A6 | |
6.50% | | | 08/25/36 | | | | 1,351,042 | | | | 1,053,820 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 54 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
CSMC Mortgage-Backed Trust, | |
Series 2006-7, Class 8A11 | |
6.50% | | | 08/25/36 | | | $ | 453,878 | | | $ | 298,495 | |
CSMC Mortgage-Backed Trust, | |
Series 2007-5, Class 1A9 | |
7.00% | | | 08/25/37 | 4 | | | 184,668 | | | | 129,605 | |
CSMC Trust, | |
Series 2020-RPL5, Class A1 | |
3.02% | | | 08/25/60 | 1,4 | | | 269,670 | | | | 273,128 | |
CSMC, | |
Series 2014-8R, Class 3A2 | |
3.94% | | | 02/27/36 | 1,4 | | | 1,015,378 | | | | 978,217 | |
| Deutsche ALT-B Securities, Inc., Mortgage Loan Trust, | | | | | |
Series 2006-AB2, Class A2 | |
4.98% | | | 06/25/36 | 4 | | | 225,900 | | | | 225,358 | |
Deutsche Mortgage & Asset Receiving Corp., | |
Series 2014-RS1, Class 1A2 | |
6.50% | | | 07/27/37 | 1,4 | | | 431,089 | | | | 407,659 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2006-FA6, Class 2A3 | |
6.25% | | | 11/25/36 | | | | 826,895 | | | | 438,016 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2007-FA1, Class A4 | |
6.25% | | | 03/25/37 | | | | 691,786 | | | | 452,799 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2007-FA2, Class 1A4 | |
5.75% | | | 04/25/37 | | | | 828,627 | | | | 464,013 | |
GreenPoint Mortgage Funding Trust, | |
Series 2005-AR3, Class 1A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
0.57% | | | 08/25/45 | 2 | | | 7,114 | | | | 6,923 | |
GSMSC Resecuritization Trust, | |
Series 2015-5R, Class 1C | |
(LIBOR USD 1-Month plus 0.14%) | |
0.22% | | | 04/26/37 | 1,2 | | | 594,843 | | | | 587,245 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1 | |
2.86% | | | 09/25/35 | 4 | | | 5,539 | | | | 5,711 | |
HarborView Mortgage Loan Trust, | |
Series 2005-9, Class 2A1A | |
(LIBOR USD 1-Month plus 0.68%) | |
0.77% | | | 06/20/35 | 2 | | | 19,495 | | | | 19,250 | |
HarborView Mortgage Loan Trust, | |
Series 2005-9, Class 2X (IO) | |
2.02% | | | 06/20/35 | 1,4,5,6 | | | 1,429,621 | | | | 76,247 | |
HarborView Mortgage Loan Trust, | |
Series 2006-5, Class X2 (IO) | |
2.65% | | | 07/19/46 | 4,5,6 | | | 3,122,220 | | | | 261,526 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR3, Class 2A1A | |
2.95% | | | 03/25/36 | 4 | | | 100,914 | | | | 86,597 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-F2, Class 1A4 | |
6.00% | | | 07/25/37 | | | | 10,415 | | | | 9,983 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
JPMorgan Alternative Loan Trust, | |
Series 2006-S1, Class 3A4 | |
6.18% | | | 03/25/36 | 4 | | $ | 916,312 | | | $ | 915,385 | |
JPMorgan Mortgage Trust, | |
Series 2007-S1, Class 2A11 | |
6.00% | | | 03/25/37 | | | | 398,099 | | | | 252,698 | |
Lehman Mortgage Trust, | |
Series 2006-1, Class 1A5 | |
5.50% | | | 02/25/36 | | | | 160,477 | | | | 125,705 | |
Lehman Mortgage Trust, | |
Series 2006-7, Class 2A5 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap) | | | | | |
6.46% | | | 11/25/36 | 2,5,6 | | | 194,685 | | | | 58,815 | |
Lehman Mortgage Trust, | |
Series 2007-5, Class 10A2 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap) | | | | | |
6.25% | | | 06/25/37 | 2,5,6 | | | 259,001 | | | | 76,394 | |
Lehman Mortgage Trust, | |
Series 2007-5, Class 7A3 | |
7.50% | | | 10/25/36 | | | | 585,224 | | | | 357,207 | |
Lehman XS Trust, | |
| Series 2005-1, Class 3A4 (STEP-reset date 11/25/21) | | | | | |
5.37% | | | 07/25/35 | | | | 60,615 | | | | 60,615 | |
MASTR Alternative Loan Trust, | |
Series 2005-2, Class 4A3 | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | | 03/25/35 | 2 | | | 18,915 | | | | 18,929 | |
MASTR Alternative Loan Trust, | |
Series 2005-2, Class 4A4 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap) | | | | | |
5.01% | | | 03/25/35 | 2,5,6 | | | 380,287 | | | | 29,786 | |
Merrill Lynch Alternative Note Asset Trust, | | | | | |
Series 2007-A1, Class A3 | |
(LIBOR USD 1-Month plus 0.16%) | |
0.41% | | | 01/25/37 | 2 | | | 721,162 | | | | 309,311 | |
Merrill Lynch Alternative Note Asset Trust, | | | | | |
Series 2007-OAR2, Class A3 | |
(LIBOR USD 1-Month plus 0.52%) | |
0.61% | | | 04/25/37 | 2 | | | 1,961,965 | | | | 209,128 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2004-B, Class A1 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 05/25/29 | 2 | | | 14,757 | | | | 14,381 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-13, Class 6A1 | |
6.00% | | | 10/25/37 | | | | 182,465 | | | | 142,570 | |
Nomura Resecuritization Trust, | |
Series 2015-5R, Class 4A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
1.03% | | | 07/26/37 | 1,2 | | | 3,245 | | | | 3,274 | |
Residential Accredit Loans Trust, | |
Series 2005-QS14, Class 3A3 | |
6.00% | | | 09/25/35 | | | | 175,469 | | | | 174,387 | |
Residential Accredit Loans Trust, | |
Series 2005-QS16, Class A7 | |
5.50% | | | 11/25/35 | | | | 584,089 | | | | 580,008 | |
|
| See accompanying Notes to Financial Statements. |
|
| 55 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans Trust, | |
Series 2006-QS15, Class A3 | |
6.50% | | | 10/25/36 | | | $ | 1,097,438 | | | $ | 1,094,518 | |
Residential Accredit Loans Trust, | |
Series 2006-QS4, Class A2 | |
6.00% | | | 04/25/36 | | | | 377,689 | | | | 368,533 | |
Residential Accredit Loans Trust, | |
Series 2006-QS4, Class A4 | |
6.00% | | | 04/25/36 | | | | 467,875 | | | | 453,373 | |
Residential Accredit Loans Trust, | |
Series 2006-QS6, Class 1A15 | |
6.00% | | | 06/25/36 | | | | 191,162 | | | | 183,852 | |
Residential Accredit Loans Trust, | |
Series 2006-QS6, Class 1A2 | |
6.00% | | | 06/25/36 | | | | 614,245 | | | | 590,756 | |
Residential Accredit Loans Trust, | |
Series 2007-QH9, Class X (IO) (PO) | |
0.69% | | | 11/25/37 | 4,5,6 | | | 13,496,850 | | | | 375,595 | |
Residential Accredit Loans Trust, | |
Series 2007-QO2, Class A1 | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | | 02/25/47 | 2 | | | 578,479 | | | | 291,786 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 1A4 | |
6.00% | | | 01/25/37 | | | | 613,191 | | | | 599,041 | |
Residential Accredit Loans Trust, | |
Series 2007-QS3, Class A1 | |
6.50% | | | 02/25/37 | | | | 567,731 | | | | 560,874 | |
Residential Accredit Loans Trust, | |
Series 2007-QS7, Class 1A1 | |
6.00% | | | 05/25/37 | | | | 62,890 | | | | 61,760 | |
Residential Asset Securitization Trust, | |
Series 2003-A15, Class 1A3 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap) | | | | | |
7.46% | | | 02/25/34 | 2,5,6 | | | 577,480 | | | | 70,445 | |
Residential Asset Securitization Trust, | |
Series 2005-A14, Class A5 | |
5.50% | | | 12/25/35 | | | | 91,874 | | | | 66,876 | |
Residential Asset Securitization Trust, | |
Series 2005-A8CB, Class A9 | |
5.38% | | | 07/25/35 | | | | 289,537 | | | | 244,332 | |
Residential Asset Securitization Trust, | |
Series 2006-A12, Class A1 | |
6.25% | | | 11/25/36 | | | | 514,662 | | | | 284,081 | |
Residential Asset Securitization Trust, | |
Series 2006-A15, Class A2 | |
6.25% | | | 01/25/37 | | | | 526,863 | | | | 284,543 | |
Residential Asset Securitization Trust, | |
Series 2006-A16, Class 1A3 | |
6.00% | | | 02/25/37 | | | | 352,437 | | | | 229,453 | |
Residential Asset Securitization Trust, | |
Series 2006-A5CB, Class A4 | |
6.00% | | | 06/25/36 | | | | 215,218 | | | | 126,147 | |
Residential Asset Securitization Trust, | |
Series 2007-A1, Class A1 | |
6.00% | | | 03/25/37 | | | | 340,115 | | | | 179,801 | |
| | | | | | | | | | | | |
| | | |
| 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 | | | $ | 58,716 | | | $ | 41,176 | |
Residential Asset Securitization Trust, | |
Series 2007-A6, Class 1A3 | |
6.00% | | | 06/25/37 | | | | 164,162 | | | | 136,710 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-S10, Class 1A1 | |
6.00% | | | 10/25/36 | | | | 929,805 | | | | 932,135 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-S3, Class A7 | |
5.50% | | | 03/25/36 | | | | 665,543 | | | | 636,954 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-S6, Class A10 | |
6.00% | | | 07/25/36 | | | | 300,725 | | | | 297,423 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-S6, Class A14 | |
6.00% | | | 07/25/36 | | | | 96,427 | | | | 95,429 | |
Residential Funding Mortgage Securities Trust, | |
Series 2007-S8, Class 1A1 | |
6.00% | | | 09/25/37 | | | | 191,304 | | | | 170,921 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-1, Class 4A1 | |
2.44% | | | 02/25/34 | 4 | | | 1,591 | | | | 1,604 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR2, Class A1 | |
(LIBOR USD 1-Month plus 0.46%) | |
0.55% | | | 02/25/36 | 2 | | | 22,404 | | | | 21,686 | |
VOLT XCVI LLC, | |
| Series 2021-NPL5, Class A2 (STEP-reset date 10/25/21) | | | | | |
4.83% | | | 03/27/51 | 1 | | | 800,000 | | | | 800,628 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-2, Class 1A6 | |
6.00% | | | 03/25/36 | | | | 30,931 | | | | 31,586 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class X3 (IO) | |
1.15% | | | 05/25/46 | 5,6 | | | 9,114,422 | | | | 410,830 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA2, Class 1A1 | |
6.00% | | | 06/25/37 | | | | 270,752 | | | | 260,512 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | | 11/25/37 | | | | 480,938 | | | | 479,410 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR14, Class 2A3 | |
2.53% | | | 10/25/36 | 4 | | | 45,879 | | | | 44,593 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR4, Class 2A1 | |
2.80% | | | 04/25/36 | 4 | | | 10,784 | | | | 9,921 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2007-7, Class A1 | |
6.00% | | | 06/25/37 | | | | 311,710 | | | | 314,246 | |
| | | | 31,618,806 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 56 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed — 3.40% | |
Fannie Mae-Aces, | |
Series 2016-M11, Class X2 (IO) | |
2.97% | | | 07/25/39 | 4 | | $ | 501,289 | | | $ | 17,549 | |
Fannie Mae-Aces, | |
Series 2016-M2, Class X3 (IO) | |
2.10% | | | 04/25/36 | 4 | | | 161,750 | | | | 1,642 | |
Fannie Mae-Aces, | |
Series 2016-M4, Class X2 (IO) | |
2.70% | | | 01/25/39 | 4 | | | 1,044,318 | | | | 44,859 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates | |
Series K045, Class X1 (IO) | |
0.55% | | | 11/25/25 | 4 | | | 32,071,179 | | | | 397,140 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K017, Class X3 (IO) | |
2.36% | | | 12/25/39 | 4 | | | 2,147,000 | | | | 8,108 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K022, Class X3 (IO) | |
1.87% | | | 08/25/40 | 4 | | | 900,000 | | | | 13,480 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K028, Class X3 (IO) | |
1.72% | | | 06/25/41 | 4 | | | 12,639,000 | | | | 292,218 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K031, Class X3 (IO) | |
1.72% | | | 07/25/41 | 4 | | | 1,170,000 | | | | 29,158 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K037, Class X3 (IO) | |
2.28% | | | 01/25/42 | 4 | | | 390,000 | | | | 19,105 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K043, Class X1 (IO) | |
0.65% | | | 12/25/24 | 4 | | | 23,696,085 | | | | 358,488 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K044, Class X3 (IO) | |
1.53% | | | 01/25/43 | 4 | | | 4,900,000 | | | | 233,281 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K049, Class X1 (IO) | |
0.71% | | | 07/25/25 | 4 | | | 13,105,829 | | | | 259,805 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K049, Class X3 (IO) | |
1.60% | | | 10/25/43 | 4 | | | 2,925,000 | | | | 156,391 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K050, Class X1 (IO) | |
0.44% | | | 08/25/25 | 4 | | | 22,216,257 | | | | 254,274 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K056, Class X3 (IO) | |
2.18% | | | 06/25/44 | 4 | | $ | 6,243,936 | | | $ | 562,585 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K062, Class X3 (IO) | |
2.14% | | | 01/25/45 | 4 | | | 3,000,000 | | | | 294,476 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K063, Class X1 (IO) | |
0.42% | | | 01/25/27 | 4 | | | 54,677,065 | | | | 752,657 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K732, Class X3 (IO) | |
2.25% | | | 05/25/46 | 4 | | | 4,850,000 | | | | 364,571 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K735, Class X3 (IO) | |
2.23% | | | 05/25/47 | 4 | | | 3,160,000 | | | | 283,042 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K736, Class X3 (IO) | |
2.08% | | | 09/25/47 | 4 | | | 2,495,000 | | | | 215,408 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.34% | | | 06/25/27 | 4 | | | 697,067 | | | | 32,920 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR1, Class X (IO) | |
1.19% | | | 03/25/26 | 4 | | | 950,172 | | | | 37,857 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KLU1, Class X3 (IO) | |
4.10% | | | 01/25/31 | 4 | | | 341,265 | | | | 52,423 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS05, Class X (IO) | |
0.12% | | | 01/25/23 | 4 | | | 412,555 | | | | 2,043 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q013, Class XPT1 (IO) | |
1.66% | | | 05/25/25 | | | | 5,879,959 | | | | 205,251 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q013, Class XPT2 (IO) | |
1.81% | | | 05/25/27 | | | | 5,029,379 | | | | 184,752 | |
FREMF Mortgage Trust, | |
Series 2012-K20, Class X2A (IO) | |
0.20% | | | 05/25/45 | 1 | | | 3,435,790 | | | | 2,324 | |
Ginnie Mae, | |
Series 2009-111, Class IO (IO) | |
0.22% | | | 09/16/51 | 4 | | | 1,022,301 | | | | 46,846 | |
|
| See accompanying Notes to Financial Statements. |
|
| 57 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Ginnie Mae, | |
Series 2010-159, Class D | |
4.29% | | | 09/16/44 | 4 | | $ | 428,415 | | | $ | 440,725 | |
Ginnie Mae, | |
Series 2011-119, Class IO (IO) | |
0.30% | | | 08/16/51 | 4 | | | 1,824,331 | | | | 8,592 | |
Ginnie Mae, | |
Series 2011-86, Class C | |
3.63% | | | 09/16/51 | 4 | | | 252,650 | | | | 262,474 | |
Ginnie Mae, | |
Series 2012-123, Class IO (IO) | |
0.69% | | | 12/16/51 | 4 | | | 2,302,741 | | | | 41,760 | |
Ginnie Mae, | |
Series 2012-135, Class IO (IO) | |
0.54% | | | 01/16/53 | 4 | | | 392,368 | | | | 7,429 | |
Ginnie Mae, | |
Series 2013-33, Class IO (IO) | |
0.51% | | | 04/16/54 | 4 | | | 510,732 | | | | 5,017 | |
Ginnie Mae, | |
Series 2014-126, Class IO (IO) | |
0.72% | | | 02/16/55 | 4 | | | 5,972,557 | | | | 174,961 | |
| | | | | | | | | | | | |
| | | | 6,063,611 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 14.10% | |
Fannie Mae Pool 462209 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 2.17%) | |
2.26% | | | 04/01/36 | 2 | | | 55,333 | | | | 55,674 | |
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 | | | 5,989 | | | | 6,271 | |
Fannie Mae REMICS, | |
Series 2011-116, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
5.91% | | | 11/25/41 | 2 | | | 142,264 | | | | 19,336 | |
Fannie Mae REMICS, | |
Series 2012-139, Class AI (IO) | |
3.00% | | | 12/25/27 | | | | 268,807 | | | | 16,780 | |
Freddie Mac Strips, | |
Series 240, Class IO (IO) | |
5.50% | | | 07/15/36 | | | | 325,585 | | | | 70,217 | |
Ginnie Mae, | |
Series 2003-110, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | | 10/20/33 | 2 | | | 378,859 | | | | 71,829 | |
Ginnie Mae, | |
Series 2018-124, Class NW | |
3.50% | | | 09/20/48 | | | | 42,099 | | | | 45,199 | |
Ginnie Mae, | |
Series 2018-154, Class BP | |
3.50% | | | 11/20/48 | | | | 5,964 | | | | 6,226 | |
UMBS (TBA) | |
2.00% | | | 11/01/51 | | | | 11,925,000 | | | | 11,933,577 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
2.50% | | | 11/01/51 | | | $ | 12,575,000 | | | $ | 12,939,952 | |
| | | | | | | | | | | | |
| | | | 25,165,061 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $93,666,968) | | | | 87,788,003 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.48%* | |
|
California — 0.06% | |
| Los Angeles Department of Airports Revenue Bonds, Port, | | | | | |
Airport and Marina Improvements, Series A | |
3.89% | | | 05/15/38 | | | | 100,000 | | | | 112,905 | |
| | | | | | | | | | | | |
|
Florida — 0.08% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and | | | | | |
Marina Improvements, Series B | |
2.61% | | | 10/01/32 | | | | 100,000 | | | | 102,448 | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and | | | | | |
Marina Improvements, Series D | |
3.45% | | | 10/01/30 | | | | 30,000 | | | | 32,263 | |
| | | | | | | | | | | | |
| | | | 134,711 | |
| | | | | | | | | | | | |
|
New York — 0.28% | |
| City of New York General Obligation Bonds, Public | | | | | |
Improvements, Series F | |
3.62% | | | 04/01/31 | | | | 155,000 | | | | 169,064 | |
| New York City Transitional Finance Authority Future Tax | | | | | |
| Secured Revenue Bonds, Public Improvements, Subseries | | | | | |
B3 | |
1.85% | | | 08/01/32 | | | | 75,000 | | | | 72,320 | |
| New York State Dormitory Authority Revenue Bonds, School | | | | | |
Improvements, Series F | |
3.11% | | | 02/15/39 | | | | 150,000 | | | | 161,440 | |
| New York State Urban Development Corp. Revenue Bonds, | | | | | |
Economic Improvements, Series F | |
2.00% | | | 03/15/33 | | | | 100,000 | | | | 96,914 | |
| | | | | | | | | | | | |
| | | | 499,738 | |
| | | | | | | | | | | | |
|
Ohio — 0.06% | |
| Ohio, Taxable Revenue Bonds, Advanced Refunding, | | | | | |
Cleveland Clinic | |
2.89% | | | 01/01/32 | | | | 100,000 | | | | 104,714 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $860,351) | | | | 852,068 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 1.02% | |
|
U.S. Treasury Notes — 1.02% | |
U.S. Treasury Notes | |
0.88% | | | 09/30/26 | | | | 1,825,000 | | | | 1,815,393 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $1,815,091) | |
|
Total Bonds — 108.95% | |
(Cost $201,081,415) | | | | 194,378,580 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 58 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 0.22% | |
|
Financials — 0.22% | |
AGNC Investment Corp. | | | | 25,500 | | | $ | 402,135 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $362,697) | |
|
WARRANT — 0.05% | |
|
Entertainment — 0.05% | |
Cineworld Group PLC3,9 | |
(United Kingdom) | | | | 152,713 | | | | 85,453 | |
| | | | | | | | | | | | |
|
Total Warrant | |
(Cost $–) | |
| | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 1.73% | |
|
Money Market Funds — 0.61% | |
| Dreyfus Government Cash Management Fund | |
0.03%12 | | | | 10,000 | | | | 10,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%12 | | | | 54,262 | | | | 54,262 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%12 | | | | 1,021,000 | | | | 1,021,000 | |
| | | | | | | | | | | | |
| | | | 1,085,262 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 1.12% | |
U.S. Treasury Bills | |
0.04%13 | | | 03/03/22 | | | $ | 2,000,000 | | | | 1,999,670 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $3,084,917) | | | | 3,084,932 | |
| | | | | | | | | | | | |
|
Total Investments - 110.95% | |
(Cost $204,529,029) | | | | 197,951,100 | |
| | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 4,434 | |
| |
| Liabilities in Excess of Other Assets - (10.95)% | | | | (19,547,113 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 178,408,421 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $3,650,830, which is 2.05% 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 $201,750, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 8 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $46,221, at an interest rate of 3.75% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum. |
| 9 | Non-income producing security. |
| 10 | Security is currently in default with regard to scheduled interest or principal payments. |
| 11 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 12 | Represents the current yield as of September 30, 2021. |
| 13 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $569,513, which is 0.32% 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. |
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
(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
|
| See accompanying Notes to Financial Statements. |
|
| 59 / Semi-Annual Report September 2021 |
Flexible Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| USD 766,974 | | | EUR 646,856 | | | Goldman Sachs International | | | 10/22/21 | | | $ | 16,990 | |
| USD 675,219 | | | GBP 485,000 | | | Goldman Sachs International | | | 10/22/21 | | | | 21,249 | |
| USD 665,454 | | | GBP 485,000 | | | Goldman Sachs International | | | 01/07/22 | | | | 11,344 | |
| USD 675,690 | | | EUR 576,000 | | | Goldman Sachs International | | | 01/07/22 | | | | 6,624 | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | 56,207 | |
| | | | | | | | | | | | | | |
| | | | |
| EUR 646,856 | | | USD 757,591 | | | Goldman Sachs International | | | 10/22/21 | | | | (7,606) | |
| GBP 485,000 | | | USD 665,206 | | | Goldman Sachs International | | | 10/22/21 | | | | (11,237) | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | (18,843) | |
| | | | | | | | | | | | | | |
| | |
NET UNREALIZED APPRECIATION | | | | | | $ | 37,364 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
U.S. Treasury Five-Year Note | | | 307 | | | | 12/31/21 | | | $ | 37,681,852 | | | $ | (241,667 | ) | | $ | (241,667) | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 150 | | | | 12/21/21 | | | | (21,787,500) | | | | 389,927 | | | | 389,927 | |
U.S. Treasury Ultra Bond | | | 35 | | | | 12/21/21 | | | | (6,687,188) | | | | 201,677 | | | | 201,677 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (28,474,688) | | | | 591,604 | | | | 591,604 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | $ | 9,207,164 | | | $ | 349,937 | | | $ | 349,937 | |
| | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 60 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BONDS – 93.55% | |
|
BANK LOANS — 86.64%* | |
|
Automotive — 0.20% | |
Clarios Global LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/30/26 | 1 | | $ | 211,302 | | | $ | 210,642 | |
Oeconnection LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 09/25/26 | 1 | | | 736,114 | | | | 735,194 | |
| | | | | | | | | | | | |
| | | | 945,836 | |
| | | | | | | | | | | | |
Communications — 10.17% | |
A-L Parent LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
4.25% | | | 12/01/23 | 1 | | | 489,717 | | | | 471,664 | |
Altice Financing SA, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.90% | | | 01/31/26 | 1 | | | 962,500 | | | | 947,822 | |
Altice France SA, | |
Term Loan B11, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 07/31/25 | 1 | | | 994,805 | | | | 981,027 | |
Altice SA, | |
Term Loan B13, 1st Lien (France) | |
(LIBOR plus 4.00%) | |
4.12% | | | 08/14/26 | 1,2 | | | 486,250 | | | | 485,642 | |
Banijay Group U.S. Holding, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 03/01/25 | 1 | | | 992,481 | | | | 992,015 | |
CCI Buyer, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 12/17/27 | 1 | | | 1,492,500 | | | | 1,498,254 | |
CenturyLink, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 03/15/27 | 1 | | | 2,710,549 | | | | 2,684,758 | |
Charter Communications Operating LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 04/30/25 | 1 | | | 940,345 | | | | 940,110 | |
Term Loan B2, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 02/01/27 | 1 | | | 392,278 | | | | 390,207 | |
Clear Channel Outdoor Holdings, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.63% | | | 08/21/26 | 1 | | | 151,102 | | | | 148,209 | |
Connect Finco SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 12/11/26 | 1 | | | 2,272,943 | | | | 2,277,205 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
Coralus Co-Borrower LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 01/31/28 | 1 | | $ | 2,250,000 | | | $ | 2,222,572 | |
Crown Subsea Communications Holding, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 04/27/27 | 1 | | | 801,370 | | | | 809,383 | |
CSC Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 01/15/26 | 1 | | | 975,000 | | | | 963,422 | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 04/15/27 | 1 | | | 989,950 | | | | 980,154 | |
Dawn Acquisition LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.90% | | | 12/31/25 | 1 | | | 1,476,160 | | | | 1,250,861 | |
Diamond Sports Group LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.34% | | | 08/24/26 | 1 | | | 1,492,386 | | | | 935,845 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 08/02/27 | 1 | | | 2,000,000 | | | | 2,003,540 | |
EW Scripps Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.75% | | | 01/07/28 | 1 | | | 433,750 | | | | 435,136 | |
Frontier Communications holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/01/28 | 1 | | | 1,243,750 | | | | 1,244,913 | |
Global Tel*Link Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
4.33% | | | 11/29/25 | 1 | | | 983,312 | | | | 941,084 | |
GTT Communications BV, | |
Term Loan B, 1st Lien | |
(EURIBOR plus 3.25%) | |
3.25% | | | 05/31/25 | 1 | | | 710,927 | | | | 701,884 | |
GTT Communications, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 05/30/25 | 1 | | | 493,257 | | | | 420,502 | |
Intelsat Jackson Holdings SA, | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
(LIBOR plus 4.75%) | |
5.75% | | | 07/13/22 | 1,2,3 | | | 3,862,500 | | | | 3,896,297 | |
Term Loan B5, 1st Lien (Luxembourg) | |
8.63% | | | 01/02/24 | 1,2 | | | 500,000 | | | | 509,375 | |
|
| See accompanying Notes to Financial Statements. |
|
| 61 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
Level 3 Parent LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 03/01/27 | 1 | | $ | 2,337,328 | | | $ | 2,311,652 | |
MacDonald Dettwiler & Associates Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.84% | | | 10/04/24 | 1 | | | 736,668 | | | | 731,721 | |
Metronet Systems Holdings LLC, | |
Term Loan B | |
(LIBOR plus 3.75%) | |
4.50% | | | 06/02/28 | 1 | | | 1,496,250 | | | | 1,501,861 | |
MH Sub I LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.75% | | | 09/13/24 | 1 | | | 2,336,606 | | | | 2,345,368 | |
National Cinemedia LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 06/20/25 | 1 | | | 1,249,791 | | | | 1,168,555 | |
National CineMedia LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 8.00%) | |
9.00% | | | 12/20/24 | 1 | | | 582,749 | | | | 585,663 | |
NEP/NCP Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 10/20/25 | 1 | | | 1,240,434 | | | | 1,197,019 | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.00%) | |
7.08% | | | 10/19/26 | 1 | | | 440,000 | | | | 424,417 | |
New Insight Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 5.50%) | |
6.50% | | | 12/20/24 | 1 | | | 481,250 | | | | 476,789 | |
Nexstar Broadcasting, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 01/17/24 | 1 | | | 840,180 | | | | 840,327 | |
Sinclair Television Group, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 3.00%) | |
3.09% | | | 04/01/28 | 1 | | | 1,620,827 | | | | 1,608,671 | |
Terrier Media Buyer, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 12/17/26 | 1 | | | 1,527,954 | | | | 1,526,571 | |
Univision Communications, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.25% | | | 05/06/28 | 1 | | | 1,000,000 | | | | 999,820 | |
UPC Financing Partnership, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 04/30/28 | 1 | | | 250,000 | | | | 247,865 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
Virgin Media Bristol LLC, | |
Term Loan N, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 01/31/28 | 1 | | $ | 1,000,000 | | | $ | 994,505 | |
Zayo Group Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 03/09/27 | 1 | | | 2,004,276 | | | | 1,988,913 | |
| | | | | | | | | | | | |
| | | | 48,081,598 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 4.86% | |
ADMI Corp., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 3.13%) | |
3.63% | | | 12/23/27 | 1 | | | 1,243,750 | | | | 1,235,311 | |
Arterra Wines Canada, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 11/24/27 | 1 | | | 694,750 | | | | 696,414 | |
Birkenstock U.S. BidCo, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 04/28/28 | 1 | | | 750,000 | | | | 750,394 | |
Culligan International, Inc., | |
Delayed-Draw Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.00% | | | 07/31/28 | 1 | | | 127,778 | | | | 128,337 | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.50% | | | 06/17/28 | 1 | | | 1,022,222 | | | | 1,026,694 | |
Four Seasons Hotels, Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 11/30/23 | 1 | | | 952,500 | | | | 950,714 | |
Kwor Acquisition, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 06/03/26 | 1 | | | 2,462,901 | | | | 2,444,429 | |
Landry’s, | |
Term Loan, 1st Lien | |
(LIBOR plus 12.00%) | |
13.00% | | | 10/04/23 | 1 | | | 53,605 | | | | 58,698 | |
New Trojan Parent, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 01/06/28 | 1 | | | 1,496,250 | | | | 1,495,158 | |
Nielsen Finance LLC, | |
Term Loan B4, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 10/04/23 | 1 | | | 857,067 | | | | 856,908 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 02/01/28 | 1 | | | 2,487,500 | | | | 2,493,333 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 62 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Consumer Discretionary (continued) | |
Prometric Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
4.00% | | | 01/29/25 | 1 | | $ | 967,669 | | | $ | 963,436 | |
Refresco, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 2.75%) | |
2.87% | | | 03/28/25 | 1 | | | 1,940,400 | | | | 1,933,725 | |
Sunshine Luxembourg VII SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 10/01/26 | 1 | | | 2,238,750 | | | | 2,247,571 | |
Tecta America Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 04/10/28 | 1 | | | 997,500 | | | | 1,001,241 | |
Triton Water Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 03/31/28 | 1 | | | 1,496,250 | | | | 1,496,160 | |
Waystar technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 10/22/26 | 1 | | | 1,972,481 | | | | 1,976,179 | |
Weber-Stephen Products LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
4.00% | | | 10/30/27 | 1 | | | 1,224,630 | | | | 1,228,763 | |
| | | | | | | | | | | | |
| | | | 22,983,465 | |
| | | | | | | | | | | | |
Consumer Products — 0.10% | |
Hoffmaster Group, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 11/21/23 | 1 | | | 465,313 | | | | 449,269 | |
| | | | | | | | | | | | |
|
Electric — 1.81% | |
Astoria Energy LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 12/10/27 | 1 | | | 1,478,557 | | | | 1,485,484 | |
CommScope, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/06/26 | 1 | | | 1,962,456 | | | | 1,956,529 | |
Endure Digital, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 02/10/28 | 1 | | | 1,995,000 | | | | 1,987,269 | |
Linden LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 10/01/27 | 1 | | | 1,290,233 | | | | 1,296,220 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric (continued) | |
Vistra Operations Co., LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 12/31/25 | 1 | | $ | 1,853,267 | | | $ | 1,841,304 | |
| | | | | | | | | | | | |
| | | | 8,566,806 | |
| | | | | | | | | | | | |
Energy — 1.80% | |
Apro LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 11/14/26 | 1 | | | 1,339,570 | | | | 1,343,757 | |
Calpine Corp., | |
Term Loan B10, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 08/12/26 | 1 | | | 189,863 | | | | 187,845 | |
Centurion Pipeline Co., LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 09/29/25 | 1 | | | 972,500 | | | | 956,697 | |
DT Midstream, Inc., | |
Term Loan B | |
(LIBOR plus 2.00%) | |
2.50% | | | 06/12/28 | 1 | | | 2,493,750 | | | | 2,495,895 | |
EPIC Y-Grade Services, | |
Term Loan B, 1st Lien | |
(LIBOR plus 6.00%) | |
7.00% | | | 06/30/27 | 1 | | | 251,238 | | | | 216,535 | |
ITT Holdings LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.75%) | |
3.25% | | | 07/10/28 | 1 | | | 750,000 | | | | 750,469 | |
KAMC Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.12% | | | 08/14/26 | 1,4,5 | | | 735,000 | | | | 672,525 | |
Stonepeak Lonestar Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
4.63% | | | 10/19/26 | 1 | | | 967,491 | | | | 971,206 | |
Traverse Midstream Partners LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.50%) | | | | | | | | | | | | |
6.50% | | | 09/27/24 | 1 | | | 915,791 | | | | 917,938 | |
| | | | | | | | | | | | |
| | | | 8,512,867 | |
| | | | | | | | | | | | |
Entertainment — 1.74% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 02/28/25 | 1 | | | 2,148,185 | | | | 1,776,721 | |
Crown Finance U.S., Inc., | |
Term Loan B1, 1st Lien | |
7.00% | | | 05/23/24 | 1 | | | 1,129,681 | | | | 1,399,867 | |
|
| See accompanying Notes to Financial Statements. |
|
| 63 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Entertainment (continued) | |
NAI Entertainment Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 05/08/25 | 1 | | $ | 1,391,572 | | | $ | 1,367,219 | |
Nascar Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 10/19/26 | 1 | | | 718,688 | | | | 719,137 | |
SMG US Midco 2, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.50%) | |
2.50% | | | 01/23/25 | 1 | | | 498,731 | | | | 491,874 | |
WildBrain Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 03/24/28 | 1 | | | 1,492,500 | | | | 1,495,612 | |
WMG Acquisition Corp., | |
Term Loan G, 1st Lien | |
(LIBOR plus 2.13%) | |
2.21% | | | 01/20/28 | 1 | | | 1,000,000 | | | | 995,730 | |
| | | | | | | | | | | | |
| | | | 8,246,160 | |
| | | | | | | | | | | | |
|
Finance — 4.43% | |
Auris Lux III SA, | |
Term Loan B, 1st Lien (Luxembourg) | |
(LIBOR plus 3.75%) | |
3.83% | | | 02/27/26 | 1,2 | | | 1,218,754 | | | | 1,209,998 | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B4, 1st Lien | |
(LIBOR plus 1.50%) | |
2.25% | | | 02/12/27 | 1 | | | 496,222 | | | | 492,086 | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
2.75% | | | 12/01/27 | 1 | | | 744,375 | | | | 745,819 | |
Camelot Finance SA, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 10/30/26 | 1 | | | 982,500 | | | | 981,169 | |
DCG Acquisition Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
4.59% | | | 09/30/26 | 1 | | | 2,464,259 | | | | 2,470,419 | |
First Eagle Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.57%) | |
2.63% | | | 02/01/27 | 1 | | | 1,435,118 | | | | 1,422,690 | |
Hertz Corp. (The), | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 06/30/28 | 1 | | | 419,660 | | | | 420,514 | |
Term Loan C, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 06/30/28 | 1 | | | 79,288 | | | | 79,450 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Finance (continued) | |
Jane Street Group LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 01/26/28 | 1 | | $ | 1,736,875 | | | $ | 1,721,894 | |
Mirion Technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 03/06/26 | 1 | | | 1,724,754 | | | | 1,730,152 | |
Mozart Borrower, LP, | |
Term Loan B | |
(LIBOR plus 3.25%) | |
3.25% | | | 09/30/28 | 1 | | | 2,300,000 | | | | 2,288,500 | |
Pre-Paid Legal Services, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 05/01/25 | 1 | | | 990,000 | | | | 994,331 | |
Schweitzer-Mauduit International, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 02/09/28 | 1 | | | 1,995,000 | | | | 1,997,494 | |
Telenet Financing USD LLC, | |
Term Loan AR, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 04/30/28 | 1 | | | 1,500,000 | | | | 1,484,797 | |
Trident TPI Holdings, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 4.00%) | |
4.50% | | | 09/15/28 | 1,6 | | | 875,776 | | | | 878,329 | |
Zebra Buyer LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.50% | | | 04/22/28 | 1 | | | 2,000,000 | | | | 2,008,570 | |
| | | | | | | | | | | | |
| | | | 20,926,212 | |
| | | | | | | | | | | | |
|
Food — 4.44% | |
8th Avenue Food & Provisions, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 10/01/25 | 1 | | | 500,000 | | | | 498,750 | |
CH Guenther Parent LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 03/31/25 | 1 | | | 475,134 | | | | 473,651 | |
Chobani LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 10/25/27 | 1 | | | 1,485,000 | | | | 1,490,702 | |
Dessert Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 06/09/28 | 1,7 | | | 1,684,211 | | | | 1,684,556 | |
Flora Food Group, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.16% | | | 07/02/25 | 1 | | | 1,959,808 | | | | 1,929,803 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 64 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Food (continued) | |
Hostess Brands LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | | 08/03/25 | 1 | | $ | 2,415,980 | | | $ | 2,411,910 | |
Houston Foods, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 07/20/25 | 1 | | | 2,247,520 | | | | 2,222,235 | |
JBS USA LUX SA, | |
Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 2.00%) | |
2.08% | | | 05/01/26 | 1,2 | | | 1,218,750 | | | | 1,215,423 | |
Matterhorn Merger Sub LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 05/23/25 | 1 | | | 482,576 | | | | 483,785 | |
Shearer’s Foods LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 09/23/27 | 1 | | | 2,044,676 | | | | 2,044,676 | |
Snacking Investments Bidco, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 12/18/26 | 1 | | | 492,500 | | | | 495,066 | |
Sovos Brands Intermediate, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 06/08/28 | 1 | | | 1,121,336 | | | | 1,123,904 | |
TKC Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 5.50%) | |
6.50% | | | 05/15/28 | 1 | | | 995,595 | | | | 995,441 | |
U.S. Foods, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 09/13/26 | 1 | | | 1,960,000 | | | | 1,937,097 | |
Utz Quality Foods LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 01/20/28 | 1 | | | 1,983,758 | | | | 1,983,768 | |
| | | | | | | | | | | | |
| | | | 20,990,767 | |
| | | | | | | | | | | | |
|
Gaming — 2.31% | |
Bally’s Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 08/06/28 | 1 | | | 500,000 | | | | 500,487 | |
Caesars Resort Collection LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 12/23/24 | 1 | | | 1,443,750 | | | | 1,437,044 | |
Churchill Downs, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.10% | | | 12/27/24 | 1 | | | 1,997,384 | | | | 1,997,384 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Gaming (continued) | |
Gateway Casinos & Entertainment Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 6.50%) | |
7.50% | | | 03/13/25 | 1 | | $ | 1,011,464 | | | $ | 1,011,151 | |
Golden Entertainment, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.75% | | | 10/21/24 | 1 | | | 1,265,625 | | | | 1,264,568 | |
Golden Nugget, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.25% | | | 10/04/23 | 1 | | | 1,983,092 | | | | 1,976,270 | |
GVC Holdings Gibraltar Ltd., | |
Term Loan B4, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 03/29/27 | 1 | | | 1,745,625 | | | | 1,746,175 | |
J&J Ventures Gaming LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 04/26/28 | 1 | | | 1,000,000 | | | | 1,006,250 | |
| | | | | | | | | | | | |
| | | | 10,939,329 | |
| | | | | | | | | | | | |
|
Health Care — 14.02% | |
ADMI Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 04/30/25 | 1 | | | 967,638 | | | | 957,357 | |
Avantor Funding, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
2.75% | | | 11/08/27 | 1 | | | 1,492,500 | | | | 1,496,701 | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
2.50% | | | 01/15/25 | 1 | | | 789,836 | | | | 787,668 | |
Bella Holding Co. LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/10/28 | 1 | | | 1,000,000 | | | | 1,000,360 | |
Buckeye Partners LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 11/01/26 | 1 | | | 496,250 | | | | 494,344 | |
Cano Health LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
5.25% | | | 11/23/27 | 1 | | | 1,021,087 | | | | 1,023,216 | |
Catalent Pharma Solutions, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 02/22/28 | 1 | | | 814,353 | | | | 816,084 | |
CCS-CMGC Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 5.50%) | |
5.58% | | | 10/01/25 | 1 | | | 486,250 | | | | 477,741 | |
|
| See accompanying Notes to Financial Statements. |
|
| 65 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Certara Holdco, Inc., | |
Term Loan B | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/15/26 | 1 | | $ | 1,995,000 | | | $ | 1,993,763 | |
Change Healthcare Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 03/01/24 | 1 | | | 2,661,373 | | | | 2,661,506 | |
CPI Holdco LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 11/04/26 | 1 | | | 2,225,554 | | | | 2,228,347 | |
Curia Global, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 08/30/26 | 1 | | | 2,191,685 | | | | 2,196,474 | |
Da Vinci Purchaser Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 01/08/27 | 1 | | | 2,223,112 | | | | 2,234,928 | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 08/01/27 | 1 | | | 1,275,980 | | | | 1,261,963 | |
Emerald Topco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.63% | | | 07/24/26 | 1 | | | 1,481,187 | | | | 1,473,552 | |
Endo Luxembourg Finance Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 03/27/28 | 1 | | | 1,844,418 | | | | 1,807,917 | |
eResearchTechnology, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
5.50% | | | 02/04/27 | 1 | | | 1,769,719 | | | | 1,780,506 | |
Femur Buyer, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
4.63% | | | 03/05/26 | 1 | | | 627,817 | | | | 592,502 | |
Gentiva Health Services, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 07/02/25 | 1 | | | 1,954,402 | | | | 1,956,024 | |
Grifols Worldwide Operations USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.07% | | | 11/15/27 | 1 | | | 982,500 | | | | 967,763 | |
HCRX Investments Holdco LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.25% | | | 07/14/28 | 1 | | | 2,000,000 | | | | 1,996,000 | |
Heartland Dental LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 04/30/25 | 1 | | | 498,750 | | | | 498,251 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 04/30/25 | 1 | | $ | 1,238,500 | | | $ | 1,229,874 | |
Horizon Therapeutics USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 03/15/28 | 1 | | | 1,492,500 | | | | 1,491,567 | |
Jazz Financing Lux SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 0.00%) | |
0.50% | | | 05/05/28 | 1 | | | 1,995,000 | | | | 1,999,997 | |
Med Parentco LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
4.33% | | | 08/31/26 | 1 | | | 1,473,451 | | | | 1,472,877 | |
Medical Solutions Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.75% | | | 06/14/24 | 1 | | | 960,473 | | | | 962,875 | |
Medplast Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 07/02/25 | 1 | | | 970,000 | | | | 939,202 | |
National Seating & Mobility, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.25%) | |
5.33% | | | 11/16/26 | 1 | | | 1,977,435 | | | | 1,979,907 | |
NMN Holdings III Corp., | |
Delayed-Draw Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 11/13/25 | 1 | | | 258,762 | | | | 252,778 | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 11/13/25 | 1 | | | 1,206,047 | | | | 1,178,157 | |
NMSC Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
6.00% | | | 04/19/23 | 1,4,5 | | | 408,891 | | | | 409,300 | |
Organon & Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.50% | | | 06/02/28 | 1 | | | 1,496,250 | | | | 1,501,861 | |
Ortho-Clinical Diagnostics SA, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 06/30/25 | 1 | | | 1,250,000 | | | | 1,250,394 | |
Pacific Dental Services, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 05/05/28 | 1 | | | 997,500 | | | | 1,002,901 | |
Pathway Vet Alliance LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 03/31/27 | 1 | | | 2,470,642 | | | | 2,468,839 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 66 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
PetVet Care Centers LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 02/14/25 | 1 | | $ | 2,488,588 | | | $ | 2,492,483 | |
Phoenix Guarantor, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 03/05/26 | 1 | | | 1,988,756 | | | | 1,983,784 | |
Phoenix Newco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.50% | | | 08/11/28 | 1 | | | 3,500,000 | | | | 3,504,935 | |
Premise Health Holding Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.63% | | | 07/10/25 | 1 | | | 2,126,902 | | | | 2,117,597 | |
Prestige Brands, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 06/09/28 | 1 | | | 1,500,000 | | | | 1,500,465 | |
Resonetics LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 04/28/28 | 1 | | | 1,250,000 | | | | 1,253,644 | |
Sotera Health Holdings LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.75%) | |
3.25% | | | 12/11/26 | 1 | | | 1,000,000 | | | | 998,335 | |
Surgery Center Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 08/31/26 | 1 | | | 1,202,613 | | | | 1,206,034 | |
Tecomet, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 05/01/24 | 1 | | | 195,417 | | | | 193,268 | |
U.S. Renal Care, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.08% | | | 06/26/26 | 1 | | | 776,469 | | | | 776,469 | |
(LIBOR plus 5.50%) | |
6.50% | | | 06/26/26 | 1 | | | 1,000,000 | | | | 1,005,785 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 11/27/25 | 1 | | | 398,779 | | | | 398,157 | |
| | | | | | | | | | | | |
| | | | 66,274,452 | |
| | | | | | | | | | | | |
|
Industrials — 11.33% | |
Anchor Packaging LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 07/18/26 | 1 | | | 1,979,747 | | | | 1,980,994 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Arterrsa Services LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 03/06/25 | 1 | | $ | 1,496,250 | | | $ | 1,490,647 | |
BCPE Empire Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 06/11/26 | 1 | | | 1,225,767 | | | | 1,220,656 | |
4.50% | | | 06/11/26 | 1 | | | 498,750 | | | | 497,817 | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
1.86% | | | 07/01/26 | 1 | | | 2,070,521 | | | | 2,061,721 | |
Brown Group Holding LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
3.25% | | | 06/07/28 | 1 | | | 467,191 | | | | 467,446 | |
Charter NEX U.S., Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 12/01/27 | 1 | | | 1,745,614 | | | | 1,751,479 | |
Clean Harbors, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 06/28/24 | 1 | | | 1,781,047 | | | | 1,783,522 | |
Conserve Merger Sub, Inc., | |
Term Loan, 1st Lien (France) | |
(LIBOR plus 3.50%) | |
3.59% | | | 08/08/25 | 1,2 | | | 1,940,000 | | | | 1,921,570 | |
Convergint Technologies, | |
Delayed-Draw Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 03/31/28 | 1,8 | | | 79,757 | | | | 80,127 | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 03/31/28 | 1 | | | 412,386 | | | | 414,300 | |
Deliver Buyer, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.13% | | | 05/01/24 | 1 | | | 1,074,500 | | | | 1,079,201 | |
Eagle 4 Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 07/12/28 | 1 | | | 500,000 | | | | 496,250 | |
Energizer Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
2.75% | | | 12/22/27 | 1 | | | 995,000 | | | | 996,035 | |
Engineered Machinery Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/19/28 | 1 | | | 491,174 | | | | 491,481 | |
Ingram Micro, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 06/30/28 | 1 | | | 997,500 | | | | 1,001,116 | |
|
| See accompanying Notes to Financial Statements. |
|
| 67 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Iridium Satellite LLC, | |
Term Loan B2, 1st Lien | |
(LIBOR plus 2.50%) | |
3.25% | | | 11/04/26 | 1 | | $ | 1,244,137 | | | $ | 1,246,470 | |
Jade Germany GMBH, | |
Term Loan, 1st Lien (Germany) | |
(LIBOR plus 5.50%) | |
6.50% | | | 05/31/23 | 1,2 | | | 499,773 | | | | 467,288 | |
Liqui-Box Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
5.50% | | | 02/26/27 | 1 | | | 987,500 | | | | 936,481 | |
MAR Bidco SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | | 07/06/28 | 1 | | | 1,750,000 | | | | 1,750,000 | |
Mauser Packaging Solutions Holdings, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/03/24 | 1 | | | 1,499,099 | | | | 1,470,871 | |
Michaels Cos., Inc. (The), | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 04/15/28 | 1 | | | 997,500 | | | | 999,650 | |
Patriot Container Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.75% | | | 03/20/25 | 1 | | | 1,473,282 | | | | 1,473,282 | |
Pelican Products, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 05/01/25 | 1 | | | 1,473,520 | | | | 1,471,685 | |
Plaze, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/03/26 | 1 | | | 1,773,833 | | | | 1,766,082 | |
(LIBOR plus 3.75%) | |
4.50% | | | 08/03/26 | 1 | | | 496,250 | | | | 496,458 | |
Pretium Packaging Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 11/05/27 | 1 | | | 1,736,875 | | | | 1,739,723 | |
Proampac PG Borrower LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 11/03/25 | 1 | | | 2,935,250 | | | | 2,944,423 | |
Protective Industrial Products, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 12/29/27 | 1 | | | 1,788,621 | | | | 1,788,621 | |
Refficiency Holdings LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 12/16/27 | 1,9 | | | 832,419 | | | | 833,718 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Ring Container Technologies Group, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 08/04/28 | 1 | | $ | 1,000,000 | | | $ | 1,002,375 | |
Spectrum Holdings III Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
4.25% | | | 01/31/25 | 1 | | | 1,408,924 | | | | 1,380,527 | |
Standard Industries, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 09/22/28 | 1 | | | 1,500,000 | | | | 1,503,218 | |
Titan Acquisition, Ltd., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
3.17% | | | 03/28/25 | 1 | | | 491,094 | | | | 482,947 | |
Transcendia Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 05/30/24 | 1 | | | 2,435,587 | | | | 2,179,851 | |
TransDigm, Inc., | |
Term Loan E, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 05/30/25 | 1 | | | 490,019 | | | | 484,584 | |
TricorBraun Holdings, Inc., | |
Delayed-Draw Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 03/03/28 | 1,10 | | | 94,109 | | | | 93,709 | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 03/03/28 | 1 | | | 1,221,499 | | | | 1,216,314 | |
U.S. Ecology, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 11/02/26 | 1 | | | 491,250 | | | | 491,326 | |
Univar Solutions USA, Inc., | |
Term Loan B6, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 06/05/28 | 1 | | | 1,496,250 | | | | 1,494,649 | |
USIC Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | | 05/12/28 | 1 | | | 1,500,000 | | | | 1,500,938 | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 08/12/24 | 1 | | | 4,731,454 | | | | 4,627,953 | |
| | | | | | | | | | | | |
| | | | 53,577,505 | |
| | | | | | | | | | | | |
|
Information Technology — 13.23% | |
AppLovin Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 08/15/25 | 1 | | | 744,260 | | | | 744,201 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 68 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
AQA Acquisition Holding, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | 03/03/281 | | $ | 1,496,250 | | | $ | 1,505,602 | |
BJ’s Wholesale Club, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | 02/03/241 | | | 1,363,627 | | | | 1,365,945 | |
Buzz Merger Sub, Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | 01/29/271 | | | 1,484,943 | | | | 1,484,015 | |
Caesars Resort Collection LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | 07/20/251 | | | 990,000 | | | | 991,990 | |
Castle U.S. Holding Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.88% | | 01/29/271 | | | 987,500 | | | | 981,121 | |
CHG Healthcare Services, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | 09/22/281 | | | 750,000 | | | | 752,010 | |
CT Technologies Intermediate Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | 12/16/251 | | | 1,274,847 | | | | 1,278,633 | |
DCert Buyer, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | 10/16/261 | | | 1,729,959 | | | | 1,732,364 | |
Dell International LLC, | |
Term Loan B2, 1st Lien | |
(LIBOR plus 1.75%) | |
2.00% | | 09/19/251 | | | 852,736 | | | | 853,422 | |
E2open LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | 02/04/281 | | | 1,995,000 | | | | 1,998,431 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | 08/14/251 | | | 2,715,262 | | | | 2,687,431 | |
EQT Box Merger Sub, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | 04/17/281 | | | 250,000 | | | | 249,687 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | 10/01/271 | | | 1,492,481 | | | | 1,498,078 | |
Helios Software Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.92% | | 03/11/281 | | | 1,657,143 | | | | 1,657,350 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Imperva, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | 01/12/261 | | $ | 1,763,212 | | | $ | 1,768,722 | |
ION Analytics, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.50% | | 02/16/281 | | | 677,083 | | | | 680,228 | |
IQVIA, Inc., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | 01/17/251 | | | 886,762 | | | | 885,432 | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.88% | | 06/11/251 | | | 1,372,461 | | | | 1,371,432 | |
Logmein, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
4.83% | | 08/31/271 | | | 1,488,750 | | | | 1,489,800 | |
Magenta Buyer LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | 07/27/281 | | | 2,000,000 | | | | 2,002,500 | |
Maximus, Inc., | |
Term Loan B | |
(LIBOR plus 2.00%) | |
2.50% | | 05/28/281 | | | 1,496,250 | | | | 1,499,991 | |
Northwest Fiber LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | 04/30/271 | | | 995,000 | | | | 995,249 | |
Oryx Midstream Services, LLC, | |
Term Loan B | |
(LIBOR plus 3.25%) | |
3.75% | | 09/30/281 | | | 1,250,000 | | | | 1,243,750 | |
Pactiv Evergreen Group Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | 09/20/281 | | | 2,250,000 | | | | 2,250,000 | |
Panther Purchaser LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | 01/07/281 | | | 1,496,250 | | | | 1,503,417 | |
Precision Medicine Group LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.75% | | 11/18/271,11 | | | 2,633,942 | | | | 2,637,775 | |
Pretium Packaging Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.50% | | 09/22/281 | | | 1,250,000 | | | | 1,253,031 | |
Project Alpha Intermediate Holding, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.09% | | 04/26/241 | | | 1,950,262 | | | | 1,951,832 | |
|
| See accompanying Notes to Financial Statements. |
|
| 69 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Proofpoint, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 08/31/28 | 1 | | $ | 1,000,000 | | | $ | 996,000 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 04/24/28 | 1 | | | 1,500,000 | | | | 1,497,030 | |
Scientific Games International, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 08/14/24 | 1 | | | 1,938,594 | | | | 1,932,420 | |
Sitel Worldwide Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 08/27/28 | 1 | | | 1,500,000 | | | | 1,503,750 | |
Skillsoft Finance II, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 06/30/28 | 1 | | | 1,250,000 | | | | 1,257,812 | |
Sophia LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.88% | | | 10/07/27 | 1 | | | 987,513 | | | | 992,346 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 03/04/28 | 1 | | | 1,995,000 | | | | 2,002,820 | |
SS&C Technologies, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 1 | | | 668,832 | | | | 663,107 | |
Term Loan B4, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 1 | | | 506,468 | | | | 502,132 | |
Sunshine Software Merger Sub, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.75% | | | 09/21/28 | 1 | | | 1,500,000 | | | | 1,499,535 | |
Surf Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.62% | | | 03/05/27 | 1 | | | 2,028,106 | | | | 2,019,923 | |
TierPoint LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/05/26 | 1 | | | 972,226 | | | | 975,264 | |
TTM Technologies, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.50%) | |
2.59% | | | 09/28/24 | 1 | | | 1,000,000 | | | | 1,002,710 | |
Veeam Software, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 02/28/27 | 1 | | | 992,443 | | | | 993,064 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
VT Topco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 08/01/25 | 1 | | $ | 1,712,907 | | | $ | 1,698,561 | |
Zelis Payments Buyer, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.59% | | | 09/30/26 | 1 | | | 738,778 | | | | 736,636 | |
Zotec Partners LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.75% | | | 02/14/24 | 1 | | | 941,906 | | | | 943,088 | |
| | | | | | | | | | | | |
| | | | 62,529,637 | |
| | | | | | | | | | | | |
|
Insurance — 1.36% | |
Acrisure LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.63% | | | 02/15/27 | 1 | | | 2,982,355 | | | | 2,959,988 | |
Alliant Holdings Intermediate LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 11/05/27 | 1 | | | 995,384 | | | | 997,599 | |
Asurion LLC, | |
Term Loan B8, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 12/23/26 | 1 | | | 495,006 | | | | 488,286 | |
Term Loan B9, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 07/31/27 | 1 | | | 497,500 | | | | 490,784 | |
Howden Group Holdings Ltd., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
4.00% | | | 11/12/27 | 1 | | | 994,974 | | | | 995,134 | |
Hyperion Refinance SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.75% | | | 11/12/27 | 1 | | | 495,678 | | | | 496,297 | |
| | | | | | | | | | | | |
| | | | 6,428,088 | |
| | | | | | | | | | | | |
|
Materials — 3.70% | |
American Rock Salt Co. LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 06/09/28 | 1 | | | 997,500 | | | | 1,004,069 | |
Archroma Finance SARL, | |
Term Loan B2, 1st Lien (Switzerland) | |
(LIBOR plus 4.25%) | |
4.33% | | | 08/12/24 | 1,2 | | | 720,000 | | | | 716,400 | |
Cyanco Intermediate Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.59% | | | 03/16/25 | 1 | | | 424,183 | | | | 423,604 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 70 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Materials (continued) | |
Geon Performance Solutions, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 08/10/28 | 1 | | $ | 1,200,000 | | | $ | 1,210,122 | |
Herens U.S. Holdco Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 07/03/28 | 1 | | | 1,845,375 | | | | 1,853,282 | |
ICP Group, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 12/29/27 | 1 | | | 1,492,500 | | | | 1,493,746 | |
INEOS U.S. Quattro LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
3.25% | | | 01/29/26 | 1 | | | 1,246,875 | | | | 1,248,901 | |
Israel Chemicals Ltd., | |
Term Loan, 1st Lien (Israel) | |
(LIBOR plus 3.00%) | |
3.08% | | | 03/28/25 | 1,2 | | | 986,955 | | | | 985,825 | |
Lummus Technology Holdings V LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 06/30/27 | 1 | | | 1,894,523 | | | | 1,894,267 | |
Plaskolite PPC Intermediate II LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 12/15/25 | 1 | | | 1,492,500 | | | | 1,496,701 | |
Polar U.S. Borrower LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
4.87% | | | 10/15/25 | 1 | | | 541,551 | | | | 541,551 | |
(PRIME plus 3.75%) | |
7.00% | | | 10/15/25 | 1 | | | 2,771 | | | | 2,771 | |
Potters Borrower LP, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 12/14/27 | 1 | | | 995,000 | | | | 996,871 | |
SK Invictus Intermediate, | |
Term Loan, 2nd Lien | |
(LIBOR plus 6.75%) | |
6.83% | | | 03/30/26 | 1 | | | 1,000,000 | | | | 1,000,470 | |
Tronox Finance LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 03/10/28 | 1 | | | 272,308 | | | | 271,579 | |
2.38% | | | 03/10/28 | 1 | | | 576,923 | | | | 575,380 | |
WR Grace Holdings, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 09/22/28 | 1 | | | 1,750,000 | | | | 1,758,479 | |
| | | | | | | | | | | | |
| | | | 17,474,018 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Real Estate Investment Trust (REIT) — 0.56% | |
Aveanna Healthcare LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 07/01/28 | 1 | | $ | 1,622,642 | | | $ | 1,624,037 | |
Rent-A-Center, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 02/17/28 | 1 | | | 995,000 | | | | 999,975 | |
| | | | | | | | | | | | |
| | | | 2,624,012 | |
| | | | | | | | | | | | |
|
Retail — 3.12% | |
American Airlines, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 04/20/28 | 1 | | | 1,500,000 | | | | 1,552,807 | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | | 02/19/28 | 1 | | | 1,736,878 | | | | 1,728,202 | |
Aveanna Healthcare LLC, | |
Delayed-Draw Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.00% | | | 07/17/28 | 1 | | | 377,358 | | | | 377,683 | |
BC ULC, | |
Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 1.75%) | |
1.84% | | | 11/19/26 | 1,2 | | | 2,124,036 | | | | 2,101,903 | |
BW Gas & Convenience Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 03/17/28 | 1 | | | 1,246,875 | | | | 1,249,992 | |
Clean Harbors, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.25% | | | 09/21/28 | 1 | | | 750,000 | | | | 751,560 | |
Curium Bidco SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.13% | | | 07/09/26 | 1 | | | 989,899 | | | | 990,518 | |
(LIBOR plus 4.25%) | |
5.00% | | | 12/02/27 | 1 | | | 992,500 | | | | 996,222 | |
Harbor Freight Tools USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
3.25% | | | 10/19/27 | 1 | | | 498,744 | | | | 499,078 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 03/15/28 | 1 | | | 730,010 | | | | 730,988 | |
SRS Distribution, Inc., | |
Term Loan B | |
(LIBOR plus 3.75%) | |
4.25% | | | 06/02/28 | 1 | | | 750,000 | | | | 750,780 | |
|
| See accompanying Notes to Financial Statements. |
|
| 71 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Retail (continued) | |
U.S. Anesthesia Partners, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | | 09/22/28 | 1 | | $ | 1,500,000 | | | $ | 1,504,102 | |
Whatabrands LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 08/03/28 | 1 | | | 1,500,000 | | | | 1,500,338 | |
| | | | | | | | | | | | |
| | | | 14,734,173 | |
| | | | | | | | | | | | |
|
Services — 5.81% | |
Adtalem Global Education, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
5.25% | | | 08/12/28 | 1 | | | 1,500,000 | | | | 1,503,938 | |
AECOM, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 01/29/27 | 1 | | | 2,487,500 | | | | 2,511,753 | |
Allied Universal Holdco LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 05/12/28 | 1 | | | 2,000,000 | | | | 2,003,970 | |
Aramark Services, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 03/11/25 | 1 | | | 1,865,325 | | | | 1,828,597 | |
ArchKey Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 5.25%) | |
6.00% | | | 06/29/28 | 1 | | | 500,000 | | | | 502,188 | |
Bifm CA Buyer, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.84% | | | 06/01/26 | 1,12 | | | 893,389 | | | | 890,039 | |
CCRR Parent, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 03/06/28 | 1 | | | 995,000 | | | | 998,731 | |
CoreLogic, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 06/02/28 | 1 | | | 2,250,000 | | | | 2,250,473 | |
Ensemble RCM LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.88% | | | 08/03/26 | 1 | | | 988,665 | | | | 991,665 | |
Guidehouse LLP, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 05/01/25 | 1 | | | 1,734,952 | | | | 1,740,383 | |
Hornblower Sub LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
5.50% | | | 04/27/25 | 1 | | | 1,500,000 | | | | 1,425,000 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Services (continued) | |
Lakeland Holdings LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 13.25%) | |
13.25% | | | 09/25/27 | 1,4,5 | | $ | 522,599 | | | $ | 346,658 | |
Lakeland Tours LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 12.00%) | |
13.25% | | | 09/25/23 | 1,4,5 | | | 188,423 | | | | 190,897 | |
(LIBOR plus 7.50%) | |
8.75% | | | 09/25/25 | 1,4,5 | | | 837,879 | | | | 775,177 | |
Mavenir Systems, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.25% | | | 08/13/28 | 1 | | | 650,000 | | | | 652,437 | |
Olympus Water US Holding Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.75% | | | 09/21/28 | 1 | | | 1,000,000 | | | | 999,895 | |
PowerTeam Services LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
4.25% | | | 03/06/25 | 1 | | | 148,875 | | | | 148,085 | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.25% | | | 03/06/26 | 1,4,5 | | | 880,000 | | | | 875,965 | |
Technimark Holdings LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 06/30/28 | 1 | | | 2,992,500 | | | | 2,988,759 | |
University Support Services LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.34% | | | 07/17/25 | 1 | | | 1,861,539 | | | | 1,861,539 | |
Verscend Holding Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | | 08/27/25 | 1 | | | 997,500 | | | | 1,000,198 | |
WW International, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 04/13/28 | 1 | | | 997,500 | | | | 997,605 | |
| | | | | | | | | | | | |
| | | | 27,483,952 | |
| | | | | | | | | | | | |
|
Transportation — 1.65% | |
American Airlines, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 01/29/27 | 1 | | | 271,094 | | | | 260,691 | |
Kenan Advantage Group, Inc. (The), | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 03/24/26 | 1 | | | 986,507 | | | | 987,054 | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.00% | | | 08/17/29 | 1 | | | 2,350,000 | | | | 2,335,313 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 72 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Transportation (continued) | |
Kestrel Bidco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
4.00% | | | 12/11/26 | 1 | | $ | 491,250 | | | $ | 480,504 | |
Ozark Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 12/16/27 | 1 | | | 1,994,859 | | | | 2,000,843 | |
United Airlines, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 04/21/28 | 1 | | | 1,741,250 | | | | 1,757,182 | |
| | | | | | | | | | | | |
| |
| | | | 7,821,587 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $407,414,958) | | | | 409,589,733 | |
| | | | | | | | | | | | |
|
CORPORATES — 6.91%* | |
|
Banking — 0.39% | |
Bank of America Corp. | |
3.00% | | | 12/20/23 | 13 | | | 1,300,000 | | | | 1,340,041 | |
HSBC Holdings PLC | |
(United Kingdom) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.12% | | | 05/18/24 | 1,2 | | | 500,000 | | | | 505,718 | |
| | | | | | | | | | | | |
| |
| | | | 1,845,759 | |
| | | | | | | | | | | | |
|
Communications — 1.75% | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 14 | | | 4,353,000 | | | | 2,893,040 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
8.50% | | | 10/15/24 | 2,14,15,16 | | | 1,000,000 | | | | 580,000 | |
National CineMedia LLC | |
5.88% | | | 04/15/28 | 14 | | | 500,000 | | | | 458,395 | |
Scripps Escrow II, Inc. | |
5.38% | | | 01/15/31 | 14 | | | 400,000 | | | | 393,850 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 2,500,000 | | | | 2,531,315 | |
3.88% | | | 04/15/30 | | | | 1,280,000 | | | | 1,414,009 | |
| | | | | | | | | | | | |
| |
| | | | 8,270,609 | |
| | | | | | | | | | | | |
|
Energy — 0.44% | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/26 | 14 | | | 1,500,000 | | | | 1,531,482 | |
| USA Compression Partners LP/USA Compression Finance | | | | | |
Corp. | |
6.88% | | | 09/01/27 | | | | 500,000 | | | | 530,053 | |
| | | | | | | | | | | | |
| |
| | | | 2,061,535 | |
| | | | | | | | | | | | |
|
Finance — 0.74% | |
Citigroup, Inc. | |
(LIBOR USD 3-Month plus 0.55%) | |
0.68% | | | 08/25/36 | 1 | | | 1,800,000 | | | | 1,578,431 | |
GE Capital International Funding Co. | |
(Ireland) | |
4.42% | | | 11/15/35 | 2 | | | 75,000 | | | | 90,092 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
Goldman Sachs Group, Inc. (The) | |
3.27% | | | 09/29/25 | 13 | | $ | 980,000 | | | $ | 1,048,208 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | | 03/15/23 | 2,14 | | | 750,000 | | | | 783,886 | |
| | | | | | | | | | | | |
| |
| | | | 3,500,617 | |
| | | | | | | | | | | | |
|
Food — 0.51% | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | 14 | | | 2,350,000 | | | | 2,394,510 | |
| | | | | | | | | | | | |
|
Health Care — 1.85% | |
180 Medical, Inc. | |
3.88% | | | 3.88 | 14 | | | 1,000,000 | | | | 1,000,000 | |
Centene Corp. | |
3.00% | | | 10/15/30 | | | | 1,400,000 | | | | 1,436,750 | |
Cigna Corp. | |
(LIBOR USD 3-Month plus 0.89%) | |
1.02% | | | 07/15/23 | 1 | | | 2,700,000 | | | | 2,733,792 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | |
6.00% | | | 06/30/28 | 2,14 | | | 650,000 | | | | 469,625 | |
Molina Healthcare, Inc. | |
3.88% | | | 11/15/30 | 14 | | | 500,000 | | | | 527,917 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | 04/30/31 | 14 | | | 697,000 | | | | 732,965 | |
Prime Healthcare Services, Inc. | |
7.25% | | | 11/01/25 | 14 | | | 1,250,000 | | | | 1,340,625 | |
Tenet Healthcare Corp. | |
4.63% | | | 09/01/24 | 14 | | | 500,000 | | | | 511,876 | |
| | | | | | | | | | | | |
| |
| | | | 8,753,550 | |
| | | | | | | | | | | | |
|
Industrials — 0.68% | |
Artera Services LLC | |
9.03% | | | 12/04/25 | 14 | | | 380,000 | | | | 412,662 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 1 | | | 850,000 | | | | 742,028 | |
Sealed Air Corp. | |
5.25% | | | 04/01/23 | 14 | | | 1,500,000 | | | | 1,569,375 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC | |
(Canada) | |
7.75% | | | 04/15/26 | 2,14 | | | 250,000 | | | | 256,120 | |
Trident TPI Holdings, Inc. | |
9.25% | | | 08/01/24 | 14 | | | 250,000 | | | | 263,048 | |
| | | | | | | | | | | | |
| |
| | | | 3,243,233 | |
| | | | | | | | | | | | |
|
Retail — 0.55% | |
FirstCash, Inc. | |
4.63% | | | 09/01/28 | 14 | | | 500,000 | | | | 519,375 | |
|
| See accompanying Notes to Financial Statements. |
|
| 73 / Semi-Annual Report September 2021 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Retail (continued) | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 14 | | $ | 2,000,000 | | | $ | 2,080,950 | |
| | | | | | | | | | | | |
| |
| | | | 2,600,325 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $32,189,631) | | | | 32,670,138 | |
| | | | | | | | | | | | |
|
Total Bonds — 93.55% | |
(Cost $439,604,589) | | | | 442,259,871 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
|
WARRANT — 0.03% | |
|
Entertainment — 0.03% | |
|
Cineworld Group PLC2,15 | |
(United Kingdom) | | | | 229,579 | | | | 128,464 | |
| | | | | | | | | | | | |
|
Total Warrant | |
(Cost $–) | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 9.39% | |
|
Money Market Funds — 4.11% | |
Dreyfus Government Cash Management Fund | |
0.03%17 | | | | 1,902,000 | | | | 1,902,000 | |
| Fidelity Investments Money Market Funds - Government | | | | | |
Portfolio | |
0.01%17 | | | | 41,002 | | | | 41,002 | |
| Morgan Stanley Institutional Liquidity Funds - Government | | | | | |
Portfolio | |
0.03%17 | | | | 17,468,000 | | | | 17,468,000 | |
| | | | | | | | | | | | |
| |
| | | | 19,411,002 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 5.28% | |
U.S. Treasury Bills | |
0.05%18 | | | 02/10/22 | | | | 20,000,000 | | | | 19,997,067 | |
0.04%18 | | | 03/03/22 | | | | 5,000,000 | | | | 4,999,177 | |
| | | | | | | | | | | | |
| |
| | | | 24,996,244 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $44,406,622) | | | | 44,407,246 | |
| | | | | | | | | | | | |
|
Total Investments—102.97% | |
(Cost $484,011,211) | | | | 486,795,581 | |
| | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 17,475 | |
| |
| Liabilities in Excess of Other Assets - (2.97)% | | | | (14,059,126 | ) |
| | | | | | | | | | | | |
| |
Net Assets—100.00% | | | $ | 472,753,930 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $779,259, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 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 $3,270,522, which is 0.69% 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 $124,586, at an interest rate of 2.00% and a maturity of September 15, 2028. The investment is not accruing an unused commitment fee. |
| 7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $315,854, at an interest rate of 4.00% and a maturity of June 09, 2028. 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 $6,654, at an interest rate of 3.75% and a maturity of March 31, 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 $161,542, at an interest rate of 4.00% and a maturity of December 16, 2027. The investment is not accruing an unused commitment fee. |
| 10 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $180,562, at an interest rate of 3.25% and a maturity of March 03, 2028. The investment is not accruing an unused commitment fee. |
| 11 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $346,657, at an interest rate of 3.75% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.25% per annum. |
| 12 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $101,658, at an interest rate of 1.00% and a maturity of June 01, 2026. The investment is not accruing an unused commitment fee. |
| 13 | 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. |
| 14 | 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. |
| 15 | Non-income producing security. |
| 16 | Security is currently in default with regard to scheduled interest or principal payments. |
| 17 | Represents the current yield as of September 30, 2021. |
| 18 | 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. |
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.
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(USD): U.S. Dollar
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 74 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
USD 1,621,659 | | EUR 1,357,607 | | Goldman Sachs International | | 10/22/21 | | $ | 47,608 | |
USD 715,574 | | EUR 610,000 | | Goldman Sachs International | | 01/07/22 | | | 7,016 | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | 54,624 | |
| | | | | | | | | | |
| | | | |
EUR 1,357,607 | | USD 1,592,544 | | Goldman Sachs International | | 10/22/21 | | | (18,494) | |
| | | | | | | | | | |
| | |
NET UNREALIZED APPRECIATION | | | | $ | 36,130 | |
| | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 75 / Semi-Annual Report September 2021 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 92.09% | | | | | |
| |
BANK LOANS — 18.20%* | | | | | |
| |
Communications — 4.88% | | | | | |
CenturyLink, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 03/15/27 | 1 | | $ | 913,725 | | | $ | 905,031 | |
CSC Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 07/17/25 | 1 | | | 13,168,659 | | | | 13,011,227 | |
Diamond Sports Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.34% | | | 08/24/26 | 1 | | | 1,044,670 | | | | 655,092 | |
DIRECTV Financing LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
5.75% | | | 08/02/27 | 1 | | | 4,000,000 | | | | 4,007,080 | |
Frontier Communications holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 05/01/28 | 1 | | | 3,781,000 | | | | 3,784,535 | |
GTT Communications BV, | | | | | |
Term Loan B, 1st Lien | | | | | |
(EURIBOR plus 3.25%) | | | | | |
3.25% | | | 05/31/25 | 1 | | | 1,244,122 | | | | 1,228,297 | |
GTT Communications, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.88% | | | 05/30/25 | 1 | | | 1,122,015 | | | | 956,517 | |
Intelsat Jackson Holdings SA, | | | | | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.75%) | | | | | |
5.75% | | | 07/13/22 | 1,2,3 | | | 6,416,667 | | | | 6,472,813 | |
Term Loan B5, 1st Lien (Luxembourg) | | | | | |
8.63% | | | 01/02/24 | 1,2 | | | 1,329,300 | | | | 1,354,224 | |
MacDonald Dettwiler & Associates Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.84% | | | 10/04/24 | 1 | | | 1,890,818 | | | | 1,878,121 | |
National Cinemedia LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
5.00% | | | 06/20/25 | 1 | | | 766,960 | | | | 717,108 | |
NEP/NCP Holdco, Inc., | | | | | |
Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.00%) | | | | | |
7.08% | | | 10/19/26 | 1 | | | 875,000 | | | | 844,012 | |
Nexstar Broadcasting, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 01/17/24 | 1 | | | 2,071,425 | | | | 2,071,787 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications (continued) | | | | | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.08% | | | 03/09/27 | 1 | | $ | 2,071,086 | | | $ | 2,055,211 | |
| | | | | |
| | | | 39,941,055 | |
| | | | | |
| |
Consumer Discretionary — 1.25% | | | | | |
ADMI Corp., | | | | | |
Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 3.13%) | | | | | |
3.63% | | | 12/23/27 | 1 | | | 1,915,375 | | | | 1,902,379 | |
Kwor Acquisition, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
4.08% | | | 06/03/26 | 1 | | | 2,729,061 | | | | 2,708,593 | |
Landry’s, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 12.00%) | | | | | |
13.00% | | | 10/04/23 | 1 | | | 56,625 | | | | 62,005 | |
Peraton Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 02/01/28 | 1 | | | 3,830,750 | | | | 3,839,733 | |
Triton Water Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
4.00% | | | 03/31/28 | 1 | | | 1,720,688 | | | | 1,720,584 | |
| | | | | |
| | | | 10,233,294 | |
| | | | | |
| |
Electric — 0.12% | | | | | |
CommScope, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.33% | | | 04/06/26 | 1 | | | 980,000 | | | | 977,040 | |
| | | | | |
| |
Entertainment — 0.74% | | | | | |
Cineworld Finance U.S., Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.50% | | | 02/28/25 | 1 | | | 5,200,157 | | | | 4,300,946 | |
Crown Finance U.S., Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
7.00% | | | 05/23/24 | 1 | | | 1,418,826 | | | | 1,758,167 | |
| | | | | |
| | | | 6,059,113 | |
| | | | | |
| |
Finance — 0.13% | | | | | |
Auris Lux III SA, | | | | | |
Term Loan B, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 3.75%) | | | | | |
3.83% | | | 02/27/26 | 1,2 | | | 1,079,599 | | | | 1,071,843 | |
| | | | | |
| |
Food — 0.46% | | | | | |
Houston Foods, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
3.83% | | | 07/20/25 | 1 | | | 3,826,066 | | | | 3,783,023 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 76 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Gaming — 0.49% | | | | | |
Churchill Downs, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.10% | | | 12/27/24 | 1 | | $ | 2,048,202 | | | $ | 2,048,202 | |
Golden Nugget, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.25% | | | 10/04/23 | 1 | | | 1,937,943 | | | | 1,931,277 | |
| | | | | |
| | | | 3,979,479 | |
| | | | | |
| |
Health Care — 2.84% | | | | | |
Avantor Funding, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.75% | | | 11/08/27 | 1 | | | 1,741,250 | | | | 1,746,151 | |
Change Healthcare Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.50% | | | 03/01/24 | 1 | | | 4,667,172 | | | | 4,667,405 | |
Elanco Animal Health, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | | 08/01/27 | 1 | | | 3,723,541 | | | | 3,682,638 | |
Endo Luxembourg Finance Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
5.75% | | | 03/27/28 | 1 | | | 560,311 | | | | 549,222 | |
eResearchTechnology, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.50%) | | | | | |
5.50% | | | 02/04/27 | 1 | | | 863,442 | | | | 868,705 | |
Gentiva Health Services, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.88% | | | 07/02/25 | 1 | | | 1,283,483 | | | | 1,284,549 | |
ICON Luxembourg SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.00% | | | 07/03/28 | 1 | | | 3,050,433 | | | | 3,063,977 | |
Indigo Merger Sub, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.00% | | | 07/03/28 | 1 | | | 760,017 | | | | 763,392 | |
Phoenix Newco, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
3.50% | | | 08/11/28 | 1 | | | 4,000,000 | | | | 4,005,640 | |
PPD, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.50% | | | 01/13/28 | 1 | | | 2,596,950 | | | | 2,595,872 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,227,551 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials — 3.06% | | | | | |
Berry Global, Inc., | | | | | |
Term Loan Z, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.86% | | | 07/01/26 | 1 | | $ | 2,976,676 | | | $ | 2,964,025 | |
Charter NEX U.S., Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 12/01/27 | 1 | | | 2,606,900 | | | | 2,615,659 | |
Liqui-Box Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.50%) | | | | | |
5.50% | | | 02/26/27 | 1 | | | 1,481,250 | | | | 1,404,721 | |
Mauser Packaging Solutions Holdings, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.33% | | | 04/03/24 | 1 | | | 2,453,659 | | | | 2,407,457 | |
Plaze, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 08/03/26 | 1 | | | 2,313,058 | | | | 2,314,030 | |
Proampac PG Borrower LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 11/03/25 | 1 | | | 2,606,900 | | | | 2,615,047 | |
Titan Acquisition, Ltd., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.17% | | | 03/28/25 | 1 | | | 918,346 | | | | 903,111 | |
Transcendia Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
4.50% | | | 05/30/24 | 1 | | | 869,367 | | | | 778,083 | |
TransDigm, Inc., | | | | | |
Term Loan E, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 05/30/25 | 1 | | | 923,550 | | | | 913,308 | |
Trident TPI Holdings, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
4.00% | | | 10/17/24 | 1 | | | 3,464,010 | | | | 3,465,933 | |
Zep, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
5.00% | | | 08/12/24 | 1 | | | 4,739,516 | | | | 4,635,839 | |
| | | | | |
| | | | 25,017,213 | |
| | | | | |
| |
Information Technology — 2.11% | | | | | |
CT Technologies Intermediate Holdings, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
5.00% | | | 12/16/25 | 1 | | | 1,044,750 | | | | 1,047,853 | |
IQVIA, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.88% | | | 06/11/25 | 1 | | | 4,637,492 | | | | 4,634,014 | |
|
| See accompanying Notes to Financial Statements. |
|
| 77 / Semi-Annual Report September 2021 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.75% | | | 04/24/28 | 1 | | $ | 1,050,000 | | | $ | 1,047,921 | |
Scientific Games International, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.83% | | | 08/14/24 | 1 | | | 1,877,544 | | | | 1,871,563 | |
Spin Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
4.75% | | | 03/04/28 | 1 | | | 2,743,125 | | | | 2,753,878 | |
SS&C Technologies, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 04/16/25 | 1 | | | 2,401,526 | | | | 2,380,969 | |
Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 04/16/25 | 1 | | | 1,818,537 | | | | 1,802,971 | |
TierPoint LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | | 05/05/26 | 1 | | | 1,708,802 | | | | 1,714,142 | |
| | | | | |
| | | | 17,253,311 | |
| | | | | |
| |
Insurance — 0.24% | | | | | |
Acrisure LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
3.63% | | | 02/15/27 | 1 | | | 1,984,887 | | | | 1,970,000 | |
| | | | | |
|
| Real Estate Investment Trust (REIT) — 0.68% | |
Aveanna Healthcare LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.25% | | | 07/01/28 | 1 | | | 1,277,830 | | | | 1,278,929 | |
Rent-A-Center, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.75% | | | 02/17/28 | 1 | | | 3,407,875 | | | | 3,424,914 | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | | 04/11/25 | 1 | | | 913,477 | | | | 905,818 | |
| | | | | |
| | | | 5,609,661 | |
| | | | | |
| |
Retail — 0.20% | | | | | |
American Airlines, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.75%) | | | | | |
5.50% | | | 04/20/28 | 1 | | | 430,000 | | | | 445,138 | |
Aveanna Healthcare LLC, | | | | | |
Delayed-Draw Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
4.00% | | | 07/17/28 | 1 | | | 297,170 | | | | 297,425 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Retail (continued) | | | | | |
U.S. Anesthesia Partners, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
4.75% | | | 09/22/28 | 1 | | $ | 870,000 | | | $ | 872,380 | |
| | | | | |
| | | | 1,614,943 | |
| | | | | |
| |
Services — 0.51% | | | | | |
AECOM, | | �� | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.75%) | | | | | |
5.50% | | | 01/29/27 | 1 | | | 1,741,250 | | | | 1,758,227 | |
PowerTeam Services LLC, | | | | | |
Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.25%) | | | | | |
8.25% | | | 03/06/26 | 1,4,5 | | | 2,402,000 | | | | 2,390,987 | |
| | | | | |
| | | | 4,149,214 | |
| | | | | |
| |
Transportation — 0.49% | | | | | |
Kenan Advantage Group, Inc. (The), | | | | | |
Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.25%) | | | | | |
8.00% | | | 08/17/29 | 1 | | | 4,000,000 | | | | 3,975,000 | |
| | | | | |
| |
Total Bank Loans | | | | | |
(Cost $147,271,263) | | | | 148,861,740 | |
| | | | | |
| |
CORPORATES — 73.89%* | | | | | |
| |
Automotive — 0.63% | | | | | |
Ford Motor Credit Co. LLC | | | | | |
2.90% | | | 02/16/28 | | | | 5,160,000 | | | | 5,136,500 | |
| | | | | |
| |
Communications — 19.56% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.50% | | | 10/15/29 | 2,6 | | | 4,805,000 | | | | 4,764,715 | |
AT&T, Inc. | | | | | |
3.55% | | | 09/15/55 | | | | 3,250,000 | | | | 3,212,327 | |
4.50% | | | 05/15/35 | | | | 4,043,000 | | | | 4,732,498 | |
Block Communications, Inc. | | | | | |
4.88% | | | 03/01/28 | 6 | | | 2,272,000 | | | | 2,331,640 | |
Cable One, Inc. | | | | | |
4.00% | | | 11/15/30 | 6 | | | 1,250,000 | | | | 1,243,750 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
5.50% | | | 05/01/26 | 6 | | | 8,121,000 | | | | 8,375,025 | |
Cogent Communications Group, Inc. | | | | | |
3.50% | | | 05/01/26 | 6 | | | 4,025,000 | | | | 4,100,326 | |
CommScope, Inc. | | | | | |
4.75% | | | 09/01/29 | 6 | | | 4,000,000 | | | | 4,000,000 | |
CSC Holdings LLC | | | | | |
3.38% | | | 02/15/31 | 6 | | | 2,500,000 | | | | 2,327,189 | |
4.50% | | | 11/15/31 | 6 | | | 6,000,000 | | | | 5,934,361 | |
6.50% | | | 02/01/29 | 6 | | | 1,141,000 | | | | 1,237,072 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 6 | | | 6,975,000 | | | | 4,635,643 | |
6.63% | | | 08/15/27 | 6 | | | 6,971,000 | | | | 3,103,400 | |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | | | | | |
5.88% | | | 08/15/27 | 6 | | | 300,000 | | | | 313,493 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 78 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
DISH DBS Corp. | | | | | |
7.38% | | | 07/01/28 | | | $ | 2,552,000 | | | $ | 2,709,471 | |
DISH Network Corp. | | | | | |
3.38% | | | 08/15/26 | | | | 5,120,000 | | | | 5,335,040 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
5.50% | | | 08/01/23 | 2,7,8 | | | 6,350,000 | | | | 3,551,523 | |
8.50% | | | 10/15/24 | 2,6,7,8 | | | 2,853,000 | | | | 1,654,740 | |
9.75% | | | 07/15/25 | 2,6,7,8 | | | 4,051,000 | | | | 2,284,923 | |
Intelsat Luxembourg SA | | | | | |
(Luxembourg) | | | | | |
8.13% | | | 06/01/23 | 2,7,8 | | | 2,545,000 | | | | 22,269 | |
Lamar Media Corp. | | | | | |
3.75% | | | 02/15/28 | | | | 1,745,000 | | | | 1,797,865 | |
Level 3 Financing, Inc. | | | | | |
3.63% | | | 01/15/29 | 6 | | | 4,000,000 | | | | 3,880,364 | |
3.75% | | | 07/15/29 | 6 | | | 5,000,000 | | | | 4,838,650 | |
4.25% | | | 07/01/28 | 6 | | | 3,000,000 | | | | 3,032,602 | |
4.63% | | | 09/15/27 | 6 | | | 2,650,000 | | | | 2,729,633 | |
Lumen Technologies, Inc. | | | | | |
4.00% | | | 02/15/27 | 6 | | | 1,956,000 | | | | 1,999,973 | |
5.38% | | | 06/15/29 | 6 | | | 2,827,000 | | | | 2,888,091 | |
| Midcontinent Communications/Midcontinent Finance Corp. | | | | | |
5.38% | | | 08/15/27 | 6 | | | 2,246,000 | | | | 2,342,488 | |
National CineMedia LLC | | | | | |
5.75% | | | 08/15/26 | | | | 2,750,000 | | | | 2,237,812 | |
5.88% | | | 04/15/28 | 6 | | | 3,702,000 | | | | 3,393,957 | |
| Outfront Media Capital LLC/Outfront Media Capital Corp. | | | | | |
4.63% | | | 03/15/30 | 6 | | | 445,000 | | | | 446,501 | |
Qwest Corp. | | | | | |
6.75% | | | 12/01/21 | | | | 6,582,000 | | | | 6,647,181 | |
7.25% | | | 09/15/25 | | | | 893,000 | | | | 1,063,938 | |
Scripps Escrow II, Inc. | | | | | |
5.38% | | | 01/15/31 | 6 | | | 2,062,000 | | | | 2,030,297 | |
Scripps Escrow, Inc. | | | | | |
5.88% | | | 07/15/27 | 6 | | | 2,579,000 | | | | 2,656,370 | |
SES GLOBAL Americas Holdings GP | | | | | |
5.30% | | | 03/25/44 | 6 | | | 3,782,000 | | | | 4,333,477 | |
Sinclair Television Group, Inc. | | | | | |
4.13% | | | 12/01/30 | 6 | | | 6,970,000 | | | | 6,821,888 | |
Sirius XM Radio, Inc. | | | | | |
5.50% | | | 07/01/29 | 6 | | | 362,000 | | | | 392,933 | |
Sprint Corp. | | | | | |
7.88% | | | 09/15/23 | | | | 10,307,000 | | | | 11,529,410 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | | 03/20/28 | 6 | | | 7,850,000 | | | | 8,980,793 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | | 02/15/26 | | | | 8,657,000 | | | | 8,765,437 | |
Virgin Media Secured Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.50% | | | 08/15/30 | 2,6 | | | 7,175,000 | | | | 7,294,997 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
Vmed O2 UK Financing I PLC | | | | | |
(United Kingdom) | | | | | |
4.75% | | | 07/15/31 | 2,6 | | $ | 3,920,000 | | | $ | 4,009,886 | |
| | | | | |
| | | | 159,983,948 | |
| | | | | |
| |
Consumer Discretionary — 0.93% | | | | | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | | 05/15/25 | 2,6 | | | 675,000 | | | | 744,254 | |
BAT Capital Corp. | | | | | |
5.28% | | | 04/02/50 | | | | 2,273,000 | | | | 2,617,467 | |
Edgewell Personal Care Co. | | | | | |
5.50% | | | 06/01/28 | 6 | | | 1,085,000 | | | | 1,146,756 | |
Everi Holdings, Inc. | | | | | |
5.00% | | | 07/15/29 | 6 | | | 815,000 | | | | 835,375 | |
Live Nation Entertainment, Inc. | | | | | |
6.50% | | | 05/15/27 | 6 | | | 215,000 | | | | 236,769 | |
Primo Water Holdings, Inc. | | | | | |
4.38% | | | 04/30/29 | 6 | | | 2,000,000 | | | | 1,997,210 | |
| | | | | |
| | | | 7,577,831 | |
| | | | | |
| |
Consumer Products — 0.41% | | | | | |
Newell Brands, Inc. | | | | | |
4.35% | | | 04/01/23 | | | | 1,325,000 | | | | 1,381,392 | |
4.88% | | | 06/01/25 | | | | 1,800,000 | | | | 1,993,410 | |
| | | | | |
| | | | 3,374,802 | |
| | | | | |
| |
Electric — 1.40% | | | | | |
FirstEnergy Corp. | | | | | |
2.65% | | | 03/01/30 | | | | 6,886,000 | | | | 6,868,785 | |
FirstEnergy Corp., | | | | | |
Series C | | | | | |
3.40% | | | 03/01/50 | | | | 3,745,000 | | | | 3,609,656 | |
5.35% | | | 07/15/47 | | | | 148,000 | | | | 181,196 | |
Jersey Central Power & Light Co. | | | | | |
2.75% | | | 03/01/32 | 6 | | | 800,000 | | | | 820,343 | |
| | | | | |
| | | | 11,479,980 | |
| | | | | |
| |
Energy — 9.43% | | | | | |
Antero Resources Corp. | | | | | |
7.63% | | | 02/01/29 | 6 | | | 611,000 | | | | 685,389 | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | | 04/01/28 | 6 | | | 5,267,000 | | | | 5,464,513 | |
DCP Midstream Operating LP | | | | | |
5.60% | | | 04/01/44 | | | | 754,000 | | | | 882,946 | |
Devon Energy Corp. | | | | | |
5.00% | | | 06/15/45 | | | | 1,037,000 | | | | 1,217,749 | |
| Endeavor Energy Resources LP/EER Finance, Inc. | | | | | |
5.75% | | | 01/30/28 | 6 | | | 2,904,000 | | | | 3,060,090 | |
Energy Transfer LP | | | | | |
5.00% | | | 05/15/50 | | | | 840,000 | | | | 970,886 | |
5.35% | | | 05/15/45 | | | | 820,000 | | | | 960,107 | |
5.40% | | | 10/01/47 | | | | 500,000 | | | | 596,830 | |
Energy Transfer LP, | | | | | |
Series B | | | | | |
6.63% | | | 02/15/70 | 9 | | | 5,263,000 | | | | 5,138,004 | |
|
| See accompanying Notes to Financial Statements. |
|
| 79 / Semi-Annual Report September 2021 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
Hess Corp. | | | | | |
5.60% | | | 02/15/41 | | | $ | 1,047,000 | | | $ | 1,304,440 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/26 | 6 | | | 5,270,000 | | | | 5,380,609 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | | 10/10/36 | 10 | | | 19,685,000 | | | | 10,875,962 | |
4.40% | | | 08/15/49 | | | | 4,300,000 | | | | 4,230,714 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
6.75% | | | 09/21/47 | 2 | | | 524,000 | | | | 457,819 | |
7.69% | | | 01/23/50 | 2 | | | 425,000 | | | | 403,012 | |
Rockies Express Pipeline LLC | | | | | |
4.80% | | | 05/15/30 | 6 | | | 650,000 | | | | 672,750 | |
6.88% | | | 04/15/40 | 6 | | | 2,984,000 | | | | 3,297,320 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/22 | 4,5,6 | | | 4,309,545 | | | | 4,007,877 | |
SM Energy Co. | | | | | |
6.50% | | | 07/15/28 | | | | 1,907,000 | | | | 1,973,154 | |
6.63% | | | 01/15/27 | | | | 910,000 | | | | 934,279 | |
Sunoco LP/Sunoco Finance Corp. | | | | | |
4.50% | | | 05/15/29 | | | | 1,085,000 | | | | 1,106,585 | |
5.88% | | | 03/15/28 | | | | 3,165,000 | | | | 3,350,944 | |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | | | | |
5.50% | | | 03/01/30 | | | | 1,300,000 | | | | 1,425,531 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 3,989,000 | | | | 4,098,697 | |
Transocean Phoenix 2 Ltd. | | | | | |
(Cayman Islands) | | | | | |
7.75% | | | 10/15/24 | 2,6 | | | 3,321,450 | | | | 3,392,031 | |
Transocean Pontus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 2,6 | | | 1,076,690 | | | | 1,080,092 | |
Transocean Proteus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 2,6 | | | 2,916,650 | | | | 2,930,198 | |
Transocean Sentry Ltd. | | | | | |
(Cayman Islands) | | | | | |
5.38% | | | 05/15/23 | 2,6 | | | 1,378,458 | | | | 1,375,012 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | | 04/01/26 | | | | 1,289,000 | | | | 1,343,785 | |
Valaris Ltd., | | | | | |
Series 1145, PIK | | | | | |
(Bermuda) | | | | | |
8.25% | | | 04/30/28 | 2,11 | | | 111,000 | | | | 115,337 | |
Venture Global Calcasieu Pass LLC | | | | | |
4.13% | | | 08/15/31 | 6 | | | 4,188,000 | | | | 4,379,095 | |
| | | | | |
| | | | 77,111,757 | |
| | | | | |
| |
Entertainment — 0.49% | | | | | |
Banijay Entertainment SASU | | | | | |
(France) | | | | | |
5.38% | | | 03/01/25 | 2,6 | | | 252,000 | | | | 260,251 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Entertainment (continued) | | | | | |
Cinemark USA, Inc. | | | | | |
5.25% | | | 07/15/28 | 6 | | $ | 3,825,000 | | | $ | 3,777,187 | |
| | | | | |
| | | | 4,037,438 | |
| | | | | |
| |
Finance — 2.27% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
3.50% | | | 01/15/25 | 2 | | | 450,000 | | | | 473,761 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | 11/18/27 | 2,6 | | | 3,485,000 | | | | 3,430,400 | |
Ford Motor Credit Co. LLC | | | | | |
2.98% | | | 08/03/22 | | | | 1,805,000 | | | | 1,826,949 | |
3.22% | | | 01/09/22 | | | | 5,000,000 | | | | 5,018,750 | |
3.34% | | | 03/28/22 | | | | 950,000 | | | | 958,391 | |
(LIBOR USD 3-Month plus 1.27%) | | | | | |
1.40% | | | 03/28/22 | 1 | | | 5,660,000 | | | | 5,664,398 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | | 11/15/35 | 2 | | | 958,000 | | | | 1,150,770 | |
| | | | | |
| | | | 18,523,419 | |
| | | | | |
| |
Food — 7.32% | | | | | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | |
3.75% | | | 12/01/31 | 2,6 | | | 2,000,000 | | | | 2,097,689 | |
5.50% | | | 01/15/30 | 2,6 | | | 5,250,000 | | | | 5,845,718 | |
6.50% | | | 04/15/29 | 2,6 | | | 5,500,000 | | | | 6,147,152 | |
Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 13,040,000 | | | | 13,731,709 | |
4.63% | | | 01/30/29 | | | | 355,000 | | | | 406,109 | |
Lamb Weston Holdings, Inc. | | | | | |
4.63% | | | 11/01/24 | 6 | | | 4,000,000 | | | | 4,073,320 | |
Nathan’s Famous, Inc. | | | | | |
6.63% | | | 11/01/25 | 6 | | | 696,000 | | | | 716,010 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | | 03/01/32 | 6 | | | 14,000,000 | | | | 14,265,166 | |
Post Holdings, Inc. | | | | | |
4.50% | | | 09/15/31 | 6 | | | 4,000,000 | | | | 3,968,197 | |
4.63% | | | 04/15/30 | 6 | | | 5,629,000 | | | | 5,679,548 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed | | | | | |
4.63% | | | 03/01/29 | 6 | | | 696,000 | | | | 704,501 | |
Smithfield Foods, Inc. | | | | | |
5.20% | | | 04/01/29 | 6 | | | 1,950,000 | | | | 2,241,217 | |
| | | | | |
| | | | 59,876,336 | |
| | | | | |
| |
Gaming — 1.00% | | | | | |
Boyd Gaming Corp. | | | | | |
4.75% | | | 06/15/31 | 6 | | | 1,825,000 | | | | 1,883,707 | |
Caesars Entertainment, Inc. | | | | | |
4.63% | | | 10/15/29 | 6 | | | 832,000 | | | | 844,577 | |
6.25% | | | 07/01/25 | 6 | | | 1,053,000 | | | | 1,110,845 | |
Churchill Downs, Inc. | | | | | |
4.75% | | | 01/15/28 | 6 | | | 1,100,000 | | | | 1,152,250 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 80 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Gaming (continued) | |
Live Nation Entertainment, Inc. | |
3.75% | | | 01/15/28 | 6 | | $ | 3,217,000 | | | $ | 3,200,915 | |
| | | | | | | | | | | | |
| | | | 8,192,294 | |
| | | | | | | | | | | | |
|
Health Care — 9.99% | |
180 Medical, Inc. | |
3.88% | | | 3.88 | 6 | | | 6,875,000 | | | | 6,875,000 | |
Bausch Health Cos., Inc. | |
(Canada) | |
4.88% | | | 06/01/28 | 2,6 | | | 1,960,000 | | | | 2,033,500 | |
Cano Health LLC | |
6.25% | | | 10/01/28 | 6 | | | 1,352,000 | | | | 1,367,210 | |
Centene Corp. | |
2.45% | | | 07/15/28 | | | | 10,285,000 | | | | 10,341,060 | |
4.63% | | | 12/15/29 | | | | 3,241,000 | | | | 3,536,093 | |
Elanco Animal Health, Inc. | |
5.27% | | | 08/28/23 | | | | 799,000 | | | | 852,517 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | |
6.00% | | | 06/30/28 | 2,6 | | | 3,988,000 | | | | 2,881,330 | |
9.50% | | | 07/31/27 | 2,6 | | | 542,000 | | | | 543,939 | |
Grifols Escrow Issuer SA | |
(Spain) | |
4.75% | | | 10/15/28 | 2,6 | | | 6,897,000 | | | | 7,065,890 | |
HCA, Inc. | |
7.69% | | | 06/15/25 | | | | 1,650,000 | | | | 1,994,437 | |
HCA, Inc. | |
(MTN) | |
7.58% | | | 09/15/25 | | | | 1,650,000 | | | | 1,994,557 | |
HCRX Investments Holdco LP | |
4.50% | | | 08/01/29 | 6 | | | 6,832,000 | | | | 6,874,734 | |
Hill-Rom Holdings, Inc. | |
4.38% | | | 09/15/27 | 6 | | | 1,160,000 | | | | 1,214,404 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | | 10/01/29 | 6 | | | 3,682,000 | | | | 3,821,180 | |
ModivCare, Inc. | |
5.88% | | | 11/15/25 | 6 | | | 2,140,000 | | | | 2,265,725 | |
Molina Healthcare, Inc. | |
3.88% | | | 11/15/30 | 6 | | | 7,845,000 | | | | 8,283,019 | |
4.38% | | | 06/15/28 | 6 | | | 7,014,000 | | | | 7,304,571 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | 04/30/31 | 6 | | | 1,623,000 | | | | 1,706,747 | |
Owens & Minor, Inc. | |
4.50% | | | 03/31/29 | 6 | | | 1,595,000 | | | | 1,612,859 | |
Par Pharmaceutical, Inc. | |
7.50% | | | 04/01/27 | 6 | | | 244,000 | | | | 249,490 | |
Prime Healthcare Services, Inc. | |
7.25% | | | 11/01/25 | 6 | | | 2,250,000 | | | | 2,413,125 | |
Teleflex, Inc. | |
4.25% | | | 06/01/28 | 6 | | | 3,900,000 | | | | 4,059,803 | |
Tenet Healthcare Corp. | |
4.63% | | | 09/01/24 | 6 | | | 2,307,000 | | | | 2,361,795 | |
| | | | | | | | | | | | |
| | | | 81,652,985 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Industrials — 6.59% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
(Ireland) | |
4.13% | | | 08/15/26 | 2,6 | | $ | 8,927,000 | | | $ | 9,310,861 | |
Artera Services LLC | |
9.03% | | | 12/04/25 | 6 | | | 1,434,000 | | | | 1,557,256 | |
Ball Corp. | |
3.13% | | | 09/15/31 | | | | 2,744,000 | | | | 2,713,781 | |
4.00% | | | 11/15/23 | | | | 3,960,000 | | | | 4,182,750 | |
4.88% | | | 03/15/26 | | | | 3,895,000 | | | | 4,313,712 | |
5.25% | | | 07/01/25 | | | | 1,254,000 | | | | 1,401,345 | |
Clean Harbors, Inc. | |
4.88% | | | 07/15/27 | 6 | | | 2,152,000 | | | | 2,235,390 | |
Energizer Holdings, Inc. | |
4.75% | | | 06/15/28 | 6 | | | 2,525,000 | | | | 2,574,970 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 1 | | | 1,300,000 | | | | 1,134,867 | |
Graham Packaging Co., Inc. | |
7.13% | | | 08/15/28 | 6 | | | 2,466,000 | | | | 2,595,077 | |
Graphic Packaging International LLC | |
3.50% | | | 03/15/28 | 6 | | | 5,185,000 | | | | 5,286,810 | |
4.75% | | | 07/15/27 | 6 | | | 2,571,000 | | | | 2,792,749 | |
4.88% | | | 11/15/22 | | | | 566,000 | | | | 585,295 | |
Intertape Polymer Group, Inc. | |
(Canada) | |
4.38% | | | 06/15/29 | 2,6 | | | 3,256,000 | | | | 3,314,419 | |
Mauser Packaging Solutions Holding Co. | |
7.25% | | | 04/15/25 | 6 | | | 382,000 | | | | 380,166 | |
Sealed Air Corp. | |
4.00% | | | 12/01/27 | 6 | | | 815,000 | | | | 871,031 | |
5.50% | | | 09/15/25 | 6 | | | 4,898,000 | | | | 5,478,737 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC | |
(Canada) | |
7.75% | | | 04/15/26 | 2,6 | | | 2,195,000 | | | | 2,248,734 | |
Trident TPI Holdings, Inc. | |
9.25% | | | 08/01/24 | 6 | | | 875,000 | | | | 920,667 | |
| | | | | | | | | | | | |
| | | | 53,898,617 | |
| | | | | | | | | | | | |
|
Information Technology — 0.98% | |
Booz Allen Hamilton, Inc. | |
4.00% | | | 07/01/29 | 6 | | | 2,000,000 | | | | 2,052,036 | |
Clarivate Science Holdings Corp. | |
3.88% | | | 07/01/28 | 6 | | | 500,000 | | | | 500,782 | |
MSCI, Inc. | |
3.63% | | | 09/01/30 | 6 | | | 870,000 | | | | 900,450 | |
NCR Corp. | |
5.13% | | | 04/15/29 | 6 | | | 2,403,000 | | | | 2,480,852 | |
5.25% | | | 10/01/30 | 6 | | | 117,000 | | | | 122,884 | |
Science Applications International Corp. | |
4.88% | | | 04/01/28 | 6 | | | 1,912,000 | | | | 1,978,451 | |
| | | | | | | | | | | | |
| | | | 8,035,455 | |
| | | | | | | | | | | | |
|
Insurance — 0.67% | |
Acrisure LLC/Acrisure Finance, Inc. | |
4.25% | | | 02/15/29 | 6 | | | 3,075,000 | | | | 3,043,960 | |
|
| See accompanying Notes to Financial Statements. |
|
| 81 / Semi-Annual Report September 2021 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Insurance (continued) | |
AmWINS Group, Inc. | |
4.88% | | | 06/30/29 | 6 | | $ | 2,421,000 | | | $ | 2,458,279 | |
| | | | | | | | | | | | |
| | | | 5,502,239 | |
| | | | | | | | | | | | |
|
Materials — 2.41% | |
Allegheny Technologies, Inc. | |
5.13% | | | 10/01/31 | | | | 823,000 | | | | 831,395 | |
Clearwater Paper Corp. | |
4.75% | | | 08/15/28 | 6 | | | 2,671,000 | | | | 2,761,393 | |
Herens Holdco SARL | |
(Luxembourg) | |
4.75% | | | 05/15/28 | 2,6 | | | 3,300,000 | | | | 3,320,961 | |
Unifrax Escrow Issuer Corp. | |
5.25% | | | 09/30/28 | 6 | | | 8,700,000 | | | | 8,818,019 | |
7.50% | | | 09/30/29 | 6 | | | 3,869,000 | | | | 3,969,628 | |
| | | | | | | | | | | | |
| | | | 19,701,396 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.88% | |
American Assets Trust LP | |
3.38% | | | 02/01/31 | | | | 3,810,000 | | | | 3,946,779 | |
GLP Capital LP/GLP Financing II, Inc. | |
5.75% | | | 06/01/28 | | | | 3,238,000 | | | | 3,803,031 | |
Iron Mountain, Inc. | |
5.25% | | | 07/15/30 | 6 | | | 934,000 | | | | 992,356 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.63% | | | 06/15/25 | 6 | | | 2,990,000 | | | | 3,232,811 | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | | 3,275,000 | | | | 3,357,220 | |
| | | | | | | | | | | | |
| | | | 15,332,197 | |
| | | | | | | | | | | | |
|
Retail — 2.51% | |
1011778 BC ULC/New Red Finance, Inc. | |
(Canada) | |
3.50% | | | 02/15/29 | 2,6 | | | 5,195,000 | | | | 5,147,734 | |
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC | |
5.13% | | | 04/15/29 | 6 | | | 1,600,000 | | | | 1,672,576 | |
FirstCash, Inc. | |
4.63% | | | 09/01/28 | 6 | | | 1,195,000 | | | | 1,241,306 | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 6 | | | 11,970,000 | | | | 12,454,486 | |
| | | | | | | | | | | | |
| | | | 20,516,102 | |
| | | | | | | | | | | | |
|
Services — 4.11% | |
Adtalem Global Education, Inc. | |
5.50% | | | 03/01/28 | 6 | | | 2,349,000 | | | | 2,374,971 | |
| Allied Universal Holdco LLC/Allied Universal Finance Corp./ Atlas Luxco 4 SARL | | | | | |
(Canada) | |
4.63% | | | 06/01/28 | 6 | | | 1,550,000 | | | | 1,547,543 | |
Carriage Services, Inc. | |
4.25% | | | 05/15/29 | 6 | | | 1,900,000 | | | | 1,918,620 | |
Gartner, Inc. | |
3.63% | | | 06/15/29 | 6 | | | 1,000,000 | | | | 1,009,160 | |
GFL Environmental, Inc. | |
(Canada) | |
3.75% | | | 08/01/25 | 2,6 | | | 2,000,000 | | | | 2,060,000 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Services (continued) | |
4.25% | | | 06/01/25 | 2,6 | | $ | 1,585,000 | | | $ | 1,636,512 | |
4.38% | | | 08/15/29 | 2,6 | | | 2,220,000 | | | | 2,244,975 | |
HealthEquity, Inc. | |
4.50% | | | 10/01/29 | 6 | | | 3,763,000 | | | | 3,827,388 | |
IHS Markit Ltd. | |
(Bermuda) | |
4.75% | | | 02/15/25 | 2,6 | | | 1,420,000 | | | | 1,572,749 | |
5.00% | | | 11/01/22 | 2,6 | | | 3,071,000 | | | | 3,188,220 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | | | | | |
3.38% | | | 08/31/27 | 6 | | | 3,211,000 | | | | 3,085,980 | |
Service Corp. International/U.S. | |
4.63% | | | 12/15/27 | | | | 946,000 | | | | 993,300 | |
Waste Pro USA, Inc. | |
5.50% | | | 02/15/26 | 6 | | | 5,753,000 | | | | 5,818,527 | |
WW International, Inc. | |
4.50% | | | 04/15/29 | 6 | | | 2,410,000 | | | | 2,359,174 | |
| | | | | | | | | | | | |
| | | | 33,637,119 | |
| | | | | | | | | | | | |
|
Transportation — 1.15% | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | |
(Canada) | |
5.75% | | | 04/20/29 | 6 | | | 2,350,000 | | | | 2,536,531 | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class B | |
6.90% | | | 04/19/22 | | | | 213,399 | | | | 215,101 | |
Delta Air Lines, Inc./SkyMiles IP Ltd. | |
(Canada) | |
4.75% | | | 10/20/28 | 6 | | | 1,880,000 | | | | 2,097,362 | |
| Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. | | | | | |
6.50% | | | 06/20/27 | 6 | | | 1,826,000 | | | | 1,988,142 | |
U.S. Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | | 04/22/23 | | | | 886,020 | | | | 913,344 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 1,556,964 | | | | 1,648,146 | |
| | | | | | | | | | | | |
| | | | 9,398,626 | |
| | | | | | | | | | | | |
|
Water — 0.16% | |
Solaris Midstream Holdings LLC | |
7.63% | | | 04/01/26 | 6 | | | 1,200,000 | | | | 1,287,486 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $591,050,283) | | | | 604,256,527 | |
| | | | | | | | | | | | |
|
Total Bonds — 92.09% | |
(Cost $738,321,546) | | | | 753,118,267 | |
| | | | | | | | | | | | |
| | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 0.32% | |
|
Electric — 0.00% | |
Homer City Holdings LLC†,4,5,7,12 502,908 | | | | — | |
| | | | | | | | | | | | |
|
Energy — 0.06% | |
Valaris Ltd.7 | | | | 15,493 | | | | 540,396 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 82 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | | | Shares | | | Value |
| |
COMMON STOCK — 0.32% (continued) | | | | | |
| |
Transportation — 0.26% | | | | | |
| Hertz Global Holdings, Inc.7 | | | | 150,000 | | | $ | 2,103,750 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $29,420,861) | | | | 2,644,146 | |
| | | | | | | | | | | | |
|
WARRANT — 0.02% | |
|
Entertainment — 0.02% | |
|
Cineworld Group PLC2,7 | |
(United Kingdom) | | | | 288,340 | | | | 161,345 | |
| | | | | | | | | | | | |
|
Total Warrant | |
(Cost $–) | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 5.28% | |
|
Money Market Funds — 2.23% | |
Dreyfus Government Cash Management Fund | |
0.03%13 | | | | 768,000 | | | | 768,000 | |
| JPMorgan U.S. Government Money Market Fund | | | | | |
0.01%13 | | | | 605,000 | | | | 605,000 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%13 | | | | 16,827,000 | | | | 16,827,000 | |
| | | | | | | | | | | | |
| | | | 18,200,000 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 3.05% | |
U.S. Treasury Bills | |
0.05%14 | | | 10/07/21 | | | $ | 10,000,000 | | | | 9,999,950 | |
0.04%14 | | | 03/03/22 | | | | 15,000,000 | | | | 14,997,530 | |
| | | | | | | | | | | | |
| | | | 24,997,480 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $43,197,336) | | | | 43,197,480 | |
| | | | | | | | | | | | |
|
Total Investments - 97.71% | |
(Cost $810,939,743) | | | | 799,121,238 | |
| | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 31,107 | |
| |
| Cash and Other Assets, Less Liabilities - 2.29% | | | | 18,678,643 | |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 817,830,988 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $1,294,563, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $6,398,864, which is 0.78% of total net assets. |
| 6 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 7 | Non-income producing security. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | 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. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 11 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.25% cash or 12.00% payment-in-kind interest. |
| 13 | Represents the current yield as of September 30, 2021. |
| 14 | 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 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. |
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.
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PIK): Payment In Kind
(USD): U.S. Dollar
| | | | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | |
USD 2,821,595 | | | EUR 2,362,117 | | | | Goldman Sachs International | | | | 10/22/21 | | | $ | 82,885 | |
USD 1,251,669 | | | EUR 1,067,000 | | | | Goldman Sachs International | | | | 01/07/22 | | | | 12,271 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | 95,156 | |
| | | | | | | | | | | | | | | | |
| | | | |
EUR 2,362,117 | | | USD 2,770,725 | | | | Goldman Sachs International | | | | 10/22/21 | | | | (32,015) | |
EUR 24,000 | | | USD 28,090 | | | | Goldman Sachs International | | | | 01/07/22 | | | | (213) | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (32,228) | |
| | | | | | | | | | | | | | | | |
NET UNREALIZED APPRECIATION | | | | | | | $ | 62,928 | |
| | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 83 / Semi-Annual Report September 2021 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 335 | | | | 12/31/21 | | | $ | 41,118,633 | | | $ | (165,443) | | | $ | (165,443) | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 107 | | | | 12/21/21 | | | | (15,541,750) | | | | 214,508 | | | | 214,508 | |
U.S. Treasury Ultra Bond | | | 9 | | | | 12/21/21 | | | | (1,719,563) | | | | 43,835 | | | | 43,835 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (17,261,313) | | | | 258,343 | | | | 258,343 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 23,857,320 | | | $ | 92,900 | | | $ | 92,900 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| 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 | | | $ | 37,016 | | | $ | 26,241 | | | $ | 10,775 | |
| 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 | | | 5.00% | | | | 3 Months | | |
| Citigroup
Global
Markets Inc. |
| | | 06/20/23 | | | | 1,985,000 | | | | 115,984 | | | | 112,294 | | | | 3,690 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | 153,000 | | | $ | 138,535 | | | $ | 14,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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. |
|
| Semi-Annual Report September 2021 / 84 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 103.24% | | | | | |
| |
ASSET-BACKED SECURITIES — 9.68%** | | | | | |
Academic Loan Funding Trust, | |
Series 2012-1A, Class A2 | |
(LIBOR USD 1-Month plus 1.10%) | |
1.19% | | | 12/27/44 | 1,2 | | $ | 584,046 | | | $ | 592,681 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2005-HE2, Class M5 | |
(LIBOR USD 1-Month plus 1.02%) | |
1.11% | | | 04/25/35 | 2 | | | 3,832,640 | | | | 3,845,639 | |
AMMC CLO 19 Ltd., | |
Series 2016-19A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 10/16/28 | 1,2,3 | | | 625,017 | | | | 625,086 | |
| Amresco Residential Securities Corp. Mortgage Loan Trust, | | | | | |
Series 1998-1, Class A5 (STEP-reset date 11/25/21) | |
7.37% | | | 10/25/27 | | | | 10,288 | | | | 10,445 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2004-HE9, Class M1 | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | | 12/25/34 | 2 | | | 375,511 | | | | 373,535 | |
Barings CLO Ltd., | |
Series 2013-IA, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 01/20/28 | 1,2,3 | | | 1,128,411 | | | | 1,127,768 | |
Barings CLO Ltd., | |
Series 2016-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.08%) | |
1.21% | | | 07/20/28 | 1,2,3 | | | 38,481 | | | | 38,522 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.64% | | | 01/25/35 | 1,2 | | | 262,422 | | | | 259,606 | |
Brazos Higher Education Authority, Inc., | |
Series 2010-1, Class A2 | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 02/25/35 | 2 | | | 650,000 | | | | 661,618 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 02/25/30 | 2 | | | 15,798 | | | | 15,865 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 10/27/36 | 2 | | | 1,030,000 | | | | 1,042,717 | |
CIT Education Loan Trust, | |
Series 2007-1, Class A | |
(LIBOR USD 3-Month plus 0.09%) | |
0.22% | | | 03/25/42 | 1,2 | | | 215,552 | | | | 209,695 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH1, Class M5 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 01/25/36 | 2 | | | 2,000,000 | | | | 1,980,769 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Conseco Finance Corp., | |
Series 1996-7, Class M1 | |
7.70% | | | 09/15/26 | 4 | | $ | 2,996 | | | $ | 3,005 | |
Conseco Finance Corp., | |
Series 1998-4, Class A5 | |
6.18% | | | 04/01/30 | | | | 12,608 | | | | 12,611 | |
CoreVest American Finance Trust, | |
Series 2019-1, Class XA (IO) | |
2.33% | | | 03/15/52 | 1,4 | | | 5,167,334 | | | | 312,253 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-7, Class MV5 | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | | 11/25/35 | 2 | | | 4,220,000 | | | | 4,214,664 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2003-CB3, Class AF1 (STEP-reset date 11/25/21) | |
3.38% | | | 12/25/32 | | | | 579,846 | | | | 577,275 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB2, Class AF4 (STEP-reset date 11/25/21) | |
3.10% | | | 12/25/36 | | | | 384,080 | | | | 380,645 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB5, Class A1 | |
(LIBOR USD 1-Month plus 0.06%) | |
0.15% | | | 04/25/37 | 2 | | | 112,451 | | | | 84,074 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB5, Class A3 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 04/25/37 | 2 | | | 1,336,206 | | | | 1,033,668 | |
Dryden XXVI Senior Loan Fund, | |
Series 2013-26A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | | 04/15/29 | 1,2,3 | | | 1,756,208 | | | | 1,756,226 | |
Educational Funding of the South, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.65%) | |
0.78% | | | 04/25/35 | 2 | | | 187,991 | | | | 187,126 | |
First Franklin Mortgage Loan Trust, | |
Series 2005-FFH4, Class M1 | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | | 12/25/35 | 2 | | | 232,287 | | | | 232,549 | |
Global SC Finance II SRL, | |
Series 2014-1A, Class A2 | |
(Barbados) | |
3.09% | | | 07/17/29 | 1,3 | | | 474,583 | | | | 484,105 | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 05/25/34 | 1,2 | | | 666,729 | | | | 669,494 | |
HSI Asset Securitization Corp. Trust, | |
Series 2005-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.63%) | |
0.72% | | | 11/25/35 | 2 | | | 252,179 | | | | 251,901 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | |
Series 1997-1, Class A3 | |
6.61% | | | 02/25/28 | | | | 41,758 | | | | 42,156 | |
|
| See accompanying Notes to Financial Statements. |
|
| 85 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A4 | | | | | |
6.75% | | | 02/25/28 | | | $ | 11,116 | | | $ | 11,229 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | | | | | |
6.49% | | | 09/25/28 | | | | 64,625 | | | | 66,844 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | | 01/17/73 | 1 | | | 384,278 | | | | 431,394 | |
J.G. Wentworth XXXII LLC, | | | | | |
Series 2014-2A, Class A | | | | | |
3.61% | | | 01/17/73 | 1 | | | 727,882 | | | | 801,439 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2006-CH1, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.29%) | | | | | |
0.38% | | | 07/25/36 | 2 | | | 3,228,398 | | | | 3,221,876 | |
LCM XVIII LP, | | | | | |
Series 19A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.24%) | | | | | |
1.37% | | | 07/15/27 | 1,2,3 | | | 26,561 | | | | 26,569 | |
LCM XX LP, | | | | | |
Series 20A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.04%) | | | | | |
1.17% | | | 10/20/27 | 1,2,3 | | | 976,162 | | | | 976,410 | |
Magnetite XVIII Ltd., | | | | | |
Series 2016-18A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.20% | | | 11/15/28 | 1,2,3 | | | 50,000 | | | | 50,016 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.18%) | | | | | |
0.27% | | | 06/25/37 | 2 | | | 377,206 | | | | 358,238 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | | 06/25/37 | 2 | | | 697,067 | | | | 666,076 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2004-1, Class A | | | | | |
6.01% | | | 08/15/37 | | | | 160,816 | | | | 169,430 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2004-1, Class B | | | | | |
8.90% | | | 08/15/37 | | | | 220,728 | | | | 246,437 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2004-1, Class M1 | | | | | |
6.50% | | | 08/15/37 | | | | 157,663 | | | | 169,884 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2005-1, Class M2 | | | | | |
7.08% | | | 01/15/40 | | | | 331,838 | | | | 362,337 | |
Mid-State Trust XI, | | | | | |
Series 11, Class A1 | | | | | |
4.86% | | | 07/15/38 | | | | 452,023 | | | | 475,976 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Morgan Stanley ABS Capital I Trust, | | | | | |
Series 2004-NC7, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.93%) | | | | | |
1.02% | | | 07/25/34 | 2 | | $ | 134,572 | | | $ | 134,383 | |
Morgan Stanley ABS Capital I, Inc., Trust, | | | | | |
Series 2005-HE3, Class M5 | | | | | |
(LIBOR USD 1-Month plus 1.03%) | | | | | |
1.12% | | | 07/25/35 | 2 | | | 5,000,000 | | | | 5,006,979 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2007-B, Class 1AV1 | | | | | |
(LIBOR USD 1-Month plus 0.22%) | | | | | |
0.31% | | | 04/25/37 | 2 | | | 2,815,270 | | | | 2,809,628 | |
Navient Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.51%) | | | | | |
0.60% | | | 06/25/31 | 2 | | | 604,360 | | | | 593,284 | |
Navient Student Loan Trust, | | | | | |
Series 2014-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | | 03/25/83 | 2 | | | 1,584,245 | | | | 1,582,333 | |
Navient Student Loan Trust, | | | | | |
Series 2014-4, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | | 03/25/83 | 2 | | | 1,442,483 | | | | 1,440,375 | |
Navient Student Loan Trust, | | | | | |
Series 2016-2A, Class A3 | | | | | |
(LIBOR USD 1-Month plus 1.50%) | | | | | |
1.59% | | | 06/25/65 | 1,2 | | | 1,640,000 | | | | 1,704,046 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-4A, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
1.04% | | | 11/25/48 | 1,2 | | | 1,370,000 | | | | 1,396,800 | |
Neuberger Berman CLO XX Ltd., | | | | | |
Series 2015-20A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.16%) | | | | | |
1.30% | | | 07/15/34 | 1,2,3 | | | 2,140,000 | | | | 2,143,368 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.76% | | | 03/25/35 | 2 | | | 3,101,488 | | | | 3,105,610 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-D, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.44%) | | | | | |
0.53% | | | 02/25/36 | 2 | | | 1,659,535 | | | | 1,652,114 | |
OCP CLO Ltd., | | | | | |
Series 2020-19A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
1.28% | | | 10/20/34 | 1,2,3 | | | 1,850,000 | | | | 1,856,327 | |
Option One Mortgage Loan Trust, | | | | | |
Series 2005-2, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | | 05/25/35 | 2 | | | 83,421 | | | | 83,545 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 86 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Recette CLO Ltd., | | | | | |
Series 2015-1A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.21% | | | 04/20/34 | 1,2,3 | | $ | 1,875,000 | | | $ | 1,874,363 | |
Regata XII Funding Ltd., | | | | | |
Series 2019-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | | 10/15/32 | 1,2,3 | | | 2,100,000 | | | | 2,101,050 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2006-NC1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
0.69% | | | 01/25/36 | 2 | | | 118,638 | | | | 118,558 | |
Residential Asset Securities Corp., | | | | | |
Series 2005-AHL3, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.34%) | | | | | |
0.77% | | | 11/25/35 | 2 | | | 25,732 | | | | 25,721 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2019-2A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
1.23% | | | 08/20/32 | 1,2,3 | | | 2,000,000 | | | | 2,001,354 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | | 12/30/99 | 5,6 | | | 2,226,737 | | | | 2,233,086 | |
SLC Student Loan Trust, | | | | | |
Series 2004-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.29%) | | | | | |
0.41% | | | 08/15/31 | 2 | | | 118,231 | | | | 110,631 | |
SLC Student Loan Trust, | | | | | |
Series 2008-1, Class A4A | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
1.72% | | | 12/15/32 | 2 | | | 247,838 | | | | 254,943 | |
SLM Student Loan Trust, | | | | | |
Series 2004-2, Class B | | | | | |
(LIBOR USD 3-Month plus 0.47%) | | | | | |
0.60% | | | 07/25/39 | 2 | | | 151,646 | | | | 146,135 | |
SLM Student Loan Trust, | | | | | |
Series 2006-8, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
0.29% | | | 01/25/41 | 2 | | | 1,022,968 | | | | 1,010,685 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class A3 | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
0.88% | | | 04/25/23 | 2 | | | 3,416,707 | | | | 3,382,817 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | | 01/25/83 | 2 | | | 185,000 | | | | 177,699 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | | 04/26/83 | 2 | | | 185,000 | | | | 174,764 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 04/25/73 | 2 | | $ | 185,000 | | | $ | 185,946 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 07/25/73 | 2 | | | 2,235,000 | | | | 2,213,669 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
1.23% | | | 07/25/23 | 2 | | | 1,802,082 | | | | 1,812,189 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 07/26/83 | 2 | | | 185,000 | | | | 186,062 | |
SLM Student Loan Trust, | | | | | |
Series 2008-7, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 07/26/83 | 2 | | | 185,000 | | | | 185,766 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | | 10/25/75 | 2 | | | 185,000 | | | | 186,366 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
1.63% | | | 04/25/23 | 2 | | | 627,643 | | | | 632,071 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | | 10/25/83 | 2 | | | 1,885,000 | | | | 1,904,893 | |
SLM Student Loan Trust, | | | | | |
Series 2009-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
0.84% | | | 01/25/45 | 1,2 | | | 2,821,012 | | | | 2,837,758 | |
SLM Student Loan Trust, | | | | | |
Series 2011-2, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.20%) | | | | | |
1.29% | | | 10/25/34 | 2 | | | 500,000 | | | | 508,732 | |
SLM Student Loan Trust, | | | | | |
Series 2012-7, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.74% | | | 05/26/26 | 2 | | | 591,906 | | | | 580,850 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-A, Class B | | | | | |
7.61% | | | 01/16/46 | 1 | | | 461,496 | | | | 519,733 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | | | | | |
(28 Day Auction Rate plus 0.00%) | | | | | |
1.61% | | | 1.61 | 1,2 | | | 500,000 | | | | 461,311 | |
Treman Park CLO Ltd., | | | | | |
Series 2015-1A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.07%) | | | | | |
1.20% | | | 10/20/28 | 1,2,3 | | | 33,722 | | | | 33,727 | |
|
| See accompanying Notes to Financial Statements. |
|
| 87 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Vantage Data Centers Issuer LLC, | | | | | |
Series 2018-2A, Class A2 | | | | | |
4.20% | | | 11/16/43 | 1 | | $ | 2,040,500 | | | $ | 2,116,070 | |
| | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $79,254,743) | | | | 80,545,594 | |
| | | | | |
| |
BANK LOANS — 1.07%* | | | | | |
| |
Automotive — 0.02% | | | | | |
Clarios Global LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.33% | | | 04/30/26 | 2 | | | 169,042 | | | | 168,513 | |
| | | | | |
| |
Communications — 0.45% | | | | | |
CenturyLink, Inc., | | | | | |
Term Loan A, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.08% | | | 01/31/25 | 2 | | | 228,125 | | | | 227,066 | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 03/15/27 | 2 | | | 343,875 | | | | 340,603 | |
Charter Communications Operating LLC, | | | | | |
Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | | 02/01/27 | 2 | | | 98,246 | | | | 97,727 | |
CSC Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 07/17/25 | 2 | | | 148,834 | | | | 147,055 | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
2.58% | | | 04/15/27 | 2 | | | 99,244 | | | | 98,262 | |
DIRECTV Financing LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
5.75% | | | 08/02/27 | 2 | | | 410,000 | | | | 410,726 | |
Intelsat Jackson Holdings SA, | | | | | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.75%) | | | | | |
5.75% | | | 07/13/22 | 2,3,7 | | | 479,167 | | | | 483,359 | |
Term Loan B5, 1st Lien (Luxembourg) | | | | | |
8.63% | | | 01/02/24 | 2,3 | | | 225,000 | | | | 229,219 | |
Level 3 Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 03/01/27 | 2 | | | 1,275,000 | | | | 1,260,994 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.08% | | | 03/09/27 | 2 | | | 445,395 | | | | 441,981 | |
| | | | | |
| | | | 3,736,992 | |
| | | | | |
| |
Electric — 0.02% | | | | | |
Vistra Operations Co., LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 12/31/25 | 2 | | | 137,316 | | | | 136,429 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| 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 | | $ | 294,737 | | | $ | 294,240 | |
| | | | | |
| |
Gaming — 0.01% | | | | | |
Caesars Resort Collection LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.83% | | | 12/23/24 | 2 | | | 1,067 | | | | 1,062 | |
Churchill Downs, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.10% | | | 12/27/24 | 2 | | | 53,204 | | | | 53,204 | |
| | | | | |
| | | | 54,266 | |
| | | | | |
| |
Health Care — 0.36% | | | | | |
Avantor Funding, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.75% | | | 11/08/27 | 2 | | | 606,950 | | | | 608,659 | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
2.50% | | | 01/15/25 | 2 | | | 52,744 | | | | 52,599 | |
Change Healthcare Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.50% | | | 03/01/24 | 2 | | | 306,023 | | | | 306,038 | |
Elanco Animal Health, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | | 08/01/27 | 2 | | | 917,604 | | | | 907,524 | |
Gentiva Health Services, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.88% | | | 07/02/25 | 2 | | | 284,564 | | | | 284,800 | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.07% | | | 11/15/27 | 2 | | | 98,250 | | | | 96,776 | |
Horizon Therapeutics USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.50% | | | 03/15/28 | 2 | | | 383,075 | | | | 382,836 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 0.00%) | | | | | |
0.50% | | | 05/05/28 | 2 | | | 399,000 | | | | 399,999 | |
| | | | | |
| | | | 3,039,231 | |
| | | | | |
| |
Industrials — 0.14% | | | | | |
Berry Global, Inc., | | | | | |
Term Loan Z, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.86% | | | 07/01/26 | 2 | | | 909,899 | | | | 906,032 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 88 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials (continued) | | | | | |
TransDigm, Inc., | | | | | |
Term Loan E, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | | 05/30/25 | 2 | | $ | 292,770 | | | $ | 289,523 | |
| | | | | |
| | | | 1,195,555 | |
| | | | | |
| |
Information Technology — 0.01% | | | | | |
SS&C Technologies, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 04/16/25 | 2 | | | 70,095 | | | | 69,495 | |
Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | | 04/16/25 | 2 | | | 53,079 | | | | 52,624 | |
| | | | | |
| | | | 122,119 | |
| | | | | |
| |
Services — 0.01% | | | | | |
GFL Environmental, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.50% | | | 05/30/25 | 2 | | | 74,130 | | | | 74,350 | |
| | | | | |
| |
Transportation — 0.01% | | | | | |
American Airlines, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | | 01/29/27 | 2 | | | 52,250 | | | | 50,245 | |
| | | | | |
| |
Total Bank Loans | | | | | |
(Cost $8,667,723) | | | | 8,871,940 | |
| | | | | |
| |
CORPORATES — 25.51%* | | | | | |
| |
Automotive — 0.11% | | | | | |
General Motors Co. | | | | | |
4.88% | | | 10/02/23 | | | | 845,000 | | | | 913,677 | |
| | | | | |
| |
Banking — 5.78% | | | | | |
Bank of America Corp. | | | | | |
1.73% | | | 07/22/27 | 4 | | | 605,000 | | | | 608,317 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
2.09% | | | 06/14/29 | 4 | | | 515,000 | | | | 514,652 | |
3.09% | | | 10/01/25 | 4 | | | 152,000 | | | | 161,628 | |
3.56% | | | 04/23/27 | 4 | | | 2,605,000 | | | | 2,835,917 | |
3.97% | | | 03/05/29 | 4 | | | 1,540,000 | | | | 1,711,354 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
1.66% | | | 03/11/27 | 4 | | | 1,435,000 | | | | 1,444,654 | |
Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
1.31% | | | 02/02/27 | 1,3,4 | | | 1,520,000 | | | | 1,488,007 | |
2.19% | | | 06/05/26 | 1,3,4 | | | 1,195,000 | | | | 1,219,039 | |
2.59% | | | 09/11/25 | 1,3,4 | | | 160,000 | | | | 165,780 | |
3.09% | | | 05/14/32 | 1,3,4 | | | 560,000 | | | | 574,687 | |
3.75% | | | 03/26/25 | 3 | | | 210,000 | | | | 226,568 | |
4.28% | | | 01/09/28 | 1,3 | | | 175,000 | | | | 194,481 | |
4.55% | | | 04/17/26 | 3 | | | 190,000 | | | | 213,541 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
DNB Bank ASA | | | | | |
(Norway) | | | | | |
0.86% | | | 09/30/25 | 1,3,4 | | $ | 2,485,000 | | | $ | 2,486,547 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
0.98% | | | 05/24/25 | 3,4 | | | 715,000 | | | | 713,817 | |
1.59% | | | 05/24/27 | 3,4 | | | 1,315,000 | | | | 1,306,746 | |
2.01% | | | 09/22/28 | 3,4 | | | 1,990,000 | | | | 1,991,112 | |
2.21% | | | 08/17/29 | 3,4 | | | 1,195,000 | | | | 1,186,756 | |
JPMorgan Chase & Co. | | | | | |
0.77% | | | 08/09/25 | 4 | | | 850,000 | | | | 846,783 | |
0.97% | | | 06/23/25 | 4 | | | 755,000 | | | | 756,038 | |
1.47% | | | 09/22/27 | 4 | | | 1,235,000 | | | | 1,226,840 | |
2.01% | | | 03/13/26 | 4 | | | 2,820,000 | | | | 2,891,270 | |
2.52% | | | 04/22/31 | 4 | | | 80,000 | | | | 81,663 | |
2.58% | | | 04/22/32 | 4 | | | 210,000 | | | | 213,069 | |
3.96% | | | 01/29/27 | 4 | | | 50,000 | | | | 55,200 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
2.86% | | | 03/17/23 | 3,4 | | | 380,000 | | | | 384,257 | |
2.91% | | | 11/07/23 | 3,4 | | | 875,000 | | | | 897,122 | |
3.87% | | | 07/09/25 | 3,4 | | | 3,020,000 | | | | 3,257,008 | |
Macquarie Group Ltd. | | | | | |
(Australia) | | | | | |
1.34% | | | 01/12/27 | 1,3,4 | | | 1,160,000 | | | | 1,150,382 | |
NatWest Group PLC | | | | | |
(United Kingdom) | | | | | |
3.50% | | | 05/15/23 | 3,4 | | | 1,200,000 | | | | 1,221,972 | |
4.27% | | | 03/22/25 | 3,4 | | | 385,000 | | | | 415,530 | |
4.52% | | | 06/25/24 | 3,4 | | | 1,165,000 | | | | 1,240,344 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.09% | | | 03/15/25 | 3,4 | | | 1,575,000 | | | | 1,578,408 | |
1.53% | | | 08/21/26 | 3,4 | | | 155,000 | | | | 154,752 | |
1.67% | | | 06/14/27 | 3,4 | | | 205,000 | | | | 204,295 | |
4.80% | | | 11/15/24 | 3,4 | | | 1,730,000 | | | | 1,873,454 | |
Santander UK PLC | | | | | |
(United Kingdom) | | | | | |
5.00% | | | 11/07/23 | 1,3 | | | 330,000 | | | | 357,017 | |
UBS Group AG | | | | | |
(Switzerland) | | | | | |
3.49% | | | 05/23/23 | 1,3 | | | 1,000,000 | | | | 1,019,462 | |
Wells Fargo & Co. | | | | | |
2.19% | | | 04/30/26 | 4 | | | 545,000 | | | | 562,722 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | | 02/11/26 | 4 | | | 3,815,000 | | | | 3,936,672 | |
2.39% | | | 06/02/28 | 4 | | | 4,585,000 | | | | 4,732,867 | |
| | | | | |
| | | | 48,100,730 | |
| | | | | |
| |
Communications — 2.94% | | | | | |
AT&T, Inc. | | | | | |
2.55% | | | 12/01/33 | | | | 3,777,000 | | | | 3,719,329 | |
Cox Communications, Inc. | | | | | |
2.60% | | | 06/15/31 | 1 | | | 705,000 | | | | 714,097 | |
|
| See accompanying Notes to Financial Statements. |
|
| 89 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 1 | | $ | 65,000 | | | $ | 68,006 | |
6.50% | | | 02/01/29 | 1 | | | 43,000 | | | | 46,621 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 1 | | | 1,007,000 | | | | 669,261 | |
Fox Corp. | | | | | |
3.50% | | | 04/08/30 | | | | 1,500,000 | | | | 1,637,946 | |
Frontier Communications Holdings LLC | | | | | |
5.00% | | | 05/01/28 | 1 | | | 400,000 | | | | 420,312 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
8.50% | | | 10/15/24 | 1,3,8,9 | | | 1,003,000 | | | | 581,740 | |
9.75% | | | 07/15/25 | 1,3,8,9 | | | 585,000 | | | | 329,963 | |
Level 3 Financing, Inc. | | | | | |
3.88% | | | 11/15/29 | 1 | | | 645,000 | | | | 690,505 | |
SES GLOBAL Americas Holdings GP | | | | | |
5.30% | | | 03/25/44 | 1 | | | 750,000 | | | | 859,362 | |
SES SA | | | | | |
(Luxembourg) | | | | | |
3.60% | | | 04/04/23 | 1,3 | | | 1,500,000 | | | | 1,559,944 | |
Sinclair Television Group, Inc. | | | | | |
4.13% | | | 12/01/30 | 1 | | | 800,000 | | | | 783,000 | |
Sprint Corp. | | | | | |
7.88% | | | 09/15/23 | | | | 65,000 | | | | 72,709 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
4.74% | | | 03/20/25 | 1 | | | 1,028,125 | | | | 1,099,323 | |
5.15% | | | 03/20/28 | 1 | | | 1,785,000 | | | | 2,042,129 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.88% | | | 04/22/31 | 1,3 | | | 1,210,000 | | | | 1,236,383 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | | 02/15/26 | | | | 700,000 | | | | 708,768 | |
2.55% | | | 02/15/31 | | | | 740,000 | | | | 743,121 | |
3.75% | | | 04/15/27 | | | | 1,510,000 | | | | 1,664,326 | |
3.88% | | | 04/15/30 | | | | 800,000 | | | | 883,756 | |
Verizon Communications, Inc. | | | | | |
2.36% | | | 03/15/32 | 1 | | | 990,000 | | | | 980,417 | |
Virgin Media Secured Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.50% | | | 08/15/30 | 1,3 | | | 1,600,000 | | | | 1,626,759 | |
5.50% | | | 05/15/29 | 1,3 | | | 65,000 | | | | 68,591 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 3 | | | 780,000 | | | | 896,393 | |
Walt Disney Co. (The) | | | | | |
2.00% | | | 09/01/29 | | | | 335,000 | | | | 338,233 | |
| | | | | |
| | | | 24,440,994 | |
| | | | | |
| |
Consumer Discretionary — 1.27% | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.38% | | | 04/15/38 | | | | 725,000 | | | | 847,050 | |
4.75% | | | 01/23/29 | | | | 730,000 | | | | 860,158 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | | 05/15/25 | 1,3 | | | 1,045,000 | | | | 1,152,216 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
BAT Capital Corp. | | | | | |
2.73% | | | 03/25/31 | | | $ | 555,000 | | | $ | 547,374 | |
3.46% | | | 09/06/29 | | | | 770,000 | | | | 811,527 | |
4.39% | | | 08/15/37 | | | | 830,000 | | | | 892,591 | |
Hyatt Hotels Corp. | | | | | |
1.30% | | | 10/01/23 | | | | 1,240,000 | | | | 1,241,756 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
3.13% | | | 07/26/24 | 1,3 | | | 1,000,000 | | | | 1,051,392 | |
JDE Peet’s NV | | | | | |
(Netherlands) | | | | | |
0.80% | | | 09/24/24 | 1,3 | | | 1,650,000 | | | | 1,645,806 | |
Reynolds American, Inc. | | | | | |
4.45% | | | 06/12/25 | | | | 365,000 | | | | 402,553 | |
5.70% | | | 08/15/35 | | | | 940,000 | | | | 1,127,210 | |
| | | | | |
| | | | 10,579,633 | |
| | | | | |
| |
Electric — 1.06% | | | | | |
Appalachian Power Co., | | | | | |
Series H | | | | | |
5.95% | | | 05/15/33 | | | | 350,000 | | | | 455,571 | |
Appalachian Power Co., | | | | | |
Series X | | | | | |
3.30% | | | 06/01/27 | | | | 410,000 | | | | 443,556 | |
Duke Energy Corp. | | | | | |
2.65% | | | 09/01/26 | | | | 30,000 | | | | 31,665 | |
Evergy Missouri West, Inc. | | | | | |
8.27% | | | 11/15/21 | | | | 1,995,000 | | | | 2,012,125 | |
FirstEnergy Transmission LLC | | | | | |
2.87% | | | 09/15/28 | 1 | | | 853,000 | | | | 891,103 | |
Jersey Central Power & Light Co. | | | | | |
4.70% | | | 04/01/24 | 1 | | | 995,000 | | | | 1,073,275 | |
Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/25 | 1 | | | 770,000 | | | | 811,682 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 1,405,000 | | | | 1,507,186 | |
Southwestern Electric Power Co. | | | | | |
3.55% | | | 02/15/22 | | | | 955,000 | | | | 958,472 | |
Tucson Electric Power Co. | | | | | |
3.85% | | | 03/15/23 | | | | 595,000 | | | | 618,128 | |
| | | | | |
| | | | 8,802,763 | |
| | | | | |
| |
Energy — 1.10% | | | | | |
Energy Transfer LP | | | | | |
3.45% | | | 01/15/23 | | | | 105,000 | | | | 107,954 | |
3.75% | | | 05/15/30 | | | | 315,000 | | | | 339,937 | |
4.75% | | | 01/15/26 | | | | 130,000 | | | | 145,295 | |
4.95% | | | 06/15/28 | | | | 1,000,000 | | | | 1,148,079 | |
5.50% | | | 06/01/27 | | | | 531,000 | | | | 623,349 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | | 10/10/36 | 10 | | | 444,000 | | | | 245,310 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
2.00% | | | 12/20/22 | 3 | | | 450,000 | | | | 454,788 | |
5.95% | | | 01/28/31 | 3 | | | 300,000 | | | | 291,217 | |
6.63% | | | 06/15/35 | 3 | | | 1,780,000 | | | | 1,697,675 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 90 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.80% | | | 09/15/30 | | | $ | 525,000 | | | $ | 560,893 | |
Rockies Express Pipeline LLC | | | | | |
4.80% | | | 05/15/30 | 1 | | | 400,000 | | | | 414,000 | |
4.95% | | | 07/15/29 | 1 | | | 1,000,000 | | | | 1,041,552 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/22 | 1,5,6 | | | 561,364 | | | | 522,068 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | | 04/01/26 | | | | 60,000 | | | | 62,550 | |
6.88% | | | 09/01/27 | | | | 181,000 | | | | 191,879 | |
Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | | 08/15/29 | 1 | | | 825,000 | | | | 850,940 | |
Williams Cos., Inc. (The) | | | | | |
3.35% | | | 08/15/22 | | | | 480,000 | | | | 488,776 | |
| | | | | |
| | | | 9,186,262 | |
| | | | | |
Finance — 3.93% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
3.50% | | | 05/26/22 | 3 | | | 355,000 | | | | 360,798 | |
3.65% | | | 07/21/27 | 3 | | | 355,000 | | | | 377,344 | |
3.95% | | | 02/01/22 | 3 | | | 160,000 | | | | 161,347 | |
4.45% | | | 12/16/21 | 3 | | | 750,000 | | | | 753,562 | |
Air Lease Corp. | | | | | |
2.25% | | | 01/15/23 | | | | 1,000,000 | | | | 1,022,063 | |
3.25% | | | 03/01/25 | | | | 820,000 | | | | 867,313 | |
3.25% | | | 10/01/29 | | | | 525,000 | | | | 547,299 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | 11/18/27 | 1,3 | | | 773,000 | | | | 760,889 | |
2.88% | | | 02/15/25 | 1,3 | | | 1,160,000 | | | | 1,193,515 | |
Citigroup, Inc. | | | | | |
1.46% | | | 06/09/27 | 4 | | | 1,215,000 | | | | 1,208,964 | |
4.41% | | | 03/31/31 | 4 | | | 985,000 | | | | 1,137,862 | |
Daimler Finance North America LLC | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
1.02% | | | 02/15/22 | 1,2 | | | 1,900,000 | | | | 1,906,089 | |
Durrah MSN 35603 | | | | | |
(Cayman Islands) | | | | | |
1.68% | | | 01/22/25 | 3 | | | 1,993,068 | | | | 2,034,033 | |
Ford Motor Credit Co. LLC | | | | | |
3.22% | | | 01/09/22 | | | | 500,000 | | | | 501,875 | |
3.34% | | | 03/28/22 | | | | 40,000 | | | | 40,353 | |
3.81% | | | 10/12/21 | | | | 385,000 | | | | 385,674 | |
GE Capital Funding LLC | | | | | |
4.40% | | | 05/15/30 | | | | 902,000 | | | | 1,045,682 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | | 11/15/35 | 3 | | | 1,405,000 | | | | 1,687,716 | |
General Motors Financial Co., Inc. | | | | | |
3.15% | | | 06/30/22 | | | | 495,000 | | | | 503,607 | |
3.45% | | | 04/10/22 | | | | 120,000 | | | | 121,294 | |
4.20% | | | 11/06/21 | | | | 265,000 | | | | 265,901 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.43% | | | 03/09/27 | 4 | | | 2,555,000 | | | | 2,548,361 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
3.27% | | | 09/29/25 | 4 | | $ | 725,000 | | | $ | 775,460 | |
3.75% | | | 02/25/26 | | | | 20,000 | | | | 21,957 | |
Intercontinental Exchange, Inc. | | | | | |
1.85% | | | 09/15/32 | | | | 870,000 | | | | 822,810 | |
Morgan Stanley | | | | | |
1.59% | | | 05/04/27 | 4 | | | 1,210,000 | | | | 1,213,836 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | | 07/20/27 | 4 | | | 2,445,000 | | | | 2,434,603 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
3.62% | | | 04/26/23 | 1,3,4 | | | 390,000 | | | | 396,817 | |
3.77% | | | 03/08/24 | 1,3,4 | | | 1,265,000 | | | | 1,319,144 | |
4.36% | | | 08/01/24 | 1,3,4 | | | 1,085,000 | | | | 1,155,071 | |
Park Aerospace Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.50% | | | 03/15/23 | 1,3 | | | 860,000 | | | | 898,856 | |
5.50% | | | 02/15/24 | 1,3 | | | 40,000 | | | | 43,661 | |
Safina Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.00% | | | 12/30/23 | 3 | | | 2,829,278 | | | | 2,884,097 | |
Sandalwood 2013 LLC | | | | | |
2.90% | | | 07/10/25 | | | | 1,233,808 | | | | 1,286,593 | |
| | | | | |
| | | | 32,684,446 | |
| | | | | |
Food — 0.34% | | | | | |
Kraft Heinz Foods Co. | | | | | |
5.00% | | | 07/15/35 | | | | 1,295,000 | | | | 1,596,087 | |
5.00% | | | 06/04/42 | | | | 245,000 | | | | 300,976 | |
Pilgrim’s Pride Corp. | | | | | |
5.88% | | | 09/30/27 | 1 | | | 65,000 | | | | 69,041 | |
Post Holdings, Inc. | | | | | |
4.63% | | | 04/15/30 | 1 | | | 826,000 | | | | 833,418 | |
| | | | | |
| | | | 2,799,522 | |
| | | | | |
Health Care — 3.68% | | | | | |
AbbVie, Inc. | | | | | |
3.60% | | | 05/14/25 | | | | 1,152,000 | | | | 1,246,737 | |
3.85% | | | 06/15/24 | | | | 1,342,000 | | | | 1,443,790 | |
Aetna, Inc. | | | | | |
2.80% | | | 06/15/23 | | | | 50,000 | | | | 51,787 | |
3.50% | | | 11/15/24 | | | | 1,250,000 | | | | 1,344,512 | |
Alcon Finance Corp. | | | | | |
2.75% | | | 09/23/26 | 1 | | | 2,300,000 | | | | 2,429,749 | |
Amgen, Inc. | | | | | |
3.63% | | | 05/15/22 | | | | 50,000 | | | | 50,617 | |
Bayer U.S. Finance II LLC | | | | | |
4.25% | | | 12/15/25 | 1 | | | 25,000 | | | | 27,648 | |
4.38% | | | 12/15/28 | 1 | | | 2,900,000 | | | | 3,285,811 | |
5.50% | | | 08/15/25 | 1 | | | 1,100,000 | | | | 1,241,174 | |
Bayer U.S. Finance LLC | | | | | |
3.38% | | | 10/08/24 | 1 | | | 1,020,000 | | | | 1,087,237 | |
Baylor Scott & White Holdings | | | | | |
2.65% | | | 11/15/26 | | | | 1,530,000 | | | | 1,612,876 | |
Becton Dickinson and Co. | | | | | |
3.36% | | | 06/06/24 | | | | 589,000 | | | | 626,283 | |
|
| See accompanying Notes to Financial Statements. |
|
| 91 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Catalent Pharma Solutions, Inc. | | | | | |
3.50% | | | 04/01/30 | 1 | | $ | 248,000 | | | $ | 247,690 | |
Cigna Corp. | | | | | |
4.13% | | | 11/15/25 | | | | 1,280,000 | | | | 1,422,908 | |
CommonSpirit Health | | | | | |
2.78% | | | 10/01/30 | | | | 810,000 | | | | 834,438 | |
CVS Health Corp. | | | | | |
3.25% | | | 08/15/29 | | | | 2,890,000 | | | | 3,108,170 | |
DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | | 06/01/30 | | | | 1,000,000 | | | | 1,066,246 | |
| Endo DAC/Endo Finance LLC/Endo Finco, Inc. | | | | | |
(Ireland) | | | | | |
6.00% | | | 06/30/28 | 1,3 | | | 389,000 | | | | 281,052 | |
HCA, Inc. | | | | | |
4.13% | | | 06/15/29 | | | | 1,145,000 | | | | 1,279,787 | |
5.00% | | | 03/15/24 | | | | 1,105,000 | | | | 1,212,766 | |
5.25% | | | 04/15/25 | | | | 206,000 | | | | 233,617 | |
5.25% | | | 06/15/26 | | | | 1,070,000 | | | | 1,228,780 | |
7.05% | | | 12/01/27 | | | | 80,000 | | | | 99,824 | |
Humana, Inc. | | | | | |
3.85% | | | 10/01/24 | | | | 860,000 | | | | 931,011 | |
3.95% | | | 03/15/27 | | | | 885,000 | | | | 988,246 | |
Mozart Debt Merger Sub, Inc. | | | | | |
3.88% | | | 04/01/29 | 1 | | | 578,000 | | | | 578,000 | |
PerkinElmer, Inc. | | | | | |
0.85% | | | 09/15/24 | | | | 2,050,000 | | | | 2,050,093 | |
Royalty Pharma PLC | | | | | |
(United Kingdom) | | | | | |
2.20% | | | 09/02/30 | 3 | | | 675,000 | | | | 661,017 | |
| | | | | |
| | | | 30,671,866 | |
| | | | | |
| |
Industrials — 1.08% | | | | | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | | | | 1,950,000 | | | | 2,127,746 | |
Artera Services LLC | | | | | |
9.03% | | | 12/04/25 | 1 | | | 227,000 | | | | 246,511 | |
BAE Systems Holdings, Inc. | | | | | |
3.80% | | | 10/07/24 | 1 | | | 630,000 | | | | 680,593 | |
Boeing Co. (The) | | | | | |
1.43% | | | 02/04/24 | | | | 1,300,000 | | | | 1,301,939 | |
Crane Co. | | | | | |
4.45% | | | 12/15/23 | | | | 1,130,000 | | | | 1,213,062 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(LIBOR USD 3-Month plus 0.38%) | | | | | |
0.50% | | | 05/05/26 | 2 | | | 1,090,000 | | | | 1,079,447 | |
(LIBOR USD 3-Month plus 0.48%) | | | | | |
0.60% | | | 08/15/36 | 2 | | | 1,115,000 | | | | 973,367 | |
General Electric Co., | | | | | |
Series A (MTN) | | | | | |
6.75% | | | 03/15/32 | | | | 250,000 | | | | 342,268 | |
L3Harris Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 410,000 | | | | 432,354 | |
Mauser Packaging Solutions Holding Co. | | | | | |
5.50% | | | 04/15/24 | 1 | | | 65,000 | | | | 65,650 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Industrials (continued) | | | | | |
Sealed Air Corp. | | | | | |
4.00% | | | 12/01/27 | 1 | | $ | 65,000 | | | $ | 69,469 | |
Sydney Airport Finance Co. Pty Ltd. | | | | | |
(Australia) | | | | | |
3.38% | | | 04/30/25 | 1,3 | | | 410,000 | | | | 435,248 | |
| | | | | |
| | | | 8,967,654 | |
| | | | | |
| |
Information Technology — 0.35% | | | | | |
Apple, Inc. | | | | | |
3.25% | | | 02/23/26 | | | | 20,000 | | | | 21,767 | |
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | | | | | |
5.75% | | | 03/01/25 | 1 | | | 65,000 | | | | 65,813 | |
Oracle Corp. | | | | | |
2.88% | | | 03/25/31 | | | | 1,955,000 | | | | 2,015,820 | |
VMware, Inc. | | | | | |
1.00% | | | 08/15/24 | | | | 815,000 | | | | 817,895 | |
| | | | | |
| | | | 2,921,295 | |
| | | | | |
| |
Insurance — 0.54% | | | | | |
Athene Global Funding | | | | | |
1.99% | | | 08/19/28 | 1 | | | 2,055,000 | | | | 2,032,343 | |
Equitable Financial Life Global Funding | | | | | |
1.80% | | | 03/08/28 | 1 | | | 1,190,000 | | | | 1,183,460 | |
Nationwide Mutual Insurance Co. | | | | | |
2.41% | | | 12/15/24 | 1,4 | | | 1,212,000 | | | | 1,213,439 | |
New York Life Global Funding | | | | | |
3.00% | | | 01/10/28 | 1 | | | 50,000 | | | | 53,937 | |
| | | | | |
| | | | 4,483,179 | |
| | | | | |
| |
Materials — 0.19% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
1.23% | | | 10/01/25 | 1 | | | 950,000 | | | | 942,567 | |
2.30% | | | 11/01/30 | 1 | | | 635,000 | | | | 630,005 | |
| | | | | |
| | | | 1,572,572 | |
| | | | | |
|
| Real Estate Investment Trust (REIT) — 2.00% | |
| American Campus Communities Operating Partnership LP | | | | | |
3.75% | | | 04/15/23 | | | | 50,000 | | | | 52,075 | |
4.13% | | | 07/01/24 | | | | 1,250,000 | | | | 1,357,396 | |
CyrusOne LP/CyrusOne Finance Corp. | | | | | |
2.90% | | | 11/15/24 | | | | 1,450,000 | | | | 1,521,383 | |
3.45% | | | 11/15/29 | | | | 1,000,000 | | | | 1,042,582 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.35% | | | 09/01/24 | | | | 1,140,000 | | | | 1,209,296 | |
5.25% | | | 06/01/25 | | | | 1,929,000 | | | | 2,153,401 | |
5.38% | | | 11/01/23 | | | | 30,000 | | | | 32,399 | |
5.38% | | | 04/15/26 | | | | 393,000 | | | | 447,313 | |
5.75% | | | 06/01/28 | | | | 325,000 | | | | 381,712 | |
Healthcare Realty Trust, Inc. | | | | | |
3.88% | | | 05/01/25 | | | | 1,400,000 | | | | 1,509,681 | |
Healthpeak Properties, Inc. | | | | | |
4.00% | | | 06/01/25 | | | | 750,000 | | | | 819,523 | |
Hudson Pacific Properties LP | | | | | |
4.65% | | | 04/01/29 | | | | 1,065,000 | | | | 1,223,425 | |
Life Storage LP | | | | | |
2.20% | | | 10/15/30 | | | | 1,000,000 | | | | 991,426 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 92 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
|
Real Estate Investment Trust (REIT) (continued) | |
Piedmont Operating Partnership LP | | | | | |
3.40% | | | 06/01/23 | | | $ | 1,210,000 | | | $ | 1,252,316 | |
SL Green Operating Partnership LP | | | | | |
3.25% | | | 10/15/22 | | | | 1,350,000 | | | | 1,383,892 | |
Ventas Realty LP | | | | | |
3.25% | | | 10/15/26 | | | | 1,155,000 | | | | 1,236,000 | |
| | | | | |
| | | | 16,613,820 | |
| | | | | |
| |
Retail — 0.32% | | | | | |
7-Eleven, Inc. | | | | | |
0.80% | | | 02/10/24 | 1 | | | 1,565,000 | | | | 1,564,778 | |
Alimentation Couche-Tard, Inc. | | | | | |
(Canada) | | | | | |
3.55% | | | 07/26/27 | 1,3 | | | 640,000 | | | | 705,339 | |
Michaels Cos., Inc. (The) | | | | | |
5.25% | | | 05/01/28 | 1 | | | 405,000 | | | | 418,264 | |
| | | | | |
| | | | 2,688,381 | |
| | | | | |
| |
Services — 0.54% | | | | | |
GFL Environmental, Inc. | | | | | |
(Canada) | | | | | |
4.75% | | | 06/15/29 | 1,3 | | | 400,000 | | | | 411,430 | |
IHS Markit Ltd. | | | | | |
(Bermuda) | | | | | |
4.13% | | | 08/01/23 | 3 | | | 1,245,000 | | | | 1,321,505 | |
4.75% | | | 02/15/25 | 1,3 | | | 1,340,000 | | | | 1,484,144 | |
5.00% | | | 11/01/22 | 1,3 | | | 1,235,000 | | | | 1,282,140 | |
| | | | | |
| | | | 4,499,219 | |
| | | | | |
| |
Transportation — 0.28% | | | | | |
Continental Airlines Pass-Through Trust, | | | | | |
Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 944,944 | | | | 957,375 | |
Northwest Airlines Pass-Through Trust, | | | | | |
Series 2001-1, Class A1 | | | | | |
7.04% | | | 04/01/22 | | | | 315,367 | | | | 323,366 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 438,920 | | | | 466,467 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 304,095 | | | | 321,903 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-2, Class A | | | | | |
4.63% | | | 06/03/25 | | | | 265,736 | | | | 265,899 | |
| | | | | |
| | | | 2,335,010 | |
| | | | | |
| |
Total Corporates | | | | | |
(Cost $206,752,089) | | | | 212,261,023 | |
| | | | | |
| |
MORTGAGE-BACKED — 12.76%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 2.32% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2018-PARK, Class A | | | | | |
4.23% | | | 08/10/38 | 1,4 | | | 1,095,000 | | | | 1,243,671 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
BX Commercial Mortgage Trust, | | | | | |
Series 2019-XL, Class A | | | | | |
(LIBOR USD 1-Month plus 0.92%) | | | | | |
1.00% | | | 10/15/36 | 1,2 | | $ | 1,921,981 | | | $ | 1,925,817 | |
BX Trust, | | | | | |
Series 2019-OC11, Class A | | | | | |
3.20% | | | 12/09/41 | 1 | | | 375,000 | | | | 401,781 | |
CALI Mortgage Trust, | | | | | |
Series 2019-101C, Class A | | | | | |
3.96% | | | 03/10/39 | 1 | | | 805,000 | | | | 910,966 | |
Century Plaza Towers, | | | | | |
Series 2019-CPT, Class A | | | | | |
2.87% | | | 11/13/39 | 1 | | | 715,000 | | | | 755,265 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2016-GC36, Class A5 | | | | | |
3.62% | | | 02/10/49 | | | | 3,250,000 | | | | 3,543,351 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2016-GC37, Class A4 | | | | | |
3.31% | | | 04/10/49 | | | | 1,000,000 | | | | 1,079,316 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS2, Class XA (IO) | | | | | |
1.29% | | | 03/10/47 | 4 | | | 20,524,084 | | | | 452,825 | |
DC Office Trust, | | | | | |
Series 2019-MTC, Class A | | | | | |
2.97% | | | 09/15/45 | 1 | | | 765,000 | | | | 811,838 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-30HY, Class A | | | | | |
3.23% | | | 07/10/39 | 1 | | | 760,000 | | | | 823,080 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-55HY, Class A | | | | | |
3.04% | | | 12/10/41 | 1,4 | | | 765,000 | | | | 814,693 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2015-C29, Class XA (IO) | | | | | |
0.78% | | | 05/15/48 | 4 | | | 24,659,460 | | | | 478,975 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-OSB, Class A | | | | | |
3.40% | | | 06/05/39 | 1 | | | 740,000 | | | | 812,643 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class A | | | | | |
2.69% | | | 02/12/40 | 1 | | | 945,000 | | | | 985,758 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2012-C4, Class A4 | | | | | |
3.24% | | | 03/15/45 | | | | 678,182 | | | | 683,104 | |
| Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2020-2PAC, Class A | | | | | |
2.97% | | | 12/15/38 | 1 | | | 775,000 | | | | 809,561 | |
One Bryant Park Trust, | | | | | |
Series 2019-OBP, Class A | | | | | |
2.52% | | | 09/15/54 | 1 | | | 960,000 | | | | 991,705 | |
RBS Commercial Funding, Inc., Trust, | | | | | |
Series 2013-GSP, Class A | | | | | |
3.96% | | | 01/15/32 | 1,4 | | | 560,000 | | | | 590,195 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class A2B | | | | | |
4.14% | | | 01/05/43 | 1,4 | | | 45,000 | | | | 49,852 | |
|
| See accompanying Notes to Financial Statements. |
|
| 93 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2015-C26, Class XA (IO) | | | | | |
1.35% | | | 02/15/48 | 4 | | $ | 33,228,250 | | | $ | 1,139,453 | |
| | | | | |
| | | | 19,303,849 | |
| | | | | |
| |
Non-Agency Mortgage-Backed — 2.04% | | | | | |
Banc of America Funding Trust, | | | | | |
Series 2003-2, Class 1A1 | | | | | |
6.50% | | | 06/25/32 | | | | 3,830 | | | | 3,935 | |
Bear Stearns ALT-A Trust, | | | | | |
Series 2004-12, Class 1M1 | | | | | |
(LIBOR USD 1-Month plus 0.93%) | | | | | |
1.02% | | | 01/25/35 | 2 | | | 2,636,328 | | | | 2,645,224 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
Series 2005-2A, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.18%) | | | | | |
0.27% | | | 05/25/36 | 1,2 | | | 49,127 | | | | 47,236 | |
CIM Trust, | | | | | |
Series 2021-R3, Class A1A | | | | | |
1.95% | | | 06/25/57 | 1,4 | | | 3,487,486 | | | | 3,503,294 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2004-HYB1, Class A41 | | | | | |
2.00% | | | 02/25/34 | 4 | | | 3,183 | | | | 3,194 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | | | | | |
2.44% | | | 08/25/34 | 4 | | | 56,066 | | | | 56,066 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA3, Class A1 | | | | | |
2.28% | | | 09/25/34 | 4 | | | 59,658 | | | | 59,597 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2004-9, Class 5A7 | | | | | |
2.20% | | | 08/25/34 | 4 | | | 20,669 | | | | 20,883 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2007-7, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
1.09% | | | 10/25/37 | 2 | | | 1,939,967 | | | | 1,964,733 | |
HomeBanc Mortgage Trust, | | | | | |
Series 2005-4, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | | 10/25/35 | 2 | | | 16,062 | | | | 16,110 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR7, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.86%) | | | | | |
0.95% | | | 09/25/34 | 2 | | | 8,430 | | | | 8,134 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR8, Class 2A2A | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
0.89% | | | 11/25/34 | 2 | | | 23,820 | | | | 23,330 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR11, Class 1A1 | | | | | |
2.75% | | | 06/25/37 | 4 | | | 583,066 | | | | 567,234 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A3, Class 3A2 | | | | | |
3.13% | | | 05/25/37 | 4 | | | 131,446 | | | | 133,386 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2003-6, Class 4A2 | | | | | |
3.02% | | | 01/25/34 | 4 | | $ | 49,520 | | | $ | 53,019 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2007-HF2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | | 09/25/37 | 2 | | | 1,383,203 | | | | 1,379,419 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2004-1, Class 4A1 | | | | | |
2.47% | | | 10/25/32 | 4 | | | 5,000 | | | | 5,247 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2005-1, Class 4A1 | | | | | |
2.38% | | | 10/25/32 | 4 | | | 17,912 | | | | 17,892 | |
New York Mortgage Trust, | | | | | |
Series 2005-3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | | 02/25/36 | 2 | | | 577,679 | | | | 582,866 | |
RBSSP Resecuritization Trust, | | | | | |
Series 2009-12, Class 17A2 | | | | | |
2.10% | | | 10/25/35 | 1,4 | | | 2,540,274 | | | | 2,527,761 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2003-SL1, Class A41 | | | | | |
8.00% | | | 04/25/31 | | | | 18,266 | | | | 19,006 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2004-SL1, Class A7 | | | | | |
7.00% | | | 11/25/31 | | | | 7,639 | | | | 7,747 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 2A1 | | | | | |
2.85% | | | 12/25/34 | 4 | | | 12,210 | | | | 12,114 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-15, Class A | | | | | |
2.54% | | | 10/25/34 | 4 | | | 658,064 | | | | 632,506 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | | 04/19/35 | 2 | | | 441,875 | | | | 437,785 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.48%) | | | | | |
1.98% | | | 02/25/36 | 2 | | | 418,697 | | | | 416,571 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2006-AR3, Class 22A1 | | | | | |
2.56% | | | 05/25/36 | 4 | | | 1,927,993 | | | | 1,266,801 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR13, Class A1A3 | | | | | |
(LIBOR USD 1-Month plus 1.56%) | | | | | |
1.65% | | | 10/25/45 | 2 | | | 543,491 | | | | 569,877 | |
| | | | | |
| | | | 16,980,967 | |
| | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 0.01% | |
Fannie Mae-Aces, | | | | | |
Series 2015-M4, Class X2 (IO) | | | | | |
0.61% | | | 07/25/22 | 4 | | | 52,183,199 | | | | 9,203 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 94 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K021, Class A2 | | | | | |
2.40% | | | 06/25/22 | | | $ | 102,973 | | | $ | 104,068 | |
| | | | | |
| | | | 113,271 | |
| | | | | |
| |
U.S. Agency Mortgage-Backed — 8.39% | | | | | |
Fannie Mae Pool 253974 | | | | | |
7.00% | | | 08/01/31 | | | | 1,153 | | | | 1,279 | |
Fannie Mae Pool 254232 | | | | | |
6.50% | | | 03/01/22 | | | | 103 | | | | 103 | |
Fannie Mae Pool 527247 | | | | | |
7.00% | | | 09/01/26 | | | | 12 | | | | 13 | |
Fannie Mae Pool 545191 | | | | | |
7.00% | | | 09/01/31 | | | | 557 | | | | 631 | |
Fannie Mae Pool 545646 | | | | | |
7.00% | | | 09/01/26 | | | | 6 | | | | 7 | |
Fannie Mae Pool 549740 | | | | | |
6.50% | | | 10/01/27 | | | | 2,897 | | | | 3,256 | |
Fannie Mae Pool 606108 | | | | | |
7.00% | | | 03/01/31 | | | | 328 | | | | 332 | |
Fannie Mae Pool 630599 | | | | | |
7.00% | | | 05/01/32 | | | | 3,018 | | | | 3,457 | |
Fannie Mae Pool 655928 | | | | | |
7.00% | | | 08/01/32 | | | | 2,048 | | | | 2,446 | |
Fannie Mae Pool 735207 | | | | | |
7.00% | | | 04/01/34 | | | | 830 | | | | 964 | |
Fannie Mae Pool 735686 | | | | | |
6.50% | | | 12/01/22 | | | | 36 | | | | 36 | |
Fannie Mae Pool 735861 | | | | | |
6.50% | | | 09/01/33 | | | | 50,823 | | | | 56,613 | |
Fannie Mae Pool 764388 | | | | | |
(LIBOR USD 6-Month plus 1.38%) | | | | | |
1.51% | | | 03/01/34 | 2 | | | 7,271 | | | | 7,334 | |
Fannie Mae Pool 776708 | | | | | |
5.00% | | | 05/01/34 | | | | 80,915 | | | | 92,312 | |
Fannie Mae Pool 844773 | | | | | |
(LIBOR USD 12-Month plus 1.53%) | | | | | |
1.99% | | | 12/01/35 | 2 | | | 5,285 | | | | 5,326 | |
Fannie Mae Pool 889184 | | | | | |
5.50% | | | 09/01/36 | | | | 63,849 | | | | 73,791 | |
Fannie Mae Pool 890221 | | | | | |
5.50% | | | 12/01/33 | | | | 95,403 | | | | 109,205 | |
Fannie Mae Pool 939419 | | | | | |
(LIBOR USD 12-Month plus 1.26%) | | | | | |
1.52% | | | 05/01/37 | 2 | | | 21,232 | | | | 21,337 | |
Fannie Mae Pool AL0209 | | | | | |
4.50% | | | 05/01/41 | | | | 260,881 | | | | 293,849 | |
Fannie Mae Pool AN2786 | | | | | |
2.76% | | | 09/01/36 | | | | 48,356 | | | | 52,208 | |
Fannie Mae Pool BL6060 | | | | | |
2.46% | | | 04/01/40 | | | | 1,160,000 | | | | 1,194,716 | |
Fannie Mae Pool CA1710 | | | | | |
4.50% | | | 05/01/48 | | | | 13,522 | | | | 14,663 | |
Fannie Mae Pool CA1711 | | | | | |
4.50% | | | 05/01/48 | | | | 903,899 | | | | 980,626 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae Pool CA2208 | | | | | |
4.50% | | | 08/01/48 | | | $ | 13,166 | | | $ | 14,284 | |
Fannie Mae Pool FM2318 | | | | | |
3.50% | | | 09/01/49 | | | | 1,324,433 | | | | 1,431,481 | |
Fannie Mae Pool FN0039 | | | | | |
3.18% | | | 09/01/27 | 4 | | | 35,299 | | | | 38,692 | |
Fannie Mae Pool MA1527 | | | | | |
3.00% | | | 08/01/33 | | | | 17,580 | | | | 18,674 | |
Fannie Mae Pool MA1561 | | | | | |
3.00% | | | 09/01/33 | | | | 985,336 | | | | 1,046,635 | |
Fannie Mae Pool MA1608 | | | | | |
3.50% | | | 10/01/33 | | | | 879,765 | | | | 947,562 | |
Fannie Mae Pool MA3427 | | | | | |
4.00% | | | 07/01/33 | | | | 10,614 | | | | 11,260 | |
Fannie Mae Pool MA3537 | | | | | |
4.50% | | | 12/01/48 | | | | 914,228 | | | | 987,726 | |
Fannie Mae Pool MA3811 | | | | | |
3.00% | | | 10/01/49 | | | | 670,061 | | | | 686,059 | |
Fannie Mae Pool MA4152 | | | | | |
2.00% | | | 10/01/40 | | | | 2,952,456 | | | | 3,015,628 | |
Fannie Mae Pool MA4333 | | | | | |
2.00% | | | 05/01/41 | | | | 779,024 | | | | 796,130 | |
Fannie Mae REMICS, | | | | | |
Series 1993-80, Class S | | | | | |
| (-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) | | | | | |
10.77% | | | 05/25/23 | 2 | | | 605 | | | | 646 | |
Fannie Mae REMICS, | | | | | |
Series 2001-52, Class YZ | | | | | |
6.50% | | | 10/25/31 | | | | 104,551 | | | | 118,613 | |
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 | | | 2,985 | | | | 3,492 | |
Fannie Mae REMICS, | | | | | |
Series 2007-64, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.47%) | | | | | |
0.56% | | | 07/25/37 | 2 | | | 46,854 | | | | 47,445 | |
Fannie Mae REMICS, | | | | | |
Series 2008-50, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
5.96% | | | 11/25/36 | 2 | | | 737,511 | | | | 134,332 | |
Fannie Mae REMICS, | | | | | |
Series 2018-38, Class PA | | | | | |
3.50% | | | 06/25/47 | | | | 6,644 | | | | 6,919 | |
Fannie Mae REMICS, | | | | | |
Series 2018-43, Class CT | | | | | |
3.00% | | | 06/25/48 | | | | 301,647 | | | | 315,277 | |
Fannie Mae REMICS, | | | | | |
Series 2018-55, Class PA | | | | | |
3.50% | | | 01/25/47 | | | | 59,532 | | | | 61,606 | |
Fannie Mae REMICS, | | | | | |
Series 2018-86, Class JA | | | | | |
4.00% | | | 05/25/47 | | | | 361,735 | | | | 373,465 | |
|
| See accompanying Notes to Financial Statements. |
|
| 95 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
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 | | $ | 7,898,926 | | | $ | 122,237 | |
Freddie Mac Gold Pool A25162 | | | | | |
5.50% | | | 05/01/34 | | | | 70,466 | | | | 80,666 | |
Freddie Mac Gold Pool A33262 | | | | | |
5.50% | | | 02/01/35 | | | | 28,134 | | | | 32,829 | |
Freddie Mac Gold Pool A68781 | | | | | |
5.50% | | | 10/01/37 | | | | 4,965 | | | | 5,748 | |
Freddie Mac Gold Pool C03813 | | | | | |
3.50% | | | 04/01/42 | | | | 580,274 | | | | 630,759 | |
Freddie Mac Gold Pool C90504 | | | | | |
6.50% | | | 12/01/21 | | | | 8 | | | | 8 | |
Freddie Mac Gold Pool G01548 | | | | | |
7.50% | | | 07/01/32 | | | | 207,835 | | | | 251,122 | |
Freddie Mac Gold Pool G01644 | | | | | |
5.50% | | | 02/01/34 | | | | 49,623 | | | | 57,284 | |
Freddie Mac Gold Pool G02366 | | | | | |
6.50% | | | 10/01/36 | | | | 41,252 | | | | 49,622 | |
Freddie Mac Gold Pool G08844 | | | | | |
5.00% | | | 10/01/48 | | | | 270,468 | | | | 296,748 | |
Freddie Mac Gold Pool G12909 | | | | | |
6.00% | | | 11/01/22 | | | | 9,396 | | | | 9,593 | |
Freddie Mac Gold Pool G13032 | | | | | |
6.00% | | | 09/01/22 | | | | 209 | | | | 212 | |
Freddie Mac Gold Pool G15897 | | | | | |
2.50% | | | 09/01/31 | | | | 26,004 | | | | 27,258 | |
Freddie Mac Gold Pool G16085 | | | | | |
2.50% | | | 02/01/32 | | | | 1,558,184 | | | | 1,639,966 | |
Freddie Mac Gold Pool G16524 | | | | | |
3.50% | | | 05/01/33 | | | | 58,870 | | | | 63,194 | |
Freddie Mac Gold Pool G16756 | | | | | |
3.50% | | | 01/01/34 | | | | 1,005,563 | | | | 1,079,825 | |
Freddie Mac Gold Pool G18581 | | | | | |
2.50% | | | 01/01/31 | | | | 25,375 | | | | 26,634 | |
Freddie Mac Pool SD7503 | | | | | |
3.50% | | | 08/01/49 | | | | 3,724,545 | | | | 4,023,254 | |
Freddie Mac REMICS, | | | | | |
Series 1602, Class SN | | | | | |
(-4.25 X PRIME plus 46.22%, 10.09% Cap) | | | | | |
10.09% | | | 10/15/23 | 2 | | | 3,705 | | | | 3,869 | |
Freddie Mac REMICS, | | | | | |
Series 2174, Class PN | | | | | |
6.00% | | | 07/15/29 | | | | 18,516 | | | | 20,696 | |
Freddie Mac REMICS, | | | | | |
Series 3460, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | | | | | |
6.12% | | | 06/15/38 | 2 | | | 746,804 | | | | 136,595 | |
Freddie Mac REMICS, | | | | | |
Series 4030, Class HS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) | | | | | |
6.53% | | | 04/15/42 | 2 | | | 603,673 | | | | 124,062 | |
Ginnie Mae (TBA) | | | | | |
2.00% | | | 11/20/51 | | | | 1,800,000 | | | | 1,822,102 | |
2.50% | | | 11/20/51 | | | | 3,900,000 | | | | 4,019,244 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae I Pool 782810 | | | | | |
4.50% | | | 11/15/39 | | | $ | 529,697 | | | $ | 593,916 | |
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 | | | 13,647 | | | | 14,145 | |
Ginnie Mae II Pool MA4454 | | | | | |
5.00% | | | 05/20/47 | | | | 20,488 | | | | 22,457 | |
Ginnie Mae II Pool MA4511 | | | | | |
4.00% | | | 06/20/47 | | | | 5,383 | | | | 5,776 | |
Ginnie Mae II Pool MA4588 | | | | | |
4.50% | | | 07/20/47 | | | | 197,346 | | | | 213,779 | |
Ginnie Mae II Pool MA4589 | | | | | |
5.00% | | | 07/20/47 | | | | 1,090,739 | | | | 1,199,345 | |
Ginnie Mae II Pool MA4838 | | | | | |
4.00% | | | 11/20/47 | | | | 500,725 | | | | 536,704 | |
Ginnie Mae II Pool MA4901 | | | | | |
4.00% | | | 12/20/47 | | | | 401,825 | | | | 430,687 | |
Ginnie Mae II Pool MA5399 | | | | | |
4.50% | | | 08/20/48 | | | | 527,586 | | | | 565,516 | |
Ginnie Mae II Pool MA5530 | | | | | |
5.00% | | | 10/20/48 | | | | 6,733 | | | | 7,277 | |
Ginnie Mae II Pool MA6030 | | | | | |
3.50% | | | 07/20/49 | | | | 87,001 | | | | 89,958 | |
Ginnie Mae II Pool MA6080 | | | | | |
3.00% | | | 08/20/49 | | | | 37,634 | | | | 38,809 | |
Ginnie Mae II Pool MA6209 | | | | | |
3.00% | | | 10/20/49 | | | | 661,467 | | | | 680,035 | |
Ginnie Mae, | | | | | |
Series 2004-8, Class SE | | | | | |
| (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
14.13% | | | 11/26/23 | 2 | | | 6,454 | | | | 7,196 | |
UMBS (TBA) | | | | | |
1.50% | | | 11/01/36 | | | | 3,825,000 | | | | 3,855,986 | |
2.00% | | | 11/01/36 | | | | 3,750,000 | | | | 3,857,227 | |
2.00% | | | 11/01/51 | | | | 6,150,000 | | | | 6,154,423 | |
2.50% | | | 11/01/51 | | | | 23,350,000 | | | | 24,027,665 | |
| | | | | |
| | | | 69,794,858 | |
| | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $106,470,793) | | | | 106,192,945 | |
| | | | | |
| |
MUNICIPAL BONDS — 0.78%* | | | | | |
| |
California — 0.24% | | | | | |
| City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G | | | | | |
2.19% | | | 11/01/32 | | | | 795,000 | | | | 809,240 | |
| Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, | | | | | |
Series C | | | | | |
5.52% | | | 07/01/27 | | | | 50,000 | | | | 61,246 | |
| Los Angeles Unified School District General Obligation | | | | | |
Bonds, School Improvements, Series KR | | | | | |
5.75% | | | 07/01/34 | | | | 875,000 | | | | 1,158,839 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,029,325 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 96 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| 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 | | | $ | 314,553 | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 245,000 | | | | 262,993 | |
| | | | | |
| | | | 577,546 | |
| | | | | |
New York — 0.46% | | | | | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
6.55% | | | 11/15/31 | | | | 25,000 | | | | 32,265 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | | 05/01/27 | | | | 1,465,000 | | | | 1,750,211 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | | 590,000 | | | | 594,039 | |
| New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F | | | | | |
3.03% | | | 02/15/33 | | | | 1,245,000 | | | | 1,343,573 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D | | | | | |
5.50% | | | 03/15/30 | | | | 70,000 | | | | 83,813 | |
| | | | | |
| | | | 3,803,901 | |
| | | | | |
Pennsylvania — 0.01% | | | | | |
| Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B | | | | | |
3.20% | | | 11/15/27 | | | | 40,000 | | | | 43,606 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $6,168,386) | | | | 6,454,378 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 53.44% | |
|
U.S. Treasury Notes — 53.44% | |
U.S. Treasury Notes | |
0.13% | | | 07/31/23 | | | | 77,295,000 | | | | 77,136,236 | |
0.13% | | | 08/31/23 | | | | 77,985,000 | | | | 77,783,945 | |
0.25% | | | 09/30/23 | | | | 51,815,000 | | | | 51,778,568 | |
0.63% | | | 07/31/26 | | | | 47,450,000 | | | | 46,694,855 | |
0.75% | | | 08/31/26 | | | | 63,930,000 | | | | 63,253,241 | |
0.88% | | | 09/30/26 | | | | 98,858,000 | | | | 98,337,606 | |
1.25% | | | 08/15/31 | | | | 30,415,000 | | | | 29,680,763 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $445,925,111) | | | | 444,665,214 | |
| | | | | | | | | | | | |
Total Bonds — 103.24% | |
(Cost $853,238,845) | | | | 858,991,094 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | | | Shares | | | Value | |
| |
COMMON STOCK — 0.00% | | | | | |
|
Electric — 0.00% | |
Homer City Holdings LLC†,5,6,8 | | | | 8,014 | | | $ | — | |
| | | | | | | | | |
Total Common Stock | |
(Cost $457,400) | | | | | |
Purchased Options - 0.03% | | | | | |
(Cost $130,246) | | | | 247,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value | |
|
| SHORT-TERM INVESTMENTS — 0.01% | |
|
| Money Market Funds — 0.01% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%11,12 | | | | 45,210 | | | | 45,210 | |
| | | | | | | | | |
Total Short-Term Investments | | | | | |
(Cost $45,210) | | | | | |
Total Investments Before Written Options - 103.28% | |
(Cost $853,871,701) | | | | 859,283,804 | |
| | | | | | | | | |
Written Options - (0.02)% | |
(Cost $(78,509)) | | | | (127,875 | ) |
| | | | | | | | | |
Net unrealized appreciation on unfunded commitments - 0.00% | | | | 2,323 | |
Liabilities in Excess of Other Assets - (3.26)% | | | | (27,137,372 | ) |
| | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 832,020,880 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $2,755,154, which is 0.33% 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 $96,672, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 11 | Represents the current yield as of September 30, 2021. |
| 12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $34. |
| † | 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. |
|
| 97 / Semi-Annual Report September 2021 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
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
(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 | | | 222 | | | | 12/31/21 | | | $ | 48,852,141 | | | $ | (28,187) | | | $ | (28,187) | |
U.S. Treasury Five-Year Note | | | 82 | | | | 12/31/21 | | | | 10,064,859 | | | | (64,548) | | | | (64,548) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 58,917,000 | | | | (92,735) | | | | (92,735) | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | |
U.S. Treasury Ultra Bond | | | 40 | | | | 12/21/21 | | | | (7,642,500) | | | | 201,758 | | | | 201,758 | |
U.S. Treasury Ten-Year Ultra Bond | | | 6 | | | | 12/21/21 | | | | (871,500) | | | | 16,080 | | | | 16,080 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (8,514,000) | | | | 217,838 | | | | 217,838 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 50,403,000 | | | $ | 125,103 | | | $ | 125,103 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| 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 | | | $ | 10,702 | | | $ | 7,587 | | | $ | 3,115 | |
| 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 | | | 5.00% | | | | 3 Months | | |
| Citigroup
Global
Markets Inc. |
| | | 06/20/23 | | | | 2,070,000 | | | | 120,951 | | | | 117,465 | | | | 3,486 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | 131,653 | | | $ | 125,052 | | | $ | 6,601 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 PUT OPTIONS EXCHANGE TRADED | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 330 | | | | $99.13 | | | | 12/10/21 | | | $ | 51,657,174 | | | $ | 247,500 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of contracts | | | Exercise Price | | | Expiration Date | | | Notional Amount | | | Value | |
| | | | | |
WRITTEN PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 660 | | | | $98.75 | | | | 12/10/21 | | | $ | (53,549,259) | | | $ | (127,875) | |
| | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 98 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
BONDS – 102.07% | |
|
ASSET-BACKED SECURITIES — 5.29%** | |
AGL CLO 13 Ltd., | | | | | |
Series 2021-13A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.16%) | | | | | |
0.00% | | | 10/20/34 | 1,2,3 | | $ | 70,000 | | | $ | 70,035 | |
Aimco CLO, | | | | | |
Series 2015-AA, Class BR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | | 10/17/34 | 1,2,3 | | | 70,000 | | | | 70,035 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-R11, Class M3 | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
0.84% | | | 01/25/36 | 2 | | | 100,000 | | | | 100,468 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
Series 2000-A, Class A2 | | | | | |
7.58% | | | 06/15/30 | 4 | | | 19,426 | | | | 4,191 | |
Centex Home Equity Loan Trust, | | | | | |
Series 2005-D, Class M4 | | | | | |
(LIBOR USD 1-Month plus 0.92%) | | | | | |
1.00% | | | 10/25/35 | 2 | | | 30,000 | | | | 30,125 | |
CIT Mortgage Loan Trust, | | | | | |
Series 2007-1, Class 1A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | | 10/25/37 | 1,2 | | | 6,687 | | | | 6,750 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2005-OPT1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.63%) | | | | | |
0.72% | | | 02/25/35 | 2 | | | 45,864 | | | | 45,264 | |
Conseco Finance Corp., | | | | | |
Series 1998-4, Class A5 | | | | | |
6.18% | | | 04/01/30 | | | | 3,727 | | | | 3,728 | |
| Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2005-6, Class M4 | | | | | |
(LIBOR USD 1-Month plus 0.99%) | | | | | |
1.08% | | | 12/25/35 | 2 | | | 8,408 | | | | 8,417 | |
| Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2007-13, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
0.99% | | | 10/25/47 | 2 | | | 23,958 | | | | 24,026 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2020-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.17%) | | | | | |
1.25% | | | 10/15/34 | 1,2,3 | | | 120,000 | | | | 120,083 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2007-WF1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.16%) | | | | | |
0.25% | | | 05/25/37 | 2 | | | 19,889 | | | | 19,756 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | | 01/17/73 | 1 | | | 34,413 | | | | 38,632 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Long Beach Mortgage Loan Trust, | |
Series 2006-1, Class 1A | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | | 02/25/36 | 2 | | $ | 5,862 | | | $ | 5,838 | |
Madison Park Funding XXXIX Ltd., | |
Series 2021-39A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.65%) | |
0.00% | | | 10/22/34 | 1,2,3 | | | 70,000 | | | | 70,035 | |
MASTR Asset-Backed Securities Trust, | |
Series 2005-WF1, Class M4 | |
(LIBOR USD 1-Month plus 0.89%) | |
0.97% | | | 06/25/35 | 2 | | | 102,028 | | | | 102,134 | |
Palmer Square CLO Ltd., | |
Series 2021-4A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.17%) | |
1.31% | | | 10/15/34 | 1,2,3 | | | 125,000 | | | | 125,069 | |
RAAC Trust, | |
Series 2007-SP3, Class A1 | |
(LIBOR USD 1-Month plus 1.20%) | |
1.29% | | | 09/25/47 | 2 | | | 10,498 | | | | 10,510 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2A | |
(LIBOR USD 1-Month plus 0.10%) | |
0.19% | | | 05/25/47 | 2 | | | 73,727 | | | | 63,740 | |
Sixth Street CLO XVII Ltd., | |
Series 2021-17A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.24%) | |
1.41% | | | 01/20/34 | 1,2,3 | | | 120,000 | | | | 120,339 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 12/30/99 | 5,6 | | | 38,726 | | | | 38,836 | |
SLC Student Loan Trust, | |
Series 2006-1, Class A6 | |
(LIBOR USD 3-Month plus 0.16%) | |
0.28% | | | 03/15/55 | 2 | | | 60,000 | | | | 58,875 | |
SLM Student Loan Trust, | |
Series 2007-2, Class B | |
(LIBOR USD 3-Month plus 0.17%) | |
0.30% | | | 07/25/25 | 2 | | | 70,000 | | | | 63,470 | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 01/25/83 | 2 | | | 20,000 | | | | 19,211 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 04/26/83 | 2 | | | 20,000 | | | | 18,893 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | | 07/25/73 | 2 | | | 35,000 | | | | 34,666 | |
|
| See accompanying Notes to Financial Statements. |
|
| 99 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
1.23% | | | 07/25/23 | 2 | | $ | 30,752 | | | $ | 30,925 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 07/26/83 | 2 | | | 20,000 | | | | 20,115 | |
SLM Student Loan Trust, | | | | | |
Series 2008-7, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | | 07/26/83 | 2 | | | 20,000 | | | | 20,083 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
1.63% | | | 04/25/23 | 2 | | | 19,430 | | | | 19,553 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | | 10/25/75 | 2 | | | 30,000 | | | | 30,221 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
1.63% | | | 04/25/23 | 2 | | | 14,710 | | | | 14,814 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | | 10/25/83 | 2 | | | 15,000 | | | | 15,158 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-B, Class A | | | | | |
3.73% | | | 08/15/36 | 1 | | | 48,803 | | | | 50,782 | |
Wachovia Student Loan Trust, | | | | | |
Series 2006-1, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.17%) | | | | | |
0.30% | | | 04/25/40 | 1,2 | | | 36,054 | | | | 35,361 | |
| Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, | | | | | |
Series 2004-1, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
0.69% | | | 04/25/34 | 2 | | | 12,612 | | | | 12,204 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $1,491,460) | | | | 1,522,342 | |
| | | | | | | | | | | | |
|
CORPORATES — 57.55%* | |
|
Banking — 10.69% | |
Bank of America Corp. | |
1.73% | | | 07/22/27 | 4 | | | 270,000 | | | | 271,481 | |
3.00% | | | 12/20/23 | 4 | | | 15,000 | | | | 15,462 | |
Bank of America Corp. | |
(MTN) | |
2.09% | | | 06/14/29 | 4 | | | 310,000 | | | | 309,791 | |
3.97% | | | 03/05/29 | 4 | | | 60,000 | | | | 66,676 | |
3.97% | | | 02/07/30 | 4 | | | 30,000 | | | | 33,613 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 1,3,4 | | | 60,000 | | | | 58,737 | |
2.19% | | | 06/05/26 | 1,3,4 | | | 25,000 | | | | 25,503 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Banking (continued) | |
3.09% | | | 05/14/32 | 1,3,4 | | $ | 50,000 | | | $ | 51,311 | |
4.55% | | | 04/17/26 | 3 | | | 5,000 | | | | 5,620 | |
Discover Bank | |
(BKNT) | |
3.45% | | | 07/27/26 | | | | 60,000 | | | | 65,084 | |
DNB Bank ASA | |
(Norway) | |
1.13% | | | 09/16/26 | 1,3,4 | | | 100,000 | | | | 98,979 | |
Fifth Third Bancorp | |
2.55% | | | 05/05/27 | | | | 30,000 | | | | 31,554 | |
HSBC Holdings PLC | |
(United Kingdom) | |
1.59% | | | 05/24/27 | 3,4 | | | 20,000 | | | | 19,875 | |
2.21% | | | 08/17/29 | 3,4 | | | 230,000 | | | | 228,413 | |
JPMorgan Chase & Co. | |
0.97% | | | 06/23/25 | 4 | | | 180,000 | | | | 180,247 | |
1.58% | | | 04/22/27 | 4 | | | 250,000 | | | | 250,566 | |
2.01% | | | 03/13/26 | 4 | | | 35,000 | | | | 35,885 | |
2.52% | | | 04/22/31 | 4 | | | 10,000 | | | | 10,208 | |
2.58% | | | 04/22/32 | 4 | | | 50,000 | | | | 50,731 | |
3.56% | | | 04/23/24 | 4 | | | 70,000 | | | | 73,302 | |
4.01% | | | 04/23/29 | 4 | | | 20,000 | | | | 22,322 | |
4.20% | | | 07/23/29 | 4 | | | 125,000 | | | | 142,278 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
3.87% | | | 07/09/25 | 3,4 | | | 150,000 | | | | 161,772 | |
Macquarie Group Ltd. | |
(Australia) | |
1.34% | | | 01/12/27 | 1,3,4 | | | 30,000 | | | | 29,751 | |
1.63% | | | 09/23/27 | 1,3,4 | | | 85,000 | | | | 84,652 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/25 | 3,4 | | | 95,000 | | | | 102,533 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
3.57% | | | 01/10/23 | 3 | | | 10,000 | | | | 10,087 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | | 11/07/23 | 1,3 | | | 120,000 | | | | 129,824 | |
State Street Corp. | |
3.78% | | | 12/03/24 | 4 | | | 15,000 | | | | 16,092 | |
Truist Financial Corp. | |
(MTN) | |
1.89% | | | 06/07/29 | 4 | | | 35,000 | | | | 35,030 | |
Wells Fargo & Co. | |
(MTN) | |
2.39% | | | 06/02/28 | 4 | | | 420,000 | | | | 433,545 | |
2.88% | | | 10/30/30 | 4 | | | 5,000 | | | | 5,232 | |
3.58% | | | 05/22/28 | 4 | | | 20,000 | | | | 21,911 | |
| | | | | | | | | | | | |
| | | | 3,078,067 | |
| | | | | | | | | | | | |
|
Communications — 6.70% | |
AT&T, Inc. | |
2.25% | | | 02/01/32 | | | | 22,000 | | | | 21,446 | |
2.55% | | | 12/01/33 | | | | 214,000 | | | | 210,733 | |
2.75% | | | 06/01/31 | | | | 30,000 | | | | 30,762 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 100 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
3.80% | | | 12/01/57 | | | $ | 50,000 | | | $ | 51,256 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
2.30% | | | 02/01/32 | | | | 165,000 | | | | 157,337 | |
3.75% | | | 02/15/28 | | | | 82,000 | | | | 89,867 | |
Comcast Corp. | | | | | |
1.95% | | | 01/15/31 | | | | 135,000 | | | | 132,816 | |
Cox Communications, Inc. | | | | | |
3.35% | | | 09/15/26 | 1 | | | 80,000 | | | | 85,945 | |
Discovery Communications LLC | | | | | |
3.63% | | | 05/15/30 | | | | 70,000 | | | | 76,006 | |
Fox Corp. | | | | | |
3.50% | | | 04/08/30 | | | | 30,000 | | | | 32,759 | |
Level 3 Financing, Inc. | | | | | |
3.88% | | | 11/15/29 | 1 | | | 56,000 | | | | 59,951 | |
SES SA | | | | | |
(Luxembourg) | | | | | |
3.60% | | | 04/04/23 | 1,3 | | | 15,000 | | | | 15,599 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
4.74% | | | 03/20/25 | 1 | | | 105,000 | | | | 112,271 | |
5.15% | | | 03/20/28 | 1 | | | 75,000 | | | | 85,804 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
3.98% | | | 04/11/29 | 1,3 | | | 65,000 | | | | 71,427 | |
T-Mobile USA, Inc. | | | | | |
2.55% | | | 02/15/31 | | | | 179,000 | | | | 179,755 | |
4.38% | | | 04/15/40 | | | | 25,000 | | | | 28,833 | |
Verizon Communications, Inc. | | | | | |
2.36% | | | 03/15/32 | 1 | | | 216,000 | | | | 213,909 | |
4.33% | | | 09/21/28 | | | | 40,000 | | | | 45,980 | |
ViacomCBS, Inc. | | | | | |
4.20% | | | 05/19/32 | | | | 65,000 | | | | 74,385 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 3 | | | 75,000 | | | | 86,192 | |
Walt Disney Co. (The) | | | | | |
2.65% | | | 01/13/31 | | | | 45,000 | | | | 47,057 | |
6.20% | | | 12/15/34 | | | | 4,000 | | | | 5,665 | |
7.75% | | | 01/20/24 | | | | 12,000 | | | | 13,895 | |
| | | | | |
| | | | 1,929,650 | |
| | | | | |
| |
Consumer Discretionary — 2.33% | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
3.50% | | | 06/01/30 | | | | 110,000 | | | | 120,555 | |
4.00% | | | 04/13/28 | | | | 52,000 | | | | 58,748 | |
4.75% | | | 01/23/29 | | | | 15,000 | | | | 17,674 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | | 05/15/25 | 1,3 | | | 5,000 | | | | 5,513 | |
4.70% | | | 05/15/28 | 1,3 | | | 95,000 | | | | 109,812 | |
BAT Capital Corp. | | | | | |
2.73% | | | 03/25/31 | | | | 10,000 | | | | 9,863 | |
Constellation Brands, Inc. | | | | | |
2.88% | | | 05/01/30 | | | | 50,000 | | | | 52,072 | |
4.25% | | | 05/01/23 | | | | 15,000 | | | | 15,870 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
Hyatt Hotels Corp. | | | | | |
1.80% | | | 10/01/24 | | | $ | 85,000 | | | $ | 85,205 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | | 07/21/25 | 1,3 | | | 60,000 | | | | 65,443 | |
Reynolds American, Inc. | | | | | |
5.70% | | | 08/15/35 | | | | 110,000 | | | | 131,908 | |
| | | | | |
| | | | 672,663 | |
| | | | | |
| |
Electric — 2.25% | | | | | |
Alliant Energy Finance LLC | | | | | |
1.40% | | | 03/15/26 | 1 | | | 65,000 | | | | 64,175 | |
Ameren Corp. | | | | | |
3.50% | | | 01/15/31 | | | | 95,000 | | | | 103,377 | |
Appalachian Power Co. | | | | | |
4.45% | | | 06/01/45 | | | | 5,000 | | | | 5,974 | |
Appalachian Power Co., | | | | | |
Series X | | | | | |
3.30% | | | 06/01/27 | | | | 20,000 | | | | 21,637 | |
Berkshire Hathaway Energy Co. | | | | | |
3.70% | | | 07/15/30 | | | | 50,000 | | | | 56,324 | |
Black Hills Corp. | | | | | |
4.35% | | | 05/01/33 | | | | 36,000 | | | | 41,700 | |
| Consolidated Edison Co. of New York, Inc., | | | | | |
Series 20A | | | | | |
3.35% | | | 04/01/30 | | | | 45,000 | | | | 49,293 | |
Duke Energy Corp. | | | | | |
2.55% | | | 06/15/31 | | | | 65,000 | | | | 66,031 | |
ITC Holdings Corp. | | | | | |
4.05% | | | 07/01/23 | | | | 10,000 | | | | 10,501 | |
Jersey Central Power & Light Co. | | | | | |
2.75% | | | 03/01/32 | 1 | | | 70,000 | | | | 71,780 | |
4.70% | | | 04/01/24 | 1 | | | 5,000 | | | | 5,393 | |
Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/25 | 1 | | | 25,000 | | | | 26,353 | |
Narragansett Electric Co. (The) | | | | | |
3.40% | | | 04/09/30 | 1 | | | 35,000 | | | | 37,928 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 40,000 | | | | 42,909 | |
Southwestern Electric Power Co., | | | | | |
Series M | | | | | |
4.10% | | | 09/15/28 | | | | 20,000 | | | | 22,576 | |
Xcel Energy, Inc. | | | | | |
3.40% | | | 06/01/30 | | | | 20,000 | | | | 21,829 | |
| | | | | |
| | | | 647,780 | |
| | | | | |
| |
Energy — 2.70% | | | | | |
ConocoPhillips | | | | | |
2.40% | | | 02/15/31 | 1 | | | 65,000 | | | | 66,106 | |
Energy Transfer LP | | | | | |
4.00% | | | 10/01/27 | | | | 30,000 | | | | 33,121 | |
4.20% | | | 04/15/27 | | | | 10,000 | | | | 11,070 | |
4.95% | | | 06/15/28 | | | | 135,000 | | | | 154,991 | |
5.50% | | | 06/01/27 | | | | 10,000 | | | | 11,739 | |
Exxon Mobil Corp. | | | | | |
3.45% | | | 04/15/51 | | | | 20,000 | | | | 21,302 | |
|
| See accompanying Notes to Financial Statements. |
|
| 101 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
Hess Corp. | | | | | |
4.30% | | | 04/01/27 | | | $ | 32,000 | | | $ | 35,561 | |
Kinder Morgan, Inc. | | | | | |
5.30% | | | 12/01/34 | | | | 40,000 | | | | 49,413 | |
5.63% | | | 11/15/23 | 1 | | | 25,000 | | | | 27,225 | |
Kinder Morgan, Inc. | | | | | |
(GMTN) | | | | | |
7.80% | | | 08/01/31 | | | | 10,000 | | | | 14,287 | |
Lundin Energy Finance BV | | | | | |
(Netherlands) | | | | | |
3.10% | | | 07/15/31 | 1,3 | | | 55,000 | | | | 55,807 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
5.35% | | | 02/12/28 | 3 | | | 15,000 | | | | 14,808 | |
5.95% | | | 01/28/31 | 3 | | | 30,000 | | | | 29,122 | |
Phillips 66 Partners LP | | | | | |
3.15% | | | 12/15/29 | | | | 25,000 | | | | 26,171 | |
Piedmont Natural Gas Co., Inc. | | | | | |
2.50% | | | 03/15/31 | | | | 20,000 | | | | 20,157 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 60,000 | | | | 66,586 | |
Rockies Express Pipeline LLC | | | | | |
3.60% | | | 05/15/25 | 1 | | | 20,000 | | | | 20,660 | |
4.95% | | | 07/15/29 | 1 | | | 10,000 | | | | 10,415 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/22 | 1,5,6 | | | 14,394 | | | | 13,386 | |
Southern Natural Gas Co. LLC | | | | | |
4.80% | | | 03/15/47 | 1 | | | 30,000 | | | | 36,788 | |
TC PipeLines LP | | | | | |
3.90% | | | 05/25/27 | | | | 20,000 | | | | 22,222 | |
Texas Eastern Transmission LP | | | | | |
2.80% | | | 10/15/22 | 1 | | | 10,000 | | | | 10,166 | |
Williams Cos., Inc. (The) | | | | | |
4.30% | | | 03/04/24 | | | | 25,000 | | | | 26,863 | |
| | | | | |
| | | | 777,966 | |
| | | | | |
| |
Finance — 9.16% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
3.88% | | | 01/23/28 | 3 | | | 36,000 | | | | 38,456 | |
3.95% | | | 02/01/22 | 3 | | | 35,000 | | | | 35,295 | |
Air Lease Corp. | | | | | |
3.00% | | | 09/15/23 | | | | 30,000 | | | | 31,193 | |
3.63% | | | 12/01/27 | | | | 41,000 | | | | 43,933 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | 11/18/27 | 1,3 | | | 11,000 | | | | 10,828 | |
2.88% | | | 02/15/25 | 1,3 | | | 45,000 | | | | 46,300 | |
Citigroup, Inc. | | | | | |
0.98% | | | 05/01/25 | 4 | | | 60,000 | | | | 60,248 | |
1.46% | | | 06/09/27 | 4 | | | 255,000 | | | | 253,733 | |
2.57% | | | 06/03/31 | 4 | | | 45,000 | | | | 45,896 | |
3.67% | | | 07/24/28 | 4 | | | 145,000 | | | | 159,261 | |
Daimler Finance North America LLC | | | | | |
2.20% | | | 10/30/21 | 1 | | | 20,000 | | | | 20,029 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
Ford Motor Credit Co. LLC | | | | | |
4.25% | | | 09/20/22 | | | $ | 25,000 | | | $ | 25,600 | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.20% | | | 08/03/22 | 2 | | | 35,000 | | | | 34,983 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | | 11/15/35 | 3 | | | 180,000 | | | | 216,220 | |
General Motors Financial Co., Inc. | | | | | |
3.15% | | | 06/30/22 | | | | 10,000 | | | | 10,174 | |
4.20% | | | 11/06/21 | | | | 15,000 | | | | 15,051 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.43% | | | 03/09/27 | 4 | | | 30,000 | | | | 29,922 | |
1.54% | | | 09/10/27 | 4 | | | 380,000 | | | | 378,999 | |
2.60% | | | 02/07/30 | | | | 30,000 | | | | 30,896 | |
2.88% | | | 10/31/22 | 4 | | | 75,000 | | | | 75,154 | |
Intercontinental Exchange, Inc. | | | | | |
1.85% | | | 09/15/32 | | | | 45,000 | | | | 42,559 | |
2.10% | | | 06/15/30 | | | | 35,000 | | | | 34,658 | |
LSEGA Financing PLC | | | | | |
(United Kingdom) | | | | | |
1.38% | | | 04/06/26 | 1,3 | | | 90,000 | | | | 89,718 | |
Morgan Stanley | | | | | |
1.59% | | | 05/04/27 | 4 | | | 325,000 | | | | 326,030 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | | 07/20/27 | 4 | | | 95,000 | | | | 94,596 | |
3.70% | | | 10/23/24 | | | | 70,000 | | | | 75,971 | |
3.77% | | | 01/24/29 | 4 | | | 130,000 | | | | 143,945 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
3.62% | | | 04/26/23 | 1,3,4 | | | 35,000 | | | | 35,612 | |
3.77% | | | 03/08/24 | 1,3,4 | | | 90,000 | | | | 93,852 | |
Park Aerospace Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.50% | | | 03/15/23 | 1,3 | | | 10,000 | | | | 10,452 | |
5.50% | | | 02/15/24 | 1,3 | | | 5,000 | | | | 5,457 | |
Pipeline Funding Co. LLC | | | | | |
7.50% | | | 01/15/30 | 1 | | | 17,796 | | | | 22,678 | |
Raymond James Financial, Inc. | | | | | |
4.65% | | | 04/01/30 | | | | 85,000 | | | | 100,922 | |
| | | | | |
| | | | 2,638,621 | |
| | | | | |
| |
Food — 1.16% | | | | | |
Conagra Brands, Inc. | | | | | |
4.60% | | | 11/01/25 | | | | 16,000 | | | | 17,989 | |
General Mills, Inc. | | | | | |
3.70% | | | 10/17/23 | | | | 15,000 | | | | 15,926 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | |
5.50% | | | 01/15/30 | 1,3 | | | 50,000 | | | | 55,674 | |
Kraft Heinz Foods Co. | | | | | |
5.00% | | | 07/15/35 | | | | 48,000 | | | | 59,160 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | | 03/01/32 | 1 | | | 60,000 | | | | 61,136 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 102 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Food (continued) | | | | | |
Smithfield Foods, Inc. | | | | | |
2.63% | | | 09/13/31 | 1 | | $ | 65,000 | | | $ | 63,396 | |
3.35% | | | 02/01/22 | 1 | | | 50,000 | | | | 50,482 | |
5.20% | | | 04/01/29 | 1 | | | 10,000 | | | | 11,493 | |
| | | | | | | | | | | | |
| | | | 335,256 | |
| | | | | | | | | | | | |
| |
Health Care — 7.83% | | | | | |
AbbVie, Inc. | | | | | |
3.60% | | | 05/14/25 | | | | 25,000 | | | | 27,056 | |
4.50% | | | 05/14/35 | | | | 65,000 | | | | 77,782 | |
Alcon Finance Corp. | | | | | |
2.75% | | | 09/23/26 | 1 | | | 80,000 | | | | 84,513 | |
Anthem, Inc. | | | | | |
3.65% | | | 12/01/27 | | | | 65,000 | | | | 72,255 | |
Ascension Health, | | | | | |
Series B | | | | | |
2.53% | | | 11/15/29 | | | | 20,000 | | | | 20,972 | |
Banner Health | | | | | |
2.34% | | | 01/01/30 | | | | 10,000 | | | | 10,260 | |
Barnabas Health, Inc., | | | | | |
Series 2012 | | | | | |
4.00% | | | 07/01/28 | | | | 15,000 | | | | 16,916 | |
Baxalta, Inc. | | | | | |
3.60% | | | 06/23/22 | | | | 25,000 | | | | 25,469 | |
Baxter International, Inc. | | | | | |
3.95% | | | 04/01/30 | | | | 25,000 | | | | 28,427 | |
Bayer U.S. Finance II LLC | | | | | |
3.88% | | | 12/15/23 | 1 | | | 10,000 | | | | 10,643 | |
4.38% | | | 12/15/28 | 1 | | | 105,000 | | | | 118,969 | |
4.40% | | | 07/15/44 | 1 | | | 5,000 | | | | 5,629 | |
Becton Dickinson and Co. | | | | | |
3.36% | | | 06/06/24 | | | | 7,000 | | | | 7,443 | |
3.70% | | | 06/06/27 | | | | 70,000 | | | | 77,565 | |
Bon Secours Mercy Health, Inc., | | | | | |
Series 20-2 | | | | | |
2.10% | | | 06/01/31 | | | | 30,000 | | | | 29,772 | |
Bristol-Myers Squibb Co. | | | | | |
3.90% | | | 02/20/28 | | | | 40,000 | | | | 45,245 | |
Centene Corp. | | | | | |
3.00% | | | 10/15/30 | | | | 60,000 | | | | 61,575 | |
Cigna Corp. | | | | | |
2.40% | | | 03/15/30 | | | | 135,000 | | | | 137,331 | |
4.38% | | | 10/15/28 | | | | 30,000 | | | | 34,695 | |
CommonSpirit Health | | | | | |
2.76% | | | 10/01/24 | | | | 25,000 | | | | 26,308 | |
2.78% | | | 10/01/30 | | | | 20,000 | | | | 20,603 | |
3.35% | | | 10/01/29 | | | | 50,000 | | | | 53,771 | |
CVS Health Corp. | | | | | |
3.25% | | | 08/15/29 | | | | 150,000 | | | | 161,324 | |
DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | | 06/01/30 | | | | 85,000 | | | | 90,631 | |
Elanco Animal Health, Inc. | | | | | |
5.90% | | | 08/28/28 | | | | 15,000 | | | | 17,569 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.88% | | | 01/31/22 | 1 | | | 30,000 | | | | 30,524 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
| Fresenius Medical Care U.S. Finance III, Inc. | | | | | |
1.88% | | | 12/01/26 | 1 | | $ | 30,000 | | | $ | 30,150 | |
HCA, Inc. | | | | | |
4.13% | | | 06/15/29 | | | | 140,000 | | | | 156,480 | |
4.50% | | | 02/15/27 | | | | 5,000 | | | | 5,632 | |
5.00% | | | 03/15/24 | | | | 15,000 | | | | 16,463 | |
Humana, Inc. | | | | | |
2.15% | | | 02/03/32 | | | | 40,000 | | | | 39,093 | |
2.90% | | | 12/15/22 | | | | 15,000 | | | | 15,428 | |
3.13% | | | 08/15/29 | | | | 15,000 | | | | 16,003 | |
Illumina, Inc. | | | | | |
2.55% | | | 03/23/31 | | | | 60,000 | | | | 60,641 | |
Molina Healthcare, Inc. | | | | | |
3.88% | | | 11/15/30 | 1 | | | 30,000 | | | | 31,675 | |
PerkinElmer, Inc. | | | | | |
2.25% | | | 09/15/31 | | | | 45,000 | | | | 44,462 | |
2.55% | | | 03/15/31 | | | | 70,000 | | | | 71,142 | |
| Providence St. Joseph Health Obligated Group, | | | | | |
Series H | | | | | |
2.75% | | | 10/01/26 | | | | 20,000 | | | | 21,205 | |
Regeneron Pharmaceuticals, Inc. | | | | | |
1.75% | | | 09/15/30 | | | | 55,000 | | | | 52,330 | |
Royalty Pharma PLC | | | | | |
(United Kingdom) | | | | | |
1.75% | | | 09/02/27 | 3 | | | 50,000 | | | | 49,665 | |
Smith & Nephew PLC | | | | | |
(United Kingdom) | | | | | |
2.03% | | | 10/14/30 | 3 | | | 30,000 | | | | 29,287 | |
STERIS Irish FinCo UnLtd Co. | | | | | |
(Ireland) | | | | | |
2.70% | | | 03/15/31 | 3 | | | 65,000 | | | | 66,405 | |
Thermo Fisher Scientific, Inc. | | | | | |
2.00% | | | 10/15/31 | | | | 70,000 | | | | 68,589 | |
UnitedHealth Group, Inc. | | | | | |
3.70% | | | 12/15/25 | | | | 20,000 | | | | 22,134 | |
3.88% | | | 12/15/28 | | | | 65,000 | | | | 74,189 | |
Universal Health Services, Inc. | | | | | |
1.65% | | | 09/01/26 | 1 | | | 55,000 | | | | 54,696 | |
Viatris, Inc. | | | | | |
1.13% | | | 06/22/22 | 1 | | | 35,000 | | | | 35,190 | |
| | | | | | | | | | | | |
| | | | 2,254,106 | |
| | | | | | | | | | | | |
| |
Industrials — 1.74% | | | | | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | | | | 35,000 | | | | 38,190 | |
BAE Systems Holdings, Inc. | | | | | |
3.80% | | | 10/07/24 | 1 | | | 25,000 | | | | 27,008 | |
3.85% | | | 12/15/25 | 1 | | | 20,000 | | | | 21,836 | |
BAE Systems PLC | | | | | |
(United Kingdom) | | | | | |
3.40% | | | 04/15/30 | 1,3 | | | 25,000 | | | | 27,003 | |
Berry Global, Inc. | | | | | |
1.57% | | | 01/15/26 | 1 | | | 50,000 | | | | 50,045 | |
4.88% | | | 07/15/26 | 1 | | | 15,000 | | | | 15,769 | |
Boeing Co. (The) | | | | | |
1.43% | | | 02/04/24 | | | | 30,000 | | | | 30,045 | |
|
| See accompanying Notes to Financial Statements. |
|
| 103 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Industrials (continued) | | | | | |
4.88% | | | 05/01/25 | | | $ | 35,000 | | | $ | 38,982 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(LIBOR USD 3-Month plus 0.38%) | | | | | |
0.50% | | | 05/05/26 | 2 | | | 10,000 | | | | 9,903 | |
L3Harris Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 15,000 | | | | 15,818 | |
Sealed Air Corp. | | | | | |
1.57% | | | 10/15/26 | 1 | | | 40,000 | | | | 39,817 | |
Sonoco Products Co. | | | | | |
3.13% | | | 05/01/30 | | | | 60,000 | | | | 64,013 | |
Sydney Airport Finance Co. Pty Ltd. | | | | | |
(Australia) | | | | | |
3.63% | | | 04/28/26 | 1,3 | | | 15,000 | | | | 16,129 | |
3.90% | | | 03/22/23 | 1,3 | | | 75,000 | | | | 78,367 | |
WRKCo, Inc. | | | | | |
3.00% | | | 06/15/33 | | | | 10,000 | | | | 10,448 | |
4.65% | | | 03/15/26 | | | | 15,000 | | | | 17,050 | |
| | | | | | | | | | | | |
| | | | 500,423 | |
| | | | | | | | | | | | |
| |
Information Technology — 2.60% | | | | | |
Amazon.com, Inc. | | | | | |
2.10% | | | 05/12/31 | | | | 105,000 | | | | 106,430 | |
Analog Devices, Inc. | | | | | |
(SOFR Rate plus 0.25%) | | | | | |
0.30% | | | 10/01/24 | 2 | | | 75,000 | | | | 75,115 | |
Apple, Inc. | | | | | |
1.70% | | | 08/05/31 | | | | 140,000 | | | | 136,327 | |
Broadcom, Inc. | | | | | |
3.63% | | | 10/15/24 | | | | 35,000 | | | | 37,795 | |
Fiserv, Inc. | | | | | |
2.65% | | | 06/01/30 | | | | 25,000 | | | | 25,599 | |
Intel Corp. | | | | | |
2.00% | | | 08/12/31 | | | | 60,000 | | | | 59,717 | |
NXP BV/NXP Funding LLC | | | | | |
(Netherlands) | | | | | |
4.63% | | | 06/01/23 | 1,3 | | | 65,000 | | | | 69,200 | |
Oracle Corp. | | | | | |
2.88% | | | 03/25/31 | | | | 150,000 | | | | 154,667 | |
Skyworks Solutions, Inc. | | | | | |
0.90% | | | 06/01/23 | | | | 25,000 | | | | 25,051 | |
VMware, Inc. | | | | | |
1.00% | | | 08/15/24 | | | | 60,000 | | | | 60,213 | |
| | | | | | | | | | | | |
| | | | 750,114 | |
| | | | | | | | | | | | |
| |
Insurance — 2.65% | | | | | |
Aon Corp. | | | | | |
2.80% | | | 05/15/30 | | | | 50,000 | | | | 52,281 | |
3.75% | | | 05/02/29 | | | | 10,000 | | | | 11,139 | |
Athene Global Funding | | | | | |
1.61% | | | 06/29/26 | 1 | | | 45,000 | | | | 44,986 | |
(SOFR Rate plus 0.70%) | | | | | |
0.75% | | | 05/24/24 | 1,2 | | | 65,000 | | | | 65,322 | |
Berkshire Hathaway Finance Corp. | | | | | |
1.85% | | | 03/12/30 | | | | 10,000 | | | | 9,967 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Insurance (continued) | | | | | |
Equitable Financial Life Global Funding | | | | | |
1.80% | | | 03/08/28 | 1 | | $ | 25,000 | | | $ | 24,863 | |
Farmers Exchange Capital | | | | | |
7.05% | | | 07/15/28 | 1 | | | 15,000 | | | | 18,422 | |
Farmers Insurance Exchange | | | | | |
4.75% | | | 11/01/57 | 1,4 | | | 45,000 | | | | 51,156 | |
Marsh & McLennan Cos., Inc. | | | | | |
2.25% | | | 11/15/30 | | | | 70,000 | | | | 70,557 | |
Massachusetts Mutual Life Insurance Co. | | | | | |
3.38% | | | 04/15/50 | 1 | | | 48,000 | | | | 50,337 | |
Metropolitan Life Global Funding I | | | | | |
2.95% | | | 04/09/30 | 1 | | | 75,000 | | | | 80,243 | |
Nationwide Mutual Insurance Co. | | | | | |
2.41% | | | 12/15/24 | 1,4 | | | 40,000 | | | | 40,048 | |
New York Life Insurance Co. | | | | | |
5.88% | | | 05/15/33 | 1 | | | 50,000 | | | | 66,047 | |
Principal Life Global Funding II | | | | | |
0.75% | | | 04/12/24 | 1 | | | 25,000 | | | | 25,025 | |
| Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | | 09/15/54 | 1,4 | | | 80,000 | | | | 83,919 | |
Willis North America, Inc. | | | | | |
2.95% | | | 09/15/29 | | | | 65,000 | | | | 68,013 | |
| | | | | | | | | | | | |
| | | | 762,325 | |
| | | | | | | | | | | | |
| |
Materials — 0.84% | | | | | |
FMC Corp. | | | | | |
3.45% | | | 10/01/29 | | | | 20,000 | | | | 21,607 | |
Georgia-Pacific LLC | | | | | |
2.30% | | | 04/30/30 | 1 | | | 35,000 | | | | 35,705 | |
International Flavors & Fragrances, Inc. | | | | | |
1.23% | | | 10/01/25 | 1 | | | 50,000 | | | | 49,609 | |
2.30% | | | 11/01/30 | 1 | | | 85,000 | | | | 84,331 | |
Sherwin-Williams Co. (The) | | | | | |
2.30% | | | 05/15/30 | | | | 50,000 | | | | 50,434 | |
| | | | | | | | | | | | |
| | | | 241,686 | |
| | | | | | | | | | | | |
| |
| Real Estate Investment Trust (REIT) — 4.76% | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | |
3.80% | | | 04/15/26 | | | | 5,000 | | | | 5,524 | |
4.50% | | | 07/30/29 | | | | 18,000 | | | | 20,930 | |
American Assets Trust LP | | | | | |
3.38% | | | 02/01/31 | | | | 25,000 | | | | 25,898 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.30% | | | 07/15/26 | | | | 15,000 | | | | 16,069 | |
3.63% | | | 11/15/27 | | | | 5,000 | | | | 5,475 | |
3.75% | | | 04/15/23 | | | | 20,000 | | | | 20,830 | |
3.88% | | | 01/30/31 | | | | 110,000 | | | | 122,965 | |
American Homes 4 Rent LP | | | | | |
2.38% | | | 07/15/31 | | | | 30,000 | | | | 29,751 | |
American Tower Corp. | | | | | |
2.90% | | | 01/15/30 | | | | 50,000 | | | | 52,087 | |
3.55% | | | 07/15/27 | | | | 15,000 | | | | 16,357 | |
Boston Properties LP | | | | | |
2.75% | | | 10/01/26 | | | | 10,000 | | | | 10,559 | |
3.25% | | | 01/30/31 | | | | 15,000 | | | | 15,908 | |
3.40% | | | 06/21/29 | | | | 25,000 | | | | 27,098 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 104 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
| Real Estate Investment Trust (REIT) (continued) | |
| CC Holdings GS V LLC/Crown Castle GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | $ | 15,000 | | | $ | 15,754 | |
Crown Castle International Corp. | | | | | |
3.30% | | | 07/01/30 | | | | 70,000 | | | | 74,653 | |
CubeSmart LP | | | | | |
4.38% | | | 02/15/29 | | | | 15,000 | | | | 17,105 | |
CyrusOne LP/CyrusOne Finance Corp. | | | | | |
2.90% | | | 11/15/24 | | | | 40,000 | | | | 41,969 | |
3.45% | | | 11/15/29 | | | | 85,000 | | | | 88,620 | |
Essex Portfolio LP | | | | | |
2.65% | | | 03/15/32 | | | | 10,000 | | | | 10,135 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.35% | | | 09/01/24 | | | | 15,000 | | | | 15,912 | |
4.00% | | | 01/15/30 | | | | 30,000 | | | | 32,460 | |
5.30% | | | 01/15/29 | | | | 60,000 | | | | 69,873 | |
Healthcare Realty Trust, Inc. | | | | | |
3.88% | | | 05/01/25 | | | | 20,000 | | | | 21,567 | |
Healthcare Trust of America Holdings LP | | | | | |
2.00% | | | 03/15/31 | | | | 55,000 | | | | 52,775 | |
3.10% | | | 02/15/30 | | | | 15,000 | | | | 15,796 | |
Healthpeak Properties, Inc. | | | | | |
4.00% | | | 06/01/25 | | | | 65,000 | | | | 71,025 | |
Host Hotels & Resorts LP, | | | | | |
Series D | | | | | |
3.75% | | | 10/15/23 | | | | 55,000 | | | | 57,660 | |
Hudson Pacific Properties LP | | | | | |
3.95% | | | 11/01/27 | | | | 60,000 | | | | 65,754 | |
4.65% | | | 04/01/29 | | | | 15,000 | | | | 17,231 | |
Kilroy Realty LP | | | | | |
2.50% | | | 11/15/32 | | | | 25,000 | | | | 24,619 | |
3.05% | | | 02/15/30 | | | | 5,000 | | | | 5,247 | |
4.38% | | | 10/01/25 | | | | 15,000 | | | | 16,718 | |
Lexington Realty Trust | | | | | |
2.38% | | | 10/01/31 | | | | 25,000 | | | | 24,307 | |
2.70% | | | 09/15/30 | | | | 25,000 | | | | 25,330 | |
Life Storage LP | | | | | |
2.20% | | | 10/15/30 | | | | 40,000 | | | | 39,657 | |
| MGM Growth Properties Operating Partnership LP/MGP | | | | | |
Finance Co.-Issuer, Inc. | | | | | |
4.63% | | | 06/15/25 | 1 | | | 50,000 | | | | 54,060 | |
Mid-America Apartments LP | | | | | |
1.70% | | | 02/15/31 | | | | 20,000 | | | | 19,008 | |
Piedmont Operating Partnership LP | | | | | |
2.75% | | | 04/01/32 | | | | 25,000 | | | | 24,648 | |
SL Green Operating Partnership LP | | | | | |
3.25% | | | 10/15/22 | | | | 35,000 | | | | 35,879 | |
UDR, Inc. | | | | | |
(MTN) | | | | | |
4.40% | | | 01/26/29 | | | | 10,000 | | | | 11,398 | |
Ventas Realty LP | | | | | |
2.50% | | | 09/01/31 | | | | 25,000 | | | | 24,731 | |
3.00% | | | 01/15/30 | | | | 15,000 | | | | 15,614 | |
4.13% | | | 01/15/26 | | | | 10,000 | | | | 11,054 | |
| | | | | | | | | | | | |
| | | | 1,370,010 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Retail — 0.58% | | | | | |
7-Eleven, Inc. | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
0.58% | | | 08/10/22 | 1,2 | | $ | 16,000 | | | $ | 16,004 | |
Alimentation Couche-Tard, Inc. | | | | | |
(Canada) | | | | | |
2.95% | | | 01/25/30 | 1,3 | | | 60,000 | | | | 62,443 | |
3.80% | | | 01/25/50 | 1,3 | | | 20,000 | | | | 21,386 | |
Home Depot, Inc. (The) | | | | | |
3.90% | | | 12/06/28 | | | | 10,000 | | | | 11,454 | |
Starbucks Corp. | | | | | |
2.00% | | | 03/12/27 | | | | 10,000 | | | | 10,259 | |
2.55% | | | 11/15/30 | | | | 45,000 | | | | 46,310 | |
| | | | | | | | | | | | |
| | | | 167,856 | |
| | | | | | | | | | | | |
| |
Services — 0.95% | | | | | |
IHS Markit Ltd. | | | | | |
(Bermuda) | | | | | |
4.75% | | | 08/01/28 | 3 | | | 75,000 | | | | 87,908 | |
5.00% | | | 11/01/22 | 1,3 | | | 25,000 | | | | 25,954 | |
Northwestern University | | �� | | | |
3.69% | | | 12/01/38 | | | | 20,000 | | | | 23,838 | |
RELX Capital, Inc. | | | | | |
3.00% | | | 05/22/30 | | | | 30,000 | | | | 31,859 | |
4.00% | | | 03/18/29 | | | | 20,000 | | | | 22,523 | |
Republic Services, Inc. | | | | | |
2.90% | | | 07/01/26 | | | | 15,000 | | | | 15,976 | |
Waste Connections, Inc. | | | | | |
(Canada) | | | | | |
2.60% | | | 02/01/30 | 3 | | | 65,000 | | | | 66,989 | |
| | | | | | | | | | | | |
| | | | 275,047 | |
| | | | | | | | | | | | |
| |
Transportation — 0.61% | | | | | |
Burlington Northern Santa Fe LLC | | | | | |
4.40% | | | 03/15/42 | | | | 4,000 | | | | 4,885 | |
Continental Airlines Pass-Through Trust, | | | | | |
Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 14,355 | | | | 14,544 | |
Delta Air Lines Pass-Through Trust, | | | | | |
Series 2020-1, Class AA | | | | | |
2.00% | | | 06/10/28 | | | | 23,505 | | | | 23,504 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2019-1, Class AA | | | | | |
2.75% | | | 05/15/32 | | | | 30,988 | | | | 31,122 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 3,544 | | | | 3,653 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 18,121 | | | | 19,258 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 43,790 | | | | 46,354 | |
|
| See accompanying Notes to Financial Statements. |
|
| 105 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Transportation (continued) | | | | | |
Union Pacific Corp. | | | | | |
2.89% | | | 04/06/36 | 1 | | $ | 30,000 | | | $ | 31,209 | |
| | | | | | | | | | | | |
| | | | 174,529 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $16,361,791) | | | | 16,576,099 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 14.33%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 5.03% | |
BANK, | | | | | |
Series 2018-BN10, Class XA (IO) | | | | | |
0.87% | | | 02/15/61 | 4 | | | 266,022 | | | | 10,415 | |
BANK, | | | | | |
Series 2019-BN16, Class A4 | | | | | |
4.01% | | | 02/15/52 | | | | 85,000 | | | | 96,831 | |
BANK, | | | | | |
Series 2019-BN17, Class A4 | | | | | |
3.71% | | | 04/15/52 | | | | 55,000 | | | | 61,503 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2013-GC11, Class XA (IO) | | | | | |
1.50% | | | 04/10/46 | 4 | | | 3,447,162 | | | | 56,234 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2013-GC15, Class XA (IO) | | | | | |
1.00% | | | 09/10/46 | 4 | | | 1,264,218 | | | | 16,655 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2014-GC25, Class XA (IO) | | | | | |
1.11% | | | 10/10/47 | 4 | | | 603,098 | | | | 14,803 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-CR7, Class XA (IO) | | | | | |
1.32% | | | 03/10/46 | 4 | | | 503,587 | | | | 6,879 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-CR9, Class XA (IO) | | | | | |
0.08% | | | 07/10/45 | 4 | | | 15,267,493 | | | | 10,932 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-LC6, Class XA (IO) | | | | | |
1.43% | | | 01/10/46 | 4 | | | 2,119,950 | | | | 23,946 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-CR19, Class XA (IO) | | | | | |
1.11% | | | 08/10/47 | 4 | | | 618,257 | | | | 13,944 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS2, Class XA (IO) | | | | | |
1.29% | | | 03/10/47 | 4 | | | 899,595 | | | | 19,848 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS3, Class XA (IO) | | | | | |
1.23% | | | 06/10/47 | 4 | | | 1,806,193 | | | | 43,047 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS5, Class XA (IO) | | | | | |
1.01% | | | 09/10/47 | 4,5,6 | | | 2,092,779 | | | | 42,948 | |
Commercial Mortgage Trust, | | | | | |
Series 2015-3BP, Class XA (IO) | | | | | |
0.17% | | | 02/10/35 | 1,4 | | | 8,554,000 | | | | 27,407 | |
CSMC Trust, | | | | | |
Series 2016-NXSR, Class XA (IO) | | | | | |
0.89% | | | 12/15/49 | 4 | | | 396,668 | | | | 10,154 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Corp. II, | | | | | |
Series 2013-GC10, Class XA (IO) | | | | | |
1.63% | | | 02/10/46 | 4 | | $ | 3,133,941 | | | $ | 48,201 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2020-UPTN, Class XA (IO) | | | | | |
0.45% | | | 02/10/37 | 1,4 | | | 375,000 | | | | 4,264 | |
GS Mortgage Securities Trust, | | | | | |
Series 2010-C1, Class X (IO) | | | | | |
0.89% | | | 08/10/43 | 1,4 | | | 4,813,447 | | | | 58,305 | |
GS Mortgage Securities Trust, | | | | | |
Series 2011-GC5, Class XA (IO) | | | | | |
0.09% | | | 08/10/44 | 1,4 | | | 293,901 | | | | 3 | |
GS Mortgage Securities Trust, | | | | | |
Series 2013-GC14, Class XA (IO) | | | | | |
0.71% | | | 08/10/46 | 4 | | | 4,585,501 | | | | 40,845 | |
GS Mortgage Securities Trust, | | | | | |
Series 2014-GC20, Class XA (IO) | | | | | |
1.16% | | | 04/10/47 | 4 | | | 1,361,130 | | | | 27,787 | |
GS Mortgage Securities Trust, | | | | | |
Series 2016-GS3, Class XA (IO) | | | | | |
1.34% | | | 10/10/49 | 4 | | | 216,612 | | | | 10,793 | |
GS Mortgage Securities Trust, | | | | | |
Series 2017-GS7, Class XA (IO) | | | | | |
1.26% | | | 08/10/50 | 4 | | | 98,282 | | | | 4,870 | |
GS Mortgage Securities Trust, | | | | | |
Series 2019-GC42, Class A4 | | | | | |
3.00% | | | 09/01/52 | | | | 50,000 | | | | 53,667 | |
JPMBB Commercial Mortgage Securities Trust | | | | | |
Series 2014-C22, Class XA (IO) | | | | | |
0.98% | | | 09/15/47 | 4 | | | 1,972,131 | | | | 39,334 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C25, Class XA (IO) | | | | | |
0.98% | | | 11/15/47 | 4 | | | 1,539,709 | | | | 34,438 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2015-C29, Class XA (IO) | | | | | |
0.78% | | | 05/15/48 | 4 | | | 532,832 | | | | 10,349 | |
JPMDB Commercial Mortgage Securities Trust, | | | | | |
Series 2017-C7, Class XA (IO) | | | | | |
0.99% | | | 10/15/50 | 4 | | | 259,769 | | | | 10,729 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2010-C2, Class XB (IO) | | | | | |
0.83% | | | 11/15/43 | 1,4 | | | 991,779 | | | | 1,522 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-LC9, Class XA (IO) | | | | | |
1.54% | | | 12/15/47 | 4 | | | 1,202,368 | | | | 14,335 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2018-LAQ, Class A | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
1.08% | | | 06/15/32 | 1,2 | | | 5,564 | | | | 5,570 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-OSB, Class A | | | | | |
3.40% | | | 06/05/39 | 1 | | | 5,000 | | | | 5,491 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C8, Class XA (IO) | | | | | |
1.04% | | | 12/15/48 | 4 | | | 2,951,238 | | | | 27,161 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 106 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C19, Class XA (IO) | | | | | |
1.12% | | | 12/15/47 | 4 | | $ | 1,882,733 | | | $ | 47,237 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C22, Class XA (IO) | | | | | |
1.16% | | | 04/15/48 | 4 | | | 694,668 | | | | 18,898 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2012-C4, Class A4 | | | | | |
3.24% | | | 03/15/45 | | | | 10,381 | | | | 10,457 | |
Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2020-2PAC, Class XB (IO) | | | | | |
0.95% | | | 12/15/38 | 1,4 | | | 570,000 | | | | 15,359 | |
SG Commercial Mortgage Securities Trust, | | | | | |
Series 2019-787E, Class E | | | | | |
4.66% | | | 02/15/41 | 1,4 | | | 50,000 | | | | 51,849 | |
UBS-Barclays Commercial Mortgage Trust, | | | | | |
Series 2012-C3, Class XB (IO) | | | | | |
0.32% | | | 08/10/49 | 1,4,5,6 | | | 3,700,000 | | | | 7,652 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2014-LC16, Class XA (IO) | | | | | |
1.24% | | | 08/15/50 | 4 | | | 351,554 | | | | 8,199 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2014-LC18, Class XA (IO) | | | | | |
1.18% | | | 12/15/47 | 4 | | | 5,029,801 | | | | 132,562 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2015-NXS2, Class XA (IO) | | | | | |
0.80% | | | 07/15/58 | 4 | | | 2,255,578 | | | | 45,872 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2015-SG1, Class A4 | | | | | |
3.79% | | | 09/15/48 | | | | 39,470 | | | | 42,358 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2012-C7, Class XA (IO) | | | | | |
1.45% | | | 06/15/45 | 1,4 | | | 5,563,011 | | | | 37,315 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C19, Class XA (IO) | | | | | |
1.17% | | | 03/15/47 | 4 | | | 7,940,933 | | | | 142,957 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-LC14, Class XA (IO) | | | | | |
1.43% | | | 03/15/47 | 4 | | | 1,387,911 | | | | 33,259 | |
| | | | | |
| | | | 1,447,184 | |
| | | | | |
| |
Non-Agency Mortgage-Backed — 2.69% | | | | | |
American Home Mortgage Investment Trust, | | | | | |
Series 2004-4, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.77% | | | 02/25/45 | 2 | | | 92,744 | | | | 93,029 | |
Banc of America Funding Trust, | | | | | |
Series 2014-R7, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | | 09/26/36 | 1,2 | | | 22,558 | | | | 22,335 | |
Bear Stearns ARM Trust, | | | | | |
Series 2004-1, Class 12A5 | | | | | |
2.80% | | | 04/25/34 | 4 | | | 8,354 | | | | 8,477 | |
CIM Trust, | | | | | |
Series 2021-R4, Class A1A | | | | | |
2.00% | | | 05/01/61 | 1,4 | | | 92,073 | | | | 92,407 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Galton Funding Mortgage Trust, | | | | | |
Series 2018-2, Class A22 | | | | | |
4.00% | | | 10/25/58 | 1,4 | | $ | 32,488 | | | $ | 33,020 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2005-AR6, Class 2A1 | | | | | |
2.86% | | | 09/25/35 | 4 | | | 13,849 | | | | 14,277 | |
Impac CMB Trust, | | | | | |
Series 2004-6, Class 1A2 | | | | | |
(LIBOR USD 1-Month plus 0.78%) | | | | | |
0.87% | | | 10/25/34 | 2 | | | 115,302 | | | | 115,761 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-FLX3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | | 06/25/37 | 2 | | | 91,316 | | | | 91,977 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2005-A3, Class 2A1 | | | | | |
2.67% | | | 06/25/35 | 4 | | | 5,258 | | | | 5,469 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2004-5AR, Class 3A1 | | | | | |
2.30% | | | 07/25/34 | 4 | | | 14,793 | | | | 15,452 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2005-5AR, Class 1M3 | | | | | |
(LIBOR USD 1-Month plus 0.83%) | | | | | |
0.91% | | | 09/25/35 | 2 | | | 100,000 | | | | 100,276 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2004-AR1, Class 1A2 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | | 03/19/34 | 2 | | | 1,847 | | | | 1,777 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR1, Class A2A1 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.77% | | | 01/25/45 | 2 | | | 109,649 | | | | 109,848 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR13, Class A1A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.45%) | | | | | |
1.54% | | | 10/25/45 | 2 | | | 71,556 | | | | 71,787 | |
| | | | | |
| | | | 775,892 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 1.08% | |
Fannie Mae-Aces, | | | | | |
Series 2016-M11, Class X2 (IO) | | | | | |
2.97% | | | 07/25/39 | 4 | | | 533,117 | | | | 18,663 | |
Fannie Mae-Aces, | | | | | |
Series 2016-M2, Class X3 (IO) | | | | | |
2.10% | | | 04/25/36 | 4 | | | 107,833 | | | | 1,095 | |
Fannie Mae-Aces, | | | | | |
Series 2016-M4, Class X2 (IO) | | | | | |
2.70% | | | 01/25/39 | 4 | | | 592,278 | | | | 25,442 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K020, Class X1 (IO) | | | | | |
1.47% | | | 05/25/22 | 4 | | | 1,713,928 | | | | 8,111 | |
|
| See accompanying Notes to Financial Statements. |
|
| 107 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K025, Class X1 (IO) | | | | | |
0.91% | | | 10/25/22 | 4 | | $ | 728,958 | | | $ | 4,833 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K049, Class X3 (IO) | | | | | |
1.60% | | | 10/25/43 | 4 | | | 250,000 | | | | 13,367 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K717, Class X3 (IO) | | | | | |
1.65% | | | 11/25/42 | 4 | | | 409,318 | | | | 388 | |
Freddie Mac Multifamily Structured
Pass-Through Certificates, | | | | | |
Series K721, Class X1 (IO) | | | | | |
0.42% | | | 08/25/22 | 4 | | | 33,013,810 | | | | 72,653 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K722, Class X1 (IO) | | | | | |
1.44% | | | 03/25/23 | 4 | | | 2,147,395 | | | | 27,603 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KC01, Class X1 (IO) | | | | | |
0.55% | | | 12/25/22 | 4 | | | 2,510,717 | | | | 10,927 | |
Freddie Mac Multifamily Structured
Pass-Through Certificates, | | | | | |
Series KC05, Class X1 (IO) | | | | | |
1.34% | | | 06/25/27 | 4 | | | 1,755,614 | | | | 82,910 | |
Ginnie Mae, | | | | | |
Series 2012-112, Class IO (IO) | | | | | |
0.15% | | | 02/16/53 | 4 | | | 3,262,808 | | | | 18,228 | |
Ginnie Mae, | | | | | |
Series 2013-1, Class IO (IO) | | | | | |
0.58% | | | 02/16/54 | 4 | | | 534,349 | | | | 9,116 | |
Ginnie Mae, | | | | | |
Series 2013-125, Class IO (IO) | | | | | |
0.22% | | | 10/16/54 | 4 | | | 1,156,967 | | | | 18,639 | |
| | | | | |
| | | | 311,975 | |
| | | | | |
| |
U.S. Agency Mortgage-Backed — 5.53% | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2011-116, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
5.91% | | | 11/25/41 | 2 | | | 118,554 | | | | 16,113 | |
Fannie Mae REMICS, | | | | | |
Series 2012-128, Class UA | | | | | |
2.50% | | | 06/25/42 | | | | 40,186 | | | | 40,883 | |
Fannie Mae REMICS, | | | | | |
Series 2013-5, Class GF | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
1.19% | | | 10/25/42 | 2 | | | 42,630 | | | | 43,018 | |
Freddie Mac REMICS, | | | | | |
Series 4064, Class TB | | | | | |
3.50% | | | 06/15/42 | | | | 103,000 | | | | 108,337 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac Strips, | | | | | |
Series 240, Class IO (IO) | | | | | |
5.50% | | | 07/15/36 | | | $ | 203,491 | | | $ | 43,886 | |
Ginnie Mae, | | | | | |
Series 2003-110, Class S (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | | 10/20/33 | 2 | | | 243,552 | | | | 46,176 | |
Ginnie Mae, | | | | | |
Series 2018-124, Class NW | | | | | |
3.50% | | | 09/20/48 | | | | 35,082 | | | | 37,666 | |
Ginnie Mae, | | | | | |
Series 2018-154, Class BP | | | | | |
3.50% | | | 11/20/48 | | | | 5,169 | | | | 5,396 | |
Ginnie Mae, | | | | | |
Series 2019-15, Class GT | | | | | |
3.50% | | | 02/20/49 | | | | 33,580 | | | | 35,901 | |
UMBS (TBA) | | | | | |
2.00% | | | 11/01/51 | | | | 725,000 | | | | 725,521 | |
2.50% | | | 11/01/51 | | | | 475,000 | | | | 488,786 | |
| | | | | |
| | | | 1,591,683 | |
| | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $4,796,807) | | | | 4,126,734 | |
| | | | | |
| |
MUNICIPAL BONDS — 2.17%* | | | | | |
| |
California — 0.70% | | | | | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR | | | | | |
5.75% | | | 07/01/34 | | | | 25,000 | | | | 33,110 | |
5.76% | | | 07/01/29 | | | | 80,000 | | | | 98,651 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY | | | | | |
6.76% | | | 07/01/34 | | | | 10,000 | | | | 14,144 | |
| 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 | | | | 10,099 | |
| Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
5.88% | | | 04/01/32 | | | | 20,000 | | | | 24,734 | |
| Santa Monica Community College District General Obligation Bonds | | | | | |
2.05% | | | 08/01/33 | | | | 20,000 | | | | 19,972 | |
| | | | | |
| | | | 200,710 | |
| | | | | |
| |
Florida — 0.06% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 15,000 | | | | 16,102 | |
| | | | | |
| |
Maryland — 0.05% | | | | | |
City of Baltimore Revenue Bonds, Series B | | | | | |
2.13% | | | 07/01/33 | | | | 15,000 | | | | 14,846 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 108 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
| |
MUNICIPAL BONDS (continued) | | | | | |
| |
Massachusetts — 0.05% | | | | | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | | 10/15/32 | | | $ | 15,000 | | | $ | 15,858 | |
| | | | | |
| |
New York — 1.31% | | | | | |
| City of New York General Obligation Bonds, Series D | | | | | |
1.92% | | | 08/01/31 | | | | 30,000 | | | | 29,496 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 5,605 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.50% | | | 11/01/33 | | | | 50,000 | | | | 51,252 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | | 02/01/33 | | | | 100,000 | | | | 98,081 | |
| New York State Dormitory Authority Revenue Bonds, School Improvements, Series F | | | | | |
2.96% | | | 02/15/32 | | | | 25,000 | | | | 26,888 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | | 75,000 | | | | 75,513 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | | 03/15/33 | | | | 50,000 | | | | 61,568 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B | | | | | |
2.97% | | | 03/15/34 | | | | 15,000 | | | | 15,766 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F | | | | | |
2.00% | | | 03/15/33 | | | | 15,000 | | | | 14,537 | |
| | | | | |
| | | | 378,706 | |
| | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $628,027) | | | | 626,222 | |
| | | | | |
| |
U.S. TREASURY SECURITIES — 22.73% | | | | | |
| |
U.S. Treasury Notes — 22.73% | | | | | |
U.S. Treasury Notes | | | | | |
0.13% | | | 07/31/23 | | | | 1,785,000 | | | | 1,781,334 | |
0.13% | | | 08/31/23 | | | | 2,550,000 | | | | 2,543,426 | |
0.25% | | | 09/30/23 | | | | 1,155,000 | | | | 1,154,188 | |
0.75% | | | 08/31/26 | | | | 590,000 | | | | 583,754 | |
0.88% | | | 09/30/26 | | | | 405,000 | | | | 402,868 | |
1.25% | | | 08/15/31 | | | | 85,000 | | | | 82,948 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $6,638,772) | | | | 6,548,518 | |
| | | | | | | | | | | | |
|
Total Bonds — 102.07% | |
(Cost $29,916,857) | | | | | | | | 29,399,915 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value | |
|
SHORT-TERM INVESTMENTS — 0.10% | |
|
Money Market Funds — 0.10% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%7 | | | 27,530 | | | $ | 27,530 | |
| | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $27,530) | |
|
Total Investments - 102.17% | |
(Cost $29,944,387) | | | | 29,427,445 | |
| | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (2.17)% | | | | (624,136 | ) |
| | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 28,803,309 | |
| | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $102,822, which is 0.36% of total net assets. |
| 7 | Represents the current yield as of September 30, 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
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(SOFR): Secured Overnight Financing Rate
(TBA): To-Be-Announced
(USD): U.S. Dollar
|
| See accompanying Notes to Financial Statements. |
|
| 109 / Semi-Annual Report September 2021 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 24 | | | | 12/31/21 | | | $ | 2,945,813 | | | $ | (14,439) | | | $ | (14,439) | |
U.S. Treasury Two-Year Note | | | 12 | | | | 12/31/21 | | | | 2,640,656 | | | | (1,524) | | | | (1,524) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 5,586,469 | | | | (15,963) | | | | (15,963) | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 19 | | | | 12/21/21 | | | | (2,759,750) | | | | 44,649 | | | | 44,649 | |
U.S. Treasury Ultra Bond | | | 3 | | | | 12/21/21 | | | | (573,188) | | | | 18,079 | | | | 18,079 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (3,332,938) | | | | 62,728 | | | | 62,728 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 2,253,531 | | | $ | 46,765 | | | $ | 46,765 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | |
| | | | | | | | | | |
| Description | | Put/ Call | | | Maturity Date | | | Rate | | Frequency | | Rate | | Frequency | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
| | | | | | | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | | Call | | | | 07/24/53 | | | 3-month USD LIBOR | | Quarterly | | 1.77% | | Semi-annually | | $ | 40 | | | $ | 1,793 | | | $ | — | | | $ | 1,793 | |
| Interest Rate Swap1 | | | Call | | | | 07/24/53 | | | 3-month USD LIBOR | | Quarterly | | 1.79% | | Semi-annually | | | 25 | | | | 1,050 | | | | — | | | | 1,050 | |
| Interest Rate Swap1 | | | Call | | | | 07/24/53 | | | 3-month USD LIBOR | | Quarterly | | 1.81% | | Semi-annually | | | 20 | | | | 739 | | | | — | | | | 739 | |
| Interest Rate Swap1 | | | Call | | | | 09/28/53 | | | 3-month USD LIBOR | | Quarterly | | 1.87% | | Semi-annually | | | 85 | | | | 2,077 | | | | — | | | | 2,077 | |
| Interest Rate Swap1 | | | Call | | | | 07/24/25 | | | 1.03% | | Semi-annually | | 3-month USD LIBOR | | Quarterly | | | 470 | | | | (2,781) | | | | — | | | | (2,781) | |
| Interest Rate Swap1 | | | Call | | | | 07/24/25 | | | 1.03% | | Semi-annually | | 3-month USD LIBOR | | Quarterly | | | 340 | | | | (1,959) | | | | — | | | | (1,959) | |
| Interest Rate Swap1 | | | Call | | | | 07/24/25 | | | 1.07% | | Semi-annually | | 3-month USD LIBOR | | Quarterly | | | 235 | | | | (1,174) | | | | — | | | | (1,174) | |
| Interest Rate Swap1 | | | Call | | | | 09/28/25 | | | 1.39% | | Semi-annually | | 3-month USD LIBOR | | Quarterly | | | 1,010 | | | | (323) | | | | — | | | | (323) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | $ | 2,225 | | | $ | (578) | | | $ | — | | | $ | (578) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 110 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 111.49% | | | | | |
|
ASSET-BACKED SECURITIES — 16.93%** | |
Access Group, Inc., | |
Series 2015-1, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | | 07/25/56 | 1,2 | | $ | 1,328,067 | | | $ | 1,325,769 | |
Accredited Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 02/25/37 | 2 | | | 5,016,442 | | | | 4,984,596 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-OP1, Class A2D | |
(LIBOR USD 1-Month plus 0.48%) | |
0.57% | | | 04/25/36 | 2 | | | 8,982,033 | | | | 8,785,149 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- | | | | | |
Through Certificates, | |
Series 2005-R1, Class M3 | |
(LIBOR USD 1-Month plus 0.80%) | |
0.88% | | | 03/25/35 | 2 | | | 4,205,135 | | | | 4,204,746 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- | | | | | |
Through Certificates, | |
Series 2005-R9, Class M1 | |
(LIBOR USD 1-Month plus 0.71%) | |
0.79% | | | 11/25/35 | 2 | | | 15,068,765 | | | | 15,083,834 | |
AMMC CLO 19 Ltd., | |
Series 2016-19A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 10/16/28 | 1,2,3 | | | 1,494,607 | | | | 1,494,771 | |
AMMC CLO XIII Ltd., | |
Series 2013-13A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 07/24/29 | 1,2,3 | | | 6,050,000 | | | | 6,050,787 | |
Amresco Residential Securities Corp. Mortgage Loan Trust, | | | | | |
Series 1998-1, Class A5 (STEP-reset date 11/25/21) | |
7.37% | | | 10/25/27 | | | | 4,274 | | | | 4,338 | |
Arbor Realty Commercial Real Estate Notes Ltd., | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.15%) | |
1.23% | | | 05/15/37 | 1,2,3 | | | 14,230,000 | | | | 14,244,862 | |
Argent Securities, Inc., Asset-Backed Pass-Through | | | | | |
Certificates, | |
Series 2005-W2, Class M1 | |
(LIBOR USD 1-Month plus 0.74%) | |
0.82% | | | 10/25/35 | 2 | | | 7,567,157 | | | | 7,577,476 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE3, Class A5 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | | 03/25/36 | 2 | | | 3,450,121 | | | | 3,463,358 | |
Barings CLO Ltd., | |
Series 2016-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.08%) | |
1.21% | | | 07/20/28 | 1,2,3 | | | 4,232,964 | | | | 4,237,392 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Barings CLO Ltd., | |
Series 2018-3A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | | 07/20/29 | 1,2,3 | | $ | 3,877,000 | | | $ | 3,878,353 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | | 04/25/35 | 1,2 | | | 142,122 | | | | 139,594 | |
BlueMountain CLO Ltd., | |
Series 2012-2A, Class AR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 11/20/28 | 1,2,3 | | | 3,710,553 | | | | 3,711,406 | |
BNC Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 1-Month plus 0.16%) | |
0.25% | | | 03/25/37 | 2 | | | 7,050,743 | | | | 6,773,829 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 02/25/30 | 2 | | | 60,034 | | | | 60,286 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 10/27/36 | 2 | | | 5,075,000 | | | | 5,137,658 | |
BSPRT Issuer Ltd., | |
Series 2018-FL4, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.05%) | |
1.13% | | | 09/15/35 | 1,2,3 | | | 3,312,727 | | | | 3,313,591 | |
Canyon Capital CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 04/15/34 | 1,2,3 | | | 1,800,000 | | | | 1,800,898 | |
Chase Funding Trust, | |
Series 2002-2, Class 2A1 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 05/25/32 | 2 | | | 2,087,067 | | | | 2,074,636 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH2, Class M2 | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 08/25/36 | 2 | | | 10,113,000 | | | | 10,039,853 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH4, Class A2C | |
(LIBOR USD 1-Month plus 1.30%) | |
1.39% | | | 07/25/37 | 2 | | | 26,733 | | | | 26,721 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2006-14, Class 2A3 | |
(LIBOR USD 1-Month plus 0.24%) | |
0.33% | | | 02/25/37 | 2 | | | 3,473,258 | | | | 3,382,049 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2007-8, Class 1A1 | |
(LIBOR USD 1-Month plus 0.19%) | |
0.28% | | | 11/25/37 | 2 | | | 9,950,103 | | | | 9,679,044 | |
|
| See accompanying Notes to Financial Statements. |
|
| 111 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB4, Class A1A | |
(LIBOR USD 1-Month plus 0.09%) | |
0.18% | | | 04/25/37 | 2 | | $ | 2,395,087 | | | $ | 2,330,786 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A1 | |
(LIBOR USD 1-Month plus 0.06%) | |
0.15% | | | 04/25/37 | 2 | | | 2,254,928 | | | | 1,685,906 | |
Dryden 33 Senior Loan Fund, | |
Series 2014-33A, Class AR3 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 04/15/29 | 1,2,3 | | | 6,368,859 | | | | 6,369,241 | |
Education Loan Asset-Backed Trust I, | |
Series 2013-1, Class A2 | |
(LIBOR USD 1-Month plus 0.80%) | |
0.89% | | | 04/26/32 | 1,2 | | | 7,129,863 | | | | 7,133,232 | |
Encore Credit Receivables Trust, | |
Series 2005-3, Class M4 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 10/25/35 | 2 | | | 7,017,000 | | | | 7,033,876 | |
FFMLT Trust, | |
Series 2005-FF8, Class M2 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 09/25/35 | 2 | | | 3,758,016 | | | | 3,771,699 | |
First Franklin Mortgage Loan Trust, | |
Series 2004-FF5, Class A3C | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | | 08/25/34 | 2 | | | 522,264 | | | | 529,228 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF5, Class 2A5 (PO) | |
0.00% | | | 04/25/36 | 4 | | | 4,875,761 | | | | 4,839,961 | |
GMACM Home Equity Loan Trust, | |
Series 2000-HE2, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.61% | | | 06/25/30 | 2 | | | 75,903 | | | | 74,372 | |
Goal Capital Funding Trust, | |
Series 2006-1, Class B | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | | 08/25/42 | 2 | | | 1,891,273 | | | | 1,769,753 | |
Grand Avenue CRE Ltd., | |
Series 2020-FL2, Class C | |
(Cayman Islands) | |
(SOFR30A plus 3.73%) | |
3.78% | | | 03/15/35 | 1,2,3 | | | 2,710,000 | | | | 2,731,715 | |
Grand Avenue CRE, | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.12%) | |
1.20% | | | 06/15/37 | 1,2,3 | | | 3,431,896 | | | | 3,430,869 | |
GSAMP Trust, | |
Series 2005-HE4, Class M3 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 07/25/45 | 2 | | | 2,442,035 | | | | 2,447,716 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
GSAMP Trust, | |
Series 2006-NC1, Class A3 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 02/25/36 | 2 | | $ | 2,602,267 | | | $ | 2,601,006 | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 05/25/34 | 1,2 | | | 610,744 | | | | 613,277 | |
| IndyMac Manufactured Housing Contract Pass-Through | | | | | |
Certificates, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 294,400 | | | | 304,508 | |
Invitation Homes Trust, | |
Series 2018-SFR2, Class B | |
(LIBOR USD 1-Month plus 1.08%) | |
1.16% | | | 06/17/37 | 1,2 | | | 5,844,082 | | | | 5,844,853 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | | 01/17/73 | 1 | | | 3,254,895 | | | | 3,653,971 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2005-FRE1, Class M1 | |
(LIBOR USD 1-Month plus 0.62%) | |
0.70% | | | 10/25/35 | 2 | | | 7,615,305 | | | | 7,608,237 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-NC1, Class M1 | |
(LIBOR USD 1-Month plus 0.48%) | |
0.57% | | | 04/25/36 | 2 | | | 6,000,000 | | | | 5,924,574 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH2, Class AV5 | |
(LIBOR USD 1-Month plus 0.26%) | |
0.35% | | | 01/25/37 | 2 | | | 598,798 | | | | 599,326 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AV4 | |
(LIBOR USD 1-Month plus 0.28%) | |
0.37% | | | 03/25/47 | 2 | | | 50,000 | | | | 48,653 | |
LCM XXIV Ltd., | |
Series 24A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
1.11% | | | 03/20/30 | 1,2,3 | | | 4,500,000 | | | | 4,504,410 | |
Lehman ABS Manufactured Housing Contract Trust, | |
Series 2001-B, Class AIOC (IO) | |
0.55% | | | 04/15/40 | 5,6,7 | | | 71,482,571 | | | | 1,147,703 | |
LoanCore Issuer Ltd., | |
Series 2018-CRE1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | | 05/15/28 | 1,2,3 | | | 2,958,689 | | | | 2,959,428 | |
Long Beach Mortgage Loan Trust, | |
Series 2005-WL3, Class M1 | |
(LIBOR USD 1-Month plus 0.65%) | |
0.73% | | | 11/25/35 | 2 | | | 3,272,341 | | | | 3,261,344 | |
Madison Park Funding XIX Ltd., | |
Series 2015-19A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.92%) | |
1.06% | | | 01/22/28 | 1,2,3 | | | 6,166,189 | | | | 6,168,428 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 112 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Madison Park Funding XVII Ltd., | |
Series 2015-17A, Class AR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 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%) | |
0.93% | | | 01/15/28 | 1,2,3 | | | 5,522,296 | | | | 5,513,239 | |
Marathon CRE Ltd., | |
Series 2018-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.15%) | |
1.23% | | | 06/15/28 | 1,2,3 | | | 2,963,622 | | | | 2,964,429 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE1, Class M1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.64% | | | 01/25/36 | 2 | | | 7,933,369 | | | | 7,901,715 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-3, Class A2C | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | | 06/25/37 | 2 | | | 8,856,099 | | | | 8,410,769 | |
Mid-State Capital Corp. Trust, | |
Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 499,265 | | | | 557,417 | |
Mid-State Capital Corp. Trust, | |
Series 2006-1, Class A | |
5.79% | | | 10/15/40 | 1 | | | 3,526,912 | | | | 3,739,038 | |
Mid-State Trust, | |
Series 10W, Class A2 | |
5.82% | | | 02/15/36 | | | | 407,856 | | | | 434,226 | |
Morgan Stanley ABS Capital I Trust, | |
Series 2004-NC7, Class M2 | |
(LIBOR USD 1-Month plus 0.93%) | |
1.02% | | | 07/25/34 | 2 | | | 874,718 | | | | 873,487 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2005-HE2, Class M1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 01/25/35 | 2 | | | 1,339,315 | | | | 1,340,305 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-B, Class 1AV1 | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 04/25/37 | 2 | | | 8,138,383 | | | | 8,122,074 | |
Navient Student Loan Trust, | |
Series 2015-2, Class A3 | |
(LIBOR USD 1-Month plus 0.57%) | |
0.66% | | | 11/26/40 | 2 | | | 4,352,535 | | | | 4,347,282 | |
Navient Student Loan Trust, | |
Series 2017-2A, Class A | |
(LIBOR USD 1-Month plus 1.05%) | |
1.14% | | | 12/27/66 | 1,2 | | | 2,546,556 | | | | 2,585,985 | |
Nelnet Student Loan Trust, | |
Series 2013-1A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 06/25/41 | 1,2 | | | 2,032,108 | | | | 2,027,089 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Nelnet Student Loan Trust, | |
Series 2014-5A, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
0.64% | | | 07/25/46 | 1,2 | | $ | 6,539,344 | | | $ | 6,522,566 | |
New Century Home Equity Loan Trust, | |
Series 2005-3, Class M4 | |
(LIBOR USD 1-Month plus 0.64%) | |
1.05% | | | 07/25/35 | 2 | | | 3,928,361 | | | | 3,939,274 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | | 02/25/36 | 2 | | | 4,198,347 | | | | 4,179,573 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class M1 | |
(LIBOR USD 1-Month plus 0.68%) | |
0.76% | | | 02/25/36 | 2 | | | 5,000,000 | | | | 4,994,170 | |
NYACK Park CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.65%) | |
0.00% | | | 10/20/34 | 1,2,3 | | | 3,125,000 | | | | 3,126,563 | |
Octagon Investment Partners XIV Ltd., | |
Series 2012-1A, Class AARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | | 07/15/29 | 1,2,3 | | | 6,000,000 | | | | 6,000,180 | |
OHA Credit Funding 2 Ltd., | |
Series 2019-2A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 04/21/34 | 1,2,3 | | | 2,296,875 | | | | 2,298,021 | |
Option One Mortgage Loan Trust, | |
Series 2006-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | | 01/25/36 | 2 | | | 1,271,601 | | | | 1,271,246 | |
Palmer Square CLO Ltd., | |
Series 2018-1A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.03%) | |
1.16% | | | 04/18/31 | 1,2,3 | | | 2,250,000 | | | | 2,250,225 | |
Palmer Square Loan Funding Ltd., | |
Series 2020-2A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 04/20/28 | 1,2,3 | | | 3,088,620 | | | | 3,089,111 | |
Palmer Square Loan Funding Ltd., | |
Series 2021-2A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | | 05/20/29 | 1,2,3 | | | 1,619,242 | | | | 1,620,619 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through | | | | | |
Certificates, | |
Series 2004-WCW2, Class M2 | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | | 10/25/34 | 2 | | | 208,146 | | | | 228,787 | |
|
| See accompanying Notes to Financial Statements. |
|
| 113 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
| Park Place Securities, Inc., Asset-Backed Pass-Through | | | | | |
Certificates, | |
Series 2005-WCW3, Class M2 | |
(LIBOR USD 1-Month plus 0.74%) | |
0.82% | | | 08/25/35 | 2 | | $ | 2,500,000 | | | $ | 2,478,141 | |
PHEAA Student Loan Trust, | |
Series 2016-1A, Class A | |
(LIBOR USD 1-Month plus 1.15%) | |
1.24% | | | 09/25/65 | 1,2 | | | 6,455,395 | | | | 6,564,581 | |
Recette CLO Ltd., | |
Series 2015-1A, Class ARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.08%) | |
1.21% | | | 04/20/34 | 1,2,3 | | | 5,100,000 | | | | 5,098,266 | |
Residential Asset Mortgage Products Trust, | |
Series 2005-EFC1, Class M5 | |
(LIBOR USD 1-Month plus 0.65%) | |
1.06% | | | 05/25/35 | 2 | | | 5,621,729 | | | | 5,649,161 | |
Residential Asset Mortgage Products Trust, | |
Series 2006-NC2, Class A3 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 02/25/36 | 2 | | | 1,715,967 | | | | 1,713,787 | |
Residential Asset Securities Corp., | |
Series 2005-KS11, Class M2 | |
(LIBOR USD 1-Month plus 0.63%) | |
0.72% | | | 12/25/35 | 2 | | | 6,376,749 | | | | 6,389,404 | |
Saxon Asset Securities Trust, | |
Series 2006-2, Class M1 | |
(LIBOR USD 1-Month plus 0.29%) | |
0.38% | | | 09/25/36 | 2 | | | 11,000,000 | | | | 10,711,994 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
| Series 2006-CB1, Class AF2 (STEP-reset date 11/25/21) | | | | | |
2.92% | | | 01/25/36 | | | | 1,576,514 | | | | 1,285,431 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 12/30/99 | 5,6 | | | 6,583,396 | | | | 6,602,168 | |
SLC Student Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 3-Month plus 0.06%) | |
0.18% | | | 05/15/29 | 2 | | | 2,915,913 | | | | 2,900,679 | |
SLM Student Loan Trust, | |
Series 2003-10A, Class A3 | |
(LIBOR USD 3-Month plus 0.47%) | |
0.59% | | | 12/15/27 | 1,2 | | | 1,776,029 | | | | 1,776,504 | |
SLM Student Loan Trust, | |
Series 2003-11, Class A6 | |
(LIBOR USD 3-Month plus 0.55%) | |
0.67% | | | 12/15/25 | 1,2 | | | 1,558,381 | | | | 1,558,622 | |
SLM Student Loan Trust, | |
Series 2008-1, Class A4 | |
(LIBOR USD 3-Month plus 0.65%) | |
0.78% | | | 01/25/22 | 2 | | | 4,559,931 | | | | 4,500,740 | |
SLM Student Loan Trust, | |
Series 2008-4, Class A4 | |
(LIBOR USD 3-Month plus 1.65%) | |
1.78% | | | 07/25/22 | 2 | | | 3,733,281 | | | | 3,809,706 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(LIBOR USD 3-Month plus 1.10%) | |
1.23% | | | 07/25/23 | 2 | | $ | 2,564,737 | | | $ | 2,579,122 | |
SLM Student Loan Trust, | |
Series 2012-2, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | | 01/25/29 | 2 | | | 2,204,026 | | | | 2,170,248 | |
SLM Student Loan Trust, | |
Series 2012-7, Class A3 | |
(LIBOR USD 1-Month plus 0.65%) | |
0.74% | | | 05/26/26 | 2 | | | 8,641,821 | | | | 8,480,415 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
0.64% | | | 06/25/43 | 2 | | | 2,554,279 | | | | 2,541,630 | |
SLM Student Loan Trust, | |
Series 2014-1, Class A3 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 02/26/29 | 2 | | | 4,138,741 | | | | 4,048,462 | |
Specialty Underwriting & Residential Finance Trust, | | | | | |
Series 2005-BC2, Class M3 | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | | 12/25/35 | 2 | | | 2,546,468 | | | | 2,539,120 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-BC6, Class A4 | |
(LIBOR USD 1-Month plus 0.17%) | |
0.26% | | | 01/25/37 | 2 | | | 2,708,265 | | | | 2,695,666 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | |
(28 Day Auction Rate plus 0.00%) | |
1.61% | | | 1.61 | 1,2 | | | 2,900,000 | | | | 2,675,604 | |
Terwin Mortgage Trust, | |
Series 2004-7HE, Class A1 | |
(LIBOR USD 1-Month plus 1.10%) | |
1.19% | | | 07/25/34 | 1,2 | | | 74,910 | | | | 74,674 | |
TPG Real Estate Finance Issuer Ltd., | |
Series 2018-FL2, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | | 11/15/37 | 1,2,3 | | | 13,521,287 | | | | 13,524,969 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class A | |
2.93% | | | 01/17/36 | 1 | | | 11,193,121 | | | | 11,371,221 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class B | |
3.28% | | | 01/17/36 | 1 | | | 9,017,000 | | | | 9,157,684 | |
TRTX Issuer Ltd., | |
Series 2019-FL3, Class A | |
(Cayman Islands) | |
(SOFR30A plus 1.26%) | |
1.31% | | | 10/15/34 | 1,2,3 | | | 11,495,000 | | | | 11,503,143 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 114 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Voya CLO, | |
Series 2017-2A, Class A1R | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
1.11% | | | 06/07/30 | 1,2,3 | | $ | 5,850,000 | | | $ | 5,851,755 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $445,233,000) | | | | 449,008,111 | |
| | | | | | | | | | | | |
|
BANK LOANS — 1.11%* | |
|
Automotive — 0.02% | |
Clarios Global LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/30/26 | 2 | | | 507,125 | | | | 505,540 | |
| | | | | | | | | | | | |
|
Communications — 0.55% | |
CenturyLink, Inc., | |
Term Loan A, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 01/31/25 | 2 | | | 547,500 | | | | 544,960 | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 03/15/27 | 2 | | | 884,250 | | | | 875,836 | |
Charter Communications Operating LLC, | |
Term Loan B2, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 02/01/27 | 2 | | | 245,614 | | | | 244,317 | |
CSC Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 07/17/25 | 2 | | | 446,503 | | | | 441,164 | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 04/15/27 | 2 | | | 248,111 | | | | 245,656 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 08/02/27 | 2 | | | 1,250,000 | | | | 1,252,213 | |
Intelsat Jackson Holdings SA, | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.75%) | |
5.75% | | | 07/13/22 | 2,3,8 | | | 1,537,863 | | | | 1,551,319 | |
Term Loan B4, 1st Lien (Luxembourg) | |
(PRIME plus 5.50%) | |
8.75% | | | 01/02/24 | 2,3 | | | 488,919 | | | | 498,240 | |
Term Loan B5, 1st Lien (Luxembourg) | |
8.63% | | | 01/02/24 | 2,3 | | | 4,252,054 | | | | 4,331,780 | |
Level 3 Parent LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 03/01/27 | 2 | | | 3,950,000 | | | | 3,906,609 | |
Zayo Group Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 03/09/27 | 2 | | | 712,632 | | | | 707,169 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,599,263 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric — 0.01% | |
Vistra Operations Co., LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 12/31/25 | 2 | | $ | 245,207 | | | $ | 243,624 | |
| | | | | | | | | | | | |
|
Food — 0.02% | |
Hostess Brands LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | | 08/03/25 | 2 | | | 638,597 | | | | 637,521 | |
| | | | | | | | | | | | |
|
Gaming — 0.00% | |
Caesars Resort Collection LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | | 12/23/24 | 2 | | | 3,247 | | | | 3,232 | |
| | | | | | | | | | | | |
|
Health Care — 0.30% | |
Avantor Funding, Inc., | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
2.75% | | | 11/08/27 | 2 | | | 1,592,000 | | | | 1,596,481 | |
Change Healthcare Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 03/01/24 | 2 | | | 891,026 | | | | 891,071 | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 08/01/27 | 2 | | | 2,414,748 | | | | 2,388,222 | |
Gentiva Health Services, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 07/02/25 | 2 | | | 586,136 | | | | 586,622 | |
Grifols Worldwide Operations USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.07% | | | 11/15/27 | 2 | | | 245,625 | | | | 241,941 | |
Horizon Therapeutics USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 03/15/28 | 2 | | | 1,133,031 | | | | 1,132,323 | |
Jazz Financing Lux SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 0.00%) | |
0.50% | | | 05/05/28 | 2 | | | 1,097,250 | | | | 1,099,999 | |
| | | | | | | | | | | | |
| | | | 7,936,659 | |
| | | | | | | | | | | | |
|
Industrials — 0.12% | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
1.86% | | | 07/01/26 | 2 | | | 2,911,775 | | | | 2,899,399 | |
|
| See accompanying Notes to Financial Statements. |
|
| 115 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
TransDigm, Inc., | |
Term Loan E, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 05/30/25 | 2 | | $ | 393,000 | | | $ | 388,642 | |
| | | | | | | | | | | | |
| | | | 3,288,041 | |
| | | | | | | | | | | | |
Information Technology — 0.06% | |
IQVIA, Inc., | |
Term Loan B1, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 03/07/24 | 2 | | | 428,968 | | | | 428,808 | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.88% | | | 06/11/25 | 2 | | | 682,782 | | | | 682,270 | |
SS&C Technologies, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 2 | | | 198,541 | | | | 196,842 | |
Term Loan B4, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 2 | | | 150,344 | | | | 149,057 | |
| | | | | | | | | | | | |
| | | | 1,456,977 | |
| | | | | | | | | | | | |
Services — 0.02% | |
GFL Environmental, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.50% | | | 05/30/25 | 2 | | | 655,146 | | | | 657,091 | |
| | | | | | | | | | | | |
|
Transportation — 0.01% | |
American Airlines, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 01/29/27 | 2 | | | 175,500 | | | | 168,765 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $28,770,968) | | | | 29,496,713 | |
| | | | | | | | | | | | |
|
CORPORATES — 28.94%* | |
|
Banking — 7.42% | |
Bank of America Corp. | |
2.88% | | | 04/24/23 | 7 | | | 3,000,000 | | | | 3,041,391 | |
3.00% | | | 12/20/23 | 7 | | | 2,801,000 | | | | 2,887,273 | |
Bank of America Corp. | |
(MTN) | |
1.49% | | | 05/19/24 | 7 | | | 17,920,000 | | | | 18,196,195 | |
3.46% | | | 03/15/25 | 7 | | | 6,773,000 | | | | 7,208,952 | |
Bank of America N.A. | |
3.34% | | | 01/25/23 | 7 | | | 1,015,000 | | | | 1,025,099 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 1,3,7 | | | 2,000,000 | | | | 1,957,904 | |
2.59% | | | 09/11/25 | 1,3,7 | | | 7,150,000 | | | | 7,408,311 | |
3.80% | | | 06/09/23 | 3 | | | 1,170,000 | | | | 1,232,299 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | | 09/30/25 | 1,3,7 | | | 8,340,000 | | | | 8,345,191 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
HSBC Holdings PLC | |
(United Kingdom) | |
0.73% | | | 08/17/24 | 3,7 | | $ | 8,605,000 | | | $ | 8,612,368 | |
0.98% | | | 05/24/25 | 3,7 | | | 10,065,000 | | | | 10,048,343 | |
3.80% | | | 03/11/25 | 3,7 | | | 330,000 | | | | 352,097 | |
4.29% | | | 09/12/26 | 3,7 | | | 2,880,000 | | | | 3,175,252 | |
JPMorgan Chase & Co. | |
0.70% | | | 03/16/24 | 7 | | | 6,581,000 | | | | 6,601,158 | |
0.77% | | | 08/09/25 | 7 | | | 2,535,000 | | | | 2,525,406 | |
0.97% | | | 06/23/25 | 7 | | | 9,244,000 | | | | 9,256,713 | |
4.02% | | | 12/05/24 | 7 | | | 20,520,000 | | | | 21,982,486 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
2.86% | | | 03/17/23 | 3,7 | | | 7,750,000 | | | | 7,836,834 | |
3.87% | | | 07/09/25 | 3,7 | | | 5,501,000 | | | | 5,932,715 | |
Macquarie Group Ltd. | |
(Australia) | |
1.34% | | | 01/12/27 | 1,3,7 | | | 3,425,000 | | | | 3,396,603 | |
NatWest Group PLC | |
(United Kingdom) | |
3.50% | | | 05/15/23 | 3,7 | | | 11,639,000 | | | | 11,852,116 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
4.80% | | | 11/15/24 | 3,7 | | | 13,000,000 | | | | 14,077,978 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | | 11/07/23 | 1,3 | | | 1,000,000 | | | | 1,081,870 | |
UBS AG | |
(Switzerland) | |
0.70% | | | 08/09/24 | 1,3 | | | 1,820,000 | | | | 1,816,082 | |
(SOFR Rate plus 0.45%) | |
0.50% | | | 08/09/24 | 1,2,3 | | | 4,000,000 | | | | 4,024,909 | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | | 02/11/26 | 7 | | | 21,765,000 | | | | 22,459,149 | |
2.39% | | | 06/02/28 | 7 | | | 2,000,000 | | | | 2,064,500 | |
3.75% | | | 01/24/24 | | | | 7,935,000 | | | | 8,484,102 | |
| | | | | | | | | | | | |
| | | | 196,883,296 | |
| | | | | | | | | | | | |
|
Communications — 2.07% | |
AT&T, Inc. | |
2.30% | | | 06/01/27 | | | | 1,600,000 | | | | 1,658,214 | |
2.55% | | | 12/01/33 | | | | 1,599,000 | | | | 1,574,585 | |
(LIBOR USD 3-Month plus 1.18%) | |
1.29% | | | 06/12/24 | 2 | | | 475,000 | | | | 487,122 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
4.50% | | | 02/01/24 | | | | 1,720,000 | | | | 1,861,296 | |
Cox Communications, Inc. | |
3.15% | | | 08/15/24 | 1 | | | 1,199,000 | | | | 1,269,981 | |
7.63% | | | 06/15/25 | | | | 900,000 | | | | 1,091,560 | |
Level 3 Financing, Inc. | |
3.40% | | | 03/01/27 | 1 | | | 1,330,000 | | | | 1,401,238 | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 4,900,000 | | | | 5,837,958 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 116 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
SES SA | |
(Luxembourg) | |
3.60% | | | 04/04/23 | 1,3 | | $ | 4,820,000 | | | $ | 5,012,620 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | | 03/20/25 | 1 | | | 11,476,500 | | | | 12,271,247 | |
5.15% | | | 03/20/28 | 1 | | | 3,675,000 | | | | 4,204,384 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 3,091,000 | | | | 3,129,717 | |
3.50% | | | 04/15/25 | | | | 645,000 | | | | 694,962 | |
3.75% | | | 04/15/27 | | | | 6,325,000 | | | | 6,971,433 | |
3.88% | | | 04/15/30 | | | | 3,810,000 | | | | 4,208,885 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.13% | | | 05/30/25 | 3 | | | 3,000,000 | | | | 3,317,465 | |
| | | | | | | | | | | | |
| | | | 54,992,667 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.96% | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | | 05/15/25 | 1,3 | | | 6,030,000 | | | | 6,648,672 | |
BAT Capital Corp. | |
3.22% | | | 08/15/24 | | | | 2,140,000 | | | | 2,270,210 | |
3.56% | | | 08/15/27 | | | | 4,000,000 | | | | 4,311,179 | |
Hyatt Hotels Corp. | |
1.30% | | | 10/01/23 | | | | 4,655,000 | | | | 4,661,592 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.13% | | | 07/26/24 | 1,3 | | | 1,106,000 | | | | 1,162,839 | |
3.75% | | | 07/21/22 | 1,3 | | | 830,000 | | | | 846,507 | |
4.25% | | | 07/21/25 | 1,3 | | | 5,205,000 | | | | 5,677,187 | |
| | | | | | | | | | | | |
| | | | 25,578,186 | |
| | | | | | | | | | | | |
|
Electric — 1.29% | |
Alliant Energy Finance LLC | |
1.40% | | | 03/15/26 | 1 | | | 6,540,000 | | | | 6,456,971 | |
American Electric Power Co., Inc., | |
Series I | |
3.65% | | | 12/01/21 | | | | 5,000,000 | | | | 5,027,209 | |
Black Hills Corp. | |
4.25% | | | 11/30/23 | | | | 4,050,000 | | | | 4,332,449 | |
Dominion Energy, Inc. | |
2.45% | | | 01/15/23 | 1 | | | 5,000,000 | | | | 5,129,136 | |
Dominion Energy, Inc., | |
Series A | |
3.30% | | | 03/15/25 | | | | 4,600,000 | | | | 4,925,641 | |
Evergy Metro, Inc. | |
3.65% | | | 08/15/25 | | | | 1,613,000 | | | | 1,752,126 | |
Jersey Central Power & Light Co. | |
4.70% | | | 04/01/24 | 1 | | | 5,000,000 | | | | 5,393,342 | |
Pennsylvania Electric Co. | |
4.15% | | | 04/15/25 | 1 | | | 500,000 | | | | 531,675 | |
Tucson Electric Power Co. | |
3.85% | | | 03/15/23 | | | | 530,000 | | | | 550,601 | |
| | | | | | | | | | | | |
| | | | 34,099,150 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Energy — 1.12% | |
Energy Transfer LP | |
4.05% | | | 03/15/25 | | | $ | 2,610,000 | | | $ | 2,817,903 | |
4.75% | | | 01/15/26 | | | | 2,000,000 | | | | 2,235,315 | |
4.90% | | | 02/01/24 | | | | 4,292,000 | | | | 4,626,717 | |
5.95% | | | 12/01/25 | | | | 2,520,000 | | | | 2,919,876 | |
Petroleos Mexicanos | |
(Mexico) | |
5.35% | | | 02/12/28 | 3 | | | 6,470,000 | | | | 6,387,054 | |
6.50% | | | 01/23/29 | 3 | | | 390,000 | | | | 401,472 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
4.50% | | | 12/15/26 | | | | 5,422,000 | | | | 6,060,554 | |
Ruby Pipeline LLC | |
8.00% | | | 04/01/22 | 1,5,6 | | | 2,254,091 | | | | 2,096,305 | |
Southern Co. Gas Capital Corp. | |
3.88% | | | 11/15/25 | | | | 1,950,000 | | | | 2,139,406 | |
| | | | | | | | | | | | |
| | | | 29,684,602 | |
| | | | | | | | | | | | |
|
Finance — 6.52% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.95% | | | 02/01/22 | 3 | | | 1,935,000 | | | | 1,951,297 | |
4.88% | | | 01/16/24 | 3 | | | 718,000 | | | | 776,438 | |
Air Lease Corp. | |
3.50% | | | 01/15/22 | | | | 4,170,000 | | | | 4,206,184 | |
Air Lease Corp. | |
(MTN) | |
0.70% | | | 02/15/24 | | | | 1,250,000 | | | | 1,243,042 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 1,3 | | | 3,108,000 | | | | 3,059,306 | |
3.63% | | | 05/01/22 | 1,3 | | | 2,860,000 | | | | 2,903,123 | |
Citigroup, Inc. | |
0.98% | | | 05/01/25 | 7 | | | 6,270,000 | | | | 6,295,942 | |
3.11% | | | 04/08/26 | 7 | | | 8,025,000 | | | | 8,525,934 | |
3.35% | | | 04/24/25 | 7 | | | 17,240,000 | | | | 18,315,752 | |
Daimler Finance North America LLC | |
1.75% | | | 03/10/23 | 1 | | | 5,245,000 | | | | 5,341,374 | |
(LIBOR USD 3-Month plus 0.90%) | |
1.02% | | | 02/15/22 | 1,2 | | | 8,195,000 | | | | 8,221,260 | |
Discover Financial Services | |
5.20% | | | 04/27/22 | | | | 2,558,000 | | | | 2,625,772 | |
Ford Motor Credit Co. LLC | |
3.22% | | | 01/09/22 | | | | 5,378,000 | | | | 5,398,168 | |
5.60% | | | 01/07/22 | | | | 2,587,000 | | | | 2,621,148 | |
(LIBOR USD 3-Month plus 0.88%) | |
1.00% | | | 10/12/21 | 2 | | | 2,500,000 | | | | 2,500,018 | |
(LIBOR USD 3-Month plus 1.08%) | |
1.20% | | | 08/03/22 | 2 | | | 2,700,000 | | | | 2,698,650 | |
GE Capital Funding LLC | |
4.40% | | | 05/15/30 | | | | 5,810,000 | | | | 6,735,490 | |
General Motors Financial Co., Inc. | |
4.20% | | | 11/06/21 | | | | 7,405,000 | | | | 7,430,189 | |
Goldman Sachs Group, Inc. (The) | |
2.88% | | | 10/31/22 | 7 | | | 726,000 | | | | 727,489 | |
2.91% | | | 07/24/23 | 7 | | | 6,814,000 | | | | 6,946,057 | |
|
| See accompanying Notes to Financial Statements. |
|
| 117 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
Goldman Sachs Group, Inc. (The), | |
Series FXD | |
0.48% | | | 01/27/23 | | | $ | 27,490,000 | | | $ | 27,494,502 | |
Morgan Stanley | |
(GMTN) | |
0.79% | | | 01/22/25 | 7 | | | 7,760,000 | | | | 7,761,222 | |
Morgan Stanley | |
(MTN) | |
0.53% | | | 01/25/24 | 7 | | | 17,835,000 | | | | 17,847,943 | |
2.72% | | | 07/22/25 | 7 | | | 7,270,000 | | | | 7,617,532 | |
Nationwide Building Society | �� |
(United Kingdom) | |
3.62% | | | 04/26/23 | 1,3,7 | | | 8,205,000 | | | | 8,348,419 | |
3.77% | | | 03/08/24 | 1,3,7 | | | 4,810,000 | | | | 5,015,878 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | | 03/15/23 | 1,3 | | | 365,000 | | | | 381,491 | |
| | | | | | | | | | | | |
| | | | 172,989,620 | |
| | | | | | | | | | | | |
|
Food — 0.21% | |
Kraft Heinz Foods Co. | |
3.50% | | | 06/06/22 | | | | 1,445,000 | | | | 1,472,361 | |
Smithfield Foods, Inc. | |
3.35% | | | 02/01/22 | 1 | | | 3,946,000 | | | | 3,983,996 | |
| | | | | | | | | | | | |
| | | | 5,456,357 | |
| | | | | | | | | | | | |
|
Health Care — 3.65% | |
AbbVie, Inc. | |
3.25% | | | 10/01/22 | | | | 1,500,000 | | | | 1,532,798 | |
3.45% | | | 03/15/22 | | | | 3,000,000 | | | | 3,026,941 | |
3.85% | | | 06/15/24 | | | | 2,500,000 | | | | 2,689,624 | |
Aetna, Inc. | |
3.50% | | | 11/15/24 | | | | 3,136,000 | | | | 3,373,112 | |
Amgen, Inc. | |
2.65% | | | 05/11/22 | | | | 671,000 | | | | 679,416 | |
Bayer U.S. Finance II LLC | |
2.20% | | | 07/15/22 | 1 | | | 1,455,000 | | | | 1,470,464 | |
2.85% | | | 04/15/25 | 1 | | | 2,300,000 | | | | 2,367,178 | |
3.88% | | | 12/15/23 | 1 | | | 5,540,000 | | | | 5,896,289 | |
4.25% | | | 12/15/25 | 1 | | | 1,000,000 | | | | 1,105,898 | |
Becton Dickinson and Co. | |
3.73% | | | 12/15/24 | | | | 3,000,000 | | | | 3,243,197 | |
Boston Scientific Corp. | |
1.90% | | | 06/01/25 | | | | 2,500,000 | | | | 2,564,706 | |
Cigna Corp. | |
3.75% | | | 07/15/23 | | | | 2,166,000 | | | | 2,289,759 | |
CommonSpirit Health | |
2.76% | | | 10/01/24 | | | | 5,400,000 | | | | 5,682,451 | |
CVS Health Corp. | |
2.88% | | | 06/01/26 | | | | 4,330,000 | | | | 4,618,265 | |
Dignity Health | |
3.13% | | | 11/01/22 | | | | 1,140,000 | | | | 1,171,727 | |
Fresenius Medical Care U.S. Finance II, Inc. | |
5.88% | | | 01/31/22 | 1 | | | 4,650,000 | | | | 4,731,261 | |
Fresenius U.S. Finance II, Inc. | |
4.50% | | | 01/15/23 | 1 | | | 5,205,000 | | | | 5,412,490 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
Gilead Sciences, Inc. | |
(LIBOR USD 3-Month plus 0.52%) | |
0.65% | | | 09/29/23 | 2 | | $ | 6,500,000 | | | $ | 6,503,922 | |
HCA, Inc. | |
5.00% | | | 03/15/24 | | | | 6,065,000 | | | | 6,656,494 | |
5.25% | | | 04/15/25 | | | | 1,500,000 | | | | 1,701,094 | |
HCA, Inc. | |
(MTN) | |
7.58% | | | 09/15/25 | | | | 1,100,000 | | | | 1,329,705 | |
Humana, Inc. | |
0.65% | | | 08/03/23 | | | | 7,130,000 | | | | 7,134,869 | |
3.15% | | | 12/01/22 | | | | 2,000,000 | | | | 2,051,144 | |
3.85% | | | 10/01/24 | | | | 3,990,000 | | | | 4,319,456 | |
PerkinElmer, Inc. | |
0.85% | | | 09/15/24 | | | | 6,880,000 | | | | 6,880,312 | |
Royalty Pharma PLC | |
(United Kingdom) | |
0.75% | | | 09/02/23 | 3 | | | 5,275,000 | | | | 5,291,808 | |
Tenet Healthcare Corp. | |
4.63% | | | 09/01/24 | 1 | | | 3,000,000 | | | | 3,071,255 | |
| | | | | | | | | | | | |
| | | | 96,795,635 | |
| | | | | | | | | | | | |
|
Industrials — 1.24% | |
Artera Services LLC | |
9.03% | | | 12/04/25 | 1 | | | 2,500,000 | | | | 2,714,882 | |
Berry Global, Inc. | |
0.95% | | | 02/15/24 | 1 | | | 1,405,000 | | | | 1,407,164 | |
1.57% | | | 01/15/26 | 1 | | | 2,000,000 | | | | 2,001,786 | |
4.88% | | | 07/15/26 | 1 | | | 365,000 | | | | 383,725 | |
Boeing Co. (The) | |
1.17% | | | 02/04/23 | | | | 5,750,000 | | | | 5,762,623 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | | 05/05/26 | 2 | | | 7,674,000 | | | | 7,599,705 | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 2 | | | 2,182,000 | | | | 1,904,830 | |
General Electric Co., | |
Series NOTZ (MTN) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 04/15/23 | 2 | | | 4,936,000 | | | | 4,976,894 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | | 03/22/23 | 1,3 | | | 5,920,000 | | | | 6,185,740 | |
| | | | | | | | | | | | |
| | | | 32,937,349 | |
| | | | | | | | | | | | |
|
Information Technology — 1.13% | |
NXP BV/NXP Funding LLC | |
(Netherlands) | |
4.63% | | | 06/01/23 | 1,3 | | | 6,745,000 | | | | 7,180,883 | |
Oracle Corp. | |
1.65% | | | 03/25/26 | | | | 6,085,000 | | | | 6,172,692 | |
2.80% | | | 04/01/27 | | | | 3,300,000 | | | | 3,497,558 | |
Skyworks Solutions, Inc. | |
0.90% | | | 06/01/23 | | | | 6,340,000 | | | | 6,352,871 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 118 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Information Technology (continued) | |
VMware, Inc. | |
1.00% | | | 08/15/24 | | | $ | 6,690,000 | | | $ | 6,713,765 | |
| | | | | | | | | | | | |
| | | | 29,917,769 | |
| | | | | | | | | | | | |
|
Insurance — 0.88% | |
Athene Global Funding | |
(SOFR Rate plus 0.70%) | |
0.75% | | | 05/24/24 | 1,2 | | | 5,005,000 | | | | 5,029,762 | |
Equitable Financial Life Global Funding | |
0.80% | | | 08/12/24 | 1 | | | 3,655,000 | | | | 3,652,329 | |
Farmers Insurance Exchange | |
8.63% | | | 05/01/24 | 1 | | | 5,000,000 | | | | 5,911,595 | |
Metropolitan Life Global Funding I | |
3.38% | | | 01/11/22 | 1 | | | 1,550,000 | | | | 1,563,579 | |
Nationwide Mutual Insurance Co. | |
2.41% | | | 12/15/24 | 1,7 | | | 5,550,000 | | | | 5,556,589 | |
| Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | | 09/15/54 | 1,7 | | | 1,600,000 | | | | 1,678,388 | |
| | | | | | | | | | | | |
| | | | 23,392,242 | |
| | | | | | | | | | | | |
|
Materials — 0.06% | |
International Flavors & Fragrances, Inc. | |
0.70% | | | 09/15/22 | 1 | | | 1,490,000 | | | | 1,494,704 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.64% | |
| American Campus Communities Operating Partnership LP | | | | | |
3.75% | | | 04/15/23 | | | | 7,374,000 | | | | 7,680,017 | |
CyrusOne LP/CyrusOne Finance Corp. | |
2.90% | | | 11/15/24 | | | | 6,440,000 | | | | 6,757,041 | |
Federal Realty Investment Trust | |
7.48% | | | 08/15/26 | | | | 1,850,000 | | | | 2,285,968 | |
GLP Capital LP/GLP Financing II, Inc. | |
3.35% | | | 09/01/24 | | | | 1,197,000 | | | | 1,269,761 | |
5.38% | | | 11/01/23 | | | | 7,673,000 | | | | 8,286,547 | |
Healthpeak Properties, Inc. | |
4.00% | | | 06/01/25 | | | | 3,455,000 | | | | 3,775,267 | |
Host Hotels & Resorts LP, | |
Series D | |
3.75% | | | 10/15/23 | | | | 6,045,000 | | | | 6,337,397 | |
Kilroy Realty LP | |
3.45% | | | 12/15/24 | | | | 1,558,000 | | | | 1,662,998 | |
Kimco Realty Corp. | |
3.40% | | | 11/01/22 | | | | 4,000,000 | | | | 4,109,864 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.63% | | | 06/15/25 | 1 | | | 675,000 | | | | 729,815 | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | | 645,000 | | | | 661,193 | |
| | | | | | | | | | | | |
| | | | 43,555,868 | |
| | | | | | | | | | | | |
|
Retail — 0.20% | |
7-Eleven, Inc. | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | | 08/10/22 | 1,2 | | | 2,930,000 | | | | 2,930,744 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Retail (continued) | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
3.55% | | | 07/26/27 | 1,3 | | $ | 2,175,000 | | | $ | 2,397,051 | |
| | | | | | | | | | | | |
| | | | 5,327,795 | |
| | | | | | | | | | | | |
|
Services — 0.47% | |
IHS Markit Ltd. | |
(Bermuda) | |
3.63% | | | 05/01/24 | 3 | | | 2,090,000 | | | | 2,226,791 | |
5.00% | | | 11/01/22 | 1,3 | | | 9,936,000 | | | | 10,315,257 | |
| | | | | | | | | | | | |
| | | | 12,542,048 | |
| | | | | | | | | | | | |
|
Transportation — 0.08% | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | | 1,476,124 | | | | 1,476,067 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A1 | |
7.04% | | | 04/01/22 | | | | 499,351 | | | | 512,015 | |
| | | | | | | | | | | | |
| | | | 1,988,082 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $758,463,770) | | | | 767,635,370 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 36.54%** | |
Non-Agency Commercial Mortgage-Backed — 12.14% | |
BANK, | |
Series 2018-BN14, Class A2 | |
4.13% | | | 09/15/60 | | | | 9,520,000 | | | | 9,981,446 | |
BX Commercial Mortgage Trust, | |
Series 2018-IND, Class A | |
(LIBOR USD 1-Month plus 0.75%) | |
0.83% | | | 11/15/35 | 1,2 | | | 783,889 | | | | 785,055 | |
BX Commercial Mortgage Trust, | |
Series 2019-XL, Class A | |
(LIBOR USD 1-Month plus 0.92%) | |
1.00% | | | 10/15/36 | 1,2 | | | 8,836,694 | | | | 8,854,331 | |
BX Commercial Mortgage Trust, | |
Series 2020-BXLP, Class A | |
(LIBOR USD 1-Month plus 0.80%) | |
0.88% | | | 12/15/36 | 1,2 | | | 5,003,342 | | | | 5,012,895 | |
CFCRE Commercial Mortgage Trust, | |
Series 2016-C4, Class ASB | |
3.09% | | | 05/10/58 | | | | 3,158,775 | | | | 3,310,691 | |
CHT Mortgage Trust, | |
Series 2017-CSMO, Class A | |
(LIBOR USD 1-Month plus 0.93%) | |
1.01% | | | 11/15/36 | 1,2 | | | 7,977,280 | | | | 7,993,080 | |
Citigroup Commercial Mortgage Trust, | |
Series 2017-C4, Class A2 | |
3.19% | | | 10/12/50 | | | | 7,818,939 | | | | 7,981,315 | |
Citigroup Commercial Mortgage Trust, | |
Series 2020-WSS, Class A | |
(LIBOR USD 1-Month plus 1.95%) | |
2.03% | | | 02/15/39 | 1,2 | | | 12,989,276 | | | | 13,703,555 | |
|
| See accompanying Notes to Financial Statements. |
|
| 119 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class A3 | |
2.82% | | | 10/15/45 | | | $ | 13,483,987 | | | $ | 13,675,003 | |
Commercial Mortgage Trust, | |
Series 2013-CR6, Class A4 | |
3.10% | | | 03/10/46 | | | | 10,800,000 | | | | 10,986,742 | |
Commercial Mortgage Trust, | |
Series 2013-CR7, Class XA (IO) | |
1.32% | | | 03/10/46 | 7 | | | 24,397,830 | | | | 333,257 | |
Commercial Mortgage Trust, | |
Series 2013-LC6, Class ASB | |
2.48% | | | 01/10/46 | | | | 2,644,720 | | | | 2,670,878 | |
Commercial Mortgage Trust, | |
Series 2014-CR15, Class ASB | |
3.60% | | | 02/10/47 | | | | 3,107,314 | | | | 3,215,098 | |
Commercial Mortgage Trust, | |
Series 2014-CR20, Class A3 | |
3.33% | | | 11/10/47 | | | | 3,965,529 | | | | 4,175,909 | |
Commercial Mortgage Trust, | |
Series 2014-UBS5, Class A3 | |
3.57% | | | 09/10/47 | | | | 10,400,000 | | | | 11,084,643 | |
Commercial Mortgage Trust, | |
Series 2015-PC1, Class A4 | |
3.62% | | | 07/10/50 | | | | 7,840,576 | | | | 8,152,258 | |
Commercial Mortgage Trust, | |
Series 2016-DC2, Class ASB | |
3.55% | | | 02/10/49 | | | | 226,585 | | | | 239,394 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2019-ICE4, Class A | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | | 05/15/36 | 1,2 | | | 10,309,800 | | | | 10,334,540 | |
CSAIL Commercial Mortgage Trust, | |
Series 2017-CX9, Class A2 | |
3.05% | | | 09/15/50 | | | | 2,500,000 | | | | 2,541,181 | |
Eleven Madison Mortgage Trust, | |
Series 2015-11MD, Class A | |
3.67% | | | 09/10/35 | 1,7 | | | 3,600,000 | | | | 3,872,210 | |
Great Wolf Trust, | |
Series 2019-WOLF, Class A | |
(LIBOR USD 1-Month plus 1.03%) | |
1.12% | | | 12/15/36 | 1,2 | | | 8,884,000 | | | | 8,908,250 | |
GS Mortgage Securities Corp. II, | |
Series 2018-GS10, Class A1 | |
3.20% | | | 07/10/51 | | | | 3,462,216 | | | | 3,522,105 | |
GS Mortgage Securities Trust | |
Series 2012-ALOH, Class A | |
3.55% | | | 04/10/34 | 1 | | | 11,041,000 | | | | 11,120,476 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class AS | |
5.21% | | | 08/10/44 | 1,7 | | | 3,918,850 | | | | 3,939,064 | |
GS Mortgage Securities Trust, | |
Series 2018-GS9, Class A2 | |
3.84% | | | 03/10/51 | | | | 10,194,544 | | | | 10,442,326 | |
Independence Plaza Trust, | |
Series 2018-INDP, Class B | |
3.91% | | | 07/10/35 | 1 | | | 10,000,000 | | | | 10,474,262 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Irvine Core Office Trust, | |
Series 2013-IRV, Class A1 | |
2.07% | | | 05/15/48 | 1 | | $ | 5,126,169 | | | $ | 5,186,441 | |
JPMCC Commercial Mortgage Securities Trust, | |
Series 2017-JP5, Class A2 | |
3.24% | | | 03/15/50 | | | | 2,143,910 | | | | 2,156,680 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C6, Class ASB | |
3.14% | | | 05/15/45 | | | | 3,070,916 | | | | 3,083,708 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C8, Class ASB | |
2.38% | | | 10/15/45 | | | | 1,116,200 | | | | 1,123,658 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-CBX, Class A4FX | |
3.48% | | | 06/15/45 | 1 | | | 2,212,686 | | | | 2,233,157 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | |
1.38% | | | 04/15/46 | 7 | | | 29,498,999 | | | | 422,011 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C20, Class A4A2 | |
3.54% | | | 07/15/47 | 1 | | | 4,998,969 | | | | 5,195,057 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2018-LAQ, Class A | |
(LIBOR USD 1-Month plus 1.00%) | |
1.08% | | | 06/15/32 | 1,2 | | | 2,168,978 | | | | 2,171,186 | |
LoanCore Issuer Ltd., | |
Series 2019-CRE3, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.05%) | |
1.13% | | | 04/15/34 | 1,2,3 | | | 10,559,307 | | | | 10,565,905 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C6, Class A4 | |
2.86% | | | 11/15/45 | | | | 8,968,947 | | | | 9,085,876 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C12, Class XA (IO) | |
0.74% | | | 10/15/46 | 7 | | | 46,867,796 | | | | 420,378 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C21, Class XA (IO) | |
1.01% | | | 03/15/48 | 7 | | | 35,133,026 | | | | 859,594 | |
Morgan Stanley Capital I Trust, | |
Series 2012-C4, Class A4 | |
3.24% | | | 03/15/45 | | | | 2,486,703 | | | | 2,504,751 | |
New York City Housing Development Corp., | |
Series 2014-8SPR, Class A (STEP-reset date 11/15/21) | | | | | |
3.71% | | | 02/15/48 | | | | 8,000,000 | | | | 8,473,736 | |
One Lincoln Street Commercial Mortgage, | |
Series 2004-C3, Class A1 | |
5.72% | | | 10/15/30 | 1,7 | | | 6,526,780 | | | | 7,063,482 | |
One Market Plaza Trust | |
Series 2017-1MKT, Class A | |
3.61% | | | 02/10/32 | 1 | | | 8,500,000 | | | | 8,596,633 | |
One Market Plaza Trust, | |
Series 2017-1MKT, Class E | |
4.14% | | | 02/10/32 | 1 | | | 8,000,000 | | | | 8,094,816 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 120 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
One New York Plaza Trust, | |
Series 2020-1NYP, Class A | |
(LIBOR USD 1-Month plus 0.95%) | |
1.03% | | | 01/15/26 | 1,2 | | $ | 3,240,000 | | | $ | 3,255,667 | |
Shelter Growth CRE Issuer Ltd., | |
Series 2019-FL2, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.10%) | |
1.18% | | | 05/15/36 | 1,2,3 | | | 1,609,586 | | | | 1,609,615 | |
UBS Commercial Mortgage Trust, | |
Series 2018-C11, Class A2 | |
3.99% | | | 06/15/51 | | | | 904,371 | | | | 934,807 | |
UBS Commercial Mortgage Trust, | |
Series 2018-C12, Class A2 | |
4.15% | | | 08/15/51 | | | | 12,889,000 | | | | 13,505,878 | |
UBS Commercial Mortgage Trust, | |
Series 2019-C16, Class A1 | |
2.74% | | | 04/15/52 | | | | 6,357,101 | | | | 6,486,204 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C4, Class A3 | |
2.53% | | | 12/10/45 | | | | 3,880,689 | | | | 3,889,816 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class A4 | |
3.55% | | | 08/15/50 | | | | 15,239,421 | | | | 15,803,437 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C36, Class A2 | |
2.50% | | | 11/15/59 | | | | 1,335,674 | | | | 1,352,802 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-LC24, Class A2 | |
2.50% | | | 10/15/49 | | | | 225,715 | | | | 227,520 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C7, Class A2 | |
3.43% | | | 06/15/45 | | | | 6,022,000 | | | | 6,090,579 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C9, Class AS | |
3.39% | | | 11/15/45 | | | | 7,911,000 | | | | 8,119,974 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C18, Class A4 | |
3.90% | | | 12/15/46 | | | | 5,976,213 | | | | 6,247,197 | |
| | | | | | | | | | | | |
| | | | 322,070,529 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 3.14% | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | | 10/25/33 | | | | 4,708,360 | | | | 4,847,825 | |
Banc of America Funding Trust, | |
Series 2015-R4, Class 3A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
0.23% | | | 07/27/36 | 1,2 | | | 482,116 | | | | 484,724 | |
Banc of America Funding Trust, | |
Series 2016-R1, Class A1 | |
2.50% | | | 03/25/40 | 1,7 | | | 1,026,652 | | | | 1,035,810 | |
Bear Stearns ALT-A Trust, | |
Series 2004-10, Class M1 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 09/25/34 | 2 | | | 4,943,833 | | | | 4,940,090 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 1M1 | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | | 03/25/35 | 2 | | $ | 2,235,605 | | | $ | 2,242,228 | |
Bear Stearns ARM Trust, | |
Series 2004-3, Class 4A | |
2.61% | | | 07/25/34 | 7 | | | 341,602 | | | | 347,166 | |
Chase Mortgage Finance Trust, | |
Series 2007-A1, Class 8A1 | |
2.47% | | | 02/25/37 | 7 | | | 3,667,538 | | | | 3,815,654 | |
Chase Mortgage Finance Trust, | |
Series 2007-A2, Class 2A3 | |
2.44% | | | 06/25/35 | 7 | | | 727,600 | | | | 744,562 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
Series 2005-2A, Class A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | | 05/25/36 | 1,2 | | | 486,810 | | | | 468,076 | |
CIM Trust, | |
Series 2018-R6, Class A1 | |
(LIBOR USD 1-Month plus 1.08%) | |
1.16% | | | 09/25/58 | 1,2 | | | 5,838,424 | | | | 5,840,088 | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | | 06/25/57 | 1,7 | | | 10,802,488 | | | | 10,851,452 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.00% | | | 02/25/34 | 7 | | | 13,125 | | | | 13,171 | |
Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | |
2.44% | | | 08/25/34 | 7 | | | 7,679 | | | | 7,679 | |
Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2004-AR1, Class 5A1 | |
2.36% | | | 02/25/34 | 7 | | | 526,967 | | | | 553,955 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR2, Class 2A1A | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 03/19/45 | 2 | | | 434,532 | | | | 422,065 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA3, Class A1 | |
2.28% | | | 09/25/34 | 7 | | | 2,201 | | | | 2,199 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR7, Class 2A1 | |
2.80% | | | 11/25/35 | 7 | | | 171,957 | | | | 173,427 | |
Impac CMB Trust, | |
Series 2005-5, Class A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
0.73% | | | 08/25/35 | 2 | | | 1,363,907 | | | | 1,341,297 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 12/25/34 | 2 | | | 206,378 | | | | 177,636 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR8, Class 2A2A | |
(LIBOR USD 1-Month plus 0.80%) | |
0.89% | | | 11/25/34 | 2 | | | 531,464 | | | | 520,545 | |
|
| See accompanying Notes to Financial Statements. |
|
| 121 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH4, Class M1 | |
(LIBOR USD 1-Month plus 0.23%) | |
0.32% | | | 05/25/37 | 2 | | $ | 5,000,000 | | | $ | 4,899,233 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 1A1 | |
2.76% | | | 07/25/35 | 7 | | | 475,466 | | | | 481,717 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 5A2 | |
2.50% | | | 07/25/35 | 7 | | | 129,256 | | | | 132,923 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
3.02% | | | 01/25/34 | 7 | | | 4,349 | | | | 4,657 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
2.73% | | | 11/21/34 | 7 | | | 467,324 | | | | 475,715 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
2.58% | | | 04/25/34 | 7 | | | 66,882 | | | | 69,502 | |
MASTR Alternative Loan Trust, | |
Series 2003-1, Class 1A1 | |
6.25% | | | 12/25/32 | | | | 1,234,147 | | | | 1,293,343 | |
MASTR Alternative Loan Trust, | |
Series 2003-5, Class 4A1 | |
5.50% | | | 07/25/33 | | | | 2,105,592 | | | | 2,233,839 | |
MASTR Alternative Loan Trust, | |
Series 2003-9, Class 4A1 | |
5.25% | | | 11/25/33 | | | | 2,666,494 | | | | 2,760,425 | |
MASTR Alternative Loan Trust, | |
Series 2004-7, Class 1A1 | |
5.50% | | | 07/25/34 | | | | 2,264,790 | | | | 2,401,938 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
2.47% | | | 10/25/32 | 7 | | | 99,035 | | | | 103,929 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2004-A4, Class A1 | |
2.62% | | | 08/25/34 | 7 | | | 654,782 | | | | 658,591 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2006-F1, Class 1A2 | |
6.00% | | | 04/25/36 | | | | 948,096 | | | | 685,135 | |
MortgageIT Trust, | |
Series 2005-3, Class A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 08/25/35 | 2 | | | 155,347 | | | | 155,014 | |
MortgageIT Trust, | |
Series 2005-4, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | | 10/25/35 | 2 | | | 3,877,701 | | | | 3,865,611 | |
NLT Trust, | |
Series 2021-INV2, Class A1 | |
1.16% | | | 08/25/56 | 1,7 | | | 7,931,370 | | | | 7,979,757 | |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-5, Class 1APT | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | | 12/25/35 | 2 | | | 3,835,727 | | | | 3,798,249 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
PHH Alternative Mortgage Trust, | |
Series 2007-3, Class A3 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 07/25/37 | 2 | | $ | 8,144,965 | | | $ | 8,029,094 | |
Residential Accredit Loans Trust, | |
Series 2005-QA3, Class NB1 | |
3.41% | | | 03/25/35 | 7 | | | 958,139 | | | | 574,811 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL4, Class A3 | |
6.50% | | | 07/25/32 | | | | 39,927 | | | | 40,006 | |
Residential Asset Mortgage Products Trust, | |
Series 2005-SL1, Class A5 | |
6.50% | | | 05/25/32 | | | | 162,257 | | | | 154,084 | |
Structured Asset Securities Corp. Mortgage Pass-Through | | | | | |
Certificates, | |
Series 2003-26A, Class 3A5 | |
2.23% | | | 09/25/33 | 7 | | | 253,163 | | | | 263,839 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
2.75% | | | 01/25/35 | 7 | | | 368,631 | | | | 376,426 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-CB2, Class 2A | |
5.50% | | | 07/25/34 | | | | 1,440,002 | | | | 1,483,955 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 10/25/45 | 2 | | | 1,262,548 | | | | 1,269,463 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | | 01/25/45 | 2 | | | 193,356 | | | | 194,117 | |
| | | | | | | | | | | | |
| | | | 83,215,022 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 5.92% | |
Fannie Mae-Aces, | |
Series 2017-M14, Class A1 | |
2.96% | | | 11/25/27 | 7 | | | 782,958 | | | | 788,608 | |
Fannie Mae-Aces, | |
Series 2017-M15, Class A1 | |
3.06% | | | 09/25/27 | 7 | | | 5,278,713 | | | | 5,611,161 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | |
Series K037, Class A1 | |
2.59% | | | 04/25/23 | | | | 1,719,420 | | | | 1,748,876 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | |
Series K038, Class A1 | |
2.60% | | | 10/25/23 | | | | 1,058,758 | | | | 1,073,841 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | |
Series K735, Class A1 | |
2.74% | | | 05/25/25 | | | | 874,888 | | | | 883,341 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 122 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF27, Class A | |
(LIBOR USD 1-Month plus 0.42%) | |
0.50% | | | 12/25/26 | 2 | | $ | 1,348,661 | | | $ | 1,353,266 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF29, Class A | |
(LIBOR USD 1-Month plus 0.36%) | |
0.44% | | | 02/25/24 | 2 | | | 2,926,550 | | | | 2,934,849 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF34, Class A | |
(LIBOR USD 1-Month plus 0.36%) | |
0.44% | | | 08/25/24 | 2 | | | 2,505,979 | | | | 2,513,400 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF37, Class A | |
(LIBOR USD 1-Month plus 0.36%) | |
0.44% | | | 09/25/27 | 2 | | | 996,991 | | | | 999,874 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF38, Class A | |
(LIBOR USD 1-Month plus 0.33%) | |
0.41% | | | 09/25/24 | 2 | | | 4,168,958 | | | | 4,179,381 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF39, Class A | |
(LIBOR USD 1-Month plus 0.32%) | |
0.40% | | | 11/25/24 | 2 | | | 4,239,278 | | | | 4,252,541 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF40, Class A | |
(LIBOR USD 1-Month plus 0.34%) | |
0.42% | | | 11/25/27 | 2 | | | 952,717 | | | | 955,122 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF43, Class A | |
(LIBOR USD 1-Month plus 0.24%) | |
0.32% | | | 01/25/28 | 2 | | | 2,601,439 | | | | 2,608,642 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF51, Class A | |
(LIBOR USD 1-Month plus 0.40%) | |
0.48% | | | 08/25/25 | 2 | | | 3,983,168 | | | | 4,004,553 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF58, Class A | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 01/25/26 | 2 | | | 11,033,956 | | | | 11,099,695 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF60, Class A | |
(LIBOR USD 1-Month plus 0.49%) | |
0.57% | | | 02/25/26 | 2 | | | 7,056,469 | | | | 7,082,278 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF62, Class A | |
(LIBOR USD 1-Month plus 0.48%) | |
0.56% | | | 04/25/26 | 2 | | $ | 8,467,918 | | | $ | 8,517,052 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF64, Class A | |
(LIBOR USD 1-Month plus 0.44%) | |
0.52% | | | 06/25/26 | 2 | | | 6,494,917 | | | | 6,523,501 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF72, Class A | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 10/25/26 | 2 | | | 7,334,688 | | | | 7,388,971 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF80, Class AL | |
(LIBOR USD 1-Month plus 0.44%) | |
0.52% | | | 06/25/30 | 2 | | | 11,184,098 | | | | 11,254,608 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF83, Class AL | |
(LIBOR USD 1-Month plus 0.36%) | |
0.44% | | | 06/25/30 | 2 | | | 10,000,000 | | | | 10,032,377 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF85, Class AL | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 08/25/30 | 2 | | | 10,525,179 | | | | 10,557,577 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ24, Class A1 | |
2.28% | | | 05/25/26 | | | | 8,304,140 | | | | 8,615,353 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ26, Class A1 | |
2.14% | | | 07/25/25 | | | | 13,395,275 | | | | 13,713,769 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ29, Class A1 | |
0.74% | | | 01/25/26 | | | | 8,467,114 | | | | 8,430,846 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ30, Class A1 | |
0.53% | | | 01/25/25 | | | | 7,652,603 | | | | 7,625,881 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ34, Class A1 | |
0.68% | | | 06/25/26 | | | | 8,348,718 | | | | 8,293,386 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q004, Class AFL | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.74%) | |
0.83% | | | 05/25/44 | 2 | | | 1,593,908 | | | | 1,595,152 | |
|
| See accompanying Notes to Financial Statements. |
|
| 123 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
| |
| U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
Ginnie Mae, | |
Series 2007-12, Class C | |
5.28% | | | 04/16/41 | 7 | | $ | 415,987 | | | $ | 418,588 | |
Ginnie Mae, | |
Series 2008-92, Class E | |
5.56% | | | 03/16/44 | 7 | | | 1,897,003 | | | | 1,919,694 | |
| | | | | | | | | | | | |
| | | | 156,976,183 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 15.34% | |
Fannie Mae Pool 567002 | |
8.00% | | | 05/01/23 | | | | 3,697 | | | | 3,795 | |
Fannie Mae Pool 735861 | |
6.50% | | | 09/01/33 | | | | 8,767 | | | | 9,766 | |
Fannie Mae Pool 770900 | |
(LIBOR USD 12-Month plus 1.56%) | |
1.81% | | | 04/01/34 | 2 | | | 92,557 | | | | 94,513 | |
Fannie Mae Pool AD0538 | |
6.00% | | | 05/01/24 | | | | 91,192 | | | | 95,084 | |
Fannie Mae Pool AE0083 | |
6.00% | | | 01/01/40 | | | | 654,593 | | | | 774,169 | |
Fannie Mae Pool AL0851 | |
6.00% | | | 10/01/40 | | | | 762,078 | | | | 891,371 | |
Fannie Mae Pool AL2206 | |
3.09% | | | 07/01/22 | 7 | | | 835,572 | | | | 840,679 | |
Fannie Mae Pool AM4580 | |
3.43% | | | 10/01/23 | | | | 6,122,384 | | | | 6,395,110 | |
Fannie Mae REMICS, | |
Series 1997-76, Class FS | |
(LIBOR USD 1-Month plus 0.45%) | |
0.53% | | | 09/17/27 | 2 | | | 7,528 | | | | 7,428 | |
Fannie Mae REMICS, | |
Series 2001-60, Class OF | |
(LIBOR USD 1-Month plus 0.95%) | |
1.04% | | | 10/25/31 | 2 | | | 468,790 | | | | 479,947 | |
Fannie Mae REMICS, | |
Series 2007-61, Class AF | |
(LIBOR USD 1-Month plus 0.28%) | |
0.37% | | | 03/25/37 | 2 | | | 51,419 | | | | 51,421 | |
Fannie Mae REMICS, | |
Series 2007-64, Class FA | |
(LIBOR USD 1-Month plus 0.47%) | |
0.56% | | | 07/25/37 | 2 | | | 246,557 | | | | 249,669 | |
Fannie Mae REMICS, | |
Series 2009-85, Class LF | |
(LIBOR USD 1-Month plus 1.20%) | |
1.29% | | | 10/25/49 | 2 | | | 2,045,462 | | | | 2,102,329 | |
Fannie Mae REMICS, | |
Series 2009-96, Class FA | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 11/25/49 | 2 | | | 1,544,740 | | | | 1,589,919 | |
Fannie Mae REMICS, | |
Series 2010-109, Class PF | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | | 10/25/40 | 2 | | | 774,851 | | | | 781,519 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2010-26, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | | | | | |
6.14% | | | 11/25/36 | 2 | | $ | 4,810,265 | | | $ | 996,593 | |
Fannie Mae REMICS, | |
Series 2010-43, Class DP | |
5.00% | | | 05/25/40 | | | | 603,570 | | | | 676,073 | |
Fannie Mae REMICS, | |
Series 2010-6, Class BF | |
(LIBOR USD 1-Month plus 0.76%) | |
0.85% | | | 02/25/40 | 2 | | | 1,082,594 | | | | 1,105,100 | |
Fannie Mae REMICS, | |
Series 2010-95, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | | 09/25/40 | 2 | | | 3,821,626 | | | | 860,078 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 01/25/50 | 2 | | | 4,208,755 | | | | 4,242,393 | |
Fannie Mae REMICS, | |
Series 2020-10, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 03/25/50 | 2 | | | 9,715,668 | | | | 9,780,729 | |
Freddie Mac Gold Pool A45796 | |
7.00% | | | 01/01/33 | | | | 1,571 | | | | 1,708 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | | 09/01/29 | | | | 3,840 | | | | 4,319 | |
Freddie Mac Gold Pool G13032 | |
6.00% | | | 09/01/22 | | | | 2,616 | | | | 2,644 | |
Freddie Mac Gold Pool G13475 | |
6.00% | | | 01/01/24 | | | | 4,008 | | | | 4,094 | |
Freddie Mac REMICS, | |
Series 2174, Class PN | |
6.00% | | | 07/15/29 | | | | 256,952 | | | | 287,210 | |
Freddie Mac REMICS, | |
Series 2454, Class FQ | |
(LIBOR USD 1-Month plus 1.00%) | |
1.08% | | | 06/15/31 | 2 | | | 4,179 | | | | 4,276 | |
Freddie Mac REMICS, | |
Series 2733, Class FB | |
(LIBOR USD 1-Month plus 0.60%) | |
0.68% | | | 10/15/33 | 2 | | | 1,781,601 | | | | 1,807,313 | |
Freddie Mac REMICS, | |
Series 3071, Class TF | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 04/15/35 | 2 | | | 1,351,068 | | | | 1,354,379 | |
Freddie Mac REMICS, | |
Series 3084, Class FN | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 12/15/34 | 2 | | | 253,360 | | | | 253,457 | |
Freddie Mac REMICS, | |
Series 3294, Class CB | |
5.50% | | | 03/15/37 | | | | 204,418 | | | | 236,484 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 124 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 3300, Class FA | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 08/15/35 | 2 | | $ | 474,439 | | | $ | 477,402 | |
Freddie Mac REMICS, | |
Series 3325, Class NF | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 08/15/35 | 2 | | | 1,223,506 | | | | 1,231,146 | |
Freddie Mac REMICS, | |
Series 3524, Class FC | |
(LIBOR USD 1-Month plus 0.94%) | |
1.02% | | | 06/15/38 | 2 | | | 293,691 | | | | 302,334 | |
Freddie Mac REMICS, | |
Series 3531, Class FM | |
(LIBOR USD 1-Month plus 0.90%) | |
0.98% | | | 05/15/39 | 2 | | | 212,022 | | | | 217,726 | |
Freddie Mac REMICS, | |
Series 3792, Class DF | |
(LIBOR USD 1-Month plus 0.40%) | |
0.48% | | | 11/15/40 | 2 | | | 119,788 | | | | 119,300 | |
Freddie Mac REMICS, | |
Series 4060, Class FJ | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | | 02/15/41 | 2 | | | 1,470,033 | | | | 1,473,589 | |
Freddie Mac REMICS, | |
Series 4959, Class JF | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | | 03/25/50 | 2 | | | 6,877,286 | | | | 6,944,297 | |
Freddie Mac Strips, | |
Series 240, Class F30 | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 07/15/36 | 2 | | | 1,424,436 | | | | 1,431,823 | |
Freddie Mac Strips, | |
Series 263, Class F5 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 06/15/42 | 2 | | | 1,540,757 | | | | 1,555,352 | |
Freddie Mac Strips, | |
Series 319, Class F2 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | | 11/15/43 | 2 | | | 6,983,443 | | | | 7,072,226 | |
Ginnie Mae (TBA) | |
2.00% | | | 11/20/51 | | | | 17,500,000 | | | | 17,714,878 | |
2.50% | | | 11/20/51 | | | | 129,825,000 | | | | 133,794,454 | |
Ginnie Mae I Pool BW5284 | |
3.55% | | | 10/15/50 | | | | 10,623,288 | | | | 10,700,682 | |
Ginnie Mae II Pool 1849 | |
8.50% | | | 08/20/24 | | | | 134 | | | | 134 | |
Ginnie Mae II Pool 2020 | |
8.50% | | | 06/20/25 | | | | 186 | | | | 189 | |
Ginnie Mae II Pool 2286 | |
8.50% | | | 09/20/26 | | | | 120 | | | | 122 | |
Ginnie Mae II Pool 2487 | |
8.50% | | | 09/20/27 | | | | 2,666 | | | | 2,859 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool 80059 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
1.88% | | | 04/20/27 | 2 | | $ | 8,827 | | | $ | 9,085 | |
Ginnie Mae II Pool 80589 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
2.00% | | | 03/20/32 | 2 | | | 10,016 | | | | 10,156 | |
Ginnie Mae II Pool 80610 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
1.88% | | | 06/20/32 | 2 | | | 6,478 | | | | 6,751 | |
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 | | | 191,276 | | | | 198,255 | |
Ginnie Mae II Pool 81201 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 2.00%) | |
2.50% | | | 01/20/35 | 2 | | | 5,267 | | | | 5,328 | |
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 | | | 6,239 | | | | 6,302 | |
Ginnie Mae, | |
Series 2009-106, Class XI (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
6.71% | | | 05/20/37 | 2 | | | 2,958,235 | | | | 411,961 | |
Ginnie Mae, | |
Series 2013-53, Class AD | |
1.50% | | | 12/20/26 | | | | 970,379 | | | | 984,710 | |
UMBS (TBA) | |
2.00% | | | 11/01/51 | | | | 102,300,000 | | | | 102,373,577 | |
2.50% | | | 11/01/51 | | | | 81,625,000 | | | | 83,993,924 | |
| | | | | | | | | | | | |
| | | | 407,022,131 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $972,861,740) | | | | 969,283,865 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.93%* | |
California — 0.20% | |
| Campbell Union School District General Obligation, School | | | | | |
Improvements, Series B | |
5.41% | | | 08/01/27 | | | | 4,600,000 | | | | 5,274,106 | |
| | | | | | | | | | | | |
|
Colorado — 0.03% | |
| City & County of Denver Airport System Revenue Bonds, | | | | | |
Series C | |
0.88% | | | 11/15/23 | | | | 895,000 | | | | 903,544 | |
| | | | | | | | | | | | |
|
Florida — 0.06% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and | | | | | |
Marina Improvements, Series B | |
2.14% | | | 10/01/28 | | | | 445,000 | | | | 451,333 | |
2.29% | | | 10/01/29 | | | | 985,000 | | | | 1,002,563 | |
| | | | | | | | | | | | |
| | | | 1,453,896 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 125 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
MUNICIPAL BONDS (continued) | |
Maryland — 0.08% | |
| City of Baltimore General Obligation, School Improvements, | | | | | |
Series C | |
5.00% | | | 10/15/25 | | | $ | 2,000,000 | | | $ | 2,215,465 | |
| | | | | | | | | | | | |
|
New York — 0.56% | |
| New York City Transitional Finance Authority Future Tax | | | | | |
| Secured Revenue Bonds, Public Improvements | | | | | |
3.19% | | | 08/01/25 | | | | 1,110,000 | | | | 1,180,935 | |
| New York City Transitional Finance Authority Future Tax | | | | | |
| Secured Revenue Bonds, Public Improvements, Subseries | | | | | |
B2 | |
2.31% | | | 11/01/26 | | | | 4,060,000 | | | | 4,242,812 | |
| New York State Dormitory Authority Revenue Bonds, | | | | | |
University & College Improvements, Series D | |
5.00% | | | 03/15/24 | | | | 4,040,000 | | | | 4,469,398 | |
| New York State Dormitory Authority Revenue Bonds, | | | | | |
University & College Improvements, Series F | |
5.19% | | | 03/15/24 | | | | 4,360,000 | | | | 4,843,710 | |
| | | | | | | | | | | | |
| | | | 14,736,855 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $24,324,065) | | | | 24,583,866 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 27.04% | |
|
U.S. Treasury Notes — 27.04% | |
U.S. Treasury Floating Rate Notes | |
(US Treasury Bill Yield 3-Month plus 0.11%) | |
0.15% | | | 04/30/22 | 2 | | | 20,000,000 | | | | 20,013,788 | |
U.S. Treasury Notes | |
0.13% | | | 07/31/23 | | | | 102,830,000 | | | | 102,618,787 | |
0.13% | | | 08/31/23 | | | | 253,145,000 | | | | 252,492,362 | |
0.25% | | | 09/30/23 | | | | 156,065,000 | | | | 155,955,267 | |
0.38% | | | 09/15/24 | | | | 28,290,000 | | | | 28,165,126 | |
0.75% | | | 08/31/26 | | | | 48,135,000 | | | | 47,625,446 | |
0.88% | | | 09/30/26 | | | | 10,325,000 | | | | 10,270,649 | |
1.75% | | | 11/30/21 | | | | 100,000,000 | | | | 100,279,297 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $717,606,160) | | | | 717,420,722 | |
| | | | | | | | | | | | |
|
Total Bonds — 111.49% | |
(Cost $2,947,259,703) | | | | 2,957,428,647 | |
| | | | | | | | | | | | |
| | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 0.00% | |
|
Electric — 0.00% | |
Homer City Holdings LLC†,5,6,9 | | | | 106,501 | | | | — | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $6,078,660) | |
|
Purchased Swaptions - 0.00% | |
(Cost $939,000) | | | | 1,713 | |
| | | | | | | | | | | | |
|
Purchased Options - 0.03% | |
(Cost $431,214) | | | | 817,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 5.91% | |
|
Money Market Funds — 0.64% | |
Morgan Stanley Institutional Liquidity Funds - Government | | | | | |
Portfolio | |
0.03%10 | | | | 16,875,000 | | | $ | 16,875,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 0.94% | |
Federal Home Loan Bank | |
0.04%11 | | | 10/29/21 | | | $ | 25,000,000 | | | | 24,999,806 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 4.33% | |
U.S. Treasury Bills | |
0.03%11 | | | 10/05/21 | | | | 65,000,000 | | | | 64,999,873 | |
0.05%11 | | | 02/10/22 | | | | 50,000,000 | | | | 49,992,666 | |
| | | | | | | | | | | | |
| | | | 114,992,539 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $156,865,183) | | | | 156,867,345 | |
| | | | | | | | | | | | |
|
Total Investments Before Written Options - 117.43% | |
(Cost $3,111,573,760) | | | | 3,115,115,205 | |
| | | | | | | | | | | | |
|
Written Options - (0.02)% | |
(Cost $(800,323)) | | | | (423,215 | ) |
| | | | | | | | | | | | |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 7,455 | |
| Liabilities in Excess of Other Assets - (17.41)% | | | | (461,890,791 | ) |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 2,652,808,654 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 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 $9,846,176, which is 0.37% of total net assets. |
| 7 | 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. |
| 8 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $310,264, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 9 | Non-income producing security. |
| 10 | Represents the current yield as of September 30, 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 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. |
|
| Semi-Annual Report September 2021 / 126 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | |
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 (LIBOR): London InterBank Offer Rate (MTN): Medium-Term Note (PO): Principal Only (SOFR): Secured Overnight Financing Rate (STEP): Step Coupon Bond (TBA): To-Be-Announced (USD): U.S. Dollar |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 769 | | | | 12/31/21 | | | $ | 169,222,055 | | | $ | (97,640 | ) | | $ | (97,640 | ) |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 1,521 | | | | 12/31/21 | | | | (186,690,868 | ) | | | 1,285,557 | | | | 1,285,557 | |
U.S. Treasury Ten-Year Ultra Bond | | | 583 | | | | 12/21/21 | | | | (84,680,750 | ) | | | 1,530,756 | | | | 1,530,756 | |
U.S. Treasury Ultra Bond | | | 72 | | | | 12/21/21 | | | | (13,756,500 | ) | | | 413,095 | | | | 413,095 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (285,128,118 | ) | | | 3,229,408 | | | | 3,229,408 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | (115,906,063 | ) | | $ | 3,131,768 | | | $ | 3,131,768 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| 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 | |
1011778 BC ULC/New Red | |
Finance, Inc., 4.00%, due | | | | | | Citigroup Global | | | | | | | | | | | | | | | | | | | | |
10/15/30 | | 5.00% | | | 3 Months | | | Markets Inc. | | | 06/20/23 | | | $ | 6,695,000 | | | $ | 391,191 | | | $ | 378,744 | | | $ | 12,447 | |
| | | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | 5.00% | | | 3 Months | | | International | | | 12/20/21 | | | | 3,425,000 | | | | 31,735 | | | | 22,497 | | | | 9,238 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | $ | 422,926 | | | $ | 401,241 | | | $ | 21,685 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 1,090 | | | | $99.13 | | | | 12/10/21 | | | $ | 170,625,213 | | | $ | 817,500 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of contracts | | | Exercise Price | | | Expiration Date | | | Notional Amount | | | Value | |
WRITTEN PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 2,180 | | | | $98.75 | | | | 12/10/21 | | | $ | (176,874,826) | | | $ | (422,375 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | 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 Swap | | Goldman Sachs International | | 12/24/23 | | 3-month
USD LIBOR | | | Quarterly | | | | 6.00 | % | | | Quarterly | | | $ | 300,000 | | | $ | 1,713 | | | $ | 939,000 | | | $ | (937,287) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 127 / Semi-Annual Report September 2021 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 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 Swap | | Goldman Sachs International | | 12/24/23 | | | 7.50 | % | | | Quarterly | | | 3-month
USD LIBOR | | | Quarterly | | | $ | 300,000 | | | $ | (840) | | | $ | (540,000) | | | $ | 539,160 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 128 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BONDS – 76.01% | |
|
BANK LOANS — 10.88%* | |
|
Communications — 2.31% | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 08/02/27 | 1 | | $ | 7,000 | | | $ | 7,012 | |
GTT Communications, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 05/30/25 | 1 | | | 16,730 | | | | 14,262 | |
Intelsat Jackson Holdings SA, | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.75%) | |
5.75% | | | 07/13/22 | 1,2,3 | | | 50,000 | | | | 50,438 | |
| | | | | | | | | | | | |
| | | | 71,712 | |
| | | | | | | | | | | | |
|
Entertainment — 0.86% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | | 02/28/25 | 1 | | | 15,951 | | | | 13,192 | |
Crown Finance U.S., Inc., | |
Term Loan B1, 1st Lien | |
7.00% | | | 05/23/24 | 1 | | | 11,000 | | | | 13,631 | |
| | | | | | | | | | | | |
| | | | 26,823 | |
| | | | | | | | | | | | |
|
Food — 0.38% | |
Sovos Brands Intermediate, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 06/08/28 | 1 | | | 11,662 | | | | 11,689 | |
| | | | | | | | | | | | |
|
Health Care — 2.08% | |
Cano Health LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
5.25% | | | 11/23/27 | 1 | | | 12,967 | | | | 12,994 | |
Endo Luxembourg Finance Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 03/27/28 | 1 | | | 12,967 | | | | 12,711 | |
Phoenix Newco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.50% | | | 08/11/28 | 1 | | | 26,000 | | | | 26,037 | |
U.S. Renal Care, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.50%) | |
6.50% | | | 06/26/26 | 1 | | | 13,000 | | | | 13,075 | |
| | | | | | | | | | | | |
| | | | 64,817 | |
| | | | | | | | | | | | |
|
Industrials — 1.48% | |
Protective Industrial Products, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 12/29/27 | 1 | | | 13,000 | | | | 13,000 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 08/12/24 | 1 | | $ | 33,912 | | | $ | 33,170 | |
| | | | | | | | | | | | |
| | | | 46,170 | |
| | | | | | | | | | | | |
|
Information Technology — 0.42% | |
Magenta Buyer LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 07/27/28 | 1 | | | 13,000 | | | | 13,016 | |
| | | | | | | | | | | | |
|
Materials — 0.84% | |
Geon Performance Solutions, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
5.50% | | | 08/10/28 | 1 | | | 13,000 | | | | 13,110 | |
WR Grace Holdings, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 09/22/28 | 1 | | | 13,000 | | | | 13,063 | |
| | | | | | | | | | | | |
| | | | 26,173 | |
| | | | | | | | | | | | |
|
Retail — 0.81% | |
U.S. Anesthesia Partners, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
4.75% | | | 09/22/28 | 1 | | | 25,000 | | | | 25,068 | |
| | | | | | | | | | | | |
|
Services — 1.06% | |
PowerTeam Services LLC, | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.25% | | | 03/06/26 | 1,4,5 | | | 33,000 | | | | 32,849 | |
| | | | | | | | | | | | |
|
Transportation — 0.64% | |
Kenan Advantage Group, Inc. (The), | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.00% | | | 08/17/29 | 1 | | | 20,000 | | | | 19,875 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $334,611) | | | | 338,192 | |
| | | | | | | | | | | | |
|
CORPORATES — 47.52%* | |
|
Communications — 10.53% | |
Altice France SA | |
(France) | |
5.50% | | | 10/15/29 | 2,6 | | | 25,000 | | | | 24,790 | |
CommScope, Inc. | |
4.75% | | | 09/01/29 | 6 | | | 26,000 | | | | 26,000 | |
CSC Holdings LLC | |
4.50% | | | 11/15/31 | 6 | | | 39,000 | | | | 38,573 | |
6.50% | | | 02/01/29 | 6 | | | 3,000 | | | | 3,253 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 6 | | | 47,000 | | | | 31,236 | |
6.63% | | | 08/15/27 | 6 | | | 68,000 | | | | 30,273 | |
|
| See accompanying Notes to Financial Statements. |
|
| 129 / Semi-Annual Report September 2021 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
DISH DBS Corp. | | | | | | | | | |
5.13% | | | 06/01/29 | | | $ | 7,000 | | | $ | 6,869 | |
DISH Network Corp. | | | | | | | | | |
3.38% | | | 08/15/26 | | | | 26,000 | | | | 27,092 | |
Level 3 Financing, Inc. | | | | | |
3.75% | | | 07/15/29 | 6 | | | 34,000 | | | | 32,903 | |
Lumen Technologies, Inc. | | | | | |
5.38% | | | 06/15/29 | 6 | | | 15,000 | | | | 15,324 | |
Scripps Escrow II, Inc. | |
5.38% | | | 01/15/31 | 6 | | | 20,000 | | | | 19,693 | |
Sinclair Television Group, Inc. | |
4.13% | | | 12/01/30 | 6 | | | 34,000 | | | | 33,278 | |
Vmed O2 UK Financing I PLC | |
(United Kingdom) | | | | | |
4.75% | | | 07/15/31 | 2,6 | | | 37,000 | | | | 37,848 | |
| | | | 327,132 | |
| |
Energy — 9.38% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | | 04/01/28 | 6 | | | 13,000 | | | | 13,487 | |
Endeavor Energy Resources LP/EER Finance, Inc. | | | | | |
5.75% | | | 01/30/28 | 6 | | | 25,000 | | | | 26,344 | |
Energy Transfer LP, | | | | | |
Series B | | | | | |
6.63% | | | 02/15/70 | 7 | | | 34,000 | | | | 33,193 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/26 | 6 | | | 31,000 | | | | 31,651 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | | 10/10/36 | 8 | | | 98,000 | | | | 54,145 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/22 | 4,5,6 | | | 27,061 | | | | 25,166 | |
SM Energy Co. | | | | | |
6.50% | | | 07/15/28 | | | | 13,000 | | | | 13,451 | |
TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 13,000 | | | | 13,357 | |
Transocean Phoenix 2 Ltd. | | | | | |
(Cayman Islands) | | | | | |
7.75% | | | 10/15/24 | 2,6 | | | 19,250 | | | | 19,659 | |
Transocean Poseidon Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | | 02/01/27 | 2,6 | | | 14,000 | | | | 13,952 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | | 09/01/27 | | | | 13,000 | | | | 13,781 | |
Venture Global Calcasieu Pass LLC | | | | | |
4.13% | | | 08/15/31 | 6 | | | 32,000 | | | | 33,460 | |
| | | | 291,646 | |
| |
Entertainment — 0.70% | | | | | |
Cinemark USA, Inc. | | | | | |
5.25% | | | 07/15/28 | 6 | | | 22,000 | | | | 21,725 | |
| |
Food — 4.50% | | | | | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | | | | | | | | |
3.75% | | | 12/01/31 | 2,6 | | | 25,000 | | | | 26,221 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Food (continued) | |
6.50% | | | 04/15/29 | 2,6 | | $ | 31,000 | | | $ | 34,648 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | | 03/01/32 | 6 | | | 54,000 | | | | 55,023 | |
Post Holdings, Inc. | | | | | |
4.50% | | | 09/15/31 | 6 | | | 17,000 | | | | 16,865 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ | | | | | |
Simmons Pet Food, Inc./Simmons Feed | |
4.63% | | | 03/01/29 | 6 | | | 7,000 | | | | 7,085 | |
| | | | 139,842 | |
| |
Gaming — 0.69% | | | | | |
Boyd Gaming Corp. | | | | | |
4.75% | | | 06/15/31 | 6 | | | 13,000 | | | | 13,418 | |
Caesars Entertainment, Inc. | | | | | |
4.63% | | | 10/15/29 | 6 | | | 8,000 | | | | 8,121 | |
| | | | 21,539 | |
| |
Health Care — 10.11% | | | | | |
Cano Health LLC | | | | | |
6.25% | | | 10/01/28 | 6 | | | 18,000 | | | | 18,202 | |
Centene Corp. | | | | | |
3.00% | | | 10/15/30 | | | | 38,000 | | | | 38,998 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | | | | | |
6.00% | | | 06/30/28 | 2,6 | | | 40,000 | | | | 28,900 | |
Grifols Escrow Issuer SA | |
(Spain) | | | | | |
4.75% | | | 10/15/28 | 2,6 | | | 61,000 | | | | 62,494 | |
HCRX Investments Holdco LP | | | | | |
4.50% | | | 08/01/29 | 6 | | | 33,000 | | | | 33,206 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | | 10/01/29 | 6 | | | 46,000 | | | | 47,739 | |
Molina Healthcare, Inc. | | | | | |
3.88% | | | 11/15/30 | 6 | | | 49,000 | | | | 51,736 | |
Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | 04/30/31 | 6 | | | 13,000 | | | | 13,671 | |
Prime Healthcare Services, Inc. | | | | | |
7.25% | | | 11/01/25 | 6 | | | 18,000 | | | | 19,305 | |
| | | | 314,251 | |
| |
Industrials — 2.00% | | | | | |
Artera Services LLC | | | | | |
9.03% | | | 12/04/25 | 6 | | | 6,000 | | | | 6,516 | |
Ball Corp. | | | | | |
3.13% | | | 09/15/31 | | | | 16,000 | | | | 15,824 | |
Graham Packaging Co., Inc. | | | | | |
7.13% | | | 08/15/28 | 6 | | | 12,000 | | | | 12,628 | |
Mauser Packaging Solutions Holding Co. | |
7.25% | | | 04/15/25 | 6 | | | 14,000 | | | | 13,933 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC | |
(Canada) | | | | | |
7.75% | | | 04/15/26 | 2,6 | | | 13,000 | | | | 13,318 | |
| | | | 62,219 | |
| |
Insurance — 0.67% | | | | | |
Acrisure LLC/Acrisure Finance, Inc. | | | | | |
4.25% | | | 02/15/29 | 6 | | | 14,000 | | | | 13,858 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 130 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Insurance (continued) | |
AmWINS Group, Inc. | |
4.88% | | | 06/30/29 | 6 | | $ | 7,000 | | | $ | 7,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,966 | |
| | | | | | | | | | | | |
| |
Materials — 2.28% | | | | | |
Allegheny Technologies, Inc. | |
5.13% | | | 10/01/31 | | | | 7,000 | | | | 7,071 | |
Clearwater Paper Corp. | |
4.75% | | | 08/15/28 | 6 | | | 6,000 | | | | 6,203 | |
Unifrax Escrow Issuer Corp. | |
7.50% | | | 09/30/29 | 6 | | | 56,000 | | | | 57,457 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,731 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.04% | |
| MGM Growth Properties Operating Partnership LP/MGP | | | | | |
Finance Co.-Issuer, Inc. | |
4.63% | | | 06/15/25 | 6 | | | 30,000 | | | | 32,436 | |
| | | | | | | | | | | | |
| |
Retail — 2.45% | | | | | |
| Bloomin’ Brands, Inc./OSI Restaurant Partners LLC | | | | | |
5.13% | | | 04/15/29 | 6 | | | 13,000 | | | | 13,590 | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 6 | | | 60,000 | | | | 62,428 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 76,018 | |
| | | | | | | | | | | | |
| |
Services — 2.96% | | | | | |
Adtalem Global Education, Inc. | |
5.50% | | | 03/01/28 | 6 | | | 13,000 | | | | 13,144 | |
| Allied Universal Holdco LLC/Allied Universal Finance Corp. | | | | | |
6.00% | | | 06/01/29 | 6 | | | 13,000 | | | | 12,857 | |
GFL Environmental, Inc. | |
(Canada) | | | | | | | | | | | | |
4.38% | | | 08/15/29 | 2,6 | | | 20,000 | | | | 20,225 | |
HealthEquity, Inc. | |
4.50% | | | 10/01/29 | 6 | | | 32,000 | | | | 32,548 | |
Waste Pro USA, Inc. | |
5.50% | | | 02/15/26 | 6 | | | 13,000 | | | | 13,148 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 91,922 | |
| | | | | | | | | | | | |
| |
Water — 0.21% | | | | | |
Solaris Midstream Holdings LLC | |
7.63% | | | 04/01/26 | 6 | | | 6,000 | | | | 6,437 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $1,453,037) | | | | 1,476,864 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 17.61%** | |
|
Non-Agency Commercial Mortgage-Backed — 6.60% | |
BCRR Trust, | |
Series 2016-FRR3, Class E | |
(-1.00 X LIBOR USD 1-Month plus 18.35%) | |
2.02% | | | 05/26/26 | 1,6 | | | 13,295 | | | | 12,321 | |
Citigroup Commercial Mortgage Trust, | |
Series 2013-GC11, Class XA (IO) | |
1.50% | | | 04/10/46 | 7 | | | 386,643 | | | | 6,307 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class XA (IO) | |
1.99% | | | 10/15/45 | 7 | | $ | 803,986 | | | $ | 6,916 | |
Commercial Mortgage Trust, | |
Series 2012-CR5, Class XA (IO) | |
1.65% | | | 12/10/45 | 7 | | | 483,149 | | | | 6,678 | |
Commercial Mortgage Trust, | |
Series 2014-CR14, Class A2 | |
3.15% | | | 02/10/47 | | | | 20,368 | | | | 20,469 | |
Commercial Mortgage Trust, | |
Series 2016-CR28, Class XA (IO) | |
0.79% | | | 02/10/49 | 7 | | | 783,316 | | | | 18,385 | |
DBUBS Mortgage Trust, | | | | | |
Series 2011-LC3A, Class C | |
5.55% | | | 08/10/44 | 6,7 | | | 17,903 | | | | 17,975 | |
GS Mortgage Securities Corp. II, | |
Series 2013-GC10, Class XA (IO) | |
1.63% | | | 02/10/46 | 7 | | | 351,860 | | | | 5,412 | |
GS Mortgage Securities Trust, | |
Series 2012-GCJ9, Class XA (IO) | |
2.08% | | | 11/10/45 | 7 | | | 926,248 | | | | 14,624 | |
GS Mortgage Securities Trust, | |
Series 2013-GC14, Class XA (IO) | |
0.71% | | | 08/10/46 | 7 | | | 496,593 | | | | 4,424 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C25, Class XA (IO) | |
0.98% | | | 11/15/47 | 7 | | | 166,865 | | | | 3,732 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C32, Class A2 | |
2.82% | | | 11/15/48 | | | | 13,306 | | | | 13,430 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2013-C8, Class XA (IO) | |
1.04% | | | 12/15/48 | 7 | | | 319,464 | | | | 2,940 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C23, Class XA (IO) | |
0.70% | | | 07/15/50 | 7 | | | 274,692 | | | | 4,922 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C4, Class XA (IO) | |
1.73% | | | 12/10/45 | 6,7 | | | 1,174,148 | | | | 13,117 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C35, Class A2 | |
2.50% | | | 07/15/48 | | | | 1,569 | | | | 1,569 | |
WF-RBS Commercial Mortgage Trust | |
Series 2013-C13, Class XA (IO) | |
1.32% | | | 05/15/45 | 6,7 | | | 835,607 | | | | 11,954 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C10, Class XA (IO) | |
1.63% | | | 12/15/45 | 6,7 | | | 1,175,923 | | | | 15,272 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C17, Class XA (IO) | |
1.22% | | | 12/15/46 | 7 | | | 608,037 | | | | 11,716 | |
WF-RBS Commercial Mortgage Trust, | �� |
Series 2013-UBS1, Class XA (IO) | |
1.12% | | | 03/15/46 | 7 | | | 784,759 | | | | 13,147 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 205,310 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 131 / Semi-Annual Report September 2021 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed — 8.29% | | | | | |
American Home Mortgage Assets Trust, | |
Series 2007-1, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
0.79% | | | 02/25/47 | 1 | | $ | 27,777 | | | $ | 15,509 | |
Galton Funding Mortgage Trust, | |
Series 2019-1, Class A22 | |
4.00% | | | 02/25/59 | 6,7 | | | 14,167 | | | | 14,324 | |
HarborView Mortgage Loan Trust, | |
Series 2007-5, Class A1A | |
(LIBOR USD 1-Month plus 0.19%) | | | | | |
0.28% | | | 09/19/37 | 1 | | | 21,861 | | | | 20,576 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR7, Class 1A1 | | | | | |
2.65% | | | 11/25/37 | 7 | | | 10,983 | | | | 10,736 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | | | | | |
2.73% | | | 11/21/34 | 7 | | | 51,406 | | | | 52,329 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2006-2, Class 2A2 (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap) | | | | | |
7.01% | | | 03/25/36 | 1,4,5 | | | 219,400 | | | | 41,769 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QA6, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.38%) | | | | | |
0.47% | | | 07/25/36 | 1 | | | 32,084 | | | | 32,474 | |
Soundview Home Loan Trust, | | | | | |
Series 2006-3, Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | | 11/25/36 | 1 | | | 46,000 | | | | 44,693 | |
WaMu Asset-Backed Certificates, | | | | | |
Series 2007-HE2, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.19%) | | | | | |
0.28% | | | 04/25/37 | 1 | | | 50,958 | | | | 25,145 | |
| | | | 257,555 | |
|
U.S. Agency Commercial Mortgage-Backed — 2.72% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series K024, Class X3 (IO) | | | | | |
1.71% | | | 11/25/40 | 7 | | | 1,000,000 | | | | 15,228 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series K028, Class X3 (IO) | | | | | |
1.72% | | | 06/25/41 | 7 | | | 219,000 | | | | 5,063 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series K032, Class X1 (IO) | | | | | |
0.19% | | | 05/25/23 | 7 | | | 10,654,554 | | | | 16,616 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series K715, Class X3 (IO) | | | | | |
3.95% | | | 02/25/41 | 7 | | | 860,609 | | | | 15,100 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series K721, Class X1 (IO) | | | | | |
0.42% | | | 08/25/22 | 7 | | $ | 3,561,001 | | | $ | 7,837 | |
FREMF Mortgage Trust, | | | | | |
Series 2012-K20, Class X2A (IO) | | | | | |
0.20% | | | 05/25/45 | 6 | | | 16,603,675 | | | | 11,230 | |
Ginnie Mae, | | | | | |
Series 2012-27, Class IO (IO) | | | | | |
0.74% | | | 04/16/53 | 7 | | | 645,975 | | | | 6,858 | |
Ginnie Mae, | | | | | |
Series 2013-163, Class IO (IO) | | | | | |
1.16% | | | 02/16/46 | 7 | | | 256,260 | | | | 6,690 | |
| | | | 84,622 | |
| |
Total Mortgage-Backed | | | | | |
| (Cost $539,253) | | | | 547,487 | |
| |
Total Bonds — 76.01% | | | | | |
| (Cost $2,326,901) | | | | 2,362,543 | |
| | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 11.07% | |
|
Communication Services — 3.04% | |
Altice USA, Inc.9 | | | | 1,291 | | | | 26,749 | |
AT&T, Inc. | | | | 562 | | | | 15,180 | |
National CineMedia, Inc. | | | | 6,151 | | | | 21,897 | |
Nexstar Media Group, Inc. | | | | 107 | | | | 16,260 | |
| T-Mobile U.S., Inc.9 | | | | 114 | | | | 14,565 | |
| | | | 94,651 | |
|
Consumer Discretionary — 2.26% | |
Newell Brands, Inc. | | | | 602 | | | | 13,328 | |
Qurate Retail, Inc. | | | | 1,466 | | | | 14,939 | |
| Rent-A-Center, Inc. | | | | 745 | | | | 41,876 | |
| | | | 70,143 | |
| |
Financials — 0.52% | | | | | |
| Wells Fargo & Co. | | | | 348 | | | | 16,151 | |
| |
Health Care — 1.20% | | | | | |
Bausch Health Cos., Inc.9 | | | | 795 | | | | 22,141 | |
| Centene Corp.9 | | | | 243 | | | | 15,141 | |
| | | | 37,282 | |
| |
Industrials — 0.71% | | | | | |
Maxar Technologies, Inc. | | | | 493 | | | | 13,962 | |
| TransDigm Group, Inc.9 | | | | 13 | | | | 8,119 | |
| | | | 22,081 | |
|
Information Technology — 0.68% | |
CommScope Holding Co., Inc.9 | | | | 1,012 | | | | 13,753 | |
| SS&C Technologies Holdings, Inc. | | | | 105 | | | | 7,287 | |
| | | | 21,040 | |
|
Real Estate Investment Trust (REIT) — 0.93% | |
| Gaming and Leisure Properties, Inc. | | | | 306 | | | | 14,174 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 132 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 11.07% (continued) | |
|
Real Estate Investment Trust (REIT) — 0.93% (continued) | |
| Hudson Pacific Properties, Inc. | | | | 560 | | | $ | 14,711 | |
| | | | | | | | | | | | |
| | | | 28,885 | |
| | | | | | | | | | | | |
| |
Transportation — 0.58% | | | | | |
Hertz Global Holdings, Inc.9 | | | | 1,300 | | | | 18,233 | |
| | | | | | | | | | | | |
| |
Utilities — 1.15% | | | | | |
FirstEnergy Corp. | | | | 1,001 | | | | 35,656 | |
| | | | | | | | | | | | |
| |
Total Common Stock | | | | | |
(Cost $359,386) | | | | 344,122 | |
| | | | | | | | | | | | |
|
MASTER LIMITED PARTNERSHIPS — 2.39% | |
| |
Energy — 2.39% | | | | | |
| Enterprise Products Partners LP | | | | 1,025 | | | | 22,181 | |
NGL Energy Partners LP | | | | 8,366 | | | | 19,827 | |
Sunoco LP | | | | 416 | | | | 15,525 | |
| USA Compression Partners LP | | | | 1,017 | | | | 16,852 | |
| | | | | | | | | | | | |
| | | | 74,385 | |
| | | | | | | | | | | | |
|
Total Master Limited Partnerships | |
(Cost $66,430) | | | | 74,385 | |
| | | | | | | | | | | | |
| | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 19.71% | |
|
Money Market Funds — 4.42% | |
Fidelity Investments Money Market Funds - Government | |
Portfolio | | | | | |
0.01%10 | | | | 137,509 | | | | 137,509 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 15.29% | |
U.S. Treasury Bills | | | | | |
0.05%11 | | | 11/18/21 | | | $ | 275,000 | | | | 274,991 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS (continued) | |
|
U.S. Treasury Bills (continued) | |
0.04%11 | | | 03/03/22 | | | $ | 200,000 | | | $ | 199,967 | |
| | | | | | | | | | | | |
| | | | 474,958 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $612,457) | | | | 612,467 | |
| | | | | | | | | | | | |
|
Total Investments -109.18% | |
(Cost $3,365,174) | | | | 3,393,517 | |
| | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.01% | | | | 242 | |
| |
| Liabilities in Excess of Other Assets - (9.19)% | | | | (285,562 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 3,108,197 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $10,088, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 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 $99,784, which is 3.21% of total net assets. |
| 6 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 7 | 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. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 9 | Non-income producing security. |
| 10 | Represents the current yield as of September 30, 2021. |
| 11 | 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.
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(USD): U.S. Dollar
| | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized (Depreciation) | |
| | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | 1 | | 12/31/21 | | $ | 122,742 | | | $ | (25 | ) | | $ | (25 | ) |
| | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 133 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 90.82% | |
|
ASSET-BACKED SECURITIES — 29.53%** | |
Allegro CLO XII Ltd., | |
Series 2020-1A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | | 01/21/32 | 1,2,3 | | $ | 45,000 | | | $ | 45,029 | |
AMSR Trust, | |
Series 2020-SFR1, Class I | |
8.19% | | | 04/17/37 | 1 | | | 100,000 | | | | 107,931 | |
Cedar Funding XII CLO Ltd., | |
Series 2020-12A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | | 10/25/32 | 1,2,3 | | | 180,000 | | | | 180,034 | |
Conseco Finance Corp., | |
Series 1996-7, Class M1 | |
7.70% | | | 09/15/26 | 4 | | | 3,285 | | | | 3,294 | |
Conseco Finance Corp., | |
Series 1998-4, Class A6 | |
6.53% | | | 04/01/30 | 4 | | | 23,981 | | | | 24,107 | |
Conseco Finance Corp., | |
Series 1998-4, Class A7 | |
6.87% | | | 04/01/30 | 4 | | | 11,874 | | | | 11,942 | |
Conseco Finance Corp., | |
Series 1999-5, Class A5 | |
7.86% | | | 03/01/30 | 4 | | | 78,999 | | | | 45,198 | |
CoreVest American Finance Trust, | |
Series 2019-1, Class XA (IO) | |
2.33% | | | 03/15/52 | 1,4 | | | 508,121 | | | | 30,705 | |
CoreVest American Finance Trust, | |
Series 2020-1, Class A2 | |
2.30% | | | 03/15/50 | 1 | | | 140,000 | | | | 142,753 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
| Series 2007-CB2, Class A2C (STEP-reset date 11/25/21) | | | | | |
3.66% | | | 02/25/37 | | | | 274,309 | | | | 219,012 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
| Series 2007-CB3, Class A3 (STEP-reset date 11/25/21) | | | | | |
3.40% | | | 03/25/37 | | | | 906,208 | | | | 479,315 | |
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 | | | | 48,581 | |
Dryden 85 CLO Ltd., | |
Series 2020-85A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.35%) | |
1.48% | | | 10/15/32 | 1,2,3 | | | 200,000 | | | | 200,001 | |
Dryden 85 CLO Ltd., | |
Series 2020-85A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
0.00% | | | 10/15/35 | 1,2,3 | | | 150,000 | | | | 150,075 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
ASSET-BACKED SECURITIES (continued) | |
Eaton Vance CLO Ltd., | |
Series 2020-1A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.17%) | |
1.25% | | | 10/15/34 | 1,2,3 | | $ | 90,000 | | | $ | 90,062 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2B | |
(LIBOR USD 1-Month plus 0.11%) | |
0.20% | | | 12/25/37 | 2 | | | 359,712 | | | | 343,352 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF1, Class A2D | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 01/25/38 | 2 | | | 863,051 | | | | 604,247 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2B | |
(LIBOR USD 1-Month plus 0.10%) | |
0.19% | | | 03/25/37 | 2 | | | 611,007 | | | | 380,048 | |
Global SC Finance II SRL, | |
Series 2014-1A, Class A2 | |
(Barbados) | |
3.09% | | | 07/17/29 | 1,3 | | | 86,417 | | | | 88,150 | |
Golub Capital Partners CLO 54M L.P, | |
Series 2021-54A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.53%) | |
1.65% | | | 08/05/33 | 1,2,3 | | | 90,000 | | | | 90,052 | |
HPS Loan Management 10-2016 Ltd., | |
Series 10A-16, Class A1RR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.14%) | |
1.27% | | | 04/20/34 | 1,2,3 | | | 85,000 | | | | 85,095 | |
| IndyMac Manufactured Housing Contract Pass-Through | | | | | |
Certificates, | |
Series 1997-1, Class A3 | |
6.61% | | | 02/25/28 | | | | 55,639 | | | | 56,169 | |
| IndyMac Manufactured Housing Contract Pass-Through | | | | | |
Certificates, | |
Series 1997-1, Class A4 | |
6.75% | | | 02/25/28 | | | | 23,422 | | | | 23,660 | |
| IndyMac Manufactured Housing Contract Pass-Through | | | | | |
Certificates, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 50,272 | | | | 51,998 | |
| IndyMac Manufactured Housing Contract Pass-Through | | | | | |
Certificates, | |
Series 1998-1, Class A5 | |
6.96% | | | 09/25/28 | 4 | | | 121,172 | | | | 127,963 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-HE1, Class AF6 (STEP-reset date 11/25/21) | | | | | |
4.22% | | | 03/25/47 | | | | 724,327 | | | | 568,450 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2004-HE2, Class A2C | |
(LIBOR USD 1-Month plus 1.16%) | |
1.25% | | | 08/25/35 | 2 | | | 629,458 | | | | 611,678 | |
Mid-State Capital Corp. Trust, | |
Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 293,042 | | | | 327,174 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 134 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Mid-State Capital Corp. Trust, | |
Series 2004-1, Class M1 | |
6.50% | | | 08/15/37 | | | $ | 202,670 | | | $ | 218,380 | |
Mid-State Capital Corp. Trust, | |
Series 2005-1, Class A | |
5.75% | | | 01/15/40 | | | | 109,638 | | | | 116,979 | |
Mid-State Trust XI, | |
Series 11, Class B | |
8.22% | | | 07/15/38 | | | | 6,071 | | | | 6,713 | |
Neuberger Berman Loan Advisers CLO 43 Ltd., | |
Series 2021-43A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.13%) | |
1.24% | | | 07/17/35 | 1,2,3 | | | 85,000 | | | | 85,088 | |
Oakwood Mortgage Investors, Inc., | |
Series 1999-B, Class A4 | |
6.99% | | | 12/15/26 | | | | 101,980 | | | | 103,065 | |
Oakwood Mortgage Investors, Inc., | |
Series 2002-A, Class A3 | |
6.03% | | | 05/15/24 | 4 | | | 134,839 | | | | 137,385 | |
OCP CLO Ltd., | |
Series 2021-21A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
0.00% | | | 07/20/34 | 1,2,3 | | | 50,000 | | | | 50,070 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.25%) | |
1.38% | | | 10/19/32 | 1,2,3 | | | 180,000 | | | | 180,027 | |
Palmer Square Loan Funding Ltd., | |
Series 2020-2A, Class A2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.55%) | |
1.68% | | | 04/20/28 | 1,2,3 | | | 100,000 | | | | 100,025 | |
Park Avenue Institutional Advisers CLO Ltd., | |
Series 2021-1A, Class A2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.75%) | |
1.88% | | | 01/20/34 | 1,2,3 | | | 40,000 | | | | 40,030 | |
Residential Asset Securities Corp., | |
Series 2005-KS11, Class M3 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | | 12/25/35 | 2 | | | 164,736 | | | | 164,696 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 12/30/99 | 5,6 | | | 72,611 | | | | 72,818 | |
SLC Student Loan Trust, | |
Series 2004-1, Class B | |
(LIBOR USD 3-Month plus 0.29%) | |
0.41% | | | 08/15/31 | 2 | | | 135,309 | | | | 126,611 | |
SLM Student Loan Trust, | |
Series 2007-7, Class B | |
(LIBOR USD 3-Month plus 0.75%) | |
0.88% | | | 10/27/70 | 2 | | | 215,000 | | | | 196,384 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 01/25/83 | 2 | | $ | 340,000 | | | $ | 326,582 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | | 04/26/83 | 2 | | | 340,000 | | | | 321,188 | |
SLM Student Loan Trust, | |
Series 2008-4, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | | 04/25/73 | 2 | | | 340,000 | | | | 341,738 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | | 07/25/73 | 2 | | | 235,000 | | | | 232,757 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | | 07/26/83 | 2 | | | 340,000 | | | | 341,952 | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | | 01/16/46 | 1 | | | 276,898 | | | | 311,840 | |
Structured Receivables Finance LLC, | |
Series 2010-B, Class B | |
7.97% | | | 08/15/36 | 1 | | | 303,826 | | | | 363,685 | |
TCI-Flatiron CLO Ltd., | |
Series 2016-1A, Class BR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.60%) | |
1.73% | | | 01/17/32 | 1,2,3 | | | 25,000 | | | | 25,015 | |
Terwin Mortgage Trust, | |
Series 2004-7HE, Class A1 | |
(LIBOR USD 1-Month plus 1.10%) | |
1.19% | | | 07/25/34 | 1,2 | | | 64,209 | | | | 64,007 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
| (Cost $9,740,873) | | | | 9,063,110 | |
| | | | | | | | | | | | |
|
CORPORATES — 27.98%* | |
|
Banking — 4.20% | |
Bank of America Corp. | |
1.73% | | | 07/22/27 | 4 | | | 110,000 | | | | 110,603 | |
Bank of America Corp. | |
(MTN) | |
2.09% | | | 06/14/29 | 4 | | | 55,000 | | | | 54,963 | |
3.97% | | | 02/07/30 | 4 | | | 25,000 | | | | 28,011 | |
Bank of America Corp., | |
Series N | |
1.66% | | | 03/11/27 | 4 | | | 100,000 | | | | 100,673 | |
Comerica, Inc. | |
5.63% | | | 10/01/70 | 4 | | | 45,000 | | | | 49,669 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 1,3,4 | | | 30,000 | | | | 29,369 | |
2.19% | | | 06/05/26 | 1,3,4 | | | 90,000 | | | | 91,810 | |
3.75% | | | 03/26/25 | 3 | | | 15,000 | | | | 16,183 | |
4.55% | | | 04/17/26 | 3 | | | 5,000 | | | | 5,620 | |
|
| See accompanying Notes to Financial Statements. |
|
| 135 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
DNB Bank ASA | |
(Norway) | |
1.13% | | | 09/16/26 | 1,3,4 | | $ | 45,000 | | | $ | 44,541 | |
HSBC Holdings PLC | |
(United Kingdom) | |
1.59% | | | 05/24/27 | 3,4 | | | 25,000 | | | | 24,843 | |
2.21% | | | 08/17/29 | 3,4 | | | 100,000 | | | | 99,310 | |
3.80% | | | 03/11/25 | 3,4 | | | 5,000 | | | | 5,335 | |
4.29% | | | 09/12/26 | 3,4 | | | 10,000 | | | | 11,025 | |
JPMorgan Chase & Co. | |
0.77% | | | 08/09/25 | 4 | | | 15,000 | | | | 14,943 | |
0.97% | | | 06/23/25 | 4 | | | 45,000 | | | | 45,062 | |
1.47% | | | 09/22/27 | 4 | | | 45,000 | | | | 44,703 | |
1.58% | | | 04/22/27 | 4 | | | 40,000 | | | | 40,090 | |
2.01% | | | 03/13/26 | 4 | | | 85,000 | | | | 87,148 | |
2.18% | | | 06/01/28 | 4 | | | 15,000 | | | | 15,324 | |
Macquarie Group Ltd. | |
(Australia) | |
2.69% | | | 06/23/32 | 1,3,4 | | | 30,000 | | | | 29,973 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/25 | 3,4 | | | 55,000 | | | | 59,361 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.53% | | | 08/21/26 | 3,4 | | | 35,000 | | | | 34,944 | |
1.67% | | | 06/14/27 | 3,4 | | | 45,000 | | | | 44,845 | |
4.80% | | | 11/15/24 | 3,4 | | | 65,000 | | | | 70,390 | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | | 02/11/26 | 4 | | | 50,000 | | | | 51,595 | |
2.39% | | | 06/02/28 | 4 | | | 75,000 | | | | 77,419 | |
| | | | | | | | | | | | |
| | | | 1,287,752 | |
| | | | | | | | | | | | |
|
Communications — 5.13% | |
AT&T, Inc. | |
2.55% | | | 12/01/33 | | | | 93,000 | | | | 91,580 | |
3.80% | | | 12/01/57 | | | | 136,000 | | | | 139,417 | |
4.75% | | | 05/15/46 | | | | 15,000 | | | | 17,975 | |
Cable One, Inc. | |
4.00% | | | 11/15/30 | 1 | | | 37,000 | | | | 36,815 | |
CommScope, Inc. | |
4.75% | | | 09/01/29 | 1 | | | 24,000 | | | | 24,000 | |
CSC Holdings LLC | |
5.38% | | | 02/01/28 | 1 | | | 5,000 | | | | 5,231 | |
6.50% | | | 02/01/29 | 1 | | | 12,000 | | | | 13,011 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 1 | | | 85,000 | | | | 56,492 | |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. | | | | | |
5.88% | | | 08/15/27 | 1 | | | 30,000 | | | | 31,349 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
8.50% | | | 10/15/24 | 1,3,7,8 | | | 38,000 | | | | 22,040 | |
9.75% | | | 07/15/25 | 1,3,7,8 | | | 71,000 | | | | 40,047 | |
Level 3 Financing, Inc. | |
3.40% | | | 03/01/27 | 1 | | | 10,000 | | | | 10,536 | |
3.88% | | | 11/15/29 | 1 | | | 40,000 | | | | 42,822 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
Lumen Technologies, Inc. | |
4.00% | | | 02/15/27 | 1 | | $ | 24,000 | | | $ | 24,539 | |
5.38% | | | 06/15/29 | 1 | | | 42,000 | | | | 42,908 | |
National CineMedia LLC | |
5.88% | | | 04/15/28 | 1 | | | 33,000 | | | | 30,254 | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 70,000 | | | | 83,399 | |
Scripps Escrow II, Inc. | |
5.38% | | | 01/15/31 | 1 | | | 25,000 | | | | 24,616 | |
SES GLOBAL Americas Holdings GP | |
5.30% | | | 03/25/44 | 1 | | | 200,000 | | | | 229,163 | |
Sinclair Television Group, Inc. | |
4.13% | | | 12/01/30 | 1 | | | 52,000 | | | | 50,895 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | | 03/20/25 | 1 | | | 105,000 | | | | 112,271 | |
Tencent Holdings Ltd. | |
(Cayman Islands) | |
3.98% | | | 04/11/29 | 1,3 | | | 25,000 | | | | 27,472 | |
Time Warner Cable LLC | |
5.50% | | | 09/01/41 | | | | 100,000 | | | | 122,750 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 78,000 | | | | 78,977 | |
2.55% | | | 02/15/31 | | | | 10,000 | | | | 10,042 | |
2.63% | | | 04/15/26 | | | | 38,000 | | | | 38,877 | |
3.75% | | | 04/15/27 | | | | 10,000 | | | | 11,022 | |
3.88% | | | 04/15/30 | | | | 25,000 | | | | 27,618 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
5.50% | | | 05/15/29 | 1,3 | | | 66,000 | | | | 69,647 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.88% | | | 06/19/49 | 3 | | | 48,000 | | | | 59,961 | |
| | | | | | | | | | | | |
| | | | 1,575,726 | |
| �� | | | | | | | | | | | |
|
Consumer Discretionary — 1.10% | |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev | | | | | |
Worldwide, Inc. | |
4.70% | | | 02/01/36 | | | | 15,000 | | | | 18,152 | |
4.90% | | | 02/01/46 | | | | 65,000 | | | | 80,021 | |
Bacardi Ltd. | |
(Bermuda) | |
5.30% | | | 05/15/48 | 1,3 | | | 40,000 | | | | 52,252 | |
BAT Capital Corp. | |
2.73% | | | 03/25/31 | | | | 25,000 | | | | 24,657 | |
4.39% | | | 08/15/37 | | | | 20,000 | | | | 21,508 | |
4.54% | | | 08/15/47 | | | | 75,000 | | | | 77,820 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.13% | | | 07/26/24 | 1,3 | | | 25,000 | | | | 26,285 | |
Primo Water Holdings, Inc. | |
4.38% | | | 04/30/29 | 1 | | | 38,000 | | | | 37,947 | |
| | | | | | | | | | | | |
| | | | 338,642 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 136 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Electric — 0.85% | |
Entergy Texas, Inc. | |
3.45% | | | 12/01/27 | | | $ | 150,000 | | | $ | 161,677 | |
FirstEnergy Transmission LLC | |
2.87% | | | 09/15/28 | 1 | | | 39,000 | | | | 40,742 | |
Jersey Central Power & Light Co. | |
4.70% | | | 04/01/24 | 1 | | | 55,000 | | | | 59,327 | |
| | | | | | | | | | | | |
| | | | 261,746 | |
| | | | | | | | | | | | |
Energy — 2.70% | |
Energy Transfer LP | |
5.40% | | | 10/01/47 | | | | 174,000 | | | | 207,697 | |
5.50% | | | 06/01/27 | | | | 3,000 | | | | 3,522 | |
Hess Corp. | |
4.30% | | | 04/01/27 | | | | 50,000 | | | | 55,564 | |
Kinder Morgan Energy Partners LP | |
5.00% | | | 08/15/42 | | | | 45,000 | | | | 53,215 | |
Occidental Petroleum Corp. | |
0.00% | | | 10/10/36 | 9 | | | 55,000 | | | | 30,388 | |
Petroleos Mexicanos | |
(Mexico) | |
6.63% | | | 06/15/35 | 3 | | | 15,000 | | | | 14,306 | |
6.75% | | | 09/21/47 | 3 | | | 50,000 | | | | 43,685 | |
6.95% | | | 01/28/60 | 3 | | | 35,000 | | | | 30,455 | |
Rockies Express Pipeline LLC | |
4.80% | | | 05/15/30 | 1 | | | 100,000 | | | | 103,500 | |
Ruby Pipeline LLC | |
8.00% | | | 04/01/22 | 1,5,6 | | | 34,545 | | | | 32,127 | |
Sunoco LP/Sunoco Finance Corp. | |
4.50% | | | 05/15/29 | | | | 56,000 | | | | 57,114 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 35,000 | | | | 35,963 | |
Transocean Pontus Ltd. | |
(Cayman Islands) | |
6.13% | | | 08/01/25 | 1,3 | | | 27,470 | | | | 27,557 | |
Transocean Poseidon Ltd. | |
(Cayman Islands) | |
6.88% | | | 02/01/27 | 1,3 | | | 20,000 | | | | 19,931 | |
Transocean Proteus Ltd. | |
(Cayman Islands) | |
6.25% | | | 12/01/24 | 1,3 | | | 10,450 | | | | 10,499 | |
| USA Compression Partners LP/USA Compression Finance | | | | | |
Corp. | |
6.88% | | | 04/01/26 | | | | 32,000 | | | | 33,360 | |
6.88% | | | 09/01/27 | | | | 22,000 | | | | 23,322 | |
Venture Global Calcasieu Pass LLC | |
3.88% | | | 08/15/29 | 1 | | | 45,000 | | | | 46,415 | |
| | | | | | | | | | | | |
| | | | 828,620 | |
| | | | | | | | | | | | |
|
Entertainment — 0.10% | |
Cinemark USA, Inc. | |
5.25% | | | 07/15/28 | 1 | | | 32,000 | | | | 31,600 | |
| | | | | | | | | | | | |
|
Finance — 3.34% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.95% | | | 02/01/22 | 3 | | | 75,000 | | | | 75,632 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
Air Lease Corp. | |
(MTN) | |
2.30% | | | 02/01/25 | | | $ | 75,000 | | | $ | 77,065 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 1,3 | | | 60,000 | | | | 59,060 | |
5.25% | | | 05/15/24 | 1,3 | | | 10,000 | | | | 10,934 | |
Citigroup, Inc. | |
1.46% | | | 06/09/27 | 4 | | | 145,000 | | | | 144,280 | |
3.11% | | | 04/08/26 | 4 | | | 25,000 | | | | 26,560 | |
Ford Motor Credit Co. LLC | |
3.22% | | | 01/09/22 | | | | 30,000 | | | | 30,113 | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | | 03/28/22 | 2 | | | 115,000 | | | | 115,089 | |
General Motors Financial Co., Inc. | |
3.15% | | | 06/30/22 | | | | 75,000 | | | | 76,304 | |
3.45% | | | 04/10/22 | | | | 20,000 | | | | 20,216 | |
Goldman Sachs Group, Inc. (The) | |
1.43% | | | 03/09/27 | 4 | | | 10,000 | | | | 9,974 | |
1.54% | | | 09/10/27 | 4 | | | 90,000 | | | | 89,763 | |
3.27% | | | 09/29/25 | 4 | | | 15,000 | | | | 16,044 | |
Goldman Sachs Group, Inc. (The), | |
Series VAR | |
1.09% | | | 12/09/26 | 4 | | | 60,000 | | | | 59,150 | |
Morgan Stanley | |
1.59% | | | 05/04/27 | 4 | | | 40,000 | | | | 40,127 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | | 07/20/27 | 4 | | | 85,000 | | | | 84,639 | |
Nationwide Building Society | |
(United Kingdom) | |
3.77% | | | 03/08/24 | 1,3,4 | | | 50,000 | | | | 52,140 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | | 03/15/23 | 1,3 | | | 35,000 | | | | 36,581 | |
| | | | | | | | | | | | |
| | | | 1,023,671 | |
| | | | | | | | | | | | |
|
Food — 1.22% | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | |
3.75% | | | 12/01/31 | 1,3 | | | 27,000 | | | | 28,319 | |
5.50% | | | 01/15/30 | 1,3 | | | 25,000 | | | | 27,836 | |
Kraft Heinz Foods Co. | |
5.00% | | | 06/04/42 | | | | 74,000 | | | | 90,907 | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | 1 | | | 30,000 | | | | 30,568 | |
4.25% | | | 04/15/31 | 1 | | | 25,000 | | | | 26,751 | |
Post Holdings, Inc. | |
4.63% | | | 04/15/30 | 1 | | | 50,000 | | | | 50,449 | |
Smithfield Foods, Inc. | |
2.63% | | | 09/13/31 | 1 | | | 45,000 | | | | 43,890 | |
3.35% | | | 02/01/22 | 1 | | | 75,000 | | | | 75,722 | |
| | | | | | | | | | | | |
| | | | 374,442 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 137 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care — 2.98% | |
AbbVie, Inc. | |
3.60% | | | 05/14/25 | | | $ | 50,000 | | | $ | 54,112 | |
Bausch Health Americas, Inc. | |
9.25% | | | 04/01/26 | 1 | | | 7,000 | | | | 7,499 | |
Bayer U.S. Finance II LLC | |
2.85% | | | 04/15/25 | 1 | | | 20,000 | | | | 20,584 | |
4.38% | | | 12/15/28 | 1 | | | 70,000 | | | | 79,313 | |
4.63% | | | 06/25/38 | 1 | | | 35,000 | | | | 41,342 | |
Centene Corp. | |
2.45% | | | 07/15/28 | | | | 46,000 | | | | 46,250 | |
3.00% | | | 10/15/30 | | | | 59,000 | | | | 60,549 | |
CommonSpirit Health | |
2.78% | | | 10/01/30 | | | | 40,000 | | | | 41,207 | |
CVS Health Corp. | |
5.05% | | | 03/25/48 | | | | 60,000 | | | | 77,407 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | |
(Ireland) | |
6.00% | | | 06/30/28 | 1,3 | | | 47,000 | | | | 33,958 | |
| Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. | | | | | |
(Luxembourg) | |
6.13% | | | 04/01/29 | 1,3 | | | 13,000 | | | | 13,011 | |
Fresenius Medical Care U.S. Finance III, Inc. | |
1.88% | | | 12/01/26 | 1 | | | 30,000 | | | | 30,150 | |
HCA, Inc. | |
5.25% | | | 04/15/25 | | | | 12,000 | | | | 13,609 | |
5.25% | | | 06/15/49 | | | | 110,000 | | | | 140,641 | |
HCRX Investments Holdco LP | |
4.50% | | | 08/01/29 | 1 | | | 30,000 | | | | 30,188 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | | 10/01/29 | 1 | | | 15,000 | | | | 15,567 | |
Molina Healthcare, Inc. | |
3.88% | | | 11/15/30 | 1 | | | 35,000 | | | | 36,954 | |
5.38% | | | 11/15/22 | | | | 43,000 | | | | 44,385 | |
Mozart Debt Merger Sub, Inc. | |
3.88% | | | 04/01/29 | 1 | | | 30,000 | | | | 30,000 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | 04/30/31 | 1 | | | 35,000 | | | | 36,806 | |
Prime Healthcare Services, Inc. | |
7.25% | | | 11/01/25 | 1 | | | 43,000 | | | | 46,118 | |
Universal Health Services, Inc. | |
1.65% | | | 09/01/26 | 1 | | | 15,000 | | | | 14,917 | |
| | | | | | | | | | | | |
| | | | 914,567 | |
| | | | | | | | | | | | |
|
Industrials — 1.95% | |
Ball Corp. | |
4.00% | | | 11/15/23 | | | | 30,000 | | | | 31,688 | |
Berry Global, Inc. | |
1.57% | | | 01/15/26 | 1 | | | 40,000 | | | | 40,036 | |
4.88% | | | 07/15/26 | 1 | | | 25,000 | | | | 26,282 | |
Boeing Co. (The) | |
1.43% | | | 02/04/24 | | | | 60,000 | | | | 60,089 | |
4.88% | | | 05/01/25 | | | | 10,000 | | | | 11,138 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | | 08/15/36 | 2 | | | 325,000 | | | | 283,717 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
CORPORATES (continued) | |
|
Industrials (continued) | |
Graphic Packaging International LLC | |
4.88% | | | 11/15/22 | | | $ | 55,000 | | | $ | 56,875 | |
Intertape Polymer Group, Inc. | |
(Canada) | |
4.38% | | | 06/15/29 | 1,3 | | | 27,000 | | | | 27,484 | |
Mauser Packaging Solutions Holding Co. | |
5.50% | | | 04/15/24 | 1 | | | 5,000 | | | | 5,050 | |
OI European Group BV | |
(Netherlands) | |
4.00% | | | 03/15/23 | 1,3 | | | 15,000 | | | | 15,325 | |
Sealed Air Corp. | |
4.00% | | | 12/01/27 | 1 | | | 5,000 | | | | 5,344 | |
| Titan Acquisition Ltd./Titan Co-Borrower LLC | | | | | |
(Canada) | |
7.75% | | | 04/15/26 | 1,3 | | | 34,000 | | | | 34,832 | |
| | | | | | | | | | | | |
| | | | 597,860 | |
| | | | | | | | | | | | |
|
Information Technology — 0.33% | |
NCR Corp. | |
5.13% | | | 04/15/29 | 1 | | | 37,000 | | | | 38,199 | |
Oracle Corp. | |
2.88% | | | 03/25/31 | | | | 10,000 | | | | 10,311 | |
3.95% | | | 03/25/51 | | | | 49,000 | | | | 51,968 | |
| | | | | | | | | | | | |
| | | | 100,478 | |
| | | | | | | | | | | | |
|
Insurance — 1.00% | |
Athene Global Funding | |
1.61% | | | 06/29/26 | 1 | | | 30,000 | | | | 29,991 | |
(SOFR Rate plus 0.70%) | |
0.75% | | | 05/24/24 | 1,2 | | | 30,000 | | | | 30,148 | |
Farmers Exchange Capital II | |
6.15% | | | 11/01/53 | 1,4 | | | 50,000 | | | | 64,372 | |
Nationwide Mutual Insurance Co. | |
2.41% | | | 12/15/24 | 1,4 | | | 75,000 | | | | 75,089 | |
| Teachers Insurance & Annuity Association of America | | | | | |
4.27% | | | 05/15/47 | 1 | | | 65,000 | | | | 78,567 | |
Willis North America, Inc. | |
4.50% | | | 09/15/28 | | | | 25,000 | | | | 28,611 | |
| | | | | | | | | | | | |
| | | | 306,778 | |
| | | | | | | | | | | | |
|
Materials — 0.08% | |
International Flavors & Fragrances, Inc. | |
2.30% | | | 11/01/30 | 1 | | | 26,000 | | | | 25,795 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.40% | |
| American Campus Communities Operating Partnership LP | | | | | |
3.63% | | | 11/15/27 | | | | 50,000 | | | | 54,757 | |
3.75% | | | 04/15/23 | | | | 35,000 | | | | 36,452 | |
CyrusOne LP/CyrusOne Finance Corp. | |
2.15% | | | 11/01/30 | | | | 5,000 | | | | 4,705 | |
2.90% | | | 11/15/24 | | | | 80,000 | | | | 83,938 | |
GLP Capital LP/GLP Financing II, Inc. | |
5.25% | | | 06/01/25 | | | | 10,000 | | | | 11,163 | |
5.38% | | | 04/15/26 | | | | 65,000 | | | | 73,983 | |
5.75% | | | 06/01/28 | | | | 25,000 | | | | 29,363 | |
Lexington Realty Trust | |
2.70% | | | 09/15/30 | | | | 35,000 | | | | 35,463 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 138 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Real Estate Investment Trust (REIT) (continued) | |
SL Green Operating Partnership LP | |
3.25% | | | 10/15/22 | | | $ | 40,000 | | | $ | 41,004 | |
Ventas Realty LP | |
4.40% | | | 01/15/29 | | | | 50,000 | | | | 57,205 | |
| | | | | | | | | | | | |
| | | | 428,033 | |
| | | | | | | | | | | | |
|
Retail — 0.26% | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 1 | | | 35,000 | | | | 36,417 | |
Yum! Brands, Inc. | |
4.63% | | | 01/31/32 | | | | 40,000 | | | | 42,725 | |
| | | | | | | | | | | | |
| | | | 79,142 | |
| | | | | | | | | | | | |
|
Services — 0.62% | |
GFL Environmental, Inc. | |
(Canada) | |
4.75% | | | 06/15/29 | 1,3 | | | 28,000 | | | | 28,800 | |
HealthEquity, Inc. | |
4.50% | | | 10/01/29 | 1 | | | 30,000 | | | | 30,513 | |
IHS Markit Ltd. | |
(Bermuda) | |
4.00% | | | 03/01/26 | 1,3 | | | 7,000 | | | | 7,710 | |
4.75% | | | 02/15/25 | 1,3 | | | 25,000 | | | | 27,689 | |
5.00% | | | 11/01/22 | 1,3 | | | 45,000 | | | | 46,718 | |
Waste Pro USA, Inc. | |
5.50% | | | 02/15/26 | 1 | | | 48,000 | | | | 48,547 | |
| | | | | | | | | | | | |
| | | | 189,977 | |
| | | | | | | | | | | | |
|
Transportation — 0.72% | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class B | |
6.90% | | | 04/19/22 | | | | 113,533 | | | | 114,438 | |
JetBlue Airways Pass-Through Trust, | |
Series 1A | |
4.00% | | | 11/15/32 | | | | 96,728 | | | | 105,935 | |
| | | | | | | | | | | | |
| | | | 220,373 | |
| | | | | | | | | | | | |
|
Total Corporates | |
| (Cost $8,277,574) | | | | 8,585,202 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 32.84%** | |
Non-Agency Commercial Mortgage-Backed — 11.75% | |
Banc of America Commercial Mortgage Trust, | |
Series 2015-UBS7, Class XE (IO) | |
1.25% | | | 09/15/48 | 1,4 | | | 1,500,000 | | | | 56,837 | |
BCRR Trust, | |
Series 2016-FRR3, Class E | |
(-1.00 X LIBOR USD 1-Month plus 18.35%) | |
2.02% | | | 05/26/26 | 1,2 | | | 88,636 | | | | 82,139 | |
BX Commercial Mortgage Trust, | |
Series 2020-FOX, Class G | |
(LIBOR USD 1-Month plus 4.75%) | |
4.83% | | | 11/15/32 | 1,2 | | | 120,557 | | | | 122,313 | |
Citigroup Commercial Mortgage Trust, | |
Series 2012-GC8, Class XA (IO) | |
1.89% | | | 09/10/45 | 1,4 | | | 1,345,808 | | | | 12,378 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Citigroup Commercial Mortgage Trust, | |
Series 2013-GC11, Class XA (IO) | |
1.50% | | | 04/10/46 | 4 | | $ | 4,310,824 | | | $ | 70,323 | |
Citigroup Commercial Mortgage Trust, | |
Series 2014-GC25, Class XA (IO) | |
1.11% | | | 10/10/47 | 4 | | | 4,274,245 | | | | 104,913 | |
COBALT CMBS Commercial Mortgage Trust, | |
Series 2007-C2, Class X (IO) | |
0.65% | | | 04/15/47 | 1,4 | | | 280,975 | | | | 1,133 | |
Commercial Mortgage Trust, | |
Series 2012-CR2, Class XA (IO) | |
1.77% | | | 08/15/45 | 4 | | | 16,815,849 | | | | 125,718 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class XA (IO) | �� |
1.99% | | | 10/15/45 | 4 | | | 7,743,433 | | | | 66,610 | |
Commercial Mortgage Trust, | |
Series 2012-CR5, Class XA (IO) | |
1.65% | | | 12/10/45 | 4 | | | 4,541,598 | | | | 62,769 | |
Commercial Mortgage Trust, | |
Series 2013-CR12, Class XA (IO) | |
1.29% | | | 10/10/46 | 4 | | | 1,767,973 | | | | 33,794 | |
Commercial Mortgage Trust, | |
Series 2014-CR17, Class XA (IO) | |
1.12% | | | 05/10/47 | 4 | | | 2,748,843 | | | | 56,823 | |
Commercial Mortgage Trust, | |
Series 2020-CBM, Class XCP (IO) | |
0.72% | | | 02/10/37 | 1,4 | | | 1,667,987 | | | | 31,678 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2014-USA, Class X1 (IO) | |
0.69% | | | 09/15/37 | 1,4 | | | 9,783,817 | | | | 182,518 | |
CSAIL Commercial Mortgage Trust, | |
Series 2015-C1, Class XA (IO) | |
0.97% | | | 04/15/50 | 4 | | | 1,711,483 | | | | 38,505 | |
CSMC, | |
Series 2018-SITE, Class B | |
4.53% | | | 04/15/36 | 1 | | | 100,000 | | | | 103,285 | |
CSMC, | |
Series 2019-RIO, Class A | |
(LIBOR USD 1-Month plus 3.02%) | |
4.02% | | | 12/15/21 | 1,2 | | | 100,000 | | | | 100,183 | |
DBUBS Mortgage Trust, | |
Series 2011-LC3A, Class C | |
5.55% | | | 08/10/44 | 1,4 | | | 175,257 | | | | 175,969 | |
GS Mortgage Securities Corp. II, | |
Series 2013-GC10, Class XA (IO) | |
1.63% | | | 02/10/46 | 4 | | | 3,918,280 | | | | 60,265 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class XA (IO) | |
0.45% | | | 02/10/37 | 1,4 | | | 940,000 | | | | 10,689 | |
GS Mortgage Securities Trust, | |
Series 2012-GC6, Class XA (IO) | |
1.72% | | | 01/10/45 | 1,4 | | | 2,490,862 | | | | 62 | |
GS Mortgage Securities Trust, | |
Series 2012-GC6, Class XB (IO) | |
0.32% | | | 01/10/45 | 1,4 | | | 5,745,340 | | | | 3,537 | |
|
| See accompanying Notes to Financial Statements. |
|
| 139 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| 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) | |
2.08% | | | 11/10/45 | 4 | | $ | 2,646,423 | | | $ | 41,783 | |
GS Mortgage Securities Trust, | |
Series 2013-GC16, Class XB (IO) | |
0.33% | | | 11/10/46 | 4 | | | 45,024,000 | | | | 184,265 | |
GS Mortgage Securities Trust, | |
Series 2014-GC24, Class XA (IO) | |
0.85% | | | 09/10/47 | 4 | | | 2,855,963 | | | | 52,653 | |
Harvest Commercial Capital Loan Trust, | | | | | |
Series 2019-1, Class A | |
3.29% | | | 09/25/46 | 1,4 | | | 71,513 | | | | 71,909 | |
JPMBB Commercial Mortgage Securities Trust | | | | | |
Series 2013-C15, Class XA (IO) | |
1.20% | | | 11/15/45 | 4 | | | 7,617,675 | | | | 130,162 | |
JPMBB Commercial Mortgage Securities Trust | | | | | |
Series 2014-C22, Class XA (IO) | |
0.98% | | | 09/15/47 | 4 | | | 2,466,818 | | | | 49,201 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C19, Class A3 | |
3.67% | | | 04/15/47 | | | | 57,432 | | | | 57,975 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C21, Class XA (IO) | |
1.12% | | | 08/15/47 | 4 | | | 497,061 | | | | 11,644 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C25, Class XA (IO) | |
0.98% | | | 11/15/47 | 4 | | | 4,970,300 | | | | 111,167 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C26, Class XA (IO) | |
1.10% | | | 01/15/48 | 4 | | | 2,804,111 | | | | 71,122 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2015-C32, Class A2 | |
2.82% | | | 11/15/48 | | | | 149,322 | | | | 150,715 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | |
Series 2013-C16, Class XA (IO) | |
1.08% | | | 12/15/46 | 4 | | | 5,428,687 | | | | 82,185 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-LC9, Class XA (IO) | |
1.54% | | | 12/15/47 | 4 | | | 1,615,603 | | | | 19,261 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-C13, Class XA (IO) | |
0.21% | | | 01/15/46 | 4 | | | 6,289,890 | | | | 10,651 | |
Ladder Capital Commercial Mortgage Trust, | | | | | |
Series 2013-GCP, Class XA (IO) | |
1.34% | | | 02/15/36 | 1,4 | | | 1,466,861 | | | | 88,976 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | |
Series 2013-C9, Class XB (IO) | |
0.39% | | | 05/15/46 | 1,4 | | | 12,532,749 | | | | 60,212 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2012-C6, Class A4 | |
2.86% | | | 11/15/45 | | | | 89,977 | | | | 91,150 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C19, Class XA (IO) | |
1.12% | | | 12/15/47 | 4 | | | 2,848,889 | | | | 71,478 | |
| | | | | | | | | | | | |
| | | |
| 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-C23, Class XA (IO) | |
0.70% | | | 07/15/50 | 4 | | $ | 3,075,209 | | | $ | 55,098 | |
UBS Commercial Mortgage Trust, | |
Series 2012-C1, Class XA (IO) | |
2.20% | | | 05/10/45 | 1,4 | | | 1,379,112 | | | | 8,646 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-NXS2, Class XA (IO) | |
0.80% | | | 07/15/58 | 4 | | | 3,412,265 | | | | 69,395 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-NXS6, Class XA (IO) | |
1.74% | | | 11/15/49 | 4 | | | 1,536,185 | | | | 77,668 | |
WF-RBS Commercial Mortgage Trust | |
Series 2013-C13, Class XB (IO) | |
0.59% | | | 05/15/45 | 1,4 | | | 10,000,000 | | | | 70,035 | |
WF-RBS Commercial Mortgage Trust | |
Series 2014-C21, Class XA (IO) | |
1.17% | | | 08/15/47 | 4 | | | 3,682,626 | | | | 86,172 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C9, Class XA (IO) | |
2.02% | | | 11/15/45 | 1,4 | | | 5,936,168 | | | | 73,837 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C12, Class XA (IO) | |
1.24% | | | 03/15/48 | 1,4 | | | 5,283,890 | | | | 62,617 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C14, Class XA (IO) | |
0.81% | | | 06/15/46 | 4 | | | 2,468,542 | | | | 19,342 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C17, Class XA (IO) | |
1.22% | | | 12/15/46 | 4 | | | 5,513,675 | | | | 106,241 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-UBS1, Class XA (IO) | |
1.12% | | | 03/15/46 | 4 | | | 7,047,924 | | | | 118,073 | |
| | | | | | | | | | | | |
| | | | 3,606,074 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 8.12% | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | | 06/25/57 | 1,4 | | | 104,625 | | | | 105,099 | |
CIM Trust, | |
Series 2021-R5, Class A1B | |
2.00% | | | 08/25/61 | 1,4 | | | 115,000 | | | | 103,358 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
2.98% | | | 04/19/36 | 4 | | | 214,646 | | | | 189,232 | |
GreenPoint Mortgage Funding Trust, | |
Series 2005-AR1, Class A2 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | | 06/25/45 | 2 | | | 136,701 | | | | 130,202 | |
GSR Mortgage Loan Trust, | |
Series 2007-AR2, Class 5A1A | |
2.95% | | | 05/25/37 | 4 | | | 268,897 | | | | 255,117 | |
HSI Asset Loan Obligation Trust, | |
Series 2007-2, Class 2A12 | |
6.00% | | | 09/25/37 | | | | 260,648 | | | | 243,117 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 140 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Impac CMB Trust, | |
Series 2004-4, Class 1A2 | |
(LIBOR USD 1-Month plus 0.62%) | |
0.71% | | | 09/25/34 | 2 | | $ | 112,603 | | | $ | 112,354 | |
Impac CMB Trust, | |
Series 2004-6, Class 1A2 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 10/25/34 | 2 | | | 144,127 | | | | 144,701 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR25, Class 2A1 | |
2.97% | | | 12/25/35 | 4 | | | 274,758 | | | | 275,582 | |
JPMorgan Mortgage Trust, | |
Series 2006-S2, Class 2A2 | |
5.88% | | | 06/25/21 | | | | 15,119 | | | | 19,084 | |
JPMorgan Mortgage Trust, | |
Series 2007-S1, Class 1A2 | |
5.50% | | | 03/25/22 | | | | 13,252 | | | | 13,198 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-A3, Class A2D | |
(LIBOR USD 1-Month plus 0.33%) | |
0.42% | | | 04/25/37 | 2,5,6 | | | 1,696,107 | | | | 126,270 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
2.05% | | | 09/25/34 | 4 | | | 149,803 | | | | 149,186 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-7, Class 5A2 | |
5.96% | | | 06/25/36 | 4 | | | 966,990 | | | | 395,052 | |
Residential Accredit Loans Trust, | |
Series 2005-QA3, Class NB1 | |
3.41% | | | 03/25/35 | 4 | | | 122,880 | | | | 73,719 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-12, Class 2A | |
2.66% | | | 09/25/34 | 4 | | | 152,339 | | | | 154,833 | |
| | | | | | | | | | | | |
| | | | 2,490,104 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 6.20% | |
Fannie Mae-Aces, | |
Series 2016-M11, Class X2 (IO) | |
2.97% | | | 07/25/39 | 4 | | | 501,289 | | | | 17,549 | |
Freddie Mac Multifamily PC REMIC Trust, | |
Series 2019-P002, Class X (IO) | |
1.14% | | | 07/25/33 | 4 | | | 535,000 | | | | 57,103 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K021, Class X3 (IO) | |
2.03% | | | 07/25/40 | 4 | | | 1,150,000 | | | | 15,829 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K022, Class X3 (IO) | |
1.87% | | | 08/25/40 | 4 | | | 5,250,000 | | | | 78,634 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K023, Class X3 (IO) | |
1.75% | | | 10/25/40 | 4 | | | 4,050,000 | | | | 57,304 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K024, Class X3 (IO) | |
1.71% | | | 11/25/40 | 4 | | $ | 8,000,000 | | | $ | 121,823 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K027, Class X3 (IO) | |
1.76% | | | 01/25/41 | 4 | | | 5,000,000 | | | | 104,372 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K028, Class X3 (IO) | |
1.72% | | | 06/25/41 | 4 | | | 2,142,000 | | | | 49,524 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K031, Class X3 (IO) | |
1.72% | | | 07/25/41 | 4 | | | 5,999,569 | | | | 149,520 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K034, Class X1 (IO) | |
0.19% | | | 07/25/23 | 4 | | | 6,160,160 | | | | 8,776 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K040, Class X3 (IO) | |
2.10% | | | 11/25/42 | 4 | | | 1,100,000 | | | | 64,195 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K723, Class X1 (IO) | |
1.04% | | | 08/25/23 | 4 | | | 10,078,739 | | | | 141,602 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K724, Class X1 (IO) | |
0.39% | | | 11/25/23 | 4 | | | 14,607,702 | | | | 71,610 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC04, Class X1 (IO) | |
1.40% | | | 12/25/26 | 4 | | | 2,268,664 | | | | 97,359 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.34% | | | 06/25/27 | 4 | | | 1,991,621 | | | | 94,056 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS11, Class XFX (IO) | |
1.76% | | | 06/25/29 | 4 | | | 350,000 | | | | 34,585 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q010, Class XPT2 (IO) | |
0.36% | | | 08/25/24 | | | | 2,924,136 | | | | 17,566 | |
FREMF Mortgage Trust | |
Series 2017-K66, Class X2A (IO) | |
0.10% | | | 06/25/27 | | | | 26,821,246 | | | | 124,480 | |
FREMF Mortgage Trust, | |
Series 2012-K23, Class X2A (IO) | |
0.13% | | | 10/25/45 | 1 | | | 59,177,346 | | | | 47,549 | |
|
| See accompanying Notes to Financial Statements. |
|
| 141 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
FREMF Mortgage Trust, | |
Series 2017-K726, Class X2B (IO) | |
0.10% | | | 07/25/49 | 1 | | $ | 25,000,000 | | | $ | 60,187 | |
Ginnie Mae, | |
Series 2009-114, Class IO (IO) | |
0.03% | | | 10/16/49 | 4 | | | 4,569,734 | | | | 428 | |
Ginnie Mae, | |
Series 2010-148, Class IO (IO) | |
0.29% | | | 09/16/50 | 4 | | | 1,541,742 | | | | 17,826 | |
Ginnie Mae, | |
Series 2012-123, Class IO (IO) | |
0.69% | | | 12/16/51 | 4 | | | 3,144,499 | | | | 57,025 | |
Ginnie Mae, | |
Series 2012-125, Class IO (IO) | |
0.21% | | | 02/16/53 | 4 | | | 9,528,417 | | | | 72,167 | |
Ginnie Mae, | |
Series 2012-27, Class IO (IO) | |
0.74% | | | 04/16/53 | 4 | | | 7,150,274 | | | | 75,911 | |
Ginnie Mae, | |
Series 2013-156, Class IO (IO) | |
0.34% | | | 06/16/55 | 4 | | | 6,137,885 | | | | 79,226 | |
Ginnie Mae, | |
Series 2013-163, Class IO (IO) | |
1.16% | | | 02/16/46 | 4 | | | 2,866,415 | | | | 74,837 | |
Ginnie Mae, | |
Series 2013-74, Class IO (IO) | |
0.57% | | | 12/16/534 | | | | 3,405,385 | | | | 55,801 | |
Ginnie Mae, | |
Series 2014-103, Class IO (IO) | |
0.26% | | | 05/16/55 | 4 | | | 1,079,212 | | | | 16,197 | |
Ginnie Mae, | |
Series 2014-125, Class IO (IO) | |
0.90% | | | 11/16/54 | 4 | | | 679,593 | | | | 24,757 | |
Ginnie Mae, | |
Series 2015-47, Class IO (IO) | |
0.43% | | | 10/16/56 | 4 | | | 618,641 | | | | 15,796 | |
| | | | | | | | | | | | |
| | | | 1,903,594 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 6.77% | |
Fannie Mae REMICS, | |
Series 1993-80, Class S | |
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) | | | | | |
10.77% | | | 05/25/23 | 2 | | | 351 | | | | 375 | |
Fannie Mae REMICS, | |
Series 2000-45, Class SA (IO) | |
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap) | | | | | |
7.86% | | | 12/18/30 | 2 | | | 66,769 | | | | 8,040 | |
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 | | | 329 | | | | 366 | |
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 | | | 3,317 | | | | 3,880 | |
| | | | | | | | | | | | |
| | | |
| 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) | | | | | |
6.01% | | | 10/25/25 | 2 | | $ | 406,052 | | | $ | 29,543 | |
Fannie Mae REMICS, | |
Series 2006-125, Class SM (IO) | |
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
7.11% | | | 01/25/37 | 2 | | | 600,271 | | | | 124,611 | |
Fannie Mae REMICS, | |
Series 2008-50, Class SA (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
5.96% | | | 11/25/36 | 2 | | | 758,582 | | | | 138,170 | |
Fannie Mae REMICS, | |
Series 2010-43, Class KS (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
6.33% | | | 05/25/40 | 2 | | | 703,010 | | | | 142,804 | |
Freddie Mac REMICS, | |
Series 1602, Class SN | |
(-4.25 X PRIME plus 46.22%, 10.09% Cap) | | | | | |
10.09% | | | 10/15/23 | 2 | | | 3,705 | | | | 3,869 | |
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) | |
16.68% | | | 02/15/24 | 2 | | | 21,441 | | | | 24,049 | |
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 | | | 9,781,085 | | | | 43,765 | |
Freddie Mac REMICS, | |
Series 3289, Class SD (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap) | | | | | |
6.04% | | | 03/15/37 | 2 | | | 530,186 | | | | 97,005 | |
Ginnie Mae, | |
Series 2004-8, Class SE | |
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
14.13% | | | 11/26/23 | 2 | | | 13,625 | | | | 15,192 | |
UMBS (TBA) | |
2.00% | | | 11/01/51 | | | | 725,000 | | | | 725,522 | |
2.50% | | | 11/01/51 | | | | 700,000 | | | | 720,315 | |
| | | | | | | | | | | | |
| | | | 2,077,506 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $14,018,926) | | | | 10,077,278 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.47%* | |
|
California — 0.16% | |
California State University Revenue Bonds, University & | | | | | |
College Improvements, Series B | |
2.37% | | | 11/01/35 | | | | 15,000 | | | | 14,695 | |
City of San Francisco Public Utilities Commission Water | | | | | |
Revenue Bonds, Series E | |
2.83% | | | 11/01/41 | | | | 35,000 | | | | 35,677 | |
| | | | | | | | | | | | |
| | | | 50,372 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 142 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
MUNICIPAL BONDS (continued) | |
|
Florida — 0.05% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.86% | | | 10/01/35 | | | $ | 15,000 | | | $ | 15,460 | |
| | | | | | | | | | | | |
|
New York — 0.26% | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | | 11/15/49 | | | | 5,000 | | | | 6,788 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3 | | | | | |
1.85% | | | 08/01/32 | | | | 75,000 | | | | 72,320 | |
| | | | | | | | | | | | |
| | | | 79,108 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $144,464) | | | | 144,940 | |
| | | | | | | | | | | | |
|
Total Bonds — 90.82% | |
(Cost $32,181,837) | | | | 27,870,530 | |
| | | | | | | | | | | | |
| | | | | |
| | | |
| Issues | | | | Shares | | | Value | |
|
COMMON STOCK — 0.23% | |
|
Financials — 0.23% | |
AGNC Investment Corp. | | | | 4,500 | | | | 70,965 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $64,005) | | | | | |
| | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value | |
|
SHORT-TERM INVESTMENTS — 9.24% | |
|
Money Market Funds — 0.12% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%10 | | | | | | | 28,546 | | | | 28,546 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%10 | | | | | | | 7,000 | | | | 7,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,546 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 3.26% | |
Federal Home Loan Bank | |
0.04%11 | | | 10/15/21 | | | | 1,000,000 | | �� | | 999,996 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 5.86% | |
U.S. Treasury Bills | |
0.05%11 | | | 10/07/21 | | | | 1,000,000 | | | | 999,995 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS (continued) | | | | | |
| |
U.S. Treasury Bills (continued) | | | | | |
0.04%11 | | | 03/03/22 | | | $ | 800,000 | | | $ | 799,868 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,799,863 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $2,835,384) | | | | 2,835,405 | |
| | | | | | | | | | | | |
|
Total Investments - 100.29% | |
(Cost $35,081,226) | | | | 30,776,900 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (0.29)% | | | | (88,739 | ) |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 30,688,161 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $279,796, which is 0.91% 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 September 30, 2021. |
| 10 | Represents the current yield as of September 30, 2021. |
| 11 | 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 Obligation
(CLO): Collateralized Loan Obligation
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
|
| See accompanying Notes to Financial Statements. |
|
| 143 / Semi-Annual Report September 2021 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 18 | | | | 12/31/21 | | | $ | 2,209,359 | | | $ | (6,575) | | | $ | (6,575) | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 8 | | | | 12/21/21 | | | | (1,162,000) | | | | 20,011 | | | | 20,011 | |
U.S. Treasury Ultra Bond | | | 7 | | | | 12/21/21 | | | | (1,337,438) | | | | 41,028 | | | | 41,028 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (2,499,438) | | | | 61,039 | | | | 61,039 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | (290,079) | | | $ | 54,464 | | | $ | 54,464 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | Received by the Fund | | | Paid by the Fund | | | | | | | | | | | | | |
| | | | | | | | | | |
| Description | | Put/ Call | | Maturity Date | | Rate | | | Frequency | | | Rate | | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
| | | | | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/53 | | | LIBOR | | | | Quarterly | | | | 1.77% | | | | Semi-annually | | | $ | 60 | | | $ | 2,690 | | | $ | — | | | $ | 2,690 | |
| Interest Rate | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/53 | | | LIBOR | | | | Quarterly | | | | 1.79% | | | | Semi-annually | | | | 35 | | | | 1,470 | | | | — | | | | 1,470 | |
| Interest Rate | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/53 | | | LIBOR | | | | Quarterly | | | | 1.81% | | | | Semi-annually | | | | 30 | | | | 1,108 | | | | — | | | | 1,108 | |
| Interest Rate | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 09/28/53 | | | LIBOR | | | | Quarterly | | | | 1.87% | | | | Semi-annually | | | | 70 | | | | 1,711 | | | | — | | | | 1,711 | |
| Interest Rate | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/25 | | | 1.03% | | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 660 | | | | (3,906) | | | | — | | | | (3,906) | |
| Interest Rate | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/25 | | | 1.03% | | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 490 | | | | (2,823) | | | | — | | | | (2,823) | |
| Interest Rate | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 07/24/25 | | | 1.07% | | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 330 | | | | (1,649) | | | | — | | | | (1,649) | |
| Interest Rate | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | 09/28/25 | | | 1.39% | | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 830 | | | | (266) | | | | — | | | | (266) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | | $ | 2,505 | | | $ | (1,664) | | | $ | — | | | $ | (1,664) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 144 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BONDS – 110.58% | | | | | |
| |
ASSET-BACKED SECURITIES — 5.62%** | | | | | |
Aames Mortgage Trust, | | | | | |
| Series 2002-1, Class A3 (STEP-reset date 11/25/21) | | | | | |
7.40% | | 06/25/32 | | $ | 29,188 | | | $ | 29,508 | |
Academic Loan Funding Trust, | | | | | |
Series 2012-1A, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
1.19% | | 12/27/441,2 | | | 19,165,917 | | | | 19,449,293 | |
Accredited Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.22%) | | | | | |
0.31% | | 02/25/372 | | | 19,449,162 | | | | 19,325,695 | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2004-IN1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 05/25/342 | | | 152,830 | | | | 149,906 | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE3, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
0.39% | | 06/25/362 | | | 2,692,439 | | | | 2,417,967 | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2007-ASP2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.38%) | | | | | |
0.47% | | 06/25/372 | | | 33,318,532 | | | | 28,935,576 | |
ACRES Commercial Realty Ltd., | | | | | |
Series 2021-FL1, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 1-Month plus 1.20%) | | | | | |
1.28% | | 06/15/361,2,3 | | | 19,750,000 | | | | 19,773,325 | |
Aegis Asset-Backed Securities Trust, | | | | | |
Series 2005-5, Class 1A4 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | 12/25/352 | | | 77,822 | | | | 77,911 | |
AIG CLO LLC, | | | | | |
Series 2020-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.16%) | | | | | |
0.00% | | 04/15/341,2,3 | | | 48,800,000 | | | | 48,839,382 | |
Aimco CLO 11 Ltd., | | | | | |
Series 2020-11A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.38%) | | | | | |
1.51% | | 10/15/311,2,3 | | | 7,100,000 | | | | 7,101,065 | |
Aimco CLO 12 Ltd., | | | | | |
Series 2020-12A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.21%) | | | | | |
1.34% | | 01/17/321,2,3 | | | 48,385,000 | | | | 48,414,515 | |
Aimco CLO, | | | | | |
Series 2015-AA, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.85%) | | | | | |
0.98% | | 01/15/281,2,3 | | | 2,183,781 | | | | 2,183,038 | |
Ajax Mortgage Loan Trust, | | | | | |
| Series 2019-F, Class A1 (STEP-reset date 10/25/21) | | | | | |
2.86% | | 07/25/591 | | | 169,509 | | | | 171,159 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Ameriquest Mortgage Securities Trust, | | | | | |
Series 2006-R1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
0.67% | | 03/25/362 | | $ | 8,152,045 | | | $ | 8,191,166 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2004-R10, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 11/25/342 | | | 7,517,868 | | | | 7,349,172 | |
AMMC CLO 19 Ltd., | | | | | |
Series 2016-19A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.14%) | | | | | |
1.27% | | 10/16/281,2,3 | | | 43,350,394 | | | | 43,355,163 | |
AMMC CLO 23 Ltd., | | | | | |
Series 2020-23A, Class A1L | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.40%) | | | | | |
1.53% | | 10/17/311,2,3 | | | 11,960,000 | | | | 11,962,870 | |
| Amresco Residential Securities Corp. Mortgage Loan Trust, | | | | | |
| Series 1998-1, Class A5 (STEP-reset date 11/25/21) | | | | | |
7.37% | | 10/25/27 | | | 18,994 | | | | 19,282 | |
Apidos CLO XXII, | | | | | |
Series 2015-22A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.06%) | | | | | |
1.19% | | 04/20/311,2,3 | | | 21,475,000 | | | | 21,475,430 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W2, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.74%) | | | | | |
0.82% | | 10/25/352 | | | 199,136 | | | | 199,407 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.52%) | | | | | |
0.61% | | 11/25/352 | | | 4,731,493 | | | | 4,691,501 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W3, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 11/25/352 | | | 19,840,000 | | | | 19,671,344 | |
Asset-Backed Funding Certificates, | | | | | |
Series 2006-OPT3, Class A3B | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
0.41% | | 11/25/362 | | | 44,769,257 | | | | 25,826,243 | |
Asset-Backed Funding Certificates, | | | | | |
Series 2007-WMC1, Class A2A | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
0.84% | | 06/25/372 | | | 24,824,399 | | | | 23,245,721 | |
Asset-Backed Funding Certificates, | | | | | |
Series 2007-WMC1, Class A2B | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
1.09% | | 06/25/372 | | | 18,135,093 | | | | 17,963,532 | |
|
| See accompanying Notes to Financial Statements. |
|
| 145 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE5, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.13%) | | | | | |
0.21% | | 07/25/362 | | $ | 1,857,080 | | | $ | 1,830,814 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE6, Class A5 | | | | | |
(LIBOR USD 1-Month plus 0.23%) | | | | | |
0.32% | | 11/25/362 | | | 18,411,000 | | | | 18,020,180 | |
Barings CLO Ltd., | | | | | |
Series 2013-IA, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
0.93% | | 01/20/281,2,3 | | | 22,988,702 | | | | 22,975,599 | |
Barings CLO Ltd., | | | | | |
Series 2016-2A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.21% | | 07/20/281,2,3 | | | 38,342,960 | | | | 38,383,066 | |
Barings CLO Ltd., | | | | | |
Series 2018-3A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.95%) | | | | | |
1.08% | | 07/20/291,2,3 | | | 35,646,000 | | | | 35,658,440 | |
Barings CLO Ltd., | | | | | |
Series 2020-4A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.22%) | | | | | |
1.35% | | 01/20/321,2,3 | | | 19,110,000 | | | | 19,124,333 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2004-1, Class A | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | 04/25/341,2 | | | 10,303 | | | | 10,308 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2004-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.73% | | 08/25/341,2 | | | 158,040 | | | | 157,451 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2004-3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
0.64% | | 01/25/351,2 | | | 982,361 | | | | 971,821 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2005-1A, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.45%) | | | | | |
0.54% | | 04/25/351,2 | | | 2,122,169 | | | | 2,084,417 | |
Bear Stearns Asset-Backed Securities I Trust, | | | | | |
Series 2006-HE9, Class 3A | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 11/25/362 | | | 5,574,895 | | | | 5,275,054 | |
BlueMountain CLO XXXII Ltd., | | | | | |
Series 2021-32A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
1.78% | | 10/15/341,2,3 | | | 25,000,000 | | | | 25,020,900 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
BlueMountain Fuji U.S. CLO I Ltd., | | | | | |
Series 2017-1A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.98%) | | | | | |
1.11% | | 07/20/291,2,3 | | $ | 28,145,000 | | | $ | 28,152,318 | |
Brazos Education Loan Authority, Inc., | | | | | |
Series 2012-1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | 12/26/352 | | | 32,096 | | | | 31,912 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2010-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | 02/25/352 | | | 12,315,000 | | | | 12,535,115 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-1, Class A3 | | | | | |
(LIBOR USD 3-Month plus 1.05%) | | | | | |
1.18% | | 11/25/332 | | | 16,050,000 | | | | 16,262,839 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-2, Class A3 | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
1.13% | | 10/27/362 | | | 24,361,000 | | | | 24,661,768 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2005-NC5, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.72%) | | | | | |
0.81% | | 10/25/352 | | | 140,636 | | | | 141,322 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2006-NC1, Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.31%) | | | | | |
0.40% | | 01/25/362 | | | 21,972,937 | | | | 21,965,399 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2006-OPT1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.53%) | | | | | |
0.61% | | 02/25/362 | | | 113,117 | | | | 112,771 | |
Cedar Funding XII CLO Ltd., | | | | | |
Series 2020-12A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.27%) | | | | | |
1.40% | | 10/25/321,2,3 | | | 4,970,000 | | | | 4,970,929 | |
Chase Funding Trust, | | | | | |
Series 2003-5, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
0.69% | | 07/25/332 | | | 3,059 | | | | 2,893 | |
Chase Funding Trust, | | | | | |
Series 2004-2, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 02/26/352 | | | 5,668 | | | | 5,217 | |
CIFC Funding Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | 10/20/341,2,3 | | | 9,000,000 | | | | 9,005,409 | |
CIFC Funding Ltd., | | | | | |
Series 2021-6A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
0.00% | | 10/15/341,2,3 | | | 20,000,000 | | | | 20,010,000 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 146 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
CIT Education Loan Trust, | | | | | |
Series 2007-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.30%) | | | | | |
0.43% | | 06/25/421,2 | | $ | 11,178,136 | | | $ | 10,329,293 | |
CIT Mortgage Loan Trust, | | | | | |
Series 2007-1, Class 1A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | 10/25/371,2 | | | 30,223,631 | | | | 30,508,712 | |
Citicorp Residential Mortgage Trust, | | | | | |
| Series 2006-2, Class A5 (STEP-reset date 11/25/21) | | | | | |
5.22% | | 09/25/36 | | | 146,643 | | | | 148,493 | |
Citicorp Residential Mortgage Trust, | | | | | |
| Series 2007-1, Class A5 (STEP-reset date 11/25/21) | | | | | |
5.17% | | 03/25/37 | | | 389,276 | | | | 398,444 | |
Citigroup Mortgage Loan Trust, | | | | | |
Series 2006-HE2, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.29%) | | | | | |
0.38% | | 08/25/362 | | | 185,065 | | | | 186,057 | |
Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-WF2, Class A1 (STEP-reset date 11/25/21) | | | | | |
7.25% | | 05/25/36 | | | 36,172,618 | | | | 25,228,998 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2007-WFH3, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | 06/25/372 | | | 82,940 | | | | 82,747 | |
Clear Creek CLO, | | | | | |
Series 2015-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | 10/20/301,2,3 | | | 27,190,000 | | | | 27,195,166 | |
College Loan Corp. Trust, | | | | | |
Series 2005-2, Class B | | | | | |
(LIBOR USD 3-Month plus 0.49%) | | | | | |
0.62% | | 01/15/372 | | | 2,172,019 | | | | 2,074,432 | |
Conseco Finance Corp., | | | | | |
Series 1996-7, Class M1 | | | | | |
7.70% | | 09/15/264 | | | 53,727 | | | | 53,888 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2005-13, Class AF4 | | | | | |
5.81% | | 04/25/364 | | | 190,158 | | | | 190,388 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2005-AB2, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.46%) | | | | | |
0.55% | | 11/25/352 | | | 841,993 | | | | 842,532 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2007-13, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
0.89% | | 10/25/472 | | | 8,859,294 | | | | 8,864,884 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2003-CB1, Class AF (STEP-reset date 11/25/21) | | | | | |
3.95% | | 01/25/33 | | | 10,932 | | | | 11,129 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB7, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 10/25/362 | | | 44,120,608 | | | | 38,280,385 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB8, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 10/25/362 | | $ | 12,240,976 | | | $ | 11,537,193 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB9, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | 11/25/362 | | | 26,438,177 | | | | 15,896,012 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF4 (STEP-reset date 11/25/21) | | | | | |
3.26% | | 01/25/37 | | | 6,707,132 | | | | 2,846,716 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF5 (STEP-reset date 11/25/21) | | | | | |
3.26% | | 01/25/37 | | | 12,604,299 | | | | 5,353,369 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.17%) | | | | | |
0.26% | | 04/25/372 | | | 23,451,329 | | | | 17,835,118 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2C (STEP-reset date 11/25/21) | | | | | |
3.66% | | 02/25/37 | | | 28,434,454 | | | | 22,702,443 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2D (STEP-reset date 11/25/21) | | | | | |
3.66% | | 02/25/37 | | | 20,818,254 | | | | 16,869,499 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2E (STEP-reset date 11/25/21) | | | | | |
3.66% | | 02/25/37 | | | 3,785,767 | | | | 3,022,425 | |
CSAB Mortgage-Backed Trust, | | | | | |
| Series 2006-4, Class A6B (STEP-reset date 11/25/21) | | | | | |
6.28% | | 12/25/36 | | | 5,268,016 | | | | 427,276 | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.82%) | | | | | |
0.94% | | 11/15/281,2,3 | | | 18,140,245 | | | | 18,148,227 | |
Dryden 83 CLO Ltd., | | | | | |
Series 2020-83A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.22%) | | | | | |
1.35% | | 01/18/321,2,3 | | | 29,220,000 | | | | 29,250,564 | |
Dryden 92 CLO Ltd., | | | | | |
Series 2021-92A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
0.00% | | 11/20/341,2,3 | | | 22,500,000 | | | | 22,512,353 | |
Dryden XXVI Senior Loan Fund, | | | | | |
Series 2013-26A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
1.03% | | 04/15/291,2,3 | | | 22,577,849 | | | | 22,578,074 | |
|
| See accompanying Notes to Financial Statements. |
|
| 147 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Eaton Vance CLO Ltd., | | | | | |
Series 2013-1A, Class A13R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
1.38% | | 01/15/341,2,3 | | $ | 23,950,000 | | | $ | 24,005,085 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2020-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
1.73% | | 10/15/341,2,3 | | | 25,000,000 | | | | 25,012,150 | |
ECMC Group Student Loan Trust, | | | | | |
Series 2016-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | 07/26/661,2 | | | 35,113,794 | | | | 36,424,412 | |
Education Loan Asset-Backed Trust I, | | | | | |
Series 2013-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
0.89% | | 04/26/321,2 | | | 10,845,906 | | | | 10,851,030 | |
Educational Funding of the South, Inc., | | | | | |
Series 2011-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 0.65%) | | | | | |
0.78% | | 04/25/352 | | | 13,192 | | | | 13,132 | |
Educational Funding of the South, Inc., | | | | | |
Series 2012-1, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
1.14% | | 03/25/362 | | | 8,832,637 | | | | 8,886,043 | |
EFS Volunteer No. 2 LLC, | | | | | |
Series 2012-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | 03/25/361,2 | | | 11,174,669 | | | | 11,316,303 | |
Elmwood CLO XI Ltd., | | | | | |
Series 2021-4A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | 10/20/341,2,3 | | | 16,000,000 | | | | 16,008,784 | |
Equity One Mortgage Pass-Through Trust, | | | | | |
Series 2002-4, Class M1 | | | | | |
5.22% | | 02/25/334 | | | 8,558 | | | | 8,657 | |
Equity One Mortgage Pass-Through Trust, | | | | | |
| Series 2002-5, Class M1 (STEP-reset date 11/25/21) | | | | | |
5.80% | | 11/25/32 | | | 36,213 | | | | 37,268 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF13, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
0.41% | | 10/25/362 | | | 11,287,456 | | | | 9,157,499 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF13, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 10/25/362 | | | 711,760 | | | | 585,608 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF18, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.11%) | | | | | |
0.20% | | 12/25/372 | | | 6,277,424 | | | | 5,991,917 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF18, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.16%) | | | | | |
0.25% | | 12/25/372 | | | 17,263,479 | | | | 16,530,047 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF18, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.21%) | | | | | |
0.30% | | | 12/25/372 | | | $ | 12,512,008 | | | $ | 12,017,939 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF5, Class 1A | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
0.39% | | | 04/25/362 | | | | 14,761,786 | | | | 14,639,143 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF8, Class IIA4 | | | | | |
(LIBOR USD 1-Month plus 0.46%) | | | | | |
0.55% | | | 07/25/362 | | | | 26,320,118 | | | | 26,035,558 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF1, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | | 01/25/382 | | | | 60,140,994 | | | | 41,452,655 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | | 03/25/372 | | | | 54,539,120 | | | | 36,010,738 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF2, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.10%) | | | | | |
0.19% | | | 03/25/372 | | �� | | 23,612,019 | | | | 14,686,744 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF2, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | | 03/25/372 | | | | 13,536,393 | | | | 8,498,778 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF2, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.22%) | | | | | |
0.31% | | | 03/25/372 | | | | 25,204,405 | | | | 16,030,702 | |
Flatiron CLO 21 Ltd., | | | | | |
Series 2021-1A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.11%) | | | | | |
1.26% | | | 07/19/341,2,3 | | | | 52,500,000 | | | | 52,575,180 | |
GCO Education Loan Funding Trust, | | | | | |
Series 2006-1, Class A11L | | | | | |
(LIBOR USD 3-Month plus 0.23%) | | | | | |
0.36% | | | 05/25/362 | | | | 25,000,000 | | | | 24,539,274 | |
Global SC Finance II SRL, | | | | | |
Series 2014-1A, Class A2 | | | | | |
(Barbados) | | | | | |
3.09% | | | 07/17/291,3 | | | | 25,229,417 | | | | 25,735,589 | |
GMACM Home Equity Loan Trust, | | | | | |
Series 2000-HE2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.44%) | | | | | |
0.61% | | | 06/25/302 | | | | 11,472 | | | | 11,241 | |
Goal Capital Funding Trust, | | | | | |
Series 2006-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
0.58% | | | 08/25/422 | | | | 1,978,028 | | | | 1,850,934 | |
Goal Structured Solutions Trust, | | | | | |
Series 2015-1, Class A | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.74% | | | 09/25/411,2 | | | | 16,737,612 | | | | 16,726,981 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 148 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | | | | | |
Series 2020-8A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
1.24% | | 10/20/341,2,3 | | $ | 36,180,000 | | | $ | 36,204,819 | |
GoldenTree Loan Opportunities IX Ltd., | | | | | |
Series 2014-9A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.11%) | | | | | |
1.24% | | 10/29/291,2,3 | | | 5,283,000 | | | | 5,285,731 | |
GSAA Home Equity Trust, | | | | | |
Series 2005-11, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
0.65% | | 10/25/352 | | | 672,153 | | | | 673,476 | |
GSAA Home Equity Trust, | | | | | |
Series 2005-11, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 10/25/352 | | | 116,557 | | | | 116,604 | |
GSAA Home Equity Trust, | | | | | |
Series 2005-11, Class 3A2 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 10/25/352 | | | 62,299 | | | | 62,312 | |
GSAA Home Equity Trust, | | | | | |
Series 2005-6, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.73% | | 06/25/352 | | | 103,672 | | | | 104,341 | |
GSAMP Trust, | | | | | |
Series 2005-AHL2, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | 12/25/352 | | | 24,251,121 | | | | 23,937,578 | |
GSAMP Trust, | | | | | |
Series 2006-NC1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.58%) | | | | | |
0.67% | | 02/25/362 | | | 58,962 | | | | 58,933 | |
GSAMP Trust, | | | | | |
Series 2007-HE2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.32% | | 03/25/472 | | | 73,018,983 | | | | 68,880,304 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2006-HE1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 10/25/362 | | | 55,664,424 | | | | 24,100,119 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A3 | | | | | |
6.61% | | 02/25/28 | | | 34,456 | | | | 34,785 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | 01/17/731 | | | 599,359 | | | | 672,846 | |
J.G. Wentworth XXXII LLC, | | | | | |
Series 2014-2A, Class A | | | | | |
3.61% | | 01/17/731 | | | 39,467,002 | | | | 43,455,427 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-WF1, Class A3A (STEP-reset date 11/25/21) | | | | | |
6.33% | | 07/25/36 | | | 31,472,295 | | | | 13,266,186 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-WF1, Class A6 (STEP-reset date 11/25/21) | | | | | |
6.50% | | 07/25/36 | | $ | 4,388,736 | | | $ | 1,871,449 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-CH4, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | 05/25/372 | | | 20,971,983 | | | | 20,274,416 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-CH5, Class A5 | | | | | |
(LIBOR USD 1-Month plus 0.26%) | | | | | |
0.35% | | 06/25/372 | | | 142,229 | | | | 141,506 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-HE1, Class AF1 | | | | | |
(LIBOR USD 1-Month plus 0.10%) | | | | | |
0.19% | | 03/25/472 | | | 122,648 | | | | 74,814 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-HE1, Class AF2 (STEP-reset date 11/25/21) | | | | | |
4.22% | | 03/25/47 | | | 8,023,383 | | | | 6,296,989 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-HE1, Class AF3 (STEP-reset date 11/25/21) | | | | | |
4.22% | | 05/25/35 | | | 6,752,656 | | | | 5,299,607 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-HE1, Class AF4 (STEP-reset date 11/25/21) | | | | | |
4.22% | | 03/25/47 | | | 3,069,389 | | | | 2,408,836 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-HE1, Class AV4 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 03/25/472 | | | 240,000 | | | | 233,536 | |
LCM XIII LP, | | | | | |
Series 13A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.14%) | | | | | |
1.27% | | 07/19/271,2,3 | | | 25,575,000 | | | | 25,573,466 | |
LCM XVIII LP, | | | | | |
Series 19A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.24%) | | | | | |
1.37% | | 07/15/271,2,3 | | | 10,760,470 | | | | 10,763,805 | |
LCM XX LP, | | | | | |
Series 20A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.04%) | | | | | |
1.17% | | 10/20/271,2,3 | | | 3,894,888 | | | | 3,895,877 | |
LCM XXI LP, | | | | | |
Series 21A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.88%) | | | | | |
1.01% | | 04/20/281,2,3 | | | 16,739,768 | | | | 16,737,089 | |
Lehman ABS Mortgage Loan Trust, | | | | | |
Series 2007-1, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.20%) | | | | | |
0.29% | | 06/25/371,2 | | | 217,320 | | | | 181,860 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, | | | | | |
Series 2007-1A, Class 2A3 | | | | | |
5.62% | | 03/25/371,4 | | | 950,113 | | | | 973,247 | |
|
| See accompanying Notes to Financial Statements. |
|
| 149 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Lehman XS Trust, | | | | | |
Series 2006-5, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
0.51% | | 04/25/362 | | $ | 23,282,060 | | | $ | 22,473,132 | |
Lehman XS Trust, | | | | | |
Series 2006-8, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.16%) | | | | | |
0.41% | | 06/25/362 | | | 31,032,351 | | | | 29,209,793 | |
LoanCore Issuer Ltd., | | | | | |
Series 2021-CRE5, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 1-Month plus 1.30%) | | | | | |
1.38% | | 07/15/361,2,3 | | | 45,000,000 | | | | 45,086,589 | |
Long Beach Mortgage Loan Trust, | | | | | |
Series 2004-4, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
0.99% | | 10/25/342 | | | 96,578 | | | | 96,251 | |
Lucali CLO Ltd., | | | | | |
Series 2020-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.21%) | | | | | |
1.34% | | 01/15/331,2,3 | | | 11,550,000 | | | | 11,564,553 | |
Madison Park Funding XLVIII Ltd., | | | | | |
Series 2021-48A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
1.28% | | 04/19/331,2,3 | | | 30,825,000 | | | | 30,856,442 | |
Madison Park Funding XXX Ltd., | | | | | |
Series 2018-30A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
0.88% | | 04/15/291,2,3 | | | 7,057,143 | | | | 7,058,836 | |
Madison Park Funding XXXVIII Ltd., | | | | | |
Series 2021-38A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.12%) | | | | | |
1.25% | | 07/17/341,2,3 | | | 20,500,000 | | | | 20,524,682 | |
Magnetite XVIII Ltd., | | | | | |
Series 2016-18A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.20% | | 11/15/281,2,3 | | | 20,600,000 | | | | 20,606,407 | |
Magnetite XXV Ltd., | | | | | |
Series 2020-25A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | 01/25/321,2,3 | | | 27,025,000 | | | | 27,047,188 | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2006-HE4, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
0.39% | | 11/25/362 | | | 13,452,082 | | | | 6,059,370 | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2006-HE4, Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
0.51% | | 11/25/362 | | | 3,736,689 | | | | 1,633,524 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2007-HE1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.21%) | | | | | |
0.30% | | 05/25/372 | | $ | 22,845,664 | | | $ | 22,532,354 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 04/25/372 | | | 153,294,238 | | | | 92,510,298 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.17%) | | | | | |
0.26% | | 04/25/372 | | | 29,985,847 | | | | 16,807,046 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | 04/25/372 | | | 62,815,608 | | | | 35,792,334 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 05/25/372 | | | 30,871,878 | | | | 17,746,208 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
0.41% | | 05/25/372 | | | 15,245,874 | | | | 8,907,565 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.18%) | | | | | |
0.27% | | 06/25/372 | | | 12,084,681 | | | | 11,477,002 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | 06/25/372 | | | 16,140,357 | | | | 15,422,778 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-4, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.12%) | | | | | |
0.21% | | 07/25/372 | | | 26,691,111 | | | | 23,363,571 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-4, Class 2A3 | | | | | |
(LIBOR USD 1-Month plus 0.16%) | | | | | |
0.25% | | 07/25/372 | | | 19,565,248 | | | | 17,199,455 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
| Series 2006-WMC2, Class A2B (STEP-reset date 11/25/21) | | | | | |
3.79% | | 03/25/37 | | | 28,930,669 | | | | 9,566,426 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
| Series 2006-WMC2, Class A2D (STEP-reset date 11/25/21) | | | | | |
3.79% | | 03/25/37 | | | 22,643,040 | | | | 7,488,619 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2004-1, Class A | | | | | |
6.01% | | 08/15/37 | | | 158,714 | | | | 167,215 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2005-1, Class A | | | | | |
5.75% | | 01/15/40 | | | 9,948,411 | | | | 10,614,524 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2006-1, Class A | | | | | |
5.79% | | 10/15/401 | | | 8,250,681 | | | | 8,746,920 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 150 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Mid-State Trust XI, | | | | | |
Series 11, Class A1 | | | | | |
4.86% | | 07/15/38 | | $ | 163,253 | | | $ | 171,904 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2007-7AX, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 04/25/372 | | | 4,658,889 | | | | 1,894,426 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2006-B, Class AV4 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 09/25/362 | | | 2,619,328 | | | | 2,604,706 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2007-A, Class AV4 | | | | | |
(LIBOR USD 1-Month plus 0.23%) | | | | | |
0.32% | | 03/25/372 | | | 84,933 | | | | 84,495 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2007-C, Class 2AV4 | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | 06/25/372 | | | 6,596,630 | | | | 6,519,513 | |
Navient Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.51%) | | | | | |
0.60% | | 06/25/312 | | | 710,123 | | | | 697,109 | |
Navient Student Loan Trust, | | | | | |
Series 2014-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 03/25/832 | | | 34,744,053 | | | | 34,737,679 | |
Navient Student Loan Trust, | | | | | |
Series 2014-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | 03/25/832 | | | 60,640,671 | | | | 60,567,463 | |
Navient Student Loan Trust, | | | | | |
Series 2014-4, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | 03/25/832 | | | 91,048,440 | | | | 90,915,401 | |
Navient Student Loan Trust, | | | | | |
Series 2014-6, Class A | | | | | |
(LIBOR USD 1-Month plus 0.61%) | | | | | |
0.70% | | 03/25/832 | | | 37,689,904 | | | | 37,622,160 | |
Navient Student Loan Trust, | | | | | |
Series 2014-7, Class A | | | | | |
(LIBOR USD 1-Month plus 0.61%) | | | | | |
0.70% | | 03/25/832 | | | 76,955,269 | | | | 76,808,357 | |
Navient Student Loan Trust, | | | | | |
Series 2015-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
0.69% | | 04/25/402 | | | 57,911,875 | | | | 57,919,472 | |
Navient Student Loan Trust, | | | | | |
Series 2015-2, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.57%) | | | | | |
0.66% | | 11/26/402 | | | 113,999,452 | | | | 113,861,875 | |
Navient Student Loan Trust, | | | | | |
Series 2016-7A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
1.24% | | 03/25/661,2 | | | 56,988,747 | | | | 58,074,107 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Nelnet Student Loan Trust, | | | | | |
Series 2006-1, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
0.58% | | 08/23/361,2 | | $ | 11,356,250 | | | $ | 11,331,584 | |
Nelnet Student Loan Trust, | | | | | |
Series 2012-5A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
0.69% | | 10/27/361,2 | | | 9,668,286 | | | | 9,646,709 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-4A, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
1.04% | | 11/25/481,2 | | | 11,630,000 | | | | 11,857,508 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-5A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
0.64% | | 07/25/461,2 | | | 54,531,295 | | | | 54,391,384 | |
Nelnet Student Loan Trust, | | | | | |
Series 2015-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
0.68% | | 04/25/461,2 | | | 102,245,330 | | | | 101,969,955 | |
Nelnet Student Loan Trust, | | | | | |
Series 2015-3A, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
0.99% | | 06/25/541,2 | | | 8,890,000 | | | | 8,987,834 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., | | | | | |
Series 2019-33A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | 10/16/331,2,3 | | | 23,000,000 | | | | 23,013,915 | |
Neuberger Berman Loan Advisers CLO 36 Ltd., | | | | | |
Series 2020-36A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
1.38% | | 04/20/331,2,3 | | | 25,455,000 | | | | 25,492,368 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2003-6, Class M1 | | | | | |
(LIBOR USD 1-Month plus 1.08%) | | | | | |
1.17% | | 01/25/342 | | | 102,026 | | | | 101,687 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.76% | | 03/25/352 | | | 318,837 | | | | 319,261 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-D, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.44%) | | | | | |
0.53% | | 02/25/362 | | | 142,751 | | | | 142,112 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-D, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 02/25/362 | | | 45,062 | | | | 43,519 | |
| Nomura Home Equity Loan, Inc., Home Equity Loan Trust, | | | | | |
Series 2006-HE2, Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | 03/25/362 | | | 10,272,727 | | | | 10,287,171 | |
|
| See accompanying Notes to Financial Statements. |
|
| 151 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| 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%) | | | | | |
1.08% | | 10/25/412 | | $ | 14,866,974 | | | $ | 14,914,944 | |
NYACK Park CLO Ltd., | | | | | |
Series 2021-1A, Class B1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
0.00% | | 10/20/341,2,3 | | | 20,000,000 | | | | 20,012,040 | |
Oakwood Mortgage Investors, Inc., | | | | | |
Series 2000-A, Class A5 | | | | | |
8.16% | | 09/15/294 | | | 20,878,109 | | | | 8,242,600 | |
OCP CLO Ltd., | | | | | |
Series 2020-19A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
1.83% | | 10/20/341,2,3 | | | 15,500,000 | | | | 15,509,223 | |
Octagon Investment Partners 46 Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
1.76% | | 07/15/361,2,3 | | | 7,250,000 | | | | 7,257,489 | |
OHA Credit Funding 3 Ltd., | | | | | |
Series 2019-3A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.14%) | | | | | |
1.29% | | 07/02/351,2,3 | | | 33,250,000 | | | | 33,290,499 | |
OHA Credit Funding 7 Ltd., | | | | | |
Series 2020-7A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
1.38% | | 10/19/321,2,3 | | | 14,400,000 | | | | 14,402,160 | |
Option One Mortgage Loan Trust, | | | | | |
Series 2006-1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.44%) | | | | | |
0.53% | | 01/25/362 | | | 5,816,988 | | | | 5,815,363 | |
Ownit Mortgage Loan Trust, | | | | | |
Series 2006-4, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 05/25/372 | | | 13,085,662 | | | | 12,313,221 | |
Ownit Mortgage Loan Trust, | | | | | |
Series 2006-4, Class A2D | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 05/25/372 | | | 17,644,951 | | | | 16,314,727 | |
Palmer Square CLO Ltd., | | | | | |
Series 2020-3A, Class A1A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.37%) | | | | | |
1.49% | | 11/15/311,2,3 | | | 32,300,000 | | | | 32,370,349 | |
Palmer Square CLO Ltd., | | | | | |
Series 2021-4A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
1.79% | | 10/15/341,2,3 | | | 19,500,000 | | | | 19,510,706 | |
| | | | | | | | | | |
| | | |
| 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%) | | | | | |
1.18% | | 04/20/271,2,3 | | $ | 4,843,776 | | | $ | 4,845,060 | |
Palmer Square Loan Funding Ltd., | | | | | |
Series 2019-4A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
1.03% | | 10/24/271,2,3 | | | 35,119,647 | | | | 35,125,793 | |
Palmer Square Loan Funding Ltd., | | | | | |
Series 2020-2A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
1.13% | | 04/20/281,2,3 | | | 23,550,726 | | | | 23,554,470 | |
Park Avenue Institutional Advisers CLO Ltd., | | | | | |
Series 2021-1A, Class A1A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.39%) | | | | | |
1.52% | | 01/20/341,2,3 | | | 50,000,000 | | | | 50,155,950 | |
PHEAA Student Loan Trust, | | | | | |
Series 2015-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
0.69% | | 10/25/411,2 | | | 106,019,240 | | | | 105,497,569 | |
Popular ABS Mortgage Pass-Through Trust, | | | | | |
Series 2005-6, Class A5 (STEP-reset date 11/25/21) | | | | | |
3.45% | | 01/25/36 | | | 22,910,000 | | | | 21,017,467 | |
Popular ABS Mortgage Pass-Through Trust, | | | | | |
Series 2006-D, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.26%) | | | | | |
0.35% | | 11/25/362 | | | 34,100 | | | | 33,919 | |
Popular ABS Mortgage Pass-Through Trust, | | | | | |
Series 2007-A, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.31%) | | | | | |
0.40% | | 06/25/472 | | | 23,015,500 | | | | 21,992,769 | |
Recette CLO Ltd., | | | | | |
Series 2015-1A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.21% | | 04/20/341,2,3 | | | 42,730,000 | | | | 42,715,472 | |
Regatta XX Funding Ltd., | | | | | |
Series 2021-2A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
1.78% | | 10/15/341,2,3 | | | 12,000,000 | | | | 12,007,596 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2004-SL3, Class A4 | | | | | |
8.50% | | 12/25/31 | | | 17,658 | | | | 11,113 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2005-RZ3, Class M3 | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
0.91% | | 09/25/352 | | | 161,024 | | | | 161,159 | |
Residential Asset Securities Corp., | | | | | |
Series 2006-KS3, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.33%) | | | | | |
0.58% | | 04/25/362 | | | 611,638 | | | | 612,386 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 152 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-2A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.02%) | | | | | |
1.15% | | 10/15/291,2,3 | | $ | 26,680,000 | | | $ | 26,681,601 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-3A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.19%) | | | | | |
1.32% | | 10/20/301,2,3 | | | 1,880,000 | | | | 1,880,214 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2019-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
1.78% | | 08/20/321,2,3 | | | 20,000,000 | | | | 20,013,480 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2020-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.28%) | | | | | |
1.41% | | 01/20/321,2,3 | | | 23,840,000 | | | | 23,865,747 | |
Saxon Asset Securities Trust, | | | | | |
| Series 2001-2, Class AF6 (STEP-reset date 11/25/21) | | | | | |
6.81% | | 06/25/16 | | | 104 | | | | 160 | |
Saxon Asset Securities Trust, | | | | | |
Series 2007-1, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | 01/25/472 | | | 2,181,641 | | | | 2,149,221 | |
Saxon Asset Securities Trust, | | | | | |
Series 2007-2, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 05/25/472 | | | 183,536 | | | | 159,940 | |
Saxon Asset Securities Trust, | | | | | |
Series 2007-3, Class 2A3 | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
0.49% | | 09/25/472 | | | 30,779,761 | | | | 29,660,684 | |
Scholar Funding Trust, | | | | | |
Series 2012-B, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
1.19% | | 03/28/461,2 | | | 19,155,666 | | | | 19,495,266 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
| Series 2006-CB1, Class AF2 (STEP-reset date 11/25/21) | | | | | |
2.92% | | 01/25/36 | | | 6,215,579 | | | | 5,067,954 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2006-CB5, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.28%) | | | | | |
0.37% | | 06/25/362 | | | 235,139 | | | | 184,632 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR1, Class A2A | | | | | |
(LIBOR USD 1-Month plus 0.11%) | | | | | |
0.20% | | 02/25/372 | | | 5,807,549 | | | | 3,640,919 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR1, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.27%) | | | | | |
0.36% | | 02/25/372 | | | 28,749,184 | | | | 18,533,567 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR2, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.23%) | | | | | |
0.32% | | 02/25/372 | | $ | 39,640,108 | | | $ | 21,678,618 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR5, Class A2A | | | | | |
(LIBOR USD 1-Month plus 0.13%) | | | | | |
0.22% | | 05/25/372 | | | 15,679,076 | | | | 13,748,160 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR5, Class A2C | | | | | |
(LIBOR USD 1-Month plus 0.35%) | | | | | |
0.44% | | 05/25/372 | | | 11,825,024 | | | | 10,630,463 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-NC1, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | 12/25/362 | | | 30,088,499 | | | | 21,637,431 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-NC2, Class A2B | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 01/25/372 | | | 15,657,983 | | | | 14,438,315 | |
SG Mortgage Securities Trust, | | | | | |
Series 2007-NC1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 12/25/361,2 | | | 13,565,435 | | | | 10,583,982 | |
Sixth Street CLO XVI Ltd. | | | | | |
Series 2021-20A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
0.00% | | 10/20/341,2,3 | | | 25,000,000 | | | | 25,015,100 | |
Sixth Street CLO XVII Ltd., | | | | | |
Series 2021-17A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.24%) | | | | | |
1.41% | | 01/20/341,2,3 | | | 41,060,000 | | | | 41,176,159 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | 12/30/995,6 | | | 31,164,634 | | | | 31,253,500 | |
SLC Student Loan Trust, | | | | | |
Series 2004-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.29%) | | | | | |
0.41% | | 08/15/312 | | | 260,108 | | | | 243,388 | |
SLC Student Loan Trust, | | | | | |
Series 2008-1, Class A4A | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
1.72% | | 12/15/322 | | | 11,314,112 | | | | 11,638,450 | |
SLM Student Loan Trust, | | | | | |
Series 2003-12, Class B | | | | | |
(LIBOR USD 3-Month plus 0.59%) | | | | | |
0.71% | | 03/15/382 | | | 49,975 | | | | 48,140 | |
SLM Student Loan Trust, | | | | | |
Series 2003-4, Class A5E | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
0.87% | | 03/15/331,2 | | | 4,390,568 | | | | 4,322,756 | |
SLM Student Loan Trust, | | | | | |
Series 2005-9, Class A7A | | | | | |
(LIBOR USD 3-Month plus 0.60%) | | | | | |
0.73% | | 01/25/412 | | | 55,472,549 | | | | 55,510,028 | |
|
| See accompanying Notes to Financial Statements. |
|
| 153 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2006-2, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.17%) | | | | | |
0.30% | | 01/25/412 | | $ | 31,314,329 | | | $ | 30,745,998 | |
SLM Student Loan Trust, | | | | | |
Series 2006-8, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
0.29% | | 01/25/412 | | | 32,923,608 | | | | 32,528,287 | |
SLM Student Loan Trust, | | | | | |
Series 2007-1, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.14%) | | | | | |
0.27% | | 01/27/422 | | | 32,050,000 | | | | 31,344,832 | |
SLM Student Loan Trust, | | | | | |
Series 2007-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.22%) | | | | | |
0.35% | | 01/27/422 | | | 3,788,587 | | | | 3,541,931 | |
SLM Student Loan Trust, | | | | | |
Series 2007-3, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.06%) | | | | | |
0.19% | | 01/25/222 | | | 2,195,581 | | | | 2,137,787 | |
SLM Student Loan Trust, | | | | | |
Series 2007-6, Class B | | | | | |
(LIBOR USD 3-Month plus 0.85%) | | | | | |
0.98% | | 04/27/432 | | | 4,256,180 | | | | 4,055,100 | |
SLM Student Loan Trust, | | | | | |
Series 2007-7, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.33%) | | | | | |
0.46% | | 01/25/222 | | | 264,714 | | | | 260,356 | |
SLM Student Loan Trust, | | | | | |
Series 2008-1, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.65%) | | | | | |
0.78% | | 01/25/222 | | | 35,404,611 | | | | 34,945,031 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class A3 | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
0.88% | | 04/25/232 | | | 80,208,159 | | | | 79,412,574 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | 01/25/832 | | | 38,874,000 | | | | 37,339,858 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class A3 | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
1.13% | | 10/25/212 | | | 16,541 | | | | 16,557 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
1.33% | | 04/26/832 | | | 2,260,000 | | | | 2,134,953 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
1.78% | | 07/25/222 | | | 1,928,112 | | | | 1,967,583 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | 04/25/732 | | | 8,849,000 | | | | 8,894,243 | |
| | | | | | | | | | |
| | | |
| 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%) | | | | | |
1.83% | | 07/25/232 | | $ | 28,030,861 | | | $ | 28,309,210 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | 07/25/732 | | | 37,199,000 | | | | 36,843,973 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
1.23% | | 07/25/232 | | | 12,073,331 | | | | 12,141,046 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | 07/26/832 | | | 31,424,000 | | | | 31,604,455 | |
SLM Student Loan Trust, | | | | | |
Series 2008-7, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
1.98% | | 07/26/832 | | | 17,206,000 | | | | 17,277,274 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
1.63% | | 04/25/232 | | | 2,508,421 | | | | 2,524,229 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | 10/25/752 | | | 625,000 | | | | 629,614 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
1.63% | | 04/25/232 | | | 57,295,823 | | | | 57,700,067 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
2.38% | | 10/25/832 | | | 45,100,000 | | | | 45,575,943 | |
SLM Student Loan Trust, | | | | | |
Series 2009-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
0.84% | | 01/25/451,2 | | | 147,946,965 | | | | 148,825,178 | |
SLM Student Loan Trust, | | | | | |
Series 2011-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
1.24% | | 10/25/342 | | | 2,485,364 | | | | 2,533,838 | |
SLM Student Loan Trust, | | | | | |
Series 2012-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
1.04% | | 09/25/282 | | | 586,014 | | | | 581,218 | |
SLM Student Loan Trust, | | | | | |
Series 2012-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | 01/25/292 | | | 12,371,949 | | | | 12,182,345 | |
SLM Student Loan Trust, | | | | | |
Series 2012-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.74% | | 12/27/382 | | | 14,474,374 | | | | 14,466,702 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 154 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2012-7, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
0.74% | | 05/26/262 | | $ | 21,440,134 | | | $ | 21,039,691 | |
Soundview Home Loan Trust, | | | | | |
Series 2005-OPT1, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.76% | | 06/25/352 | | | 12,550,588 | | | | 12,558,839 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | | | | | |
(28 Day Auction Rate plus 0.00%) | | | | | |
1.61% | | 1.611,2 | | | 17,450,000 | | | | 16,099,754 | |
TCI-Flatiron CLO Ltd., | | | | | |
Series 2016-1A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
1.28% | | 01/17/321,2,3 | | | 52,015,000 | | | | 52,104,466 | |
Treman Park CLO Ltd., | | | | | |
Series 2015-1A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.07%) | | | | | |
1.20% | | 10/20/281,2,3 | | | 14,557,967 | | | | 14,559,714 | |
Trestles CLO IV Ltd., | | | | | |
Series 2021-4A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.17%) | | | | | |
0.00% | | 07/21/341,2,3 | | | 50,000,000 | | | | 49,995,400 | |
Voya CLO Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
1.79% | | 07/19/341,2,3 | | | 11,825,000 | | | | 11,832,805 | |
WaMu Asset-Backed Certificates, | | | | | |
Series 2007-HE1, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.11%) | | | | | |
0.20% | | 01/25/372 | | | 3,338,387 | | | | 2,070,873 | |
WaMu Asset-Backed Certificates, | | | | | |
Series 2007-HE1, Class 2A3 | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
0.24% | | 01/25/372 | | | 41,069,198 | | | | 26,115,211 | |
WaMu Asset-Backed Certificates, | | | | | |
Series 2007-HE1, Class 2A4 | | | | | |
(LIBOR USD 1-Month plus 0.23%) | | | | | |
0.32% | | 01/25/372 | | | 10,344,768 | | | | 6,666,702 | |
| | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $4,929,478,766) | | | | 4,933,911,924 | |
| | | | | | | | | | |
| | |
BANK LOANS — 1.60%* | | | | | | | | |
| | |
Automotive — 0.02% | | | | | | | | |
Clarios Global LP, | | | | | | | | |
Term Loan B, 1st Lien | | | | | | | | |
(LIBOR plus 3.25%) | | | | | | | | |
3.33% | | 04/30/262 | | | 18,429,354 | | | | 18,371,762 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications — 0.34% | | | | | |
CenturyLink, Inc., | | | | | |
Term Loan A, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.08% | | 01/31/252 | | $ | 13,046,079 | | | $ | 12,985,545 | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | 03/15/272 | | | 49,630,763 | | | | 49,158,527 | |
CSC Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | 07/17/252 | | | 15,933,106 | | | | 15,742,626 | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
2.58% | | 04/15/272 | | | 9,512,444 | | | | 9,418,319 | |
Diamond Sports Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.34% | | 08/24/262 | | | 46,869,752 | | | | 29,391,084 | |
DIRECTV Financing LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
5.75% | | 08/02/272 | | | 48,710,000 | | | | 48,796,217 | |
Frontier Communications holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | 05/01/282 | | | 16,691,125 | | | | 16,706,731 | |
Intelsat Jackson Holdings SA, | | | | | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.75%) | | | | | |
5.75% | | 07/13/222,3,7 | | | 10,917,327 | | | | 11,012,853 | |
Term Loan B4, 1st Lien (Luxembourg) | | | | | |
(PRIME plus 5.50%) | | | | | |
8.75% | | 01/02/242,3 | | | 2,000,000 | | | | 2,038,130 | |
Term Loan B5, 1st Lien (Luxembourg) | | | | | |
8.63% | | 01/02/242,3 | | | 25,379,651 | | | | 25,855,520 | |
Level 3 Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 03/01/272 | | | 22,889,876 | | | | 22,638,431 | |
Sinclair Television Group, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.09% | | 04/01/282 | | | 12,817,875 | | | | 12,721,741 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.08% | | 03/09/272 | | | 47,411,678 | | | | 47,048,267 | |
| | | | | | | | | | |
| | | | | | | | | 303,513,991 | |
| | | | | | | | | | |
| |
Consumer Discretionary — 0.01% | | | | | |
Sunshine Luxembourg VII SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
4.50% | | 10/01/262 | | | 7,685,093 | | | | 7,715,373 | |
| | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 155 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
Issues | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Electric — 0.08% | | | | | |
CommScope, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.33% | | 04/06/262 | | $ | 44,260,937 | | | $ | 44,127,269 | |
Homer City Generation LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 11.00%) | | | | | |
15.00% | | 04/05/232,5,6 | | | 5,218,065 | | | | 3,783,098 | |
Vistra Operations Co., LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 12/31/252 | | | 27,031,816 | | | | 26,857,326 | |
| | | | | | | | | | |
| | | | | | | | | 74,767,693 | |
| | | | | | | | | | |
|
Entertainment — 0.01% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | 02/28/252 | | | 7,775,088 | | | | 6,430,620 | |
| | | | | | | | | | |
| |
Finance — 0.09% | | | | | |
Auris Lux III SA, | | | | | |
Term Loan B, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 3.75%) | | | | | |
3.83% | | 02/27/262,3 | | | 1,466,171 | | | | 1,455,636 | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.75% | | 12/01/272 | | | 16,443,580 | | | | 16,475,481 | |
Mozart Borrower, LP, | | | | | |
Term Loan B | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.25% | | 09/30/282 | | | 30,200,000 | | | | 30,049,000 | |
Telenet Financing USD LLC, | | | | | |
Term Loan AR, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.08% | | 04/30/282 | | | 28,600,000 | | | | 28,310,139 | |
| | | | | | | | | | |
| | | | | | | | | 76,290,256 | |
| | | | | | | | | | |
|
Food — 0.05% | |
Hostess Brands LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | 08/03/252 | | | 43,247,880 | | | | 43,175,007 | |
JBS USA LUX SA, | |
Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 2.00%) | |
2.08% | | 05/01/262,3 | | | 1,116,241 | | | | 1,113,193 | |
| | | | | | | | | | |
| | | | | | | | | 44,288,200 | |
| | | | | | | | | | |
|
Gaming — 0.03% | |
Caesars Resort Collection LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.75%) | |
2.83% | | 12/23/242 | | | 92,785 | | | | 92,354 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Gaming (continued) | | | | | |
Churchill Downs, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.09% | | 03/17/282 | | $ | 12,935,000 | | | $ | 12,837,987 | |
2.10% | | 12/27/242 | | | 11,542,727 | | | | 11,542,727 | |
| | | | | | | | | | |
| | | | | | | | | 24,473,068 | |
| | | | | | | | | | |
| |
Health Care — 0.59% | | | | | |
Avantor Funding, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.75% | | 11/08/272 | | | 67,063,000 | | | | 67,251,782 | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
2.50% | | 01/15/252 | | | 6,520,459 | | | | 6,502,560 | |
Change Healthcare Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.50% | | 03/01/242 | | | 26,996,215 | | | | 26,997,565 | |
Elanco Animal Health, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | 08/01/272 | | | 93,547,325 | | | | 92,519,708 | |
Endo Luxembourg Finance Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
5.75% | | 03/27/282 | | | 34,413,534 | | | | 33,732,490 | |
Gentiva Health Services, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.88% | | 07/02/252 | | | 35,440,609 | | | | 35,470,024 | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.07% | | 11/15/272 | | | 54,741,625 | | | | 53,920,501 | |
Horizon Therapeutics USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.50% | | 03/15/282 | | | 72,355,555 | | | | 72,310,333 | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.38% | | 05/22/262 | | | 628,170 | | | | 625,893 | |
ICON Luxembourg SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.00% | | 07/03/282 | | | 27,122,500 | | | | 27,242,924 | |
Indigo Merger Sub, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
3.00% | | 07/03/282 | | | 6,757,588 | | | | 6,787,591 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 0.00%) | | | | | |
0.50% | | 05/05/282 | | | 43,052,100 | | | | 43,159,946 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 156 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Organon & Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.50% | | 06/02/282 | | $ | 27,057,188 | | | $ | 27,158,652 | |
PPD, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
2.50% | | 01/13/282 | | | 19,900,000 | | | | 19,891,741 | |
Valeant Pharmaceuticals International, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
2.83% | | 11/27/252 | | | 3,785,588 | | | | 3,779,682 | |
| | | | | |
| | | | 517,351,392 | |
| | | | | |
| |
Industrials — 0.17% | | | | | |
Berry Global, Inc., | | | | | |
Term Loan Z, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.86% | | 07/01/262 | | | 71,273,684 | | | | 70,970,771 | |
Mauser Packaging Solutions Holdings, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
3.33% | | 04/03/242 | | | 4,204,139 | | | | 4,124,975 | |
Michaels Cos., Inc. (The), | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
5.00% | | 04/15/282 | | | 28,169,400 | | | | 28,230,105 | |
TransDigm, Inc., | | | | | |
Term Loan E, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | 05/30/252 | | | 15,304,838 | | | | 15,135,107 | |
Term Loan F, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.33% | | 12/09/252 | | | 5,376,389 | | | | 5,317,303 | |
Zep, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
5.00% | | 08/12/242 | | | 27,931,031 | | | | 27,320,040 | |
| | | | | |
| | | | 151,098,301 | |
| | | | | |
| |
Information Technology — 0.04% | | | | | |
IQVIA, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 03/07/242 | | | 12,556,829 | | | | 12,552,120 | |
Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 01/17/252 | | | 8,227,099 | | | | 8,214,759 | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.88% | | 06/11/252 | | | 5,932,389 | | | | 5,927,940 | |
SS&C Technologies, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 04/16/252 | | | 7,026,025 | | | | 6,965,882 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 04/16/252 | | $ | 5,320,403 | | | $ | 5,274,861 | |
| | | | | |
| | | | 38,935,562 | |
| | | | | |
|
Real Estate Investment Trust (REIT) — 0.05% | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | 04/11/252 | | | 42,989,479 | | | | 42,629,013 | |
| | | | | |
| |
Retail — 0.09% | | | | | |
AmWINS Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
3.00% | | 02/19/282 | | | 50,923,161 | | | | 50,668,799 | |
BC ULC, | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | 11/19/262,3 | | | 23,610,152 | | | | 23,364,134 | |
KFC Holding Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | 03/15/282 | | | 1,339,708 | | | | 1,341,503 | |
| | | | | |
| | | | 75,374,436 | |
| | | | | |
| |
Services — 0.02% | | | | | |
GFL Environmental, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
3.50% | | 05/30/252 | | | 12,207,500 | | | | 12,243,756 | |
PowerTeam Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
4.25% | | 03/06/252 | | | 2,515,649 | | | | 2,502,291 | |
SS&C Technologies, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.83% | | 04/16/252 | | | 5,336,321 | | | | 5,294,084 | |
| | | | | |
| | | | 20,040,131 | |
| | | | | |
| |
Transportation — 0.01% | | | | | |
American Airlines, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
1.84% | | 01/29/272 | | | 5,659,000 | | | | 5,441,836 | |
| | | | | |
| |
Total Bank Loans | | | | | |
(Cost $1,405,248,048) | | | | 1,406,721,634 | |
| | | | | |
| |
CORPORATES — 23.57%* | | | | | |
| |
Banking — 5.03% | | | | | |
Bank of America Corp. | | | | | |
1.73% | | 07/22/274 | | | 282,360,000 | | | | 283,908,239 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
2.02% | | 02/13/264 | | | 14,932,000 | | | | 15,324,508 | |
|
| See accompanying Notes to Financial Statements. |
|
| 157 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
2.09% | | 06/14/294 | | $ | 267,814,000 | | | $ | 267,633,158 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
1.66% | | 03/11/274 | | | 335,235,000 | | | | 337,490,327 | |
Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
1.31% | | 02/02/271,3,4 | | | 135,675,000 | | | | 132,819,303 | |
2.19% | | 06/05/261,3,4 | | | 120,398,000 | | | | 122,819,920 | |
2.59% | | 09/11/251,3,4 | | | 33,998,000 | | | | 35,226,260 | |
3.09% | | 05/14/321,3,4 | | | 98,280,000 | | | | 100,857,609 | |
4.28% | | 01/09/281,3 | | | 34,500,000 | | | | 38,340,639 | |
4.55% | | 04/17/263 | | | 21,100,000 | | | | 23,714,242 | |
Discover Bank | | | | | |
(BKNT) | | | | | |
4.20% | | 08/08/23 | | | 15,255,000 | | | | 16,281,678 | |
DNB Bank ASA | | | | | |
(Norway) | | | | | |
0.86% | | 09/30/251,3,4 | | | 122,145,000 | | | | 122,221,024 | |
1.13% | | 09/16/261,3,4 | | | 7,581,000 | | | | 7,503,592 | |
Global Bank Corp. | | | | | |
(Panama) | | | | | |
5.25% | | 04/16/291,3,4 | | | 2,400,000 | | | | 2,535,000 | |
Grupo Aval Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.38% | | 02/04/301,3 | | | 1,175,000 | | | | 1,162,369 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
0.98% | | 05/24/253,4 | | | 19,819,000 | | | | 19,786,200 | |
1.59% | | 05/24/273,4 | | | 32,550,000 | | | | 32,345,680 | |
1.75% | | 07/24/273,4 | | | 34,075,000 | | | | 45,914,975 | |
2.01% | | 09/22/283,4 | | | 180,117,000 | | | | 180,217,702 | |
2.21% | | 08/17/293,4 | | | 162,265,000 | | | | 161,145,621 | |
2.63% | | 11/07/253,4 | | | 86,815,000 | | | | 90,574,431 | |
3.80% | | 03/11/253,4 | | | 13,775,000 | | | | 14,697,397 | |
4.04% | | 03/13/283,4 | | | 20,000,000 | | | | 22,151,523 | |
4.29% | | 09/12/263,4 | | | 3,375,000 | | | | 3,720,999 | |
JPMorgan Chase & Co. | | | | | |
0.77% | | 08/09/254 | | | 68,080,000 | | | | 67,822,354 | |
0.97% | | 06/23/254 | | | 99,825,000 | | | | 99,962,285 | |
1.47% | | 09/22/274 | | | 137,940,000 | | | | 137,028,629 | |
1.58% | | 04/22/274 | | | 120,391,000 | | | | 120,663,730 | |
2.01% | | 03/13/264 | | | 75,445,000 | | | | 77,351,734 | |
2.08% | | 04/22/264 | | | 32,845,000 | | | | 33,795,534 | |
4.01% | | 04/23/294 | | | 14,465,000 | | | | 16,144,567 | |
4.02% | | 12/05/244 | | | 190,675,000 | | | | 204,264,644 | |
4.20% | | 07/23/294 | | | 8,345,000 | | | | 9,498,470 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | | 31,375,000 | | | | 31,359,486 | |
2.86% | | 03/17/233,4 | | | 10,835,000 | | | | 10,956,399 | |
2.91% | | 11/07/233,4 | | | 136,630,000 | | | | 140,084,321 | |
3.87% | | 07/09/253,4 | | | 27,225,000 | | | | 29,361,602 | |
3.90% | | 03/12/243 | | | 27,591,000 | | | | 29,670,251 | |
4.05% | | 08/16/233 | | | 10,510,000 | | | | 11,193,071 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
Macquarie Group Ltd. | | | | | |
(Australia) | | | | | |
1.34% | | 01/12/271,3,4 | | $ | 31,770,000 | | | $ | 31,506,593 | |
1.63% | | 09/23/271,3,4 | | | 35,840,000 | | | | 35,693,030 | |
2.69% | | 06/23/321,3,4 | | | 15,830,000 | | | | 15,815,867 | |
NatWest Group PLC | | | | | |
(United Kingdom) | | | | | |
1.64% | | 06/14/273,4 | | | 39,212,000 | | | | 39,203,576 | |
4.27% | | 03/22/253,4 | | | 101,684,000 | | | | 109,747,355 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.09% | | 03/15/253,4 | | | 171,185,000 | | | | 171,555,443 | |
1.53% | | 08/21/263,4 | | | 41,594,000 | | | | 41,527,442 | |
1.67% | | 06/14/273,4 | | | 38,865,000 | | | | 38,731,246 | |
3.37% | | 01/05/243,4 | | | 26,730,000 | | | | 27,623,716 | |
3.82% | | 11/03/283,4 | | | 8,897,000 | | | | 9,755,420 | |
4.80% | | 11/15/243,4 | | | 114,250,000 | | | | 123,723,765 | |
Santander UK PLC | | | | | |
(United Kingdom) | | | | | |
5.00% | | 11/07/231,3 | | | 27,746,000 | | | | 30,017,565 | |
UBS AG | | | | | |
(Switzerland) | | | | | |
(SOFR Rate plus 0.45%) | | | | | |
0.50% | | 08/09/241,2,3 | | | 98,100,000 | | | | 98,710,884 | |
Wells Fargo & Co. | | | | | |
2.19% | | 04/30/264 | | | 58,175,000 | | | | 60,066,662 | |
3.07% | | 04/30/414 | | | 102,312,000 | | | | 105,234,143 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | 02/11/264 | | | 87,063,000 | | | | 89,839,692 | |
2.39% | | 06/02/284 | | | 142,391,000 | | | | 146,983,140 | |
2.88% | | 10/30/304 | | | 122,613,000 | | | | 128,299,381 | |
4.15% | | 01/24/29 | | | 16,758,000 | | | | 19,037,863 | |
| | | | | |
| | | | 4,420,622,256 | |
| | | | | |
| |
Communications — 3.70% | | | | | |
AT&T, Inc. | | | | | |
2.55% | | 12/01/33 | | | 86,325,000 | | | | 85,006,904 | |
3.80% | | 12/01/57 | | | 273,699,000 | | | | 280,576,454 | |
4.30% | | 12/15/42 | | | 30,960,000 | | | | 34,538,473 | |
4.50% | | 05/15/35 | | | 48,155,000 | | | | 56,367,411 | |
4.75% | | 05/15/46 | | | 146,527,000 | | | | 175,589,279 | |
4.85% | | 03/01/39 | | | 4,620,000 | | | | 5,541,575 | |
5.25% | | 03/01/37 | | | 148,704,000 | | | | 184,461,330 | |
C&W Senior Financing DAC | | | | | |
(Ireland) | | | | | |
6.88% | | 09/15/271,3 | | | 3,150,000 | | | | 3,315,690 | |
Cable One, Inc. | | | | | |
4.00% | | 11/15/301 | | | 5,159,000 | | | | 5,133,205 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
3.75% | | 02/15/28 | | | 100,000 | | | | 109,594 | |
4.80% | | 03/01/50 | | | 23,178,000 | | | | 26,296,137 | |
5.38% | | 04/01/38 | | | 2,030,000 | | | | 2,456,353 | |
5.38% | | 05/01/47 | | | 95,317,000 | | | | 114,447,768 | |
5.75% | | 04/01/48 | | | 18,482,000 | | | | 23,470,846 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 158 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
Cox Communications, Inc. | | | | | |
2.60% | | 06/15/311 | | $ | 44,990,000 | | | $ | 45,570,543 | |
CSC Holdings LLC | | | | | |
4.13% | | 12/01/301 | | | 10,500,000 | | | | 10,309,433 | |
4.50% | | 11/15/311 | | | 46,085,000 | | | | 45,580,833 | |
6.50% | | 02/01/291 | | | 11,072,000 | | | | 12,004,263 | |
| Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/261 | | | 80,916,000 | | | | 53,777,450 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
5.50% | | 08/01/233,8,9 | | | 54,920,000 | | | | 30,716,482 | |
8.50% | | 10/15/241,3,8,9 | | | 149,759,000 | | | | 86,860,220 | |
9.75% | | 07/15/251,3,8,9 | | | 45,708,000 | | | | 25,781,103 | |
Level 3 Financing, Inc. | | | | | |
3.40% | | 03/01/271 | | | 54,425,000 | | | | 57,340,138 | |
3.63% | | 01/15/291 | | | 15,506,000 | | | | 15,042,233 | |
3.75% | | 07/15/291 | | | 36,223,000 | | | | 35,054,084 | |
3.88% | | 11/15/291 | | | 84,641,000 | | | | 90,612,422 | |
Lumen Technologies, Inc. | | | | | |
5.38% | | 06/15/291 | | | 186,000 | | | | 190,019 | |
Qwest Corp. | | | | | |
7.25% | | 09/15/25 | | | 4,044,000 | | | | 4,818,102 | |
SES GLOBAL Americas Holdings GP | | | | | |
5.30% | | 03/25/441 | | | 55,170,000 | | | | 63,214,686 | |
SES SA | | | | | |
(Luxembourg) | | | | | |
3.60% | | 04/04/231,3 | | | 16,882,000 | | | | 17,556,648 | |
Sinclair Television Group, Inc. | | | | | |
4.13% | | 12/01/301 | | | 9,461,000 | | | | 9,259,954 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
4.74% | | 03/20/251 | | | 95,804,625 | | | | 102,439,096 | |
5.15% | | 03/20/281 | | | 299,325,000 | | | | 342,442,766 | |
TEGNA, Inc. | | | | | |
5.50% | | 09/15/241 | | | 148,000 | | | | 150,019 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.88% | | 04/22/311,3 | | | 5,535,000 | | | | 5,655,688 | |
3.68% | | 04/22/411,3 | | | 22,760,000 | | | | 23,641,634 | |
3.84% | | 04/22/511,3 | | | 68,301,000 | | | | 71,858,177 | |
3.98% | | 04/11/291,3 | | | 9,225,000 | | | | 10,137,214 | |
Time Warner Cable LLC | | | | | |
4.50% | | 09/15/42 | | | 18,977,000 | | | | 20,801,935 | |
5.50% | | 09/01/41 | | | 30,584,000 | | | | 37,541,762 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | 02/15/261 | | | 54,164,000 | | | | 54,843,362 | |
2.55% | | 02/15/31 | | | 8,128,000 | | | | 8,162,279 | |
2.63% | | 04/15/26 | | | 102,831,000 | | | | 105,204,655 | |
3.75% | | 04/15/27 | | | 73,175,000 | | | | 80,653,690 | |
3.88% | | 04/15/30 | | | 212,762,000 | | | | 235,036,963 | |
4.38% | | 04/15/40 | | | 3,715,000 | | | | 4,284,679 | |
4.75% | | 02/01/28 | | | 16,028,000 | | | | 17,029,750 | |
Verizon Communications, Inc. | | | | | |
2.36% | | 03/15/321 | | | 37,465,000 | | | | 37,102,356 | |
2.55% | | 03/21/31 | | | 7,150,000 | | | | 7,254,631 | |
3.40% | | 03/22/41 | | | 3,545,000 | | | | 3,713,016 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
4.50% | | 08/10/33 | | $ | 8,190,000 | | | $ | 9,760,237 | |
ViacomCBS, Inc. | | | | | |
3.45% | | 10/04/26 | | | 2,913,000 | | | | 3,123,487 | |
4.20% | | 05/19/32 | | | 36,230,000 | | | | 41,460,889 | |
Virgin Media Secured Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.50% | | 08/15/301,3 | | | 34,685,000 | | | | 35,265,083 | |
5.50% | | 05/15/291,3 | | | 67,281,000 | | | | 70,998,275 | |
Vmed O2 UK Financing I PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 01/31/311,3 | | | 13,383,000 | | | | 13,366,271 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.88% | | 06/19/493 | | | 150,472,500 | | | | 187,969,457 | |
5.25% | | 05/30/483 | | | 59,411,500 | | | | 77,020,138 | |
Walt Disney Co. (The) | | | | | |
4.63% | | 03/23/40 | | | 36,500,000 | | | | 45,881,581 | |
| | | | | |
| | | | 3,253,798,722 | |
| | | | | |
| |
Consumer Discretionary — 1.03% | | | | | |
Altria Group, Inc. | | | | | |
3.70% | | 02/04/51 | | | 995,000 | | | | 936,555 | |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.70% | | 02/01/36 | | | 43,442,000 | | | | 52,571,061 | |
4.90% | | 02/01/46 | | | 34,861,000 | | | | 42,917,145 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.35% | | 06/01/40 | | | 46,730,000 | | | | 54,361,856 | |
4.38% | | 04/15/38 | | | 2,780,000 | | | | 3,247,998 | |
4.50% | | 06/01/50 | | | 7,886,000 | | | | 9,445,029 | |
4.60% | | 04/15/48 | | | 29,578,000 | | | | 35,443,685 | |
4.60% | | 06/01/60 | | | 63,922,000 | | | | 77,006,464 | |
5.45% | | 01/23/39 | | | 2,000,000 | | | | 2,592,923 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | 05/15/251,3 | | | 20,635,000 | | | | 22,752,131 | |
5.15% | | 05/15/381,3 | | | 12,881,000 | | | | 15,908,713 | |
5.30% | | 05/15/481,3 | | | 39,836,000 | | | | 52,038,158 | |
| | | | | | |
BAT Capital Corp. | | | | | |
2.73% | | 03/25/31 | | | 795,000 | | | | 784,077 | |
3.56% | | 08/15/27 | | | 8,003,000 | | | | 8,625,591 | |
3.98% | | 09/25/50 | | | 13,755,000 | | | | 13,257,807 | |
4.39% | | 08/15/37 | | | 76,445,000 | | | | 82,209,740 | |
4.54% | | 08/15/47 | | | 119,665,000 | | | | 124,164,459 | |
4.76% | | 09/06/49 | | | 30,502,000 | | | | 33,030,477 | |
5.28% | | 04/02/50 | | | 5,356,000 | | | | 6,167,686 | |
| | | | | | |
BAT International Finance PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
2.25% | | 09/09/523 | | | 11,770,000 | | | | 11,092,415 | |
| | | | | | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
3.13% | | 07/26/241,3 | | | 15,312,000 | | | | 16,098,916 | |
| | | | | |
3.50% | | 02/11/231,3 | | | 4,800,000 | | | | 4,945,766 | |
3.50% | | 07/26/261,3 | | | 53,505,000 | | | | 57,406,256 | |
4.25% | | 07/21/251,3 | | | 15,566,000 | | | | 16,978,115 | |
|
| See accompanying Notes to Financial Statements. |
|
| 159 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
Imperial Brands Finance PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
8.13% | | 03/15/243 | | $ | 1,758,000 | | | $ | 2,747,169 | |
Reynolds American, Inc. | | | | | |
5.70% | | 08/15/35 | | | 34,320,000 | | | | 41,155,171 | |
5.85% | | 08/15/45 | | | 96,522,000 | | | | 117,757,169 | |
| | | | | |
| | | | 905,642,532 | |
| | | | | |
| |
Electric — 0.68% | | | | | |
AEP Transmission Co. LLC, | | | | | |
Series M | | | | | |
3.65% | | 04/01/50 | | | 1,460,000 | | | | 1,634,668 | |
Alliant Energy Finance LLC | | | | | |
3.75% | | 06/15/231 | | | 31,081,000 | | | | 32,597,297 | |
American Electric Power Co., Inc., | | | | | |
Series F | | | | | |
2.95% | | 12/15/22 | | | 4,511,000 | | | | 4,616,044 | |
American Electric Power Co., Inc., | | | | | |
Series J | | | | | |
4.30% | | 12/01/28 | | | 8,480,000 | | | | 9,634,958 | |
Appalachian Power Co. | | | | | |
4.45% | | 06/01/45 | | | 100,000 | | | | 119,489 | |
Appalachian Power Co., | | | | | |
Series Z | | | | | |
3.70% | | 05/01/50 | | | 9,450,000 | | | | 10,313,674 | |
Black Hills Corp. | | | | | |
4.35% | | 05/01/33 | | | 1,285,000 | | | | 1,488,444 | |
Consolidated Edison Co. of New York, Inc. | | | | | |
3.70% | | 11/15/59 | | | 4,740,000 | | | | 5,059,947 | |
Consolidated Edison Co. of New York, Inc., | | | | | |
Series 20B | | | | | |
3.95% | | 04/01/50 | | | 1,515,000 | | | | 1,734,127 | |
Consolidated Edison Co. of New York, Inc., | | | | | |
Series C | | | | | |
3.00% | | 12/01/60 | | | 1,854,000 | | | | 1,732,380 | |
Consolidated Edison Co. of New York, Inc., | | | | | |
Series E | | | | | |
4.65% | | 12/01/48 | | | 14,546,000 | | | | 18,040,064 | |
Duke Energy Carolinas LLC | | | | | |
4.00% | | 09/30/42 | | | 11,040,000 | | | | 12,653,635 | |
4.25% | | 12/15/41 | | | 14,683,000 | | | | 17,469,684 | |
Duke Energy Corp. | | | | | |
2.55% | | 06/15/31 | | | 41,835,000 | | | | 42,498,720 | |
Empresas Publicas de Medellin ESP, | | | | | |
Series REGS | | | | | |
(Colombia) | | | | | |
4.38% | | 02/15/313 | | | 1,000,000 | | | | 990,400 | |
Evergy Missouri West, Inc. | | | | | |
8.27% | | 11/15/21 | | | 75,000 | | | | 75,644 | |
FirstEnergy Corp. | | | | | |
2.65% | | 03/01/30 | | | 6,225,000 | | | | 6,209,438 | |
FirstEnergy Corp., | | | | | |
Series C | | | | | |
3.40% | | 03/01/50 | | | 31,804,000 | | | | 30,654,603 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Electric (continued) | | | | | |
FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/281 | | $ | 36,945,000 | | | $ | 38,595,320 | |
4.35% | | 01/15/251 | | | 23,330,000 | | | | 25,508,474 | |
4.55% | | 04/01/491 | | | 13,175,000 | | | | 15,433,084 | |
5.45% | | 07/15/441 | | | 24,625,000 | | | | 31,558,161 | |
Florida Power & Light Co. | | | | | |
3.70% | | 12/01/47 | | | 1,340,000 | | | | 1,555,215 | |
Jersey Central Power & Light Co. | | | | | |
2.75% | | 03/01/321 | | | 4,660,000 | | | | 4,778,497 | |
4.30% | | 01/15/261 | | | 6,945,000 | | | | 7,652,097 | |
4.70% | | 04/01/241 | | | 49,765,000 | | | | 53,679,935 | |
6.40% | | 05/15/36 | | | 11,630,000 | | | | 15,847,374 | |
Metropolitan Edison Co. | | | | | |
3.50% | | 03/15/231 | | | 10,715,000 | | | | 11,051,970 | |
4.00% | | 04/15/251 | | | 35,719,000 | | | | 37,652,573 | |
4.30% | | 01/15/291 | | | 16,746,000 | | | | 18,795,878 | |
Minejesa Capital BV | | | | | |
(Netherlands) | | | | | |
5.63% | | 08/10/371,3 | | | 4,400,000 | | | | 4,684,240 | |
Mong Duong Finance Holdings BV, | | | | | |
Series REGS | | | | | |
(Netherlands) | | | | | |
5.13% | | 05/07/293 | | | 13,350,000 | | | | 13,348,465 | |
Narragansett Electric Co. (The) | | | | | |
3.40% | | 04/09/301 | | | 6,655,000 | | | | 7,211,674 | |
Pennsylvania Electric Co. | | | | | |
3.25% | | 03/15/281 | | | 125,000 | | | | 132,225 | |
4.15% | | 04/15/251 | | | 28,335,000 | | | | 30,129,999 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | 08/01/25 | | | 14,390,000 | | | | 15,436,590 | |
Southwestern Electric Power Co. | | | | | |
3.55% | | 02/15/22 | | | 15,882,000 | | | | 15,939,739 | |
Southwestern Electric Power Co., | | | | | |
Series K | | | | | |
2.75% | | 10/01/26 | | | 36,488,000 | | | | 38,402,405 | |
Tucson Electric Power Co. | | | | | |
4.85% | | 12/01/48 | | | 8,755,000 | | | | 11,348,139 | |
| | | | | |
| | | | 596,265,270 | |
| | | | | |
| |
Energy — 1.92% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | 04/01/281 | | | 37,255,000 | | | | 38,652,063 | |
Energy Transfer LP | | | | | |
4.00% | | 10/01/27 | | | 29,583,000 | | | | 32,660,222 | |
4.20% | | 04/15/27 | | | 2,685,000 | | | | 2,972,399 | |
4.90% | | 03/15/35 | | | 5,160,000 | | | | 5,940,949 | |
4.95% | | 06/15/28 | | | 26,678,000 | | | | 30,628,464 | |
5.00% | | 05/15/50 | | | 37,560,000 | | | | 43,412,460 | |
5.15% | | 03/15/45 | | | 48,691,000 | | | | 55,775,321 | |
5.30% | | 04/01/44 | | | 6,630,000 | | | | 7,694,915 | |
5.35% | | 05/15/45 | | | 4,421,000 | | | | 5,176,383 | |
5.40% | | 10/01/47 | | | 135,238,000 | | | | 161,428,213 | |
5.50% | | 06/01/27 | | | 52,203,000 | | | | 61,281,863 | |
6.13% | | 12/15/45 | | | 16,239,000 | | | | 20,687,446 | |
Exxon Mobil Corp. | | | | | |
3.45% | | 04/15/51 | | | 7,866,000 | | | | 8,378,096 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 160 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
3.57% | | 03/06/45 | | $ | 1,433,000 | | | $ | 1,572,956 | |
4.11% | | 03/01/46 | | | 2,129,000 | | | | 2,500,509 | |
4.23% | | 03/19/40 | | | 86,653,000 | | | | 102,963,568 | |
4.33% | | 03/19/50 | | | 64,250,000 | | | | 78,795,064 | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | |
(United Kingdom) | | | | | |
2.16% | | 03/31/341,3 | | | 19,293,000 | | | | 18,989,592 | |
Hess Corp. | | | | | |
4.30% | | 04/01/27 | | | 15,205,000 | | | | 16,897,164 | |
5.60% | | 02/15/41 | | | 53,009,000 | | | | 66,043,034 | |
KazMunayGas National Co. JSC | | | | | |
(Kazakhstan) | | | | | |
3.50% | | 04/14/331,3 | | | 1,800,000 | | | | 1,861,560 | |
KazMunayGas National Co. JSC, | | | | | |
Series REGS | | | | | |
(Kazakhstan) | | | | | |
3.50% | | 04/14/333 | | | 23,199,000 | | | | 23,992,406 | |
5.38% | | 04/24/303 | | | 9,801,000 | | | | 11,588,898 | |
KazTransGas JSC, | | | | | |
Series REGS | | | | | |
(Kazakhstan) | | | | | |
4.38% | | 09/26/273 | | | 6,350,000 | | | | 7,011,035 | |
Kinder Morgan Energy Partners LP | | | | | |
4.70% | | 11/01/42 | | | 2,171,000 | | | | 2,488,380 | |
5.00% | | 08/15/42 | | | 5,775,000 | | | | 6,829,303 | |
5.40% | | 09/01/44 | | | 5,000,000 | | | | 6,258,119 | |
Kinder Morgan, Inc. | | | | | |
5.55% | | 06/01/45 | | | 4,831,000 | | | | 6,242,102 | |
6.95% | | 06/01/28 | | | 5,465,000 | | | | 6,795,024 | |
Kinder Morgan, Inc. | | | | | |
(GMTN) | | | | | |
7.80% | | 08/01/31 | | | 150,000 | | | | 214,305 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | 10/10/3610 | | | 60,128,000 | | | | 33,220,720 | |
4.50% | | 07/15/44 | | | 7,811,000 | | | | 7,853,745 | |
Pertamina Persero PT | | | | | |
(Indonesia) | | | | | |
3.10% | | 08/27/301,3 | | | 44,071,000 | | | | 45,238,882 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
6.63% | | 06/15/353 | | | 14,192,000 | | | | 13,535,620 | |
6.75% | | 09/21/473 | | | 148,565,000 | | | | 129,801,241 | |
6.95% | | 01/28/603 | | | 34,555,000 | | | | 30,068,033 | |
7.69% | | 01/23/503 | | | 56,333,000 | | | | 53,418,612 | |
Petronas Capital Ltd. | | | | | |
(Malaysia) | | | | | |
2.48% | | 01/28/321,3 | | | 13,050,000 | | | | 13,028,989 | |
3.50% | | 04/21/301,3 | | | 30,277,000 | | | | 32,862,656 | |
Petronas Capital Ltd., | | | | | |
Series REGS (EMTN) | | | | | |
(Malaysia) | | | | | |
2.48% | | 01/28/323 | | | 5,000,000 | | | | 4,991,950 | |
Phillips 66 Partners LP | | | | | |
4.90% | | 10/01/46 | | | 5,485,000 | | | | 6,546,323 | |
Piedmont Natural Gas Co., Inc. | | | | | |
2.50% | | 03/15/31 | | | 7,272,000 | | | | 7,328,898 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.55% | | | 12/15/29 | | | $ | 31,332,000 | | | $ | 32,975,981 | |
3.80% | | | 09/15/30 | | | | 8,920,000 | | | | 9,529,840 | |
4.50% | | | 12/15/26 | | | | 5,500,000 | | | | 6,147,741 | |
Rockies Express Pipeline LLC | | | | | |
4.80% | | | 05/15/301 | | | | 5,125,000 | | | | 5,304,375 | |
4.95% | | | 07/15/291 | | | | 84,805,000 | | | | 88,328,808 | |
6.88% | | | 04/15/401 | | | | 44,867,000 | | | | 49,578,035 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/221,5,6 | | | | 59,913,909 | | | | 55,719,936 | |
Saudi Arabian Oil Co., | | | | | |
Series REGS | | | | | |
(Saudi Arabia) | | | | | |
1.63% | | | 11/24/253 | | | | 6,500,000 | | | | 6,510,400 | |
Southern Co. Gas Capital Corp. | | | | | |
4.40% | | | 05/30/47 | | | | 50,000 | | | | 59,034 | |
Southern Gas Corridor CJSC, | | | | | |
Series REGS | | | | | |
(Azerbaijan) | | | | | |
6.88% | | | 03/24/263 | | | | 21,442,000 | | | | 25,338,011 | |
TC PipeLines LP | | | | | |
4.38% | | | 03/13/25 | | | | 2,198,000 | | | | 2,406,306 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 28,675,000 | | | | 29,463,563 | |
Transocean Phoenix 2 Ltd. | | | | | |
(Cayman Islands) | | | | | |
7.75% | | | 10/15/241,3 | | | | 18,023,500 | | | | 18,406,499 | |
Transocean Pontus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.13% | | | 08/01/251,3 | | | | 16,392,220 | | | | 16,444,019 | |
Transocean Poseidon Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | | 02/01/271,3 | | | | 31,359,000 | | | | 31,250,968 | |
Transocean Proteus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.25% | | | 12/01/241,3 | | | | 36,056,900 | | | | 36,224,384 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | | 04/01/26 | | | | 8,570,000 | | | | 8,934,241 | |
6.88% | | | 09/01/27 | | | | 18,450,000 | | | | 19,558,937 | |
| | | | | | | | | | | | | |
Williams Cos., Inc. (The) | | | | | |
5.40% | | | 03/04/44 | | | | 5,000,000 | | | | 6,315,708 | |
6.30% | | | 04/15/40 | | | | 16,815,000 | | | | 22,938,020 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,685,062,288 | |
| | | | | | | | | | | | |
| |
Finance — 3.76% | | | | | |
| | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.30% | | | 01/23/233 | | | | 16,075,000 | | | | 16,573,951 | |
3.50% | | | 05/26/223 | | | | 24,610,000 | | | | 25,011,951 | |
3.50% | | | 01/15/253 | | | | 2,815,000 | | | | 2,963,640 | |
3.65% | | | 07/21/273 | | | | 16,845,000 | | | | 17,905,224 | |
3.88% | | | 01/23/283 | | | | 5,015,000 | | | | 5,357,205 | |
3.95% | | | 02/01/223 | | | | 103,630,000 | | | | 104,502,795 | |
4.45% | | | 12/16/213 | | | | 20,560,000 | | | | 20,657,646 | |
4.63% | | | 07/01/223 | | | | 3,030,000 | | | | 3,122,315 | |
|
| See accompanying Notes to Financial Statements. |
|
| 161 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
4.88% | | 01/16/243 | | $ | 36,460,000 | | | $ | 39,427,469 | |
Air Lease Corp. | | | | | |
2.25% | | 01/15/23 | | | 18,850,000 | | | | 19,265,892 | |
3.00% | | 09/15/23 | | | 28,655,000 | | | | 29,794,405 | |
3.25% | | 03/01/25 | | | 19,930,000 | | | | 21,079,921 | |
3.25% | | 10/01/29 | | | 5,000,000 | | | | 5,212,374 | |
3.50% | | 01/15/22 | | | 48,195,000 | | | | 48,613,202 | |
3.75% | | 02/01/22 | | | 26,209,000 | | | | 26,346,282 | |
4.25% | | 09/15/24 | | | 5,554,000 | | | | 6,025,675 | |
4.63% | | 10/01/28 | | | 2,000,000 | | | | 2,250,658 | |
Air Lease Corp. | | | | | |
(MTN) | | | | | |
2.30% | | 02/01/25 | | | 35,195,000 | | | | 36,164,061 | |
2.88% | | 01/15/26 | | | 6,500,000 | | | | 6,794,992 | |
3.00% | | 02/01/30 | | | 2,000,000 | | | | 2,033,391 | |
4.25% | | 02/01/24 | | | 5,000,000 | | | | 5,365,165 | |
Alta Wind Holdings LLC | | | | | |
7.00% | | 06/30/351,5,6 | | | 3,544,997 | | | | 4,172,258 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/271,3 | | | 165,175,000 | | | | 162,587,175 | |
2.88% | | 02/15/251,3 | | | 43,160,000 | | | | 44,406,978 | |
3.63% | | 05/01/221,3 | | | 15,545,000 | | | | 15,779,386 | |
3.95% | | 07/01/241,3 | | | 35,499,000 | | | | 37,695,985 | |
5.25% | | 05/15/241,3 | | | 22,545,000 | | | | 24,651,672 | |
Citigroup, Inc. | | | | | |
1.46% | | 06/09/274 | | | 206,213,000 | | | | 205,188,653 | |
2.67% | | 01/29/314 | | | 7,145,000 | | | | 7,334,893 | |
3.11% | | 04/08/264 | | | 7,705,000 | | | | 8,185,959 | |
3.52% | | 10/27/284 | | | 22,030,000 | | | | 23,971,516 | |
3.67% | | 07/24/284 | | | 5,220,000 | | | | 5,733,395 | |
Daimler Finance North America LLC | | | | | |
1.75% | | 03/10/231 | | | 6,030,000 | | | | 6,140,798 | |
3.75% | | 11/05/211 | | | 5,103,000 | | | | 5,118,484 | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
1.02% | | 02/15/221,2 | | | 54,915,000 | | | | 55,090,972 | |
Discover Financial Services | | | | | |
3.85% | | 11/21/22 | | | 8,794,000 | | | | 9,131,365 | |
Ford Motor Credit Co. LLC | | | | | |
3.22% | | 01/09/22 | | | 107,389,000 | | | | 107,791,709 | |
3.34% | | 03/28/22 | | | 48,646,000 | | | | 49,075,678 | |
4.25% | | 09/20/22 | | | 19,823,000 | | | | 20,298,752 | |
5.60% | | 01/07/22 | | | 24,123,000 | | | | 24,441,424 | |
(LIBOR USD 3-Month plus 0.88%) | | | | | |
1.00% | | 10/12/212 | | | 58,605,000 | | | | 58,605,418 | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.20% | | 08/03/222 | | | 11,865,000 | | | | 11,859,068 | |
(LIBOR USD 3-Month plus 1.27%) | | | | | |
1.40% | | 03/28/222 | | | 77,615,000 | | | | 77,675,308 | |
(LIBOR USD 3-Month plus 3.14%) | | | | | |
3.28% | | 01/07/222 | | | 12,075,000 | | | | 12,128,370 | |
GE Capital Funding LLC | | | | | |
4.40% | | 05/15/30 | | | 48,145,000 | | | | 55,814,145 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | 11/15/353 | | | 380,052,000 | | | | 456,526,482 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
General Motors Financial Co., Inc. | | | | | |
3.15% | | | 06/30/22 | | | $ | 11,161,000 | | | $ | 11,355,059 | |
3.45% | | | 04/10/22 | | | | 24,235,000 | | | | 24,496,281 | |
4.20% | | | 11/06/21 | | | | 132,055,000 | | | | 132,504,192 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.43% | | | 03/09/274 | | | | 170,920,000 | | | | 170,475,869 | |
1.54% | | | 09/10/274 | | | | 116,190,000 | | | | 115,883,891 | |
2.88% | | | 10/31/224 | | | | 12,005,000 | | | | 12,029,620 | |
2.91% | | | 06/05/234 | | | | 4,605,000 | | | | 4,680,722 | |
3.27% | | | 09/29/254 | | | | 145,892,000 | | | | 156,046,098 | |
3.50% | | | 04/01/25 | | | | 42,324,000 | | | | 45,501,449 | |
3.85% | | | 01/26/27 | | | | 140,000 | | | | 153,909 | |
Goldman Sachs Group, Inc. (The), | | | | | |
Series FXD | | | | | |
0.48% | | | 01/27/23 | | | | 160,000 | | | | 160,026 | |
Intercontinental Exchange, Inc. | | | | | |
1.85% | | | 09/15/32 | | | | 1,080,000 | | | | 1,021,419 | |
Morgan Stanley | | | | | |
1.59% | | | 05/04/274 | | | | 138,547,000 | | | | 138,986,272 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
0.79% | | | 01/22/254 | | | | 21,175,000 | | | | 21,178,334 | |
1.51% | | | 07/20/274 | | | | 247,095,000 | | | | 246,044,224 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
3.62% | | | 04/26/231,3,4 | | | | 11,735,000 | | | | 11,940,121 | |
3.77% | | | 03/08/241,3,4 | | | | 55,190,000 | | | | 57,552,247 | |
4.36% | | | 08/01/241,3,4 | | | | 104,478,000 | | | | 111,225,329 | |
Park Aerospace Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.50% | | | 03/15/231,3 | | | | 10,746,000 | | | | 11,231,521 | |
5.50% | | | 02/15/241,3 | | | | 26,855,000 | | | | 29,313,020 | |
Raymond James Financial, Inc. | | | | | |
4.95% | | | 07/15/46 | | | | 51,716,000 | | | | 66,770,690 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,302,424,350 | |
| | | | | | | | | | | | |
| |
Food — 0.46% | | | | | |
JBS USA LLC/JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | |
6.75% | | | 02/15/281,3 | | | | 41,000,000 | | | | 44,528,460 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | |
3.75% | | | 12/01/311,3 | | | | 13,672,000 | | | | 14,339,800 | |
5.50% | | | 01/15/301,3 | | | | 38,255,000 | | | | 42,595,795 | |
6.50% | | | 04/15/291,3 | | | | 33,928,000 | | | | 37,920,107 | |
Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 4,173,000 | | | | 4,394,358 | |
3.75% | | | 04/01/30 | | | | 5,250,000 | | | | 5,702,140 | |
4.25% | | | 03/01/31 | | | | 17,850,000 | | | | 20,191,514 | |
4.38% | | | 06/01/46 | | | | 882,000 | | | | 1,007,072 | |
4.63% | | | 01/30/29 | | | | 2,000,000 | | | | 2,287,939 | |
5.00% | | | 07/15/35 | | | | 34,157,000 | | | | 42,098,502 | |
5.00% | | | 06/04/42 | | | | 10,220,000 | | | | 12,554,981 | |
5.20% | | | 07/15/45 | | | | 23,261,000 | | | | 29,184,083 | |
6.50% | | | 02/09/40 | | | | 6,240,000 | | | | 8,875,435 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 162 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Food (continued) | |
6.75% | | 03/15/32 | | $ | 3,475,000 | | | $ | 4,746,484 | |
Pilgrim’s Pride Corp. | |
3.50% | | 03/01/321 | | | 60,095,000 | | | | 61,233,223 | |
4.25% | | 04/15/311 | | | 1,429,000 | | | | 1,529,059 | |
5.88% | | 09/30/271 | | | 4,269,000 | | | | 4,534,426 | |
Post Holdings, Inc. | |
4.50% | | 09/15/311 | | | 10,565,000 | | | | 10,480,999 | |
4.63% | | 04/15/301 | | | 46,710,000 | | | | 47,129,456 | |
Smithfield Foods, Inc. | |
2.63% | | 09/13/311 | | | 7,835,000 | | | | 7,641,649 | |
| | | | | | | | | | |
| | | | | | | | | 402,975,482 | |
| | | | | | | | | | |
|
Gaming — 0.00% | |
MGM Resorts International | |
6.00% | | 03/15/23 | | | 30,000 | | | | 31,761 | |
| | | | | | | | | | |
|
Health Care — 3.04% | |
AbbVie, Inc. | |
4.05% | | 11/21/39 | | | 24,382,000 | | | | 28,039,514 | |
4.40% | | 11/06/42 | | | 62,889,000 | | | | 75,155,199 | |
4.45% | | 05/14/46 | | | 11,444,000 | | | | 13,777,452 | |
4.50% | | 05/14/35 | | | 49,065,000 | | | | 58,713,566 | |
4.55% | | 03/15/35 | | | 33,431,000 | | | | 40,091,973 | |
Aetna, Inc. | |
4.13% | | 11/15/42 | | | 6,375,000 | | | | 7,279,370 | |
Amgen, Inc. | |
4.40% | | 05/01/45 | | | 1,260,000 | | | | 1,511,596 | |
Bayer U.S. Finance II LLC | |
2.85% | | 04/15/251 | | | 2,805,000 | | | | 2,886,928 | |
3.95% | | 04/15/451 | | | 10,790,000 | | | | 11,450,183 | |
4.25% | | 12/15/251 | | | 19,992,000 | | | | 22,109,112 | |
4.38% | | 12/15/281 | | | 118,100,000 | | | | 133,811,827 | |
4.40% | | 07/15/441 | | | 59,691,000 | | | | 67,199,089 | |
4.63% | | 06/25/381 | | | 36,299,000 | | | | 42,877,012 | |
4.88% | | 06/25/481 | | | 93,846,000 | | | | 115,035,400 | |
5.50% | | 08/15/251 | | | 13,932,000 | | | | 15,720,038 | |
5.50% | | 07/30/351 | | | 3,820,000 | | | | 4,760,507 | |
Bayer U.S. Finance LLC | |
3.38% | | 10/08/241 | | | 2,055,000 | | | | 2,190,463 | |
Becton Dickinson and Co. | |
2.82% | | 05/20/30 | | | 14,175,000 | | | | 14,857,608 | |
3.36% | | 06/06/24 | | | 1,013,000 | | | | 1,077,123 | |
Catalent Pharma Solutions, Inc. | |
3.50% | | 04/01/301 | | | 28,525,000 | | | | 28,489,344 | |
Centene Corp. | |
2.45% | | 07/15/28 | | | 31,858,000 | | | | 32,031,647 | |
3.00% | | 10/15/30 | | | 132,991,000 | | | | 136,482,014 | |
4.25% | | 12/15/27 | | | 75,412,000 | | | | 79,024,235 | |
Cigna Corp. | |
3.20% | | 03/15/40 | | | 4,157,000 | | | | 4,269,034 | |
3.88% | | 10/15/47 | | | 27,722,000 | | | | 30,890,251 | |
4.50% | | 02/25/26 | | | 6,097,000 | | | | 6,885,422 | |
4.80% | | 08/15/38 | | | 26,478,000 | | | | 32,431,328 | |
4.80% | | 07/15/46 | | | 38,613,000 | | | | 48,304,163 | |
CommonSpirit Health | |
2.76% | | 10/01/24 | | | 11,198,000 | | | | 11,783,719 | |
2.78% | | 10/01/30 | | | 17,835,000 | | | | 18,373,094 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
3.35% | | 10/01/29 | | $ | 52,258,000 | | | $ | 56,199,333 | |
4.35% | | 11/01/42 | | | 2,860,000 | | | | 3,282,368 | |
CVS Health Corp. | | | | | |
4.78% | | 03/25/38 | | | 23,581,000 | | | | 28,941,541 | |
4.88% | | 07/20/35 | | | 22,450,000 | | | | 27,206,160 | |
5.05% | | 03/25/48 | | | 110,010,000 | | | | 141,925,729 | |
5.13% | | 07/20/45 | | | 110,220,000 | | | | 142,224,568 | |
Elanco Animal Health, Inc. | | | | | |
5.27% | | 08/28/23 | | | 11,740,000 | | | | 12,526,345 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | | | | | |
(Ireland) | | | | | |
6.00% | | 06/30/281,3 | | | 57,365,000 | | | | 41,446,212 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.88% | | 01/31/221 | | | 8,964,000 | | | | 9,120,649 | |
Fresenius Medical Care U.S. Finance III, Inc. | | | | | |
1.88% | | 12/01/261 | | | 67,592,000 | | | | 67,930,354 | |
HCA, Inc. | | | | | |
2.38% | | 07/15/31 | | | 10,563,000 | | | | 10,391,396 | |
4.13% | | 06/15/29 | | | 10,936,000 | | | | 12,223,364 | |
4.50% | | 02/15/27 | | | 9,356,000 | | | | 10,538,248 | |
4.75% | | 05/01/23 | | | 8,906,000 | | | | 9,466,000 | |
5.00% | | 03/15/24 | | | 52,796,000 | | | | 57,944,977 | |
5.25% | | 04/15/25 | | | 7,749,000 | | | | 8,787,850 | |
5.25% | | 06/15/26 | | | 45,878,000 | | | | 52,685,933 | |
5.25% | | 06/15/49 | | | 180,807,000 | | | | 231,172,377 | |
5.50% | | 06/15/47 | | | 43,055,000 | | | | 56,153,623 | |
HCRX Investments Holdco LP | | | | | |
4.50% | | 08/01/291 | | | 12,000,000 | | | | 12,075,060 | |
Humana, Inc. | | | | | |
0.65% | | 08/03/23 | | | 118,205,000 | | | | 118,285,721 | |
3.13% | | 08/15/29 | | | 19,729,000 | | | | 21,048,906 | |
| | | | | | | | | | | |
Molina Healthcare, Inc. | | | | | |
3.88% | | 11/15/301 | | | 55,275,000 | | | | 58,361,238 | |
4.38% | | 06/15/281 | | | 43,654,000 | | | | 45,462,466 | |
5.38% | | 11/15/22 | | | 16,345,000 | | | | 16,871,309 | |
| | | | | | | | | | | |
Mozart Debt Merger Sub, Inc. | | | | | |
3.88% | | 04/01/291 | | | 37,335,000 | | | | 37,335,000 | |
| | | | | | | | | | | |
NYU Langone Hospitals, | | | | | |
Series 2020 | | | | | |
3.38% | | 07/01/55 | | | 4,300,000 | | | | 4,511,932 | |
| | | | | | | | | | | |
PerkinElmer, Inc. | | | | | |
0.55% | | 09/15/23 | | | 35,000,000 | | | | 35,029,882 | |
0.85% | | 09/15/24 | | | 32,870,000 | | | | 32,871,492 | |
| | | | | | | | | | | |
Royalty Pharma PLC | | | | | | | | |
(United Kingdom) | | | | | | | | |
0.75% | | 09/02/233 | | | 11,885,000 | | | | 11,922,871 | |
1.75% | | 09/02/273 | | | 16,295,000 | | | | 16,185,912 | |
| | | | | | | | | | | |
Teleflex, Inc. | | | | | | | | |
4.25% | | 06/01/281 | | | 75,000 | | | | 78,073 | |
| | | | | | | | | | | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
2.00% | | 10/15/31 | | | 16,825,000 | | | | 16,485,953 | |
UnitedHealth Group, Inc. | | | | | | | | |
3.05% | | 05/15/41 | | | 45,240,000 | | | | 46,879,716 | |
3.25% | | 05/15/51 | | | 41,055,000 | | | | 43,815,805 | |
3.88% | | 08/15/59 | | | 8,072,000 | | | | 9,541,426 | |
4.25% | | 04/15/47 | | | 13,825,000 | | | | 17,073,568 | |
|
| See accompanying Notes to Financial Statements. |
|
| 163 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
4.25% | | 06/15/48 | | $ | 8,475,000 | | | $ | 10,436,121 | |
Universal Health Services, Inc. | |
1.65% | | 09/01/261 | | | 45,000,000 | | | | 44,751,685 | |
| | | | | | | | | | |
| | | | | | | | | 2,666,699,374 | |
| | | | | | | | | | |
|
Industrials — 0.60% | |
Amcor Finance USA, Inc. | |
3.63% | | 04/28/26 | | | 11,781,000 | | | | 12,854,860 | |
Artera Services LLC | |
9.03% | | 12/04/251 | | | 16,115,000 | | | | 17,500,128 | |
Berry Global, Inc. | |
1.57% | | 01/15/261 | | | 61,040,000 | | | | 61,094,522 | |
4.88% | | 07/15/261 | | | 75,040,000 | | | | 78,889,552 | |
Boeing Co. (The) | |
1.17% | | 02/04/23 | | | 12,010,000 | | | | 12,036,365 | |
1.43% | | 02/04/24 | | | 174,540,000 | | | | 174,800,325 | |
4.88% | | 05/01/25 | | | 19,940,000 | | | | 22,208,874 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | 05/05/262 | | | 9,790,000 | | | | 9,695,219 | |
(LIBOR USD 3-Month plus 0.48%) | |
0.60% | | 08/15/362 | | | 11,550,000 | | | | 10,082,857 | |
General Electric Co., | |
Series A (MTN) | |
6.75% | | 03/15/32 | | | 39,263,000 | | | | 53,753,897 | |
General Electric Co., | |
Series NOTZ (MTN) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | 04/15/232 | | | 10,789,000 | | | | 10,878,385 | |
Heathrow Funding Ltd. | |
(United Kingdom) | |
5.23% | | 02/15/231,3 | | | 34,415,000 | | | | 49,079,660 | |
L3Harris Technologies, Inc. | |
3.95% | | 05/28/24 | | | 12,890,000 | | | | 13,820,061 | |
| | | | | | | | | | |
| | | | | | | | | 526,694,705 | |
| | | | | | | | | | |
|
Information Technology — 0.44% | |
Amazon.com, Inc. | |
2.88% | | 05/12/41 | | | 19,740,000 | | | | 20,387,352 | |
3.10% | | 05/12/51 | | | 7,840,000 | | | | 8,259,235 | |
Fiserv, Inc. | |
3.20% | | 07/01/26 | | | 15,905,000 | | | | 17,170,991 | |
Intel Corp. | |
3.05% | | 08/12/51 | | | 38,200,000 | | | | 38,259,441 | |
3.73% | | 12/08/47 | | | 590,000 | | | | 658,948 | |
4.60% | | 03/25/40 | | | 7,760,000 | | | | 9,712,290 | |
Oracle Corp. | |
1.65% | | 03/25/26 | | | 8,440,000 | | | | 8,561,631 | |
2.30% | | 03/25/28 | | | 56,500,000 | | | | 57,840,886 | |
2.80% | | 04/01/27 | | | 4,700,000 | | | | 4,981,370 | |
2.88% | | 03/25/31 | | | 2,845,000 | | | | 2,933,508 | |
3.60% | | 04/01/40 | | | 12,483,000 | | | | 12,965,043 | |
3.60% | | 04/01/50 | | | 24,020,000 | | | | 24,097,606 | |
3.65% | | 03/25/41 | | | 86,945,000 | | | | 90,450,169 | |
3.85% | | 07/15/36 | | | 23,336,000 | | | | 25,380,898 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Information Technology (continued) | |
3.95% | | 03/25/51 | | $ | 36,326,000 | | | $ | 38,526,226 | |
VMware, Inc. | |
1.00% | | 08/15/24 | | | 27,040,000 | | | | 27,136,054 | |
| | | | | | | | | | |
| | | | | | | | | 387,321,648 | |
| | | | | | | | | | |
|
Insurance — 0.88% | |
Athene Global Funding | |
1.61% | | 06/29/261 | | | 66,330,000 | | | | 66,309,813 | |
1.99% | | 08/19/281 | | | 11,040,000 | | | | 10,918,279 | |
(SOFR Rate plus 0.70%) | |
0.75% | | 05/24/241,2 | | | 146,955,000 | | | | 147,682,066 | |
Farmers Exchange Capital | |
7.05% | | 07/15/281 | | | 13,283,000 | | | | 16,313,571 | |
7.20% | | 07/15/481 | | | 18,415,000 | | | | 26,789,671 | |
Farmers Exchange Capital II | |
6.15% | | 11/01/531,4 | | | 48,520,000 | | | | 62,466,756 | |
Farmers Exchange Capital III | |
5.45% | | 10/15/541,4 | | | 64,140,000 | | | | 79,575,326 | |
Farmers Insurance Exchange | |
4.75% | | 11/01/571,4 | | | 18,570,000 | | | | 21,110,201 | |
Nationwide Mutual Insurance Co. | |
2.41% | | 12/15/241,4 | | | 35,439,000 | | | | 35,481,073 | |
New York Life Insurance Co. | |
3.75% | | 05/15/501 | | | 39,515,000 | | | | 44,335,283 | |
Protective Life Global Funding | |
1.90% | | 07/06/281 | | | 56,210,000 | | | | 56,320,771 | |
| Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | 05/15/501 | | | 135,965,000 | | | | 143,164,670 | |
4.27% | | 05/15/471 | | | 13,496,000 | | | | 16,312,968 | |
4.38% | | 09/15/541,4 | | | 35,635,000 | | | | 37,380,842 | |
Willis North America, Inc. | |
4.50% | | 09/15/28 | | | 5,079,000 | | | | 5,812,517 | |
| | | | | | | | | | |
| | | | | | | | | 769,973,807 | |
| | | | | | | | | | |
|
Materials — 0.23% | |
Corp. Nacional del Cobre de Chile, | |
Series REGS | |
(Chile) | |
3.15% | | 01/14/303 | | | 28,849,000 | | | | 29,855,830 | |
4.50% | | 09/16/253 | | | 1,744,000 | | | | 1,937,061 | |
Indonesia Asahan Aluminium Persero PT | |
(Indonesia) | |
6.53% | | 11/15/281,3 | | | 9,000,000 | | | | 10,980,000 | |
Indonesia Asahan Aluminium Persero PT, | |
Series REGS | |
(Indonesia) | |
6.53% | | 11/15/283 | | | 5,767,000 | | | | 7,035,740 | |
International Flavors & Fragrances, Inc. | |
2.30% | | 11/01/301 | | | 5,950,000 | | | | 5,903,197 | |
3.27% | | 11/15/401 | | | 6,000,000 | | | | 6,208,810 | |
5.00% | | 09/26/48 | | | 106,734,000 | | | | 138,267,876 | |
| | | | | | | | | | |
| | | | | | | | | 200,188,514 | |
| | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.98% | |
American Campus Communities Operating Partnership LP | |
3.30% | | 07/15/26 | | | 21,300,000 | | | | 22,817,572 | |
3.63% | | 11/15/27 | | | 7,095,000 | | | | 7,769,947 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 164 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Real Estate Investment Trust (REIT) (continued) | |
3.75% | | 04/15/23 | | $ | 45,679,000 | | | $ | 47,574,653 | |
3.88% | | 01/30/31 | | | 9,260,000 | | | | 10,351,400 | |
4.13% | | 07/01/24 | | | 4,095,000 | | | | 4,446,829 | |
Boston Properties LP | | | | | |
3.25% | | 01/30/31 | | | 33,845,000 | | | | 35,893,009 | |
CyrusOne LP/CyrusOne Finance Corp. | | | | | |
2.15% | | 11/01/30 | | | 7,265,000 | | | | 6,835,856 | |
2.90% | | 11/15/24 | | | 86,883,000 | | | | 91,160,250 | |
3.45% | | 11/15/29 | | | 7,045,000 | | | | 7,344,990 | |
Federal Realty Investment Trust | | | | | |
7.48% | | 08/15/26 | | | 18,825,000 | | | | 23,261,264 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.35% | | 09/01/24 | | | 33,037,000 | | | | 35,045,187 | |
4.00% | | 01/15/30 | | | 30,000 | | | | 32,460 | |
5.25% | | 06/01/25 | | | 75,515,000 | | | | 84,299,660 | |
5.30% | | 01/15/29 | | | 34,755,000 | | | | 40,473,935 | |
5.38% | | 11/01/23 | | | 36,796,000 | | | | 39,738,273 | |
5.38% | | 04/15/26 | | | 99,048,000 | | | | 112,736,434 | |
5.75% | | 06/01/28 | | | 34,128,000 | | | | 40,083,336 | |
Healthcare Realty Trust, Inc. | | | | | |
2.05% | | 03/15/31 | | | 5,590,000 | | | | 5,444,431 | |
3.88% | | 05/01/25 | | | 20,446,000 | | | | 22,047,806 | |
Healthcare Trust of America Holdings LP | | | | | |
2.00% | | 03/15/31 | | | 17,940,000 | | | | 17,214,104 | |
3.10% | | 02/15/30 | | | 5,095,000 | | | | 5,365,551 | |
3.75% | | 07/01/27 | | | 18,945,000 | | | | 20,967,976 | |
Hudson Pacific Properties LP | | | | | |
3.95% | | 11/01/27 | | | 12,607,000 | | | | 13,815,960 | |
4.65% | | 04/01/29 | | | 9,585,000 | | | | 11,010,828 | |
Kilroy Realty LP | | | | | |
3.45% | | 12/15/24 | | | 28,590,000 | | | | 30,516,765 | |
Life Storage LP | | | | | |
3.88% | | 12/15/27 | | | 6,960,000 | | | | 7,820,021 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.50% | | 01/15/28 | | | 265,000 | | | | 290,032 | |
Mid-America Apartments LP | | | | | |
4.30% | | 10/15/23 | | | 9,636,000 | | | | 10,267,690 | |
SL Green Operating Partnership LP | | | | | |
3.25% | | 10/15/22 | | | 49,011,000 | | | | 50,241,437 | |
SL Green Realty Corp. | | | | | |
4.50% | | 12/01/22 | | | 15,845,000 | | | | 16,382,997 | |
Ventas Realty LP | | | | | |
3.50% | | 02/01/25 | | | 12,540,000 | | | | 13,424,446 | |
3.75% | | 05/01/24 | | | 9,705,000 | | | | 10,330,656 | |
4.00% | | 03/01/28 | | | 2,000,000 | | | | 2,228,688 | |
4.88% | | 04/15/49 | | | 7,980,000 | | | | 9,980,164 | |
| | | | | | | | | | |
| | | | | | | | | 857,214,607 | |
| | | | | | | | | | |
|
Retail — 0.21% | |
7-Eleven, Inc. | |
0.63% | | 02/10/231 | | | 58,715,000 | | | | 58,730,151 | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | 08/10/221,2 | | | 13,496,000 | | | | 13,499,427 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Retail (continued) | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
3.55% | | 07/26/271,3 | | $ | 10,510,000 | | | $ | 11,582,993 | |
3.80% | | 01/25/501,3 | | | 23,032,000 | | | | 24,628,302 | |
Michaels Cos., Inc. (The) | |
5.25% | | 05/01/281 | | | 16,953,000 | | | | 17,508,211 | |
7.88% | | 05/01/291 | | | 54,456,000 | | | | 56,660,107 | |
| | | | | | | | | | |
| | | | | | | | | 182,609,191 | |
| | | | | | | | | | |
|
Services — 0.29% | |
DP World Crescent Ltd. | |
(Cayman Islands) | |
4.85% | | 09/26/281,3 | | | 7,600,000 | | | | 8,680,720 | |
IHS Markit Ltd. | |
(Bermuda) | |
4.00% | | 03/01/261,3 | | | 48,637,000 | | | | 53,571,710 | |
4.13% | | 08/01/233 | | | 28,228,000 | | | | 29,962,611 | |
4.75% | | 02/15/251,3 | | | 49,035,000 | | | | 54,309,695 | |
4.75% | | 08/01/283 | | | 2,767,000 | | | | 3,243,201 | |
5.00% | | 11/01/221,3 | | | 83,285,000 | | | | 86,463,988 | |
Waste Pro USA, Inc. | |
5.50% | | 02/15/261 | | | 16,958,000 | | | | 17,151,151 | |
| | | | | | | | | | |
| | | | | | | | | 253,383,076 | |
| | | | | | | | | | |
|
Transportation — 0.32% | |
American Airlines Pass-Through Trust, | |
Series 2013-1, Class A | |
4.00% | | 07/15/25 | | | 11,298,082 | | | | 10,990,886 | |
American Airlines Pass-Through Trust, | |
Series 2017-2, Class AA | |
3.35% | | 10/15/29 | | | 16,706,596 | | | | 17,051,320 | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class A | |
5.98% | | 04/19/22 | | | 32,692,609 | | | | 33,122,697 | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class B | |
6.90% | | 04/19/22 | | | 107,107 | | | | 107,961 | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | 06/10/28 | | | 84,755,816 | | | | 84,752,551 | |
Empresa de Transporte de Pasajeros Metro SA | |
(Chile) | |
3.65% | | 05/07/301,3 | | | 9,660,000 | | | | 10,491,726 | |
JetBlue Airways Pass-Through Trust, | |
Series 1A | |
4.00% | | 11/15/32 | | | 10,301,548 | | | | 11,282,007 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A1 | |
7.04% | | 04/01/22 | | | 1,089,006 | | | | 1,116,626 | |
SMBC Aviation Capital Finance DAC | |
(Ireland) | |
3.00% | | 07/15/221,3 | | | 20,315,000 | | | | 20,677,723 | |
U.S. Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | 04/22/23 | | | 12,072,911 | | | | 12,445,222 | |
|
| See accompanying Notes to Financial Statements. |
|
| 165 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Transportation (continued) | |
U.S. Airways Pass-Through Trust, | |
Series 2011-1, Class A | |
7.13% | | 10/22/23 | | $ | 2,355,674 | | | $ | 2,503,515 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | 10/01/24 | | | 30,359,353 | | | | 32,137,312 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-2, Class A | |
4.63% | | 06/03/25 | | | 7,451 | | | | 7,455 | |
United Airlines Pass-Through Trust, | |
Series 2013-1, Class A | |
4.30% | | 08/15/25 | | | 12,301,739 | | | | 13,229,133 | |
United Airlines Pass-Through Trust, | |
Series 2018-1, Class AA | |
3.50% | | 03/01/30 | | | 29,989,358 | | | | 31,692,360 | |
| | | | | | | | | | |
| | | | | | | | | 281,608,494 | |
| | | | | | | | | | |
|
Total Corporates | |
(Cost $19,901,846,011) | | | | | | | 20,692,516,077 | |
| | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.97% | |
|
Foreign Government Obligations — 0.97% | |
Abu Dhabi Government International Bond, | |
Series REGS | |
(United Arab Emirates) | |
2.50% | | 09/30/293 | | | 38,500,000 | | | | 40,251,750 | |
Brazilian Government International Bond | |
(Brazil) | |
2.88% | | 06/06/253 | | | 24,818,000 | | | | 25,418,595 | |
3.88% | | 06/12/303 | | | 22,393,000 | | | | 21,744,443 | |
4.63% | | 01/13/283 | | | 7,438,000 | | | | 7,852,297 | |
Chile Government International Bond | |
(Chile) | |
2.45% | | 01/31/313 | | | 18,300,000 | | | | 18,161,469 | |
3.24% | | 02/06/283 | | | 11,022,000 | | | | 11,738,375 | |
Colombia Government International Bond | |
(Colombia) | |
3.00% | | 01/30/303 | | | 51,601,000 | | | | 48,778,426 | |
3.13% | | 04/15/313 | | | 9,100,000 | | | | 8,543,080 | |
4.50% | | 01/28/263 | | | 24,105,000 | | | | 25,864,725 | |
Croatia Government International Bond, | |
Series REGS | |
(Croatia) | |
6.00% | | 01/26/243 | | | 18,065,000 | | | | 20,175,010 | |
Dominican Republic International Bond | |
(Dominican Republic) | |
4.50% | | 01/30/301,3 | | | 25,047,000 | | | | 25,562,968 | |
Dominican Republic International Bond, | |
Series REGS | |
(Dominican Republic) | |
4.88% | | 09/23/323 | | | 19,530,000 | | | | 19,971,378 | |
Egypt Government International Bond | |
(Egypt) | |
7.60% | | 03/01/291,3 | | | 3,550,000 | | | | 3,688,663 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
Egypt Government International Bond, | |
Series REGS | |
(Egypt) | |
5.25% | | 10/06/253 | | $ | 4,765,000 | | | $ | 4,868,467 | |
Indonesia Government International Bond | |
(Indonesia) | |
2.85% | | 02/14/303 | | | 29,861,000 | | | | 30,921,066 | |
Mexico Government International Bond | |
(Mexico) | |
2.66% | | 05/24/313 | | | 40,616,000 | | | | 39,218,810 | |
3.75% | | 01/11/283 | | | 54,600,000 | | | | 59,575,015 | |
4.50% | | 04/22/293 | | | 11,767,000 | | | | 13,251,995 | |
4.75% | | 04/27/323 | | | 5,485,000 | | | | 6,183,076 | |
Panama Government International Bond | |
(Panama) | |
2.25% | | 09/29/323 | | | 11,400,000 | | | | 10,744,500 | |
3.16% | | 01/23/303 | | | 63,774,000 | | | | 65,812,217 | |
3.88% | | 03/17/283 | | | 13,200,000 | | | | 14,362,920 | |
Paraguay Government International Bond | |
(Paraguay) | |
2.74% | | 01/29/331,3 | | | 9,800,000 | | | | 9,444,750 | |
4.95% | | 04/28/311,3 | | | 3,477,000 | | | | 3,933,530 | |
Perusahaan Penerbit SBSN Indonesia III | |
(Indonesia) | |
2.80% | | 06/23/301,3 | | | 17,340,000 | | | | 17,943,432 | |
Perusahaan Penerbit SBSN Indonesia III, | |
Series REGS | |
(Indonesia) | |
4.15% | | 03/29/273 | | | 5,100,000 | | | | 5,704,860 | |
Peruvian Government International Bond | |
(Peru) | |
2.84% | | 06/20/303 | | | 16,141,000 | | | | 16,310,480 | |
4.13% | | 08/25/273 | | | 1,827,000 | | | | 2,024,718 | |
Philippine Government International Bond | |
(Philippines) | |
1.65% | | 06/10/313 | | | 8,405,000 | | | | 8,005,763 | |
1.95% | | 01/06/323 | | | 7,040,000 | | | | 6,819,648 | |
2.46% | | 05/05/303 | | | 4,565,000 | | | | 4,671,388 | |
Qatar Government International Bond, | |
Series REGS | |
(Qatar) | |
3.75% | | 04/16/303 | | | 23,550,000 | | | | 26,573,820 | |
4.50% | | 04/23/283 | | | 35,053,000 | | | | 40,942,570 | |
| Republic of South Africa Government International Bond | | | | | |
(South Africa) | |
4.30% | | 10/12/283 | | | 25,307,000 | | | | 25,462,195 | |
4.85% | | 09/30/293 | | | 29,185,000 | | | | 30,050,700 | |
5.75% | | 09/30/493 | | | 2,700,000 | | | | 2,579,094 | |
Romanian Government International Bond, | |
Series REGS | |
(Romania) | |
3.00% | | 02/14/313 | | | 26,000,000 | | | | 26,598,000 | |
Saudi Government International Bond, | |
Series REGS (EMTN) | |
(Saudi Arabia) | |
3.25% | | 10/26/263 | | | 29,155,000 | | | | 31,487,400 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 166 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
3.25% | | 10/22/303 | | $ | 16,040,000 | | | $ | 17,205,499 | |
3.63% | | 03/04/283 | | | 27,097,000 | | | | 29,802,906 | |
Uruguay Government International Bond | |
(Uruguay) | |
4.38% | | 01/23/313 | | | 15,570,000 | | | | 18,031,617 | |
| | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $844,869,094) | | | | | | | 846,281,615 | |
| | | | | | | | | | |
|
MORTGAGE-BACKED — 38.62%** | |
|
Non-Agency Commercial Mortgage-Backed — 1.72% | |
ACRES Commercial Realty Corp., | |
Series 2020-RSO9, Class C | |
(Cayman Islands) | |
(SOFR30A plus 4.36%) | |
4.41% | | 04/17/371,2,3 | | | 18,171,607 | | | | 18,462,657 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2018-PARK, Class A | |
4.23% | | 08/10/381,4 | | | 122,930,000 | | | | 139,620,516 | |
| Barclays Commercial Mortgage Securities Mortgage Trust, | | | | | |
Series 2018-TALL, Class C | |
(LIBOR USD 1-Month plus 1.12%) | |
1.20% | | 03/15/371,2 | | | 18,000,000 | | | | 17,644,891 | |
Benchmark Mortgage Trust, | |
Series 2018-B2, Class A5 | |
3.88% | | 02/15/514 | | | 7,085,000 | | | | 7,963,816 | |
BFLD Trust, | |
Series 2020-OBRK, Class A | |
(LIBOR USD 1-Month plus 2.05%) | |
2.13% | | 11/15/281,2 | | | 65,000,000 | | | | 65,748,306 | |
BGME Trust, | |
Series 2021-VR, Class A | |
3.09% | | 01/10/431,4 | | | 20,000,000 | | | | 20,689,123 | |
BGME Trust, | |
Series 2021-VR, Class B | |
3.09% | | 01/10/431,4 | | | 32,137,000 | | | | 32,448,563 | |
BX Commercial Mortgage Trust, | |
Series 2018-BIOA, Class E | |
(LIBOR USD 1-Month plus 1.95%) | |
2.04% | | 03/15/371,2 | | | 18,054,000 | | | | 18,069,164 | |
BX Commercial Mortgage Trust, | |
Series 2019-XL, Class A | |
(LIBOR USD 1-Month plus 0.92%) | |
1.00% | | 10/15/361,2 | | | 188,321,433 | | | | 188,697,298 | |
BX Commercial Mortgage Trust, | |
Series 2020-VIV4, Class A | |
2.84% | | 03/09/441 | | | 180,165,000 | | | | 187,826,509 | |
BX Trust, | |
Series 2019-OC11, Class A | |
3.20% | | 12/09/411 | | | 42,270,000 | | | | 45,288,788 | |
CALI Mortgage Trust, | |
Series 2019-101C, Class A | |
3.96% | | 03/10/391 | | | 80,255,000 | | | | 90,819,355 | |
CALI Mortgage Trust, | |
Series 2019-101C, Class XA (IO) | |
0.44% | | 03/10/391,4 | | | 272,551,000 | | | | 6,047,798 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Century Plaza Towers, | |
Series 2019-CPT, Class A | |
2.87% | | 11/13/391 | | $ | 32,645,000 | | | $ | 34,483,377 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-GC31, Class A4 | |
3.76% | | 06/10/48 | | | 10,000,000 | | | | 10,915,566 | |
Commercial Mortgage Trust, | |
Series 2013-CR12, Class A4 | |
4.05% | | 10/10/46 | | | 440,000 | | | | 467,461 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2019-ICE4, Class A | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | 05/15/361,2 | | | 14,000,000 | | | | 14,033,595 | |
DC Office Trust, | |
Series 2019-MTC, Class A | |
2.97% | | 09/15/451 | | | 31,135,000 | | | | 33,041,284 | |
Eleven Madison Mortgage Trust, | |
Series 2015-11MD, Class A | |
3.67% | | 09/10/351,4 | | | 1,362,500 | | | | 1,465,524 | |
Fontainebleau Miami Beach Trust, | |
Series 2019-FBLU, Class A | |
3.14% | | 12/10/361 | | | 35,000,000 | | | | 36,659,546 | |
GS Mortgage Securities Corp. Trust, | |
Series 2019-BOCA, Class A | |
(LIBOR USD 1-Month plus 1.20%) | |
1.28% | | 06/15/381,2 | | | 10,000,000 | | | | 10,021,827 | |
Hudson Yards Mortgage Trust, | |
Series 2019-30HY, Class A | |
3.23% | | 07/10/391 | | | 84,915,000 | | | | 91,963,004 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class A | |
3.04% | | 12/10/411,4 | | | 81,025,000 | | | | 86,288,214 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2015-JP1, Class A5 | |
3.91% | | 01/15/49 | | | 8,610,000 | | | | 9,471,391 | |
KKR Industrial Portfolio Trust, | |
Series 2020-AIP, Class F | |
(LIBOR USD 1-Month plus 3.43%) | |
3.51% | | 03/15/371,2 | | | 25,927,492 | | | | 25,923,515 | |
KNDL Mortgage Trust, | |
Series 2019-KNSQ, Class E | |
(LIBOR USD 1-Month plus 1.80%) | |
1.88% | | 05/15/361,2 | | | 26,449,000 | | | | 26,481,212 | |
One Bryant Park Trust, | |
Series 2019-OBP, Class A | |
2.52% | | 09/15/541 | | | 147,667,000 | | | | 152,543,902 | |
Queens Center Mortgage Trust, | |
Series 2013-QCA, Class A | |
3.28% | | 01/11/371 | | | 15,810,000 | | | | 16,573,048 | |
RBS Commercial Funding, Inc., Trust, | |
Series 2013-GSP, Class A | |
3.96% | | 01/15/321,4 | | | 48,830,000 | | | | 51,462,919 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A1 | |
3.87% | | 01/05/431,4 | | | 56,465,000 | | | | 58,584,710 | |
|
| See accompanying Notes to Financial Statements. |
|
| 167 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2B | |
4.14% | | 01/05/431,4 | | $ | 8,710,000 | | | $ | 9,649,133 | |
| | | | | | | | | | |
| | | | 1,509,356,012 | |
| | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 4.64% | |
1301 Properties Owner LP | |
2.08% | | 12/30/99 | | | 47,327,027 | | | | 47,327,027 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-10, Class 6A1 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | 01/25/362 | | | 229,181 | | | | 228,053 | |
Adjustable Rate Mortgage Trust, | |
Series 2006-3, Class 4A32 | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | 08/25/362 | | | 459,464 | | | | 463,857 | |
Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 4,182 | | | | 4,342 | |
Alternative Loan Trust, | |
Series 2005-38, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.50%) | | | | | |
1.59% | | 09/25/352 | | | 364,528 | | | | 353,841 | |
Alternative Loan Trust, | |
Series 2005-76, Class 2A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
1.09% | | 02/25/362 | | | 40,687,828 | | | | 39,649,870 | |
Alternative Loan Trust, | |
Series 2005-84, Class 1A1 | |
2.22% | | 02/25/364 | | | 31,900 | | | | 29,878 | |
Alternative Loan Trust, | |
Series 2006-HY13, Class 4A1 | |
3.05% | | 02/25/374 | | | 1,090,486 | | | | 1,097,363 | |
Alternative Loan Trust, | |
Series 2006-OC5, Class 2A2A | |
(LIBOR USD 1-Month plus 0.34%) | |
0.43% | | 06/25/462 | | | 2,755 | | | | 2,764 | |
Alternative Loan Trust, | |
Series 2007-J1, Class 2A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | 03/25/372 | | | 569,523 | | | | 131,207 | |
American Home Mortgage Assets Trust, | |
Series 2006-3, Class 2A12 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.15%) | | | | | |
1.24% | | 10/25/462 | | | 36,840,436 | | | | 30,603,608 | |
American Home Mortgage Assets Trust, | |
Series 2007-2, Class A1 | |
(LIBOR USD 1-Month plus 0.13%) | |
0.21% | | 03/25/472 | | | 35,775,872 | | | | 34,067,302 | |
American Home Mortgage Investment Trust, | |
Series 2004-3, Class 2A | |
(LIBOR USD 6-Month plus 1.50%) | |
1.65% | | 10/25/342 | | | 4,263,524 | | | | 4,364,040 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Banc of America Funding Trust, | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | $ | 11,598 | | | $ | 11,914 | |
Banc of America Funding Trust, | |
Series 2006-D, Class 3A1 | |
2.93% | | 05/20/364 | | | 3,153,982 | | | | 3,069,377 | |
Banc of America Funding Trust, | |
Series 2006-E, Class 2A1 | |
2.65% | | 06/20/364 | | | 49,257 | | | | 48,054 | |
Banc of America Funding Trust, | |
Series 2006-G, Class 2A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.53% | | 07/20/362 | | | 263,060 | | | | 263,426 | |
Banc of America Funding Trust, | |
Series 2006-H, Class 3A1 | |
2.87% | | 09/20/464 | | | 740,268 | | | | 693,640 | |
Banc of America Funding Trust, | |
Series 2015-R2, Class 1A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
0.23% | | 08/27/361,2 | | | 9,101,471 | | | | 8,900,764 | |
Banc of America Funding Trust, | |
Series 2015-R5, Class 1A2 | |
(LIBOR USD 1-Month plus 0.13%) | |
0.22% | | 10/26/361,2 | | | 22,706,899 | | | | 22,623,326 | |
Banc of America Funding Trust, | |
Series 2016-R1, Class A1 | |
2.50% | | 03/25/401,4 | | | 3,118,298 | | | | 3,146,115 | |
Banc of America Funding Trust, | |
Series 2016-R1, Class B2 | |
3.50% | | 03/25/401,4 | | | 23,780,000 | | | | 21,892,826 | |
Banc of America Mortgage Trust, | |
Series 2004-F, Class 1A1 | |
2.45% | | 07/25/344 | | | 25,132 | | | | 25,905 | |
Banc of America Mortgage Trust, | |
Series 2005-C, Class 2A2 | |
2.71% | | 04/25/354 | | | 191,055 | | | | 191,970 | |
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 | | | 81,579 | | | | 80,487 | |
Banc of America Mortgage Trust, | |
Series 2007-1, Class 1A24 | |
6.00% | | 03/25/37 | | | 444,761 | | | | 425,703 | |
Banc of America Mortgage Trust, | |
Series 2007-3, Class 1A1 | |
6.00% | | 09/25/37 | | | 226,961 | | | | 230,106 | |
BCAP LLC Trust, | |
Series 2007-AA2, Class 2A5 | |
6.00% | | 04/25/37 | | | 238,112 | | | | 168,109 | |
BCAP LLC Trust, | |
Series 2007-AA5, Class A1 | |
(LIBOR USD 1-Month plus 1.30%) | |
1.39% | | 09/25/472 | | | 16,158,303 | | | | 15,926,977 | |
Bear Stearns ALT-A Trust, | |
Series 2005-4, Class 22A2 | |
2.76% | | 05/25/354 | | | 10,216 | | | | 10,242 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 168 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ALT-A Trust, | |
Series 2005-7, Class 11A1 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | | 08/25/352 | | | $ | 57,763 | | | $ | 58,117 | |
Bear Stearns ALT-A Trust, | |
Series 2006-4, Class 32A1 | |
2.94% | | | 07/25/364 | | | | 1,506,237 | | | | 970,292 | |
Bear Stearns ARM Trust, | |
Series 2004-1, Class 13A2 | |
2.82% | | | 04/25/344 | | | | 5,622 | | | | 5,663 | |
Bear Stearns ARM Trust, | |
Series 2004-10, Class 14A1 | |
2.71% | | | 01/25/354 | | | | 1,927,643 | | | | 1,973,967 | |
Bear Stearns ARM Trust, | |
Series 2006-4, Class 2A1 | |
2.86% | | | 10/25/364 | | | | 281,911 | | | | 272,794 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2005-AC5, Class 2A3 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 08/25/202 | | | | 1,224,653 | | | | 676,750 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | | 03/25/36 | | | | 282,058 | | | | 295,234 | |
Bear Stearns Asset-Backed Securities Trust, | |
| Series 2003-AC7, Class A1 (STEP-reset date 11/25/21) | | | | | |
5.50% | | | 01/25/34 | | | | 520,240 | | | | 530,091 | |
Bear Stearns Asset-Backed Securities Trust, | |
| Series 2003-AC7, Class A2 (STEP-reset date 11/25/21) | | | | | |
5.75% | | | 01/25/34 | | | | 469,031 | | | | 478,047 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2006-AR3, Class 1A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | | 10/25/362 | | | | 1,277,985 | | | | 1,215,313 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2006-AR5, Class 1A1 | |
(LIBOR USD 1-Month plus 0.16%) | |
0.25% | | | 12/25/462 | | | | 16,953,617 | | | | 15,776,403 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR5, Class 1A1A | |
(LIBOR USD 1-Month plus 0.17%) | |
0.26% | | | 06/25/472 | | | | 353,787 | | | | 340,313 | |
Chase Mortgage Finance Trust, | |
Series 2006-A1, Class 1A2 | |
3.16% | | | 09/25/364 | | | | 475,881 | | | | 428,913 | |
Chase Mortgage Finance Trust, | |
Series 2006-S3, Class 2A1 | |
5.50% | | | 11/25/21 | | | | 1,416,461 | | | | 885,829 | |
Chase Mortgage Finance Trust, | |
Series 2007-A2, Class 2A3 | |
2.44% | | | 06/25/354 | | | | 1,104,223 | | | | 1,129,965 | |
ChaseFlex Trust, | |
Series 2005-2, Class 4A2 | |
5.50% | | | 05/25/20 | | | | 290,182 | | | | 172,637 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
ChaseFlex Trust, | |
Series 2006-2, Class A2B | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 09/25/362 | | | $ | 6,031,345 | | | $ | 5,199,247 | |
CIM Trust, | |
Series 2018-R5, Class A1 | |
3.75% | | | 07/25/581,4 | | | | 73,108,424 | | | | 74,035,900 | |
CIM Trust, | |
Series 2018-R6, Class A1 | |
(LIBOR USD 1-Month plus 1.08%) | |
1.16% | | | 09/25/581,2 | | | | 66,000,082 | | | | 66,018,898 | |
CIM Trust, | |
Series 2019-R1, Class A | |
3.25% | | | 10/25/581,4 | | | | 204,434,718 | | | | 190,813,069 | |
CIM Trust, | |
Series 2019-R3, Class A | |
2.63% | | | 06/25/581,4 | | | | 140,304,755 | | | | 139,075,187 | |
CIM Trust, | |
Series 2019-R4, Class A1 | |
3.00% | | | 10/25/591,4 | | | | 129,989,023 | | | | 132,241,044 | |
CIM Trust, | |
Series 2020-R1, Class A1 | |
2.85% | | | 10/27/591,4 | | | | 174,285,485 | | | | 148,753,358 | |
CIM Trust, | |
Series 2020-R3, Class A1A | |
4.00% | | | 01/26/601,4 | | | | 163,875,470 | | | | 156,819,402 | |
CIM Trust, | |
Series 2020-R4, Class A1A | |
3.30% | | | 06/25/601,4 | | | | 94,703,932 | | | | 94,245,015 | |
CIM Trust, | | | | | | | | | | | | |
Series 2020-R6, Class A1A | |
2.25% | | | 12/25/601,4 | | | | 196,614,002 | | | | 195,107,978 | |
CIM Trust, | |
Series 2020-R7, Class A1A | |
2.25% | | | 12/27/611,4 | | | | 318,684,851 | | | | 318,211,604 | |
CIM Trust, | |
Series 2021-R1, Class A2 | |
2.40% | | | 08/25/561,4 | | | | 119,629,125 | | | | 119,750,848 | |
CIM Trust, | |
Series 2021-R2, Class A2 | |
2.50% | | | 01/25/571,4 | | | | 114,949,755 | | | | 115,312,582 | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | | 06/25/571,4 | | | | 392,863,565 | | | | 394,644,258 | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | | 05/01/611,4 | | | | 282,851,657 | | | | 283,875,637 | |
CIM Trust, | |
Series 2021-R5, Class A1A | |
2.00% | | | 08/25/611,4 | | | | 266,643,995 | | | | 265,887,259 | |
Citicorp Mortgage Securities, Inc., | |
Series 2005-1, Class 1A12 | |
5.00% | | | 02/25/35 | | | | 120,926 | | | | 124,250 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AR2, Class 1A1 | |
2.81% | | | 03/25/364 | | | | 8,455,873 | | | | 7,496,155 | |
|
| See accompanying Notes to Financial Statements. |
|
| 169 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AR3, Class 1A2A | |
3.18% | | 06/25/364 | | $ | 1,873,417 | | | $ | 1,834,272 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-6, Class 1A4A | |
2.13% | | 03/25/374 | | | 240,747 | | | | 214,459 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-AR5, Class 1A1A | |
2.90% | | 04/25/374 | | | 65,194 | | | | 65,659 | |
Citigroup Mortgage Loan Trust, | |
Series 2014-5, Class 2A2 | |
(LIBOR USD 1-Month plus 1.75%) | |
1.99% | | 02/20/361,2 | | | 9,072,042 | | | | 8,468,483 | |
Citigroup Mortgage Loan Trust, | |
Series 2015-2, Class 4A1 | |
(LIBOR USD 1-Month plus 0.70%) | |
0.80% | | 03/25/471,2 | | | 4,695,671 | | | | 4,668,768 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.00% | | 02/25/344 | | | 14,803 | | | | 14,854 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-5, Class 3A2A | |
2.53% | | 10/25/354 | | | 390,713 | | | | 270,272 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
0.35% | | 11/25/352 | | | 122,041 | | | | 107,979 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2001-HYB1, Class 1A1 | |
1.75% | | 06/19/314 | | | 7,824 | | | | 7,903 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2003-J8, Class 1A4 | |
5.25% | | 09/25/23 | | | 34,919 | | | | 35,318 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | |
2.44% | | 08/25/344 | | | 620,726 | | | | 620,726 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-25, Class 1A1 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | 02/25/352 | | | 86,300 | | | | 84,750 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-7, Class 2A1 | |
2.46% | | 06/25/344 | | | 60,625 | | | | 62,031 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-HYB3, Class 1A | |
2.44% | | 06/20/344 | | | 10,224 | | | | 10,661 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-HYB4, Class 2A1 | |
2.55% | | 09/20/344 | | | 646,011 | | | | 653,199 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-11, Class 1A2 | |
3.20% | | 04/25/354 | | | 640,795 | | | | 647,837 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-31, Class 2A3 | |
2.54% | | 01/25/364 | | | 112,984 | | | | 110,388 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 05/25/352 | | $ | 2,829,121 | | | $ | 2,434,676 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2007-HY5, Class 1A1 | |
3.40% | | 09/25/474 | | | 613,762 | | | | 573,217 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2007-HYB1, Class 1A1 | |
3.20% | | 03/25/374 | | | 1,062,169 | | | | 937,029 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2003-AR20, Class 2A4 | |
2.64% | | 08/25/334 | | | 10,061 | | | | 10,766 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2005-6, Class 8A1 | |
4.50% | | 07/25/20 | | | 2,831 | | | | 2,969 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, | | | | | |
Series 2004-1, Class 2A1 | |
6.50% | | 02/25/34 | | | 17,665 | | | | 18,323 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, | | | | | |
Series 2004-AR5, Class 6A1 | |
2.36% | | 06/25/344 | | | 72,759 | | | | 76,901 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-2, Class 5A1 | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | 03/25/362 | | | 3,344,697 | | | | 1,101,519 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2007-2, Class 3A4 | |
5.50% | | 03/25/37 | | | 1,237,849 | | | | 908,221 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2014-12R, Class 1A1 | |
(LIBOR USD 1-Month plus 1.75%) | |
1.84% | | 08/27/361,2 | | | 1,042,299 | | | | 1,050,292 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2015-6R, Class 2A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
0.28% | | 11/27/461,2 | | | 4,141,454 | | | | 4,118,691 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2020-RPL2, Class A12 | |
3.43% | | 02/25/601,4 | | | 21,030,584 | | | | 21,642,139 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2006-AR3, Class A1 | |
(LIBOR USD 1-Month plus 0.38%) | |
0.47% | | 08/25/362 | | | 2,577,830 | | | | 2,510,299 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2006-AR4, Class A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
0.35% | | 12/25/362 | | | 1,601,423 | | | | 748,302 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2006-AR6, Class A6 | |
(LIBOR USD 1-Month plus 0.38%) | |
0.47% | | 02/25/372 | | | 488,931 | | | | 478,728 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 170 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-3, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 1.70%) | | | | | |
1.79% | | 10/25/472 | | $ | 25,835,929 | | | $ | 23,990,348 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-OA3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 07/25/472 | | | 35,457,808 | | | | 34,021,997 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | | | | | |
Series 2005-6, Class 1A7 | | | | | |
5.50% | | 12/25/35 | | | 288,627 | | | | 281,391 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | | | | | |
Series 2006-AR1, Class 2A1 | | | | | |
2.87% | | 02/25/364 | | | 626,828 | | | | 555,410 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2004-AR4, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.72%) | | | | | |
0.81% | | 01/19/452 | | | 1,529,216 | | | | 1,334,758 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2005-AR1, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 02/19/452 | | | 100,426 | | | | 100,122 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2005-AR3, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 07/19/452 | | | 102,865 | | | | 101,531 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2006-AR2, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.20%) | | | | | |
0.29% | | 10/19/362 | | | 15,258,232 | | | | 13,081,323 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2007-AR1, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.14%) | | | | | |
0.23% | | 03/19/372 | | | 6,771,765 | | | | 6,377,917 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA2, Class 1A1 | | | | | |
2.20% | | 08/25/344 | | | 4,541,981 | | | | 4,566,458 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA3, Class A1 | | | | | |
2.28% | | 09/25/344 | | | 14,016 | | | | 14,001 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA4, Class A1 | | | | | |
2.34% | | 10/25/344 | | | 796,015 | | | | 829,349 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA10, Class 1A1 | | | | | |
2.51% | | 12/25/354 | | | 9,381,346 | | | | 8,965,001 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA12, Class 2A1 | | | | | |
2.45% | | 02/25/364 | | | 11,139,070 | | | | 9,121,385 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA4, Class 2A1 | | | | | |
2.39% | | 06/25/354 | | | 9,787,652 | | | | 9,601,108 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA7, Class 2A1 | | | | | |
2.34% | | 09/25/354 | | | 8,275,589 | | | | 8,128,400 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA8, Class 2A1 | | | | | |
2.27% | | 10/25/354 | | $ | 10,825,363 | | | $ | 8,418,291 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA9, Class 2A1 | | | | | |
2.34% | | 11/25/354 | | | 11,420,376 | | | | 10,417,324 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2006-AA1, Class 1A1 | | | | | |
2.33% | | 03/25/364 | | | 12,096,412 | | | | 9,959,616 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2006-FA8, Class 1A7 | | | | | |
6.00% | | 02/25/37 | | | 8,863 | | | | 5,382 | |
First Horizon Mortgage Pass-Through Trust, | | | | | |
Series 2004-AR6, Class 2A1 | | | | | |
3.27% | | 12/25/344 | | | 93,833 | | | | 96,683 | |
First Horizon Mortgage Pass-Through Trust, | | | | | |
Series 2006-AR4, Class 1A2 | | | | | |
2.89% | | 01/25/374 | | | 61,711 | | | | 48,787 | |
First Horizon Mortgage Pass-Through Trust, | | | | | |
Series 2007-AR3, Class 1A1 | | | | | |
2.76% | | 11/25/374 | | | 112,824 | | | | 78,616 | |
GMACM Mortgage Corp. Loan Trust, | | | | | |
Series 2005-AR6, Class 3A1 | | | | | |
2.96% | | 11/19/354 | | | 352,896 | | | | 356,172 | |
GMACM Mortgage Corp. Loan Trust, | | | | | |
Series 2006-AR2, Class 1A1 | | | | | |
2.66% | | 05/19/364 | | | 1,557,967 | | | | 931,860 | |
GreenPoint Mortgage Funding Trust, | | | | | |
Series 2005-AR3, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 08/25/452 | | | 1,051,648 | | | | 1,023,352 | |
GreenPoint Mortgage Funding Trust, | | | | | |
Series 2005-AR4, Class G41B | | | | | |
(LIBOR USD 1-Month plus 0.20%) | | | | | |
0.29% | | 10/25/452 | | | 12,311,797 | | | | 11,600,901 | |
GS Mortgage-Backed Securities Trust, | | | | | |
Series 2018-RPL1, Class A1A | | | | | |
3.75% | | 10/25/571 | | | 30,209,537 | | | | 30,744,545 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2004-9, Class 3A1 | | | | | |
2.59% | | 08/25/344 | | | 2,016 | | | | 2,023 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2004-9, Class 5A7 | | | | | |
2.20% | | 08/25/344 | | | 110,409 | | | | 111,555 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2005-AR5, Class 2A3 | | | | | |
2.63% | | 10/25/354 | | | 2,057,517 | | | | 1,449,517 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2005-AR6, Class 4A5 | | | | | |
2.80% | | 09/25/354 | | | 54,814 | | | | 55,907 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2007-AR2, Class 2A1 | | | | | |
2.79% | | 05/25/374 | | | 1,520,091 | | | | 1,158,844 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2004-1, Class 2A | | | | | |
2.12% | | 04/19/344 | | | 3,810 | | | | 3,782 | |
|
| See accompanying Notes to Financial Statements. |
|
| 171 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2004-11, Class 3A2A | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
0.77% | | 01/19/352 | | $ | 215,983 | | | $ | 206,287 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2004-3, Class 1A | | | | | |
2.71% | | 05/19/344 | | | 42,711 | | | | 43,424 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2004-5, Class 2A6 | | | | | |
2.40% | | 06/19/344 | | | 1,575 | | | | 1,654 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2005-3, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 06/19/352 | | | 245,883 | | | | 247,143 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2005-4, Class 2A | | | | | |
2.59% | | 07/19/354 | | | 36,322 | | | | 32,909 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2006-10, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.20%) | | | | | |
0.29% | | 11/19/362 | | | 58,148,748 | | | | 53,538,291 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2006-7, Class 1A | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
0.51% | | 09/19/462 | | | 61,764,545 | | | | 59,726,389 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2007-7, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
1.09% | | 10/25/372 | | | 21,051,711 | | | | 19,586,979 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2007-7, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
1.09% | | 10/25/372 | | | 17,081,617 | | | | 17,299,688 | |
Impac CMB Trust, | | | | | |
Series 2004-8, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.79% | | 10/25/342 | | | 146,661 | | | | 149,364 | |
Impac CMB Trust, | | | | | |
Series 2005-1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.52%) | | | | | |
0.61% | | 04/25/352 | | | 2,594,603 | | | | 2,534,663 | |
Impac CMB Trust, | | | | | |
Series 2005-4, Class 1A1B | | | | | |
(LIBOR USD 1-Month plus 0.17%) | | | | | |
0.34% | | 05/25/352 | | | 3,215,142 | | | | 3,020,221 | |
Impac Secured Assets Corp., | | | | | |
Series 2004-3, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
0.99% | | 11/25/342 | | | 60,610 | | | | 60,976 | |
Impac Secured Assets Corp., | | | | | |
Series 2004-4, Class M3 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
0.99% | | 02/25/352 | | | 143,713 | | | | 144,147 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Impac Secured Assets Trust, | | | | | |
Series 2006-3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.34%) | | | | | |
0.43% | | 11/25/362 | | $ | 5,681,684 | | | $ | 5,316,259 | |
Impac Secured Assets Trust, | | | | | |
Series 2006-5, Class 1A1C | | | | | |
(LIBOR USD 1-Month plus 0.27%) | | | | | |
0.36% | | 02/25/372 | | | 9,103,054 | | | | 8,715,578 | |
Impac Secured Assets Trust, | | | | | |
Series 2007-2, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.11%) | | | | | |
0.20% | | 05/25/372 | | | 4,569,536 | | | | 3,861,732 | |
Impac Secured Assets Trust, | | | | | |
Series 2007-2, Class 1A1B | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
0.34% | | 05/25/372 | | | 43,366,568 | | | | 36,788,337 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR4, Class 1A | | | | | |
2.73% | | 08/25/344 | | | 921,649 | | | | 924,094 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR5, Class 2A1B | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
0.89% | | 08/25/342 | | | 15,878 | | | | 15,252 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR7, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.86%) | | | | | |
0.95% | | 09/25/342 | | | 43,413 | | | | 41,887 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR1, Class 4A1 | | | | | |
2.96% | | 03/25/354 | | | 269,855 | | | | 275,166 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR17, Class 3A1 | | | | | |
2.78% | | 09/25/354 | | | 3,416,719 | | | | 2,804,545 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR19, Class A1 | | | | | |
2.76% | | 10/25/354 | | | 20,399,034 | | | | 19,440,167 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR31, Class 3A1 | | | | | |
2.77% | | 01/25/364 | | | 709,639 | | | | 708,344 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR6, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 04/25/352 | | | 443,525 | | | | 406,403 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR19, Class 1A2 | | | | | |
3.01% | | 08/25/364 | | | 11,974,740 | | | | 8,943,276 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR21, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 08/25/362 | | | 123,194 | | | | 122,140 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR27, Class 2A2 | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
0.49% | | 10/25/362 | | | 15,630,421 | | | | 15,417,482 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 172 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR35, Class 2A3A | | | | | |
(LIBOR USD 1-Month plus 0.20%) | | | | | |
0.29% | | 01/25/372 | | $ | 36,465,032 | | | $ | 36,424,038 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR7, Class 1A1 | | | | | |
2.78% | | 05/25/364 | | | 3,407,346 | | | | 3,330,767 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR7, Class 2A1 | | | | | |
2.96% | | 05/25/364 | | | 21,299,375 | | | | 16,701,466 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR1, Class 1A2 | | | | | |
3.01% | | 03/25/374 | | | 436,984 | | | | 415,627 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR11, Class 1A1 | | | | | |
2.75% | | 06/25/374 | | | 2,870,676 | | | | 2,792,730 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR7, Class 1A1 | | | | | |
2.65% | | 11/25/374 | | | 1,912,437 | | | | 1,869,449 | |
JPMorgan Alternative Loan Trust, | | | | | |
Series 2006-A2, Class 2A1 | | | | | |
2.92% | | 05/25/364 | | | 495,974 | | | | 385,628 | |
JPMorgan Alternative Loan Trust, | | | | | |
Series 2006-A2, Class 5A1 | | | | | |
3.01% | | 05/25/364 | | | 5,063,377 | | | | 3,594,650 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2003-A2, Class 2A3 | | | | | |
1.76% | | 11/25/334 | | | 66,535 | | | | 66,645 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2004-A4, Class 1A3 | | | | | |
2.24% | | 09/25/344 | | | 190,795 | | | | 188,678 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2005-A5, Class TA1 | | | | | |
2.55% | | 08/25/354 | | | 85,044 | | | | 87,622 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2005-S2, Class 4A3 | | | | | |
5.50% | | 09/25/20 | | | 1,645,817 | | | | 1,426,597 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A2, Class 5A3 | | | | | |
2.36% | | 11/25/334 | | | 2,780 | | | | 2,806 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A3, Class 2A1 | | | | | |
2.92% | | 05/25/364 | | | 613,730 | | | | 565,542 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A3, Class 3A3 | | | | | |
3.06% | | 05/25/364 | | | 414,863 | | | | 377,287 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A4, Class 1A1 | | | | | |
2.88% | | 06/25/364 | | | 335,128 | | | | 292,207 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A4, Class 1A4 | | | | | |
2.88% | | 06/25/364 | | | 1,080,345 | | | | 932,796 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2006-A5, Class 2A4 | | | | | |
2.72% | | 08/25/364 | | | 320,042 | | | | 297,849 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A1, Class 5A2 | | | | | |
2.50% | | 07/25/354 | | $ | 995,569 | | | $ | 1,023,812 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A3, Class 2A3 | | | | | |
2.66% | | 05/25/374 | | | 1,730,205 | | | | 1,526,331 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A3, Class 3A2 | | | | | |
3.13% | | 05/25/374 | | | 282,608 | | | | 286,779 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A4, Class 1A1 | | | | | |
3.23% | | 06/25/374 | | | 2,454,793 | | | | 2,220,460 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A4, Class 2A3 | | | | | |
3.05% | | 06/25/374 | | | 361,335 | | | | 321,810 | |
Lehman XS Trust, | | | | | |
Series 2005-5N, Class 3A1A | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
0.39% | | 11/25/352 | | | 4,151,882 | | | | 4,138,828 | |
Lehman XS Trust, | | | | | |
Series 2005-7N, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | 12/25/352 | | | 322,989 | | | | 320,863 | |
Lehman XS Trust, | | | | | |
Series 2006-12N, Class A31A | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
0.49% | | 08/25/462 | | | 10,567,086 | | | | 10,651,868 | |
Lehman XS Trust, | | | | | |
Series 2006-14N, Class 3A2 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 08/25/362 | | | 31,467 | | | | 35,983 | |
Lehman XS Trust, | | | | | |
Series 2007-4N, Class 1A3 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
0.33% | | 03/25/472 | | | 20,702,270 | | | | 20,673,728 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2003-6, Class 4A2 | | | | | |
3.02% | | 01/25/344 | | | 23,057 | | | | 24,686 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2003-7, Class 3A1 | | | | | |
1.91% | | 11/25/334 | | | 484,588 | | | | 485,578 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-13, Class 3A1 | | | | | |
2.73% | | 11/21/344 | | | 2,440,249 | | | | 2,484,065 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-15, Class 9A1 | | | | | |
2.77% | | 10/25/344 | | | 183,630 | | | | 187,876 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-8, Class 2A1 | | | | | |
2.38% | | 09/25/344 | | | 1,711,235 | | | | 1,715,931 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2006-2, Class 5A1 | | | | | |
2.85% | | 05/25/364 | | | 5,657,665 | | | | 3,651,404 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2004-1, Class 4A1 | | | | | |
2.47% | | 10/25/324 | | | 8,684 | | | | 9,113 | |
|
| See accompanying Notes to Financial Statements. |
|
| 173 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2001-TBC1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
0.78% | | 11/15/312 | | $ | 741,672 | | | $ | 760,483 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2003-A6, Class 2A | | | | | |
2.37% | | 10/25/334 | | | 223,029 | | | | 224,813 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2004-A4, Class A1 | | | | | |
2.62% | | 08/25/344 | | | 951,562 | | | | 957,097 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2005-A10, Class A | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
0.51% | | 02/25/362 | | | 6,718 | | | | 6,643 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2007-2, Class 1A1 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.40%) | | | | | |
2.48% | | 08/25/362 | | | 2,745,192 | | | | 2,613,050 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2004-11AR, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
0.41% | | 01/25/352 | | | 89,959 | | | | 87,311 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2004-7AR, Class 2A4 | | | | | |
2.05% | | 09/25/344 | | | 505,587 | | | | 503,503 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2005-2AR, Class A | | | | | |
(LIBOR USD 1-Month plus 0.26%) | | | | | |
0.35% | | 04/25/352 | | | 1,360,812 | | | | 1,330,055 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2006-7, Class 5A2 | | | | | |
5.96% | | 06/25/364 | | | 712,699 | | | | 291,164 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2007-6XS, Class 1A2S (STEP-reset date 11/25/21) | | | | | |
5.50% | | 02/25/47 | | | 40,698 | | | | 40,663 | |
Morgan Stanley Resecuritization Trust, | | | | | |
Series 2014-R4, Class 2A | | | | | |
2.56% | | 08/26/341,4 | | | 35,406 | | | | 35,668 | |
Morgan Stanley Resecuritization Trust, | | | | | |
Series 2014-R8, Class 3A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.75%) | | | | | |
0.85% | | 06/26/471,2 | | | 2,928,758 | | | | 2,936,096 | |
Morgan Stanley Resecuritization Trust, | | | | | |
Series 2015-R4, Class 2A | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
0.88% | | 08/26/471,2 | | | 1,637,053 | | | | 1,639,718 | |
MortgageIT Trust, | | | | | |
Series 2005-1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 02/25/352 | | | 2,924,996 | | | | 2,944,703 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
MortgageIT Trust, | | | | | |
Series 2005-4, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
0.65% | | 10/25/352 | | $ | 3,146,768 | | | $ | 3,136,957 | |
MortgageIT Trust, | | | | | |
Series 2005-5, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.52%) | | | | | |
0.61% | | 12/25/352 | | | 584,480 | | | | 590,234 | |
NRPL, | | | | | |
| Series 2019-3A, Class A1 (STEP-reset date 11/25/21) | | | | | |
3.00% | | 07/25/591 | | | 57,595,494 | | | | 57,911,595 | |
Popular ABS, Inc., | | | | | |
| Series 1998-1, Class A2 (STEP-reset date 11/25/21) | | | | | |
7.48% | | 11/25/29 | | | 46,823 | | | | 46,834 | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QA12, Class CB1 | | | | | |
3.51% | | 12/25/354 | | | 3,835,884 | | | | 2,232,158 | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QA4, Class A41 | | | | | |
3.26% | | 04/25/354 | | | 147,334 | | | | 132,714 | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QA7, Class A1 | | | | | |
3.35% | | 07/25/354 | | | 2,538,026 | | | | 2,156,000 | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QO5, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
1.09% | | 01/25/462 | | | 4,330,465 | | | | 4,061,931 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QA1, Class A11 | | | | | |
4.01% | | 01/25/364 | | | 106,268 | | | | 92,749 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QA1, Class A21 | | | | | |
4.31% | | 01/25/364 | | | 10,177,026 | | | | 9,092,014 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QA7, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.37%) | | | | | |
0.45% | | 08/25/362 | | | 17,607,064 | | | | 17,033,490 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS10, Class AV (IO) | | | | | |
0.57% | | 08/25/364,5,6 | | | 17,992,422 | | | | 360,424 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS12, Class 2A9 | | | | | |
(LIBOR USD 1-Month plus 0.38%) | | | | | |
0.47% | | 09/25/362 | | | 162,462 | | | | 128,145 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS2, Class 1AV (IO) | | | | | |
0.47% | | 02/25/364,5,6 | | | 62,507,405 | | | | 853,132 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS7, Class AV (IO) | | | | | |
0.67% | | 06/25/364,5,6 | | | 29,240,853 | | | | 390,558 | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS8, Class AV (IO) | | | | | |
0.78% | | 08/25/364,5,6 | | | 69,068,946 | | | | 1,617,609 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 174 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS10, Class AV (IO) | | | | | |
0.47% | | 09/25/374,5,6 | | $ | 54,525,614 | | | $ | 1,004,951 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS4, Class 3AV (IO) | | | | | |
0.37% | | 03/25/374,5,6 | | | 35,322,390 | | | | 434,367 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS5, Class AV (IO) | | | | | |
0.28% | | 03/25/374,5,6 | | | 36,882,564 | | | | 316,722 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS6, Class AV (IO) | | | | | |
0.33% | | 04/25/374,5,6 | | | 78,239,033 | | | | 721,849 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS7, Class 2AV (IO) | | | | | |
0.38% | | 06/25/374,5,6 | | | 26,727,750 | | | | 311,809 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS8, Class AV (IO) | | | | | |
0.42% | | 06/25/374,5,6 | | | 68,686,065 | | | | 1,068,072 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 1A1 | | | | | |
2.77% | | 12/25/344 | | | 200,482 | | | | 202,118 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 2A1 | | | | | |
2.85% | | 12/25/344 | | | 11,518 | | | | 11,426 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 3A1 | | | | | |
2.55% | | 12/25/344 | | | 304,289 | | | | 322,648 | |
Residential Asset Securitization Trust, | | | | | |
Series 2006-A7CB, Class 1A3 | | | | | |
6.25% | | 07/25/36 | | | 1,802,939 | | | | 1,788,382 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2005-SA5, Class 1A | | | | | |
3.11% | | 11/25/354 | | | 2,998,978 | | | | 2,121,285 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2006-SA3, Class 3A1 | | | | | |
4.14% | | 09/25/364 | | | 349,042 | | | | 327,663 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2006-SA3, Class 4A1 | | | | | |
4.78% | | 09/25/364 | | | 10,447 | | | | 8,168 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2006-SA4, Class 2A1 | | | | | |
4.60% | | 11/25/364 | | | 53,800 | | | | 52,442 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2007-SA2, Class 2A2 | | | | | |
3.29% | | 04/25/374 | | | 1,160,763 | | | | 1,068,984 | |
Sequoia Mortgage Trust, | | | | | |
Series 2003-2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 06/20/332 | | | 33,064 | | | | 33,133 | |
Sequoia Mortgage Trust, | | | | | |
Series 2003-8, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 01/20/342 | | | 1,104 | | | | 1,092 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Sequoia Mortgage Trust, | | | | | |
Series 2004-3, Class A | | | | | |
(LIBOR USD 6-Month plus 0.50%) | | | | | |
0.72% | | 05/20/342 | | $ | 199,345 | | | $ | 200,108 | |
Sequoia Mortgage Trust, | | | | | |
Series 2004-4, Class A | | | | | |
(LIBOR USD 6-Month plus 0.52%) | | | | | |
0.74% | | 05/20/342 | | | 83,889 | | | | 81,842 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-1, Class 3A3 | | | | | |
2.43% | | 02/25/344 | | | 18,705 | | | | 18,548 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-12, Class 2A | | | | | |
2.66% | | 09/25/344 | | | 3,455,634 | | | | 3,512,204 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-14, Class 1A | | | | | |
2.68% | | 10/25/344 | | | 78,829 | | | | 78,829 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-14, Class 2A | | | | | |
2.44% | | 10/25/344 | | | 4,197,257 | | | | 4,288,722 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-15, Class A | | | | | |
2.54% | | 10/25/344 | | | 1,468,943 | | | | 1,411,892 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-17, Class A1 | | | | | |
1.24% | | 11/25/344 | | | 28,655 | | | | 27,833 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-20, Class 1A2 | | | | | |
2.79% | | 01/25/354 | | | 385,003 | | | | 397,047 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2005-12, Class 3A1 | | | | | |
2.52% | | 06/25/354 | | | 1,016,356 | | | | 979,918 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2005-18, Class 7A3 | | | | | |
2.77% | | 09/25/354 | | | 11,959,732 | | | | 9,178,278 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2006-12, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
0.41% | | 01/25/372 | | | 18,893,685 | | | | 19,184,031 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2007-9, Class 2A1 | | | | | |
3.15% | | 10/25/474 | | | 543,598 | | | | 435,264 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A1A | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
0.65% | | 02/25/362 | | | 466,055 | | | | 450,702 | |
| 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 | | | 15,034,018 | | | | 15,022,031 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2006-AR7, Class A1A | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
0.51% | | 08/25/362 | | | 17,276,794 | | | | 17,166,262 | |
|
| See accompanying Notes to Financial Statements. |
|
| 175 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2006-AR8, Class A1BG | | | | | |
(LIBOR USD 1-Month plus 0.12%) | | | | | |
0.21% | | 10/25/362 | | $ | 15,989,281 | | | $ | 15,387,376 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2007-AR6, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus1.50%) | | | | | |
1.59% | | 08/25/472 | | | 105,212,524 | | | | 102,629,915 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 1997-2, Class 2A4 | | | | | |
7.25% | | 03/28/30 | | | 544 | | | | 569 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2003-26A, Class 3A5 | | | | | |
2.23% | | 09/25/334 | | | 101,860 | | | | 106,156 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2003-34A, Class 5A4 | | | | | |
2.45% | | 11/25/334 | | | 818,759 | | | | 832,488 | |
Structured Asset Securities Corp. Trust, | | | | | |
Series 2005-5, Class 2A4 | | | | | |
5.50% | | 04/25/35 | | | 1,135,884 | | | | 1,134,800 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2007-3, Class 1A1 | | | | | |
2.67% | | 06/25/374 | | | 1,654,739 | | | | 1,326,209 | |
Thornburg Mortgage Securities Trust, | | | | | |
Series 2004-4, Class 2A | | | | | |
2.01% | | 12/25/444 | | | 72,439 | | | | 72,643 | |
Wachovia Mortgage Loan Trust, | | | | | |
Series 2006-ALT1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.46%) | | | | | |
0.55% | | 01/25/372 | | | 12,195,674 | | | | 6,529,866 | |
Wachovia Mortgage Loan Trust, | | | | | |
Series 2006-AMN1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.48%) | | | | | |
0.57% | | 08/25/362 | | | 14,998,640 | | | | 6,948,618 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2003-AR6, Class A1 | | | | | |
2.56% | | 06/25/334 | | | 2,083,753 | | | | 2,177,584 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2004-AR3, Class A2 | | | | | |
2.58% | | 06/25/344 | | | 19,257 | | | | 19,968 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2004-AR6, Class A | | | | | |
(LIBOR USD 1-Month plus 0.84%) | | | | | |
0.93% | | 05/25/442 | | | 385,117 | | | | 389,834 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-3, Class 2A3 | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
0.64% | | 05/25/352 | | | 1,923,665 | | | | 1,643,652 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-4, Class CB13 | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 06/25/352 | | | 3,504,677 | | | | 2,991,120 | |
| | | | | | | | | | |
| | | |
| 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 0.64%) | | | | | |
0.73% | | 01/25/452 | | $ | 438,596 | | | $ | 436,548 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR11, Class A1A | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
0.73% | | 08/25/452 | | | 21,554,276 | | | | 21,636,355 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR12, Class 1A6 | | | | | |
2.81% | | 10/25/354 | | | 716,401 | | | | 724,071 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR13, Class A1A1 | | | | | |
(LIBOR USD 1-Month plus 0.58%) | | | | | |
0.67% | | 10/25/452 | | | 3,242,926 | | | | 3,260,687 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR14, Class 2A1 | | | | | |
2.99% | | 12/25/354 | | | 2,784,409 | | | | 2,882,421 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR15, Class A1A1 | | | | | |
(LIBOR USD 1-Month plus 0.52%) | | | | | |
0.61% | | 11/25/452 | | | 18,128,012 | | | | 17,871,454 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR17, Class A1A1 | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | 12/25/452 | | | 9,160,083 | | | | 8,931,284 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR19, Class A1A2 | | | | | |
(LIBOR USD 1-Month plus 0.58%) | | | | | |
0.67% | | 12/25/452 | | | 9,431,588 | | | | 9,470,438 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR2, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 01/25/452 | | | 10,482,047 | | | | 10,543,854 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR2, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
0.71% | | 01/25/452 | | | 641,633 | | | | 640,849 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR2, Class 2A21 | | | | | |
(LIBOR USD 1-Month plus 0.66%) | | | | | |
0.75% | | 01/25/452 | | | 54,567 | | | | 54,781 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR2, Class 2A23 | | | | | |
(LIBOR USD 1-Month plus 0.76%) | | | | | |
0.85% | | 01/25/452 | | | 2,278,436 | | | | 2,293,004 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR6, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.46%) | | | | | |
0.55% | | 04/25/452 | | | 89,427 | | | | 88,838 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR8, Class 1A1A | | | | | |
(LIBOR USD 1-Month plus 0.54%) | | | | | |
0.63% | | 07/25/452 | | | 104,699 | | | | 103,597 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 176 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| 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%) | | | | | |
1.16% | | 01/25/462 | | $ | 17,238,852 | | | $ | 17,299,057 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2006-AR10, Class 1A4 | | | | | |
2.86% | | 09/25/364 | | | 8,840,632 | | | | 8,886,262 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2006-AR16, Class 3A1 | | | | | |
3.11% | | 12/25/364 | | | 474,373 | | | | 471,936 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2006-AR3, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
1.09% | | 02/25/462 | | | 10,659,433 | | | | 10,429,377 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2006-AR4, Class 1A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.94%) | | | | | |
1.04% | | 05/25/462 | | | 3,643,703 | | | | 3,636,443 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2006-AR7, Class 2A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
1.07% | | 07/25/462 | | | 7,509,996 | | | | 7,138,543 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2007-1, Class 2A1 | | | | | |
6.00% | | 01/25/22 | | | 66,533 | | | | 68,392 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2007-HY7, Class 4A2 | | | | | |
3.10% | | 07/25/374 | | | 187,961 | | | | 191,229 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2007-OA1, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
0.79% | | 02/25/472 | | | 9,282,395 | | | | 8,831,563 | |
| WaMu MSC Mortgage Pass-Through Certificates, | | | | | |
Series 2002-AR1, Class 1A1 | | | | | |
3.02% | | 11/25/304 | | | 190,061 | | | | 195,817 | |
Wells Fargo Alternative Loan Trust, | | | | | |
Series 2007-PA5, Class 1A1 | | | | | |
6.25% | | 11/25/37 | | | 110,616 | | | | 110,264 | |
| Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
Series 2006-AR1, Class 1A1 | | | | | |
2.65% | | 03/25/364 | | | 1,571,958 | | | | 1,548,817 | |
| | | | | |
| | | | 4,077,134,507 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.00% | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K154, Class A2 | | | | | |
3.42% | | 04/25/32 | | | 750,000 | | | | 850,661 | |
| | | | | | | | | | |
| | | |
| 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 | | | $ | 147,655 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K157, Class A3 | | | | | |
3.99% | | 08/25/334 | | | 300,000 | | | | 361,393 | |
| | | | | |
| | | | 1,359,709 | |
| | | | | |
| |
U.S. Agency Mortgage-Backed — 32.26% | | | | | |
Fannie Mae Pool 190375 | | | | | |
5.50% | | 11/01/36 | | | 470,756 | | | | 547,028 | |
Fannie Mae Pool 190396 | | | | | |
4.50% | | 06/01/39 | | | 6,527 | | | | 7,290 | |
Fannie Mae Pool 254232 | | | | | |
6.50% | | 03/01/22 | | | 408 | | | | 410 | |
Fannie Mae Pool 313182 | | | | | |
7.50% | | 10/01/26 | | | 735 | | | | 799 | |
Fannie Mae Pool 394854 | | | | | |
6.50% | | 05/01/27 | | | 445 | | | | 500 | |
Fannie Mae Pool 545191 | | | | | |
7.00% | | 09/01/31 | | | 1,880 | | | | 2,131 | |
Fannie Mae Pool 545756 | | | | | |
7.00% | | 06/01/32 | | | 415 | | | | 494 | |
Fannie Mae Pool 606108 | | | | | |
7.00% | | 03/01/31 | | | 2,120 | | | | 2,143 | |
Fannie Mae Pool 613142 | | | | | |
7.00% | | 11/01/31 | | | 7,383 | | | | 8,663 | |
Fannie Mae Pool 625666 | | | | | |
7.00% | | 01/01/32 | | | 6,572 | | | | 7,433 | |
Fannie Mae Pool 633698 | | | | | |
7.50% | | 02/01/31 | | | 24,911 | | | | 29,367 | |
Fannie Mae Pool 655928 | | | | | |
7.00% | | 08/01/32 | | | 98,539 | | | | 117,718 | |
Fannie Mae Pool 725257 | | | | | |
5.50% | | 02/01/34 | | | 638,880 | | | | 737,608 | |
Fannie Mae Pool 734830 | | | | | |
4.50% | | 08/01/33 | | | 8,317 | | | | 9,219 | |
Fannie Mae Pool 734922 | | | | | |
4.50% | | 09/01/33 | | | 1,133,559 | | | | 1,267,137 | |
Fannie Mae Pool 735207 | | | | | |
7.00% | �� | 04/01/34 | | | 13,703 | | | | 15,906 | |
Fannie Mae Pool 735224 | | | | | |
5.50% | | 02/01/35 | | | 2,269,635 | | | | 2,622,270 | |
Fannie Mae Pool 735651 | | | | | |
4.50% | | 06/01/35 | | | 2,499,967 | | | | 2,809,929 | |
Fannie Mae Pool 735686 | | | | | |
6.50% | | 12/01/22 | | | 60 | | | | 61 | |
Fannie Mae Pool 740297 | | | | | |
5.50% | | 10/01/33 | | | 1,388 | | | | 1,603 | |
Fannie Mae Pool 745147 | | | | | |
4.50% | | 12/01/35 | | | 15,561 | | | | 17,309 | |
Fannie Mae Pool 753168 | | | | | |
4.50% | | 12/01/33 | | | 5,892 | | | | 6,552 | |
|
| See accompanying Notes to Financial Statements. |
|
| 177 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae Pool 815422 | | | | | |
4.50% | | 02/01/35 | | $ | 26,652 | | | $ | 29,580 | |
Fannie Mae Pool 839109 | | | | | |
(LIBOR USD 12-Month plus 1.91%) | | | | | |
2.29% | | 11/01/352 | | | 3,588 | | | | 3,587 | |
Fannie Mae Pool 844773 | | | | | |
(LIBOR USD 12-Month plus 1.53%) | | | | | |
1.99% | | 12/01/352 | | | 2,990 | | | | 3,013 | |
Fannie Mae Pool 888412 | | | | | |
7.00% | | 04/01/37 | | | 190,469 | | | | 217,414 | |
Fannie Mae Pool 889184 | | | | | |
5.50% | | 09/01/36 | | | 2,269,444 | | | | 2,622,845 | |
Fannie Mae Pool AB1613 | | | | | |
4.00% | | 10/01/40 | | | 20,223,391 | | | | 22,595,444 | |
Fannie Mae Pool AB1803 | | | | | |
4.00% | | 11/01/40 | | | 25,327,866 | | | | 28,324,413 | |
Fannie Mae Pool AB2127 | | | | | |
3.50% | | 01/01/26 | | | 7,926,612 | | | | 8,467,031 | |
Fannie Mae Pool AB3679 | | | | | |
3.50% | | 10/01/41 | | | 8,430,946 | | | | 9,228,075 | |
Fannie Mae Pool AB3864 | | | | | |
3.50% | | 11/01/41 | | | 6,662,814 | | | | 7,324,233 | |
Fannie Mae Pool AB4045 | | | | | |
3.50% | | 12/01/41 | | | 8,300,113 | | | | 9,186,164 | |
Fannie Mae Pool AB4262 | | | | | |
3.50% | | 01/01/32 | | | 4,264,294 | | | | 4,577,912 | |
Fannie Mae Pool AB6385 | | | | | |
3.00% | | 10/01/42 | | | 251,677 | | | | 268,380 | |
Fannie Mae Pool AB9703 | | | | | |
3.50% | | 06/01/43 | | | 15,762,285 | | | | 17,003,507 | |
Fannie Mae Pool AC8279 | | | | | |
4.50% | | 08/01/39 | | | 11,170 | | | | 12,432 | |
Fannie Mae Pool AE0138 | | | | | |
4.50% | | 03/01/40 | | | 39,948 | | | | 44,607 | |
Fannie Mae Pool AE0482 | | | | | |
5.50% | | 01/01/38 | | | 5,474,830 | | | | 6,270,138 | |
Fannie Mae Pool AH3780 | | | | | |
4.00% | | 02/01/41 | | | 10,178,067 | | | | 11,472,132 | |
Fannie Mae Pool AJ1404 | | | | | |
4.00% | | 09/01/41 | | | 13,428,582 | | | | 14,877,907 | |
Fannie Mae Pool AL0209 | | | | | |
4.50% | | 05/01/41 | | | 15,661,298 | | | | 17,640,406 | |
Fannie Mae Pool AL0851 | | | | | |
6.00% | | 10/01/40 | | | 9,206,954 | | | | 10,768,994 | |
Fannie Mae Pool AL2521 | | | | | |
3.50% | | 09/01/42 | | | 104,832 | | | | 113,788 | |
Fannie Mae Pool AL4597 | | | | | |
4.00% | | 01/01/44 | | | 39,502,193 | | | | 44,214,205 | |
Fannie Mae Pool AL6348 | | | | | |
3.50% | | 02/01/45 | | | 35,337 | | | | 38,229 | |
Fannie Mae Pool AL7092 | | | | | |
3.00% | | 07/01/45 | | | 51,029 | | | | 55,061 | |
Fannie Mae Pool AL8037 | | | | | |
4.50% | | 07/01/34 | | | 145,489 | | | | 159,433 | |
Fannie Mae Pool AL8256 | | | | | |
3.00% | | 08/01/43 | | | 472,375 | | | | 512,207 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae Pool AL8356 | | | | | |
4.50% | | 07/01/34 | | $ | 356,869 | | | $ | 389,269 | |
Fannie Mae Pool AL8960 | | | | | |
4.50% | | 05/01/46 | | | 26,171,181 | | | | 29,119,676 | |
Fannie Mae Pool AL9106 | | | | | |
4.50% | | 02/01/46 | | | 35,705,754 | | | | 39,728,432 | |
Fannie Mae Pool AL9217 | | | | | |
3.50% | | 10/01/46 | | | 22,574,328 | | | | 24,582,434 | |
Fannie Mae Pool AL9472 | | | | | |
4.00% | | 10/01/43 | | | 5,497,248 | | | | 6,054,528 | |
Fannie Mae Pool AL9722 | | | | | |
4.50% | | 08/01/46 | | | 107,484,484 | | | | 119,593,887 | |
Fannie Mae Pool AL9846 | | | | | |
4.50% | | 02/01/47 | | | 111,752,907 | | | | 124,343,198 | |
Fannie Mae Pool AM4869 | | | | | |
4.07% | | 12/01/25 | | | 1,731,274 | | | | 1,923,734 | |
Fannie Mae Pool AM6770 | | | | | |
3.77% | | 09/01/29 | | | 159,725 | | | | 181,118 | |
Fannie Mae Pool AN4429 | | | | | |
3.22% | | 01/01/27 | | | 23,130,000 | | | | 25,396,998 | |
Fannie Mae Pool AN7981 | | | | | |
2.95% | | 01/01/28 | | | 100,000 | | | | 108,883 | |
Fannie Mae Pool AN9814 | | | | | |
3.63% | | 08/01/28 | | | 129,464,216 | | | | 145,771,119 | |
Fannie Mae Pool AS8605 | | | | | |
3.00% | | 01/01/32 | | | 166,334 | | | | 177,108 | |
Fannie Mae Pool AS8663 | | | | | |
4.50% | | 01/01/47 | | | 21,792,033 | | | | 23,871,689 | |
Fannie Mae Pool AS9830 | | | | | |
4.00% | | 06/01/47 | | | 40,099,348 | | | | 43,218,364 | |
Fannie Mae Pool AS9972 | | | | | |
4.00% | | 07/01/47 | | | 35,681,864 | | | | 38,457,278 | |
Fannie Mae Pool AT9649 | | | | | |
4.00% | | 07/01/43 | | | 166,667 | | | | 187,845 | |
Fannie Mae Pool AU3739 | | | | | |
3.50% | | 08/01/43 | | | 28,281,283 | | | | 31,316,726 | |
Fannie Mae Pool BD2450 | | | | | |
3.50% | | 01/01/47 | | | 59,044 | | | | 62,972 | |
Fannie Mae Pool BL6060 | | | | | |
2.46% | | 04/01/40 | | | 126,370,000 | | | | 130,151,899 | |
Fannie Mae Pool BM4299 | | | | | |
3.00% | | 03/01/30 | | | 32,815,512 | | | | 34,526,412 | |
Fannie Mae Pool BM4304 | | | | | |
3.00% | | 02/01/30 | | | 44,011,302 | | | | 46,286,862 | |
Fannie Mae Pool BM5164 | | | | | |
4.00% | | 11/01/48 | | | 43,362,397 | | | | 47,425,820 | |
Fannie Mae Pool BM5507 | | | | | |
3.00% | | 09/01/48 | | | 7,663,307 | | | | 8,105,323 | |
Fannie Mae Pool BN4316 | | | | | |
4.00% | | 01/01/49 | | | 26,740 | | | | 28,905 | |
Fannie Mae Pool CA0862 | | | | | |
3.50% | | 09/01/47 | | | 3,327,071 | | | | 3,535,939 | |
Fannie Mae Pool CA0996 | | | | | |
3.50% | | 01/01/48 | | | 42,677 | | | | 46,108 | |
Fannie Mae Pool CA1187 | | | | | |
3.50% | | 02/01/48 | | | 56,736,277 | | | | 60,379,896 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 178 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool CA1191 | |
3.50% | | 11/01/47 | | $ | 3,906,315 | | | $ | 4,146,664 | |
Fannie Mae Pool CA1710 | |
4.50% | | 05/01/48 | | | 135,218 | | | | 146,635 | |
Fannie Mae Pool CA1711 | |
4.50% | | 05/01/48 | | | 13,043,388 | | | | 14,150,576 | |
Fannie Mae Pool CA2208 | |
4.50% | | 08/01/48 | | | 31,581,963 | | | | 34,265,964 | |
Fannie Mae Pool CA2327 | |
4.00% | | 09/01/48 | | | 33,447,615 | | | | 36,851,429 | |
Fannie Mae Pool CA2493 | |
4.50% | | 10/01/48 | | | 8,151,494 | | | | 8,808,790 | |
Fannie Mae Pool CA3633 | |
3.50% | | 06/01/49 | | | 25,178,911 | | | | 27,238,207 | |
Fannie Mae Pool CA4011 | |
3.50% | | 08/01/49 | | | 27,482,271 | | | | 28,683,684 | |
Fannie Mae Pool CA5689 | |
3.00% | | 05/01/50 | | | 75,480,110 | | | | 80,305,659 | |
Fannie Mae Pool FM2310 | |
3.00% | | 01/01/48 | | | 11,937,395 | | | | 12,578,442 | |
Fannie Mae Pool FM2318 | |
3.50% | | 09/01/49 | | | 218,255,538 | | | | 235,896,107 | |
Fannie Mae Pool FM2388 | |
3.50% | | 04/01/48 | | | 20,804,100 | | | | 22,654,631 | |
Fannie Mae Pool MA1146 | |
4.00% | | 08/01/42 | | | 26,771,446 | | | | 29,453,260 | |
Fannie Mae Pool MA1177 | |
3.50% | | 09/01/42 | | | 33,943,182 | | | | 36,751,707 | |
Fannie Mae Pool MA1404 | |
3.50% | | 04/01/43 | | | 70,793 | | | | 76,603 | |
Fannie Mae Pool MA1432 | |
3.00% | | 05/01/33 | | | 54,726 | | | | 58,130 | |
Fannie Mae Pool MA1459 | |
3.00% | | 06/01/33 | | | 25,644 | | | | 27,239 | |
Fannie Mae Pool MA1527 | |
3.00% | | 08/01/33 | | | 37,439,224 | | | | 39,768,341 | |
Fannie Mae Pool MA1561 | |
3.00% | | 09/01/33 | | | 23,781,145 | | | | 25,260,584 | |
Fannie Mae Pool MA1582 | |
3.50% | | 09/01/43 | | | 11,957,436 | | | | 12,938,841 | |
Fannie Mae Pool MA1584 | |
3.50% | | 09/01/33 | | | 36,335,404 | | | | 39,135,491 | |
Fannie Mae Pool MA1608 | |
3.50% | | 10/01/33 | | | 25,768,126 | | | | 27,753,876 | |
Fannie Mae Pool MA1982 | |
3.50% | | 08/01/34 | | | 52,698 | | | | 56,272 | |
Fannie Mae Pool MA2895 | |
3.00% | | 02/01/47 | | | 53,749 | | | | 56,850 | |
Fannie Mae Pool MA2960 | |
4.00% | | 04/01/47 | | | 31,731,518 | | | | 34,345,246 | |
Fannie Mae Pool MA3027 | |
4.00% | | 06/01/47 | | | 22,998,617 | | | | 24,849,893 | |
Fannie Mae Pool MA3029 | |
3.00% | | 06/01/32 | | | 26,916,031 | | | | 28,424,559 | |
Fannie Mae Pool MA3060 | |
3.00% | | 07/01/32 | | | 11,779 | | | | 12,431 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool MA3120 | |
3.50% | | 09/01/47 | | $ | 1,690,632 | | | $ | 1,799,408 | |
Fannie Mae Pool MA3182 | |
3.50% | | 11/01/47 | | | 36,546,736 | | | | 38,914,082 | |
Fannie Mae Pool MA3210 | |
3.50% | | 12/01/47 | | | 63,325,649 | | | | 67,455,457 | |
Fannie Mae Pool MA3238 | |
3.50% | | 01/01/48 | | | 54,453,650 | | | | 57,782,827 | |
Fannie Mae Pool MA3276 | |
3.50% | | 02/01/48 | | | 21,730,442 | | | | 23,125,976 | |
Fannie Mae Pool MA3305 | |
3.50% | | 03/01/48 | | | 28,914,437 | | | | 30,763,068 | |
Fannie Mae Pool MA3332 | |
3.50% | | 04/01/48 | | | 79,525,746 | | | | 84,557,292 | |
Fannie Mae Pool MA3364 | |
3.50% | | 05/01/33 | | | 10,317,224 | | | | 11,058,798 | |
Fannie Mae Pool MA3537 | |
4.50% | | 12/01/48 | | | 19,033,981 | | | | 20,564,191 | |
Fannie Mae Pool MA3811 | |
3.00% | | 10/01/49 | | | 9,132,664 | | | | 9,350,701 | |
Fannie Mae Pool MA3846 | |
3.00% | | 11/01/49 | | | 54,141 | | | | 55,477 | |
Fannie Mae Pool MA3942 | |
3.00% | | 02/01/50 | | | 18,738,760 | | | | 19,374,592 | |
Fannie Mae Pool MA3997 | |
3.00% | | 04/01/50 | | | 21,563,745 | | | | 22,146,546 | |
Fannie Mae Pool MA4093 | |
2.00% | | 08/01/40 | | | 194,780,236 | | | | 198,944,883 | |
Fannie Mae Pool MA4128 | |
2.00% | | 09/01/40 | | | 161,387,166 | | | | 164,837,005 | |
Fannie Mae Pool MA4152 | |
2.00% | | 10/01/40 | | | 195,088,232 | | | | 199,262,390 | |
Fannie Mae Pool MA4176 | |
2.00% | | 11/01/40 | | | 48,749,269 | | | | 49,776,866 | |
Fannie Mae Pool MA4333 | |
2.00% | | 05/01/41 | | | 85,522,190 | | | | 87,400,194 | |
Fannie Mae REMICS, | |
Series 1992-123, Class Z | |
7.50% | | 07/25/22 | | | 98 | | | | 100 | |
Fannie Mae REMICS, | |
Series 1993-132, Class D (PO) | |
0.00% | | 10/25/2210 | | | 3,111 | | | | 3,107 | |
Fannie Mae REMICS, | |
Series 1993-29, Class PK | |
7.00% | | 03/25/23 | | | 330 | | | | 338 | |
Fannie Mae REMICS, | |
Series 1994-55, Class H | |
7.00% | | 03/25/24 | | | 3,169 | | | | 3,361 | |
Fannie Mae REMICS, | |
Series 1997-34, Class SA | |
| (Cost of Funds for the 11th District of San Francisco * 1.457, 37.68% Cap) | | | | | |
1.46% | | 10/25/232 | | | 803 | | | | 881 | |
Fannie Mae REMICS, | | | | | |
Series 1998-37, Class VZ | |
6.00% | | 06/17/28 | | | 1,880 | | | | 1,969 | |
|
| See accompanying Notes to Financial Statements. |
|
| 179 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, | | | | | |
Series 1999-11, Class Z | | | | | |
5.50% | | 03/25/29 | | $ | 19,245 | | | $ | 20,324 | |
Fannie Mae REMICS, | | | | | |
Series 2001-52, Class YZ | | | | | |
6.50% | | 10/25/31 | | | 84,299 | | | | 95,637 | |
Fannie Mae REMICS, | | | | | |
Series 2005-117, Class LC | | | | | |
5.50% | | 11/25/35 | | | 1,790,606 | | | | 1,836,824 | |
Fannie Mae REMICS, | | | | | |
Series 2005-122, Class SG (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | 11/25/352 | | | 35,099 | | | | 3,938 | |
Fannie Mae REMICS, | | | | | |
Series 2005-92, Class US (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) | | | | | |
6.01% | | 10/25/252 | | | 1,933,097 | | | | 140,648 | |
Fannie Mae REMICS, | | | | | |
Series 2006-4, Class WE | | | | | |
4.50% | | 02/25/36 | | | 33,594 | | | | 37,088 | |
Fannie Mae REMICS, | | | | | |
Series 2006-49, Class SE | | | | | |
| (-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap) | | | | | |
28.66% | | 04/25/362 | | | 1,149,778 | | | | 1,791,868 | |
Fannie Mae REMICS, | | | | | |
Series 2007-17, Class SI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | | | | | |
6.31% | | 03/25/372 | | | 1,062,063 | | | | 163,112 | |
Fannie Mae REMICS, | | | | | |
Series 2007-34, Class SB (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap) | | | | | |
6.02% | | 04/25/372 | | | 2,199,384 | | | | 413,636 | |
Fannie Mae REMICS, | | | | | |
Series 2007-64, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.47%) | | | | | |
0.56% | | 07/25/372 | | | 3,271 | | | | 3,312 | |
Fannie Mae REMICS, | | | | | |
Series 2008-24, Class NA | | | | | |
6.75% | | 06/25/37 | | | 241,294 | | | | 273,510 | |
Fannie Mae REMICS, | | | | | |
Series 2010-116, Class SE (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | 10/25/402 | | | 2,752,212 | | | | 528,606 | |
Fannie Mae REMICS, | | | | | |
Series 2010-135, Class EA | | | | | |
3.00% | | 01/25/40 | | | 996 | | | | 999 | |
Fannie Mae REMICS, | | | | | |
Series 2010-17, Class SB (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) | | | | | |
6.26% | | 03/25/402 | | | 5,632,038 | | | | 985,982 | |
Fannie Mae REMICS, | | | | | |
Series 2010-43, Class KS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
6.33% | | 05/25/402 | | | 9,908,828 | | | | 2,012,795 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2011-101, Class HE | | | | | |
4.00% | | 10/25/41 | | $ | 10,100,000 | | | $ | 11,115,516 | |
Fannie Mae REMICS, | | | | | |
Series 2011-111, Class DB | | | | | |
4.00% | | 11/25/41 | | | 10,652,217 | | | | 11,631,285 | |
Fannie Mae REMICS, | | | | | |
Series 2012-84, Class VZ | | | | | |
3.50% | | 08/25/42 | | | 9,648,986 | | | | 10,293,957 | |
Fannie Mae REMICS, | | | | | |
Series 2013-101, Class BO (PO) | | | | | |
0.00% | | 10/25/4310 | | | 13,014,023 | | | | 11,607,674 | |
Fannie Mae REMICS, | | | | | |
Series 2013-101, Class CO (PO) | | | | | |
0.00% | | 10/25/4310 | | | 7,860,882 | | | | 7,047,909 | |
Fannie Mae REMICS, | | | | | |
Series 2016-45, Class AF | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 07/25/462 | | | 9,460,089 | | | | 9,586,594 | |
Fannie Mae REMICS, | | | | | |
Series 2016-72, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 10/25/462 | | | 20,022,984 | | | | 20,299,319 | |
Fannie Mae REMICS, | | | | | |
Series 2016-74, Class GF | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 10/25/462 | | | 15,412,090 | | | | 15,535,836 | |
Fannie Mae REMICS, | | | | | |
Series 2016-75, Class FL | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
0.59% | | 10/25/462 | | | 15,084,207 | | | | 15,205,024 | |
Fannie Mae REMICS, | | | | | |
Series 2018-29, Class AP | | | | | |
3.50% | | 11/25/46 | | | 64,874,568 | | | | 67,003,414 | |
Fannie Mae REMICS, | | | | | |
Series 2018-38, Class LA | | | | | |
3.00% | | 06/25/48 | | | 22,364,245 | | | | 23,293,460 | |
Fannie Mae REMICS, | | | | | |
Series 2018-38, Class PA | | | | | |
3.50% | | 06/25/47 | | | 38,534 | | | | 40,128 | |
Fannie Mae REMICS, | | | | | |
Series 2018-45, Class GA | | | | | |
3.00% | | 06/25/48 | | | 25,264,272 | | | | 26,571,683 | |
Fannie Mae REMICS, | | | | | |
Series 2018-55, Class PA | | | | | |
3.50% | | 01/25/47 | | | 20,420,538 | | | | 21,132,073 | |
Fannie Mae REMICS, | | | | | |
Series 2018-57, Class QA | | | | | |
3.50% | | 05/25/46 | | | 68,241 | | | | 70,218 | |
Fannie Mae REMICS, | | | | | |
Series 2018-86, Class JA | | | | | |
4.00% | | 05/25/47 | | | 1,645,296 | | | | 1,698,647 | |
Fannie Mae REMICS, | | | | | |
Series 2018-94, Class KD | | | | | |
3.50% | | 12/25/48 | | | 7,288,818 | | | | 7,581,262 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 180 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2019-1, Class AB | |
3.50% | | 02/25/49 | | $ | 1,998,169 | | | $ | 2,120,176 | |
Fannie Mae REMICS, | |
Series 2019-1, Class KP | |
3.25% | | 02/25/49 | | | 2,922,903 | | | | 3,033,182 | |
Fannie Mae REMICS, | |
Series 2019-26, Class JE | |
3.00% | | 06/25/49 | | | 7,065,567 | | | | 7,364,833 | |
Fannie Mae REMICS, | |
Series 2019-45, Class PA | |
3.00% | | 08/25/49 | | | 27,196,120 | | | | 28,460,620 | |
Fannie Mae REMICS, | |
Series 2019-52, Class PA | |
3.00% | | 09/25/49 | | | 8,510,434 | | | | 8,799,937 | |
Fannie Mae REMICS, | |
Series 2019-67, Class FE | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | 11/25/492 | | | 39,288,107 | | | | 39,695,629 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 01/25/502 | | | 107,292 | | | | 108,149 | |
Fannie Mae REMICS, | |
Series G92-36, Class Z | |
7.00% | | 07/25/22 | | | 2 | | | | 2 | |
Fannie Mae REMICS, | |
Series G93-21, Class Z | |
7.20% | | 05/25/23 | | | 519 | | | | 537 | |
Fannie Mae Trust, | |
Series 2003-W2, Class 2A9 | |
5.90% | | 07/25/42 | | | 20,620 | | | | 23,665 | |
Freddie Mac Gold Pool A24156 | |
6.50% | | 10/01/31 | | | 92,789 | | | | 104,358 | |
Freddie Mac Gold Pool A25162 | |
5.50% | | 05/01/34 | | | 1,075,456 | | | | 1,231,127 | |
Freddie Mac Gold Pool A39012 | |
5.50% | | 06/01/35 | | | 28,543 | | | | 32,874 | |
Freddie Mac Gold Pool A54856 | |
5.00% | | 01/01/34 | | | 2,430,165 | | | | 2,753,671 | |
Freddie Mac Gold Pool A61164 | |
5.00% | | 04/01/36 | | | 7,998 | | | | 8,946 | |
Freddie Mac Gold Pool A97038 | |
4.00% | | 02/01/41 | | | 7,817,429 | | | | 8,512,292 | |
Freddie Mac Gold Pool C01492 | |
5.00% | | 02/01/33 | | | 353,498 | | | | 394,412 | |
Freddie Mac Gold Pool C04546 | |
3.00% | | 02/01/43 | | | 13,630,408 | | | | 14,717,322 | |
Freddie Mac Gold Pool C04573 | |
3.00% | | 03/01/43 | | | 17,294,021 | | | | 18,705,606 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | 09/01/29 | | | 8,312 | | | | 9,348 | |
Freddie Mac Gold Pool C55789 | |
7.50% | | 10/01/27 | | | 4,141 | | | | 4,504 | |
Freddie Mac Gold Pool C90573 | |
6.50% | | 08/01/22 | | | 5,857 | | | | 5,976 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool E02402 | |
6.00% | | 10/01/22 | | $ | 1,457 | | | $ | 1,481 | |
Freddie Mac Gold Pool G00992 | |
7.00% | | 11/01/28 | | | 444 | | | | 501 | |
Freddie Mac Gold Pool G01515 | |
5.00% | | 02/01/33 | | | 374,093 | | | | 416,863 | |
Freddie Mac Gold Pool G02579 | |
5.00% | | 12/01/34 | | | 594,550 | | | | 678,439 | |
Freddie Mac Gold Pool G02884 | |
6.00% | | 04/01/37 | | | 1,618,691 | | | | 1,885,857 | |
Freddie Mac Gold Pool G02955 | |
5.50% | | 03/01/37 | | | 2,394,627 | | | | 2,754,299 | |
Freddie Mac Gold Pool G03357 | |
5.50% | | 08/01/37 | | | 855,279 | | | | 992,021 | |
Freddie Mac Gold Pool G03676 | |
5.50% | | 12/01/37 | | | 1,585,056 | | | | 1,829,482 | |
Freddie Mac Gold Pool G03783 | |
5.50% | | 01/01/38 | | | 1,155,642 | | | | 1,334,118 | |
Freddie Mac Gold Pool G03985 | |
6.00% | | 03/01/38 | | | 12,783 | | | | 15,085 | |
Freddie Mac Gold Pool G04438 | |
5.50% | | 05/01/38 | | | 3,560,671 | | | | 4,114,632 | |
Freddie Mac Gold Pool G04703 | |
5.50% | | 08/01/38 | | | 2,691,701 | | | | 3,106,843 | |
Freddie Mac Gold Pool G04706 | |
5.50% | | 09/01/38 | | | 116,277 | | | | 134,461 | |
Freddie Mac Gold Pool G05866 | |
4.50% | | 02/01/40 | | | 11,414,532 | | | | 12,949,731 | |
Freddie Mac Gold Pool G06361 | |
4.00% | | 03/01/41 | | | 15,714 | | | | 17,718 | |
Freddie Mac Gold Pool G06498 | |
4.00% | | 04/01/41 | | | 15,103,831 | | | | 16,882,368 | |
Freddie Mac Gold Pool G06499 | |
4.00% | | 03/01/41 | | | 6,680,097 | | | | 7,406,689 | |
Freddie Mac Gold Pool G07408 | |
3.50% | | 06/01/43 | | | 15,823,315 | | | | 17,523,145 | |
Freddie Mac Gold Pool G07786 | |
4.00% | | 08/01/44 | | | 126,534,714 | | | | 141,402,900 | |
Freddie Mac Gold Pool G07848 | |
3.50% | | 04/01/44 | | | 76,258,767 | | | | 83,709,630 | |
Freddie Mac Gold Pool G07849 | |
3.50% | | 05/01/44 | | | 10,100,546 | | | | 11,023,897 | |
Freddie Mac Gold Pool G07924 | |
3.50% | | 01/01/45 | | | 11,767,643 | | | | 12,817,651 | |
Freddie Mac Gold Pool G07925 | |
4.00% | | 02/01/45 | | | 8,328,376 | | | | 9,250,254 | |
Freddie Mac Gold Pool G08676 | |
3.50% | | 11/01/45 | | | 30,057,436 | | | | 32,264,069 | |
Freddie Mac Gold Pool G08681 | |
3.50% | | 12/01/45 | | | 20,074,713 | | | | 21,548,475 | |
Freddie Mac Gold Pool G08698 | |
3.50% | | 03/01/46 | | | 1,037 | | | | 1,112 | |
Freddie Mac Gold Pool G08710 | |
3.00% | | 06/01/46 | | | 116,119,425 | | | | 122,856,482 | |
Freddie Mac Gold Pool G08711 | |
3.50% | | 06/01/46 | | | 8,699,598 | | | | 9,272,176 | |
|
| See accompanying Notes to Financial Statements. |
|
| 181 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool G08715 | |
3.00% | | | 08/01/46 | | | $ | 156,564,741 | | | $ | 165,648,369 | |
Freddie Mac Gold Pool G08721 | |
3.00% | | | 09/01/46 | | | | 15,989,694 | | | | 16,917,389 | |
Freddie Mac Gold Pool G08722 | |
3.50% | | | 09/01/46 | | | | 39,050,039 | | | | 41,620,180 | |
Freddie Mac Gold Pool G08726 | |
3.00% | | | 10/01/46 | | | | 171,315,049 | | | | 181,254,465 | |
Freddie Mac Gold Pool G08727 | |
3.50% | | | 10/01/46 | | | | 34,513,955 | | | | 36,785,546 | |
Freddie Mac Gold Pool G08732 | |
3.00% | | | 11/01/46 | | | | 105,227,163 | | | | 111,332,269 | |
Freddie Mac Gold Pool G08741 | |
3.00% | | | 01/01/47 | | | | 65,616,543 | | | | 69,423,506 | |
Freddie Mac Gold Pool G08742 | |
3.50% | | | 01/01/47 | | | | 53,495,511 | | | | 57,014,315 | |
Freddie Mac Gold Pool G08747 | |
3.00% | | | 02/01/47 | | | | 22,860,450 | | | | 24,186,776 | |
Freddie Mac Gold Pool G08757 | |
3.50% | | | 04/01/47 | | | | 19,926,694 | | | | 21,329,539 | |
Freddie Mac Gold Pool G08758 | |
4.00% | | | 04/01/47 | | | | 15,594 | | | | 16,870 | |
Freddie Mac Gold Pool G08762 | |
4.00% | | | 05/01/47 | | | | 16,060,029 | | | | 17,364,300 | |
Freddie Mac Gold Pool G08779 | |
3.50% | | | 09/01/47 | | | | 78,388 | | | | 83,058 | |
Freddie Mac Gold Pool G08784 | |
3.50% | | | 10/01/47 | | | | 67,871 | | | | 72,243 | |
Freddie Mac Gold Pool G08792 | |
3.50% | | | 12/01/47 | | | | 58,889 | | | | 62,681 | |
Freddie Mac Gold Pool G08826 | |
5.00% | | | 06/01/48 | | | | 14,921,210 | | | | 16,371,069 | |
Freddie Mac Gold Pool G08833 | |
5.00% | | | 07/01/48 | | | | 8,150,204 | | | | 8,942,141 | |
Freddie Mac Gold Pool G08838 | |
5.00% | | | 09/01/48 | | | | 4,460,022 | | | | 4,919,223 | |
Freddie Mac Gold Pool G08840 | |
5.00% | | | 08/01/48 | | | | 1,269,099 | | | | 1,396,246 | |
Freddie Mac Gold Pool G08843 | |
4.50% | | | 10/01/48 | | | | 9,571,720 | | | | 10,350,885 | |
Freddie Mac Gold Pool G08844 | |
5.00% | | | 10/01/48 | | | | 11,475,371 | | | | 12,590,406 | |
Freddie Mac Gold Pool G08848 | |
4.50% | | | 11/01/48 | | | | 1,802,624 | | | | 1,953,795 | |
Freddie Mac Gold Pool G08849 | |
5.00% | | | 11/01/48 | | | | 4,632,880 | | | | 5,108,927 | |
Freddie Mac Gold Pool G12824 | |
6.00% | | | 08/01/22 | | | | 79,391 | | | | 80,584 | |
Freddie Mac Gold Pool G12909 | |
6.00% | | | 11/01/22 | | | | 285,460 | | | | 291,466 | |
Freddie Mac Gold Pool G13032 | |
6.00% | | | 09/01/22 | | | | 2,043 | | | | 2,065 | |
Freddie Mac Gold Pool G16085 | |
2.50% | | | 02/01/32 | | | | 3,512,954 | | | | 3,697,332 | |
Freddie Mac Gold Pool G16502 | |
3.50% | | | 05/01/33 | | | | 69,254 | | | | 74,249 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool G16524 | |
3.50% | | | 05/01/33 | | | $ | 26,862,379 | | | $ | 28,835,710 | |
Freddie Mac Gold Pool G16584 | |
3.50% | | | 08/01/33 | | | | 3,966,267 | | | | 4,238,291 | |
Freddie Mac Gold Pool G16607 | |
3.50% | | | 09/01/33 | | | | 40,533,128 | | | | 43,526,549 | |
Freddie Mac Gold Pool G16623 | |
2.50% | | | 09/01/32 | | | | 28,304,620 | | | | 29,649,417 | |
Freddie Mac Gold Pool G16755 | |
3.50% | | | 02/01/34 | | | | 36,750,321 | | | | 39,447,367 | |
Freddie Mac Gold Pool G16756 | |
3.50% | | | 01/01/34 | | | | 3,557,966 | | | | 3,820,726 | |
Freddie Mac Gold Pool G18592 | |
3.00% | | | 03/01/31 | | | | 26,472 | | | | 27,980 | |
Freddie Mac Gold Pool G18596 | |
3.00% | | | 04/01/31 | | | | 30,533,846 | | | | 32,284,279 | |
Freddie Mac Gold Pool G18691 | |
3.00% | | | 06/01/33 | | | | 11,031,128 | | | | 11,631,587 | |
Freddie Mac Gold Pool G18692 | |
3.50% | | | 06/01/33 | | | | 15,692,085 | | | | 16,803,050 | |
Freddie Mac Gold Pool G18713 | |
3.50% | | | 11/01/33 | | | | 18,467,326 | | | | 19,733,751 | |
Freddie Mac Gold Pool G18716 | |
3.50% | | | 12/01/33 | | | | 56,085 | | | | 59,931 | |
Freddie Mac Gold Pool G60023 | |
3.50% | | | 04/01/45 | | | | 12,606,816 | | | | 13,830,686 | |
Freddie Mac Gold Pool G60080 | |
3.50% | | | 06/01/45 | | | | 129,162,612 | | | | 140,566,495 | |
Freddie Mac Gold Pool G60138 | |
3.50% | | | 08/01/45 | | | | 101,468,934 | | | | 111,319,539 | |
Freddie Mac Gold Pool G60238 | |
3.50% | | | 10/01/45 | | | | 39,816,256 | | | | 43,306,784 | |
Freddie Mac Gold Pool G60344 | |
4.00% | | | 12/01/45 | | | | 98,744 | | | | 108,767 | |
Freddie Mac Gold Pool G67700 | |
3.50% | | | 08/01/46 | | | | 30,146,643 | | | | 32,751,792 | |
Freddie Mac Gold Pool G67703 | |
3.50% | | | 04/01/47 | | | | 306,736,393 | | | | 333,243,295 | |
Freddie Mac Gold Pool G67706 | |
3.50% | | | 12/01/47 | | | | 155,859,019 | | | | 169,279,010 | |
Freddie Mac Gold Pool G67707 | |
3.50% | | | 01/01/48 | | | | 389,319,349 | | | | 426,297,384 | |
Freddie Mac Gold Pool G67708 | |
3.50% | | | 03/01/48 | | | | 358,476,219 | | | | 387,239,189 | |
Freddie Mac Gold Pool G67709 | |
3.50% | | | 03/01/48 | | | | 264,447,015 | | | | 286,840,949 | |
Freddie Mac Gold Pool G67710 | |
3.50% | | | 03/01/48 | | | | 226,457,276 | | | | 243,599,979 | |
Freddie Mac Gold Pool G67711 | |
4.00% | | | 03/01/48 | | | | 68,378,585 | | | | 75,252,063 | |
Freddie Mac Gold Pool G67713 | |
4.00% | | | 06/01/48 | | | | 618,100 | | | | 678,349 | |
Freddie Mac Gold Pool G67714 | |
4.00% | | | 07/01/48 | | | | 101,981 | | | | 111,865 | |
Freddie Mac Gold Pool G67717 | |
4.00% | | | 11/01/48 | | | | 83,695,274 | | | | 91,807,321 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 182 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac Gold Pool H00790 | | | | | |
5.50% | | 05/01/37 | | $ | 4,315 | | | $ | 4,924 | |
Freddie Mac Gold Pool H05069 | | | | | |
5.50% | | 05/01/37 | | | 124,799 | | | | 142,393 | |
Freddie Mac Gold Pool Q05804 | | | | | |
4.00% | | 01/01/42 | | | 27,388,441 | | | | 30,671,329 | |
Freddie Mac Gold Pool U99097 | | | | | |
3.50% | | 07/01/43 | | | 39,029,994 | | | | 42,329,060 | |
Freddie Mac Gold Pool V62078 | | | | | |
3.50% | | 08/01/33 | | | 4,039,101 | | | | 4,347,073 | |
Freddie Mac Gold Pool V62129 | | | | | |
3.50% | | 08/01/33 | | | 9,170,841 | | | | 9,848,909 | |
Freddie Mac Gold Pool V80356 | | | | | |
3.50% | | 08/01/43 | | | 26,774,483 | | | | 29,441,055 | |
Freddie Mac Pool RB5077 | | | | | |
2.00% | | 10/01/40 | | | 117,359,356 | | | | 119,872,646 | |
Freddie Mac Pool RE6029 | | | | | |
3.00% | | 02/01/50 | | | 6,253,058 | | | | 6,465,232 | |
Freddie Mac Pool SD7502 | | | | | |
3.50% | | 07/01/49 | | | 10,322,346 | | | | 11,056,978 | |
Freddie Mac Pool SD7503 | | | | | |
3.50% | | 08/01/49 | | | 22,775,602 | | | | 24,602,212 | |
Freddie Mac Pool SD7511 | | | | | |
3.50% | | 01/01/50 | | | 23,009,667 | | | | 24,869,431 | |
Freddie Mac Pool ZA5103 | | | | | |
3.50% | | 12/01/47 | | | 207,100 | | | | 220,410 | |
Freddie Mac Pool ZA5128 | | | | | |
3.50% | | 12/01/47 | | | 536,947 | | | | 569,984 | |
Freddie Mac Pool ZM1779 | | | | | |
3.00% | | 09/01/46 | | | 17,353,754 | | | | 18,354,385 | |
Freddie Mac Pool ZM2285 | | | | | |
3.00% | | 12/01/46 | | | 20,026,287 | | | | 21,181,019 | |
Freddie Mac Pool ZS4693 | | | | | |
3.00% | | 12/01/46 | | | 19,957,805 | | | | 21,108,588 | |
Freddie Mac Pool ZS4768 | | | | | |
3.50% | | 05/01/48 | | | 1,527,080 | | | | 1,620,442 | |
Freddie Mac Pool ZT0277 | | | | | |
3.50% | | 10/01/46 | | | 2,251,179 | | | | 2,421,700 | |
Freddie Mac Pool ZT1403 | | | | | |
3.50% | | 11/01/33 | | | 22,144,214 | | | | 23,666,230 | |
Freddie Mac REMICS, | | | | | |
Series 1980, Class Z | | | | | |
7.00% | | 07/15/27 | | | 44,142 | | | | 49,823 | |
Freddie Mac REMICS, | | | | | |
Series 1983, Class Z | | | | | |
6.50% | | 12/15/23 | | | 10,905 | | | | 11,502 | |
Freddie Mac REMICS, | | | | | |
Series 2098, Class TZ | | | | | |
6.00% | | 01/15/28 | | | 189,319 | | | | 208,292 | |
Freddie Mac REMICS, | | | | | |
Series 2174, Class PN | | | | | |
6.00% | | 07/15/29 | | | 10,564 | | | | 11,808 | |
Freddie Mac REMICS, | | | | | |
Series 2313, Class LA | | | | | |
6.50% | | 05/15/31 | | | 4,927 | | | | 5,602 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac REMICS, | | | | | |
Series 2433, Class SA | | | | | |
| (-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap) | | | | | |
20.71% | | 02/15/322 | | $ | 6,029 | | | $ | 9,175 | |
Freddie Mac REMICS, | | | | | |
Series 2481, Class AW | | | | | |
6.50% | | 08/15/32 | | | 18,608 | | | | 20,096 | |
Freddie Mac REMICS, | | | | | |
Series 3019, Class SW (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
7.12% | | 08/15/352 | | | 883,589 | | | | 209,657 | |
Freddie Mac REMICS, | | | | | |
Series 3063, Class YG | | | | | |
5.50% | | 11/15/35 | | | 2,327,829 | | | | 2,671,837 | |
Freddie Mac REMICS, | | | | | |
Series 3300, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
7.12% | | 08/15/352 | | | 390,654 | | | | 75,906 | |
Freddie Mac REMICS, | | | | | |
Series 3707, Class EI (IO) | | | | | |
5.00% | | 12/15/38 | | | 699,665 | | | | 3,935 | |
Freddie Mac REMICS, | | | | | |
Series 3752, Class XL | | | | | |
4.50% | | 11/15/40 | | | 38,967,493 | | | | 43,058,729 | |
Freddie Mac REMICS, | | | | | |
Series 3891, Class HS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap) | | | | | |
5.87% | | 07/15/412 | | | 4,515,670 | | | | 472,796 | |
Freddie Mac REMICS, | | | | | |
Series 3904, Class JB | | | | | |
4.50% | | 08/15/41 | | | 8,992,552 | | | | 10,055,661 | |
Freddie Mac REMICS, | | | | | |
Series 3925, Class LB | | | | | |
4.50% | | 09/15/41 | | | 9,215,000 | | | | 10,876,524 | |
Freddie Mac REMICS, | | | | | |
Series 3928, Class JD | | | | | |
4.00% | | 09/15/41 | | | 27,653,505 | | | | 30,165,602 | |
Freddie Mac REMICS, | | | | | |
Series 4102, Class TC | | | | | |
2.50% | | 09/15/41 | | | 9,795,767 | | | | 10,168,906 | |
Freddie Mac REMICS, | | | | | |
Series 4161, Class BA | | | | | |
2.50% | | 12/15/41 | | | 15,390,422 | | | | 15,978,962 | |
Freddie Mac REMICS, | | | | | |
Series 4656, Class EZ | | | | | |
4.00% | | 02/15/47 | | | 186,132 | | | | 211,624 | |
Freddie Mac REMICS, | | | | | |
Series 4818, Class CA | | | | | |
3.00% | | 04/15/48 | | | 1,868,100 | | | | 1,945,115 | |
Freddie Mac REMICS, | | | | | |
Series 4846, Class PA | | | | | |
4.00% | | 06/15/47 | | | 522,965 | | | | 544,339 | |
Freddie Mac REMICS, | | | | | |
Series 4852, Class CA | | | | | |
4.00% | | 11/15/47 | | | 20,330,920 | | | | 21,561,264 | |
|
| See accompanying Notes to Financial Statements. |
|
| 183 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 4860, Class BH | |
3.50% | | 10/15/48 | | $ | 5,548,230 | | | $ | 5,812,048 | |
Freddie Mac REMICS, | |
Series 4860, Class PA | |
3.50% | | 02/15/49 | | | 3,823,082 | | | | 3,999,656 | |
Freddie Mac REMICS, | |
Series 4879, Class BC | |
3.00% | | 04/15/49 | | | 1,312,543 | | | | 1,355,209 | |
Freddie Mac REMICS, | |
Series 4896, Class DA | |
3.00% | | 01/15/49 | | | 1,569,481 | | | | 1,666,036 | |
Freddie Mac REMICS, | |
Series 4937, Class MF | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | 12/25/492 | | | 8,357,822 | | | | 8,424,497 | |
Freddie Mac Strips, | |
Series 309, Class PO (PO) | |
0.00% | | 08/15/4310 | | | 17,231,962 | | | | 15,097,790 | |
Freddie Mac Strips, | |
Series 319, Class F2 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | 11/15/432 | | | 2,758,937 | | | | 2,794,013 | |
Ginnie Mae (TBA) | |
2.00% | | 11/20/51 | | | 863,100,000 | | | | 873,697,789 | |
2.50% | | 11/20/51 | | | 1,192,850,000 | | | | 1,229,321,890 | |
Ginnie Mae I Pool 782817 | |
4.50% | | 11/15/39 | | | 11,989,958 | | | | 13,634,988 | |
Ginnie Mae I Pool AA5452 | |
3.50% | | 07/15/42 | | | 107,204 | | | | 114,399 | |
Ginnie Mae II Pool 2631 | |
7.00% | | 08/20/28 | | | 1,180 | | | | 1,321 | |
Ginnie Mae II Pool 3388 | |
4.50% | | 05/20/33 | | | 2,968 | | | | 3,273 | |
Ginnie Mae II Pool 3427 | |
4.50% | | 08/20/33 | | | 1,113 | | | | 1,231 | |
Ginnie Mae II Pool 3554 | |
4.50% | | 05/20/34 | | | 1,075 | | | | 1,190 | |
Ginnie Mae II Pool 4058 | |
5.00% | | 12/20/37 | | | 604 | | | | 689 | |
Ginnie Mae II Pool 4342 | |
5.00% | | 01/20/39 | | | 874 | | | | 1,001 | |
Ginnie Mae II Pool 4520 | |
5.00% | | 08/20/39 | | | 16,466 | | | | 18,855 | |
Ginnie Mae II Pool 5140 | |
4.50% | | 08/20/41 | | | 34,967 | | | | 39,099 | |
Ginnie Mae II Pool 5175 | |
4.50% | | 09/20/41 | | | 37,964 | | | | 42,450 | |
Ginnie Mae II Pool 5281 | |
4.50% | | 01/20/42 | | | 11,142 | | | | 12,459 | |
Ginnie Mae II Pool 783591 | |
4.50% | | 07/20/41 | | | 13,705 | | | | 15,325 | |
Ginnie Mae II Pool 80968 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.25% | | 07/20/342 | | | 9,280 | | | | 9,619 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae II Pool 81267 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.00% | | 03/20/352 | | $ | 15,290 | | | $ | 15,471 | |
Ginnie Mae II Pool 81432 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.25% | | 08/20/352 | | | 17,435 | | | | 18,204 | |
Ginnie Mae II Pool 81497 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.13% | | 10/20/352 | | | 13,205 | | | | 13,791 | |
Ginnie Mae II Pool 8631 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.00% | | 05/20/252 | | | 2,162 | | | | 2,219 | |
Ginnie Mae II Pool 8644 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.50% | | 06/20/252 | | | 2,941 | | | | 2,973 | |
Ginnie Mae II Pool MA0627 | |
4.50% | | 12/20/42 | | | 42,375 | | | | 47,378 | |
Ginnie Mae II Pool MA0701 | |
4.50% | | 01/20/43 | | | 47,205 | | | | 52,450 | |
Ginnie Mae II Pool MA1157 | |
3.50% | | 07/20/43 | | | 41,866 | | | | 45,456 | |
Ginnie Mae II Pool MA1997 | |
4.50% | | 06/20/44 | | | 11,287 | | | | 12,622 | |
Ginnie Mae II Pool MA2374 | |
5.00% | | 11/20/44 | | | 262,749 | | | | 295,398 | |
Ginnie Mae II Pool MA2756 | |
4.50% | | 04/20/45 | | | 24,286 | | | | 27,080 | |
Ginnie Mae II Pool MA2828 | |
4.50% | | 05/20/45 | | | 1,039,928 | | | | 1,154,915 | |
Ginnie Mae II Pool MA2894 | |
4.50% | | 06/20/45 | | | 402,341 | | | | 447,319 | |
Ginnie Mae II Pool MA3036 | |
4.50% | | 08/20/45 | | | 40,678 | | | | 45,178 | |
Ginnie Mae II Pool MA3309 | |
3.00% | | 12/20/45 | | | 7,979 | | | | 8,439 | |
Ginnie Mae II Pool MA3456 | |
4.50% | | 02/20/46 | | | 274,239 | | | | 304,528 | |
Ginnie Mae II Pool MA3521 | |
3.50% | | 03/20/46 | | | 31,345,378 | | | | 33,405,080 | |
Ginnie Mae II Pool MA3524 | |
5.00% | | 03/20/46 | | | 12,459 | | | | 14,192 | |
Ginnie Mae II Pool MA3597 | |
3.50% | | 04/20/46 | | | 79,197,590 | | | | 84,253,160 | |
Ginnie Mae II Pool MA3600 | |
5.00% | | 04/20/46 | | | 7,609,306 | | | | 8,684,311 | |
Ginnie Mae II Pool MA3662 | |
3.00% | | 05/20/46 | | | 3,005,758 | | | | 3,165,522 | |
Ginnie Mae II Pool MA3663 | |
3.50% | | 05/20/46 | | | 22,733,101 | | | | 24,184,266 | |
Ginnie Mae II Pool MA3665 | |
4.50% | | 05/20/46 | | | 109,798 | | | | 121,549 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 184 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae II Pool MA3666 | |
5.00% | | 05/20/46 | | $ | 3,930,940 | | | $ | 4,468,715 | |
Ginnie Mae II Pool MA3738 | |
4.50% | | 06/20/46 | | | 459,829 | | | | 510,622 | |
Ginnie Mae II Pool MA3739 | |
5.00% | | 06/20/46 | | | 2,317,099 | | | | 2,637,194 | |
Ginnie Mae II Pool MA3805 | |
4.50% | | 07/20/46 | | | 4,061,023 | | | | 4,475,342 | |
Ginnie Mae II Pool MA3806 | |
5.00% | | 07/20/46 | | | 181,760 | | | | 206,748 | |
Ginnie Mae II Pool MA3873 | |
3.00% | | 08/20/46 | | | 23,344,530 | | | | 24,585,355 | |
Ginnie Mae II Pool MA3876 | |
4.50% | | 08/20/46 | | | 4,147,166 | | | | 4,605,265 | |
Ginnie Mae II Pool MA3877 | |
5.00% | | 08/20/46 | | | 894,074 | | | | 1,005,170 | |
Ginnie Mae II Pool MA3937 | |
3.50% | | 09/20/46 | | | 18,500,270 | | | | 19,681,233 | |
Ginnie Mae II Pool MA3939 | |
4.50% | | 09/20/46 | | | 2,116,326 | | | | 2,366,261 | |
Ginnie Mae II Pool MA4003 | |
3.00% | | 10/20/46 | | | 9,465,432 | | | | 9,968,545 | |
Ginnie Mae II Pool MA4006 | |
4.50% | | 10/20/46 | | | 2,506,228 | | | | 2,790,117 | |
Ginnie Mae II Pool MA4007 | |
5.00% | | 10/20/46 | | | 4,732,630 | | | | 5,327,322 | |
Ginnie Mae II Pool MA4069 | |
3.50% | | 11/20/46 | | | 57,881,107 | | | | 61,449,326 | |
Ginnie Mae II Pool MA4071 | |
4.50% | | 11/20/46 | | | 6,902,524 | | | | 7,699,280 | |
Ginnie Mae II Pool MA4072 | |
5.00% | | 11/20/46 | | | 1,347,167 | | | | 1,537,437 | |
Ginnie Mae II Pool MA4126 | |
3.00% | | 12/20/46 | | | 159,695,956 | | | | 168,184,227 | |
Ginnie Mae II Pool MA4127 | |
3.50% | | 12/20/46 | | | 63,296,363 | | | | 67,437,032 | |
Ginnie Mae II Pool MA4129 | |
4.50% | | 12/20/46 | | | 22,243,543 | | | | 24,825,472 | |
Ginnie Mae II Pool MA4196 | |
3.50% | | 01/20/47 | | | 14,940 | | | | 15,861 | |
Ginnie Mae II Pool MA4198 | |
4.50% | | 01/20/47 | | | 183,458 | | | | 199,882 | |
Ginnie Mae II Pool MA4199 | |
5.00% | | 01/20/47 | | | 3,965,801 | | | | 4,513,547 | |
Ginnie Mae II Pool MA4264 | |
4.50% | | 02/20/47 | | | 53,917,587 | | | | 58,609,674 | |
Ginnie Mae II Pool MA4265 | |
5.00% | | 02/20/47 | | | 957,902 | | | | 1,073,177 | |
Ginnie Mae II Pool MA4324 | |
5.00% | | 03/20/47 | | | 5,400,174 | | | | 6,188,261 | |
Ginnie Mae II Pool MA4382 | |
3.50% | | 04/20/47 | | | 36,817,217 | | | | 39,052,386 | |
Ginnie Mae II Pool MA4384 | |
4.50% | | 04/20/47 | | | 2,394,719 | | | | 2,598,625 | |
Ginnie Mae II Pool MA4385 | |
5.00% | | 04/20/47 | | | 9,803,550 | | | | 10,942,072 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae II Pool MA4453 | |
4.50% | | 05/20/47 | | $ | 126,556,967 | | | $ | 137,214,431 | |
Ginnie Mae II Pool MA4454 | |
5.00% | | 05/20/47 | | | 20,196,951 | | | | 22,137,947 | |
Ginnie Mae II Pool MA4510 | |
3.50% | | 06/20/47 | | | 51,394 | | | | 54,514 | |
Ginnie Mae II Pool MA4511 | |
4.00% | | 06/20/47 | | | 7,520,843 | | | | 8,069,209 | |
Ginnie Mae II Pool MA4512 | |
4.50% | | 06/20/47 | | | 438,408 | | | | 475,327 | |
Ginnie Mae II Pool MA4513 | |
5.00% | | 06/20/47 | | | 409,679 | | | | 450,959 | |
Ginnie Mae II Pool MA4586 | |
3.50% | | 07/20/47 | | | 61,246,614 | | | | 64,964,890 | |
Ginnie Mae II Pool MA4588 | |
4.50% | | 07/20/47 | | | 71,762 | | | | 77,738 | |
Ginnie Mae II Pool MA4589 | |
5.00% | | 07/20/47 | | | 19,253,896 | | | | 21,171,029 | |
Ginnie Mae II Pool MA4652 | |
3.50% | | 08/20/47 | | | 4,659,293 | | | | 4,940,702 | |
Ginnie Mae II Pool MA4655 | |
5.00% | | 08/20/47 | | | 22,704,327 | | | | 24,987,496 | |
Ginnie Mae II Pool MA4719 | |
3.50% | | 09/20/47 | | | 59,532,067 | | | | 63,127,649 | |
Ginnie Mae II Pool MA4720 | |
4.00% | | 09/20/47 | | | 151,715 | | | | 162,621 | |
Ginnie Mae II Pool MA4722 | |
5.00% | | 09/20/47 | | | 443,329 | | | | 486,918 | |
Ginnie Mae II Pool MA4781 | |
5.00% | | 10/20/47 | | | 5,460,671 | | | | 5,994,158 | |
Ginnie Mae II Pool MA4836 | |
3.00% | | 11/20/47 | | | 128,446,405 | | | | 135,148,289 | |
Ginnie Mae II Pool MA4837 | |
3.50% | | 11/20/47 | | | 146,691,284 | | | | 155,595,101 | |
Ginnie Mae II Pool MA4838 | |
4.00% | | 11/20/47 | | | 50,866,237 | | | | 54,521,131 | |
Ginnie Mae II Pool MA4840 | |
5.00% | | 11/20/47 | | | 1,614,028 | | | | 1,768,190 | |
Ginnie Mae II Pool MA4900 | |
3.50% | | 12/20/47 | | | 9,484,064 | | | | 10,059,724 | |
Ginnie Mae II Pool MA4901 | |
4.00% | | 12/20/47 | | | 33,736,344 | | | | 36,159,507 | |
Ginnie Mae II Pool MA4961 | |
3.00% | | 01/20/48 | | | 439,662 | | | | 462,042 | |
Ginnie Mae II Pool MA4963 | |
4.00% | | 01/20/48 | | | 56,846,247 | | | | 60,929,280 | |
Ginnie Mae II Pool MA5078 | |
4.00% | | 03/20/48 | | | 88,070 | | | | 94,394 | |
Ginnie Mae II Pool MA5137 | |
4.00% | | 04/20/48 | | | 19,045,898 | | | | 20,330,984 | |
Ginnie Mae II Pool MA5399 | |
4.50% | | 08/20/48 | | | 4,344,101 | | | | 4,656,415 | |
Ginnie Mae II Pool MA5466 | |
4.00% | | 09/20/48 | | | 7,446,646 | | | | 7,936,877 | |
Ginnie Mae II Pool MA5467 | |
4.50% | | 09/20/48 | | | 40,950 | | | | 43,826 | |
|
| See accompanying Notes to Financial Statements. |
|
| 185 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae II Pool MA5528 | | | | | |
4.00% | | 10/20/48 | | $ | 34,593,226 | | | $ | 36,859,775 | |
Ginnie Mae II Pool MA5530 | | | | | |
5.00% | | 10/20/48 | | | 7,007,840 | | | | 7,574,769 | |
Ginnie Mae II Pool MA5651 | | | | | |
4.00% | | 12/20/48 | | | 12,272 | | | | 13,110 | |
Ginnie Mae II Pool MA6030 | | | | | |
3.50% | | 07/20/49 | | | 17,420,091 | | | | 18,012,220 | |
Ginnie Mae II Pool MA6080 | | | | | |
3.00% | | 08/20/49 | | | 3,085 | | | | 3,181 | |
Ginnie Mae II Pool MA6081 | | | | | |
3.50% | | 08/20/49 | | | 6,717,016 | | | | 6,945,335 | |
Ginnie Mae II Pool MA6209 | | | | | |
3.00% | | 10/20/49 | | | 5,736,394 | | | | 5,897,419 | |
Ginnie Mae II Pool MA6210 | | | | | |
3.50% | | 10/20/49 | | | 3,379,309 | | | | 3,494,176 | |
Ginnie Mae, | | | | | |
Series 2003-86, Class ZK | | | | | |
5.00% | | 10/20/33 | | | 4,650,533 | | | | 5,175,869 | |
Ginnie Mae, | | | | | |
Series 2007-35, Class PY (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap) | | | | | |
6.67% | | 06/16/372 | | | 8,555,407 | | | | 1,671,859 | |
Ginnie Mae, | | | | | |
Series 2009-106, Class SD (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap) | | | | | |
6.16% | | 03/20/362 | | | 7,562,937 | | | | 861,908 | |
Ginnie Mae, | | | | | |
Series 2009-106, Class XI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
6.71% | | 05/20/372 | | | 18,799,716 | | | | 2,618,030 | |
Ginnie Mae, | | | | | |
Series 2009-124, Class SC (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap) | | | | | |
6.39% | | 12/20/392 | | | 2,975,262 | | | | 613,327 | |
Ginnie Mae, | | | | | |
Series 2009-66, Class XS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
6.72% | | 07/16/392 | | | 23,966 | | | | 3,001 | |
Ginnie Mae, | | | | | |
Series 2009-8, Class PS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap) | | | | | |
6.22% | | 08/16/382 | | | 34,357 | | | | 2,555 | |
Ginnie Mae, | | | | | |
Series 2010-4, Class SL (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | | | | | |
6.32% | | 01/16/402 | | | 38,445 | | | | 8,080 | |
Ginnie Mae, | | | | | |
Series 2010-4, Class SM (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap) | | | | | |
5.72% | | 01/16/402 | | | 6,989,923 | | | | 1,288,203 | |
Ginnie Mae, | | | | | |
Series 2010-6, Class BS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap) | | | | | |
6.42% | | 09/16/392 | | | 1,085,300 | | | | 65,328 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae, | | | | | |
Series 2011-146, Class EI (IO) | | | | | |
5.00% | | 11/16/41 | | $ | 93,899 | | | $ | 16,924 | |
Ginnie Mae, | | | | | |
Series 2014-108, Class PA | | | | | |
2.63% | | 12/20/39 | | | 7,881,991 | | | | 8,144,301 | |
Ginnie Mae, | | | | | |
Series 2018-124, Class NW | | | | | |
3.50% | | 09/20/48 | | | 1,078,202 | | | | 1,157,586 | |
Ginnie Mae, | | | | | |
Series 2019-1, Class NP | | | | | |
3.50% | | 01/20/49 | | | 13,476,118 | | | | 14,254,698 | |
Ginnie Mae, | | | | | |
Series 2019-119, Class JE | | | | | |
3.00% | | 09/20/49 | | | 9,557,963 | | | | 9,905,633 | |
Ginnie Mae, | | | | | |
Series 2019-15, Class GT | | | | | |
3.50% | | 02/20/49 | | | 12,724,176 | | | | 13,603,779 | |
Ginnie Mae, | | | | | |
Series 2019-44, Class CA | | | | | |
3.50% | | 12/20/48 | | | 3,227,986 | | | | 3,333,219 | |
Ginnie Mae, | | | | | |
Series 2019-71, Class PT | | | | | |
3.00% | | 06/20/49 | | | 1,907,116 | | | | 1,971,804 | |
Ginnie Mae, | | | | | |
Series 2019-86, Class C | | | | | |
2.50% | | 03/20/49 | | | 16,391,047 | | | | 17,001,246 | |
Ginnie Mae, | | | | | |
Series 2019-90, Class HE | | | | | |
3.00% | | 07/20/49 | | | 13,291,792 | | | | 13,835,742 | |
| | | | | | | | | | | |
UMBS (TBA) | | | | | |
1.50% | | 11/01/36 | | | 1,096,500,000 | | | | 1,105,382,790 | |
2.00% | | 11/01/36 | | | 1,505,125,000 | | | | 1,548,162,153 | |
2.00% | | 11/01/51 | | | 7,205,750,000 | | | | 7,210,932,592 | |
2.50% | | 11/01/51 | | | 6,446,475,000 | | | | 6,633,564,855 | |
| | | | | | | | | | |
| | | | | | | | | 28,321,421,017 | |
| | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $33,593,717,334) | | | | 33,909,271,245 | |
| | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.62%* | | | | | |
| |
California — 0.27% | | | | | |
| | | | | | | | | | | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.14% | | 11/01/33 | | | 14,500,000 | | | | 14,303,078 | |
2.27% | | 11/01/34 | | | 23,510,000 | | | | 23,683,457 | |
| | | | | | | | | | | |
| City of San Francisco Public Utilities Commission Water | | | | | |
Revenue Bonds, Series E | | | | | |
2.83% | | 11/01/41 | | | 16,975,000 | | | | 17,303,127 | |
| | | | | | | | | | | |
| Los Angeles Department of Airports Revenue Bonds, Port, | | | | | |
| Airport and Marina Improvements, Series A | | | | | |
5.00% | | 05/15/44 | | | 185,000 | | | | 226,256 | |
| | | | | | | | | | | |
| Los Angeles Department of Water & Power Power System | | | | | |
| Revenue Bonds, Electric Light & Power Improvements, | | | | | |
Series C | | | | | |
5.52% | | 07/01/27 | | | 12,625,000 | | | | 15,464,717 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 186 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
| |
MUNICIPAL BONDS (continued) | | | | | |
| |
California (continued) | | | | | |
| Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY | | | | | |
6.01% | | 07/01/39 | | $ | 350,000 | | | $ | 466,045 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR | | | | | |
5.75% | | 07/01/34 | | | 10,755,000 | | | | 14,243,786 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY | | | | | |
6.76% | | 07/01/34 | | | 12,165,000 | | | | 17,205,529 | |
| Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N | | | | | |
3.01% | | 05/15/50 | | | 62,945,000 | | | | 63,569,412 | |
3.26% | | 05/15/60 | | | 34,700,000 | | | | 37,417,011 | |
| University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP | | | | | |
3.93% | | 05/15/45 | | | 30,115,000 | | | | 34,459,125 | |
| | | | | | | | | | |
| | | | | | | | | 238,341,543 | |
| | | | | | | | | | |
| |
Colorado — 0.04% | | | | | |
| City & County of Denver Airport System Revenue Bonds, Series C | | | | | |
2.39% | | 11/15/31 | | | 6,010,000 | | | | 6,179,557 | |
2.52% | | 11/15/32 | | | 8,450,000 | | | | 8,715,542 | |
2.62% | | 11/15/33 | | | 9,000,000 | | | | 9,324,197 | |
2.72% | | 11/15/34 | | | 5,000,000 | | | | 5,199,806 | |
| | | | | | | | | | |
| | | | | | | | | 29,419,102 | |
| | | | | | | | | | |
| |
Florida — 0.00% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series E | | | | | |
2.53% | | 10/01/30 | | | 2,160,000 | | | | 2,218,019 | |
| | | | | | | | | | |
| |
| New Jersey — 0.00% | | | | | |
| Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B | | | | | |
5.47% | | 05/15/27 | | | 350,000 | | | | 392,734 | |
| New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F | | | | | |
3.73% | | 01/01/36 | | | 300,000 | | | | 344,490 | |
| | | | | | | | | | |
| | | | | | | | | 737,224 | |
| | | | | | | | | | |
| |
New York — 0.29% | | | | | |
| City of New York General Obligation Bonds, Public Improvements | | | | | |
4.77% | | 10/01/23 | | | 4,420,000 | | | | 4,763,682 | |
5.21% | | 10/01/31 | | | 6,420,000 | | | | 7,749,408 | |
5.52% | | 10/01/37 | | | 6,075,000 | | | | 8,242,900 | |
| City of New York General Obligation Bonds, Public Improvements, Series A | | | | | |
3.00% | | 08/01/34 | | | 15,185,000 | | | | 15,869,444 | |
| City of New York General Obligation Bonds, Public Improvements, Series F | | | | | |
3.62% | | 04/01/31 | | | 3,145,000 | | | | 3,430,371 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
MUNICIPAL BONDS (continued) | |
|
New York (continued) | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | 11/15/49 | | $ | 13,145,000 | | | $ | 17,846,113 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
5.51% | | 08/01/37 | | | 25,000,000 | | | | 33,430,700 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3 | | | | | |
2.00% | | 08/01/35 | | | 4,055,000 | | | | 3,854,839 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.40% | | 11/01/32 | | | 17,295,000 | | | | 17,518,309 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | 02/01/33 | | | 3,090,000 | | | | 3,030,704 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5 | | | | | |
3.90% | | 05/01/31 | | | 15,000,000 | | | | 16,786,140 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI | | | | | |
4.00% | | 08/01/33 | | | 6,450,000 | | | | 7,238,765 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU | | | | | |
3.88% | | 08/01/31 | | | 3,135,000 | | | | 3,514,913 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | 05/01/27 | | | 13,135,000 | | | | 15,692,166 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G | | | | | |
2.45% | | 11/01/34 | | | 3,000,000 | | | | 3,039,971 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | 03/15/29 | | | 7,895,000 | | | | 7,949,046 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | 03/15/33 | | | 44,990,000 | | | | 55,399,219 | |
5.43% | | 03/15/39 | | | 21,400,000 | | | | 27,616,593 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A | | | | | |
4.00% | | 03/15/47 | | | 155,000 | | | | 177,994 | |
| New York State Urban Development Corp. Revenue Bonds, Public Improvements | | | | | |
5.77% | | 03/15/39 | | | 150,000 | | | | 185,177 | |
| | | | | | | | | | |
| | | | | | | | | 253,336,454 | |
| | | | | | | | | | |
|
Texas — 0.02% | |
| North Texas Tollway Authority Revenue Bonds | | | | | |
2.33% | | 01/01/33 | | | 765,000 | | | | 761,332 | |
2.43% | | 01/01/34 | | | 10,000,000 | | | | 9,956,250 | |
2.53% | | 01/01/35 | | | 8,000,000 | | | | 8,009,477 | |
|
| See accompanying Notes to Financial Statements. |
|
| 187 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal Amount | | | Value |
|
MUNICIPAL BONDS (continued) | |
|
Texas (continued) | |
| Texas A&M University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.69% | | | 05/15/25 | | | $ | 350,000 | | | $ | 373,071 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,100,130 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $510,356,304) | | | | | | | | 543,152,472 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 39.58% | |
U.S. Treasury Bonds — 6.49% | |
U.S. Treasury Bonds | |
2.00% | | | 08/15/51 | | | | 4,173,462,000 | | | | 4,097,196,573 | |
2.25% | | | 05/15/41 | | | | 1,092,034,000 | | | | 1,135,187,908 | |
2.38% | | | 05/15/51 | | | | 210,567,000 | | | | 224,585,024 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
0.13% | | | 02/15/5111 | | | | 224,934,089 | | | | 247,075,672 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,704,045,177 | |
| | | | | | | | | | | | |
|
U.S. Treasury Notes — 33.09% | |
U.S. Treasury Floating Rate Notes | |
| (US Treasury Bill Yield 3-Month plus 0.11%) | | | | | |
0.15% | | | 04/30/222 | | | | 170,000,000 | | | | 170,117,198 | |
U.S. Treasury Notes | |
0.13% | | | 07/31/23 | | | | 4,579,816,000 | | | | 4,570,409,058 | |
0.13% | | | 08/31/23 | | | | 5,483,245,000 | | | | 5,469,108,536 | |
0.25% | | | 09/30/23 | | | | 4,218,616,000 | | | | 4,215,649,807 | |
0.38% | | | 03/31/22 | | | | 79,520,000 | | | | 79,646,230 | |
0.63% | | | 07/31/26 | | | | 2,472,804,000 | | | | 2,433,450,437 | |
0.75% | | | 08/31/26 | | | | 3,254,246,000 | | | | 3,219,796,747 | |
0.88% | | | 09/30/26 | | | | 4,985,402,000 | | | | 4,959,158,595 | |
1.25% | | | 08/15/31 | | | | 2,623,425,000 | | | | 2,560,093,894 | |
1.50% | | | 11/30/21 | | | | 500,000,000 | | | | 501,191,405 | |
1.75% | | | 11/30/21 | | | | 531,000,000 | | | | 532,483,067 | |
2.00% | | | 11/15/21 | | | | 200,000,000 | | | | 200,476,562 | |
2.88% | | | 11/15/21 | | | | 139,000,000 | | | | 139,480,527 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,051,062,063 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $34,971,171,144) | | | | | | | | 34,755,107,240 | |
| | | | | | | | | | | | |
|
Total Bonds — 110.58% | |
(Cost $96,156,686,701) | | | | | | | | 97,086,962,207 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 0.00% | |
|
Electric — 0.00% | |
| Homer City Holdings LLC†,5,6,8,12 | | | | 1,180,703 | | | | — | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $65,187,440) | |
|
Purchased Swaptions - 0.01% | |
(Cost $10,896,240) | | | | | | | | 12,344,628 | |
| | | | | | | | | | | | |
|
Purchased Options - 0.03% | |
(Cost $14,888,907) | | | | | | | | 21,806,250 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 11.81% | |
|
Money Market Funds — 2.28% | |
Dreyfus Government Cash Management Fund | |
0.03%13 | | | | | 430,663,000 | | | $ | 430,663,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%13,14 | | | | | 4,622,031 | | | | 4,622,031 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%13 | | | | | 1,567,088,000 | | | | 1,567,088,000 | |
| | | | | | | | | | |
| | | | | | | | | 2,002,373,031 | |
| | | | | | | | | | |
|
Repurchase Agreements — 0.85% | |
| Bank of America N.A. (Dated 09/29/21, total to be received $250,001,944, (collateralized by U.S. Treasury Securities, 0.63%, due 05/15/30, par and fair value of $272,625,300 and $254,361,041, respectively)) | | | | | |
0.04% | | 10/06/21 | | $ | 250,000,000 | | | | 250,000,000 | |
| Barclay’s Capital (Dated 09/29/21, total to be received $250,001,944, (collateralized by U.S. Treasury Securities, 1.38% to 3.63%, due from 11/15/40 to 02/15/45, par and fair value of $228,280,700 and $254,146,259, respectively)) | | | | | |
0.04% | | 10/06/21 | | | 250,000,000 | | | | 250,000,000 | |
| JPMorgan Chase & Co. (Dated 09/29/21, total to be received $250,002,431, (collateralized by U.S. Treasury Securities, 0.00% to 6.88%, due from 08/15/22 to 05/31/26, par and fair value of $256,141,600 and $254,497,554, respectively)) | | | | | |
0.05% | | 10/06/21 | | | 250,000,000 | | | | 250,000,000 | |
| | | | | | | | | | |
| | | | | | | | | 750,000,000 | |
| | | | | | | | | | |
|
U.S. Agency Discount Notes — 3.80% | |
Federal Home Loan Bank | |
0.04%15 | | 10/06/21 | | | 300,000,000 | | | | 299,999,583 | |
0.04%15 | | 10/08/21 | | | 500,000,000 | | | | 499,999,030 | |
0.04%15 | | 10/15/21 | | | 794,000,000 | | | | 793,996,911 | |
0.04%15 | | 10/29/21 | | | 100,000,000 | | | | 99,999,222 | |
0.04%15 | | 11/19/21 | | | 269,000,000 | | | | 268,989,017 | |
0.04%15 | | 11/24/21 | | | 500,000,000 | | | | 499,977,505 | |
0.00%15 | | 11/26/21 | | | 300,000,000 | | | | 299,982,733 | |
0.00%15 | | 01/19/22 | | | 300,000,000 | | | | 299,972,505 | |
0.00%15 | | 02/22/22 | | | 275,000,000 | | | | 274,956,011 | |
| | | | | | | | | | |
| | | | | | | | | 3,337,872,517 | |
| | | | | | | | | | |
|
U.S. Treasury Bills — 4.88% | |
U.S. Treasury Bills | |
0.03%15 | | 10/05/21 | | | 400,000,000 | | | | 399,999,216 | |
0.04%15 | | 10/07/21 | | | 750,000,000 | | | | 749,996,250 | |
0.05%15 | | 10/14/21 | | | 1,500,000,000 | | | | 1,499,987,805 | |
0.05%15 | | 01/06/22 | | | 500,000,000 | | | | 499,959,630 | |
0.05%15 | | 01/13/22 | | | 533,000,000 | | | | 532,949,573 | |
0.04%15 | | 02/10/22 | | | 300,000,000 | | | | 299,955,999 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 188 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS (continued) | |
|
U.S. Treasury Bills (continued) | |
0.04%15 | | | 03/03/22 | | | $ | 300,000,000 | | | $ | 299,950,593 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,282,799,066 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $10,372,943,997) | | | | 10,373,044,614 | |
| | | | | | | | | | | | |
| |
| Total Investments Before Written Options - 122.43% | | | | | |
(Cost $106,620,603,285) | | | | 107,494,157,699 | |
| | | | | | | | | | | | |
|
Written Options - (0.01)% | |
(Cost $(10,034,883)) | | | | (10,729,375 | ) |
| | | | | | | | | | | | |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 52,926 | |
| |
| Liabilities in Excess of Other Assets - (22.42)% | | | | (19,680,166,593 | ) |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 87,803,314,657 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $102,008,285, which is 0.12% 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 $2,202,571, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 13 | Represents the current yield as of September 30, 2021. |
| 14 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $2,455. |
| 15 | 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 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. |
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
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
| | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | Settlement Date | | | Unrealized
Appreciation
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
USD 116,979,899 | | | GBP 84,295,000 | | | Goldman Sachs International | | | 10/22/21 | | | $ | 3,317,327 | |
USD 115,658,641 | | | GBP 84,295,000 | | | Goldman Sachs International | | | 01/07/22 | | | | 1,971,659 | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | 5,288,986 | |
| | | | | | | | | | | | | | |
| | | | |
GBP 84,295,000 | | | USD 115,615,650 | | | Goldman Sachs International | | | 10/22/21 | | | | (1,953,077) | |
| | | | |
GBP 1,829,000 | | | USD 2,477,614 | | | Goldman Sachs International | | | 01/07/22 | | | | (10,878) | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | (1,963,955) | |
| | | | | | | | | | | | | | |
| |
NET UNREALIZED APPRECIATION | | | $ | 3,325,031 | |
| | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 189 / Semi-Annual Report September 2021 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ultra Bond | | | 5,650 | | | | 12/21/21 | | | $ | 1,079,503,125 | | | $ | (37,445,542) | | | $ | (37,445,542) | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 4,866 | | | | 12/21/21 | | | | (706,786,500) | | | | 12,258,325 | | | | 12,258,325 | |
U.S. Treasury Two-Year Note | | | 535 | | | | 12/31/21 | | | | (117,729,258) | | | | 108,210 | | | | 108,210 | |
U.S. Treasury Five-Year Note | | | 119 | | | | 12/31/21 | | | | (14,606,320) | | | | 100,516 | | | | 100,516 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | (839,122,078) | | | | 12,467,051 | | | | 12,467,051 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 240,381,047 | | | $ | (24,978,491) | | | $ | (24,978,491) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | | | | | | | | |
| Credit Suisse
First Boston |
| | | | | | | | | | | | | | | | | | | | |
07/15/27 | | | 5.00% | | | | 3 Months | | | | International | | | | 12/20/21 | | | $ | 60,665,000 | | | $ | 562,102 | | | $ | 398,477 | | | $ | 163,625 | |
1011778 BC ULC/New Red | | | | | | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | | | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
10/15/30 | | | 5.00% | | | | 3 Months | | | | International | | | | 06/20/23 | | | | 20,000,000 | | | | 1,168,608 | | | | 1,135,191 | | | | 33,417 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | 1,730,710 | | | $ | 1,533,668 | | | $ | 197,042 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
| | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 19,850 | | | | $99.13 | | | | 12/10/21 | | | $ | 3,107,257,316 | | | $ | 14,887,500 | |
| | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 13,500 | | | | 99.00 | | | | 12/10/21 | | | | 1,668,178,125 | | | | 6,918,750 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL PURCHASED OPTIONS | | | | | | | | | | | | | | $ | 4,775,435,441 | | | $ | 21,806,250 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of contracts | | | Exercise Price | | | Expiration Date | | | Notional Amount | | | Value | |
| | | | | |
WRITTEN PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
| | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 27,000 | | | | $98.63 | | | | 12/10/21 | | | $ | (1,668,178,125) | | | $ | (3,037,500) | |
| | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 39,700 | | | | 98.75 | | | | 12/10/21 | | | | (3,221,069,077) | | | | (7,691,875) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL WRITTEN OPTIONS | | | | | | | | | | | | | | $ | (4,889,247,202) | | | $ | (10,729,375) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | 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 Swap | | Barclays Bank
PLC | | | 01/19/24 | | | | 2.75 | % | | | Quarterly | | |
| 3-month
USD LIBOR |
| |
| Semi-
annually |
| | $ | 79,350,000 | | | $ | 2,653,734 | | | $ | 2,340,825 | | | $ | 312,909 | |
| Option to enter into a 30-year Interest Rate Swap | | Citigroup Global
Markets Inc. | | | 01/19/24 | | | | 2.75% | | | | Quarterly | | |
| 3-month
USD LIBOR |
| |
| Semi-
annually |
| | $ | 45,520,000 | | | $ | 1,522,344 | | | $ | 1,350,040 | | | $ | 172,304 | |
| Option to enter into a 30-year Interest Rate Swap | | Goldman Sachs
International | | | 01/19/24 | | | | 2.75% | | | | Quarterly | | |
| 3-month
USD LIBOR |
| |
| Semi-
annually |
| | $ | 244,250,000 | | | $ | 8,168,550 | | | $ | 7,205,375 | | | $ | 963,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
TOTAL PURCHASED SWAPTIONS | | | | | | | | | | | | | | | | | | | $ | 369,120,000 | | | $ | 12,344,628 | | | $ | 10,896,240 | | | $ | 1,448,388 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 190 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | Received by the Fund | | | Paid by the Fund | | | | | | | | | | | | | |
| | | | | | | | | | |
| Description | | Put/
Call | | Maturity Date | | | Rate | | Frequency | | | Rate | | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation
(Depreciation) | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/53 | | | LIBOR | | | Quarterly | | | | 1.77% | | | | Semi-annually | | | $ | 171,210 | | | $ | 7,674,454 | | | $ | — | | | $ | 7,674,454 | |
| Interest Rate | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/53 | | | LIBOR | | | Quarterly | | | | 1.79% | | | | Semi-annually | | | | 126,690 | | | | 5,321,969 | | | | — | | | | 5,321,969 | |
| Interest Rate | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/53 | | | LIBOR | | | Quarterly | | | | 1.81% | | | | Semi-annually | | | | 85,605 | | | | 3,162,001 | | | | — | | | | 3,162,001 | |
| Interest Rate | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 09/28/53 | | | LIBOR | | | Quarterly | | | | 1.87% | | | | Semi-annually | | | | 190,870 | | | | 4,664,920 | | | | — | | | | 4,664,920 | |
| Interest Rate | | | | | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/25 | | | 1.03% | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 2,049,640 | | | | (12,128,950) | | | | — | | | | (12,128,950) | |
| Interest Rate | | | | | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/25 | | | 1.03% | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 1,515,880 | | | | (8,732,985) | | | | — | | | | (8,732,985) | |
| Interest Rate | | | | | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 07/24/25 | | | 1.07% | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 1,024,820 | | | | (5,121,333) | | | | — | | | | (5,121,333) | |
| Interest Rate | | | | | | | | | | | | | | | 3-month USD | | | | | | | | | | | | | | | | | | | | | |
| Swap1 | | Call | | | 09/28/25 | | | 1.39% | | | Semi-annually | | | | LIBOR | | | | Quarterly | | | | 2,236,795 | | | | (715,551) | | | | — | | | | (715,551) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | | | | | $ | 7,401,510 | | | $ | (5,875,475) | | | $ | — | | | $ | (5,875,475) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 191 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal
Amount | | | Value |
|
BONDS – 85.11% | |
|
ASSET-BACKED SECURITIES — 11.43%** | |
Aames Mortgage Investment Trust, | |
Series 2006-1, Class A4 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | 04/25/361 | | $ | 159,706 | | | $ | 159,141 | |
Aames Mortgage Trust, | |
| Series 2002-1, Class A3 (STEP-reset date 11/25/21) | | | | | |
7.40% | | 06/25/32 | | | 14,594 | | | | 14,754 | |
Ajax Mortgage Loan Trust, | |
| Series 2019-F, Class A1 (STEP-reset date 10/25/21) | | | | | |
2.86% | | 07/25/592 | | | 219,734 | | | | 221,873 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-R9, Class M1 | |
(LIBOR USD 1-Month plus 0.71%) | |
0.79% | | 11/25/351 | | | 1,243,503 | | | | 1,244,746 | |
Barings CLO Ltd., | |
Series 2013-IA, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 01/20/281,2,3 | | | 1,201,351 | | | | 1,200,666 | |
BSPRT Issuer Ltd., | |
Series 2018-FL4, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.05%) | |
1.13% | | 09/15/351,2,3 | | | 223,520 | | | | 223,578 | |
Canyon Capital CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 04/15/341,2,3 | | | 700,000 | | | | 700,349 | |
Carrington Mortgage Loan Trust, | |
Series 2005-NC4, Class M2 | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | 09/25/351 | | | 161,777 | | | | 165,043 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-AMC4, Class A2D | |
(LIBOR USD 1-Month plus 0.27%) | |
0.36% | | 05/25/371 | | | 400,223 | | | | 383,365 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH4, Class M2 | |
(LIBOR USD 1-Month plus 0.44%) | |
0.52% | | 11/25/361 | | | 800,000 | | | | 791,561 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-11, Class MV3 | |
(LIBOR USD 1-Month plus 0.80%) | |
0.88% | | 02/25/361 | | | 89,432 | | | | 89,461 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-3, Class MV5 | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | 08/25/351 | | | 89,427 | | | | 89,547 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-4, Class MV5 | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | 10/25/351 | | | 800,000 | | | | 810,030 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
0.78% | | | 04/25/351 | | | $ | 624,439 | | | $ | 621,566 | |
Encore Credit Receivables Trust, | |
Series 2005-3, Class M4 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 10/25/351 | | | | 1,250,000 | | | | 1,253,006 | |
FFMLT Trust, | |
Series 2005-FF8, Class M2 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | | 09/25/351 | | | | 1,018,985 | | | | 1,022,695 | |
First Franklin Mortgage Loan Trust, | |
Series 2005-FF9, Class A1 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 10/25/351 | | | | 827,735 | | | | 827,058 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FFH1, Class M1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.64% | | | 01/25/361 | | | | 880,125 | | | | 874,229 | |
GE Mortgage Services LLC, | |
Series 1998-HE1, Class A7 | |
6.47% | | | 06/25/28 | | | | 1 | | | | 1 | |
Grand Avenue CRE, | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.12%) | |
1.20% | | | 06/15/371,2,3 | | | | 748,737 | | | | 748,513 | |
GSAA Home Equity Trust, | |
Series 2005-MTR1, Class A4 | |
(LIBOR USD 1-Month plus 0.74%) | |
0.83% | | | 10/25/351 | | | | 504,643 | | | | 506,120 | |
GSAMP Trust, | |
Series 2006-HE3, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | | 05/25/461 | | | | 693,559 | | | | 692,390 | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
1.18% | | | 05/25/341,2 | | | | 254,477 | | | | 255,532 | |
Home Partners of America Trust, | |
Series 2018-1, Class A | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | | 07/17/371,2 | | | | 1,680,506 | | | | 1,681,546 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.36%) | |
0.45% | | | 12/25/351 | | | | 203,702 | | | | 203,008 | |
Invitation Homes Trust, | |
Series 2018-SFR2, Class B | |
(LIBOR USD 1-Month plus 1.08%) | |
1.16% | | | 06/17/371,2 | | | | 999,843 | | | | 999,975 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-NC2, Class A5 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 07/25/361 | | | | 123,136 | | | | 122,365 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 192 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
LCM 29 Ltd., | |
Series 29A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 04/15/311,2,3 | | $ | 750,000 | | | $ | 750,374 | |
LoanCore Issuer Ltd., | |
Series 2018-CRE1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | 05/15/281,2,3 | | | 313,073 | | | | 313,151 | |
Marathon CRE Ltd., | |
Series 2018-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.15%) | |
1.23% | | 06/15/281,2,3 | | | 193,802 | | | | 193,855 | |
MASTR Asset-Backed Securities Trust, | |
Series 2005-OPT1, Class M3 | |
(LIBOR USD 1-Month plus 0.69%) | |
0.78% | | 03/25/351 | | | 484,361 | | | | 486,131 | |
MF1 Ltd., | |
Series 2020-FL4, Class A | |
(SOFR30A plus 1.81%) | |
1.86% | | 11/15/351,2 | | | 485,000 | | | | 488,911 | |
Nelnet Student Loan Trust, | |
Series 2012-5A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 10/27/361,2 | | | 292,897 | | | | 292,243 | |
Octagon Investment Partners XIV Ltd., | |
Series 2012-1A, Class AARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | 07/15/291,2,3 | | | 675,000 | | | | 675,020 | |
OHA Credit Funding 2 Ltd., | |
Series 2019-2A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 04/21/341,2,3 | | | 218,750 | | | | 218,859 | |
| Option One Mortgage Loan Trust Asset-Backed Certificates 2005-5, | | | | | |
Series 2005-5, Class M1 | |
(LIBOR USD 1-Month plus 0.59%) | |
0.67% | | 12/25/351 | | | 758,198 | | | | 766,664 | |
Palmer Square Loan Funding Ltd., | |
Series 2020-1A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 02/20/281,2,3 | | | 713,457 | | | | 712,843 | |
Palmer Square Loan Funding Ltd., | |
Series 2021-2A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 05/20/291,2,3 | | | 693,961 | | | | 694,551 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-WHQ3, Class M4 | |
(LIBOR USD 1-Month plus 0.95%) | |
1.03% | | 06/25/351 | | | 342,304 | | | | 345,351 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Progress Residential Trust, | |
Series 2019-SFR1, Class A | |
3.42% | | 08/17/352 | | $ | 529,477 | | | $ | 535,465 | |
Residential Asset Securities Corp., | |
Series 2006-KS3, Class M1 | |
(LIBOR USD 1-Month plus 0.33%) | |
0.58% | | 04/25/361 | | | 585,371 | | | | 586,087 | |
Residential Asset Securities Corp., | |
Series 2006-KS7, Class A4 | |
(LIBOR USD 1-Month plus 0.24%) | |
0.33% | | 09/25/361 | | | 598,006 | | | | 597,178 | |
SLM Student Loan Trust, | |
Series 2003-10A, Class A3 | |
(LIBOR USD 3-Month plus 0.47%) | |
0.59% | | 12/15/271,2 | | | 193,855 | | | | 193,907 | |
SLM Student Loan Trust, | |
Series 2003-14, Class A6 | |
(LIBOR USD 3-Month plus 0.30%) | |
0.43% | | 07/25/251 | | | 137,983 | | | | 137,966 | |
SLM Student Loan Trust, | |
Series 2005-8, Class A4 | |
(LIBOR USD 3-Month plus 0.55%) | |
0.68% | | 01/25/281 | | | 16,613 | | | | 16,614 | |
SLM Student Loan Trust, | |
Series 2007-8, Class A4 | |
(LIBOR USD 3-Month plus 0.47%) | |
0.60% | | 01/26/261 | | | 82,670 | | | | 82,505 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
0.64% | | 06/25/431 | | | 112,211 | | | | 111,655 | |
Soundview Home Loan Trust, | |
Series 2006-1, Class A4 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 02/25/361 | | | 318,117 | | | | 318,059 | |
Soundview Home Loan Trust, | |
Series 2006-OPT3, Class 2A3 | |
(LIBOR USD 1-Month plus 0.17%) | |
0.26% | | 06/25/361 | | | 282,112 | | | | 282,113 | |
Structured Asset Investment Loan Trust, | |
Series 2005-HE3, Class M1 | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | 09/25/351 | | | 336,219 | | | | 336,184 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-EQ1A, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
0.22% | | 07/25/361,2 | | | 299,264 | | | | 295,899 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-OPT1, Class A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | 04/25/361 | | | 552,458 | | | | 535,461 | |
Terwin NIMs Trust, | |
Series 2004-13AL, Class 2PX (IO) | |
0.34% | | 08/25/342,4,5 | | | 1,190,925 | | | | 15,421 | |
|
| See accompanying Notes to Financial Statements. |
|
| 193 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
TPG Real Estate Finance Issuer Ltd., | |
Series 2018-FL2, Class A | | | | | | | | | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.13%) | |
1.21% | | | 11/15/371,2,3 | | | $ | 669,216 | | | $ | 669,398 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class A | |
2.93% | | | 01/17/362 | | | | 1,072,250 | | | | 1,089,311 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $27,328,298) | | | | | | | | | | | 27,643,294 | |
| | | | | | | | | | | | |
|
CORPORATES — 22.48%* | |
|
Banking — 6.91% | |
Bank of America Corp. | |
2.88% | | | 04/24/236 | | | | 3,600,000 | | | | 3,649,670 | |
Credit Suisse Group AG | |
(Switzerland) | |
2.59% | | | 09/11/252,3,6 | | | | 235,000 | | | | 243,490 | |
3.80% | | | 06/09/233 | | | | 580,000 | | | | 610,883 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | | 09/30/252,3,6 | | | | 715,000 | | | | 715,445 | |
HSBC Holdings PLC | |
(United Kingdom) | |
0.98% | | | 05/24/253,6 | | | | 1,000,000 | | | | 998,345 | |
(LIBOR USD 3-Month plus 1.00%) | |
1.12% | | | 05/18/241,3 | | | | 795,000 | | | | 804,093 | |
JPMorgan Chase & Co. | |
3.21% | | | 04/01/236 | | | | 2,400,000 | | | | 2,433,742 | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | | 01/15/231 | | | | 200,000 | | | | 200,611 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
2.91% | | | 11/07/233,6 | | | | 1,345,000 | | | | 1,379,005 | |
Morgan Stanley | |
(GMTN) | |
3.13% | | | 01/23/23 | | | | 2,350,000 | | | | 2,433,515 | |
NatWest Group PLC | |
(United Kingdom) | |
3.50% | | | 05/15/233,6 | | | | 1,000,000 | | | | 1,018,310 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
3.57% | | | 01/10/233 | | | | 750,000 | | | | 756,492 | |
UBS AG | |
(Switzerland) | |
0.70% | | | 08/09/242,3 | | | | 610,000 | | | | 608,687 | |
Wells Fargo & Co. | |
(MTN) | |
3.75% | | | 01/24/24 | | | | 805,000 | | | | 860,706 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,712,994 | |
| | | | | | | | | | | | |
Communications — 0.82% | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 400,000 | | | | 476,568 | |
SES SA | |
(Luxembourg) | |
3.60% | | | 04/04/232,3 | | | | 600,000 | | | | 623,977 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | 03/20/252 | | $ | 621,250 | | | $ | 664,272 | |
5.15% | | 03/20/282 | | | 200,000 | | | | 228,810 | |
| | | | | | | | | | |
| | | | | | | | | 1,993,627 | |
| | | | | | | | | | |
Consumer Discretionary — 0.87% | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.75% | | 07/21/222,3 | | | 810,000 | | | | 826,109 | |
Pernod Ricard SA | |
(France) | |
4.25% | | 07/15/222,3 | | | 600,000 | | | | 617,975 | |
Reynolds American, Inc. | |
4.85% | | 09/15/23 | | | 600,000 | | | | 649,352 | |
| | | | | | | | | | |
| | | | | | | | | 2,093,436 | |
| | | | | | | | | | |
Electric — 0.46% | |
Alliant Energy Finance LLC | |
3.75% | | 06/15/232 | | | 725,000 | | | | 760,370 | |
Dominion Energy, Inc., | |
Series B | |
2.75% | | 09/15/22 | | | 350,000 | | | | 356,153 | |
| | | | | | | | | | |
| | | | | | | | | 1,116,523 | |
| | | | | | | | | | |
Energy — 0.88% | |
Energy Transfer LP | |
5.95% | | 12/01/25 | | | 900,000 | | | | 1,042,813 | |
Southern Co. Gas Capital Corp. | |
3.88% | | 11/15/25 | | | 1,000,000 | | | | 1,097,131 | |
| | | | | | | | | | |
| | | | | | | | | 2,139,944 | |
| | | | | | | | | | |
Finance — 4.75% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | | | | | | |
3.95% | | 02/01/223 | | | 600,000 | | | | 605,053 | |
4.45% | | 12/16/213 | | | 100,000 | | | | 100,475 | |
Air Lease Corp. | | | | | |
2.25% | | 01/15/23 | | | 600,000 | | | | 613,238 | |
3.50% | | 01/15/22 | | | 200,000 | | | | 201,735 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/272,3 | | | 383,000 | | | | 377,000 | |
Citigroup, Inc. | |
3.14% | | 01/24/236 | | | 2,450,000 | | | | 2,470,598 | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | 07/24/231 | | | 308,000 | | | | 309,961 | |
Daimler Finance North America LLC | |
2.20% | | 10/30/212 | | | 65,000 | | | | 65,094 | |
(LIBOR USD 3-Month plus 0.90%) | |
1.02% | | 02/15/221,2 | | | 290,000 | | | | 290,930 | |
Ford Motor Credit Co. LLC | |
3.81% | | 10/12/21 | | | 1,150,000 | | | | 1,152,013 | |
Goldman Sachs Group, Inc. (The) | |
2.88% | | 10/31/226 | | | 2,450,000 | | | | 2,455,025 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 194 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Finance (continued) | |
Goldman Sachs Group, Inc. (The), | |
Series FXD | |
0.48% | | 01/27/23 | | $ | 1,395,000 | | | $ | 1,395,228 | |
Morgan Stanley | |
(MTN) | |
0.53% | | 01/25/246 | | | 90,000 | | | | 90,065 | |
Nationwide Building Society | |
(United Kingdom) | |
3.62% | | 04/26/232,3,6 | | | 540,000 | | | | 549,439 | |
3.77% | | 03/08/242,3,6 | | | 680,000 | | | | 709,105 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
4.50% | | 03/15/232,3 | | | 100,000 | | | | 104,518 | |
| | | | | | | | | | |
| | | | | | | | | 11,489,477 | |
| | | | | | | | | | |
|
Food — 0.17% | |
Smithfield Foods, Inc. | |
3.35% | | 02/01/222 | | | 400,000 | | | | 403,852 | |
| | | | | | | | | | |
|
Health Care — 2.75% | |
AbbVie, Inc. | |
3.20% | | 11/06/22 | | | 600,000 | | | | 615,658 | |
3.25% | | 10/01/22 | | | 200,000 | | | | 204,373 | |
Bayer U.S. Finance II LLC | |
2.20% | | 07/15/222 | | | 600,000 | | | | 606,377 | |
3.88% | | 12/15/232 | | | 1,140,000 | | | | 1,213,316 | |
CVS Health Corp. | |
3.50% | | 07/20/22 | | | 600,000 | | | | 611,952 | |
Dignity Health | |
3.13% | | 11/01/22 | | | 150,000 | | | | 154,175 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.88% | | 01/31/222 | | | 200,000 | | | | 203,495 | |
Fresenius U.S. Finance II, Inc. | |
4.50% | | 01/15/232 | | | 585,000 | | | | 608,320 | |
Gilead Sciences, Inc. | |
(LIBOR USD 3-Month plus 0.52%) | |
0.65% | | 09/29/231 | | | 655,000 | | | | 655,395 | |
Humana, Inc. | |
0.65% | | 08/03/23 | | | 610,000 | | | | 610,417 | |
3.15% | | 12/01/22 | | | 600,000 | | | | 615,343 | |
Viatris, Inc. | |
1.13% | | 06/22/222 | | | 550,000 | | | | 552,979 | |
| | | | | | | | | | |
| | | | | | | | | 6,651,800 | |
| | | | | | | | | | |
|
Industrials — 1.22% | |
BAE Systems PLC | |
(United Kingdom) | |
4.75% | | 10/11/212,3 | | | 250,000 | | | | 250,214 | |
Berry Global, Inc. | |
0.95% | | 02/15/242 | | | 635,000 | | | | 635,978 | |
Boeing Co. (The) | |
1.43% | | 02/04/24 | | | 375,000 | | | | 375,559 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
0.50% | | 05/05/261 | | | 150,000 | | | | 148,548 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Industrials (continued) | |
General Electric Co., | |
Series NOTZ (MTN) | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | 04/15/231 | | $ | 750,000 | | | $ | 756,214 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | 03/22/232,3 | | | 750,000 | | | | 783,666 | |
| | | | | | | | | | |
| | | | | | | | | 2,950,179 | |
| | | | | | | | | | |
|
Information Technology — 0.81% | |
NXP BV/NXP Funding LLC | |
(Netherlands) | |
3.88% | | 09/01/222,3 | | | 600,000 | | | | 617,957 | |
4.63% | | 06/01/232,3 | | | 220,000 | | | | 234,217 | |
Skyworks Solutions, Inc. | |
0.90% | | 06/01/23 | | | 505,000 | | | | 506,025 | |
VMware, Inc. | |
1.00% | | 08/15/24 | | | 610,000 | | | | 612,167 | |
| | | | | | | | | | |
| | | | | | | | | 1,970,366 | |
| | | | | | | | | | |
|
Insurance — 0.49% | |
Athene Global Funding | |
(SOFR Rate plus 0.70%) | |
0.75% | | 05/24/241,2 | | | 500,000 | | | | 502,474 | |
Nationwide Mutual Insurance Co. | |
2.41% | | 12/15/242,6 | | | 670,000 | | | | 670,795 | |
| | | | | | | | | | |
| | | | | | | | | 1,173,269 | |
| | | | | | | | | | |
|
Materials — 0.16% | |
International Flavors & Fragrances, Inc. | |
0.70% | | 09/15/222 | | | 375,000 | | | | 376,184 | |
| | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.56% | |
| American Campus Communities Operating Partnership LP | | | | | |
3.75% | | 04/15/23 | | | 600,000 | | | | 624,900 | |
Boston Properties LP | |
3.85% | | 02/01/23 | | | 600,000 | | | | 621,304 | |
GLP Capital LP/GLP Financing II, Inc. | |
5.38% | | 11/01/23 | | | 1,000,000 | | | | 1,079,962 | |
Host Hotels & Resorts LP, | |
Series D | |
3.75% | | 10/15/23 | | | 525,000 | | | | 550,394 | |
SL Green Operating Partnership LP | |
3.25% | | 10/15/22 | | | 870,000 | | | | 891,841 | |
| | | | | | | | | | |
| | | | | | | | | 3,768,401 | |
| | | | | | | | | | |
|
Retail — 0.13% | |
7-Eleven, Inc. | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | 08/10/221,2 | | | 324,000 | | | | 324,082 | |
| | | | | | | | | | |
|
Services — 0.38% | |
IHS Markit Ltd. | |
(Bermuda) | |
5.00% | | 11/01/222,3 | | | 880,000 | | | | 913,590 | |
| | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 195 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Transportation — 0.12% | | | | | |
Continental Airlines Pass-Through Trust, | |
Series 2007-1, Class A | |
5.98% | | 04/19/22 | | $ | 179,442 | | | $ | 181,803 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A1 | |
7.04% | | 04/01/22 | | | 116,372 | | | | 119,323 | |
| | | | | | | | | | |
| | | | | | | | | 301,126 | |
| | | | | | | | | | |
|
Total Corporates | |
(Cost $54,213,442) | | | | 54,378,850 | |
| | | | | | | | | | |
|
MORTGAGE-BACKED — 26.42%** | |
Non-Agency Commercial Mortgage-Backed — 7.70% | |
AREIT Trust, | |
Series 2020-CRE4, Class A | |
(Cayman Islands) | |
(SOFR30A plus 2.73%) | |
2.78% | | 04/15/371,2,3 | | | 555,078 | | | | 558,620 | |
Banc of America Commercial Mortgage Trust, | |
Series 2016-UB10, Class A2 | |
2.72% | | 07/15/49 | | | 140,285 | | | | 140,742 | |
| Barclays Commercial Mortgage Securities Mortgage Trust, | | | | | |
Series 2017-C1, Class A2 | |
3.19% | | 02/15/50 | | | 106,295 | | | | 107,091 | |
BX Commercial Mortgage Trust, | |
Series 2018-IND, Class A | |
(LIBOR USD 1-Month plus 0.75%) | |
0.83% | | 11/15/351,2 | | | 38,806 | | | | 38,864 | |
BX Commercial Mortgage Trust, | |
Series 2018-IND, Class B | |
(LIBOR USD 1-Month plus 0.90%) | |
0.98% | | 11/15/351,2 | | | 843,500 | | | | 844,179 | |
BX Commercial Mortgage Trust, | |
Series 2020-BXLP, Class A | |
(LIBOR USD 1-Month plus 0.80%) | |
0.88% | | 12/15/361,2 | | | 230,399 | | | | 230,839 | |
CFCRE Commercial Mortgage Trust, | |
Series 2016-C4, Class ASB | |
3.09% | | 05/10/58 | | | 418,936 | | | | 439,084 | |
Citigroup Commercial Mortgage Trust, | |
Series 2016-C2, Class A2 | |
1.85% | | 08/10/49 | | | 407,000 | | | | 410,772 | |
Citigroup Commercial Mortgage Trust, | |
Series 2016-P5, Class A2 | |
2.40% | | 10/10/49 | | | 423,331 | | | | 423,801 | |
Citigroup Commercial Mortgage Trust, | |
Series 2020-WSS, Class A | |
(LIBOR USD 1-Month plus 1.95%) | |
2.03% | | 02/15/391,2 | | | 761,777 | | | | 803,667 | |
Commercial Mortgage Trust, | |
Series 2013-CR9, Class ASB | |
3.83% | | 07/10/45 | | | 223,344 | | | | 229,413 | |
Commercial Mortgage Trust, | |
Series 2013-LC6, Class XA (IO) | |
1.43% | | 01/10/466 | | | 2,488,826 | | | | 28,113 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2014-CR20, Class A3 | |
3.33% | | 11/10/47 | | $ | 460,186 | | | $ | 484,600 | |
Commercial Mortgage Trust, | |
Series 2015-CR22, Class A2 | |
2.86% | | 03/10/48 | | | 1,354,293 | | | | 1,361,843 | |
CSAIL Commercial Mortgage Trust, | |
Series 2017-CX9, Class A2 | |
3.05% | | 09/15/50 | | | 950,000 | | | | 965,649 | |
DBWF Mortgage Trust, | |
Series 2018-AMXP, Class A | |
3.87% | | 05/05/352,6 | | | 1,500,000 | | | | 1,505,277 | |
Great Wolf Trust, | |
Series 2019-WOLF, Class A | |
(LIBOR USD 1-Month plus 1.03%) | |
1.12% | | 12/15/361,2 | | | 850,000 | | | | 852,320 | |
GS Mortgage Securities Trust | |
Series 2012-ALOH, Class A | |
3.55% | | 04/10/342 | | | 1,571,000 | | | | 1,582,309 | |
GS Mortgage Securities Trust, | |
Series 2012-GC6, Class AS | |
4.95% | | 01/10/452 | | | 426,948 | | | | 428,236 | |
GS Mortgage Securities Trust, | |
Series 2013-GC14, Class A4 | |
3.96% | | 08/10/46 | | | 728,880 | | | | 753,287 | |
Irvine Core Office Trust, | |
Series 2013-IRV, Class A1 | |
2.07% | | 05/15/482 | | | 366,155 | | | | 370,460 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C6, Class A3 | |
3.51% | | 05/15/45 | | | 410,833 | | | | 415,556 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2012-C6, Class ASB | |
3.14% | | 05/15/45 | | | 130,921 | | | | 131,466 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C12, Class XA (IO) | |
0.74% | | 10/15/466 | | | 2,729,626 | | | | 24,483 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C15, Class A3 | |
3.77% | | 04/15/47 | | | 93,809 | | | | 98,133 | |
Morgan Stanley Capital I Trust, | |
Series 2012-C4, Class A4 | |
3.24% | | 03/15/45 | | | 249,833 | | | | 251,646 | |
PFP Ltd., | |
Series 2019-5, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 0.97%) | |
1.05% | | 04/14/361,2,3 | | | 509,420 | | | | 509,996 | |
Shelter Growth CRE Issuer Ltd., | |
Series 2019-FL2, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.10%) | |
1.18% | | 05/15/361,2,3 | | | 128,767 | | | | 128,769 | |
UBS Commercial Mortgage Trust, | |
Series 2012-C1, Class XA (IO) | |
2.20% | | 05/10/452,6 | | | 1,830,992 | | | | 11,479 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 196 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2013-C5, Class XA (IO) | |
1.04% | | 03/10/462,6 | | $ | 3,678,450 | | | $ | 30,414 | |
VMC Finance LLC, | |
Series 2019-FL3, Class A | |
(LIBOR USD 1-Month plus 1.10%) | |
1.18% | | 09/15/361,2 | | | 512,896 | | | | 512,720 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-LC20, Class A2 | |
2.68% | | 04/15/50 | | | 487,731 | | | | 490,283 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C34, Class A2 | |
2.60% | | 06/15/49 | | | 362,682 | | | | 362,649 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C36, Class A2 | |
2.50% | | 11/15/59 | | | 71,101 | | | | 72,012 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-LC24, Class A2 | |
2.50% | | 10/15/49 | | | 12,898 | | | | 13,001 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2018-C47, Class A2 | |
4.36% | | 09/15/61 | | | 868,000 | | | | 912,363 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C7, Class A2 | |
3.43% | | 06/15/45 | | | 480,000 | | | | 485,466 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C9, Class XA (IO) | |
2.02% | | 11/15/452,6 | | | 1,357,311 | | | | 16,883 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C19, Class A3 | |
3.66% | | 03/15/47 | | | 1,596,782 | | | | 1,600,309 | |
| | | | | | | | | | |
| | | | | | | | | 18,626,794 | |
| | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 1.34% | |
Adjustable Rate Mortgage Trust, | |
Series 2005-1, Class 1A1 | |
2.74% | | 05/25/356 | | | 23,146 | | | | 23,103 | |
Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 34,232 | | | | 35,542 | |
Banc of America Funding Trust, | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | | 2,766 | | | | 2,842 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 1M1 | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | 03/25/351 | | | 226,172 | | | | 226,842 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.00% | | 02/25/346 | | | 6,161 | | | | 6,182 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2002-AR31, Class 4A2 | |
2.45% | | 11/25/326 | | | 17,906 | | | | 18,125 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR3, Class 2A2A | |
(LIBOR USD 1-Month plus 0.74%) | |
0.83% | | 07/19/441 | | $ | 100,410 | | | $ | 98,028 | |
HomeBanc Mortgage Trust, | |
Series 2005-4, Class A1 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | 10/25/351 | | | 361,404 | | | | 362,468 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
(LIBOR USD 1-Month plus 0.78%) | |
0.87% | | 12/25/341 | | | 320,931 | | | | 276,237 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR6, Class 6A1 | |
2.88% | | 10/25/346 | | | 96,172 | | | | 95,727 | |
JPMorgan Mortgage Trust, | |
Series 2005-A2, Class 9A1 | |
2.27% | | 04/25/356 | | | 124,066 | | | | 126,375 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-12, Class 5A1 | |
2.66% | | 10/25/346 | | | 125,915 | | | | 125,915 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
2.47% | | 10/25/326 | | | 19,230 | | | | 20,180 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A1, Class 2A | |
(LIBOR USD 12-Month plus 1.63%) | |
1.86% | | 12/25/321 | | | 143,007 | | | | 144,041 | |
MortgageIT Trust, | |
Series 2005-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.64%) | |
0.73% | | 02/25/351 | | | 640,501 | | | | 644,816 | |
Nomura Resecuritization Trust, | |
Series 2014-8R, Class 2A1 | |
3.00% | | 09/26/352,6 | | | 394,303 | | | | 394,303 | |
Nomura Resecuritization Trust, | |
| Series 2015-9R, Class 2A1 (STEP-reset date 11/29/21) | | | | | |
3.00% | | 05/25/362 | | | 445,167 | | | | 445,167 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL1, Class A2 | |
8.50% | | 11/25/31 | | | 34,570 | | | | 11 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 2A1 | |
2.85% | | 12/25/346 | | | 57,155 | | | | 56,702 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR6, Class A | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.40%) | | | | | |
1.49% | | 06/25/421 | | | 12,267 | | | | 12,286 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-AR6, Class A1 | |
2.56% | | 06/25/336 | | | 37,018 | | | | 38,685 | |
|
| See accompanying Notes to Financial Statements. |
|
| 197 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-4, Class CB13 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 06/25/351 | | $ | 106,056 | | | $ | 90,515 | |
| | | | | | | | | | |
| | | | | | | | | 3,244,092 | |
| | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 2.27% | |
Fannie Mae-Aces, | |
Series 2012-M4, Class X1 (IO) | |
0.48% | | 04/25/226 | | | 789,988 | | | | 184 | |
Fannie Mae-Aces, | |
Series 2016-M11, Class AL | |
2.94% | | 07/25/39 | | | 157,548 | | | | 161,309 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K021, Class X1 (IO) | |
1.51% | | 06/25/226 | | | 8,576,989 | | | | 55,791 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF22, Class A | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | 07/25/231 | | | 110,216 | | | | 110,371 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ24, Class A1 | |
2.28% | | 05/25/26 | | | 341,701 | | | | 354,507 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ26, Class A1 | |
2.14% | | 07/25/25 | | | 716,757 | | | | 733,799 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ28, Class A1 | |
1.77% | | 02/25/25 | | | 190,356 | | | | 193,710 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ29, Class A1 | |
0.74% | | 01/25/26 | | | 735,923 | | | | 732,771 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ34, Class A1 | |
0.68% | | 06/25/26 | | | 762,057 | | | | 757,007 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.77% | | 09/25/256 | | | 3,443,074 | | | | 85,240 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q004, Class A2H | |
2.77% | | 01/25/466 | | | 55,011 | | | | 55,121 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q004, Class AFL | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.74%) | | | | | |
0.83% | | 05/25/441 | | | 153,015 | | | | 153,135 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q010, Class APT1 | |
2.89% | | 04/25/466 | | $ | 171,497 | | | $ | 177,645 | |
Ginnie Mae, | |
Series 2007-12, Class C | |
5.28% | | 04/16/416 | | | 99,315 | | | | 99,936 | |
Ginnie Mae, | |
Series 2008-92, Class E | |
5.56% | | 03/16/446 | | | 131,721 | | | | 133,296 | |
Ginnie Mae, | |
Series 2010-159, Class D | |
4.29% | | 09/16/446 | | | 425,559 | | | | 437,787 | |
Ginnie Mae, | |
Series 2011-165, Class IO (IO) | |
0.01% | | 10/16/516 | | | 2,898,324 | | | | 715 | |
Ginnie Mae, | |
Series 2011-58, Class C | |
3.87% | | 08/16/516 | | | 97,939 | | | | 98,949 | |
Ginnie Mae, | |
Series 2011-92, Class C | |
3.74% | | 04/16/526 | | | 1,079,378 | | | | 1,114,864 | |
Ginnie Mae, | |
Series 2012-135, Class IO (IO) | |
0.54% | | 01/16/536 | | | 2,390,058 | | | | 45,253 | |
| | | | | | | | | | |
| | | | | | | | | 5,501,390 | |
| | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 15.11% | |
Fannie Mae Pool 254548 | |
5.50% | | 12/01/32 | | | 68,348 | | | | 78,815 | |
Fannie Mae Pool 555098 | |
(LIBOR USD 12-Month plus 1.51%) | |
1.93% | | 11/01/321 | | | 11,767 | | | | 11,752 | |
Fannie Mae Pool 555424 | |
5.50% | | 05/01/33 | | | 45,219 | | | | 51,560 | |
Fannie Mae Pool 567002 | |
8.00% | | 05/01/23 | | | 3,529 | | | | 3,622 | |
Fannie Mae Pool 655133 | |
7.00% | | 08/01/32 | | | 5,961 | | | | 6,279 | |
Fannie Mae Pool 655151 | |
7.00% | | 08/01/32 | | | 11,106 | | | | 11,866 | |
Fannie Mae Pool 762525 | |
6.50% | | 11/01/33 | | | 18,735 | | | | 20,816 | |
Fannie Mae Pool 770900 | |
(LIBOR USD 12-Month plus 1.56%) | |
1.81% | | 04/01/341 | | | 62,091 | | | | 63,403 | |
Fannie Mae Pool AD0538 | |
6.00% | | 05/01/24 | | | 12,435 | | | | 12,966 | |
Fannie Mae Pool AE0443 | |
6.50% | | 10/01/39 | | | 52,569 | | | | 61,258 | |
Fannie Mae Pool AL0851 | |
6.00% | | 10/01/40 | | | 47,343 | | | | 55,375 | |
Fannie Mae Pool AM4580 | |
3.43% | | 10/01/23 | | | 469,516 | | | | 490,431 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 198 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 1993-80, Class S | |
| (-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) | | | | | |
10.77% | | 05/25/231 | | $ | 194 | | | $ | 207 | |
Fannie Mae REMICS, | |
Series 2001-42, Class SB | |
| (-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) | | | | | |
8.50% | | 09/25/311 | | | 894 | | | | 994 | |
Fannie Mae REMICS, | |
Series 2001-60, Class OF | |
(LIBOR USD 1-Month plus 0.95%) | |
1.04% | | 10/25/311 | | | 68,250 | | | | 69,874 | |
Fannie Mae REMICS, | |
Series 2002-30, Class FB | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | 08/25/311 | | | 74,168 | | | | 75,531 | |
Fannie Mae REMICS, | |
Series 2003-124, Class TS | |
| (-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) | | | | | |
9.80% | | 01/25/341 | | | 9,691 | | | | 11,336 | |
Fannie Mae REMICS, | |
Series 2004-60, Class FW | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | 04/25/341 | | | 227,883 | | | | 229,355 | |
Fannie Mae REMICS, | |
Series 2004-96, Class MT | |
| (-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap) | | | | | |
7.00% | | 12/25/341 | | | 10,049 | | | | 11,170 | |
Fannie Mae REMICS, | |
Series 2005-73, Class DF | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | 08/25/351 | | | 119,118 | | | | 119,451 | |
Fannie Mae REMICS, | |
Series 2007-68, Class SC (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) | | | | | |
6.61% | | 07/25/371 | | | 69,418 | | | | 14,771 | |
Fannie Mae REMICS, | |
Series 2010-109, Class PF | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | 10/25/401 | | | 47,097 | | | | 47,502 | |
Fannie Mae REMICS, | |
Series 2010-26, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | | | | | |
6.14% | | 11/25/361 | | | 266,274 | | | | 55,167 | |
Fannie Mae REMICS, | |
Series 2010-95, Class FB | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | 09/25/401 | | | 66,769 | | | | 67,379 | |
Fannie Mae REMICS, | |
Series 2011-47, Class GF | |
(LIBOR USD 1-Month plus 0.57%) | |
0.66% | | 06/25/411 | | | 898,981 | | | | 914,056 | |
Fannie Mae REMICS, | |
Series 2012-19, Class FP | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 12/25/391 | | | 94,297 | | | | 94,488 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2018-79, Class FA | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | 11/25/481 | | $ | 62,199 | | | $ | 62,302 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 01/25/501 | | | 134,114 | | | | 135,186 | |
Fannie Mae REMICS, | |
Series 2020-10, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 03/25/501 | | | 491,349 | | | | 494,640 | |
Freddie Mac REMICS, | |
Series 1526, Class L | |
6.50% | | 06/15/23 | | | 447 | | | | 465 | |
Freddie Mac REMICS, | |
Series 2368, Class AF | |
(LIBOR USD 1-Month plus 0.95%) | |
1.03% | | 10/15/311 | | | 58,473 | | | | 59,616 | |
Freddie Mac REMICS, | |
Series 2733, Class FB | |
(LIBOR USD 1-Month plus 0.60%) | |
0.68% | | 10/15/331 | | | 454,166 | | | | 460,721 | |
Freddie Mac REMICS, | |
Series 2990, Class LE | |
(LIBOR USD 1-Month plus 0.32%) | |
0.40% | | 10/15/341 | | | 138,675 | | | | 139,018 | |
Freddie Mac REMICS, | |
Series 3066, Class PF | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | 04/15/351 | | | 1,102 | | | | 1,102 | |
Freddie Mac REMICS, | |
Series 3085, Class FW | |
(LIBOR USD 1-Month plus 0.70%) | |
0.78% | | 08/15/351 | | | 291,290 | | | | 297,065 | |
Freddie Mac REMICS, | |
Series 3300, Class FA | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | 08/15/351 | | | 271,093 | | | | 272,786 | |
Freddie Mac REMICS, | |
Series 3325, Class NF | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | 08/15/351 | | | 54,459 | | | | 54,799 | |
Freddie Mac REMICS, | |
Series 3652, Class PF | |
(LIBOR USD 1-Month plus 0.75%) | |
0.83% | | 07/15/321 | | | 2,072 | | | | 2,073 | |
Freddie Mac REMICS, | |
Series 3792, Class DF | |
(LIBOR USD 1-Month plus 0.40%) | |
0.48% | | 11/15/401 | | | 36,217 | | | | 36,070 | |
Freddie Mac REMICS, | |
Series 3845, Class FQ | |
(LIBOR USD 1-Month plus 0.25%) | |
0.33% | | 02/15/261 | | | 36,201 | | | | 36,211 | |
|
| See accompanying Notes to Financial Statements. |
|
| 199 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 3879, Class MF | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | 09/15/381 | | $ | 38,832 | | | $ | 38,867 | |
Freddie Mac REMICS, | |
Series 3895, Class BF | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | 07/15/411 | | | 175,886 | | | | 179,072 | |
Freddie Mac REMICS, | |
Series 3907, Class FM | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | 05/15/261 | | | 44,674 | | | | 44,793 | |
Freddie Mac REMICS, | |
Series 3940, Class PF | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | 05/15/401 | | | 83,379 | | | | 83,438 | |
Freddie Mac REMICS, | |
Series 3946, Class FD | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | 04/15/411 | | | 147,741 | | | | 148,092 | |
Freddie Mac REMICS, | |
Series 3946, Class FG | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | 10/15/391 | | | 81,596 | | | | 81,726 | |
Freddie Mac Strips, | |
Series 263, Class F5 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.58% | | 06/15/421 | | | 207,131 | | | | 209,093 | |
Ginnie Mae (TBA) | |
2.00% | | 11/20/51 | | | 2,400,000 | | | | 2,429,469 | |
2.50% | | 11/20/51 | | | 11,825,000 | | | | 12,186,554 | |
Ginnie Mae I Pool BW5284 | |
3.55% | | 10/15/50 | | | 1,182,341 | | | | 1,190,955 | |
Ginnie Mae II Pool 80546 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.13% | | 10/20/311 | | | 6,359 | | | | 6,618 | |
Ginnie Mae II Pool 80610 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
1.88% | | 06/20/321 | | | 76,963 | | | | 80,203 | |
Ginnie Mae II Pool 80614 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.25% | | 07/20/321 | | | 7,740 | | | | 8,058 | |
Ginnie Mae II Pool 80687 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
1.88% | | 04/20/331 | | | 54,469 | | | | 55,681 | |
Ginnie Mae II Pool 8339 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.13% | | 12/20/231 | | | 4,197 | | | | 4,261 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool 8684 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.25% | | 08/20/251 | | $ | 11,482 | | | $ | 11,827 | |
Ginnie Mae II Pool MA0331 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.25% | | 08/20/421 | | | 51,335 | | | | 53,771 | |
Ginnie Mae, | |
Series 2002-72, Class FB | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | 10/20/321 | | | 71,225 | | | | 71,597 | |
Ginnie Mae, | |
Series 2002-72, Class FC | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | 10/20/321 | | | 105,065 | | | | 105,614 | |
Ginnie Mae, | |
Series 2004-2, Class FW | |
(LIBOR USD 1-Month plus 1.40%) | |
1.49% | | 01/16/341 | | | 372,857 | | | | 379,056 | |
Ginnie Mae, | |
Series 2009-92, Class FC | |
(LIBOR USD 1-Month plus 0.80%) | |
0.88% | | 10/16/391 | | | 90,900 | | | | 92,931 | |
Ginnie Mae, | |
Series 2010-19, Class FD | |
(LIBOR USD 1-Month plus 0.45%) | |
0.53% | | 07/16/391 | | | 34,614 | | | | 34,844 | |
Ginnie Mae, | |
Series 2011-70, Class IL (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) | | | | | |
0.60% | | 06/16/371 | | | 1,354,367 | | | | 14,327 | |
UMBS (TBA) | |
2.00% | | 11/01/51 | | | 5,750,000 | | | | 5,754,136 | |
2.50% | | 11/01/51 | | | 8,400,000 | | | | 8,643,785 | |
| | | | | | | | | | |
| | | | | | | | | 36,540,246 | |
| | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $64,457,904) | | | | | | | 63,912,522 | |
| | | | | | | | | | |
|
MUNICIPAL BONDS — 0.72%* | |
|
Colorado — 0.40% | |
| City & County of Denver Airport System Revenue Bonds, | | | | | |
Series C | |
0.88% | | 11/15/23 | | | 965,000 | | | | 974,212 | |
| | | | | | | | | | |
|
Florida — 0.32% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
2.32% | | 10/01/22 | | | 755,000 | | | | 769,912 | |
| | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $1,732,412) | | | | | | | 1,744,124 | |
| | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 200 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
U.S. TREASURY SECURITIES — 24.06% | |
| |
U.S. Treasury Notes — 24.06% | | | | | |
U.S. Treasury Floating Rate Notes | |
(US Treasury Bill Yield 3-Month plus 0.06%) | |
0.09% | | 10/31/221 | | $ | 12,500,000 | | | $ | 12,506,250 | |
(US Treasury Bill Yield 3-Month plus 0.11%) | |
0.15% | | 04/30/221 | | | 10,000,000 | | | | 10,006,894 | |
U.S. Treasury Notes | |
0.13% | | 07/31/23 | | | 4,850,000 | | | | 4,840,038 | |
0.13% | | 08/31/23 | | | 4,620,000 | | | | 4,608,089 | |
0.25% | | 09/30/23 | | | 3,845,000 | | | | 3,842,297 | |
0.38% | | 09/15/24 | | | 2,455,000 | | | | 2,444,163 | |
0.75% | | 08/31/26 | | | 4,075,000 | | | | 4,031,862 | |
0.88% | | 09/30/26 | | | 875,000 | | | | 870,394 | |
1.75% | | 11/30/21 | | | 15,000,000 | | | | 15,041,895 | |
| | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $58,192,227) | | | | | | | 58,191,882 | |
| | | | | | | | | | |
|
Total Bonds — 85.11% | |
(Cost $205,924,283) | | | | | | | 205,870,672 | |
| | | | | | | | | | |
| | | | | | | | |
| Issues | | | | Shares | | | Value |
|
Purchased Options - 0.03% | |
(Cost $38,976) | | | | | | | 75,000 | |
| | | | | | | | | | |
| | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 21.79% | |
|
Money Market Funds — 3.81% | |
Dreyfus Government Cash Management Fund | |
0.03%7 | | | | | 1,085,000 | | | | 1,085,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%7 | | | | | 20,264 | | | | 20,264 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%7 | | | | | 8,101,000 | | | | 8,101,000 | |
| | | | | | | | | | |
| | | | | | | | | 9,206,264 | |
| | | | | | | | | | |
|
U.S. Treasury Bills — 17.98% | |
U.S. Treasury Bills | |
0.03%8 | | 10/05/21 | | | 12,500,000 | | | | 12,499,975 | |
0.05%8 | | 10/07/21 | | | 4,000,000 | | | | 3,999,980 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS (continued) | |
| |
U.S. Treasury Bills (continued) | | | | | |
0.05%8 | | 02/10/22 | | $ | 15,000,000 | | | $ | 14,997,800 | |
0.04%8 | | 03/03/22 | | | 12,000,000 | | | | 11,998,024 | |
| | | | | | | | | | |
| | | | | | | | | 43,495,779 | |
| | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $52,701,491) | | | | 52,702,043 | |
| | | | | | | | | | |
| |
| Total Investments Before Written Options - 106.93% | | | | | |
(Cost $258,664,750) | | | | 258,647,715 | |
| | | | | | | | | | |
|
Written Options - (0.02)% | |
(Cost $(23,298)) | | | | (38,750 | ) |
| | | | | | | | | | |
Liabilities in Excess of Other Assets - (6.91)% | | | | (16,722,145 | ) |
| | | | | | | | | | |
Net Assets - 100.00% | | | $ | 241,886,820 | |
| | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2021. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | 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 $15,421, which is 0.01% 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 September 30, 2021. |
| 8 | 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.
(CLO): Collateralized Loan Obligation
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
|
| See accompanying Notes to Financial Statements. |
|
| 201 / Semi-Annual Report September 2021 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 105 | | | | 12/31/21 | | | $ | (12,887,930 | ) | | $ | 88,842 | | | $ | 88,842 | |
U.S. Treasury Two-Year Note | | | 68 | | | | 12/31/21 | | | | (14,963,719 | ) | | | 8,545 | | | | 8,545 | |
U.S. Treasury Ten-Year Ultra Bond | | | 47 | | | | 12/21/21 | | | | (6,826,750 | ) | | | 123,288 | | | | 123,288 | |
U.S. Treasury Ultra Bond | | | 7 | | | | 12/21/21 | | | | (1,337,438 | ) | | | 41,029 | | | | 41,029 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | (36,015,837 | ) | | $ | 261,704 | | | $ | 261,704 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 07/15/27 | | | 5.00% | | | | 3 Months | | | First Boston
International | | | 12/20/21 | | | $ | 390,000 | | | $ | 3,614 | | | $ | 2,562 | | | $ | 1,052 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 100 | | | | $99.13 | | | | 12/10/21 | | | $ | 15,653,689 | | | $ | 75,000 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
contracts | | | Exercise
Price | | | Expiration
Date | | | Notional Amount | | | Value | |
| | | |
WRITTEN PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 200 | | | | $98.75 | | | | 12/10/21 | | | $ | (16,227,048 | ) | | $ | (38,750 | ) |
| | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 202 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 89.52% | |
| |
ASSET-BACKED SECURITIES — 22.75%** | | | | | |
321 Henderson Receivables VI LLC, | |
Series 2010-1A, Class B | |
9.31% | | 07/15/611 | | $ | 251,805 | | | $ | 295,554 | |
ACAM Ltd., | |
Series 2019-FL1, Class B | |
(Cayman Islands) | |
(SOFR30A plus 2.01%) | |
2.06% | | 11/17/341,2,3 | | | 8,800,000 | | | | 8,727,693 | |
Accredited Mortgage Loan Trust, | |
Series 2006-1, Class A4 | |
(LIBOR USD 1-Month plus 0.28%) | |
0.64% | | 04/25/362 | | | 1,625,311 | | | | 1,616,028 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-OP2, Class A2C | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | 08/25/362 | | | 148,079 | | | | 147,607 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP1, Class A2D | |
(LIBOR USD 1-Month plus 0.38%) | |
0.47% | | 03/25/372 | | | 2,511,945 | | | | 1,522,394 | |
ACRES Commercial Realty Ltd., | |
Series 2021-FL1, Class AS | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.60%) | |
1.68% | | 06/15/361,2,3 | | | 9,831,000 | | | | 9,852,516 | |
AGL CLO 13 Ltd., | |
Series 2021-13A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.16%) | |
0.00% | | 10/20/341,2,3 | | | 12,375,000 | | | | 12,381,188 | |
AIG CLO Ltd., | |
Series 2018-1A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | 04/20/321,2,3 | | | 15,800,000 | | | | 15,800,474 | |
Allegro CLO XII Ltd., | |
Series 2020-1A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | 01/21/321,2,3 | | | 5,400,000 | | | | 5,403,510 | |
Apidos CLO XXII, | |
Series 2015-22A, Class A1R | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.06%) | |
1.19% | | 04/20/311,2,3 | | | 5,000,000 | | | | 5,000,100 | |
Asset-Backed Funding Certificates, | |
Series 2007-NC1, Class A2 | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | 05/25/371,2 | | | 4,273,328 | | | | 4,128,706 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A1A | |
(LIBOR USD 1-Month plus 1.25%) | |
1.34% | | 06/25/372 | | | 19,293,459 | | | | 17,746,754 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | 06/25/372 | | $ | 3,539,325 | | | $ | 3,505,843 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2004-HE9, Class M1 | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | 12/25/342 | | | 1,335,478 | | | | 1,328,452 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE1, Class A4 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 01/25/362 | | | 2,403,763 | | | | 2,404,236 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE5, Class A5 | |
(LIBOR USD 1-Month plus 0.24%) | |
0.33% | | 07/25/362 | | | 9,754,000 | | | | 9,501,227 | |
Barings CLO Ltd., | |
Series 2018-3A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
1.08% | | 07/20/291,2,3 | | | 6,850,000 | | | | 6,852,391 | |
Bayview Commercial Asset Trust, | |
Series 2004-2, Class A | |
(LIBOR USD 1-Month plus 0.65%) | |
0.73% | | 08/25/341,2 | | | 580,699 | | | | 578,537 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.64% | | 01/25/351,2 | | | 383,008 | | | | 378,899 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | 04/25/351,2 | | | 684,804 | | | | 672,621 | |
Blackrock Rainier CLO VI Ltd., | |
Series 2021-6A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | 04/20/331,2,3 | | | 10,000,000 | | | | 10,012,700 | |
BlueMountain CLO Ltd., | |
Series 2013-1A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.23%) | |
1.36% | | 01/20/291,2,3 | | | 2,146,027 | | | | 2,146,319 | |
BlueMountain CLO XXX Ltd., | |
Series 2020-30A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.39%) | |
1.52% | | 01/15/331,2,3 | | | 11,000,000 | | | | 11,021,450 | |
BlueMountain Fuji U.S. CLO I Ltd., | |
Series 2017-1A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.50%) | |
1.63% | | 07/20/291,2,3 | | | 5,800,000 | | | | 5,797,970 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
0.93% | | 02/25/302 | | | 16,430 | | | | 16,499 | |
|
| See accompanying Notes to Financial Statements. |
|
| 203 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Carrington Mortgage Loan Trust, | |
Series 2005-OPT2, Class M4 | |
(LIBOR USD 1-Month plus 0.98%) | |
1.06% | | 05/25/352 | | $ | 1,400,120 | | | $ | 1,412,727 | |
Carrington Mortgage Loan Trust, | |
Series 2006-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.53%) | |
0.61% | | 02/25/362 | | | 2,641,823 | | | | 2,633,750 | |
Cedar Funding XII CLO Ltd., | |
Series 2020-12A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.27%) | |
1.40% | | 10/25/321,2,3 | | | 8,000,000 | | | | 8,001,496 | |
CIT Education Loan Trust, | |
Series 2007-1, Class B | |
(LIBOR USD 3-Month plus 0.30%) | |
0.43% | | 06/25/421,2 | | | 1,950,809 | | | | 1,802,669 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | 12/25/362 | | | 7,139,008 | | | | 5,927,419 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2D | |
(LIBOR USD 1-Month plus 0.46%) | |
0.55% | | 12/25/362 | | | 7,629,474 | | | | 6,402,688 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH2, Class M1 | |
(LIBOR USD 1-Month plus 0.41%) | |
0.49% | | 08/25/362 | | | 3,467,559 | | | | 3,479,727 | |
CoreVest American Finance Trust, | |
Series 2019-1, Class XA (IO) | |
2.33% | | 03/15/521,4 | | | 21,345,395 | | | | 1,289,866 | |
CoreVest American Finance Trust, | |
Series 2019-3, Class XA (IO) | |
2.20% | | 10/15/521,4 | | | 6,336,358 | | | | 417,562 | |
CoreVest American Finance Trust, | |
Series 2020-1, Class A2 | |
2.30% | | 03/15/501 | | | 5,197,000 | | | | 5,299,210 | |
CoreVest American Finance Trust, | |
Series 2020-3, Class XA (IO) | |
3.82% | | 08/15/531,4 | | | 20,095,041 | | | | 3,010,476 | |
CoreVest American Finance Trust, | |
Series 2020-4, Class XA (IO) | |
3.87% | | 12/15/521,4 | | | 26,206,147 | | | | 3,197,543 | |
CoreVest American Finance Trust, | |
Series 2020-4, Class XB (IO) | |
2.83% | | 12/15/521,4 | | | 12,500,000 | | | | 1,744,587 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-CB2, Class AF3 (STEP-reset date 11/25/21) | | | | | |
3.10% | | 12/25/36 | | | 731,398 | | | | 736,138 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB9, Class A2 | |
(LIBOR USD 1-Month plus 0.11%) | |
0.20% | | 11/25/362 | | | 8,195,680 | | | | 4,891,113 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB1, Class AF2 (STEP-reset date 11/25/21) | |
3.26% | | 01/25/37 | | | 2,721,179 | | | | 1,153,555 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB4, Class A1A | | | | | |
(LIBOR USD 1-Month plus 0.09%) | | | | | |
0.18% | | 04/25/372 | | $ | 1,786,520 | | | $ | 1,738,557 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.06%) | | | | | |
0.15% | | 04/25/372 | | | 1,489,764 | | | | 1,113,828 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2B (STEP-reset date 11/25/21) | | | | | |
3.66% | | 02/25/37 | | | 4,956,881 | | | | 3,958,106 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2C (STEP-reset date 11/25/21) | | | | | |
3.66% | | 02/25/37 | | | 1,186,388 | | | | 947,228 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB3, Class A3 (STEP-reset date 11/25/21) | | | | | |
3.40% | | 03/25/37 | | | 5,950,768 | | | | 3,147,501 | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.82%) | | | | | |
0.94% | | 11/15/281,2,3 | | | 7,135,835 | | | | 7,138,975 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2013-1A, Class A13R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
1.38% | | 01/15/341,2,3 | | | 8,000,000 | | | | 8,018,400 | |
ECMC Group Student Loan Trust, | | | | | |
Series 2016-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | 07/26/661,2 | | | 14,308,542 | | | | 14,842,607 | |
ECMC Group Student Loan Trust, | | | | | |
Series 2017-2A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
1.14% | | 05/25/671,2 | | | 13,246,907 | | | | 13,445,759 | |
Edsouth Indenture No. 3 LLC, | | | | | |
Series 2012-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.73%) | | | | | |
0.82% | | 04/25/391,2 | | | 89,330 | | | | 89,919 | |
Education Loan Asset-Backed Trust I, | | | | | |
Series 2013-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
0.89% | | 04/26/321,2 | | | 2,949,848 | | | | 2,951,242 | |
Educational Funding of the South, Inc., | | | | | |
Series 2012-1, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
1.14% | | 03/25/362 | | | 53,538 | | | | 53,861 | |
EFS Volunteer No. 2 LLC, | | | | | |
Series 2012-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
1.44% | | 03/25/361,2 | | | 2,143,230 | | | | 2,170,394 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 204 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF11, Class 2A3 | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | 08/25/362 | | $ | 5,828,866 | | | $ | 5,728,173 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | 10/25/362 | | | 14,386,853 | | | | 11,672,037 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2D | |
(LIBOR USD 1-Month plus 0.21%) | |
0.30% | | 12/25/372 | | | 911,828 | | | | 875,822 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF4, Class A3 | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | 03/25/362 | | | 6,838,876 | | | | 6,698,483 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF9, Class 2A4 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 06/25/362 | | | 8,650,000 | | | | 8,384,935 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF1, Class A2D | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | 01/25/382 | | | 4,542,371 | | | | 3,180,247 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2B | |
(LIBOR USD 1-Month plus 0.10%) | |
0.19% | | 03/25/372 | | | 611,007 | | | | 380,048 | |
Global SC Finance II SRL, | |
Series 2014-1A, Class A2 | |
(Barbados) | |
3.09% | | 07/17/291,3 | | | 719,667 | | | | 734,105 | |
Goal Capital Funding Trust, | |
Series 2006-1, Class B | |
(LIBOR USD 3-Month plus 0.45%) | |
0.58% | | 08/25/422 | | | 347,023 | | | | 324,725 | |
GoldenTree Loan Management U.S. CLO 1 Ltd., | |
Series 2021-9A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.50%) | |
1.63% | | 01/20/331,2,3 | | | 4,075,000 | | | | 4,073,452 | |
Golub Capital Partners CLO 54M L.P, | |
Series 2021-54A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.53%) | |
1.65% | | 08/05/331,2,3 | | | 10,150,000 | | | | 10,155,897 | |
Grand Avenue CRE Ltd., | |
Series 2020-FL2, Class C | |
(Cayman Islands) | |
(SOFR30A plus 3.73%) | |
3.78% | | 03/15/351,2,3 | | | 9,625,000 | | | | 9,702,123 | |
GSAMP Trust, | | | | | |
Series 2007-FM2, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
0.23% | | 01/25/372 | | | 20,282,197 | | | | 14,549,316 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Home Equity Mortgage Loan Asset-Backed Trust, | |
Series 2005-D, Class AII4 | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | 03/25/362 | | $ | 3,918,210 | | | $ | 3,858,047 | |
HSI Asset Securitization Corp. Trust, | |
Series 2005-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.63%) | |
0.72% | | 11/25/352 | | | 2,835,438 | | | | 2,832,309 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-HE2, Class 1A | |
(LIBOR USD 1-Month plus 0.26%) | |
0.34% | | 12/25/362 | | | 29,289,688 | | | | 15,198,217 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A1 | |
(LIBOR USD 1-Month plus 0.10%) | |
0.19% | | 07/25/362 | | | 11,212,308 | | | | 6,483,158 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A2 | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | 07/25/362 | | | 12,409,865 | | | | 7,249,963 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A4 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | 07/25/362 | | | 10,851,846 | | | | 6,534,818 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | |
6.49% | | 09/25/28 | | | 32,313 | | | | 33,422 | |
J.G. Wentworth XXXVII LLC, | |
Series 2016-1A, Class A | |
3.41% | | 06/15/671 | | | 5,842,147 | | | | 6,324,113 | |
J.G. Wentworth XXXVIII LLC, | |
Series 2017-1A, Class A | |
3.99% | | 08/16/601 | | | 3,243,698 | | | | 3,687,547 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-ACC1, Class M1 | |
(LIBOR USD 1-Month plus 0.41%) | |
0.49% | | 05/25/362 | | | 2,491,388 | | | | 2,510,216 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-CH1, Class M2 | |
(LIBOR USD 1-Month plus 0.29%) | |
0.38% | | 07/25/362 | | | 10,689,488 | | | | 10,667,893 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-WMC4, Class A4 | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | 12/25/362 | | | 9,992,595 | | | | 6,482,154 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH1, Class MV3 | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | 11/25/362 | | | 4,472,564 | | | | 4,474,699 | |
LCM XXI LP, | |
Series 21A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.88%) | |
1.01% | | 04/20/281,2,3 | | | 1,843,360 | | | | 1,843,065 | |
|
| See accompanying Notes to Financial Statements. |
|
| 205 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
LCM XXIV Ltd., | |
Series 24A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
1.11% | | | 03/20/301,2,3 | | | $ | 15,000,000 | | | $ | 15,014,700 | |
Legacy Mortgage Asset Trust, | |
Series 2017-RPL1, Class A | |
(LIBOR USD 1-Month plus 1.75%) | |
1.84% | | | 01/28/701,2 | | | | 6,491,182 | | | | 6,452,961 | |
Legacy Mortgage Asset Trust, | |
| Series 2019-GS4, Class A1 (STEP-reset date 10/25/21) | | | | | |
3.44% | | | 05/25/591 | | | | 10,800,776 | | | | 10,822,674 | |
Lehman XS Trust, | |
Series 2005-4, Class 1A3 | |
(LIBOR USD 1-Month plus 0.80%) | |
0.89% | | | 10/25/352 | | | | 28,346 | | | | 28,417 | |
Lehman XS Trust, | |
Series 2006-17, Class 1A3 | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 08/25/462 | | | | 16,548,745 | | | | 16,118,327 | |
M360 LLC, | |
Series 2019-CRE2, Class A | |
(Cayman Islands) | |
(SOFR30A plus 1.51%) | |
1.56% | | | 09/15/341,2,3 | | | | 5,716,746 | | | | 5,722,379 | |
Magnetite XVIII Ltd., | |
Series 2016-18A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.08%) | |
1.20% | | | 11/15/281,2,3 | | | | 2,550,000 | | | | 2,550,793 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-WMC1, Class A3 | |
(LIBOR USD 1-Month plus 0.36%) | |
0.45% | | | 02/25/362 | | | | 18,077,451 | | | | 9,257,015 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A4 | |
(LIBOR USD 1-Month plus 0.28%) | |
0.37% | | | 05/25/372 | | | | 3,150,000 | | | | 2,902,968 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-WMC1, Class A2 | |
(LIBOR USD 1-Month plus 0.05%) | |
0.14% | | | 01/25/372 | | | | 17,488,188 | | | | 7,061,823 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |
Series 2007-4, Class 2A4 | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 07/25/372 | | | | 1,026,141 | | | | 910,944 | |
Merrill Lynch First Franklin Mortgage Loan Trust | |
Series 2007-5, Class 1A | |
(LIBOR USD 1-Month plus 0.85%) | |
0.94% | | | 10/25/372 | | | | 26,415,324 | | | | 19,176,411 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A2C | |
(LIBOR USD 1-Month plus 0.25%) | |
0.34% | | | 04/25/372 | | | | 19,315,609 | | | | 11,006,034 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
MF1 Ltd., | |
Series 2021-FL6, Class AS | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.45%) | |
1.53% | | 07/16/361,2,3 | | $ | 6,684,000 | | | $ | 6,700,690 | |
Mid-State Capital Corp. Trust, | |
Series 2004-1, Class B | |
8.90% | | 08/15/37 | | | 31,533 | | | | 35,205 | |
Morgan Stanley ABS Capital I Trust, | |
Series 2006-NC2, Class A2D | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | 02/25/362 | | | 1,699,650 | | | | 1,698,077 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A3 | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | 06/25/362 | | | 10,451,955 | | | | 6,965,763 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A4 | |
(LIBOR USD 1-Month plus 0.48%) | |
0.57% | | 06/25/362 | | | 11,149,876 | | | | 7,553,580 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2007-NC3, Class A2C | |
(LIBOR USD 1-Month plus 0.19%) | |
0.28% | | 05/25/372 | | | 20,805,109 | | | | 18,446,427 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2006-3, Class A4 | |
(LIBOR USD 1-Month plus 0.52%) | |
0.61% | | 04/25/362 | | | 14,045,211 | | | | 12,399,451 | |
Nelnet Student Loan Trust, | |
Series 2006-2, Class B | |
(LIBOR USD 3-Month plus 0.20%) | |
0.33% | | 01/25/382 | | | 2,762,567 | | | | 2,464,939 | |
Nelnet Student Loan Trust, | |
Series 2007-1, Class A3 | |
(LIBOR USD 3-Month plus 0.07%) | |
0.20% | | 05/27/252 | | | 330,664 | | | | 330,373 | |
Nelnet Student Loan Trust, | |
Series 2012-5A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 10/27/361,2 | | | 87,332 | | | | 87,137 | |
Nelnet Student Loan Trust, | |
Series 2014-4A, Class A2 | |
(LIBOR USD 1-Month plus 0.95%) | |
1.04% | | 11/25/481,2 | | | 1,865,000 | | | | 1,901,483 | |
Nelnet Student Loan Trust, | |
Series 2015-1A, Class A | |
(LIBOR USD 1-Month plus 0.59%) | |
0.68% | | 04/25/461,2 | | | 1,785,732 | | | | 1,780,922 | |
Nelnet Student Loan Trust, | |
Series 2015-3A, Class A3 | |
(LIBOR USD 1-Month plus 0.90%) | |
0.99% | | 06/25/541,2 | | | 11,000,000 | | | | 11,121,055 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class A2D | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | 02/25/362 | | | 1,045,434 | | | | 1,009,645 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 206 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Oakwood Mortgage Investors, Inc., | |
Series 2000-A, Class A5 | |
8.16% | | 09/15/294 | | $ | 10,364,173 | | | $ | 4,091,737 | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.16%) | |
1.27% | | 07/15/361,2,3 | | | 11,700,000 | | | | 11,737,358 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.25%) | |
1.38% | | 10/19/321,2,3 | | | 11,000,000 | | | | 11,001,650 | |
Option One Mortgage Loan Trust, | |
Series 2007-4, Class 2A2 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | 04/25/372 | | | 14,841,133 | | | | 10,382,176 | |
Option One Mortgage Loan Trust, | |
Series 2007-5, Class 2A2 | |
(LIBOR USD 1-Month plus 0.17%) | |
0.26% | | 05/25/372 | | | 20,796,296 | | | | 13,824,188 | |
Ownit Mortgage Loan Trust, | |
Series 2006-2, Class A1 | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | 01/25/372 | | | 6,388,381 | | | | 5,948,863 | |
Palmer Square CLO Ltd., | |
Series 2020-3A, Class A1A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.37%) | |
1.49% | | 11/15/311,2,3 | | | 7,200,000 | | | | 7,215,682 | |
Palmer Square Loan Funding Ltd., | |
Series 2019-4A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
1.03% | | 10/24/271,2,3 | | | 2,236,456 | | | | 2,236,847 | |
Palmer Square Loan Funding Ltd., | |
Series 2020-2A, Class A2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.55%) | |
1.68% | | 04/20/281,2,3 | | | 3,785,000 | | | | 3,785,954 | |
Park Avenue Institutional Advisers CLO Ltd., | |
Series 2021-1A, Class A2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.75%) | |
1.88% | | 01/20/341,2,3 | | | 5,000,000 | | | | 5,003,785 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
(LIBOR USD 1-Month plus 0.31%) | |
0.40% | | 06/25/472 | | | 5,152,000 | | | | 4,923,063 | |
Residential Asset Securities Corp., | |
Series 2005-KS9, Class M4 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.99% | | 10/25/352 | | | 1,586,462 | | | | 1,588,487 | |
Sabey Data Center Issuer LLC, | |
Series 2020-1, Class A2 | |
3.81% | | 04/20/451 | | | 7,905,000 | | | | 8,369,046 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Saxon Asset Securities Trust, | |
Series 2005-4, Class M1 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | 11/25/372 | | $ | 1,532,470 | | | $ | 1,534,252 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2C | |
(LIBOR USD 1-Month plus 0.24%) | |
0.33% | | 05/25/472 | | | 14,824,026 | | | | 12,918,238 | |
Securitized Asset-Backed Receivables LLC Trust, | |
| Series 2006-CB1, Class AF4 (STEP-reset date 11/25/21) | | | | | |
2.92% | | 01/25/36 | | | 3,987,652 | | | | 3,677,656 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR2, Class A2 | |
(LIBOR USD 1-Month plus 0.23%) | |
0.32% | | 02/25/372 | | | 1,149,937 | | | | 628,884 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR4, Class A2B | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | 05/25/372 | | | 2,230,781 | | | | 1,627,198 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC1, Class A2B | |
(LIBOR USD 1-Month plus 0.15%) | |
0.24% | | 12/25/362 | | | 6,423,954 | | | | 4,619,634 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | 12/30/995,6 | | | 9,971,908 | | | | 10,000,343 | |
SLC Student Loan Trust, | |
Series 2004-1, Class B | |
(LIBOR USD 3-Month plus 0.29%) | |
0.41% | | 08/15/312 | | | 420,377 | | | | 393,354 | |
SLC Student Loan Trust, | |
Series 2008-1, Class A4A | |
(LIBOR USD 3-Month plus 1.60%) | |
1.72% | | 12/15/322 | | | 2,358,627 | | | | 2,426,241 | |
SLM Student Loan EDC Repackaging Trust, | |
Series 2013-M1, Class M1R | |
0.00% | | 10/28/29†,1 | | | 6,250 | | | | 6,344,375 | |
SLM Student Loan Trust, | |
Series 2003-12, Class B | |
(LIBOR USD 3-Month plus 0.59%) | |
0.71% | | 03/15/382 | | | 3,933,281 | | | | 3,788,896 | |
SLM Student Loan Trust, | |
Series 2003-4, Class A5D | |
(LIBOR USD 3-Month plus 0.75%) | |
0.87% | | 03/15/331,2 | | | 1,870,927 | | | | 1,852,045 | |
SLM Student Loan Trust, | |
Series 2003-7, Class B | |
(LIBOR USD 3-Month plus 0.57%) | |
0.69% | | 09/15/392 | | | 2,781,383 | | | | 2,624,302 | |
SLM Student Loan Trust, | |
Series 2004-10, Class B | |
(LIBOR USD 3-Month plus 0.37%) | |
0.50% | | 01/25/402 | | | 8,138,500 | | | | 7,792,237 | |
SLM Student Loan Trust, | |
Series 2004-2, Class B | |
(LIBOR USD 3-Month plus 0.47%) | |
0.60% | | 07/25/392 | | | 485,267 | | | | 467,632 | |
|
| See accompanying Notes to Financial Statements. |
|
| 207 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2005-3, Class B | |
(LIBOR USD 3-Month plus 0.15%) | |
0.28% | | 04/25/402 | | $ | 2,692,326 | | | $ | 2,527,305 | |
SLM Student Loan Trust, | |
Series 2006-8, Class B | |
(LIBOR USD 3-Month plus 0.23%) | |
0.36% | | 01/25/412 | | | 3,156,508 | | | | 2,945,542 | |
SLM Student Loan Trust, | |
Series 2007-2, Class B | |
(LIBOR USD 3-Month plus 0.17%) | |
0.30% | | 07/25/252 | | | 12,800,000 | | | | 11,605,888 | |
SLM Student Loan Trust, | |
Series 2007-3, Class A4 | |
(LIBOR USD 3-Month plus 0.06%) | |
0.19% | | 01/25/222 | | | 151,785 | | | | 147,789 | |
SLM Student Loan Trust, | |
Series 2007-3, Class B | |
(LIBOR USD 3-Month plus 0.15%) | |
0.28% | | 01/25/282 | | | 12,800,000 | | | | 12,040,317 | |
SLM Student Loan Trust, | |
Series 2007-7, Class B | |
(LIBOR USD 3-Month plus 0.75%) | |
0.88% | | 10/27/702 | | | 2,195,000 | | | | 2,004,939 | |
SLM Student Loan Trust, | |
Series 2007-8, Class B | |
(LIBOR USD 3-Month plus 1.00%) | |
1.13% | | 04/27/832 | | | 4,281,635 | | | | 4,106,358 | |
SLM Student Loan Trust, | |
Series 2008-2, Class A3 | |
(LIBOR USD 3-Month plus 0.75%) | |
0.88% | | 04/25/232 | | | 11,923,924 | | | | 11,805,650 | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | 01/25/832 | | | 1,000,000 | | | | 960,536 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
1.33% | | 04/26/832 | | | 710,000 | | | | 670,715 | |
SLM Student Loan Trust, | |
Series 2008-4, Class A4 | |
(LIBOR USD 3-Month plus 1.65%) | |
1.78% | | 07/25/222 | | | 1,009,243 | | | | 1,029,903 | |
SLM Student Loan Trust, | |
Series 2008-4, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | 04/25/732 | | | 710,000 | | | | 713,630 | |
SLM Student Loan Trust, | |
Series 2008-5, Class A4 | |
(LIBOR USD 3-Month plus 1.70%) | |
1.83% | | 07/25/232 | | | 6,992,306 | | | | 7,061,740 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | 07/25/732 | | | 7,315,000 | | | | 7,245,186 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(LIBOR USD 3-Month plus 1.10%) | |
1.23% | | 07/25/232 | | $ | 7,829,521 | | | $ | 7,873,434 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | 07/26/832 | | | 710,000 | | | | 714,077 | |
SLM Student Loan Trust, | |
Series 2008-7, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
1.98% | | 07/26/832 | | | 820,000 | | | | 823,397 | |
SLM Student Loan Trust, | |
Series 2008-8, Class A4 | |
(LIBOR USD 3-Month plus 1.50%) | |
1.63% | | 04/25/232 | | | 1,247,410 | | | | 1,255,271 | |
SLM Student Loan Trust, | |
Series 2008-8, Class B | |
(LIBOR USD 3-Month plus 2.25%) | |
2.38% | | 10/25/752 | | | 735,000 | | | | 740,426 | |
SLM Student Loan Trust, | |
Series 2008-9, Class A | |
(LIBOR USD 3-Month plus 1.50%) | |
1.63% | | 04/25/232 | | | 1,728,959 | | | | 1,741,158 | |
SLM Student Loan Trust, | |
Series 2008-9, Class B | |
(LIBOR USD 3-Month plus 2.25%) | |
2.38% | | 10/25/832 | | | 7,235,000 | | | | 7,311,351 | |
SLM Student Loan Trust, | |
Series 2009-3, Class A | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | 01/25/451,2 | | | 6,884,731 | | | | 6,925,599 | |
SLM Student Loan Trust, | |
Series 2011-2, Class A2 | |
(LIBOR USD 1-Month plus 1.20%) | |
1.29% | | 10/25/342 | | | 4,035,000 | | | | 4,105,466 | |
SLM Student Loan Trust, | |
Series 2012-1, Class A3 | |
(LIBOR USD 1-Month plus 0.95%) | |
1.04% | | 09/25/282 | | | 769,513 | | | | 763,216 | |
SLM Student Loan Trust, | |
Series 2012-2, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
0.79% | | 01/25/292 | | | 1,136,272 | | | | 1,118,859 | |
SLM Student Loan Trust, | |
Series 2012-7, Class A3 | |
(LIBOR USD 1-Month plus 0.65%) | |
0.74% | | 05/26/262 | | | 2,893,760 | | | | 2,839,713 | |
SLM Student Loan Trust, | |
Series 2012-7, Class B | |
(LIBOR USD 1-Month plus 1.80%) | |
1.89% | | 09/25/432 | | | 2,200,000 | | | | 2,204,745 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
0.64% | | 06/25/432 | | | 1,003,994 | | | | 999,022 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 208 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2014-1, Class A3 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | 02/26/292 | | $ | 1,006,802 | | | $ | 984,841 | |
Soundview Home Loan Trust, | |
Series 2006-WF2, Class M1 | |
(LIBOR USD 1-Month plus 0.33%) | |
0.42% | | 12/25/362 | | | 4,288,556 | | | | 4,273,242 | |
Soundview Home Loan Trust, | |
Series 2007-OPT1, Class 2A3 | |
(LIBOR USD 1-Month plus 0.21%) | |
0.30% | | 06/25/372 | | | 21,929,432 | | | | 18,801,118 | |
Soundview Home Loan Trust, | |
Series 2007-WMC1, Class 3A3 | |
(LIBOR USD 1-Month plus 0.26%) | |
0.35% | | 02/25/372 | | | 1,048,765 | | | | 396,009 | |
Structured Asset Investment Loan Trust, | |
Series 2004-6, Class A3 | |
(LIBOR USD 1-Month plus 0.80%) | |
0.89% | | 07/25/342 | | | 11,020,192 | | | | 10,319,085 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2005-2XS, Class 2A2 | |
(LIBOR USD 1-Month plus 1.50%) | |
1.59% | | 02/25/352 | | | 93,338 | | | | 94,738 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2005-4XS, Class 2A1A | |
(LIBOR USD 1-Month plus 1.75%) | |
1.84% | | 03/25/352 | | | 1,226,606 | | | | 1,255,154 | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | 01/16/461 | | | 1,514,284 | | | | 1,705,375 | |
Structured Receivables Finance LLC, | |
Series 2010-B, Class B | |
7.97% | | 08/15/361 | | | 1,093,772 | | | | 1,309,266 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | |
(28 Day Auction Rate plus 0.00%) | |
1.61% | | 1.611,2 | | | 150,000 | | | | 138,393 | |
TAL Advantage VII LLC, | |
Series 2020-1A, Class A | |
2.05% | | 09/20/451 | | | 9,576,500 | | | | 9,663,246 | |
TCI-Flatiron CLO Ltd., | |
Series 2016-1A, Class BR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.60%) | |
1.73% | | 01/17/321,2,3 | | | 3,000,000 | | | | 3,001,740 | |
Textainer Marine Containers VIII Ltd., | |
Series 2020-2A, Class A | |
(Bermuda) | | | | | | | | | | |
2.10% | | 09/20/451,3 | | | 11,630,954 | | | | 11,758,732 | |
Textainer Marine Containers VIII Ltd., | |
Series 2020-3A, Class A | |
(Bermuda) | | | | | | | | | | |
2.11% | | 09/20/451,3 | | | 7,908,300 | | | | 7,985,760 | |
TIF Funding II LLC, | |
Series 2020-1A, Class A | |
2.09% | | 08/20/451 | | | 3,333,550 | | | | 3,360,336 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
(LIBOR USD 1-Month plus 0.11%) | |
0.20% | | | 01/25/372 | | | $ | 5,906,787 | | | $ | 3,664,106 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE2, Class 2A2 | |
(LIBOR USD 1-Month plus 0.22%) | |
0.31% | | | 02/25/372 | | | | 30,028,315 | | | | 12,386,609 | |
| Wells Fargo Home Equity Asset-Backed Securities Trust, | | | | | |
Series 2007-1, Class A3 | |
(LIBOR USD 1-Month plus 0.64%) | |
0.73% | | | 03/25/372 | | | | 4,690,000 | �� | | | 4,350,045 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $943,581,033) | | | | 932,548,898 | |
| | | | | | | | | | | | |
|
BANK LOANS — 4.35%* | |
|
Automotive — 0.01% | |
Clarios Global LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 04/30/262 | | | | 507,125 | | | | 505,540 | |
| | | | | | | | | | | | |
|
Communications — 0.56% | |
CenturyLink, Inc., | |
Term Loan A, 1st Lien | |
(LIBOR plus 2.00%) | |
2.08% | | | 01/31/252 | | | | 912,500 | | | | 908,266 | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 03/15/272 | | | | 1,833,504 | | | | 1,816,058 | |
Connect Finco SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 12/11/262 | | | | 2,955,000 | | | | 2,960,541 | |
CSC Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 07/17/252 | | | | 1,041,839 | | | | 1,029,384 | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
2.58% | | | 04/15/272 | | | | 1,042,065 | | | | 1,031,754 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 08/02/272 | | | | 3,150,000 | | | | 3,155,576 | |
Frontier Communications holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 05/01/282 | | | | 4,477,500 | | | | 4,481,687 | |
GTT Communications BV, | |
Term Loan B, 1st Lien | |
(EURIBOR plus 3.25%) | |
3.25% | | | 05/31/252 | | | | 634,756 | | | | 626,682 | |
GTT Communications, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 05/30/252 | | | | 933,061 | | | | 795,434 | |
|
| See accompanying Notes to Financial Statements. |
|
| 209 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
Intelsat Jackson Holdings SA, | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
(LIBOR plus 4.75%) | |
5.75% | | 07/13/222,3,7 | | $ | 2,210,358 | | | $ | 2,229,698 | |
Level 3 Parent LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | 03/01/272 | | | 2,750,000 | | | | 2,719,791 | |
Zayo Group Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | 03/09/272 | | | 1,113,487 | | | | 1,104,952 | |
| | | | | | | | | | |
| | | | | | | | | 22,859,823 | |
| | | | | | | | | | |
|
Consumer Discretionary — 0.57% | |
ADMI Corp., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 3.13%) | |
3.63% | | 12/23/272 | | | 1,492,500 | | | | 1,482,373 | |
Kwor Acquisition, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | 06/03/262 | | | 5,309,264 | | | | 5,269,445 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | 02/01/282 | | | 4,527,250 | | | | 4,537,866 | |
Sunshine Luxembourg VII SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | 10/01/262 | | | 3,482,500 | | | | 3,496,221 | |
Triton Water Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | 03/31/282 | | | 5,810,438 | | | | 5,810,089 | |
Waystar technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | 10/22/262 | | | 2,950,088 | | | | 2,955,619 | |
| | | | | | | | | | |
| | | | | | | | | 23,551,613 | |
| | | | | | | | | | |
|
Electric — 0.11% | |
CommScope, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | 04/06/262 | | | 3,957,215 | | | | 3,945,264 | |
Homer City Generation LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 11.00%) | |
15.00% | | 04/05/232,5,6 | | | 461,595 | | | | 334,656 | |
Vistra Operations Co., LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | 12/31/252 | | | 284,440 | | | | 282,604 | |
| | | | | | | | | | |
| | | | | | | | | 4,562,524 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Entertainment — 0.12% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | 02/28/252 | | $ | 4,530,707 | | | $ | 3,747,257 | |
Crown Finance U.S., Inc., | |
Term Loan B1, 1st Lien | |
7.00% | | 05/23/242 | | | 1,050,983 | | | | 1,302,346 | |
| | | | | | | | | | |
| | | | | | | | | 5,049,603 | |
| | | | | | | | | | |
|
Finance — 0.17% | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | | | | | | | | |
2.75% | | 12/01/272 | | | 1,994,975 | | | | 1,998,845 | |
DCG Acquisition Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.50%) | |
4.59% | | 09/30/262 | | | 372,181 | | | | 373,111 | |
Mirion Technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.08% | | 03/06/262 | | | 965,102 | | | | 968,122 | |
Schweitzer-Mauduit International, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | 02/09/282 | | | 3,615,938 | | | | 3,620,458 | |
| | | | | | | | | | |
| | | | | | | | | 6,960,536 | |
| | | | | | | | | | |
|
Food — 0.17% | |
Hostess Brands LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | 08/03/252 | | | 1,031,579 | | | | 1,029,841 | |
Houston Foods, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | 07/20/252 | | | 3,293,529 | | | | 3,256,477 | |
Shearer’s Foods LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.25% | | 09/23/272 | | | 2,481,250 | | | | 2,481,250 | |
| | | | | | | | | | |
| | | | | | | | | 6,767,568 | |
| | | | | | | | | | |
|
Health Care — 0.64% | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
2.50% | | 01/15/252 | | | 175,812 | | | | 175,330 | |
Change Healthcare Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.50% | | 03/01/242 | | | 445,513 | | | | 445,535 | |
CPI Holdco LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | 11/04/262 | | | 1,090,192 | | | | 1,091,560 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 210 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 08/01/27 | 2 | | $ | 3,767,006 | | | $ | 3,725,626 | |
Endo Luxembourg Finance Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.75% | | | 03/27/28 | 2 | | | 3,034,750 | | | | 2,974,692 | |
Gentiva Health Services, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
2.88% | | | 07/02/25 | 2 | | | 2,879,260 | | | | 2,881,650 | |
Grifols Worldwide Operations USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.07% | | | 11/15/27 | 2 | | | 2,726,686 | | | | 2,685,785 | |
Horizon Therapeutics USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
2.50% | | | 03/15/28 | 2 | | | 3,820,800 | | | | 3,818,412 | |
ICON Luxembourg SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 07/03/28 | 2 | | | 1,513,238 | | | | 1,519,957 | |
Indigo Merger Sub, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | |
3.00% | | | 07/03/28 | 2 | | | 377,024 | | | | 378,698 | |
Pathway Vet Alliance LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
3.83% | | | 03/31/27 | 2 | | | 1,139,754 | | | | 1,138,922 | |
Phoenix Newco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
3.50% | | | 08/11/28 | 2 | | | 2,750,000 | | | | 2,753,877 | |
U.S. Renal Care, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
5.08% | | | 06/26/26 | 2 | | | 1,167,272 | | | | 1,167,272 | |
(LIBOR plus 5.50%) | |
6.50% | | | 06/26/26 | 2 | | | 500,000 | | | | 502,893 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.08% | | | 06/02/25 | 2 | | | 1,026,650 | | | | 1,026,522 | |
| | | | | | | | | | | | |
| | | | 26,286,731 | |
| | | | | | | | | | | | |
|
Industrials — 0.73% | |
Arterrsa Services LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
4.50% | | | 03/06/25 | 2 | | | 1,995,000 | | | | 1,987,529 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
1.86% | | | 07/01/26 | 2 | | $ | 4,807,567 | | | $ | 4,787,134 | |
Charter NEX U.S., Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 12/01/27 | 2 | | | 3,333,250 | | | | 3,344,450 | |
Liqui-Box Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
5.50% | | | 02/26/27 | 2 | | | 1,728,125 | | | | 1,638,841 | |
Michaels Cos., Inc. (The), | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 04/15/28 | 2 | | | 3,491,250 | | | | 3,498,774 | |
Plaze, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/03/26 | 2 | | | 1,720,220 | | | | 1,712,703 | |
(LIBOR plus 3.75%) | |
4.50% | | | 08/03/26 | 2 | | | 3,473,750 | | | | 3,475,209 | |
Proampac PG Borrower LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.50% | | | 11/03/25 | 2 | | | 3,233,750 | | | | 3,243,855 | |
TransDigm, Inc., | |
Term Loan E, 1st Lien | |
(LIBOR plus 2.25%) | |
2.33% | | | 05/30/25 | 2 | | | 491,250 | | | | 485,802 | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
5.00% | | | 08/12/24 | 2 | | | 5,952,261 | | | | 5,822,055 | |
| | | | | | | | | | | | |
| | | | 29,996,352 | |
| | | | | | | | | | | | |
|
Information Technology — 0.51% | |
AppLovin Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.33% | | | 08/15/25 | 2 | | | 3,775,880 | | | | 3,775,578 | |
CT Technologies Intermediate Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
5.00% | | | 12/16/25 | 2 | | | 945,250 | | | | 948,057 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 08/14/25 | 2 | | | 5,198,342 | | | | 5,145,059 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 10/01/27 | 2 | | | 2,248,672 | | | | 2,257,104 | |
|
| See accompanying Notes to Financial Statements. |
|
| 211 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Helios Software Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
3.92% | | | 03/11/28 | 2 | | $ | 1,657,143 | | | $ | 1,657,350 | |
IQVIA, Inc., | |
Term Loan B1, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 03/07/24 | 2 | | | 643,453 | | | | 643,211 | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.88% | | | 06/11/25 | 2 | | | 909,227 | | | | 908,545 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 03/04/28 | 2 | | | 4,768,050 | | | | 4,786,741 | |
SS&C Technologies, Inc., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 2 | | | 358,485 | | | | 355,417 | |
Term Loan B4, 1st Lien | |
(LIBOR plus 1.75%) | |
1.83% | | | 04/16/25 | 2 | | | 271,460 | | | | 269,136 | |
| | | | | | | | | | | | |
| | | | 20,746,198 | |
| | | | | | | | | | | | |
|
Insurance — 0.03% | |
Acrisure LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.63% | | | 02/15/27 | 2 | | | 1,141,310 | | | | 1,132,750 | |
| | | | | | | | | | | | |
|
Materials — 0.07% | |
Herens U.S. Holdco Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.75% | | | 07/03/28 | 2 | | | 2,842,875 | | | | 2,855,057 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.22% | |
Aveanna Healthcare LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
4.25% | | | 07/01/28 | 2 | | | 3,042,453 | | | | 3,045,069 | |
Rent-A-Center, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
3.75% | | | 02/17/28 | 2 | | | 3,950,150 | | | | 3,969,901 | |
SBA Senior Finance II LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
1.84% | | | 04/11/25 | 2 | | | 2,210,738 | | | | 2,192,201 | |
| | | | | | | | | | | | |
| | | | 9,207,171 | |
| | | | | | | | | | | | |
|
Retail — 0.30% | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
3.00% | | | 02/19/28 | 2 | | | 7,195,635 | | | | 7,159,693 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Retail (continued) | |
Aveanna Healthcare LLC, | |
Delayed-Draw Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
4.00% | | | 07/17/28 | 2 | | $ | 707,547 | | | $ | 708,156 | |
BC ULC, | |
Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 1.75%) | |
1.84% | | | 11/19/26 | 2,3 | | | 706,709 | | | | 699,345 | |
BW Gas & Convenience Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
4.00% | | | 03/17/28 | 2 | | | 3,591,000 | | | | 3,599,978 | |
| | | | | | | | | | | | |
| | | | 12,167,172 | |
| | | | | | | | | | | | |
|
Services — 0.09% | |
Amentum Government Services Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
3.58% | | | 01/31/27 | 2 | | | 2,984,887 | | | | 2,987,379 | |
GFL Environmental, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
3.50% | | | 05/30/25 | 2 | | | 597,771 | | | | 599,547 | |
| | | | | | | | | | | | |
| | | | 3,586,926 | |
| | | | | | | | | | | | |
|
Transportation — 0.05% | |
Kenan Advantage Group, Inc. (The), | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
8.00% | | | 08/17/29 | 2 | | | 2,155,000 | | | | 2,141,531 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $177,423,980) | | | | 178,377,095 | |
| | | | | | | | | | | | |
|
CORPORATES — 23.60%* | |
|
Banking — 4.38% | |
Bank of America Corp. | |
1.73% | | | 07/22/27 | 4 | | | 7,580,000 | | | | 7,621,563 | |
Bank of America Corp. | |
(MTN) | |
2.09% | | | 06/14/29 | 4 | | | 7,505,000 | | | | 7,499,932 | |
3.09% | | | 10/01/25 | 4 | | | 8,295,000 | | | | 8,820,399 | |
3.97% | | | 03/05/29 | 4 | | | 790,000 | | | | 877,903 | |
Bank of America Corp., | |
Series N | |
1.66% | | | 03/11/27 | 4 | | | 14,050,000 | | | | 14,144,523 | |
Comerica, Inc. | |
5.63% | | | 10/01/70 | 4 | | | 2,145,000 | | | | 2,367,544 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/27 | 1,3,4 | | | 3,045,000 | | | | 2,980,908 | |
2.19% | | | 06/05/26 | 1,3,4 | | | 8,574,000 | | | | 8,746,474 | |
3.09% | | | 05/14/32 | 1,3,4 | | | 3,560,000 | | | | 3,653,369 | |
3.75% | | | 03/26/25 | 3 | | | 2,595,000 | | | | 2,799,728 | |
4.55% | | | 04/17/26 | 3 | | | 940,000 | | | | 1,056,464 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 212 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
Discover Bank | |
(BKNT) | |
3.45% | | | 07/27/26 | | | $ | 2,811,000 | | | $ | 3,049,204 | |
DNB Bank ASA | |
(Norway) | |
1.13% | | | 09/16/26 | 1,3,4 | | | 165,000 | | | | 163,315 | |
1.61% | | | 03/30/28 | 1,3,4 | | | 6,000,000 | | | | 5,975,261 | |
Global Bank Corp. | |
(Panama) | |
5.25% | | | 04/16/29 | 1,3,4 | | | 600,000 | | | | 633,750 | |
Global Bank Corp., | |
Series REGS | |
(Panama) | |
5.25% | | | 04/16/29 | 3,4 | | | 1,000,000 | | | | 1,056,250 | |
HSBC Holdings PLC | |
(United Kingdom) | |
1.59% | | | 05/24/27 | 3,4 | | | 2,575,000 | | | | 2,558,837 | |
1.75% | | | 07/24/27 | 3,4 | | | 1,425,000 | | | | 1,920,142 | |
2.01% | | | 09/22/28 | 3,4 | | | 290,000 | | | | 290,162 | |
2.10% | | | 06/04/26 | 3,4 | | | 3,620,000 | | | | 3,700,624 | |
2.21% | | | 08/17/29 | 3,4 | | | 14,100,000 | | | | 14,002,732 | |
4.29% | | | 09/12/26 | 3,4 | | | 2,100,000 | | | | 2,315,288 | |
JPMorgan Chase & Co. | |
0.97% | | | 06/23/25 | 4 | | | 6,645,000 | | | | 6,654,138 | |
1.47% | | | 09/22/27 | 4 | | | 6,095,000 | | | | 6,054,730 | |
1.58% | | | 04/22/27 | 4 | | | 10,020,000 | | | | 10,042,699 | |
2.01% | | | 03/13/26 | 4 | | | 5,000,000 | | | | 5,126,366 | |
2.08% | | | 04/22/26 | 4 | | | 1,720,000 | | | | 1,769,777 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | | 05/11/27 | 3,4 | | | 2,000,000 | | | | 1,999,011 | |
3.87% | | | 07/09/25 | 3,4 | | | 8,725,000 | | | | 9,409,733 | |
Macquarie Group Ltd. | |
(Australia) | |
2.69% | | | 06/23/32 | 1,3,4 | | | 2,290,000 | | | | 2,287,955 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/25 | 3,4 | | | 7,587,000 | | | | 8,188,635 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.09% | | | 03/15/25 | 3,4 | | | 7,075,000 | | | | 7,090,310 | |
1.53% | | | 08/21/26 | 3,4 | | | 1,210,000 | | | | 1,208,064 | |
1.67% | | | 06/14/27 | 3,4 | | | 1,475,000 | | | | 1,469,924 | |
3.37% | | | 01/05/24 | 3,4 | | | 900,000 | | | | 930,091 | |
4.80% | | | 11/15/24 | 3,4 | | | 2,915,000 | | | | 3,156,716 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | | 11/07/23 | 1,3 | | | 3,415,000 | | | | 3,694,586 | |
UBS AG | |
(Switzerland) | |
0.70% | | | 08/09/24 | 1,3 | | | 5,865,000 | | | | 5,852,375 | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | | 02/11/26 | 4 | | | 680,000 | | | | 701,687 | |
2.39% | | | 06/02/28 | 4 | | | 3,665,000 | | | | 3,783,197 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
2.88% | | | 10/30/30 | 4 | | $ | 3,848,000 | | | $ | 4,026,458 | |
| | | | | | | | | | | | |
| | | | 179,680,824 | |
| | | | | | | | | | | | |
|
Communications — 3.75% | |
AT&T, Inc. | |
2.55% | | | 12/01/33 | | | | 5,346,000 | | | | 5,264,372 | |
3.55% | | | 09/15/55 | | | | 511,000 | | | | 505,077 | |
3.80% | | | 12/01/57 | | | | 10,051,000 | | | | 10,303,559 | |
4.30% | | | 12/15/42 | | | | 2,300,000 | | | | 2,565,843 | |
4.50% | | | 05/15/35 | | | | 2,150,000 | | | | 2,516,664 | |
4.75% | | | 05/15/46 | | | | 1,875,000 | | | | 2,246,889 | |
5.25% | | | 03/01/37 | | | | 6,985,000 | | | | 8,664,611 | |
C&W Senior Financing DAC | |
(Ireland) | |
6.88% | | | 09/15/27 | 1,3 | | | 1,200,000 | | | | 1,263,120 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
5.38% | | | 05/01/47 | | | | 3,050,000 | | | | 3,662,156 | |
5.75% | | | 04/01/48 | | | | 827,000 | | | | 1,050,232 | |
CSC Holdings LLC | |
4.50% | | | 11/15/31 | 1 | | | 2,500,000 | | | | 2,472,650 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 1 | | | 5,011,000 | | | | 3,330,352 | |
6.63% | | | 08/15/27 | 1 | | | 6,465,000 | | | | 2,878,135 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
8.50% | | | 10/15/24 | 1,3,8,9 | | | 7,892,000 | | | | 4,577,360 | |
9.75% | | | 07/15/25 | 1,3,8,9 | | | 6,820,000 | | | | 3,846,747 | |
Level 3 Financing, Inc. | |
3.40% | | | 03/01/27 | 1 | | | 1,130,000 | | | | 1,190,526 | |
3.88% | | | 11/15/29 | 1 | | | 2,820,000 | | | | 3,018,951 | |
Lumen Technologies, Inc. | |
5.38% | | | 06/15/29 | 1 | | | 3,796,000 | | | | 3,878,032 | |
National CineMedia LLC | |
5.88% | | | 04/15/28 | 1 | | | 4,452,000 | | | | 4,081,549 | |
Scripps Escrow II, Inc. | |
5.38% | | | 01/15/31 | 1 | | | 5,342,000 | | | | 5,259,867 | |
SES GLOBAL Americas Holdings GP | | | | | |
5.30% | | | 03/25/44 | 1 | | | 8,494,000 | | | | 9,732,564 | |
Sinclair Television Group, Inc. | |
4.13% | | | 12/01/30 | 1 | | | 5,883,000 | | | | 5,757,986 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | | 03/20/25 | 1 | | | 9,931,250 | | | | 10,618,989 | |
5.15% | | | 03/20/28 | 1 | | | 12,400,000 | | | | 14,186,220 | |
Tencent Holdings Ltd. | |
(Cayman Islands) | |
3.84% | | | 04/22/51 | 1,3 | | | 3,585,000 | | | | 3,771,710 | |
Time Warner Cable LLC | |
5.50% | | | 09/01/41 | | | | 2,972,000 | | | | 3,648,120 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | 1 | | | 5,557,000 | | | | 5,626,773 | |
2.55% | | | 02/15/31 | | | | 115,000 | | | | 115,485 | |
2.63% | | | 04/15/26 | | | | 1,734,000 | | | | 1,774,026 | |
3.75% | | | 04/15/27 | | | | 1,000,000 | | | | 1,102,203 | |
3.88% | | | 04/15/30 | | | | 4,947,000 | | | | 5,464,923 | |
|
| See accompanying Notes to Financial Statements. |
|
| 213 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
4.38% | | | 04/15/40 | | | $ | 2,000,000 | | | $ | 2,306,691 | |
Verizon Communications, Inc. | |
2.36% | | | 03/15/32 | 1 | | | 4,910,000 | | | | 4,862,473 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
4.50% | | | 08/15/30 | 1,3 | | | 1,200,000 | | | | 1,220,069 | |
5.50% | | | 05/15/29 | 1,3 | | | 1,513,000 | | | | 1,596,593 | |
Vmed O2 UK Financing I PLC | |
(United Kingdom) | |
4.75% | | | 07/15/31 | 1,3 | | | 1,645,000 | | | | 1,682,720 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.25% | | | 09/17/50 | 3 | | | 50,000 | | | | 57,718 | |
4.88% | | | 06/19/49 | 3 | | | 1,328,000 | | | | 1,658,931 | |
5.25% | | | 05/30/48 | 3 | | | 4,682,000 | | | | 6,069,671 | |
| | | | | | | | | | | | |
| | | | 153,830,557 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 1.00% | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev | | | | | |
Worldwide, Inc. | |
4.70% | | | 02/01/36 | | | | 3,200,000 | | | | 3,872,460 | |
4.90% | | | 02/01/46 | | | | 3,921,000 | | | | 4,827,117 | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | | 05/15/25 | 1,3 | | | 3,585,000 | | | | 3,952,817 | |
5.15% | | | 05/15/38 | 1,3 | | | 1,500,000 | | | | 1,852,579 | |
BAT Capital Corp. | |
2.73% | | | 03/25/31 | | | | 915,000 | | | | 902,428 | |
4.54% | | | 08/15/47 | | | | 500,000 | | | | 518,800 | |
4.70% | | | 04/02/27 | | | | 1,390,000 | | | | 1,573,043 | |
Becle, SAB de CV | |
(Mexico) | |
2.50% | | | 12/30/99 | 3 | | | 4,450,000 | | | | 4,404,432 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.13% | | | 07/26/24 | 1,3 | | | 1,500,000 | | | | 1,577,088 | |
3.50% | | | 07/26/26 | 1,3 | | | 2,520,000 | | | | 2,703,743 | |
Reynolds American, Inc. | |
5.85% | | | 08/15/45 | | | | 12,245,000 | | | | 14,938,942 | |
| | | | | | | | | | | | |
| | | | 41,123,449 | |
| | | | | | | | | | | | |
|
Electric — 1.01% | |
Cleco Power LLC | |
6.00% | | | 12/01/40 | | | | 825,000 | | | | 1,131,005 | |
Consolidated Edison Co. of New York, Inc. | |
4.45% | | | 03/15/44 | | | | 1,000,000 | | | | 1,204,307 | |
Dominion Energy, Inc. | |
5.75% | | | 10/01/54 | 4 | | | 2,515,000 | | | | 2,763,772 | |
Duke Energy Carolinas LLC | |
3.70% | | | 12/01/47 | | | | 1,810,000 | | | | 2,015,404 | |
Eskom Holdings SOC Ltd., | |
Series REGS | |
(South Africa) | |
7.13% | | | 02/11/25 | 3 | | | 800,000 | | | | 835,446 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Electric (continued) | |
FirstEnergy Corp., | |
Series C | |
3.40% | | | 03/01/50 | | | $ | 6,898,000 | | | $ | 6,648,706 | |
FirstEnergy Transmission LLC | |
2.87% | | | 09/15/28 | 1 | | | 5,378,000 | | | | 5,618,233 | |
Metropolitan Edison Co. | |
4.00% | | | 04/15/25 | 1 | | | 2,625,000 | | | | 2,767,099 | |
Mong Duong Finance Holdings BV, | |
Series REGS | |
(Netherlands) | |
5.13% | | | 05/07/29 | 3 | | | 900,000 | | | | 899,897 | |
NextEra Energy Capital Holdings, Inc. | |
(LIBOR USD 3-Month plus 0.27%) | |
0.40% | | | 02/22/23 | 2 | | | 6,335,000 | | | | 6,335,864 | |
Public Service Co. of New Mexico | |
3.85% | | | 08/01/25 | | | | 5,565,000 | | | | 5,969,745 | |
Southwestern Electric Power Co. | |
3.55% | | | 02/15/22 | | | | 2,625,000 | | | | 2,634,543 | |
Southwestern Electric Power Co., | |
Series M | |
4.10% | | | 09/15/28 | | | | 2,190,000 | | | | 2,472,095 | |
| | | | | | | | | | | | |
| | | | 41,296,116 | |
| | | | | | | | | | | | |
|
Energy — 2.72% | |
Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | | 04/01/28 | 1 | | | 1,700,000 | | | | 1,763,750 | |
Enbridge Energy Partners LP | |
5.88% | | | 10/15/25 | | | | 2,190,000 | | | | 2,553,046 | |
Energy Transfer LP | |
4.95% | | | 06/15/28 | | | | 2,000,000 | | | | 2,296,159 | |
5.00% | | | 05/15/50 | | | | 1,077,000 | | | | 1,244,814 | |
5.15% | | | 03/15/45 | | | | 2,826,000 | | | | 3,237,170 | |
5.40% | | | 10/01/47 | | | | 4,716,000 | | | | 5,629,301 | |
5.50% | | | 06/01/27 | | | | 1,448,000 | | | | 1,699,829 | |
6.13% | | | 12/15/45 | | | | 500,000 | | | | 636,968 | |
Energy Transfer LP, | |
Series B | |
6.63% | | | 02/15/70 | 4 | | | 3,889,000 | | | | 3,796,636 | |
Exxon Mobil Corp. | |
4.11% | | | 03/01/46 | | | | 2,000,000 | | | | 2,348,999 | |
4.33% | | | 03/19/50 | | | | 3,280,000 | | | | 4,022,534 | |
Galaxy Pipeline Assets Bidco Ltd. | |
(United Kingdom) | |
2.16% | | | 03/31/34 | 1,3 | | | 2,000,000 | | | | 1,968,547 | |
Hess Corp. | |
4.30% | | | 04/01/27 | | | | 2,265,000 | | | | 2,517,072 | |
KazMunayGas National Co. JSC, | |
Series REGS | |
(Kazakhstan) | |
3.50% | | | 04/14/33 | 3 | | | 2,421,000 | | | | 2,503,798 | |
5.38% | | | 04/24/30 | 3 | | | 1,679,000 | | | | 1,985,283 | |
KazTransGas JSC, | |
Series REGS | |
(Kazakhstan) | |
4.38% | | | 09/26/27 | 3 | | | 650,000 | | | | 717,665 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 214 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
Kinder Morgan Energy Partners LP | | | | | |
5.00% | | | 08/15/42 | | | $ | 1,090,000 | | | $ | 1,288,994 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/26 | 1 | | | 1,929,000 | | | | 1,969,486 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | | 10/10/36 | 10 | | | 7,308,000 | | | | 4,037,670 | |
Pertamina Persero PT | | | | | |
(Indonesia) | | | | | |
3.10% | | | 08/27/30 | 1,3 | | | 4,579,000 | | | | 4,700,343 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
1.70% | | | 12/20/22 | 3 | | | 22,500 | | | | 22,690 | |
6.63% | | | 06/15/35 | 3 | | | 6,120,000 | | | | 5,836,950 | |
6.75% | | | 09/21/47 | 3 | | | 3,815,000 | | | | 3,333,166 | |
6.95% | | | 01/28/60 | 3 | | | 1,595,000 | | | | 1,387,889 | |
Petronas Capital Ltd. | | | | | |
(Malaysia) | | | | | |
2.48% | | | 01/28/32 | 1,3 | | | 2,050,000 | | | | 2,046,699 | |
3.50% | | | 04/21/30 | 1,3 | | | 4,405,000 | | | | 4,781,187 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.80% | | | 09/15/30 | | | | 2,000,000 | | | | 2,136,736 | |
4.50% | | | 12/15/26 | | | | 4,450,000 | | | | 4,974,081 | |
Rockies Express Pipeline LLC | | | | | |
4.80% | | | 05/15/30 | 1 | | | 2,000,000 | | | | 2,070,000 | |
4.95% | | | 07/15/29 | 1 | | | 1,000,000 | | | | 1,041,552 | |
6.88% | | | 04/15/40 | 1 | | | 3,175,000 | | | | 3,508,375 | |
Ruby Pipeline LLC | | | | | |
8.00% | | | 04/01/22 | 1,5,6 | | | 3,943,939 | | | | 3,667,864 | |
Saudi Arabian Oil Co., | | | | | |
Series REGS | | �� | | | |
(Saudi Arabia) | | | | | |
1.63% | | | 11/24/25 | 3 | | | 1,100,000 | | | | 1,101,760 | |
Southern Co. Gas Capital Corp. | | | | | |
3.25% | | | 06/15/26 | | | | 2,935,000 | | | | 3,151,634 | |
Southern Gas Corridor CJSC, | | | | | |
Series REGS | | | | | |
(Azerbaijan) | | | | | |
6.88% | | | 03/24/26 | 3 | | | 2,776,000 | | | | 3,280,399 | |
Sunoco LP/Sunoco Finance Corp. | | | | | |
4.50% | | | 05/15/29 | | | | 1,846,000 | | | | 1,882,725 | |
TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 2,907,000 | | | | 2,986,943 | |
Transocean Pontus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 1,3 | | | 1,087,410 | | | | 1,090,846 | |
Transocean Poseidon Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | | 02/01/27 | 1,3 | | | 4,148,000 | | | | 4,133,710 | |
Transocean Proteus Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 1,3 | | | 1,986,050 | | | | 1,995,275 | |
USA Compression Partners LP/USA Compression Finance | | | | | |
Corp. | | | | | |
6.88% | | | 09/01/27 | | | | 1,777,000 | | | | 1,883,807 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy (continued) | | | | | |
Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | | 08/15/29 | 1 | | $ | 4,000,000 | | | $ | 4,125,769 | |
| | | | | |
| | | | 111,358,121 | |
| | | | | |
| |
Entertainment — 0.03% | | | | | |
Cinemark USA, Inc. | | | | | |
5.88% | | | 03/15/26 | 1 | | | 1,364,000 | | | | 1,378,862 | |
| | | | | |
| |
Finance — 2.79% | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
3.65% | | | 07/21/27 | 3 | | | 1,225,000 | | | | 1,302,102 | |
3.88% | | | 01/23/28 | 3 | | | 1,090,000 | | | | 1,164,378 | |
3.95% | | | 02/01/22 | 3 | | | 1,500,000 | | | | 1,512,633 | |
4.45% | | | 12/16/21 | 3 | | | 1,750,000 | | | | 1,758,311 | |
Air Lease Corp. | | | | | |
2.25% | | | 01/15/23 | | | | 2,000,000 | | | | 2,044,126 | |
3.50% | | | 01/15/22 | | | | 2,000,000 | | | | 2,017,355 | |
3.88% | | | 07/03/23 | | | | 2,862,000 | | | | 3,009,820 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | 11/18/27 | 1,3 | | | 5,278,000 | | | | 5,195,309 | |
2.88% | | | 02/15/25 | 1,3 | | | 4,555,000 | | | | 4,686,603 | |
3.95% | | | 07/01/24 | 1,3 | | | 1,035,000 | | | | 1,099,055 | |
Citigroup, Inc. | | | | | |
1.46% | | | 06/09/27 | 4 | | | 5,610,000 | | | | 5,582,133 | |
4.41% | | | 03/31/31 | 4 | | | 6,526,000 | | | | 7,538,766 | |
Daimler Finance North America LLC | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
1.02% | | | 02/15/22 | 1,2 | | | 4,095,000 | | | | 4,108,122 | |
Ford Motor Credit Co. LLC | | | | | |
3.22% | | | 01/09/22 | | | | 3,700,000 | | | | 3,713,875 | |
3.34% | | | 03/28/22 | | | | 7,735,000 | | | | 7,803,321 | |
(LIBOR USD 3-Month plus 0.88%) | | | | | |
1.00% | | | 10/12/21 | 2 | | | 3,000,000 | | | | 3,000,021 | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
1.20% | | | 08/03/22 | 2 | | | 2,555,000 | | | | 2,553,723 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | | 11/15/35 | 3 | | | 8,872,000 | | | | 10,657,234 | |
General Motors Financial Co., Inc. | | | | | |
3.15% | | | 06/30/22 | | | | 500,000 | | | | 508,694 | |
3.45% | | | 04/10/22 | | | | 675,000 | | | | 682,277 | |
4.20% | | | 11/06/21 | | | | 2,950,000 | | | | 2,960,035 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | | 09/10/27 | 4 | | | 2,520,000 | | | | 2,513,361 | |
3.27% | | | 09/29/25 | 4 | | | 12,035,000 | | | | 12,872,637 | |
Morgan Stanley | | | | | |
1.59% | | | 05/04/27 | 4 | | | 5,470,000 | | | | 5,487,343 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | | 07/20/27 | 4 | | | 11,395,000 | | | | 11,346,543 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
3.62% | | | 04/26/23 | 1,3,4 | | | 5,000,000 | | | | 5,087,397 | |
3.77% | | | 03/08/24 | 1,3,4 | | | 2,570,000 | | | | 2,680,001 | |
|
| See accompanying Notes to Financial Statements. |
|
| 215 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
Park Aerospace Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.50% | | | 03/15/23 | 1,3 | | $ | 455,000 | | | $ | 475,557 | |
5.50% | | | 02/15/24 | 1,3 | | | 861,000 | | | | 939,807 | |
| | | | | |
| | | | 114,300,539 | |
| | | | | |
| |
Food — 0.49% | | | | | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | | | | | |
Inc. | | | | | |
(Canada) | | | | | |
5.50% | | | 01/15/30 | 1,3 | | | 1,005,000 | | | | 1,119,038 | |
6.50% | | | 04/15/29 | 1,3 | | | 2,952,000 | | | | 3,299,344 | |
Kraft Heinz Foods Co. | | | | | |
3.88% | | | 05/15/27 | | | | 4,795,000 | | | | 5,239,064 | |
4.88% | | | 10/01/49 | | | | 424,000 | | | | 516,798 | |
Post Holdings, Inc. | | | | | |
4.50% | | | 09/15/31 | 1 | | | 3,000,000 | | | | 2,976,147 | |
4.63% | | | 04/15/30 | 1 | | | 1,629,000 | | | | 1,643,629 | |
Smithfield Foods, Inc. | | | | | |
5.20% | | | 04/01/29 | 1 | | | 4,690,000 | | | | 5,390,414 | |
| | | | | |
| | | | 20,184,434 | |
| | | | | |
| |
Health Care — 2.90% | | | | | |
AbbVie, Inc. | | | | | |
4.05% | | | 11/21/39 | | | | 1,550,000 | | | | 1,782,514 | |
4.40% | | | 11/06/42 | | | | 5,190,000 | | | | 6,202,285 | |
4.45% | | | 05/14/46 | | | | 2,350,000 | | | | 2,829,169 | |
Bayer U.S. Finance II LLC | | | | | |
4.25% | | | 12/15/25 | 1 | | | 2,005,000 | | | | 2,217,325 | |
4.38% | | | 12/15/28 | 1 | | | 8,135,000 | | | | 9,217,267 | |
4.63% | | | 06/25/38 | 1 | | | 2,775,000 | | | | 3,277,878 | |
4.88% | | | 06/25/48 | 1 | | | 4,415,000 | | | | 5,411,859 | |
5.50% | | | 08/15/25 | 1 | | | 2,000,000 | | | | 2,256,681 | |
Becton Dickinson and Co. | | | | | |
6.70% | | | 08/01/28 | | | | 2,930,000 | | | | 3,545,460 | |
Centene Corp. | | | | | |
2.45% | | | 07/15/28 | | | | 13,561,000 | | | | 13,634,917 | |
Cigna Corp. | | | | | |
3.88% | | | 10/15/47 | | | | 4,825,000 | | | | 5,376,432 | |
4.13% | | | 11/15/25 | | | | 2,380,000 | | | | 2,645,720 | |
CommonSpirit Health | | | | | |
2.78% | | | 10/01/30 | | | | 3,680,000 | | | | 3,791,028 | |
3.91% | | | 10/01/50 | | | | 1,220,000 | | | | 1,335,395 | |
CVS Health Corp. | | | | | |
5.05% | | | 03/25/48 | | | | 5,417,000 | | | | 6,988,562 | |
5.13% | | | 07/20/45 | | | | 755,000 | | | | 974,229 | |
Endo DAC/Endo Finance LLC/Endo Finco, Inc. | | | | | |
(Ireland) | | | | | |
6.00% | | | 06/30/28 | 1,3 | | | 3,650,000 | | | | 2,637,125 | |
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. | | | | | |
(Luxembourg) | | | | | |
6.13% | | | 04/01/29 | 1,3 | | | 1,948,000 | | | | 1,949,710 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.88% | | | 01/31/22 | 1 | | | 3,055,000 | | | | 3,108,387 | |
| | | | | | | | | | | | |
| | | |
Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Grifols Escrow Issuer SA | | | | | |
(Spain) | | | | | |
4.75% | | | 10/15/28 | 1,3 | | $ | 2,000,000 | | | $ | 2,048,975 | |
HCA, Inc. | | | | | |
4.13% | | | 06/15/29 | | | | 2,400,000 | | | | 2,682,523 | |
5.00% | | | 03/15/24 | | | | 5,533,000 | | | | 6,072,611 | |
5.25% | | | 04/15/25 | | | | 2,477,000 | | | | 2,809,073 | |
5.25% | | | 06/15/49 | | | | 4,670,000 | | | | 5,970,869 | |
HCRX Investments Holdco LP | | | | | |
4.50% | | | 08/01/29 | 1 | | | 4,090,000 | | | | 4,115,583 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | | 10/01/29 | 1 | | | 2,000,000 | | | | 2,075,600 | |
Molina Healthcare, Inc. | | | | | |
3.88% | | | 11/15/30 | 1 | | | 3,128,000 | | | | 3,302,650 | |
4.38% | | | 06/15/28 | 1 | | | 2,500,000 | | | | 2,603,568 | |
Mozart Debt Merger Sub, Inc. | | | | | |
3.88% | | | 04/01/29 | 1 | | | 4,068,000 | | | | 4,068,000 | |
Prime Healthcare Services, Inc. | | | | | |
7.25% | | | 11/01/25 | 1 | | | 1,754,000 | | | | 1,881,165 | |
Universal Health Services, Inc. | | | | | |
1.65% | | | 09/01/26 | 1 | | | 1,500,000 | | | | 1,491,723 | |
2.65% | | | 01/15/32 | 1 | | | 590,000 | | | | 585,431 | |
| | | | | |
| | | | 118,889,714 | |
| | | | | |
| |
Industrials — 0.68% | | | | | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | | | | 2,125,000 | | | | 2,318,698 | |
Artera Services LLC | | | | | |
9.03% | | | 12/04/25 | 1 | | | 1,730,000 | | | | 1,878,698 | |
Berry Global, Inc. | | | | | |
1.57% | | | 01/15/26 | 1 | | | 1,740,000 | | | | 1,741,554 | |
4.88% | | | 07/15/26 | 1 | | | 1,195,000 | | | | 1,256,304 | |
Boeing Co. (The) | | | | | |
1.43% | | | 02/04/24 | | | | 8,790,000 | | | | 8,803,110 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(LIBOR USD 3-Month plus 0.48%) | | | | | |
0.60% | | | 08/15/36 | 2 | | | 10,370,000 | | | | 9,052,747 | |
General Electric Co., | | | | | |
Series A (MTN) | | | | | |
6.75% | | | 03/15/32 | | | | 2,130,000 | | | | 2,916,125 | |
| | | | | |
| | | | 27,967,236 | |
| | | | | |
| |
Information Technology — 0.24% | | | | | |
NXP BV/NXP Funding LLC | | | | | |
(Netherlands) | | | | | |
4.63% | | | 06/01/23 | 1,3 | | | 795,000 | | | | 846,375 | |
Oracle Corp. | | | | | |
2.88% | | | 03/25/31 | | | | 1,325,000 | | | | 1,366,221 | |
3.95% | | | 03/25/51 | | | | 7,295,000 | | | | 7,736,850 | |
| | | | | |
| | | | 9,949,446 | |
| | | | | |
| |
Insurance — 0.89% | | | | | |
Acrisure LLC/Acrisure Finance, Inc. | �� | | | | |
4.25% | | | 02/15/29 | 1 | | | 4,660,000 | | | | 4,612,961 | |
Athene Global Funding | | | | | |
1.99% | | | 08/19/28 | 1 | | | 8,980,000 | | | | 8,880,991 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 216 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Insurance (continued) | | | | | |
Farmers Exchange Capital | | | | | |
7.20% | | | 07/15/48 | 1 | | $ | 150,000 | | | $ | 218,216 | |
Farmers Exchange Capital II | | | | | |
6.15% | | | 11/01/53 | 1,4 | | | 2,500,000 | | | | 3,218,609 | |
Farmers Insurance Exchange | | | | | |
4.75% | | | 11/01/57 | 1,4 | | | 3,800,000 | | | | 4,319,804 | |
8.63% | | | 05/01/24 | 1 | | | 942,000 | | | | 1,113,745 | |
Nationwide Mutual Insurance Co. | | | | | |
2.41% | | | 12/15/24 | 1,4 | | | 3,825,000 | | | | 3,829,541 | |
Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | | 05/15/50 | 1 | | | 2,645,000 | | | | 2,785,059 | |
4.27% | | | 05/15/47 | 1 | | | 480,000 | | | | 580,189 | |
4.38% | | | 09/15/54 | 1,4 | | | 6,470,000 | | | | 6,786,980 | |
| | | | | |
| | | | 36,346,095 | |
| | | | | |
| |
Materials — 0.38% | | | | | |
Corp. Nacional del Cobre de Chile, | | | | | |
Series REGS | | | | | |
(Chile) | | | | | |
3.15% | | | 01/14/30 | 3 | | | 5,100,000 | | | | 5,277,990 | |
4.50% | | | 09/16/25 | 3 | | | 245,000 | | | | 272,121 | |
Indonesia Asahan Aluminium Persero PT | | | | | |
(Indonesia) | | | | | |
6.53% | | | 11/15/28 | 1,3 | | | 5,508,000 | | | | 6,719,760 | |
Unifrax Escrow Issuer Corp. | | | | | |
5.25% | | | 09/30/28 | 1 | | | 2,000,000 | | | | 2,027,131 | |
7.50% | | | 09/30/29 | 1 | | | 1,020,000 | | | | 1,046,529 | |
| | | | | |
| | | | 15,343,531 | |
| | | | | |
|
Real Estate Investment Trust (REIT) — 1.46% | |
American Campus Communities Operating Partnership LP | | | | | |
3.63% | | | 11/15/27 | | | | 2,246,000 | | | | 2,459,662 | |
3.75% | | | 04/15/23 | | | | 2,925,000 | | | | 3,046,386 | |
4.13% | | | 07/01/24 | | | | 1,475,000 | | | | 1,601,727 | |
CyrusOne LP/CyrusOne Finance Corp. | | | | | |
2.90% | | | 11/15/24 | | | | 4,185,000 | | | | 4,391,028 | |
3.45% | | | 11/15/29 | | | | 11,930,000 | | | | 12,438,002 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.25% | | | 06/01/25 | | | | 535,000 | | | | 597,237 | |
5.30% | | | 01/15/29 | | | | 2,280,000 | | | | 2,655,174 | |
5.38% | | | 04/15/26 | | | | 3,855,000 | | | | 4,387,761 | |
5.75% | | | 06/01/28 | | | | 6,241,000 | | | | 7,330,054 | |
Healthcare Realty Trust, Inc. | | | | | |
3.88% | | | 05/01/25 | | | | 2,190,000 | | | | 2,361,572 | |
Hudson Pacific Properties LP | | | | | |
3.95% | | | 11/01/27 | | | | 2,500,000 | | | | 2,739,740 | |
Lexington Realty Trust | | | | | |
2.70% | | | 09/15/30 | | | | 2,000,000 | | | | 2,026,426 | |
Piedmont Operating Partnership LP | | | | | |
3.40% | | | 06/01/23 | | | | 4,520,000 | | | | 4,678,075 | |
Post Apartment Homes LP | | | | | |
3.38% | | | 12/01/22 | | | | 45,000 | | | | 46,173 | |
SL Green Realty Corp. | | | | | |
4.50% | | | 12/01/22 | | | | 3,000,000 | | | | 3,101,861 | |
Ventas Realty LP | | | | | |
3.00% | | | 01/15/30 | | | | 1,705,000 | | | | 1,774,800 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Real Estate Investment Trust (REIT) (continued) | |
3.25% | | | 10/15/26 | | | $ | 2,875,000 | | | $ | 3,076,623 | |
3.75% | | | 05/01/24 | | | | 875,000 | | | | 931,409 | |
| | | | | |
| | | | 59,643,710 | |
| | | | | |
| |
Retail — 0.20% | | | | | |
Alimentation Couche-Tard, Inc. | | | | | |
(Canada) | | | | | |
3.55% | | | 07/26/27 | 1,3 | | | 1,935,000 | | | | 2,132,549 | |
Michaels Cos., Inc. (The) | | | | | |
7.88% | | | 05/01/29 | 1 | | | 5,775,000 | | | | 6,008,743 | |
| | | | | |
| | | | 8,141,292 | |
| | | | | |
| |
Services — 0.58% | | | | | |
Adtalem Global Education, Inc. | | | | | |
5.50% | | | 03/01/28 | 1 | | | 1,962,000 | | | | 1,983,692 | |
DP World Crescent Ltd. | | | | | |
(Cayman Islands) | | | | | |
4.85% | | | 09/26/28 | 1,3 | | | 4,036,000 | | | | 4,609,919 | |
GFL Environmental, Inc. | | | | | |
(Canada) | | | | | |
4.75% | | | 06/15/29 | 1,3 | | | 662,000 | | | | 680,917 | |
IHS Markit Ltd. | | | | | |
(Bermuda) | | | | | |
4.00% | | | 03/01/26 | 1,3 | | | 1,516,000 | | | | 1,669,813 | |
4.75% | | | 02/15/25 | 1,3 | | | 11,600,000 | | | | 12,847,812 | |
4.75% | | | 08/01/28 | 3 | | | 1,750,000 | | | | 2,051,175 | |
| | | | | |
| | | | 23,843,328 | |
| | | | | |
| |
Transportation — 0.10% | | | | | |
American Airlines Pass-Through Trust, | | | | | |
Series 2015-2, Class AA | | | | | |
3.60% | | | 09/22/27 | | | | 2,097,160 | | | | 2,177,238 | |
Continental Airlines Pass-Through Trust, | | | | | |
Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 1,166,376 | | | | 1,181,720 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 602,494 | | | | 621,074 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 60,819 | | | | 64,381 | |
| | | | | |
| | | | 4,044,413 | |
| | | | | |
| |
Total Corporates | | | | | |
(Cost $935,118,095) | | | | 967,321,667 | |
| | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 2.74% | |
|
Foreign Government Obligations — 2.74% | |
Abu Dhabi Government International Bond, | | | | | |
Series REGS | | | | | |
(United Arab Emirates) | | | | | |
2.50% | | | 09/30/29 | 3 | | | 3,798,000 | | | | 3,970,809 | |
Brazilian Government International Bond | | | | | |
(Brazil) | | | | | |
2.88% | | | 06/06/25 | 3 | | | 1,500,000 | | | | 1,536,300 | |
3.88% | | | 06/12/30 | 3 | | | 5,010,000 | | | | 4,864,898 | |
4.63% | | | 01/13/28 | 3 | | | 562,000 | | | | 593,303 | |
|
| See accompanying Notes to Financial Statements. |
|
| 217 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
Chile Government International Bond | |
(Chile) | |
2.45% | | | 01/31/31 | 3 | | $ | 1,700,000 | | | $ | 1,687,131 | |
3.24% | | | 02/06/28 | 3 | | | 1,678,000 | | | | 1,787,062 | |
Colombia Government International Bond | |
(Colombia) | |
3.00% | | | 01/30/30 | 3 | | | 7,973,000 | | | | 7,536,877 | |
3.13% | | | 04/15/31 | 3 | | | 900,000 | | | | 844,920 | |
4.50% | | | 01/28/26 | 3 | | | 2,855,000 | | | | 3,063,422 | |
Dominican Republic International Bond | |
(Dominican Republic) | |
4.50% | | | 01/30/30 | 1,3 | | | 3,700,000 | | | | 3,776,220 | |
Dominican Republic International Bond, | |
Series REGS | |
(Dominican Republic) | |
4.88% | | | 09/23/32 | 3 | | | 2,580,000 | | | | 2,638,308 | |
Egypt Government International Bond | |
(Egypt) | |
7.60% | | | 03/01/29 | 1,3 | | | 700,000 | | | | 727,342 | |
Egypt Government International Bond, | |
Series REGS | |
(Egypt) | |
5.25% | | | 10/06/25 | 3 | | | 1,200,000 | | | | 1,226,057 | |
Fondo MIVIVIENDA SA, | |
Series REGS | |
(Peru) | |
3.50% | | | 01/31/23 | 3 | | | 650,000 | | | | 668,720 | |
Indonesia Government International Bond | |
(Indonesia) | |
2.85% | | | 02/14/30 | 3 | | | 3,100,000 | | | | 3,210,050 | |
Mexico Government International Bond | |
(Mexico) | |
2.66% | | | 05/24/31 | 3 | | | 6,531,000 | | | | 6,306,334 | |
3.75% | | | 01/11/28 | 3 | | | 5,425,000 | | | | 5,919,312 | |
4.75% | | | 04/27/32 | 3 | | | 3,000,000 | | | | 3,381,810 | |
Oman Government International Bond, | |
Series REGS | |
(Oman) | |
5.63% | | | 01/17/28 | 3 | | | 1,500,000 | | | | 1,564,575 | |
Panama Government International Bond | |
(Panama) | |
2.25% | | | 09/29/32 | 3 | | | 3,000,000 | | | | 2,827,500 | |
3.16% | | | 01/23/30 | 3 | | | 6,131,000 | | | | 6,326,947 | |
Paraguay Government International Bond | |
(Paraguay) | |
2.74% | | | 01/29/33 | 1,3 | | | 2,626,000 | | | | 2,530,807 | |
Peruvian Government International Bond | |
(Peru) | |
2.84% | | | 06/20/30 | 3 | | | 3,525,000 | | | | 3,562,012 | |
Philippine Government International Bond | |
(Philippines) | |
1.65% | | | 06/10/31 | 3 | | | 741,000 | | | | 705,803 | |
1.95% | | | 01/06/32 | 3 | | | 930,000 | | | | 900,891 | |
2.46% | | | 05/05/30 | 3 | | | 1,134,000 | | | | 1,160,428 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
Qatar Government International Bond, | | | | | |
Series REGS | |
(Qatar) | |
3.75% | | | 04/16/30 | 3 | | $ | 2,640,000 | | | $ | 2,978,976 | |
4.50% | | | 04/23/28 | 3 | | | 6,726,000 | | | | 7,856,096 | |
Republic of South Africa Government International Bond | | | | | |
(South Africa) | |
4.30% | | | 10/12/28 | 3 | | | 3,607,000 | | | | 3,629,120 | |
4.85% | | | 09/30/29 | 3 | | | 4,655,000 | | | | 4,793,079 | |
Romanian Government International Bond, | |
Series REGS | |
(Romania) | |
3.00% | | | 02/14/31 | 3 | | | 3,500,000 | | | | 3,580,500 | |
Saudi Government International Bond, | |
Series REGS (EMTN) | |
(Saudi Arabia) | |
3.25% | | | 10/26/26 | 3 | | | 3,700,000 | | | | 3,996,000 | |
3.25% | | | 10/22/30 | 3 | | | 2,220,000 | | | | 2,381,310 | |
3.63% | | | 03/04/28 | 3 | | | 3,675,000 | | | | 4,041,985 | |
Turkey Government International Bond | |
(Turkey) | |
5.13% | | | 03/25/22 | 3 | | | 2,250,000 | | | | 2,284,785 | |
Uruguay Government International Bond | |
(Uruguay) | |
4.38% | | | 01/23/31 | 3 | | | 2,788,717 | | | | 3,229,613 | |
| | | | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $113,005,051) | | | | 112,089,302 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 34.71%** | |
|
Non-Agency Commercial Mortgage-Backed — 7.65% | |
1345 Avenue of the Americas & Park Avenue Plaza Trust, | | | | | |
Series 2005-1, Class A3 | |
5.28% | | | 08/10/35 | 1 | | | 15,891,538 | | | | 16,709,838 | |
ACRES Commercial Realty Corp., | |
Series 2020-RSO9, Class AS | |
(Cayman Islands) | |
(SOFR30A plus 3.61%) | |
3.66% | | | 04/17/37 | 1,2,3 | | | 9,606,042 | | | | 9,751,156 | |
ACRES Commercial Realty Corp., | |
Series 2020-RSO9, Class B | |
(Cayman Islands) | |
(SOFR30A plus 4.01%) | |
4.06% | | | 04/17/37 | 1,2,3 | | | 7,639,192 | | | | 7,760,129 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2018-PARK, Class A | |
4.23% | | | 08/10/38 | 1,4 | | | 7,985,000 | | | | 9,069,144 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2020-BOC, Class A | |
2.63% | | | 01/15/32 | 1 | | | 5,000,000 | | | | 5,189,733 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2020-BOC, Class X (IO) | |
0.57% | | | 01/15/32 | 1,4 | | | 98,610,000 | | | | 2,178,517 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 218 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
BDS Ltd., | |
Series 2020-FL6, Class D | |
(Cayman Islands) | |
(SOFR30A plus 2.86%) | |
2.91% | | | 09/15/35 | 1,2,3 | | $ | 7,801,000 | | | $ | 7,937,971 | |
BFLD Trust, | |
Series 2021-FPM, Class A | |
(LIBOR USD 1-Month plus 1.60%) | |
1.68% | | | 06/15/38 | 1,2 | | | 7,182,000 | | | | 7,200,459 | |
BX Commercial Mortgage Trust, | |
Series 2018-IND, Class H | |
(LIBOR USD 1-Month plus 3.00%) | |
3.08% | | | 11/15/35 | 1,2 | | | 7,760,200 | | | | 7,770,790 | |
BX Trust, | |
Series 2019-OC11, Class A | |
3.20% | | | 12/09/41 | 1 | | | 7,060,000 | | | | 7,564,203 | |
BX Trust, | |
Series 2021-LBA, Class EJV | |
(LIBOR USD 1-Month plus 2.00%) | |
2.08% | | | 02/15/36 | 1,2 | | | 10,000,000 | | | | 10,022,687 | |
CALI Mortgage Trust, | |
Series 2019-101C, Class A | |
3.96% | | | 03/10/39 | 1 | | | 10,760,000 | | | | 12,176,391 | |
CAMB Commercial Mortgage Trust, | |
Series 2019-LIFE, Class G | |
(LIBOR USD 1-Month plus 3.25%) | |
3.33% | | | 12/15/37 | 1,2 | | | 8,503,000 | | | | 8,529,676 | |
CD Mortgage Trust, | |
Series 2016-CD1, Class XA (IO) | |
1.52% | | | 08/10/49 | 4 | | | 64,378,662 | | | | 3,479,660 | |
Century Plaza Towers, | |
Series 2019-CPT, Class A | |
2.87% | | | 11/13/39 | 1 | | | 6,125,000 | | | | 6,469,924 | |
Citigroup Commercial Mortgage Trust, | |
Series 2012-GC8, Class XA (IO) | |
1.89% | | | 09/10/45 | 1,4 | | | 35,326,755 | | | | 324,925 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-GC27, Class XA (IO) | |
1.48% | | | 02/10/48 | 4 | | | 66,271,416 | | | | 2,449,150 | |
Commercial Mortgage Trust, | |
Series 2012-CR4, Class XA (IO) | |
1.84% | | | 10/15/45 | 4 | | | 42,194,586 | | | | 540,665 | |
Commercial Mortgage Trust, | |
Series 2012-CR5, Class XA (IO) | |
1.65% | | | 12/10/45 | 4 | | | 68,755,991 | | | | 950,263 | |
Commercial Mortgage Trust, | |
Series 2013-CR13, Class XA (IO) | |
0.91% | | | 11/10/46 | 4 | | | 60,916,752 | | | | 877,457 | |
Commercial Mortgage Trust, | |
Series 2014-CR16, Class XA (IO) | |
1.12% | | | 04/10/47 | 4 | | | 103,428,075 | | | | 2,171,074 | |
Commercial Mortgage Trust, | |
Series 2020-CBM, Class XCP (IO) | |
0.72% | | | 02/10/37 | 1,4 | | | 68,872,262 | | | | 1,308,022 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
2.43% | | | 03/15/38 | 1,2 | | $ | 7,211,000 | | | $ | 7,210,867 | |
CSMC, | |
Series 2019-RIO, Class A | |
(LIBOR USD 1-Month plus 3.02%) | |
4.02% | | | 12/15/21 | 1,2 | | | 7,252,000 | | | | 7,265,254 | |
CSMC, | |
Series 2021-BPNY, Class A | |
(LIBOR USD 1-Month plus 3.71%) | |
3.80% | | | 08/15/23 | 1,2 | | | 10,974,000 | | | | 11,001,410 | |
DBJPM Mortgage Trust, | |
Series 2016-SFC, Class A | |
2.83% | | | 08/10/36 | 1 | | | 8,000,000 | | | | 8,194,406 | |
DC Office Trust, | |
Series 2019-MTC, Class A | |
2.97% | | | 09/15/45 | 1 | | | 6,555,000 | | | | 6,956,339 | |
Grace Trust, | |
Series 2020-GRCE, Class A | |
2.35% | | | 12/10/40 | 1 | | | 8,000,000 | | | | 8,117,155 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class XA (IO) | |
0.45% | | | 02/10/37 | 1,4 | | | 40,999,000 | | | | 466,200 | |
GS Mortgage Securities Trust | |
Series 2012-ALOH, Class A | |
3.55% | | | 04/10/34 | 1 | | | 6,825,000 | | | | 6,874,128 | |
GS Mortgage Securities Trust, | |
Series 2014-GC20, Class XA (IO) | |
1.16% | | | 04/10/47 | 4 | | | 60,946,141 | | | | 1,244,179 | |
GSCG Trust, | |
Series 2019-600C, Class G | |
4.12% | | | 09/06/34 | 1,4 | | | 9,212,000 | | | | 8,739,252 | |
Hudson Yards Mortgage Trust, | |
Series 2019-30HY, Class A | |
3.23% | | | 07/10/39 | 1 | | | 6,340,000 | | | | 6,866,224 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class A | |
3.04% | | | 12/10/41 | 1,4 | | | 6,555,000 | | | | 6,980,799 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class F | |
3.04% | | | 12/10/41 | 1,4 | | | 3,131,000 | | | | 2,995,053 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-OSB, Class A | |
3.40% | | | 06/05/39 | 1 | | | 8,000,000 | | | | 8,785,330 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2021-1440, Class B | |
(LIBOR USD 1-Month plus 1.75%) | |
1.83% | | | 03/15/36 | 1,2 | | | 15,000,000 | | | | 15,046,915 | |
Life Mortgage Trust, | |
Series 2021-BMR, Class G | |
(LIBOR USD 1-Month plus 2.95%) | |
3.03% | | | 03/15/38 | 1,2 | | | 10,718,000 | | | | 10,829,083 | |
|
| See accompanying Notes to Financial Statements. |
|
| 219 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
MF1 Ltd., | | | | | |
Series 2020-FL3, Class AS | | | | | |
(SOFR30A plus 2.96%) | | | | | |
3.01% | | | 07/15/35 | 1,2 | | $ | 8,800,000 | | | $ | 8,937,804 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class A | | | | | |
2.69% | | | 02/12/40 | 1 | | | 4,500,000 | | | | 4,694,084 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class XA (IO) | | | | | |
0.29% | | | 02/12/40 | 1,4 | | | 147,585,000 | | | | 2,517,180 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C22, Class XA (IO) | | | | | |
1.16% | | | 04/15/48 | 4 | | | 71,767,894 | | | | 1,952,453 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C24, Class XA (IO) | | | | | |
0.86% | | | 05/15/48 | 4 | | | 112,165,113 | | | | 2,641,310 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2018-MP, Class A | | | | | |
4.42% | | | 07/11/40 | 1,4 | | | 7,915,000 | | | | 8,870,412 | |
Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2018-ALXA, Class E | | | | | |
4.46% | | | 01/15/43 | 1,4 | | | 1,095,000 | | | | 1,113,562 | |
One Bryant Park Trust, | | | | | |
Series 2019-OBP, Class A | | | | | |
2.52% | | | 09/15/54 | 1 | | | 6,895,000 | | | | 7,122,717 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class A2B | | | | | |
4.14% | | | 01/05/43 | 1,4 | | | 1,840,000 | | | | 2,038,393 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class C | | | | | |
4.53% | | | 01/05/43 | 1,4 | | | 10,000,000 | | | | 9,147,632 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class D | | | | | |
4.53% | | | 01/05/43 | 1,4 | | | 8,780,000 | | | | 7,240,623 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2014-LC16, Class XA (IO) | | | | | |
1.24% | | | 08/15/50 | 4 | | | 47,811,404 | | | | 1,115,003 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2016-C33, Class XA (IO) | | | | | |
1.77% | | | 03/15/59 | 4 | | | 82,878,196 | | | | 5,033,098 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2012-C10, Class XA (IO) | | | | | |
1.63% | | | 12/15/45 | 1,4 | | | 61,099,204 | | | | 793,514 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2012-C8, Class XA (IO) | | | | | |
1.94% | | | 08/15/45 | 1,4 | | | 41,238,177 | | | | 260,114 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2012-C9, Class XA (IO) | | | | | |
2.02% | | | 11/15/45 | 1,4 | | | 34,257,338 | | | | 426,112 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2013-C14, Class XA (IO) | | | | | |
0.81% | | | 06/15/46 | 4 | | | 61,442,325 | | | | 481,431 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C23, Class XA (IO) | | | | | |
0.71% | | | 10/15/57 | 4 | | $ | 79,429,017 | | | $ | 1,141,991 | |
| | | | | |
| | | | 313,531,861 | |
| | | | | |
|
Non-Agency Mortgage-Backed — 12.50% | |
Adjustable Rate Mortgage Trust, | | | | | |
Series 2005-4, Class 5A1 | | | | | |
2.47% | | | 08/25/35 | 4 | | | 1,603,824 | | | | 1,432,994 | |
Adjustable Rate Mortgage Trust, | | | | | |
Series 2007-1, Class 1A1 | | | | | |
2.92% | | | 03/25/37 | 4 | | | 2,577,721 | | | | 2,336,124 | |
Alternative Loan Trust, | | | | | |
Series 2005-74T1, Class A1 | | | | | |
6.00% | | | 01/25/36 | | | | 6,027,046 | | | | 4,812,073 | |
Alternative Loan Trust, | | | | | |
Series 2005-76, Class 1A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.48%) | | | | | |
1.57% | | | 01/25/36 | 2 | | | 3,272,602 | | | | 3,296,061 | |
Alternative Loan Trust, | | | | | |
Series 2006-HY12, Class A5 | | | | | |
3.02% | | | 08/25/36 | 4 | | | 2,728,095 | | | | 2,755,991 | |
American Home Mortgage Investment Trust, | | | | | |
Series 2006-1, Class 12A1 | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
0.49% | | | 03/25/46 | 2 | | | 3,372,231 | | | | 3,302,426 | |
Banc of America Alternative Loan Trust, | | | | | |
Series 2003-8, Class 1CB1 | | | | | |
5.50% | | | 10/25/33 | | | | 609,915 | | | | 627,981 | |
Banc of America Funding Trust, | | | | | |
Series 2004-B, Class 5A1 | | | | | |
2.68% | | | 11/20/34 | 4 | | | 216,800 | | | | 220,628 | |
Banc of America Funding Trust, | | | | | |
Series 2006-D, Class 3A1 | | | | | |
2.93% | | | 05/20/36 | 4 | | | 757,512 | | | | 737,192 | |
Banc of America Funding Trust, | | | | | |
Series 2006-G, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.44%) | | | | | |
0.53% | | | 07/20/36 | 2 | | | 56,759 | | | | 56,838 | |
Banc of America Funding Trust, | | | | | |
Series 2006-G, Class 2A4 | | | | | |
(LIBOR USD 1-Month plus 0.58%) | | | | | |
0.67% | | | 07/20/36 | 2 | | | 226,681 | | | | 227,034 | |
Banc of America Funding Trust, | | | | | |
Series 2015-R3, Class 6A2 | | | | | |
0.25% | | | 05/27/36 | 1,4 | | | 15,199,703 | | | | 14,381,334 | |
Banc of America Funding Trust, | | | | | |
Series 2016-R1, Class A1 | | | | | |
2.50% | | | 03/25/40 | 1,4 | | | 446,370 | | | | 450,352 | |
Banc of America Funding Trust, | | | | | |
Series 2016-R1, Class B1 | | | | | |
3.50% | | | 03/25/40 | 1,4 | | | 16,181,000 | | | | 15,804,294 | |
Banc of America Mortgage Trust, | | | | | |
Series 2005-K, Class 2A1 | | | | | |
2.66% | | | 12/25/35 | 4 | | | 990,954 | | | | 970,144 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 220 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
BCAP LLC Trust, | |
Series 2007-AA1, Class 2A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | | 03/25/37 | 2 | | $ | 3,213,923 | | | $ | 3,178,555 | |
BCAP LLC Trust, | |
Series 2014-RR3, Class 4A1 | |
0.38% | | | 03/26/36 | 1,4 | | | 2,608,003 | | | | 2,516,063 | |
Bear Stearns ALT-A Trust, | |
Series 2005-1, Class M1 | |
(LIBOR USD 1-Month plus 0.75%) | |
0.84% | | | 01/25/35 | 2 | | | 6,716,635 | | | | 6,768,128 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 2A4 | |
2.86% | | | 04/25/35 | 4 | | | 1,137,521 | | | | 1,142,879 | |
Bear Stearns ALT-A Trust, | |
Series 2005-8, Class 11A1 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | | 10/25/35 | 2 | | | 6,455,907 | | | | 6,251,507 | |
Bear Stearns ARM Trust, | |
Series 2005-9, Class A1 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.30%) | |
2.38% | | | 10/25/35 | 2 | | | 1,321,720 | | | | 1,359,998 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2005-AC6, Class 1A3 | |
5.50% | | | 09/25/35 | 4 | | | 379,902 | | | | 388,688 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | | 03/25/36 | | | | 33,091 | | | | 34,637 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 1A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 09/25/47 | 2 | | | 6,039,562 | | | | 5,800,764 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 2A1 | |
(LIBOR USD 1-Month plus 0.21%) | |
0.30% | | | 06/25/37 | 2 | | | 4,601,320 | | | | 4,410,518 | |
Chase Mortgage Finance Trust, | |
Series 2007-A1, Class 8A1 | |
2.47% | | | 02/25/37 | 4 | | | 592,468 | | | | 616,395 | |
CIM Trust, | |
Series 2018-R5, Class A1 | |
3.75% | | | 07/25/58 | 1,4 | | | 6,390,020 | | | | 6,471,086 | |
CIM Trust, | |
Series 2019-R3, Class A | |
2.63% | | | 06/25/58 | 1,4 | | | 9,687,905 | | | | 9,603,004 | |
CIM Trust, | |
Series 2020-NR1, Class A (STEP-reset date 11/25/21) | |
3.45% | | | 06/26/62 | 1 | | | 14,776,264 | | | | 14,931,335 | |
CIM Trust, | |
Series 2020-R1, Class A1 | |
2.85% | | | 10/27/59 | 1,4 | | | 13,406,090 | | | | 11,442,152 | |
CIM Trust, | |
Series 2020-R3, Class A1A | |
4.00% | | | 01/26/60 | 1,4 | | | 9,607,916 | | | | 9,194,224 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
CIM Trust, | |
Series 2020-R6, Class A1A | |
2.25% | | | 12/25/60 | 1,4 | | $ | 7,134,976 | | | $ | 7,080,324 | |
CIM Trust, | |
Series 2020-R7, Class A1A | |
2.25% | | | 12/27/61 | 1,4 | | | 12,209,649 | | | | 12,191,517 | |
CIM Trust, | |
| Series 2021-NR3, Class A1 (STEP-reset date 11/25/21) | | | | | |
2.57% | | | 06/25/57 | 1 | | | 6,539,387 | | | | 6,551,894 | |
CIM Trust, | |
Series 2021-R3, Class A1B | |
1.95% | | | 06/25/57 | 1,4 | | | 18,287,000 | | | | 17,277,192 | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | | 05/01/61 | 1,4 | | | 15,652,470 | | | | 15,709,136 | |
CIM Trust, | |
Series 2021-R5, Class A1A | |
2.00% | | | 08/25/61 | 1,4 | | | 11,694,462 | | | | 11,661,273 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AR3, Class 1A2A | |
3.18% | | | 06/25/36 | 4 | | | 133,606 | | | | 130,814 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
0.35% | | | 11/25/35 | 2 | | | 50,068 | | | | 44,299 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-3, Class 1A2 | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 04/25/35 | 2 | | | 3,390,264 | | | | 3,256,983 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
0.69% | | | 05/25/35 | 2 | | | 77,619 | | | | 66,797 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2003-AR26, Class 3A1 | |
2.49% | | | 11/25/33 | 4 | | | 451,912 | | | | 455,978 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2005-11, Class 1A1 | |
6.50% | | | 12/25/35 | | | | 591,117 | | | | 413,183 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, | | | | | |
Series 2004-AR5, Class 9A1 | |
1.92% | | | 06/25/34 | 4 | | | 44,958 | | | | 45,024 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-8, Class 3A1 | |
6.00% | | | 10/25/21 | | | | 26,089 | | | | 15,662 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2020-RPL2, Class A12 | |
3.43% | | | 02/25/60 | 1,4 | | | 12,355,468 | | | | 12,714,756 | |
CSMC Mortgage-Backed Trust, | |
Series 2006-1, Class 1A4 | |
5.50% | | | 02/25/36 | | | | 3,948,604 | | | | 4,012,858 | |
CSMC Trust, | |
Series 2021-RPL7, Class A1 | |
1.93% | | | 12/01/50 | †,1 | | | 10,454,584 | | | | 10,454,603 | |
|
| See accompanying Notes to Financial Statements. |
|
| 221 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
CSMCM Trust, | |
Series 2018-SP3, Class CERT | |
3.06% | | | 10/25/58 | 1,4 | | $ | 17,390,736 | | | $ | 16,867,155 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | | 01/19/45 | 2 | | | 607,284 | | | | 530,060 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1A | |
(LIBOR USD 1-Month plus 0.58%) | |
0.67% | | | 10/19/45 | 2 | | | 3,750,124 | | | | 3,662,452 | |
DSLA Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 10/19/36 | 2 | | | 6,078,381 | | | | 5,211,172 | |
DSLA Mortgage Loan Trust, | |
Series 2007-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.14%) | |
0.23% | | | 03/19/37 | 2 | | | 1,475,475 | | | | 1,389,661 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A1 | |
2.28% | | | 09/25/34 | 4 | | | 219,040 | | | | 218,817 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A3 | |
2.28% | | | 09/25/34 | 4 | | | 336,815 | | | | 336,472 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA10, Class 1A1 | |
2.51% | | | 12/25/35 | 4 | | | 973,306 | | | | 930,111 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA12, Class 2A1 | |
2.45% | | | 02/25/36 | 4 | | | 1,492,712 | | | | 1,222,328 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA2, Class 2A1 | |
2.57% | | | 04/25/35 | 4 | | | 1,945,539 | | | | 2,088,848 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA3, Class 3A1 | |
2.26% | | | 05/25/35 | 4 | | | 1,549,573 | | | | 1,491,632 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA7, Class 2A1 | |
2.34% | | | 09/25/35 | 4 | | | 1,886,098 | | | | 1,852,552 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA8, Class 2A1 | |
2.27% | | | 10/25/35 | 4 | | | 2,151,929 | | | | 1,673,437 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA9, Class 2A1 | |
2.34% | | | 11/25/35 | 4 | | | 1,432,677 | | | | 1,306,845 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2006-AA1, Class 1A1 | |
2.33% | | | 03/25/36 | 4 | | | 1,638,903 | | | | 1,349,395 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2006-AA7, Class A1 | |
2.64% | | | 01/25/37 | 4 | | | 2,644,162 | | | | 2,346,693 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR4, Class 1A1 | |
2.57% | | | 09/25/35 | 4 | | | 1,375,092 | | | | 1,075,977 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR4, Class 2A1 | |
2.79% | | | 10/25/35 | 4 | | $ | 70,298 | | | $ | 71,258 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR5, Class 2A1 | |
2.71% | | | 11/25/35 | 4 | | | 716,202 | | | | 609,376 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2007-AR2, Class 1A2 | |
2.59% | | | 08/25/37 | 4 | | | 56,825 | | | | 27,182 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR5, Class 2A1 | |
2.76% | | | 09/19/35 | 4 | | | 1,372,975 | | | | 1,081,069 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR5, Class 3A1 | |
3.44% | | | 09/19/35 | 4 | | | 1,351,348 | | | | 1,286,271 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
2.98% | | | 04/19/36 | 4 | | | 3,147,259 | | | | 2,774,623 | |
GreenPoint Mortgage Funding Trust, | |
Series 2007-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 03/25/47 | 2 | | | 11,249,982 | | | | 10,594,681 | |
GSR Mortgage Loan Trust, | |
Series 2005-7F, Class 3A3 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap) | | | | | |
5.41% | | | 09/25/35 | 2,5,6 | | | 13,608 | | | | 681 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR4, Class 5A1 | |
3.16% | | | 07/25/35 | 4 | | | 477,396 | | | | 450,235 | |
GSR Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1 | |
2.72% | | | 04/25/36 | 4 | | | 190,384 | | | | 155,738 | |
GSR Mortgage Loan Trust, | |
Series 2007-AR2, Class 5A1A | |
2.95% | | | 05/25/37 | 4 | | | 695,425 | | | | 659,785 | |
HarborView Mortgage Loan Trust, | |
Series 2005-10, Class 2A1A | |
(LIBOR USD 1-Month plus 0.62%) | |
0.71% | | | 11/19/35 | 2 | | | 2,301,699 | | | | 1,995,494 | |
HarborView Mortgage Loan Trust, | |
Series 2006-7, Class 1A | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 09/19/46 | 2 | | | 10,003,111 | | | | 9,673,021 | |
HarborView Mortgage Loan Trust, | |
Series 2007-6, Class 1A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
0.29% | | | 08/19/37 | 2 | | | 12,476,788 | | | | 11,930,576 | |
Impac CMB Trust, | |
Series 2005-2, Class 1A1 | |
(LIBOR USD 1-Month plus 0.52%) | |
0.61% | | | 04/25/35 | 2 | | | 2,687,048 | | | | 2,703,588 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR14, Class 1A1A | |
(LIBOR USD 1-Month plus 0.56%) | |
0.65% | | | 07/25/35 | 2 | | | 10,076,199 | | | | 8,008,950 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 222 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR19, Class A1 | |
2.76% | | | 10/25/35 | 4 | | $ | 2,042,623 | | | $ | 1,946,608 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR27, Class 1A3 | |
(LIBOR USD 1-Month plus 0.54%) | |
0.63% | | | 10/25/36 | 2 | | | 5,846,850 | | | | 3,280,770 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR4, Class A2A | |
(LIBOR USD 1-Month plus 0.50%) | |
0.59% | | | 05/25/46 | 2 | | | 9,611,278 | | | | 9,610,279 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 3A1 | |
2.73% | | | 05/25/36 | 4 | | | 258,115 | | | | 238,405 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR9, Class 3A3 | |
2.95% | | | 06/25/36 | 4 | | | 2,944,845 | | | | 2,930,099 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-FLX4, Class 2A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
0.27% | | | 07/25/37 | 2 | | | 16,154,081 | | | | 15,645,998 | |
JPMorgan Mortgage Trust, | |
Series 2005-A6, Class 7A1 | |
2.95% | | | 08/25/35 | 4 | | | 24,794 | | | | 23,502 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 2A1 | |
2.92% | | | 05/25/36 | 4 | | | 21,853 | | | | 20,137 | |
JPMorgan Mortgage Trust, | |
Series 2006-S2, Class 2A2 | |
5.88% | | | 06/25/21 | | | | 18,899 | | | | 23,855 | |
JPMorgan Mortgage Trust, | |
Series 2007-S1, Class 1A2 | |
5.50% | | | 03/25/22 | | | | 18,221 | | | | 18,147 | |
Legacy Mortgage Asset Trust, | |
| Series 2020-GS2, Class A1 (STEP-reset date 10/25/21) | | | | | |
2.75% | | | 03/25/60 | 1 | | | 14,566,474 | | | | 14,663,742 | |
Lehman XS Trust, | |
Series 2005-5N, Class 3A1A | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | | 11/25/35 | 2 | | | 1,903,263 | | | | 1,897,279 | |
Lehman XS Trust, | |
Series 2006-GP2, Class 1A5A | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 06/25/46 | 2 | | | 4,713,207 | | | | 4,551,394 | |
Lehman XS Trust, | |
Series 2007-18N, Class 1A1 | |
(LIBOR USD 1-Month plus 0.85%) | |
0.94% | | | 10/25/37 | 2 | | | 5,163,844 | | | | 5,011,236 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
1.91% | | | 11/25/33 | 4 | | | 139,933 | | | | 140,219 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-15, Class 8A1 | |
3.56% | | | 10/25/34 | 4 | | | 247,009 | | | | 248,712 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
2.58% | | | 04/25/34 | 4 | | $ | 41,522 | | | $ | 43,149 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-2, Class A1 | |
(LIBOR USD 1-Month plus 0.30%) | |
0.39% | | | 03/25/47 | 2 | | | 3,229,946 | | | | 3,104,672 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-A3, Class A2D | |
(LIBOR USD 1-Month plus 0.33%) | |
0.42% | | | 04/25/37 | 2,5,6 | | | 883,581 | | | | 65,780 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-OAR2, Class A2 | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 04/25/37 | 2 | | | 8,746,883 | | | | 8,267,335 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A6, Class 2A | |
2.37% | | | 10/25/33 | 4 | | | 106,769 | | | | 107,623 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2007-2, Class 1A1 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.40%) | | | | | |
2.48% | | | 08/25/36 | 2 | | | 1,030,060 | | | | 980,477 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
2.05% | | | 09/25/34 | 4 | | | 262,156 | | | | 261,076 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
5.25% | | | 02/25/21 | | | | 66,896 | | | | 56,599 | |
Morgan Stanley Resecuritization Trust, | |
Series 2014-R9, Class 3A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.84%) | | | | | |
0.94% | | | 11/26/46 | 1,2 | | | 329,190 | | | | 330,770 | |
MortgageIT Trust, | |
Series 2005-2, Class 2A | |
(LIBOR USD 1-Month plus 1.65%) | |
1.74% | | | 05/25/35 | 2 | | | 964,013 | | | | 971,804 | |
New York Mortgage Trust, | |
Series 2005-3, Class A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
0.57% | | | 02/25/36 | 2 | | | 346,607 | | | | 349,720 | |
Nomura Asset Acceptance Corp., | |
Series 2005-AR4, Class 4A1 | |
3.18% | | | 08/25/35 | 4 | | | 2,414,619 | | | | 2,265,563 | |
Nomura Resecuritization Trust, | |
Series 2016-2R, Class 1A1 | |
0.23% | | | 09/26/36 | 1,4 | | | 2,007,060 | | | | 1,988,778 | |
NRPL, | |
Series 2019-3A, Class A1 (STEP-reset date 11/25/21) | |
3.00% | | | 07/25/59 | 1 | | | 11,834,204 | | | | 11,899,154 | |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-3, Class M2 | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | | 07/25/35 | 2 | | | 8,479,151 | | | | 8,542,947 | |
|
| See accompanying Notes to Financial Statements. |
|
| 223 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
RAAC Trust, | |
Series 2005-SP1, Class 4A1 | |
7.00% | | | 09/25/34 | | | $ | 53,942 | | | $ | 54,675 | |
Residential Accredit Loans Trust, | |
Series 2005-QA13, Class 2A1 | |
3.95% | | | 12/25/35 | 4 | | | 1,631,528 | | | | 1,541,212 | |
Residential Accredit Loans Trust, | |
Series 2005-QA4, Class A41 | |
3.26% | | | 04/25/35 | 4 | | | 12,014 | | | | 10,822 | |
Residential Accredit Loans Trust, | |
Series 2005-QA7, Class A21 | |
2.99% | | | 07/25/35 | 4 | | | 637,360 | | | | 634,574 | |
Residential Accredit Loans Trust, | |
Series 2005-QA8, Class CB21 | |
3.42% | | | 07/25/35 | 4 | | | 642,039 | | | | 458,048 | |
Residential Accredit Loans Trust, | |
Series 2006-QS13, Class 2A1 | |
5.75% | | | 09/25/21 | | | | 7,916 | | | | 7,018 | |
Residential Accredit Loans Trust, | |
Series 2006-QS16, Class A6 | |
6.00% | | | 11/25/36 | | | | 429,568 | | | | 414,062 | |
Residential Accredit Loans Trust, | |
Series 2007-QH6, Class A1 | |
(LIBOR USD 1-Month plus 0.19%) | |
0.28% | | | 07/25/37 | 2 | | | 9,831,461 | | | | 9,507,615 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 2AV (IO) | |
0.17% | | | 01/25/37 | 4,5,6 | | | 1,904,327 | | | | 11,412 | |
Residential Asset Securitization Trust, | |
Series 2006-A9CB, Class A9 | |
6.00% | | | 09/25/36 | | | | 5,116,443 | | | | 2,578,957 | |
Residential Funding Mortgage Securities Trust, | |
Series 2007-SA2, Class 1A | |
3.50% | | | 04/25/37 | 4 | | | 265,502 | | | | 175,585 | |
Stanwich Mortgage Loan Co., | |
| Series 2019-RPL1, Class A (STEP-reset date 10/16/21) | | | | | |
3.72% | | | 02/15/49 | 1 | | | 9,527,661 | | | | 9,552,922 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-12, Class 2A | |
2.66% | | | 09/25/34 | 4 | | | 557,214 | | | | 566,336 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-2, Class 4A2 | |
2.62% | | | 03/25/34 | 4 | | | 1,007,946 | | | | 1,019,917 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-12, Class 3A1 | |
2.52% | | | 06/25/354 | | | | 673,492 | | | | 649,346 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-21, Class 2A | |
2.48% | | | 11/25/35 | 4 | | | 877,882 | | | | 774,367 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-7, Class 1A3 | |
2.98% | | | 04/25/35 | 4 | | | 2,614,958 | | | | 2,712,194 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2006-11, Class 1A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
0.41% | | | 12/25/36 | 2 | | | 1,372,757 | | | | 1,361,588 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR3, Class 22A1 | |
2.56% | | | 05/25/36 | 4 | | $ | 479,588 | | | $ | 315,117 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR5, Class 1A1 | |
(LIBOR USD 1-Month plus 0.42%) | |
0.51% | | | 05/25/36 | 2 | | | 313,650 | | | | 277,345 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR7, Class A1BG | |
(LIBOR USD 1-Month plus 0.12%) | |
0.21% | | | 08/25/36 | 2 | | | 10,590,210 | | | | 10,101,177 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2007-AR6, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.50%) | | | | | |
1.59% | | | 08/25/47 | 2 | | | 10,842,130 | | | | 10,575,992 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | |
Series 2003-34A, Class 3A3 | |
2.84% | | | 11/25/33 | 4 | | | 25,712 | | | | 26,724 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-4, Class 3A1 | |
2.70% | | | 10/25/37 | 4 | | | 1,211,410 | | | | 1,145,347 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-S1, Class 2A1 | |
2.54% | | | 01/25/37 | 4 | | | 457,834 | | | | 478,026 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-S1, Class 5A1 | |
2.96% | | | 01/25/37 | 4 | | | 134,117 | | | | 138,774 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR13, Class A1A | |
(LIBOR USD 1-Month plus 0.72%) | |
0.81% | | | 11/25/34 | 2 | | | 142,603 | | | | 140,439 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
2.75% | | | 01/25/35 | 4 | | | 427,169 | | | | 436,201 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR6, Class A | |
(LIBOR USD 1-Month plus 0.84%) | |
0.93% | | | 05/25/44 | 2 | | | 32,691 | | | | 33,092 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR12, Class 1A6 | |
2.81% | | | 10/25/35 | 4 | | | 978,427 | | | | 988,903 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
2.99% | | | 12/25/35 | 4 | | | 23,328 | | | | 24,149 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR16, Class 1A3 | |
2.72% | | | 12/25/35 | 4 | | | 1,143,868 | | | | 1,171,248 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(LIBOR USD 1-Month plus 0.66%) | |
0.75% | | | 01/25/45 | 2 | | | 540,139 | | | | 542,264 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 224 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR9, Class A1A | |
(LIBOR USD 1-Month plus 0.64%) | |
0.73% | | | 07/25/45 | 2 | | $ | 540,514 | | | $ | 545,164 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
1.09% | | | 02/25/46 | 2 | | | 4,106,948 | | | | 4,018,311 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.94%) | | | | | |
1.04% | | | 05/25/46 | 2 | | | 1,715,972 | | | | 1,712,553 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
1.07% | | | 07/25/46 | 2 | | | 4,185,396 | | | | 3,978,381 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY3, Class 1A1 | |
2.82% | | | 03/25/37 | 4 | | | 1,768,689 | | | | 1,649,968 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OA5, Class 1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.75%) | | | | | |
0.84% | | | 06/25/47 | 2 | | | 1,468,270 | | | | 1,427,964 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OC1, Class A1 | |
(LIBOR USD 1-Month plus 0.24%) | |
0.33% | | | 01/25/47 | 2 | | | 5,342,644 | | | | 5,433,795 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | | 11/25/37 | | | | 1,870,479 | | | | 1,864,535 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR14, Class 2A1 | |
2.53% | | | 10/25/36 | 4 | | | 389,540 | | | | 378,616 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR4, Class 1A1 | |
2.76% | | | 04/25/36 | 4 | | | 93,433 | | | | 92,065 | |
| | | | | | | | | | | | |
| | | | 512,192,456 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Commercial Mortgage-Backed — 3.44% | | | | | |
Fannie Mae-Aces, | |
Series 2012-M4, Class X1 (IO) | |
0.48% | | | 04/25/22 | 4 | | | 6,112,861 | | | | 1,426 | |
Fannie Mae-Aces, | |
Series 2016-M11, Class X2 (IO) | |
2.97% | | | 07/25/39 | 4 | | | 20,369,834 | | | | 713,094 | |
Fannie Mae-Aces, | |
Series 2016-M2, Class X3 (IO) | |
2.10% | | | 04/25/36 | 4 | | | 13,322,405 | | | | 135,249 | |
Fannie Mae-Aces, | |
Series 2016-M4, Class X2 (IO) | |
2.70% | | | 01/25/39 | 4 | | | 40,838,712 | | | | 1,754,247 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Fannie Mae-Aces, | |
Series 2019-M29, Class X4 (IO) | |
0.70% | | | 03/25/29 | 4 | | $ | 117,375,779 | | | $ | 4,710,090 | |
Freddie Mac Multifamily PC REMIC Trust, | |
Series 2019-P002, Class X (IO) | |
1.14% | | | 07/25/33 | 4 | | | 14,520,699 | | | | 1,549,873 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K021, Class X3 (IO) | |
2.03% | | | 07/25/40 | 4 | | | 26,660,903 | | | | 366,971 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K022, Class X3 (IO) | |
1.87% | | | 08/25/40 | 4 | | | 37,280,187 | | | | 558,379 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K031, Class X1 (IO) | |
0.30% | | | 04/25/23 | 4 | | | 360,518,532 | | | | 1,023,386 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K043, Class X3 (IO) | |
1.69% | | | 02/25/43 | 4 | | | 58,000,000 | | | | 2,866,609 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K051, Class X3 (IO) | |
1.67% | | | 10/25/43 | 4 | | | 44,865,280 | | | | 2,632,031 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K054, Class X1 (IO) | |
1.30% | | | 01/25/26 | 4 | | | 53,525,968 | | | | 2,375,156 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K055, Class X3 (IO) | |
1.70% | | | 04/25/44 | 4 | | | 32,000,000 | | | | 2,151,027 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K056, Class X1 (IO) | |
1.39% | | | 05/25/26 | 4 | | | 59,688,381 | | | | 2,927,969 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K057, Class X1 (IO) | |
1.31% | | | 07/25/26 | 4 | | | 122,809,161 | | | | 5,908,754 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K719, Class X1 (IO) | |
0.81% | | | 06/25/22 | 4 | | | 24,696,774 | | | | 45,424 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K726, Class X1 (IO) | |
1.02% | | | 04/25/24 | 4 | | | 128,686,064 | | | | 2,226,211 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KC01, Class X1 (IO) | |
0.55% | | | 12/25/22 | 4 | | | 34,241,942 | | | | 149,033 | |
|
| See accompanying Notes to Financial Statements. |
|
| 225 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.34% | | | 06/25/27 | 4 | | $ | 88,776,489 | | | $ | 4,192,550 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC07, Class X1 (IO) | |
0.85% | | | 09/25/26 | 4 | | | 84,929,830 | | | | 2,148,928 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF31, Class A | |
(LIBOR USD 1-Month plus 0.37%) | |
0.45% | | | 04/25/24 | 2 | | | 2,365,829 | | | | 2,369,985 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF51, Class A | |
(LIBOR USD 1-Month plus 0.40%) | |
0.48% | | | 08/25/25 | 2 | | | 4,334,271 | | | | 4,357,541 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF75, Class AL | |
(LIBOR USD 1-Month plus 0.51%) | |
0.59% | | | 12/25/29 | 2 | | | 6,967,446 | | | | 7,062,052 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF80, Class AL | |
(LIBOR USD 1-Month plus 0.44%) | |
0.52% | | | 06/25/30 | 2 | | | 4,757,258 | | | | 4,787,250 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF84, Class AL | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 07/25/30 | 2 | | | 14,572,428 | | | | 14,583,769 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF85, Class AL | |
(LIBOR USD 1-Month plus 0.30%) | |
0.38% | | | 08/25/30 | 2 | | | 10,798,748 | | | | 10,831,987 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF86, Class AL | |
(LIBOR USD 1-Month plus 0.29%) | |
0.37% | | | 08/25/27 | 2 | | | 8,962,905 | | | | 8,987,096 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF87, Class AL | |
(LIBOR USD 1-Month plus 0.35%) | |
0.43% | | | 08/25/30 | 2 | | | 13,678,957 | | | | 13,729,961 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF88, Class AL | |
(LIBOR USD 1-Month plus 0.33%) | |
0.41% | | | 09/25/30 | 2 | | | 21,984,127 | | | | 22,084,066 | |
| | | | | | | | | | | | |
| | | |
| 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) | |
1.19% | | | 03/25/26 | 4 | | $ | 116,418,714 | | | $ | 4,638,349 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KL05, Class X1HG (IO) | |
1.37% | | | 12/25/27 | 4 | | | 49,531,000 | | | | 2,862,811 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS05, Class X (IO) | |
0.12% | | | 01/25/23 | 4 | | | 13,696,821 | | | | 67,824 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS06, Class X (IO) | |
1.19% | | | 08/25/26 | 4 | | | 66,981,029 | | | | 2,462,745 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.77% | | | 09/25/25 | 4 | | | 102,800,364 | | | | 2,545,020 | |
Ginnie Mae, | |
Series 2011-152, Class IO (IO) | |
0.02% | | | 08/16/51 | 4 | | | 7,253,865 | | | | 4,213 | |
Ginnie Mae, | |
Series 2012-112, Class IO (IO) | |
0.15% | | | 02/16/53 | 4 | | | 35,483,035 | | | | 198,226 | |
Ginnie Mae, | |
Series 2012-78, Class IO (IO) | |
0.22% | | | 06/16/52 | 4 | | | 55,027,265 | | | | 236,422 | |
Ginnie Mae, | |
Series 2014-103, Class IO (IO) | |
0.26% | | | 05/16/55 | 4 | | | 17,763,206 | | | | 266,587 | |
Ginnie Mae, | |
Series 2014-125, Class IO (IO) | |
0.90% | | | 11/16/54 | 4 | | | 11,477,189 | | | | 418,097 | |
| | | | | | | | | | | | |
| | | | 140,930,408 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 11.12% | |
Fannie Mae REMICS, | |
Series 2006-11, Class PS | |
| (-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap) | | | | | |
24.25% | | | 03/25/36 | 2 | | | 14,383 | | | | 23,190 | |
Fannie Mae REMICS, | |
Series 2006-8, Class HJ (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | | 03/25/36 | 2 | | | 680,529 | | | | 133,172 | |
Fannie Mae REMICS, | |
Series 2007-52, Class LS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
5.96% | | | 06/25/37 | 2 | | | 32,290 | | | | 3,539 | |
Fannie Mae REMICS, | |
Series 2007-77, Class SK (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap) | | | | | |
5.78% | | | 08/25/37 | 2 | | | 68,342 | | | | 11,498 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 226 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2007-88, Class JI (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap) | | | | | |
6.36% | | | 04/25/37 | 2 | | $ | 766,162 | | | $ | 146,770 | |
Fannie Mae REMICS, | |
Series 2008-18, Class SM (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap) | | | | | |
6.91% | | | 03/25/38 | 2 | | | 40,681 | | | | 6,208 | |
Fannie Mae REMICS, | |
Series 2008-62, Class SN (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | | | | | |
6.11% | | | 07/25/38 | 2 | | | 80,409 | | | | 13,324 | |
Fannie Mae REMICS, | |
Series 2010-116, Class SE (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
6.51% | | | 10/25/40 | 2 | | | 39,089 | | | | 7,508 | |
Fannie Mae REMICS, | |
Series 2012-56, Class FK | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | | 06/25/42 | 2 | | | 2,728,880 | | | | 2,758,725 | |
Fannie Mae REMICS, | |
Series 2013-5, Class GF | |
(LIBOR USD 1-Month plus 1.10%) | |
1.19% | | | 10/25/42 | 2 | | | 191,834 | | | | 193,581 | |
Fannie Mae REMICS, | |
Series 2014-49, Class CF | |
(LIBOR USD 1-Month plus 1.00%) | |
1.09% | | | 07/25/43 | 2 | | | 5,807,557 | | | | 5,830,801 | |
Fannie Mae REMICS, | |
Series 2019-33, Class FN | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | | 07/25/49 | 2 | | | 5,212,530 | | | | 5,257,966 | |
Freddie Mac REMICS, | |
Series 2711, Class FA | |
(LIBOR USD 1-Month plus 1.00%) | |
1.08% | | | 11/15/33 | 2 | | | 48,943 | | | | 50,199 | |
Freddie Mac REMICS, | |
Series 2733, Class FB | |
(LIBOR USD 1-Month plus 0.60%) | |
0.68% | | | 10/15/33 | 2 | | | 182,000 | | | | 184,627 | |
Freddie Mac REMICS, | |
Series 3339, Class JS | |
| (-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap) | | | | | |
42.29% | | | 07/15/37 | 2 | | | 10,945 | | | | 23,209 | |
Freddie Mac REMICS, | |
Series 3404, Class AS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.90%, 5.89% Cap) | | | | | |
5.81% | | | 01/15/38 | 2 | | | 46,319 | | | | 10,271 | |
Freddie Mac REMICS, | |
Series 3439, Class SC (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) | | | | | |
5.82% | | | 04/15/38 | 2 | | | 35,460 | | | | 5,443 | |
Freddie Mac REMICS, | |
Series 3885, Class PO (PO) | |
0.00% | | | 11/15/33 | 10 | | | 13,819 | | | | 12,866 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 4030, Class HS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) | | | | | |
6.53% | | | 04/15/42 | 2 | | $ | 92,669 | | | $ | 19,044 | |
Freddie Mac REMICS, | |
Series 4919, Class FP | |
(LIBOR USD 1-Month plus 0.45%) | |
0.54% | | | 09/25/49 | 2 | | | 4,933,483 | | | | 4,975,051 | |
Freddie Mac REMICS, | |
Series 4993, Class OP (PO) | |
0.00% | | | 10/25/58 | 10 | | | 3,934,585 | | | | 3,762,046 | |
Ginnie Mae, | |
Series 2011-146, Class EI (IO) | |
5.00% | | | 11/16/41 | | | | 81,314 | | | | 14,656 | |
Ginnie Mae, | |
Series 2011-70, Class IL (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) | | | | | |
0.60% | | | 06/16/37 | 2 | | | 495,601 | | | | 5,243 | |
Ginnie Mae, | |
Series 2011-81, Class IC (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap) | | | | | |
0.62% | | | 07/20/35 | 2 | | | 602,739 | | | | 8,845 | |
Ginnie Mae, | |
Series 2013-135, Class CS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | | | | | |
6.12% | | | 09/16/43 | 2 | | | 1,814,287 | | | | 351,542 | |
Ginnie Mae, | |
Series 2017-136, Class IO (IO) | |
5.00% | | | 09/20/47 | | | | 416,816 | | | | 67,448 | |
Ginnie Mae, | |
Series 2019-86, Class FE | |
(LIBOR USD 1-Month plus 0.40%) | |
0.49% | | | 07/20/49 | 2 | | | 5,551,629 | | | | 5,593,544 | |
Ginnie Mae, | |
Series 2020-133, Class FA | |
0.49% | | | 02/20/49 | 4 | | | 3,694,551 | | | | 3,599,537 | |
UMBS (TBA) | |
2.00% | | | 11/01/51 | | | | 212,550,000 | | | | 212,702,872 | |
2.50% | | | 11/01/51 | | | | 204,100,000 | | | | 210,023,399 | |
| | | | | | | | | | | | |
| | | | 455,796,124 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $1,483,192,134) | | | | 1,422,450,849 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.52%* | |
|
California — 0.25% | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.37% | | | 11/01/35 | | | | 1,995,000 | | | | 1,954,446 | |
| Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY | | | | | |
6.01% | | | 07/01/39 | | | | 1,950,000 | | | | 2,596,534 | |
| Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR | | | | | |
5.76% | | | 07/01/29 | | | | 2,935,000 | | | | 3,619,270 | |
|
| See accompanying Notes to Financial Statements. |
|
| 227 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | |
| 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 | | | | | |
3.26% | | | 05/15/60 | | | $ | 1,790,000 | | | $ | 1,930,157 | |
| | | | | | | | | | | | |
| | | | 10,100,407 | |
| | | | | | | | | | | | |
|
Florida — 0.12% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.81% | | | 10/01/34 | | | | 1,000,000 | | | | 1,032,741 | |
2.86% | | | 10/01/35 | | | | 1,750,000 | | | | 1,803,618 | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.35% | | | 10/01/29 | | | | 2,000,000 | | | | 2,160,565 | |
| | | | | | | | | | | | |
| | | | 4,996,924 | |
| | | | | | | | | | | | |
|
New York — 0.15% | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | | 11/15/49 | | | | 975,000 | | | | 1,323,694 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI | | | | | |
3.95% | | | 08/01/32 | | | | 1,000,000 | | | | 1,122,808 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | | 03/15/33 | | | | 3,100,000 | | | | 3,817,239 | |
| | | | | | | | | | | | |
| | | | 6,263,741 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $20,295,705) | | | | 21,361,072 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 0.85% | |
|
U.S. Treasury Notes — 0.85% | |
U.S. Treasury Floating Rate Notes | |
(US Treasury Bill Yield 3-Month plus 0.06%) | |
0.09% | | | 10/31/22 | 2 | | | 34,570,000 | | | | 34,587,286 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $34,571,891) | |
|
Total Bonds — 89.52% | |
(Cost $3,707,187,889) | | | | 3,668,736,169 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
|
COMMON STOCK — 0.22% | |
|
Electric — 0.00% | |
| Homer City Holdings LLC†,5,6,8 | | | | 112,222 | | | | — | |
| | | | | | | | | | | | |
|
Financials — 0.22% | |
AGNC Investment Corp. | | | | 582,000 | | | | 9,178,140 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $13,797,770) | | | | 9,178,140 | |
| | | | | | | | | | | | |
|
Purchased Options - 0.03% | |
(Cost $616,026) | | | | 1,170,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
SHORT-TERM INVESTMENTS — 18.93% | |
|
Money Market Funds — 3.07% | |
Dreyfus Government Cash Management Fund | |
0.03%11 | | | | 10,087,000 | | | $ | 10,087,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
0.01%11,12 | | | | 776,259 | | | | 776,259 | |
JPMorgan U.S. Government Money Market Fund | |
0.01%11 | | | | 2,046,000 | | | | 2,046,000 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
0.03%11 | | | | 113,085,000 | | | | 113,085,000 | |
| | | | | | | | | | | | |
| | | | 125,994,259 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 3.05% | |
Federal Home Loan Bank | |
0.04%13 | | | 10/15/21 | | | $ | 50,000,000 | | | | 49,999,805 | |
0.04%13 | | | 10/29/21 | | | | 75,000,000 | | | | 74,999,417 | |
| | | | | | | | | | | | |
| | | | 124,999,222 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 12.81% | |
U.S. Treasury Bills | |
0.05%13 | | | 10/07/21 | | | | 50,000,000 | | | | 49,999,750 | |
0.04%13 | | | 02/03/22 | | | | 125,000,000 | | | | 124,981,554 | |
0.04%13 | | | 02/10/22 | | | | 125,000,000 | | | | 124,981,666 | |
0.04%13 | | | 02/17/22 | | | | 125,000,000 | | | | 124,978,281 | |
0.04%13 | | | 03/03/22 | | | | 100,000,000 | | | | 99,983,531 | |
| | | | | | | | | | | | |
| | | | 524,924,782 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $775,917,124) | | | | 775,918,263 | |
| | | | | | | | | | | | |
| |
| Total Investments Before Written Options - 108.70% | | | | | |
(Cost $4,497,518,809) | | | | 4,455,002,572 | |
| | | | | | | | | | | | |
|
Written Options - (0.01)% | |
(Cost $(371,449)) | | | | (604,500 | ) |
| | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 10,716 | |
| |
Liabilities in Excess of Other Assets - (8.69)% | | | | (355,943,821 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 4,098,464,967 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 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 $14,080,736, which is 0.34% of total net assets. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 228 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| 7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $445,940, at an interest rate of 3.60% and a maturity of July 13, 2022. The investment is accruing an unused commitment fee of 1.58% per annum. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2021. |
| 11 | Represents the current yield as of September 30, 2021. |
| 12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $6. |
| 13 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $16,798,978, which is 0.41% 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. |
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
(EDC): Economic Development Corporation
(EMTN): Euro Medium-Term Note
(EUR): Euro
(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
(SOFR): Secured Overnight Financing Rate
(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 1,414,433 | | | | | EUR 1,184,130 | | | Goldman Sachs International | | | 10/22/21 | | | $ | 41,517 | |
USD 2,032,576 | | | | | GBP 1,460,000 | | | Goldman Sachs International | | | 10/22/21 | | | | 63,926 | |
USD 638,152 | | | | | EUR 544,000 | | | Goldman Sachs International | | | 01/07/22 | | | | 6,256 | |
USD 2,003,222 | | | | | GBP 1,460,000 | | | Goldman Sachs International | | | 01/07/22 | | | | 34,149 | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | 145,848 | |
| | | | | | | | | | | | | | | | |
| | | | | |
EUR 1,184,130 | | | | | USD 1,388,584 | | | Goldman Sachs International | | | 10/22/21 | | | | (15,668 | ) |
GBP 1,460,000 | | | | | USD 2,002,478 | | | Goldman Sachs International | | | 10/22/21 | | | | (33,827 | ) |
EUR 26,000 | | | | | USD 30,431 | | | Goldman Sachs International | | | 01/07/22 | | | | (230 | ) |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | (49,725 | ) |
| | | | | | | | | | | | | | | | |
NET UNREALIZED APPRECIATION | | | | | | | | | | | | | | $ | 96,123 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 3,819 | | | | 12/31/21 | | | $ | 468,752,416 | | | $ | (3,006,218 | ) | | $ | (3,006,218 | ) |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 2,348 | | | | 12/21/21 | | | | (341,047,000 | ) | | | 5,917,654 | | | | 5,917,654 | |
U.S. Treasury Ultra Bond | | | 810 | | | | 12/21/21 | | | | (154,760,625 | ) | | | 4,648,408 | | | | 4,648,408 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (495,807,625 | ) | | | 10,566,062 | | | | 10,566,062 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | $ | (27,055,209 | ) | | $ | 7,559,844 | | | $ | 7,559,844 | |
| | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 229 / Semi-Annual Report September 2021 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| 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 | | | $ | 96,085 | | | $ | 68,115 | | | $ | 27,970 | |
| 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/30 | | | 5.00% | | | | 3 Months | | |
| Credit Suisse
First Boston
International |
| | | 06/20/23 | | | | 9,250,000 | | | | 540,481 | | | | 524,903 | | | | 15,578 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | 636,566 | | | $ | 593,018 | | | $ | 43,548 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 PUT OPTIONS EXCHANGE TRADED | | | | | | | | | | | | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 1,560 | | | | $99.13 | | | | 12/10/21 | | | $ | 244,197,552 | | | $ | 1,170,000 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of contracts | | | Exercise Price | | | Expiration Date | | | Notional Amount | | | Value | |
| | |
WRITTEN PUT OPTIONS EXCHANGE TRADED | | | | | | | | | |
IMM Eurodollar 2-Year MIDCV Future Options | | | 3,120 | | | | $98.75 | | | | 12/10/21 | | | $ | (253,141,952) | | | $ | (604,500 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | Received by the Fund | | | Paid by the Fund | | | | | | | | | | |
| | | | | | | | | | |
| Description | | Put/ Call | | Maturity Date | | Rate | | Frequency | | | Rate | | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
| | | | | | | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | Call | | 07/24/53 | | 3-month USD
LIBOR | | | Quarterly | | | | 1.77% | | | | Semi-annually | | | $ | 7,250 | | | $ | 324,980 | | | $ | — | | | $ | 324,980 | |
| Interest Rate Swap1 | | Call | | 07/24/53 | | 3-month USD
LIBOR | | | Quarterly | | | | 1.79% | | | | Semi-annually | | | | 5,370 | | | | 225,582 | | | | — | | | | 225,582 | |
| Interest Rate Swap1 | | Call | | 07/24/53 | | 3-month USD
LIBOR | | | Quarterly | | | | 1.81% | | | | Semi-annually | | | | 3,625 | | | | 133,897 | | | | — | | | | 133,897 | |
| Interest Rate Swap1 | | Call | | 09/28/53 | | 3-month USD
LIBOR | | | Quarterly | | | | 1.87% | | | | Semi-annually | | | | 10,130 | | | | 247,580 | | | | — | | | | 247,580 | |
| Interest Rate Swap1 | | Call | | 07/24/25 | | 1.03% | | | Semi-annually | | |
| 3-month USD
LIBOR |
| | | Quarterly | | | | 86,810 | | | | (513,707 | ) | | | — | | | | (513,707 | ) |
| Interest Rate Swap1 | | Call | | 07/24/25 | | 1.03% | | | Semi-annually | | |
| 3-month USD
LIBOR |
| | | Quarterly | | | | 64,210 | | | | (369,914 | ) | | | — | | | | (369,914 | ) |
| Interest Rate Swap1 | | Call | | 07/24/25 | | 1.07% | | | Semi-annually | | |
| 3-month USD
LIBOR |
| | | Quarterly | | | | 43,405 | | | | (216,908 | ) | | | — | | | | (216,908 | ) |
| Interest Rate Swap1 | | Call | | 09/28/25 | | 1.39% | | | Semi-annually | | |
| 3-month USD
LIBOR |
| | | Quarterly | | | | 118,685 | | | | (37,967 | ) | | | — | | | | (37,967 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | | | | | $ | 339,485 | | | $ | (206,457 | ) | | $ | — | | | $ | (206,457 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 230 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
ASSETS: | | ALPHATRAK
500 FUND | | CORPORATE BOND
FUND | | |
| | | | | | | |
| | | |
Investments, at value - Unaffiliated (Cost $42,898,644, $14,548,839, $204,529,029, $484,011,211, $783,767,922 and $853,871,701, respectively) (Note 2) | | | $ | 43,569,106 | | | | $ | 14,546,731 | | | |
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821 and $0, respectively) (Note 5) | | | | — | | | | | — | | | |
Cash and cash equivalents (Note 2) | | | | 1,161,124 | | | | | 509,427 | | | |
Foreign Currency, at value (Cost $0, $0, $557, $1,042, $1,822 and $0, respectively) | | | | — | | | | | — | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | — | | | | | 7,453 | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | 2,708,000 | | | | | 42,000 | | | |
Receivable for securities sold | | | | 777,214 | | | | | 146,899 | | | |
Dividends and interest receivable | | | | 174,404 | | | | | 107,069 | | | |
Receivable for capital stock sold | | | | 139,841 | | | | | 1,218 | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | 6,000 | | | | | 367 | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | — | | | | | — | | | |
| | | |
Unrealized appreciation on foreign currency transactions | | | | — | | | | | — | | | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | | — | | | | | — | | | |
Due from Adviser (Note 6) | | | | — | | | | | 22,220 | | | |
Premiums paid for swap contracts | | | | — | | | | | — | | | |
Unrealized appreciation on swap contracts | | | | — | | | | | 2,321 | | | |
Other assets | | | | 12,766 | | | | | 13,810 | | | |
| | | | | | | | | | | | |
Total assets | | | | 48,548,455 | | | | | 15,399,515 | | | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
Options written, at value (Premiums received $0, $0, $0, $0, $0 and $78,509, respectively) (Note 3) | | | | — | | | | | — | | | |
Payable for securities purchased | | | | 2,457,495 | | | | | 486,478 | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | 428,000 | | | | | 1,031 | | | |
Payable for capital stock redeemed | | | | 114,854 | | | | | 5,033 | | | |
| | | |
Distributions payable | | | | 1,000 | | | | | 167 | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | — | | | | | — | | | |
Unrealized depreciation on foreign currency transactions | | | | — | | | | | — | | | |
Unrealized depreciation on swap contracts | | | | — | | | | | 361 | | | |
Advisory fees payable (Note 6) | | | | 13,622 | | | | | 4,815 | | | |
Accrued trustees fees and expenses | | | | 141 | | | | | 42 | | | |
Accrued distribution (12b-1) and service fees payable | | | | — | | | | | 1,387 | | | |
Administrative fees payable | | | | 26,439 | | | | | 20,224 | | | |
Accrued other expenses | | | | 27,416 | | | | | 6,717 | | | |
| | | | | | | | | | | | |
Total liabilities | | | | 3,068,967 | | | | | 526,255 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 45,479,488 | | | | $ | 14,873,260 | | | |
| | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | |
| | | |
Net assets (Applicable to 3,169,335, 627,671, 2,427,059, 1,503,843, 19,276,262 and 3,197,853, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 45,479,488 | | | | $ | 6,835,155 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 14.35 | | | | $ | 10.89 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | |
Net assets (Applicable to 0, 738,156, 16,052,175, 45,862,538, 56,903,657 and 74,103,422, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | $ | 8,038,105 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | N/A | | | | $ | 10.89 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
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) | | | $ | 35,604,965 | | | | $ | 14,791,468 | | | |
Accumulated Earnings (Loss) | | | | 9,874,523 | | | | | 81,792 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 45,479,488 | | | | $ | 14,873,260 | | | |
| | | | | | | | | | | | |
| 1 | The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $102.25 divided by the unrounded shares outstanding of 10.25. |
|
| See accompanying Notes to Financial Statements. |
|
| 231 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME
FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND |
| | | | | | | | | |
| | | | |
| | | | | | | $ | 197,951,100 | | | | $ | 486,795,581 | | | | $ | 799,121,238 | | | | $ | 859,283,804 | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | 8,314,466 | | | | | 8,219,664 | | | | | 40,403,506 | | | | | 23,494,298 | |
| | | | | | | | 557 | | | | | 1,042 | | | | | 1,822 | | | | | — | |
| | | | | | | | — | | | | | — | | | | | — | | | | | 34 | |
| | | | | | | | 446,000 | | | | | — | | | | | 2,780,000 | | | | | 1,159,000 | |
| | | | | | | | 25,808,972 | | | | | 14,315,442 | | | | | 7,101,378 | | | | | 57,995,831 | |
| | | | | | | | 1,708,956 | | | | | 877,124 | | | | | 6,698,350 | | | | | 2,282,103 | |
| | | | | | | | 102,100 | | | | | 253,978 | | | | | 1,476,622 | | | | | 1,110,170 | |
| | | | | | | | 31,852 | | | | | — | | | | | 13,820 | | | | | 21,969 | |
| | | | | | | | 56,207 | | | | | 54,624 | | | | | 95,156 | | | | | — | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | 4,434 | | | | | 17,475 | | | | | 31,107 | | | | | 2,323 | |
| | | | | | | | 40,303 | | | | | 1,337 | | | | | 13,709 | | | | | 3 | |
| | | | | | | | — | | | | | — | | | | | 138,535 | | | | | 125,052 | |
| | | | | | | | — | | | | | — | | | | | 14,465 | | | | | 6,601 | |
| | | | | | | | 31,807 | | | | | 44,603 | | | | | 61,350 | | | | | 34,776 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 234,496,754 | | | | | 510,580,870 | | | | | 857,951,058 | | | | | 945,515,964 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | 127,875 | |
| | | | | | | | 54,697,611 | | | | | 37,150,910 | | | | | 37,688,995 | | | | | 112,223,927 | |
| | | | | | | | 25,780 | | | | | — | | | | | 18,390 | | | | | 1,031 | |
| | | | | | | | 1,207,135 | | | | | 258,865 | | | | | 1,733,362 | | | | | 686,157 | |
| | | | | | | | 9,997 | | | | | 139,027 | | | | | 89,096 | | | | | 4,436 | |
| | | | | | | | 18,843 | | | | | 18,494 | | | | | 32,228 | | | | | — | |
| | | | | | | | 114 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | 65,615 | | | | | 212,278 | | | | | 333,490 | | | | | 236,516 | |
| | | | | | | | 599 | | | | | 1,506 | | | | | 2,650 | | | | | 2,813 | |
| | | | | | | | 4,842 | | | | | 3,030 | | | | | 42,553 | | | | | 5,929 | |
| | | | | | | | 34,285 | | | | | 27,163 | | | | | 24,654 | | | | | 41,051 | |
| | | | | | | | 23,512 | | | | | 15,667 | | | | | 154,652 | | | | | 165,349 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 56,088,333 | | | | | 37,826,940 | | | | | 40,120,070 | | | | | 113,495,084 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 178,408,421 | | | | $ | 472,753,930 | | | | $ | 817,830,988 | | | | $ | 832,020,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | $ | 23,432,958 | | | | $ | 15,013,733 | | | | $ | 207,006,189 | | | | $ | 34,429,524 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 9.65 | | | | $ | 9.98 | | | | $ | 10.74 | | | | $ | 10.77 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | $ | 154,975,463 | | | | $ | 457,740,095 | | | | $ | 610,824,799 | | | | $ | 797,591,356 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 9.65 | | | | $ | 9.98 | | | | $ | 10.73 | | | | $ | 10.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | N/A | | | | $ | 102 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | $ | 9.981 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 184,613,556 | | | | $ | 471,464,419 | | | | $ | 847,658,289 | | | | $ | 822,136,703 | |
| | | | | | | | (6,205,135 | ) | | | | 1,289,511 | | | | | (29,827,301 | ) | | | | 9,884,177 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 178,408,421 | | | | $ | 472,753,930 | | | | $ | 817,830,988 | | | | $ | 832,020,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 232 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2021 (Unaudited)
| | | | | | | | | | | | |
ASSETS: | | INVESTMENT GRADE
CREDIT FUND | | LOW DURATION
BOND FUND | | |
| | | | | | | |
| | | |
Investments, at value - Unaffiliated (Cost $29,944,387, $3,111,573,760, $3,365,174, $35,081,226, $106,555,415,845 and $258,664,750, respectively) (Note 2) | | | $ | 29,427,445 | | | | $ | 3,115,115,205 | | | |
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $65,187,440 and $0, respectively) (Note 5) | | | | — | | | | | — | | | |
Cash and cash equivalents (Note 2) | | | | 1,020,405 | | | | | 21,077,279 | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | 18,214 | | | | | 1,023,027 | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | 55,000 | | | | | 3,693,000 | | | |
Receivable for securities sold | | | | 1,708,458 | | | | | 348,722,120 | | | |
Dividends and interest receivable | | | | 223,982 | | | | | 8,188,446 | | | |
Due from Adviser (Note 6) | | | | 21,461 | | | | | — | | | |
Unrealized appreciation on swap contracts | | | | 5,659 | | | | | 21,685 | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | 2,855 | | | | | 41,289 | | | |
Receivable for capital stock sold | | | | 960 | | | | | 3,316,730 | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | — | | | | | — | | | |
Unrealized appreciation on foreign currency transactions | | | | — | | | | | — | | | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | | — | | | | | 7,455 | | | |
Premiums paid for swap contracts | | | | — | | | | | 401,241 | | | |
Other assets | | | | 13,677 | | | | | 83,513 | | | |
| | | | | | | | | | | | |
Total assets | | | | 32,498,116 | | | | | 3,501,690,990 | | | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
Options written, at value (Premiums received $0, $800,323, $0, $0, $10,034,883 and $23,298, respectively) (Note 3) | | | | — | | | | | 423,215 | | | |
Payable for securities purchased | | | | 3,638,064 | | | | | 732,884,225 | | | |
Payable for capital stock redeemed | | | | 9,407 | | | | | 113,893,033 | | | |
Unrealized depreciation on swap contracts | | | | 6,237 | | | | | — | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | 3,377 | | | | | 230,915 | | | |
Distributions payable | | | | 302 | | | | | 147,283 | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | — | | | | | — | | | |
Unrealized depreciation on foreign currency transactions | | | | — | | | | | — | | | |
Advisory fees payable (Note 6) | | | | 7,604 | | | | | 679,987 | | | |
Accrued trustees fees and expenses | | | | 50 | | | | | 8,803 | | | |
Accrued distribution (12b-1) and service fees payable | | | | 831 | | | | | 72,096 | | | |
Administrative fees payable | | | | 23,323 | | | | | 51,309 | | | |
Accrued other expenses | | | | 5,612 | | | | | 491,470 | | | |
| | | | | | | | | | | | |
Total liabilities | | | | 3,694,807 | | | | | 848,882,336 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 28,803,309 | | | | $ | 2,652,808,654 | | | |
| | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | |
Net assets (Applicable to 493,159, 51,655,126, 10, 2,447,593, 647,216,382 and 12,852,318, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 4,736,460 | | | | $ | 459,413,251 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 9.60 | | | | $ | 8.89 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | |
Net assets (Applicable to 2,505,934, 246,274,894, 306,132, 1,567,594, 4,951,914,871 and 43,927,918, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 24,066,849 | | | | $ | 2,190,842,953 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | $ | 9.60 | | | | $ | 8.90 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class I-2 Shares: | | | | | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 0, 18,024,146 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, 222,099, 0, 0, 187,350,051 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | $ | 2,552,450 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | N/A | | | | $ | 11.49 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Plan Class Shares: | | | | | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 0, 2,350,843,320 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) | | | $ | 29,419,904 | | | | $ | 2,675,298,015 | | | |
Accumulated Earnings (Loss) | | | | (616,595 | ) | | | | (22,489,361 | ) | | |
| | | | | | | | | | | | |
Net assets | | | $ | 28,803,309 | | | | $ | 2,652,808,654 | | | |
| | | | | | | | | | | | |
| 1 | The net asset values of the Class M Shares of the Opportunistic High Income Credit Fund were calculated using unrounded net assets of $102.59 divided by the unrounded shares outstanding of 10.101. |
|
| See accompanying Notes to Financial Statements. |
|
| 233 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | |
| | | | | | | | | | | |
| | | | | |
| | | | | | | $ | 3,393,517 | | | | $ | 30,776,900 | | | | $ | 107,494,157,699 | | | | $ | 258,647,715 | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | 8,803 | | | | | 875,677 | | | | | 147,430,507 | | | | | 11,820,053 | | | | | | |
| | | | | | | | — | | | | | 21,791 | | | | | 202,020,367 | | | | | — | | | | | | |
| | | | | | | | — | | | | | 351,000 | | | | | 80,275,000 | | | | | 316,000 | | | | | | |
| | | | | | | | 104,473 | | | | | 1,557,714 | | | | | 19,563,420,242 | | | | | 29,862,041 | | | | | | |
| | | | | | | | 41,080 | | | | | 403,847 | | | | | 273,056,459 | | | | | 683,521 | | | | | | |
| | | | | | | | 15,574 | | | | | 51,294 | | | | | — | | | | | 31,012 | | | | | | |
| | | | | | | | — | | | | | 6,979 | | | | | 21,020,386 | | | | | 1,052 | | | | | | |
| | | | | | | | — | | | | | 2,641 | | | | | — | | | | | 1,094 | | | | | | |
| | | | | | | | — | | | | | 151,037 | | | | | 105,834,933 | | | | | 2,193,010 | | | | | | |
| | | | | | | | — | | | | | — | | | | | 5,288,986 | | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | 242 | | | | | — | | | | | 52,926 | | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | 1,533,668 | | | | | 2,562 | | | | | | |
| | | | | | | | — | | | | | 18,847 | | | | | 1,270,324 | | | | | 38,699 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 3,563,689 | | | | | 34,217,727 | | | | | 127,895,361,497 | | | | | 303,596,759 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | — | | | | | — | | | | | 10,729,375 | | | | | 38,750 | | | | | | |
| | | | | | | | 431,083 | | | | | 3,283,262 | | | | | 39,868,249,379 | | | | | 61,418,705 | | | | | | |
| | | | | | | | — | | | | | 131,590 | | | | | 131,735,686 | | | | | 64,102 | | | | | | |
| | | | | | | | — | | | | | 8,643 | | | | | 26,698,819 | | | | | — | | | | | | |
| | | | | | | | 25 | | | | | 1,375 | | | | | 1,750,257 | | | | | 19,758 | | | | | | |
| | | | | | | | — | | | | | 4,461 | | | | | 7,697,743 | | | | | 262 | | | | | | |
| | | | | | | | — | | | | | — | | | | | 1,963,955 | | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | 44,242 | | | | | — | | | | | | |
| | | | | | | | 1,219 | | | | | 45,304 | | | | | 25,920,900 | | | | | 49,370 | | | | | | |
| | | | | | | | 6 | | | | | 102 | | | | | 305,727 | | | | | 833 | | | | | | |
| | | | | | | | — | | | | | 3,820 | | | | | 1,935,465 | | | | | 7,251 | | | | | | |
| | | | | | | | 16,128 | | | | | 23,535 | | | | | 844,540 | | | | | 23,631 | | | | | | |
| | | | | | | | 7,031 | | | | | 27,474 | | | | | 14,170,752 | | | | | 87,277 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 455,492 | | | | | 3,529,566 | | | | | 40,092,046,840 | | | | | 61,709,939 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,108,197 | | | | $ | 30,688,161 | | | | $ | 87,803,314,657 | | | | $ | 241,886,820 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | $ | 103 | | | | $ | 18,708,899 | | | | $ | 7,096,869,470 | | | | $ | 54,684,078 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 10.161 | | | | $ | 7.64 | | | | $ | 10.97 | | | | $ | 4.25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | $ | 3,108,094 | | | | $ | 11,979,262 | | | | $ | 54,285,998,258 | | | | $ | 187,202,742 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 10.15 | | | | $ | 7.64 | | | | $ | 10.96 | | | | $ | 4.26 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 197,606,925 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 10.96 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 2,055,835,259 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 10.97 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 24,167,004,745 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | | N/A | | | | $ | 10.28 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,066,519 | | | | $ | 35,556,186 | | | | $ | 86,901,518,575 | | | | $ | 247,162,944 | | | | | | |
| | | | | | | | 41,678 | | | | | (4,868,025 | ) | | | | 901,796,082 | | | | | (5,276,124 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 3,108,197 | | | | $ | 30,688,161 | | | | $ | 87,803,314,657 | | | | $ | 241,886,820 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 234 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2021 (Unaudited)
| | | | | | | | |
ASSETS: | | UNCONSTRAINED
BOND FUND | | | | |
| | | | | | | |
| | |
Investments, at value - Unaffiliated (Cost $4,497,518,809) (Note 2) | | $ | 4,455,002,572 | | | | | |
Investments, at value - Affiliated (Cost $0) (Note 5) | | | — | | | | | |
Cash and cash equivalents (Note 2) | | | 75,770,342 | | | | | |
Foreign Currency, at value (Cost $930) | | | 930 | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | 6,227,398 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 20,859,000 | | | | | |
Receivable for securities sold | | | 437,855,211 | | | | | |
Dividends and interest receivable | | | 15,456,937 | | | | | |
Receivable for capital stock sold | | | 11,727,338 | | | | | |
Unrealized appreciation on swap contracts | | | 975,587 | | | | | |
Premiums paid for swap contracts | | | 593,018 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 454,768 | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | 145,848 | | | | | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | 10,716 | | | | | |
Unrealized appreciation on foreign currency transactions | | | — | | | | | |
Other assets | | | 107,649 | | | | | |
| | | | | | | | |
Total assets | | | 5,025,187,314 | | | | | |
| | | | | | | | |
Liabilities: | | | | | | | | |
Options written, at value (Premiums received $371,449) (Note 3) | | | 604,500 | | | | | |
Payable for securities purchased | | | 911,942,744 | | | | | |
Payable for capital stock redeemed | | | 7,955,347 | | | | | |
Distributions payable | | | 1,800,873 | | | | | |
Unrealized depreciation on swap contracts | | | 1,138,496 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | 393,191 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | 49,725 | | | | | |
Unrealized depreciation on foreign currency transactions | | | 140 | | | | | |
Advisory fees payable (Note 6) | | | 2,169,660 | | | | | |
Accrued trustees fees and expenses | | | 12,810 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | 53,471 | | | | | |
Administrative fees payable | | | 79,680 | | | | | |
Accrued other expenses | | | 521,710 | | | | | |
| | | | | | | | |
Total liabilities | | | 926,722,347 | | | | | |
| | | | | | | | |
Net assets | | $ | 4,098,464,967 | | | | | |
| | | | | | | | |
Class M Shares: | | | | | | | | |
Net assets (Applicable to 21,744,139, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 260,488,553 | | | | | |
| | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 11.98 | | | | | |
| | | | | | | | |
| | | | | | | | |
Class I Shares: | | | | | | | | |
Net assets (Applicable to 310,407,171, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 3,715,291,909 | | | | | |
| | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 11.97 | | | | | |
| | | | | | | | |
| | | | | | | | |
Plan Class Shares: | | | | | | | | |
Net assets (Applicable to 10,255,360, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 122,684,505 | | | | | |
| | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | $ | 11.96 | | | | | |
| | | | | | | | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 4,088,646,842 | | | | | |
Accumulated Earnings (Loss) | | | 9,818,125 | | | | | |
| | | | | | | | |
Net assets | | $ | 4,098,464,967 | | | | | |
| | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 235 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2021 (Unaudited)
| | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | CORPORATE BOND
FUND |
Investment Income: | | | | | | | | | | |
Interest | | | $ | 313,625 | | | | $ | 174,127 | |
Dividends | | | | 44,641 | | | | | 76 | |
| | | | | | | | | | |
Total investment income | | | | 358,266 | | | | | 174,203 | |
| | | | | | | | | | |
| | | | | | | | | | |
Expenses: | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | 25,096 | | | | | 24,971 | |
Administration fees | | | | 50,575 | | | | | 48,689 | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | |
Class M | | | | — | | | | | 8,538 | |
Professional fees | | | | 21,249 | | | | | 14,488 | |
Transfer agent fees | | | | 19,183 | | | | | 20,081 | |
Registration and filing fees | | | | 14,522 | | | | | 30,972 | |
Custodian fees | | | | 11,158 | | | | | 17,346 | |
Miscellaneous expenses | | | | 7,510 | | | | | 5,801 | |
Trustees’ fees and expenses | | | | 253 | | | | | 76 | |
Commitment fee | | | | 28 | | | | | 38 | |
Repayment of reimbursed expenses - Class M (Note 6) | | | | 47,536 | | | | | — | |
Repayment of reimbursed expenses - Class I (Note 6) | | | | — | | | | | — | |
| | | | | | | | | | |
Total operating expenses | | | | 197,110 | | | | | 171,000 | |
Expenses waived and reimbursed (Note 6) | | | | — | | | | | (131,248 | ) |
| | | | | | | | | | |
Net expenses | | | | 197,110 | | | | | 39,752 | |
| | | | | | | | | | |
Net investment income | | | | 161,156 | | | | | 134,451 | |
| | | | | | | | | | |
| | | | | | | | | | |
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 | | | | (175,194 | ) | | | | 59,121 | |
Futures contracts | | | | 5,065,453 | | | | | (20,858 | ) |
Foreign currency exchange contracts | | | | 20,871 | | | | | — | |
Foreign currency transactions | | | | — | | | | | — | |
Options and swaptions written | | | | — | | | | | — | |
Swap contracts | | | | — | | | | | (17 | ) |
| |
Net change in unrealized appreciation (depreciation) on: | | | | | | |
Investments - Unaffiliated | | | | 254,388 | | | | | 194,728 | |
Futures contracts | | | | (1,882,570 | ) | | | | (7,104 | ) |
Foreign currency exchange contracts | | | | (20,568 | ) | | | | — | |
Foreign currency transactions | | | | — | | | | | — | |
Options and swaptions written | | | | — | | | | | — | |
Swap contracts | | | | — | | | | | 1,960 | |
| | | | | | | | | | |
| | |
Net 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 | | | | 3,262,380 | | | | | 227,830 | |
| | | | | | | | | | |
Net Increase in Net Assets from Operations | | | $ | 3,423,536 | | | | $ | 362,281 | |
| | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 236 |
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME
FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 8,923,611 | | | | $ | 8,706,842 | | | | $ | 16,694,478 | | | | $ | 6,800,858 | | | | | | |
| | | | | | | | 18,917 | | | | | 4,121 | | | | | 13,073 | | | | | 6,675 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 8,942,528 | | | | | 8,710,963 | | | | | 16,707,551 | | | | | 6,807,533 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 405,234 | | | | | 1,253,915 | | | | | 1,982,377 | | | | | 1,433,352 | | | | | | |
| | | | | | | | 98,224 | | | | | 96,550 | | | | | 71,117 | | | | | 78,677 | | | | | | |
| | | | | |
| | | | | | | | 28,514 | | | | | 18,010 | | | | | 253,649 | | | | | 37,235 | | | | | | |
| | | | | | | | 23,239 | | | | | 20,739 | | | | | 21,720 | | | | | 25,040 | | | | | | |
| | | | | | | | 97,614 | | | | | 101,713 | | | | | 266,317 | | | | | 308,752 | | | | | | |
| | | | | | | | 32,685 | | | | | 40,121 | | | | | 40,486 | | | | | 32,594 | | | | | | |
| | | | | | | | 31,719 | | | | | 17,260 | | | | | 19,488 | | | | | 33,870 | | | | | | |
| | | | | | | | 6,873 | | | | | 16,134 | | | | | 45,099 | | | | | 31,573 | | | | | | |
| | | | | | | | 1,143 | | | | | 2,753 | | | | | 4,837 | | | | | 4,981 | | | | | | |
| | | | | | | | 387 | | | | | 1,049 | | | | | 2,149 | | | | | 2,134 | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | — | | | | | 8,239 | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 725,632 | | | | | 1,576,483 | | | | | 2,707,239 | | | | | 1,988,208 | | | | | | |
| | | | | | | | (201,831 | ) | | | | (6,044 | ) | | | | (74,738 | ) | | | | (659 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 523,801 | | | | | 1,570,439 | | | | | 2,632,501 | | | | | 1,987,549 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 8,418,727 | | | | | 7,140,524 | | | | | 14,075,050 | | | | | 4,819,984 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | 392,317 | | | | | 452,881 | | | | | 9,587,469 | | | | | 4,289,919 | | | | | | |
| | | | | | | | (632,281 | ) | | | | — | | | | | 109,714 | | | | | (598,403 | ) | | | | | |
| | | | | | | | 8,433 | | | | | 443,267 | | | | | 41,656 | | | | | — | | | | | | |
| | | | | | | | (345 | ) | | | | (16,513 | ) | | | | (40,837 | ) | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | (27,103 | ) | | | | | |
| | | | | | | | — | | | | | — | | | | | 44,303 | | | | | 15,690 | | | | | | |
| | | | | |
| | | | | | | | (3,603,250 | ) | | | | 898,804 | | | | | 2,305,103 | | | | | (1,414,980 | ) | | | | | |
| | | | | | | | 8,295 | | | | | — | | | | | 38,185 | | | | | 42,395 | | | | | | |
| | | | | | | | 24,060 | | | | | (381,094 | ) | | | | 62,928 | | | | | — | | | | | | |
| | | | | | | | (4,119 | ) | | | | (26,829 | ) | | | | (40,794 | ) | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | (49,366 | ) | | | | | |
| | | | | | | | — | | | | | — | | | | | 4,769 | | | | | 3,798 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | (3,806,890 | ) | | | | 1,370,516 | | | | | 12,112,496 | | | | | 2,261,950 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 4,611,837 | | | | $ | 8,511,040 | | | | $ | 26,187,546 | | | | $ | 7,081,934 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 237 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE
CREDIT FUND | | LOW DURATION
BOND FUND | | |
Investment Income: | | | | | | | | | | | | | | | |
Interest | | | $ | 454,967 | | | | $ | 18,557,826 | | | | | | |
Dividends | | | | 90 | | | | | 20,891 | | | | | | |
| | | | | | | | | | | | | | | |
Total investment income | | | | 455,057 | | | | | 18,578,717 | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | 31,778 | | | | | 3,951,284 | | | | | | |
Administration fees | | | | 51,773 | | | | | 139,909 | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | |
Class M | | | | 3,205 | | | | | 429,732 | | | | | | |
Administrative Class | | | | — | | | | | 1,829 | | | | | | |
Registration and filing fees | | | | 30,188 | | | | | 50,460 | | | | | | |
Transfer agent fees | | | | 19,578 | | | | | 1,045,074 | | | | | | |
Custodian fees | | | | 17,340 | | | | | 60,515 | | | | | | |
Professional fees | | | | 14,493 | | | | | 26,341 | | | | | | |
Miscellaneous expenses | | | | 5,735 | | | | | 83,012 | | | | | | |
Trustees’ fees and expenses | | | | 85 | | | | | 15,665 | | | | | | |
Commitment fee | | | | 34 | | | | | 6,313 | | | | | | |
| | | | | | | | | | | | | | | |
Total operating expenses | | | | 174,209 | | | | | 5,810,134 | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | (127,028 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | |
Net expenses | | | | 47,181 | | | | | 5,810,134 | | | | | | |
| | | | | | | | | | | | | | | |
Net investment income | | | | 407,876 | | | | | 12,768,583 | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
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 | | | | (75,015 | ) | | | | 6,496,036 | | | | | | |
Futures contracts | | | | (52,173 | ) | | | | (2,141,925 | ) | | | | | |
Foreign currency exchange contracts | | | | — | | | | | 1,443,076 | | | | | | |
Foreign currency transactions | | | | — | | | | | — | | | | | | |
Options and swaptions written | | | | — | | | | | (86,093 | ) | | | | | |
Swap contracts | | | | (31 | ) | | | | 46,389 | | | | | | |
| | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | | (93,975 | ) | | | | (2,118,899 | ) | | | | | |
Futures contracts | | | | 9,389 | | | | | 967,707 | | | | | | |
Foreign currency exchange contracts | | | | — | | | | | (1,422,086 | ) | | | | | |
Foreign currency transactions | | | | — | | | | | — | | | | | | |
Options and swaptions written | | | | — | | | | | (158,296 | ) | | | | | |
Swap contracts | | | | (578 | ) | | | | 13,372 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Net 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 | | | | (212,383 | ) | | | | 3,039,281 | | | | | | |
| | | | | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | $ | 195,493 | | | | $ | 15,807,864 | | | | | | |
| | | | | | | | | | | | | | | |
| 1 | For the period August 2, 2021 (Commencement of Operations) to September 30, 2021. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 238 |
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2021 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH
INCOME
CREDIT FUND1 | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 29,558 | | | | $ | 1,294,322 | | | | $ | 761,422,801 | | | | $ | 1,225,760 | | | | | | |
| | | | | | | | 679 | | | | | 3,611 | | | | | 556,989 | | | | | 2,272 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 30,237 | | | | | 1,297,933 | | | | | 761,979,790 | | | | | 1,228,032 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 2,303 | | | | | 266,117 | | | | | 156,888,916 | | | | | 308,320 | | | | | | |
| | | | | | | | 16,128 | | | | | 52,197 | | | | | 2,258,592 | | | | | 62,773 | | | | | | |
| | | | | |
| | | | | | | | — | | | | | 22,242 | | | | | 7,592,222 | | | | | 46,074 | | | | | | |
| | | | | | | | — | | | | | — | | | | | 4,218,147 | | | | | — | | | | | | |
| | | | | | | | 79 | | | | | 28,892 | | | | | 860,812 | | | | | 31,509 | | | | | | |
| | | | | | | | 4,973 | | | | | 28,928 | | | | | 24,523,872 | | | | | 129,723 | | | | | | |
| | | | | | | | 5,959 | | | | | 8,814 | | | | | 1,298,907 | | | | | 19,715 | | | | | | |
| | | | | | | | 2,540 | | | | | 20,620 | | | | | 192,606 | | | | | 20,723 | | | | | | |
| | | | | | | | 1,489 | | | | | 10,713 | | | | | 3,917,137 | | | | | 18,678 | | | | | | |
| | | | | | | | 6 | | | | | 155 | | | | | 543,693 | | | | | 1,546 | | | | | | |
| | | | | | | | 17 | | | | | 64 | | | | | 241,039 | | | | | 712 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 33,494 | | | | | 438,742 | | | | | 202,535,943 | | | | | 639,773 | | | | | | |
| | | | | | | | (30,730 | ) | | | | (303,971 | ) | | | | — | | | | | (174,383 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 2,764 | | | | | 134,771 | | | | | 202,535,943 | | | | | 465,390 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 27,473 | | | | | 1,163,162 | | | | | 559,443,847 | | | | | 762,642 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | 13,143 | | | | | (739,978 | ) | | | | 936,798,036 | | | | | 226,951 | | | | | | |
| | | | | | | | — | | | | | (94,075 | ) | | | | 106,422,141 | | | | | (188,110 | ) | | | | | |
| | | | | | | | — | | | | | — | | | | | 40,012,385 | | | | | 268,341 | | | | | | |
| | | | | | | | — | | | | | — | | | | | 9,971 | | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | (1,687,141 | ) | | | | (10,472 | ) | | | | | |
| | | | | | | | — | | | | | (36 | ) | | | | 551,640 | | | | | 3,999 | | | | | | |
| | | | | |
| | | | | | | | 28,585 | | | | | 158,795 | | | | | 138,162,162 | | | | | (28,406 | ) | | | | | |
| | | | | | | | (25 | ) | | | | (49,970 | ) | | | | (6,408,384 | ) | | | | 129,609 | | | | | | |
| | | | | | | | — | | | | | — | | | | | (38,955,574 | ) | | | | (264,437 | ) | | | | | |
| | | | | | | | — | | | | | — | | | | | (49,580 | ) | | | | — | | | | | | |
| | | | | | | | — | | | | | — | | | | | 2,904,558 | | | | | (15,452 | ) | | | | | |
| | | | | | | | — | | | | | (1,664 | ) | | | | (5,825,671 | ) | | | | 106 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | 41,703 | | | | | (726,928 | ) | | | | 1,171,934,543 | | | | | 122,129 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 69,176 | | | | $ | 436,234 | | | | $ | 1,731,378,390 | | | | $ | 884,771 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 239 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2021 (Unaudited)
| | | | | | | | |
| | | UNCONSTRAINED
BOND FUND | | | | |
Investment Income: | | | | | | | | |
Interest | | | $ 66,348,629 | | | | | |
Dividends | | | 450,551 | | | | | |
| | | | | | | | |
Total investment income | | | 66,799,180 | | | | | |
| | | | | | | | |
| | | | | | | | |
Expenses: | | | | | | | | |
Investment advisory fees (Note 6) | | | 12,458,945 | | | | | |
Administration fees | | | 206,111 | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | |
Class M | | | 325,520 | | | | | |
Transfer agent fees | | | 1,186,047 | | | | | |
Miscellaneous expenses | | | 142,531 | | | | | |
Registration and filing fees | | | 97,508 | | | | | |
Custodian fees | | | 88,205 | | | | | |
Professional fees | | | 34,479 | | | | | |
Trustees’ fees and expenses | | | 22,746 | | | | | |
Commitment fee | | | 9,542 | | | | | |
| | | | | | | | |
Total operating expenses | | | 14,571,634 | | | | | |
Expenses waived and reimbursed (Note 6) | | | — | | | | | |
| | | | | | | | |
Net expenses | | | 14,571,634 | | | | | |
| | | | | | | | |
Net investment income | | | 52,227,546 | | | | | |
| | | | | | | | |
| | | | | | | | |
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 | | | 17,275,442 | | | | | |
Futures contracts | | | (13,276,926 | ) | | | | |
Foreign currency exchange contracts | | | 2,148,621 | | | | | |
Foreign currency transactions | | | (5,904 | ) | | | | |
Options and swaptions written | | | (124,356 | ) | | | | |
Swap contracts | | | 118,733 | | | | | |
| | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investments - Unaffiliated | | | 856,945 | | | | | |
Futures contracts | | | (2,517,181 | ) | | | | |
Foreign currency exchange contracts | | | (2,056,034 | ) | | | | |
Foreign currency transactions | | | (142 | ) | | | | |
Options and swaptions written | | | (233,051 | ) | | | | |
Swap contracts | | | (188,078 | ) | | | | |
| | | | | | | | |
| | |
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 | | | 1,998,069 | | | | | |
| | | | | | | | |
| | |
Net Increase in Net Assets from Operations | | | $ 54,225,615 | | | | | |
| | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 240 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31,
2021 | |
Operations: | | | | | | | | | | | | |
Net investment income | | $ | 161,156 | | | | | | | $ | 527,351 | |
Net realized gain (loss) on investments | | | (175,194 | ) | | | | | | | 21,713 | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | 5,086,324 | | | | | | | | 11,470,191 | |
Net change in unrealized appreciation (depreciation) on investments | | | 254,388 | | | | | | | | 1,774,249 | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (1,903,138 | ) | | | | | | | 1,813,257 | |
| | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 3,423,536 | | | | | | | | 15,606,761 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | |
Class M | | | (254,352 | ) | | | | | | | (2,562,844 | ) |
Class I | | | — | | | | | | | | — | |
Plan Class | | | — | | | | | | | | — | |
| | | | | | | | | | | | |
Total Distributions | | | (254,352 | ) | | | | | | | (2,562,844 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | |
Proceeds from sale of shares | | | 9,722,117 | | | | | | | | 8,125,307 | |
Shares issued in reinvestment of distributions | | | 252,430 | | | | | | | | 2,556,028 | |
Cost of shares redeemed | | | (4,434,038 | ) | | | | | | | (16,021,598 | ) |
| | | | | | | | | | | | |
Total Class M capital share transactions | | | 5,540,509 | | | | | | | | (5,340,263 | ) |
| | | | | | | | | | | | |
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 | | | 5,540,509 | | | | | | | | (5,340,263 | ) |
| | | | | | | | | | | | |
Net increase (decrease) in net assets | | | 8,709,693 | | | | | | | | 7,703,654 | |
Net assets at beginning of period | | | 36,769,795 | | | | | | | | 29,066,141 | |
| | | | | | | | | | | | |
Net assets at end of period | | $ | 45,479,488 | | | | | | | $ | 36,769,795 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 241 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND
FUND | | | FLEXIBLE INCOME
FUND | | | FLOATING RATE
INCOME FUND | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 134,451 | | | $ | 286,040 | | | $ | 8,418,727 | | | $ | 4,908,854 | | | $ | 7,140,524 | | | $ | 10,056,510 | | | | | |
| | | 59,121 | | | | 25,535 | | | | 392,317 | | | | (450,019 | ) | | | 452,881 | | | | 861,658 | | | | | |
| | | | | | | | |
| | | (20,875 | ) | | | 47,444 | | | | (624,193 | ) | | | 827,523 | | | | 426,754 | | | | 129,471 | | | | | |
| | | 194,728 | | | | (242,672 | ) | | | (3,603,250 | ) | | | (2,518,196 | ) | | | 898,804 | | | | 26,740,238 | | | | | |
| | | | | | | | |
| | | (5,144 | ) | | | 21,784 | | | | 28,236 | | | | 382,408 | | | | (407,923 | ) | | | 444,053 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 362,281 | | | | 138,131 | | | | 4,611,837 | | | | 3,150,570 | | | | 8,511,040 | | | | 38,231,930 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (69,924 | ) | | | (203,386 | ) | | | (1,042,265 | ) | | | (662,014 | ) | | | (210,169 | ) | | | (295,044 | ) | | | | |
| | | (64,516 | ) | | | (149,087 | ) | | | (7,354,966 | ) | | | (4,457,044 | ) | | | (6,917,324 | ) | | | (9,868,566 | ) | | | | |
| | | — | | | | — | | | | — | | | | — | | | | (2 | ) | | | (1 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (134,440 | ) | | | (352,473 | ) | | | (8,397,231 | ) | | | (5,119,058 | ) | | | (7,127,495 | ) | | | (10,163,611 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 1,069,978 | | | | 13,648,657 | | | | 10,429,925 | | | | 32,392,444 | | | | 3,205,384 | | | | 12,304,196 | | | | | |
| | | 68,946 | | | | 201,816 | | | | 997,294 | | | | 642,289 | | | | 192,687 | | | | 280,843 | | | | | |
| | | (2,644,693 | ) | | | (6,263,385 | ) | | | (8,667,315 | ) | | | (11,600,746 | ) | | | (2,237,193 | ) | | | (5,625,876 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1,505,769 | ) | | | 7,587,088 | | | | 2,759,904 | | | | 21,433,987 | | | | 1,160,878 | | | | 6,959,163 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 3,565,527 | | | | 3,272,792 | | | | 24,453,098 | | | | 154,410,363 | | | | 66,609,058 | | | | 155,690,567 | | | | | |
| | | 64,348 | | | | 147,918 | | | | 7,350,714 | | | | 4,446,944 | | | | 6,106,588 | | | | 8,526,760 | | | | | |
| | | (399,178 | ) | | | (1,141,757 | ) | | | (32,377,906 | ) | | | (7,249,876 | ) | | | (34,248,064 | ) | | | (23,773,857 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 3,230,697 | | | | 2,278,953 | | | | (574,094 | ) | | | 151,607,431 | | | | 38,467,582 | | | | 140,443,470 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | 100 | | | | | |
| | | — | | | | — | | | | — | | | | — | | | | 2 | | | | 1 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | — | | | | — | | | | 2 | | | | 101 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,724,928 | | | | 9,866,041 | | | | 2,185,810 | | | | 173,041,418 | | | | 39,628,462 | | | | 147,402,734 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,952,769 | | | | 9,651,699 | | | | (1,599,584 | ) | | | 171,072,930 | | | | 41,012,007 | | | | 175,471,053 | | | | | |
| | | 12,920,491 | | | | 3,268,792 | | | | 180,008,005 | | | | 8,935,075 | | | | 431,741,923 | | | | 256,270,870 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 14,873,260 | | | $ | 12,920,491 | | | $ | 178,408,421 | | | $ | 180,008,005 | | | $ | 472,753,930 | | | $ | 431,741,923 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 242 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31,
2021 | | | | |
Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 14,075,050 | | | | | | | $ | 24,889,710 | | | | | |
Net realized gain (loss) on investments | | | 9,587,469 | | | | | | | | 31,915,009 | | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | 154,836 | | | | | | | | 2,999,256 | | | | | |
Net change in unrealized appreciation (depreciation) on investments | | | 2,305,103 | | | | | | | | 38,931,819 | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | 65,088 | | | | | | | | (660,307 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 26,187,546 | | | | | | | | 98,075,487 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | |
Class M | | | (3,426,237 | ) | | | | | | | (6,482,162 | ) | | | | |
Class I | | | (10,697,067 | ) | | | | | | | (18,425,433 | ) | | | | |
Administrative Class | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (14,123,304 | ) | | | | | | | (24,907,595 | ) | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 25,442,264 | | | | | | | | 128,950,497 | | | | | |
Shares issued in reinvestment of distributions | | | 3,295,626 | | | | | | | | 6,182,278 | | | | | |
Cost of shares redeemed | | | (23,182,358 | ) | | | | | | | (84,380,539 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | 5,555,532 | | | | | | | | 50,752,236 | | | | | |
| | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 101,882,190 | | | | | | | | 496,253,964 | | | | | |
Shares issued in reinvestment of distributions | | | 10,106,404 | | | | | | | | 17,007,731 | | | | | |
Cost of shares redeemed | | | (82,196,523 | ) | | | | | | | (282,701,987 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | 29,792,071 | | | | | | | | 230,559,708 | | | | | |
| | | | | | | | | | | | | | | | |
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 in net assets derived from capital share transactions | | | 35,347,603 | | | | | | | | 281,311,944 | | | | | |
| | | | | | | | | | | | | | | | |
Net increase in net assets | | | 47,411,845 | | | | | | | | 354,479,836 | | | | | |
Net assets at beginning of period | | | 770,419,143 | | | | | | | | 415,939,307 | | | | | |
| | | | | | | | | | | | | | | | |
Net assets at end of period | | $ | 817,830,988 | | | | | | | $ | 770,419,143 | | | | | |
| | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 243 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | INTERMEDIATE
BOND FUND | | | INVESTMENT GRADE
CREDIT FUND | | | LOW DURATION
BOND FUND | |
| | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 4,819,984 | | | $ | 11,100,553 | | | $ | 407,876 | | | $ | 764,221 | | | $ | 12,768,583 | | | $ | 29,411,632 | | | | | |
| | | | | 4,289,919 | | | | 15,208,540 | | | | (75,015 | ) | | | (52,230 | ) | | | 6,496,036 | | | | 1,700,514 | | | | | |
| | | | | | | |
| | | | | (609,816 | ) | | | 3,572,735 | | | | (52,204 | ) | | | 127,668 | | | | (738,553 | ) | | | 13,241,930 | | | | | |
| | | | | (1,414,980 | ) | | | 7,272,926 | | | | (93,975 | ) | | | (58,463 | ) | | | (2,118,899 | ) | | | 35,458,148 | | | | | |
| | | | | | | |
| | | | | (3,173 | ) | | | (2,238,949 | ) | | | 8,811 | | | | 27,307 | | | | (599,303 | ) | | | 974,839 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 7,081,934 | | | | 34,915,805 | | | | 195,493 | | | | 808,503 | | | | 15,807,864 | | | | 80,787,063 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (172,016 | ) | | | (1,392,395 | ) | | | (56,769 | ) | | | (144,289 | ) | | | (1,754,279 | ) | | | (5,196,975 | ) | | | | |
| | | | | (4,672,656 | ) | | | (28,359,551 | ) | | | (351,112 | ) | | | (764,833 | ) | | | (10,720,153 | ) | | | (24,338,731 | ) | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | (3,321 | ) | | | (1,056 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (4,844,672 | ) | | | (29,751,946 | ) | | | (407,881 | ) | | | (909,122 | ) | | | (12,477,753 | ) | | | (29,536,762 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 3,966,012 | | | | 14,300,978 | | | | 3,778,503 | | | | 4,313,649 | | | | 36,405,374 | | | | 118,060,426 | | | | | |
| | | | | 170,758 | | | | 1,381,730 | | | | 56,769 | | | | 143,142 | | | | 1,720,394 | | | | 5,086,410 | | | | | |
| | | | | (6,271,988 | ) | | | (13,231,790 | ) | | | (1,192,511 | ) | | | (3,117,649 | ) | | | (24,866,346 | ) | | | (139,138,520 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (2,135,218 | ) | | | 2,450,918 | | | | 2,642,761 | | | | 1,339,142 | | | | 13,259,422 | | | | (15,991,684 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 83,011,575 | | | | 235,831,557 | | | | 15,105,336 | | | | 4,570,081 | | | | 521,711,822 | | | | 933,006,583 | | | | | |
| | | | | 4,665,911 | | | | 28,333,173 | | | | 350,266 | | | | 761,991 | | | | 10,002,841 | | | | 22,805,603 | | | | | |
| | | | | (58,273,462 | ) | | | (196,139,375 | ) | | | (1,313,250 | ) | | | (1,607,145 | ) | | | (378,126,430 | ) | | | (417,147,385 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 29,404,024 | | | | 68,025,355 | | | | 14,142,352 | | | | 3,724,927 | | | | 153,588,233 | | | | 538,664,801 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 2,488,637 | | | | 8,700 | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 3,260 | | | | 683 | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | (27,405 | ) | | | (17,573 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 2,464,492 | | | | (8,190 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 27,268,806 | | | | 70,476,273 | | | | 16,785,113 | | | | 5,064,069 | | | | 169,312,147 | | | | 522,664,927 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 29,506,068 | | | | 75,640,132 | | | | 16,572,725 | | | | 4,963,450 | | | | 172,642,258 | | | | 573,915,228 | | | | | |
| | | | | 802,514,812 | | | | 726,874,680 | | | | 12,230,584 | | | | 7,267,134 | | | | 2,480,166,396 | | | | 1,906,251,168 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 832,020,880 | | | $ | 802,514,812 | | | $ | 28,803,309 | | | $ | 12,230,584 | | | $ | 2,652,808,654 | | | $ | 2,480,166,396 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 244 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | |
| | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND1 |
| | | PERIOD ENDED SEPTEMBER 30, 2021
(UNAUDITED) |
Operations: | | | | | | |
Net investment income | | $ | 27,473 | | | |
Net realized gain (loss) on investments | | | 13,143 | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | — | | | |
Net change in unrealized appreciation (depreciation) on investments | | | 28,585 | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (25 | ) | | |
| | | | | | |
Net increase in net assets resulting from operations | | | 69,176 | | | |
| | | | | | |
| | | | | | |
Distributions to Shareholders: | | | | | | |
Class M | | | (1 | ) | | |
Class I | | | (27,497 | ) | | |
Class I-2 | | | — | | | |
Administrative Class | | | — | | | |
Plan Class | | | — | | | |
| | | | | | |
Total Distributions | | | (27,498 | ) | | |
| | | | | | |
| | | | | | |
Capital Share Transactions: | | | | | | |
Class M: | | | | | | |
Proceeds from sale of shares | | | 100 | | | |
Shares issued in reinvestment of distributions | | | 1 | | | |
Cost of shares redeemed | | | — | | | |
| | | | | | |
Total Class M capital share transactions | | | 101 | | | |
| | | | | | |
Class I: | �� | | | | | |
Proceeds from sale of shares | | | 3,038,921 | | | |
Shares issued in reinvestment of distributions | | | 27,497 | | | |
Cost of shares redeemed | | | — | | | |
| | | | | | |
Total Class I capital share transactions | | | 3,066,418 | | | |
| | | | | | |
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 | | | 3,066,519 | | | |
| | | | | | |
Net increase (decrease) in net assets | | | 3,108,197 | | | |
Net assets at beginning of period | | | — | | | |
| | | | | | |
Net assets at end of period | | $ | 3,108,197 | | | |
| | | | | | |
| 1 | For the period August 2, 2021 (Commencement of Operations) to September 30, 2021. |
|
| See accompanying Notes to Financial Statements. |
|
| 245 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | | | | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,163,162 | | | $ | 2,346,661 | | | $ | 559,443,847 | | | $ | 1,292,401,141 | | | $ | 762,642 | | | $ | 1,362,028 | | | | | |
| | | (739,978 | ) | | | 848,648 | | | | 936,798,036 | | | | 452,557,388 | | | | 226,951 | | | | (2,185,391 | ) | | | | |
| | | | | | | | |
| | | (94,111 | ) | | | (137,103 | ) | | | 145,308,996 | | | | 475,652,006 | | | | 73,758 | | | | 1,666,277 | | | | | |
| | | 158,795 | | | | 2,723,287 | | | | 138,162,164 | | | | 719,966,446 | | | | (28,406 | ) | | | 919,153 | | | | | |
| | | | | | | | |
| | | (51,634 | ) | | | 662,178 | | | | (48,334,653 | ) | | | (136,071,576 | ) | | | (150,174 | ) | | | 396,651 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 436,234 | | | | 6,443,671 | | | | 1,731,378,390 | | | | 2,804,505,405 | | | | 884,771 | | | | 2,158,718 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (698,472 | ) | | | (790,679 | ) | | | (37,258,166 | ) | | | (568,049,079 | ) | | | (144,964 | ) | | | (271,401 | ) | | | | |
| | | (429,020 | ) | | | (1,569,363 | ) | | | (344,549,963 | ) | | | (3,188,499,462 | ) | | | (626,073 | ) | | | (1,091,869 | ) | | | | |
| | | — | | | | — | | | | (966,413 | ) | | | (6,121,053 | ) | | | — | | | | — | | | | | |
| | | — | | | | — | | | | (9,415,421 | ) | | | (116,011,676 | ) | | | — | | | | — | | | | | |
| | | — | | | | — | | | | (165,472,101 | ) | | | (1,638,444,684 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1,127,492 | ) | | | (2,360,042 | ) | | | (557,662,064 | ) | | | (5,517,125,954 | ) | | | (771,037 | ) | | | (1,363,270 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 5,441,010 | | | | 12,357,964 | | | | 860,914,226 | | | | 2,796,785,096 | | | | 12,258,388 | | | | 93,315,754 | | | | | |
| | | 677,158 | | | | 777,664 | | | | 36,864,275 | | | | 563,596,147 | | | | 141,744 | | | | 262,337 | | | | | |
| | | (2,445,141 | ) | | | (8,819,965 | ) | | | (1,050,972,849 | ) | | | (4,976,311,646 | ) | | | (19,676,117 | ) | | | (60,144,904 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 3,673,027 | | | | 4,315,663 | | | | (153,194,348 | ) | | | (1,615,930,403 | ) | | | (7,275,985 | ) | | | 33,433,187 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 3,576,876 | | | | 5,452,200 | | | | 7,721,011,300 | | | | 18,725,199,269 | | | | 44,351,020 | | | | 175,164,379 | | | | | |
| | | 424,595 | | | | 1,563,564 | | | | 310,908,978 | | | | 2,889,943,410 | | | | 625,680 | | | | 1,090,987 | | | | | |
| | | (1,565,383 | ) | | | (48,809,465 | ) | | | (7,445,251,820 | ) | | | (13,078,407,390 | ) | | | (39,100,345 | ) | | | (72,005,589 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 2,436,088 | | | | (41,793,701 | ) | | | 586,668,458 | | | | 8,536,735,289 | | | | 5,876,355 | | | | 104,249,777 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | — | | | | — | | | | 92,670,385 | | | | 130,514,638 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | 966,317 | | | | 6,121,040 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | (14,376,386 | ) | | | (12,135,534 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | 79,260,316 | | | | 124,500,144 | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | — | | | | — | | | | 185,067,878 | | | | 672,097,128 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | 9,273,873 | | | | 114,756,083 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | (249,433,352 | ) | | | (376,823,384 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | (55,091,601 | ) | | | 410,029,827 | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | — | | | | — | | | | 2,661,800,995 | | | | 7,748,078,022 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | 153,021,608 | | | | 1,525,649,602 | | | | — | | | | — | | | | | |
| | | — | | | | — | | | | (3,584,049,900 | ) | | | (7,703,153,603 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | (769,227,297 | ) | | | 1,570,574,021 | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 6,109,115 | | | | (37,478,038 | ) | | | (311,584,472 | ) | | | 9,025,908,878 | | | | (1,399,630 | ) | | | 137,682,964 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 5,417,857 | | | | (33,394,409 | ) | | | 862,131,854 | | | | 6,313,288,329 | | | | (1,285,896 | ) | | | 138,478,412 | | | | | |
| | | 25,270,304 | | | | 58,664,713 | | | | 86,941,182,803 | | | | 80,627,894,474 | | | | 243,172,716 | | | | 104,694,304 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 30,688,161 | | | $ | 25,270,304 | | | $ | 87,803,314,657 | | | $ | 86,941,182,803 | | | $ | 241,886,820 | | | $ | 243,172,716 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 246 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | |
| | |
| | | UNCONSTRAINED BOND FUND | | |
| | | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | | YEAR ENDED
MARCH 31,
2021 | | |
| | | | |
Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 52,227,546 | | | | | | | | | $ | 91,663,110 | | | | | | |
Net realized gain on investments | | | | 17,275,442 | | | | | | | | | | 46,969,957 | | | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | (11,139,832) | | | | | | | | | | 17,884,589 | | | | | | |
Net change in unrealized appreciation on investments | | | | 856,945 | | | | | | | | | | 144,997,021 | | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | (4,994,486) | | | | | | | | | | 36,431,263 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | 54,225,615 | | | | | | | | | | 337,945,940 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | |
Class M | | | | (3,028,817) | | | | | | | | | | (8,563,350) | | | | | | |
Class I | | | | (45,121,223) | | | | | | | | | | (105,331,786) | | | | | | |
Plan Class | | | | (1,519,402) | | | | | | | | | | (2,741,237) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (49,669,442) | | | | | | | | | | (116,636,373) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 22,463,016 | | | | | | | | | | 53,543,701 | | | | | | |
Shares issued in reinvestment of distributions | | | | 2,932,593 | | | | | | | | | | 8,240,006 | | | | | | |
Cost of shares redeemed | | | | (23,761,668) | | | | | | | | | | (89,674,103) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | 1,633,941 | | | | | | | | | | (27,890,396) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 724,224,165 | | | | | | | | | | 1,145,664,099 | | | | | | |
Shares issued in reinvestment of distributions | | | | 35,607,299 | | | | | | | | | | 84,772,104 | | | | | | |
Cost of shares redeemed | | | | (320,082,717) | | | | | | | | | | (916,608,246) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | 439,748,747 | | | | | | | | | | 313,827,957 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 105,134,753 | | | | | | | | | | 118,175,282 | | | | | | |
Shares issued in reinvestment of distributions | | | | 1,483,487 | | | | | | | | | | 2,740,188 | | | | | | |
Cost of shares redeemed | | | | (47,619,752) | | | | | | | | | | (61,961,252) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | 58,998,488 | | | | | | | | | | 58,954,218 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | | 500,381,176 | | | | | | | | | | 344,891,779 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase in net assets | | | | 504,937,349 | | | | | | | | | | 566,201,346 | | | | | | |
Net assets at beginning of period | | | | 3,593,527,618 | | | | | | | | | | 3,027,326,272 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | $ | 4,098,464,967 | | | | | | | | | $ | 3,593,527,618 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 247 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND CLASS M | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 13.26 | | | $ | 8.89 | | | $ | 10.73 | | | $ | 9.98 | | | $ | 8.95 | | | $ | 7.22 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.05 | | | | 0.18 | | | | 0.31 | | | | 0.22 | | | | 0.09 | | | | 0.12 | | | |
Net realized and unrealized gain (loss) | | | 1.12 | | | | 5.14 | | | | (1.14 | ) | | | 0.76 | | | | 1.03 | | | | 1.77 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 1.17 | | | | 5.32 | | | | (0.83 | ) | | | 0.98 | | | | 1.12 | | | | 1.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.08 | ) | | | (0.20 | ) | | | (0.30 | ) | | | (0.23 | ) | | | (0.09 | ) | | | (0.16 | ) | | |
From net capital gains | | | — | | | | (0.75 | ) | | | (0.71 | ) | | | — | | | | — | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.08 | ) | | | (0.95 | ) | | | (1.01 | ) | | | (0.23 | ) | | | (0.09 | ) | | | (0.16 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 14.35 | | | $ | 13.26 | | | $ | 8.89 | | | $ | 10.73 | | | $ | 9.98 | | | $ | 8.95 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 8.84 | %2 | | | 60.83 | % | | | (9.36 | )% | | | 9.93 | % | | | 12.52 | % | | | 26.38 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 45,479 | | | $ | 36,770 | | | $ | 29,066 | | | $ | 21,202 | | | $ | 18,149 | | | $ | 20,714 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.90 | %3,4 | | | 1.26 | % | | | 1.04 | % | | | 1.39 | % | | | 0.90 | %5 | | | 3.37 | % | | |
After expense waivers and reimbursements | | | 0.90 | %3 | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | |
After expense waivers and reimbursements | | | 0.74 | %3 | | | 1.57 | % | | | 2.80 | % | | | 2.15 | % | | | 0.90 | % | | | 1.49 | % | | |
Portfolio Turnover Rate | | | 40 | %2 | | | 60 | % | | | 89 | % | | | 140 | % | | | 115 | % | | | 505 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
| 5 | 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. |
|
| Semi-Annual Report September 2021 / 248 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS M* | | |
| | | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2021
(UNAUDITED) | | YEAR ENDED MARCH 31, 2021 | | YEAR ENDED MARCH 31, 2020 | | PERIOD ENDED MARCH 31,
2019 | | |
Net Asset Value, Beginning of Period | | | $ | 10.65 | | | | $ | 10.32 | | | | $ | 10.31 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.11 | | | | | 0.28 | | | | | 0.88 | | | | | 0.41 | | | |
Net realized and unrealized gain | | | | 0.24 | | | | | 0.50 | | | | | 0.06 | | | | | 0.34 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Income from Investment Operations | | | | 0.35 | | | | | 0.78 | | | | | 0.94 | | | | | 0.75 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.40 | ) | | | | (0.86 | ) | | | | (0.41 | ) | | |
From net capital gains | | | | — | | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.03 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.45 | ) | | | | (0.93 | ) | | | | (0.44 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | | $ | 10.89 | | | | $ | 10.65 | | | | $ | 10.32 | | | | $ | 10.31 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.31 | %2 | | | | 7.55 | % | | | | 9.19 | % | | | | 7.75 | %2 | | |
| | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 6,835 | | | | $ | 8,190 | | | | $ | 876 | | | | $ | 803 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 2.90 | %3 | | | | 3.16 | % | | | | 8.55 | % | | | | 9.81 | %3 | | |
After expense waivers and reimbursements | | | | 0.75 | %3 | | | | 0.75 | % | | | | 0.75 | % | | | | 0.75 | %3 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.05 | %3 | | | | 2.54 | % | | | | 8.31 | % | | | | 5.47 | %3 | | |
Portfolio Turnover Rate | | | | 86 | %2 | | | | 84 | % | | | | 65 | % | | | | 159 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| 249 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS I* | | |
| | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | YEAR
ENDED
MARCH 31,
2020 | | PERIOD
ENDED
MARCH 31,
2019 | | |
Net Asset Value, Beginning of Period | | | $ | 10.65 | | | | $ | 10.32 | | | | $ | 10.31 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.12 | | | | | 0.40 | | | | | 0.91 | | | | | 0.43 | | | | | | |
Net realized and unrealized gain | | | | 0.25 | | | | | 0.41 | | | | | 0.06 | | | | | 0.34 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Income from Investment Operations | | | | 0.37 | | | | | 0.81 | | | | | 0.97 | | | | | 0.77 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.43 | ) | | | | (0.89 | ) | | | | (0.43 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.03 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.48 | ) | | | | (0.96 | ) | | | | (0.46 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | | $ | 10.89 | | | | $ | 10.65 | | | | $ | 10.32 | | | | $ | 10.31 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.44 | %2 | | | | 7.81 | % | | | | 9.46 | % | | | | 7.95 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 8,038 | | | | $ | 4,730 | | | | $ | 2,392 | | | | $ | 1,355 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 2.55 | %3 | | | | 3.54 | % | | | | 8.30 | % | | | | 9.56 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %3 | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.28 | %3 | | | | 3.64 | % | | | | 8.62 | % | | | | 5.72 | %3 | | | | | |
Portfolio Turnover Rate | | | | 86 | %2 | | | | 84 | % | | | | 65 | % | | | | 159 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 250 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME FUND CLASS M* | | |
| | | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2021 (UNAUDITED) | | YEAR ENDED MARCH 31, 2021 | | YEAR ENDED MARCH 31, 2020 | | PERIOD ENDED MARCH 31, 2019 | | |
Net Asset Value, Beginning of Period | | | $ | 9.86 | | | | $ | 9.82 | | | | $ | 10.79 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.45 | | | | | 0.69 | | | | | 1.86 | | | | | 0.23 | | | | | | |
Net realized and unrealized gain (loss) | | | | (0.21 | ) | | | | 0.34 | | | | | (0.85 | ) | | | | 0.79 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Income from Investment Operations | | | | 0.24 | | | | | 1.03 | | | | | 1.01 | | | | | 1.02 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.45 | ) | | | | (0.97 | ) | | | | (1.98 | ) | | | | (0.23 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.02 | ) | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Distributions | | | | (0.45 | ) | | | | (0.99 | ) | | | | (1.98 | ) | | | | (0.23 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | | $ | 9.65 | | | | $ | 9.86 | | | | $ | 9.82 | | | | $ | 10.79 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.44 | %2 | | | | 10.89 | % | | | | 9.82 | % | | | | 10.25 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 23,433 | | | | $ | 21,174 | | | | $ | 1 | | | | $ | 1 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.02 | %3 | | | | 1.28 | % | | | | 3.76 | % | | | | 9.18 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.80 | %3 | | | | 0.80 | % | | | | 0.80 | % | | | | 0.80 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 9.17 | %3 | | | | 7.01 | % | | | | 17.64 | % | | | | 6.76 | %3 | | | | | |
Portfolio Turnover Rate | | | | 104 | %2 | | | | 177 | % | | | | 122 | % | | | | 80 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Flexible Income Fund Class M Shares commenced operations on November 30, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| 251 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME
FUND CLASS I* | | |
| | | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2021
(UNAUDITED) | | YEAR ENDED MARCH 31, 2021 | | YEAR ENDED MARCH 31, 2020 | | PERIOD ENDED MARCH 31, 2019 | | |
Net Asset Value, Beginning of Period | | | $ | 9.86 | | | | $ | 9.82 | | | | $ | 10.78 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.46 | | | | | 0.73 | | | | | 1.90 | | | | | 0.24 | | | | | | |
Net realized and unrealized gain (loss) | | | | (0.21 | ) | | | | 0.30 | | | | | (0.85 | ) | | | | 0.78 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.25 | | | | | 1.03 | | | | | 1.05 | | | | | 1.02 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.46 | ) | | | | (0.97 | ) | | | | (2.01 | ) | | | | (0.24 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.02 | ) | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.46 | ) | | | | (0.99 | ) | | | | (2.01 | ) | | | | (0.24 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | | $ | 9.65 | | | | $ | 9.86 | | | | $ | 9.82 | | | | $ | 10.78 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.56 | %2 | | | | 10.83 | % | | | | 10.14 | % | | | | 10.24 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 154,975 | | | | $ | 158,834 | | | | $ | 8,934 | | | | $ | 5,435 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.77 | %3 | | | | 1.01 | % | | | | 3.51 | % | | | | 8.82 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.55 | %3 | | | | 0.55 | % | | | | 0.55 | % | | | | 0.55 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 9.38 | %3 | | | | 7.41 | % | | | | 18.14 | % | | | | 7.16 | %3 | | | | | |
Portfolio Turnover Rate | | | | 104 | %2 | | | | 177 | % | | | | 122 | % | | | | 80 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Flexible Income Fund Class I Shares commenced operations on November 30, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 252 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS M | | | | |
| | | | | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2021 | | | 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 Period | | $ | 9.95 | | | $ | 8.98 | | | $ | 9.90 | | | $ | 10.06 | | | $ | 10.06 | | | $ | 9.80 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.15 | | | | 0.30 | | | | 0.42 | | | | 0.42 | | | | 0.36 | | | | 0.33 | | | | | |
Net realized and unrealized gain (loss) | | | 0.03 | | | | 0.97 | | | | (0.92 | ) | | | (0.15 | ) | | | — | | | | 0.26 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.18 | | | | 1.27 | | | | (0.50 | ) | | | 0.27 | | | | 0.36 | | | | 0.59 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.30 | ) | | | (0.42 | ) | | | (0.43 | ) | | | (0.36 | ) | | | (0.33 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | $ | 9.98 | | | $ | 9.95 | | | $ | 8.98 | | | $ | 9.90 | | | $ | 10.06 | | | $ | 10.06 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.78 | %2 | | | 14.30 | % | | | (5.36 | )% | | | 2.72 | % | | | 3.61 | % | | | 6.08 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 15,014 | | | $ | 13,815 | | | $ | 6,084 | | | $ | 11,229 | | | $ | 15,802 | | | $ | 25,072 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.98 | %3 | | | 0.99 | % | | | 1.00 | % | | | 1.03 | % | | | 1.04 | % | | | 1.05 | % | | | | |
After expense waivers and reimbursements | | | 0.90 | %3 | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.92 | %3 | | | 3.05 | % | | | 4.27 | % | | | 4.23 | % | | | 3.53 | % | | | 3.28 | % | | | | |
Portfolio Turnover Rate | | | 23 | %2 | | | 38 | % | | | 51 | % | | | 52 | % | | | 71 | % | | | 40 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| 253 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS I | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30, 2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 9.95 | | | $ | 8.98 | | | $ | 9.90 | | | $ | 10.05 | | | $ | 10.06 | | | $ | 9.80 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.16 | | | | 0.32 | | | | 0.44 | | | | 0.45 | | | | 0.38 | | | | 0.35 | | | | | |
Net realized and unrealized gain (loss) | | | 0.03 | | | | 0.97 | | | | (0.92 | ) | | | (0.15 | ) | | | (0.01 | ) | | | 0.26 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.19 | | | | 1.29 | | | | (0.48 | ) | | | 0.30 | | | | 0.37 | | | | 0.61 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.32 | ) | | | (0.44 | ) | | | (0.45 | ) | | | (0.38 | ) | | | (0.35 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | $ | 9.98 | | | $ | 9.95 | | | $ | 8.98 | | | $ | 9.90 | | | $ | 10.05 | | | $ | 10.06 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.89 | %2 | | | 14.52 | % | | | (5.17 | )% | | | 3.03 | % | | | 3.72 | % | | | 6.29 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 457,740 | | | $ | 417,927 | | | $ | 250,187 | | | $ | 262,407 | | | $ | 237,759 | | | $ | 206,276 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.68 | %3,4 | | | 0.70 | %4 | | | 0.70 | % | | | 0.71 | % | | | 0.72 | % | | | 0.75 | % | | | | |
After expense waivers and reimbursements | | | 0.68 | %3 | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | 0.70 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.14 | %3 | | | 3.25 | % | | | 4.47 | % | | | 4.50 | % | | | 3.77 | % | | | 3.48 | % | | | | |
Portfolio Turnover Rate | | | 23 | %2 | | | 38 | % | | | 51 | % | | | 52 | % | | | 71 | % | | | 40 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 254 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND PLAN CLASS* | | | | |
| | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | PERIOD
ENDED
MARCH 31,
2021 | | | | |
Net Asset Value, Beginning of Period | | $ | 9.95 | | | $ | 9.97 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | |
Net investment income1 | | | 0.17 | | | | 0.05 | | | | | |
Net realized and unrealized gain (loss) | | | 0.03 | | | | (0.02 | ) | | | | |
| | | | | | | | | | | | |
| | | |
Total Income from Investment Operations | | | 0.20 | | | | 0.03 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.05 | ) | | | | |
| | | | | | | | | | | | |
| | | |
Net Asset Value, End of Period | | $ | 9.98 | | | $ | 9.95 | | | | | |
| | | | | | | | | | | | |
Total Return | | | 1.99 | %2 | | | 0.31 | %2 | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | |
Net Assets, end of period | | $ | 102 | 3 | | $ | 100 | 3 | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.66 | %4 | | | 0.62 | %4 | | | | |
After expense waivers and reimbursements | | | 0.60 | %4 | | | 0.56 | %4 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.38 | %4 | | | 3.15 | %4 | | | | |
Portfolio Turnover Rate | | | 23 | %2 | | | 38 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
| * | The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021. |
|
| See accompanying Notes to Financial Statements. |
|
| 255 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS M | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | 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 Period | | $ | 10.57 | | | $ | 9.27 | | | $ | 9.66 | | | $ | 9.55 | | | $ | 9.60 | | | $ | 9.09 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.18 | | | | 0.36 | | | | 0.40 | | | | 0.41 | | | | 0.34 | | | | 0.34 | | | | | |
Net realized and unrealized gain (loss) | | | 0.17 | | | | 1.31 | | | | (0.39 | ) | | | 0.11 | | | | (0.05 | ) | | | 0.50 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | 0.35 | | | | 1.67 | | | | 0.01 | | | | 0.52 | | | | 0.29 | | | | 0.84 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.18 | ) | | | (0.37 | ) | | | (0.40 | ) | | | (0.41 | ) | | | (0.34 | ) | | | (0.33 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | $ | 10.74 | | | $ | 10.57 | | | $ | 9.27 | | | $ | 9.66 | | | $ | 9.55 | | | $ | 9.60 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 3.34 | %3 | | | 18.14 | % | | | (0.06 | )% | | | 5.57 | % | | | 3.01 | % | | | 9.35 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 207,006 | | | $ | 198,337 | | | $ | 126,587 | | | $ | 187,339 | | | $ | 211,021 | | | $ | 344,328 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.90 | %4 | | | 0.91 | % | | | 0.93 | % | | | 0.92 | % | | | 0.91 | % | | | 0.89 | % | | | | |
After expense waivers and reimbursements | | | 0.85 | %4 | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | 0.85 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.36 | %4 | | | 3.53 | % | | | 4.07 | % | | | 4.33 | % | | | 3.47 | % | | | 3.55 | % | | | | |
Portfolio Turnover Rate | | | 48 | %3 | | | 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. |
|
| Semi-Annual Report September 2021 / 256 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS I | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | 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 Period | | | $ | 10.57 | | | | $ | 9.26 | | | | $ | 9.65 | | | | $ | 9.55 | | | | $ | 9.60 | | | | $ | 9.09 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | | 0.19 | | | | | 0.39 | | | | | 0.42 | | | | | 0.44 | | | | | 0.36 | | | | | 0.36 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.16 | | | | | 1.31 | | | | | (0.39 | ) | | | | 0.09 | | | | | (0.05 | ) | | | | 0.50 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.35 | | | | | 1.70 | | | | | 0.03 | | | | | 0.53 | | | | | 0.31 | | | | | 0.86 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.19 | ) | | | | (0.39 | ) | | | | (0.42 | ) | | | | (0.43 | ) | | | | (0.36 | ) | | | | (0.35 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.73 | | | | $ | 10.57 | | | | $ | 9.26 | | | | $ | 9.65 | | | | $ | 9.55 | | | | $ | 9.60 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 3.37 | %3 | | | | 18.56 | % | | | | 0.19 | % | | | | 5.72 | % | | | | 3.27 | % | | | | 9.62 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 610,825 | | | | $ | 572,082 | | | | $ | 289,352 | | | | $ | 293,241 | | | | $ | 393,368 | | | | $ | 532,071 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.61 | %4 | | | | 0.61 | % | | | | 0.62 | % | | | | 0.63 | % | | | | 0.63 | % | | | | 0.62 | % | | | | | |
After expense waivers and reimbursements | | | | 0.60 | %4 | | | | 0.60 | % | | | | 0.60 | % | | | | 0.60 | % | | | | 0.60 | % | | | | 0.60 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.61 | %4 | | | | 3.77 | % | | | | 4.33 | % | | | | 4.58 | % | | | | 3.74 | % | | | | 3.78 | % | | | | | |
Portfolio Turnover Rate | | | | 48 | %3 | | | | 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. |
|
| 257 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS M | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 10.74 | | | | $ | 10.65 | | | | $ | 10.37 | | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.05 | | | | | 0.13 | | | | | 0.26 | | | | | 0.25 | | | | | 0.18 | | | | | 0.14 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.03 | | | | | 0.36 | | | | | 0.28 | | | | | 0.17 | | | | | (0.16 | ) | | | | (0.09 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.08 | | | | | 0.49 | | | | | 0.54 | | | | | 0.42 | | | | | 0.02 | | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.05 | ) | | | | (0.13 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.18 | ) | | | | (0.15 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.27 | ) | | | | — | | | | | — | | | | | — | | | | | (0.11 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.05 | ) | | | | (0.40 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.18 | ) | | | | (0.26 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.77 | | | | $ | 10.74 | | | | $ | 10.65 | | | | $ | 10.37 | | | | $ | 10.21 | | | | $ | 10.37 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.77 | %2 | | | | 4.63 | % | | | | 5.27 | % | | | | 4.15 | % | | | | 0.19 | % | | | | 0.43 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 34,429 | | | | $ | 36,452 | | | | $ | 33,836 | | | | $ | 35,343 | | | | $ | 52,942 | | | | $ | 92,642 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.71 | % | | | | 0.71 | % | | | | 0.69 | % | | | | 0.70 | %4 | | | | 0.70 | %5 | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.70 | % | | | | 0.70 | % | | | | 0.69 | % | | | | 0.70 | % | | | | 0.70 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.96 | %3 | | | | 1.22 | % | | | | 2.49 | % | | | | 2.49 | % | | | | 1.71 | % | | | | 1.35 | % | | | | | |
Portfolio Turnover Rate | | | | 185 | %2 | | | | 372 | % | | | | 393 | % | | | | 277 | % | | | | 251 | % | | | | 252 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.67%. |
| 5 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 258 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS I | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 10.73 | | | | $ | 10.65 | | | | $ | 10.36 | | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.06 | | | | | 0.16 | | | | | 0.29 | | | | | 0.28 | | | | | 0.20 | | | | | 0.17 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.03 | | | | | 0.35 | | | | | 0.28 | | | | | 0.15 | | | | | (0.15 | ) | | | | (0.10 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.09 | | | | | 0.51 | | | | | 0.57 | | | | | 0.43 | | | | | 0.05 | | | | | 0.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.16 | ) | | | | (0.28 | ) | | | | (0.28 | ) | | | | (0.21 | ) | | | | (0.17 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.27 | ) | | | | — | | | | | — | | | | | — | | | | | (0.11 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.43 | ) | | | | (0.28 | ) | | | | (0.28 | ) | | | | (0.21 | ) | | | | (0.28 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.76 | | | | $ | 10.73 | | | | $ | 10.65 | | | | $ | 10.36 | | | | $ | 10.21 | | | | $ | 10.37 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.88 | %2 | | | | 4.76 | % | | | | 5.60 | % | | | | 4.29 | % | | | | 0.43 | % | | | | 0.68 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 797,591 | | | | $ | 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 | %3 | | | | 0.48 | % | | | | 0.48 | % | | | | 0.47 | % | | | | 0.46 | % | | | | 0.45 | % | | | | | |
After expense waivers and reimbursements | | | | 0.48 | %3 | | | | 0.48 | % | | | | 0.48 | % | | | | 0.47 | % | | | | 0.46 | % | | | | 0.45 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.19 | %3 | | | | 1.44 | % | | | | 2.69 | % | | | | 2.74 | % | | | | 1.97 | % | | | | 1.63 | % | | | | | |
Portfolio Turnover Rate | | | | 185 | %2 | | | | 372 | % | | | | 393 | % | | | | 277 | % | | | | 251 | % | | | | 252 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| 259 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND CLASS M* | | | | |
| | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | YEAR
ENDED
MARCH 31,
2020 | | | PERIOD
ENDED
MARCH 31,
2019 | | | | |
Net Asset Value, Beginning of Period | | $ | 9.67 | | | $ | 9.65 | | | $ | 10.31 | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.21 | | | | 0.59 | | | | 1.05 | | | | 0.55 | | | | | |
Net realized and unrealized gain (loss) | | | (0.06 | ) | | | 0.17 | | | | (0.55 | ) | | | 0.33 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Income from Investment Operations | | | 0.15 | | | | 0.76 | | | | 0.50 | | | | 0.88 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.63 | ) | | | (1.05 | ) | | | (0.55 | ) | | | | |
From net capital gains | | | — | | | | (0.11 | ) | | | (0.11 | ) | | | (0.02 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Distributions | | | (0.22 | ) | | | (0.74 | ) | | | (1.16 | ) | | | (0.57 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | $ | 9.60 | | | $ | 9.67 | | | $ | 9.65 | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.56 | %2 | | | 7.97 | % | | | 4.80 | % | | | 9.02 | %2 | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 4,736 | | | $ | 2,126 | | | $ | 837 | | | $ | 799 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 2.21 | %3 | | | 2.93 | % | | | 3.86 | % | | | 4.78 | %3 | | | | |
After expense waivers and reimbursements | | | 0.70 | %3 | | | 0.70 | % | | | 0.70 | % | | | 0.70 | %3 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.47 | %3 | | | 6.02 | % | | | 10.33 | % | | | 7.20 | %3 | | | | |
Portfolio Turnover Rate | | | 133 | %2 | | | 92 | % | | | 76 | % | | | 199 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 260 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE
CREDIT FUND CLASS I* | | | | |
| | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | YEAR
ENDED
MARCH 31,
2020 | | | PERIOD
ENDED
MARCH 31,
2019 | | | | |
Net Asset Value, Beginning of Period | | $ | 9.67 | | | $ | 9.65 | | | $ | 10.31 | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.22 | | | | 0.65 | | | | 1.07 | | | | 0.55 | | | | | |
Net realized and unrealized gain (loss) | | | (0.06 | ) | | | 0.13 | | | | (0.55 | ) | | | 0.34 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Income from Investment Operations | | | 0.16 | | | | 0.78 | | | | 0.52 | | | | 0.89 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.65 | ) | | | (1.07 | ) | | | (0.56 | ) | | | | |
From net capital gains | | | — | | | | (0.11 | ) | | | (0.11 | ) | | | (0.02 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Distributions | | | (0.23 | ) | | | (0.76 | ) | | | (1.18 | ) | | | (0.58 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | $ | 9.60 | | | $ | 9.67 | | | $ | 9.65 | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.66 | %2 | | | 8.20 | % | | | 5.02 | % | | | 9.20 | %2 | | | | |
| | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 24,067 | | | $ | 10,105 | | | $ | 6,431 | | | $ | 5,081 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.87 | %3 | | | 2.68 | % | | | 3.61 | % | | | 4.53 | %3 | | | | |
After expense waivers and reimbursements | | | 0.49 | %3 | | | 0.49 | % | | | 0.49 | % | | | 0.49 | %3 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.50 | %3 | | | 6.56 | % | | | 10.54 | % | | | 7.29 | %3 | | | | |
Portfolio Turnover Rate | | | 133 | %2 | | | 92 | % | | | 76 | % | | | 199 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018. |
|
| See accompanying Notes to Financial Statements. |
|
| 261 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | LOW DURATION BOND FUND CLASS M | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 8.88 | | | $ | 8.65 | | | $ | 8.68 | | | $ | 8.63 | | | $ | 8.72 | | | $ | 8.73 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.11 | | | | 0.20 | | | | 0.20 | | | | 0.13 | | | | 0.10 | | | | | |
Net realized and unrealized gain (loss) | | | (0.00 | )2 | | | 0.23 | | | | (0.03 | ) | | | 0.05 | | | | (0.09 | ) | | | (0.00 | )2 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | 0.04 | | | | 0.34 | | | | 0.17 | | | | 0.25 | | | | 0.04 | | | | 0.10 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.11 | ) | | | (0.20 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.10 | ) | | | | |
From net capital gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | | | | |
Return of capital | | | — | | | | — | | | | — | | | | (0.00 | )2 | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.03 | ) | | | (0.11 | ) | | | (0.20 | ) | | | (0.20 | ) | | | (0.13 | ) | | | (0.11 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.89 | | | $ | 8.88 | | | $ | 8.65 | | | $ | 8.68 | | | $ | 8.63 | | | $ | 8.72 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.50 | %3 | | | 3.91 | % | | | 1.93 | % | | | 2.93 | % | | | 0.48 | % | | | 1.25 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 459,413 | | | $ | 445,538 | | | $ | 449,701 | | | $ | 580,434 | | | $ | 975,388 | | | $ | 1,284,692 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.61 | %4 | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.61 | % | | | | |
After expense waivers and reimbursements | | | 0.61 | %4 | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.62 | % | | | 0.61 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 0.80 | %4 | | | 1.22 | % | | | 2.32 | % | | | 2.29 | % | | | 1.45 | % | | | 1.19 | % | | | | |
Portfolio Turnover Rate | | | 144 | %3 | | | 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. |
|
| Semi-Annual Report September 2021 / 262 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | LOW DURATION
BOND FUND CLASS I | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 8.88 | | | $ | 8.65 | | | $ | 8.68 | | | $ | 8.64 | | | $ | 8.72 | | | $ | 8.73 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.12 | | | | 0.22 | | | | 0.22 | | | | 0.15 | | | | 0.12 | | | | | |
Net realized and unrealized gain (loss) | | | 0.02 | | | | 0.24 | | | | (0.03 | ) | | | 0.04 | | | | (0.08 | ) | | | (0.00 | )2 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | 0.06 | | | | 0.36 | | | | 0.19 | | | | 0.26 | | | | 0.07 | | | | 0.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.04 | ) | | | (0.13 | ) | | | (0.22 | ) | | | (0.22 | ) | | | (0.15 | ) | | | (0.12 | ) | | | | |
From net capital gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | | | | |
Return of capital | | | — | | | | — | | | | — | | | | (0.00 | )2 | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.04 | ) | | | (0.13 | ) | | | (0.22 | ) | | | (0.22 | ) | | | (0.15 | ) | | | (0.13 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.90 | | | $ | 8.88 | | | $ | 8.65 | | | $ | 8.68 | | | $ | 8.64 | | | $ | 8.72 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.72 | %3 | | | 4.12 | % | | | 2.14 | % | | | 3.03 | % | | | 0.81 | % | | | 1.46 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 2,190,843 | | | $ | 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 | | | 0.41 | %4 | | | 0.42 | % | | | 0.42 | % | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % | | | | |
After expense waivers and reimbursements | | | 0.41 | %4 | | | 0.42 | % | | | 0.42 | % | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 1.01 | %4 | | | 1.39 | % | | | 2.51 | % | | | 2.53 | % | | | 1.68 | % | | | 1.40 | % | | | | |
Portfolio Turnover Rate | | | 144 | %3 | | | 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. |
|
| 263 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | LOW DURATION BOND FUND ADMINISTRATIVE CLASS | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 11.48 | | | $ | 11.18 | | | $ | 11.21 | | | $ | 11.16 | | | $ | 11.27 | | | $ | 11.27 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.13 | | | | 0.26 | | | | 0.23 | | | | 0.15 | | | | 0.12 | | | | | |
Net realized and unrealized gain (loss) | | | 0.01 | | | | 0.30 | | | | (0.05 | ) | | | 0.06 | | | | (0.10 | ) | | | (0.01 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | 0.05 | | | | 0.43 | | | | 0.21 | | | | 0.29 | | | | 0.05 | | | | 0.13 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.04 | ) | | | (0.13 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.16 | ) | | | (0.12 | ) | | | | |
From net capital gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | (0.01 | ) | | | | |
Return of capital | | | — | | | | — | | | | — | | | | (0.00 | )2 | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.04 | ) | | | (0.13 | ) | | | (0.24 | ) | | | (0.24 | ) | | | (0.16 | ) | | | (0.13 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 11.49 | | | $ | 11.48 | | | $ | 11.18 | | | $ | 11.21 | | | $ | 11.16 | | | $ | 11.27 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.43 | %3 | | | 3.83 | % | | | 1.90 | % | | | 2.68 | % | | | 0.43 | % | | | 1.22 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 2,552 | | | $ | 88 | | | $ | 94 | | | $ | 415 | | | $ | 5,374 | | | $ | 7,210 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.73 | %4 | | | 0.73 | % | | | 0.72 | % | | | 0.72 | % | | | 0.72 | % | | | 0.72 | % | | | | |
After expense waivers and reimbursements | | | 0.73 | %4 | | | 0.73 | % | | | 0.72 | % | | | 0.72 | % | | | 0.72 | % | | | 0.72 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 0.76 | %4 | | | 1.11 | % | | | 2.27 | % | | | 2.02 | % | | | 1.35 | % | | | 1.08 | % | | | | |
Portfolio Turnover Rate | | | 144 | %3 | | | 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. |
|
| Semi-Annual Report September 2021 / 264 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND
CLASS M* | | | | |
| | | | | PERIOD ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | |
Net Asset Value, Beginning of Period | | | | $ | 10.00 | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | | 0.10 | | | | | |
Net realized and unrealized gain | | | | | 0.16 | | | | | |
| | | | | | | | | | |
Total Income from Investment Operations | | | | | 0.26 | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | | (0.10 | ) | | | | |
| | | | | | | | | | |
| | | |
Net Asset Value, End of Period | | | | $ | 10.16 | | | | | |
| | | | | | | | | | |
Total Return | | | | | 2.62 | %2 | | | | |
| | | | | | | | | | |
| | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period | | | | $ | 103 | 3 | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 5.13 | %4 | | | | |
After expense waivers and reimbursements | | | | | 0.85 | %4 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 6.14 | %4 | | | | |
Portfolio Turnover Rate | | | | | 37 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
| * | The Opportunistic High Income Credit Fund Class M Shares commenced operations on August 2, 2021. |
|
| See accompanying Notes to Financial Statements. |
|
| 265 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND
CLASS I* | | | | |
| | | | | PERIOD
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | |
Net Asset Value, Beginning of Period | | | | $ | 10.00 | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | | 0.10 | | | | | |
Net realized and unrealized gain | | | | | 0.15 | | | | | |
| | | | | | | | | | |
Total Income from Investment Operations | | | | | 0.25 | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | | (0.10 | ) | | | | |
| | | | | | | | | | |
| | | |
Net Asset Value, End of Period | | | | $ | 10.15 | | | | | |
| | | | | | | | | | |
Total Return | | | | | 2.47 | %2 | | | | |
| | | | | | | | | | |
| | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 3,108 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 7.27 | %3 | | | | |
After expense waivers and reimbursements | | | | | 0.60 | %3 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 5.96 | %3 | | | | |
Portfolio Turnover Rate | | | | | 37 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Opportunistic High Income Credit Fund Class I Shares commenced operations on August 2, 2021. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 266 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | STRATEGIC
INCOME FUND CLASS M | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 7.83 | | | $ | 7.29 | | | $ | 7.89 | | | $ | 7.99 | | | $ | 8.05 | | | $ | 7.99 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.31 | | | | 0.47 | | | | 0.31 | | | | 0.32 | | | | 0.25 | | | | 0.27 | | | | | |
Net realized and unrealized gain (loss) | | | (0.19 | ) | | | 0.54 | | | | (0.60 | ) | | | (0.09 | ) | | | (0.03 | ) | | | 0.04 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.12 | | | | 1.01 | | | | (0.29 | ) | | | 0.23 | | | | 0.22 | | | | 0.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.31 | ) | | | (0.47 | ) | | | (0.31 | ) | | | (0.33 | ) | | | (0.28 | ) | | | (0.25 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | $ | 7.64 | | | $ | 7.83 | | | $ | 7.29 | | | $ | 7.89 | | | $ | 7.99 | | | $ | 8.05 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.50 | %2 | | | 14.14 | % | | | (3.86 | )% | | | 3.01 | % | | | 2.78 | % | | | 3.91 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 18,709 | | | $ | 15,471 | | | $ | 10,413 | �� | | $ | 17,908 | | | $ | 26,420 | | | $ | 44,430 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | |
Before expense waivers and reimbursements | | | 3.19 | %3 | | | 2.73 | % | | | 2.43 | % | | | 1.84 | %4 | | | 2.45 | % | | | 2.09 | % | | | | |
After expense waivers and reimbursements | | | 1.04 | %3 | | | 2.28 | % | | | 2.35 | % | | | 1.84 | % | | | 2.35 | % | | | 2.09 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 8.10 | %3 | | | 6.12 | % | | | 3.95 | % | | | 4.10 | % | | | 3.15 | % | | | 3.36 | % | | | | |
Portfolio Turnover Rate | | | 20 | %2 | | | 24 | % | | | 50 | % | | | 36 | % | | | 32 | % | | | 42 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%. |
|
| See accompanying Notes to Financial Statements. |
|
| 267 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | STRATEGIC
INCOME FUND CLASS I | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 7.83 | | | $ | 7.29 | | | $ | 7.89 | | | $ | 7.98 | | | $ | 8.05 | | | $ | 7.98 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.32 | | | | 0.46 | | | | 0.33 | | | | 0.35 | | | | 0.27 | | | | 0.29 | | | | | |
Net realized and unrealized gain (loss) | | | (0.19 | ) | | | 0.56 | | | | (0.60 | ) | | | (0.09 | ) | | | (0.04 | ) | | | 0.05 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.13 | | | | 1.02 | | | | (0.27 | ) | | | 0.26 | | | | 0.23 | | | | 0.34 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.32 | ) | | | (0.48 | ) | | | (0.33 | ) | | | (0.35 | ) | | | (0.30 | ) | | | (0.27 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | $ | 7.64 | | | $ | 7.83 | | | $ | 7.29 | | | $ | 7.89 | | | $ | 7.98 | | | $ | 8.05 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.62 | %2 | | | 14.19 | % | | | (3.61 | )% | | | 3.41 | % | | | 2.90 | % | | | 4.32 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 11,979 | | | $ | 9,799 | | | $ | 48,252 | | | $ | 67,310 | | | $ | 69,791 | | | $ | 70,556 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | |
Before expense waivers and reimbursements | | | 2.93 | %3 | | | 2.08 | %4 | | | 2.20 | % | | | 1.53 | %5 | | | 2.22 | % | | | 1.84 | % | | | | |
After expense waivers and reimbursements | | | 0.80 | %3 | | | 2.08 | % | | | 2.10 | % | | | 1.53 | % | | | 2.10 | % | | | 1.84 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 8.38 | %3 | | | 5.92 | % | | | 4.23 | % | | | 4.45 | % | | | 3.40 | % | | | 3.64 | % | | | | |
Portfolio Turnover Rate | | | 20 | %2 | | | 24 | % | | | 50 | % | | | 36 | % | | | 32 | % | | | 42 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%. |
| 5 | 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. |
|
| Semi-Annual Report September 2021 / 268 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | TOTAL RETURN
BOND FUND CLASS M | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 10.82 | | | $ | 11.12 | | | $ | 10.64 | | | $ | 10.46 | | | $ | 10.57 | | | $ | 10.83 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.06 | | | | 0.15 | | | | 0.26 | | | | 0.28 | | | | 0.21 | | | | 0.18 | | | | | |
Net realized and unrealized gain (loss) | | | 0.15 | | | | 0.24 | | | | 0.57 | | | | 0.18 | | | | (0.11 | ) | | | (0.11 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | 0.21 | | | | 0.39 | | | | 0.83 | | | | 0.46 | | | | 0.10 | | | | 0.07 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.06 | ) | | | (0.15 | ) | | | (0.26 | ) | | | (0.28 | ) | | | (0.21 | ) | | | (0.18 | ) | | | | |
From net capital gains | | | — | | | | (0.54 | ) | | | (0.09 | ) | | | — | | | | — | | | | (0.15 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.06 | ) | | | (0.69 | ) | | | (0.35 | ) | | | (0.28 | ) | | | (0.21 | ) | | | (0.33 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.97 | | | $ | 10.82 | | | $ | 11.12 | | | $ | 10.64 | | | $ | 10.46 | | | $ | 10.57 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.91 | %2 | | | 3.31 | % | | | 7.93 | % | | | 4.49 | % | | | 0.94 | % | | | 0.70 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 7,096,869 | | | $ | 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 | %3 | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | | |
After expense waivers and reimbursements | | | 0.67 | %3 | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 1.03 | %3 | | | 1.28 | % | | | 2.38 | % | | | 2.68 | % | | | 1.96 | % | | | 1.71 | % | | | | |
Portfolio Turnover Rate | | | 225 | %2 | | | 470 | % | | | 405 | % | | | 255 | % | | | 291 | % | | | 313 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| 269 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | TOTAL RETURN
BOND FUND CLASS I | | | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 10.82 | | | | $ | 11.12 | | | | $ | 10.64 | | | | $ | 10.46 | | | | $ | 10.57 | | | | $ | 10.83 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Income from Investment Operations: | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.17 | | | | | 0.28 | | | | | 0.30 | | | | | 0.23 | | | | | 0.21 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.14 | | | | | 0.24 | | | | | 0.57 | | | | | 0.18 | | | | | (0.11 | ) | | | | (0.11 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.21 | | | | | 0.41 | | | | | 0.85 | | | | | 0.48 | | | | | 0.12 | | | | | 0.10 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.17 | ) | | | | (0.28 | ) | | | | (0.30 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.54 | ) | | | | (0.09 | ) | | | | — | | | | | — | | | | | (0.15 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.71 | ) | | | | (0.37 | ) | | | | (0.30 | ) | | | | (0.23 | ) | | | | (0.36 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.96 | | | | $ | 10.82 | | | | $ | 11.12 | | | | $ | 10.64 | | | | $ | 10.46 | | | | $ | 10.57 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.93 | %2 | | | | 3.54 | % | | | | 8.16 | % | | | | 4.72 | % | | | | 1.17 | % | | | | 0.93 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 54,285,998 | | | | $ | 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 | %3 | | | | 0.45 | % | | | | 0.45 | % | | | | 0.44 | % | | | | 0.44 | % | | | | 0.44 | % | | | | | |
After expense waivers and reimbursements | | | | 0.45 | %3 | | | | 0.45 | % | | | | 0.45 | % | | | | 0.44 | % | | | | 0.44 | % | | | | 0.44 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.25 | %3 | | | | 1.49 | % | | | | 2.60 | % | | | | 2.91 | % | | | | 2.19 | % | | | | 1.94 | % | | | | | |
Portfolio Turnover Rate | | | | 225 | %2 | | | | 470 | % | | | | 405 | % | | | | 255 | % | | | | 291 | % | | | | 313 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 270 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS I-2* | | |
| | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | PERIOD
ENDED
MARCH 31,
2020 | | |
Net Asset Value, Beginning of Period | | | $ | 10.82 | | | | $ | 11.12 | | | | $ | 11.48 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.15 | | | | | 0.02 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.14 | | | | | 0.27 | | | | | (0.36 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Income (Loss) from Investment Operations | | | | 0.21 | | | | | 0.42 | | | | | (0.34 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.18 | ) | | | | (0.02 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.54 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.72 | ) | | | | (0.02 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net Asset Value, End of Period | | | $ | 10.96 | | | | $ | 10.82 | | | | $ | 11.12 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.90 | %2 | | | | 3.65 | % | | | | (2.93 | )%2 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 197,607 | | | | $ | 116,857 | | | | $ | 97 | 3 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.50 | %4 | | | | 0.52 | % | | | | 0.33 | %4 | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %4 | | | | 0.52 | % | | | | 0.33 | %4 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.20 | %4 | | | | 1.32 | % | | | | 3.49 | %4 | | | | | |
Portfolio Turnover Rate | | | | 225 | %2 | | | | 470 | % | | | | 405 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
| * | The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020. |
|
| See accompanying Notes to Financial Statements. |
|
| 271 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 10.83 | | | | $ | 11.13 | | | | $ | 10.65 | | | | $ | 10.47 | | | | $ | 10.58 | | | | $ | 10.84 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Income from Investment Operations: | | | | | | | | | | | |
Net investment income1 | | | | 0.05 | | | | | 0.13 | | | | | 0.25 | | | | | 0.27 | | | | | 0.20 | | | | | 0.17 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.14 | | | | | 0.24 | | | | | 0.57 | | | | | 0.18 | | | | | (0.11 | ) | | | | (0.11 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.19 | | | | | 0.37 | | | | | 0.82 | | | | | 0.45 | | | | | 0.09 | | | | | 0.06 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.05 | ) | | | | (0.13 | ) | | | | (0.25 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.17 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.54 | ) | | | | (0.09 | ) | | | | — | | | | | — | | | | | (0.15 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.05 | ) | | | | (0.67 | ) | | | | (0.34 | ) | | | | (0.27 | ) | | | | (0.20 | ) | | | | (0.32 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.97 | | | | $ | 10.83 | | | | $ | 11.13 | | | | $ | 10.65 | | | | $ | 10.47 | | | | $ | 10.58 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.76 | %2 | | | | 3.19 | % | | | | 7.80 | % | | | | 4.36 | % | | | | 0.83 | % | | | | 0.59 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 2,055,835 | | | | $ | 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 | %3 | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | | |
After expense waivers and reimbursements | | | | 0.78 | %3 | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.92 | %3 | | | | 1.15 | % | | | | 2.26 | % | | | | 2.58 | % | | | | 1.87 | % | | | | 1.62 | % | | | | | |
Portfolio Turnover Rate | | | | 225 | %2 | | | | 470 | % | | | | 405 | % | | | | 255 | % | | | | 291 | % | | | | 313 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 272 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | TOTAL RETURN BOND FUND PLAN CLASS | | | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 10.15 | | | | $ | 10.46 | | | | $ | 10.01 | | | | $ | 9.84 | | | | $ | 9.95 | | | | $ | 10.20 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.17 | | | | | 0.28 | | | | | 0.29 | | | | | 0.23 | | | | | 0.20 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.13 | | | | | 0.23 | | | | | 0.54 | | | | | 0.17 | | | | | (0.11 | ) | | | | (0.10 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.20 | | | | | 0.40 | | | | | 0.82 | | | | | 0.46 | | | | | 0.12 | | | | | 0.10 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.17 | ) | | | | (0.28 | ) | | | | (0.29 | ) | | | | (0.23 | ) | | | | (0.20 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.54 | ) | | | | (0.09 | ) | | | | — | | | | | — | | | | | (0.15 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.71 | ) | | | | (0.37 | ) | | | | (0.29 | ) | | | | (0.23 | ) | | | | (0.35 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.28 | | | | $ | 10.15 | | | | $ | 10.46 | | | | $ | 10.01 | | | | $ | 9.84 | | | | $ | 9.95 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.96 | %2 | | | | 3.65 | % | | | | 8.29 | % | | | | 4.80 | % | | | | 1.18 | % | | | | 1.03 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 24,167,005 | | | | $ | 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 | %3 | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | | |
After expense waivers and reimbursements | | | | 0.37 | %3 | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | 0.37 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.33 | %3 | | | | 1.57 | % | | | | 2.67 | % | | | | 3.00 | % | | | | 2.28 | % | | | | 2.01 | % | | | | | |
Portfolio Turnover Rate | | | | 225 | %2 | | | | 470 | % | | | | 405 | % | | | | 255 | % | | | | 291 | % | | | | 313 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying Notes to Financial Statements. |
|
| 273 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | ULTRA SHORT
BOND FUND CLASS M | | | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 4.25 | | | | $ | 4.23 | | | | $ | 4.26 | | | | $ | 4.25 | | | | $ | 4.27 | | | | $ | 4.27 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.01 | | | | | 0.02 | | | | | 0.11 | | | | | 0.09 | | | | | 0.05 | | | | | 0.04 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.00 | 2 | | | | 0.02 | | | | | (0.03 | ) | | | | 0.01 | | | | | (0.02 | ) | | | | 0.01 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.01 | | | | | 0.04 | | | | | 0.08 | | | | | 0.10 | | | | | 0.03 | | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.01 | ) | | | | (0.02 | ) | | | | (0.11 | ) | | | | (0.09 | ) | | | | (0.05 | ) | | | | (0.04 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.01 | ) | | | | (0.02 | ) | | | | (0.11 | ) | | | | (0.09 | ) | | | | (0.05 | ) | | | | (0.05 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.25 | | | | $ | 4.25 | | | | $ | 4.23 | | | | $ | 4.26 | | | | $ | 4.25 | | | | $ | 4.27 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.25 | %3 | | | | 1.03 | % | | | | 1.85 | % | | | | 2.37 | % | | | | 0.68 | % | | | | 1.14 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 54,684 | | | | $ | 61,925 | | | | $ | 28,355 | | | | $ | 34,376 | | | | $ | 50,777 | | | | $ | 66,238 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.65 | %4 | | | | 0.65 | % | | | | 0.77 | % | | | | 0.74 | % | | | | 0.69 | % | | | | 0.67 | % | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %4 | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %4 | | | | 0.49 | % | | | | 2.53 | % | | | | 2.08 | % | | | | 1.14 | % | | | | 0.97 | % | | | | | |
Portfolio Turnover Rate | | | | 133 | %3 | | | | 210 | % | | | | 303 | % | | | | 172 | % | | | | 183 | % | | | | 63 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.005 per share. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 274 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | ULTRA SHORT
BOND FUND CLASS I | | | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 4.26 | | | | $ | 4.23 | | | | $ | 4.27 | | | | $ | 4.26 | | | | $ | 4.27 | | | | $ | 4.28 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.01 | | | | | 0.03 | | | | | 0.12 | | | | | 0.10 | | | | | 0.06 | | | | | 0.05 | | | | | | |
Net realized and unrealized gain (loss) | | | | (0.00 | ) | | | | 0.03 | | | | | (0.04 | ) | | | | 0.01 | | | | | (0.01 | ) | | | | (0.00 | )2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.01 | | | | | 0.06 | | | | | 0.08 | | | | | 0.11 | | | | | 0.05 | | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.01 | ) | | | | (0.03 | ) | | | | (0.12 | ) | | | | (0.10 | ) | | | | (0.06 | ) | | | | (0.05 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.01 | ) | | | | (0.03 | ) | | | | (0.12 | ) | | | | (0.10 | ) | | | | (0.06 | ) | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.26 | | | | $ | 4.26 | | | | $ | 4.23 | | | | $ | 4.27 | | | | $ | 4.26 | | | | $ | 4.27 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.33 | %3 | | | | 1.43 | % | | | | 1.78 | % | | | | 2.53 | % | | | | 1.08 | % | | | | 1.06 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 187,203 | | | | $ | 181,248 | | | | $ | 76,340 | | | | $ | 68,020 | | | | $ | 68,698 | | | | $ | 70,744 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.48 | %4 | | | | 0.48 | % | | | | 0.58 | % | | | | 0.56 | % | | | | 0.52 | % | | | | 0.49 | % | | | | | |
After expense waivers and reimbursements | | | | 0.34 | %4 | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.66 | %4 | | | | 0.67 | % | | | | 2.70 | % | | | | 2.27 | % | | | | 1.30 | % | | | | 1.13 | % | | | | | |
Portfolio Turnover Rate | | | | 133 | %3 | | | | 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. |
|
| 275 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | UNCONSTRAINED
BOND FUND CLASS M | | | | | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2021 | | 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 Period | | | $ | 11.96 | | | | $ | 11.12 | | | | $ | 11.80 | | | | $ | 11.83 | | | | $ | 11.90 | | | | $ | 11.72 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
Income from Investment Operations: | | | | | | | | | | | |
Net investment income1 | | | | 0.15 | | | | | 0.30 | | | | | 0.42 | | | | | 0.41 | | | | | 0.29 | | | | | 0.25 | | | | | | |
Net realized and unrealized gain (loss) | | | | 0.01 | | | | | 0.93 | | | | | (0.69 | ) | | | | (0.03 | ) | | | | (0.03 | ) | | | | 0.22 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | 0.16 | | | | | 1.23 | | | | | (0.27 | ) | | | | 0.38 | | | | | 0.26 | | | | | 0.47 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (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 | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.39 | ) | | | | (0.41 | ) | | | | (0.41 | ) | | | | (0.33 | ) | | | | (0.29 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 11.98 | | | | $ | 11.96 | | | | $ | 11.12 | | | | $ | 11.80 | | | | $ | 11.83 | | | | $ | 11.90 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.34 | %3 | | | | 11.14 | % | | | | (2.47 | )% | | | | 3.31 | % | | | | 2.18 | % | | | | 4.11 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 260,489 | | | | $ | 258,424 | | | | $ | 267,139 | | | | $ | 454,968 | | | | $ | 642,999 | | | | $ | 1,460,884 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.02 | %4 | | | | 1.03 | % | | | | 1.03 | % | | | | 1.03 | %5 | | | | 1.05 | % | | | | 1.04 | %6 | | | | | |
After expense waivers and reimbursements | | | | 1.02 | %4 | | | | 1.03 | % | | | | 1.03 | % | | | | 1.03 | % | | | | 1.04 | % | | | | 1.04 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.46 | %4 | | | | 2.56 | % | | | | 3.49 | % | | | | 3.46 | % | | | | 2.39 | % | | | | 2.13 | % | | | | | |
Portfolio Turnover Rate | | | | 92 | %3 | | | | 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. |
| 5 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%. |
| 6 | 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. |
|
| Semi-Annual Report September 2021 / 276 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND CLASS I | | | | |
| | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | 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 Period | | $ | 11.95 | | | $ | 11.12 | | | $ | 11.79 | | | $ | 11.82 | | | $ | 11.89 | | | $ | 11.71 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.16 | | | | 0.33 | | | | 0.44 | | | | 0.44 | | | | 0.33 | | | | 0.29 | | | | | |
Net realized and unrealized gain (loss) | | | 0.02 | | | | 0.92 | | | | (0.67 | ) | | | (0.02 | ) | | | (0.04 | ) | | | 0.22 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.18 | | | | 1.25 | | | | (0.23 | ) | | | 0.42 | | | | 0.29 | | | | 0.51 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (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 | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (0.42 | ) | | | (0.44 | ) | | | (0.45 | ) | | | (0.36 | ) | | | (0.33 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 11.97 | | | $ | 11.95 | | | $ | 11.12 | | | $ | 11.79 | | | $ | 11.82 | | | $ | 11.89 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.49 | %3 | | | 11.35 | % | | | (2.11 | )% | | | 3.60 | % | | | 2.49 | % | | | 4.43 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 3,715,292 | | | $ | 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 | | | 0.74 | %4 | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.73 | % | | | 0.73 | % | | | | |
After expense waivers and reimbursements | | | 0.74 | %4 | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.73 | % | | | 0.73 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | |
After expense waivers and reimbursements | | | 2.74 | %4 | | | 2.82 | % | | | 3.72 | % | | | 3.76 | % | | | 2.77 | % | | | 2.46 | % | | | | |
Portfolio Turnover Rate | | | 92 | %3 | | | 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. |
|
| 277 / Semi-Annual Report September 2021 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND PLAN CLASS* | | | | |
| | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2021 | | | PERIOD
ENDED
MARCH 31,
2020 | | | | |
Net Asset Value, Beginning of Period | | $ | 11.94 | | | $ | 11.11 | | | $ | 11.96 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.17 | | | | 0.34 | | | | 0.03 | | | | | |
Net realized and unrealized gain (loss) | | | 0.01 | | | | 0.92 | | | | (0.85 | ) | | | | |
| | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.18 | | | | 1.26 | | | | (0.82 | ) | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.34 | ) | | | (0.03 | ) | | | | |
From net capital gains | | | — | | | | (0.09 | ) | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (0.43 | ) | | | (0.03 | ) | | | | |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 11.96 | | | $ | 11.94 | | | $ | 11.11 | | | | | |
| | | | | | | | | | | | | | | | |
Total Return | | | 1.51 | %2 | | | 11.44 | % | | | (6.88 | )%2 | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 122,685 | | | $ | 63,815 | | | $ | 93 | 3 | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.69 | %4 | | | 0.69 | % | | | 0.68 | %4 | | | | |
After expense waivers and reimbursements | | | 0.69 | %4 | | | 0.69 | % | | | 0.68 | %4 | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.84 | %4 | | | 2.88 | % | | | 4.06 | %4 | | | | |
Portfolio Turnover Rate | | | 92 | %2 | | | 165 | % | | | 85 | %2 | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
| * | The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020. |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2021 / 278 |
Notes to Financial Statements
September 30, 2021 (Unaudited)
| 1. | SUMMARY OF ORGANIZATION |
The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of thirteen separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 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 Opportunistic High Income Credit Fund (the “Opportunistic High Income Credit Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment 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 Opportunistic High Income Credit Fund commenced investment operations on August 2, 2021 with Class M and Class I shares. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The 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 of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) No. 946, Financial Services – Investment Companies.
The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and/or swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is up to five years.
The Corporate Bond Fund seeks to maximize long-term total return, by investing, under normal circumstances, at least 80% of its assets, plus any 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, plus any 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.
279 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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 borrowings 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.
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 Opportunistic High Income Credit Fund seeks to maximize total returns through a combination of current income and capital appreciation by investing at least 80% of its net assets in investments across a range of global investment opportunities related to income-generating credit securities, with an emphasis on higher volatility, lower-quality debt securities rated below investment grade, or unrated securities determined by the Adviser to be of comparable quality. There is no limit on the weighted average maturity of the Fund’s portfolio, and there is no limit on the Fund’s average portfolio duration.
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 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.
Semi-Annual Report September 2021 / 280
Notes to Financial Statements (Continued)
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 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 ask 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 ask 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 influence 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 recommendations provided by the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine 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) foreign currency denominated 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.
281 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.
As of and during the six months ended September 30, 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 as 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.
Semi-Annual Report September 2021 / 282
Notes to Financial Statements (Continued)
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 as 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 as Level 2 of the fair value hierarchy, unless key inputs are unobservable; they would then be categorized as Level 3.
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 as 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 as 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 as 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 categorized as 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 as 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
283 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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 categorized as 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.
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 categorized as Level 1. Other government and agencies securities are quoted based on similar securities and yields, and therefore would be categorized as Level 2.
As of September 30, 2021, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of September 30, 2021 is as follows:
| | | | | | | | | | | | | | | | |
| | | | |
ALPHATRAK 500 FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 71,068 | | | $ | — | | | $ | — | | | $ | 71,068 | |
U.S. Agency Discount Notes | | | — | | | | 1,999,992 | | | | — | | | | 1,999,992 | |
U.S. Treasury Bills | | | 1,499,993 | | | | — | | | | — | | | | 1,499,993 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 6,708,677 | | | | 22,235 | | | | 6,730,912 | |
Corporates | | | — | | | | 10,996,376 | | | | — | | | | 10,996,376 | |
Mortgage-Backed Securities | | | — | | | | 8,529,067 | | | | 29,143 | | | | 8,558,210 | |
Municipal Bonds | | | — | | | | 773,810 | | | | — | | | | 773,810 | |
Mutual Funds | | | 10,683,463 | | | | — | | | | — | | | | 10,683,463 | |
U.S. Treasury Securities | | | 2,255,282 | | | | — | | | | — | | | | 2,255,282 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Equity contracts | | | (1,749,338) | | | | — | | | | — | | | | (1,749,338) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 12,760,468 | | | $ | 29,007,922 | | | $ | 51,378 | | | $ | 41,819,768 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures. Equity contracts include futures. | |
Semi-Annual Report September 2021 / 284
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
CORPORATE BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 415,345 | | | $ | — | | | $ | — | | | $ | 415,345 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | — | | | | 43,691 | | | | 43,691 | |
Corporates | | | — | | | | 12,315,676 | | | | 5,355 | | | | 12,321,031 | |
Mortgage-Backed Securities | | | — | | | | 114,127 | | | | 18,091 | | | | 132,218 | |
Municipal Bonds | | | — | | | | 348,936 | | | | — | | | | 348,936 | |
U.S. Treasury Securities | | | 1,285,510 | | | | — | | | | — | | | | 1,285,510 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 16,080 | | | | 2,321 | | | | — | | | | 18,401 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (2,209) | | | | (361) | | | | — | | | | (2,570) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,714,726 | | | $ | 12,780,699 | | | $ | 67,137 | | | $ | 14,562,562 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps. | |
| | | | |
FLEXIBLE INCOME FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 1,085,262 | | | $ | — | | | $ | — | | | $ | 1,085,262 | |
U.S. Treasury Bills | | | 1,999,670 | | | | — | | | | — | | | | 1,999,670 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 32,455,818 | | | | 744,724 | | | | 33,200,542 | |
Bank Loans | | | — | | | | 15,750,368 | | | | — | | | | 15,750,368 | |
Common Stock | | | 402,135 | | | | — | | | | — | | | | 402,135 | |
Corporates | | | — | | | | 50,238,413 | | | | 497,973 | | | | 50,736,386 | |
Foreign Government Obligations | | | — | | | | 4,235,820 | | | | — | | | | 4,235,820 | |
Mortgage-Backed Securities | | | — | | | | 85,379,870 | | | | 2,408,133 | | | | 87,788,003 | |
Municipal Bonds | | | — | | | | 852,068 | | | | — | | | | 852,068 | |
U.S. Treasury Securities | | | 1,815,393 | | | | — | | | | — | | | | 1,815,393 | |
Warrant | | | 85,453 | | | | — | | | | — | | | | 85,453 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | 56,207 | | | | — | | | | 56,207 | |
Interest rate contracts | | | 591,604 | | | | — | | | | — | | | | 591,604 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign currency exchange contracts | | | — | | | | (18,843) | | | | — | | | | (18,843) | |
Interest rate contracts | | | (241,667) | | | | — | | | | — | | | | (241,667) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 5,737,850 | | | $ | 188,949,721 | | | $ | 3,650,830 | | | $ | 198,338,401 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures. | |
285 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
FLOATING RATE INCOME FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 19,411,002 | | | $ | — | | | $ | — | | | $ | 19,411,002 | |
U.S. Treasury Bills | | | 24,996,244 | | | | — | | | | — | | | | 24,996,244 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | 406,319,211 | | | | 3,270,522 | | | | 409,589,733 | |
Corporates | | | — | | | | 32,670,138 | | | | — | | | | 32,670,138 | |
Warrant | | | 128,464 | | | | — | | | | — | | | | 128,464 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | 54,624 | | | | — | | | | 54,624 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (18,494) | | | | — | | | | (18,494) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 44,535,710 | | | $ | 439,025,479 | | | $ | 3,270,522 | | | $ | 486,831,711 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts. | |
| | | | |
HIGH YIELD BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 18,200,000 | | | $ | — | | | $ | — | | | $ | 18,200,000 | |
U.S. Treasury Bills | | | 24,997,480 | | | | — | | | | — | | | | 24,997,480 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | 146,470,753 | | | | 2,390,987 | | | | 148,861,740 | |
Common Stock | | | 2,644,146 | | | | — | | | | — | | | | 2,644,146 | |
Corporates | | | — | | | | 600,248,650 | | | | 4,007,877 | | | | 604,256,527 | |
Warrant | | | 161,345 | | | | — | | | | — | | | | 161,345 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 37,016 | | | | 115,984 | | | | 153,000 | |
Foreign currency exchange contracts | | | — | | | | 95,156 | | | | — | | | | 95,156 | |
Interest rate contracts | | | 258,343 | | | | — | | | | — | | | | 258,343 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (32,228) | | | | — | | | | (32,228) | |
Interest rate contracts | | | (165,443) | | | | — | | | | — | | | | (165,443) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 46,095,871 | | | $ | 746,819,347 | | | $ | 6,514,848 | | | $ | 799,430,066 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures. | |
Semi-Annual Report September 2021 / 286
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
INTERMEDIATE BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 45,210 | | | $ | — | | | $ | — | | | $ | 45,210 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 78,312,508 | | | | 2,233,086 | | | | 80,545,594 | |
Bank Loans | | | — | | | | 8,871,940 | | | | — | | | | 8,871,940 | |
Common Stock | | | — | | | | — | | | | — | | | | — | |
Corporates | | | — | | | | 211,738,955 | | | | 522,068 | | | | 212,261,023 | |
Mortgage-Backed Securities | | | — | | | | 106,192,945 | | | | — | | | | 106,192,945 | |
Municipal Bonds | | | — | | | | 6,454,378 | | | | — | | | | 6,454,378 | |
Purchased Options | | | 247,500 | | | | — | | | | — | | | | 247,500 | |
U.S. Treasury Securities | | | 444,665,214 | | | | — | | | | — | | | | 444,665,214 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 10,702 | | | | 120,951 | | | | 131,653 | |
Interest rate contracts | | | 217,838 | | | | — | | | | — | | | | 217,838 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (220,610 | ) | | | — | | | | — | | | | (220,610 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 444,955,152 | | | $ | 411,581,428 | | | $ | 2,876,105 | | | $ | 859,412,685 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options. | |
| | | | |
INVESTMENT GRADE CREDIT FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 27,530 | | | $ | — | | | $ | — | | | $ | 27,530 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 1,483,506 | | | | 38,836 | | | | 1,522,342 | |
Corporates | | | — | | | | 16,562,713 | | | | 13,386 | | | | 16,576,099 | |
Mortgage-Backed Securities | | | — | | | | 4,076,134 | | | | 50,600 | | | | 4,126,734 | |
Municipal Bonds | | | — | | | | 626,222 | | | | — | | | | 626,222 | |
U.S. Treasury Securities | | | 6,548,518 | | | | — | | | | — | | | | 6,548,518 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 62,728 | | | | 5,659 | | | | — | | | | 68,387 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (15,963 | ) | | | (6,237 | ) | | | — | | | | (22,200 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 6,622,813 | | | $ | 22,747,997 | | | $ | 102,822 | | | $ | 29,473,632 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps. | |
287 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
LOW DURATION BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 16,875,000 | | | $ | — | | | $ | — | | | $ | 16,875,000 | |
U.S. Agency Discount Notes | | | — | | | | 24,999,806 | | | | — | | | | 24,999,806 | |
U.S. Treasury Bills | | | 114,992,539 | | | | — | | | | — | | | | 114,992,539 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 441,258,240 | | | | 7,749,871 | | | | 449,008,111 | |
Bank Loans | | | — | | | | 29,496,713 | | | | — | | | | 29,496,713 | |
Common Stock | | | — | | | | — | | | | — | | | | — | |
Corporates | | | — | | | | 765,539,065 | | | | 2,096,305 | | | | 767,635,370 | |
Mortgage-Backed Securities | | | — | | | | 969,283,865 | | | | — | | | | 969,283,865 | |
Municipal Bonds | | | — | | | | 24,583,866 | | | | — | | | | 24,583,866 | |
Purchased Options | | | 817,500 | | | | — | | | | — | | | | 817,500 | |
Purchased Swaptions | | | — | | | | 1,713 | | | | — | | | | 1,713 | |
U.S. Treasury Securities | | | 717,420,722 | | | | — | | | | — | | | | 717,420,722 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 31,735 | | | | 391,191 | | | | 422,926 | |
Interest rate contracts | | | 3,229,408 | | | | — | | | | — | | | | 3,229,408 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (520,015 | ) | | | (840 | ) | | | — | | | | (520,855 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 852,815,154 | | | $ | 2,255,194,163 | | | $ | 10,237,367 | | | $ | 3,118,246,684 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures, swaps, written options and written swaptions. Credit contracts include swaps. Interest rate contracts include futures, written options and written swaptions. | |
| | | | |
OPPORTUNISTIC HIGH INCOME CREDIT FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 137,509 | | | $ | — | | | $ | — | | | $ | 137,509 | |
U.S. Treasury Bills | | | 474,958 | | | | — | | | | — | | | | 474,958 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | 305,343 | | | | 32,849 | | | | 338,192 | |
Common Stock | | | 344,122 | | | | — | | | | — | | | | 344,122 | |
Corporates | | | — | | | | 1,451,698 | | | | 25,166 | | | | 1,476,864 | |
Master Limited Partnerships | | | 74,385 | | | | — | | | | — | | | | 74,385 | |
Mortgage-Backed Securities | | | — | | | | 505,718 | | | | 41,769 | | | | 547,487 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (25 | ) | | | — | | | | — | | | | (25 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,030,949 | | | $ | 2,262,759 | | | $ | 99,784 | | | $ | 3,393,492 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures. Interest rate contracts include futures. | |
Semi-Annual Report September 2021 / 288
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 | | $ | 35,546 | | | $ | — | | | $ | — | | | $ | 35,546 | |
U.S. Agency Discount Notes | | | — | | | | 999,996 | | | | — | | | | 999,996 | |
U.S. Treasury Bills | | | 1,799,863 | | | | — | | | | — | | | | 1,799,863 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 8,941,711 | | | | 121,399 | | | | 9,063,110 | |
Common Stock | | | 70,965 | | | | — | | | | — | | | | 70,965 | |
Corporates | | | — | | | | 8,553,075 | | | | 32,127 | | | | 8,585,202 | |
Mortgage-Backed Securities | | | — | | | | 9,951,008 | | | | 126,270 | | | | 10,077,278 | |
Municipal Bonds | | | — | | | | 144,940 | | | | — | | | | 144,940 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 61,039 | | | | 6,979 | | | | — | | | | 68,018 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (6,575 | ) | | | (8,643 | ) | | | — | | | | (15,218 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,960,838 | | | $ | 28,589,066 | | | $ | 279,796 | | | $ | 30,829,700 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps. | |
| | | | |
TOTAL RETURN BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 2,002,373,031 | | | $ | — | | | $ | — | | | $ | 2,002,373,031 | |
Repurchase Agreements | | | — | | | | 750,000,000 | | | | — | | | | 750,000,000 | |
U.S. Agency Discount Notes | | | — | | | | 3,337,872,517 | | | | — | | | | 3,337,872,517 | |
U.S. Treasury Bills | | | 4,282,799,066 | | | | — | | | | — | | | | 4,282,799,066 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 4,902,658,424 | | | | 31,253,500 | | | | 4,933,911,924 | |
Bank Loans | | | — | | | | 1,402,938,536 | | | | 3,783,098 | | | | 1,406,721,634 | |
Common Stock | | | — | | | | — | | | | — | | | | — | |
Corporates | | | — | | | | 20,632,623,883 | | | | 59,892,194 | | | | 20,692,516,077 | |
Foreign Government Obligations | | | — | | | | 846,281,615 | | | | — | | | | 846,281,615 | |
Mortgage-Backed Securities | | | — | | | | 33,902,191,752 | | | | 7,079,493 | | | | 33,909,271,245 | |
Municipal Bonds | | | — | | | | 543,152,472 | | | | — | | | | 543,152,472 | |
Purchased Options | | | 21,806,250 | | | | — | | | | — | | | | 21,806,250 | |
Purchased Swaptions | | | — | | | | 12,344,628 | | | | — | | | | 12,344,628 | |
U.S. Treasury Securities | | | 34,508,031,568 | | | | 247,075,672 | | | | — | | | | 34,755,107,240 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 562,102 | | | | 1,168,608 | | | | 1,730,710 | |
Foreign currency exchange contracts | | | — | | | | 5,288,986 | | | | — | | | | 5,288,986 | |
Interest rate contracts | | | 12,467,051 | | | | 20,823,344 | | | | — | | | | 33,290,395 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (1,963,955 | ) | | | — | | | | (1,963,955 | ) |
Interest rate contracts | | | (48,174,917 | ) | | | (26,698,819 | ) | | | — | | | | (74,873,736 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 40,779,302,049 | | | $ | 66,575,151,157 | | | $ | 103,176,893 | | | $ | 107,457,630,099 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures, swaps and written options. | |
289 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
ULTRA SHORT BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 9,206,264 | | | $ | — | | | $ | — | | | $ | 9,206,264 | |
U.S. Treasury Bills | | | 43,495,779 | | | | — | | | | — | | | | 43,495,779 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 27,627,873 | | | | 15,421 | | | | 27,643,294 | |
Corporates | | | — | | | | 54,378,850 | | | | — | | | | 54,378,850 | |
Mortgage-Backed Securities | | | — | | | | 63,912,522 | | | | — | | | | 63,912,522 | |
Municipal Bonds | | | — | | | | 1,744,124 | | | | — | | | | 1,744,124 | |
Purchased Options | | | 75,000 | | | | — | | | | — | | | | 75,000 | |
U.S. Treasury Securities | | | 58,191,882 | | | | — | | | | — | | | | 58,191,882 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 3,614 | | | | — | | | | 3,614 | |
Interest rate contracts | | | 261,704 | | | | — | | | | — | | | | 261,704 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (38,750 | ) | | | — | | | | — | | | | (38,750 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 111,191,879 | | | $ | 147,666,983 | | | $ | 15,421 | | | $ | 258,874,283 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options. | |
| | | | |
UNCONSTRAINED BOND FUND | | | LEVEL 1 | | | | LEVEL 2 | | | | LEVEL 3 | | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 125,994,259 | | | $ | — | | | $ | — | | | $ | 125,994,259 | |
U.S. Agency Discount Notes | | | — | | | | 124,999,222 | | | | — | | | | 124,999,222 | |
U.S. Treasury Bills | | | 524,924,782 | | | | — | | | | — | | | | 524,924,782 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 922,548,555 | | | | 10,000,343 | | | | 932,548,898 | |
Bank Loans | | | — | | | | 178,042,439 | | | | 334,656 | | | | 178,377,095 | |
Common Stock | | | 9,178,140 | | | | — | | | | — | | | | 9,178,140 | |
Corporates | | | — | | | | 963,653,803 | | | | 3,667,864 | | | | 967,321,667 | |
Foreign Government Obligations | | | — | | | | 112,089,302 | | | | — | | | | 112,089,302 | |
Mortgage-Backed Securities | | | — | | | | 1,422,372,976 | | | | 77,873 | | | | 1,422,450,849 | |
Municipal Bonds | | | — | | | | 21,361,072 | | | | — | | | | 21,361,072 | |
Purchased Options | | | 1,170,000 | | | | — | | | | — | | | | 1,170,000 | |
U.S. Treasury Securities | | | 34,587,286 | | | | — | | | | — | | | | 34,587,286 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 96,085 | | | | 540,481 | | | | 636,566 | |
Foreign currency exchange contracts | | | — | | | | 145,848 | | | | — | | | | 145,848 | |
Interest rate contracts | | | 10,566,062 | | | | 932,039 | | | | — | | | | 11,498,101 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (49,725 | ) | | | — | | | | (49,725 | ) |
Interest rate contracts | | | (3,610,718 | ) | | | (1,138,496 | ) | | | — | | | | (4,749,214 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 702,809,811 | | | $ | 3,745,053,120 | | | $ | 14,621,217 | | | $ | 4,462,484,148 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures, swaps and written options. | |
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.
Semi-Annual Report September 2021 / 290
Notes to Financial Statements (Continued)
For the six months ended September 30, 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 | |
| ASSET-BACKED
SECURITIES |
| |
| MORTGAGE-
BACKED
SECURITIES |
| | | | |
Balance as of | | | | | | | | | | | | |
April 1, 2021 | | $ | — | | | $ | 62,388 | | | | | |
Accrued discounts/premiums | | | — | | | | (5,917 | ) | | | | |
Realized gain (loss) | | | — | | | | — | | | | | |
Change in unrealized (depreciation)* | | | — | | | | (5,093 | ) | | | | |
Purchases | | | — | | | | — | | | | | |
Sales | | | — | | | | — | | | | | |
Other** | | | 22,235 | | | | (22,235 | ) | | | | |
Transfers into Level 3*** | | | — | | | | — | | | | | |
Transfers out of Level 3*** | | | — | | | | — | | | | | |
| | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | |
September 30, 2021 | | $ | 22,235 | | | $ | 29,143 | | | | | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(5,093) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.
***There were no transfers between level 2 and 3 for the period ended September 30, 2021.
| | | | | | | | | | | | | | | | |
CORPORATE BOND FUND | |
| ASSET-BACKED
SECURITIES |
| | | CORPORATES | | |
| MORTGAGE-
BACKED
SECURITIES |
| | | | |
Balance as of | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 44,118 | | | $ | 5,267 | | | $ | 25,014 | | | | | |
Accrued discounts/premiums | | | — | | | | (25 | ) | | | (1,128 | ) | | | | |
Realized (loss) | | | — | | | | (5 | ) | | | — | | | | | |
Change in unrealized appreciation (depreciation)* | | | 803 | | | | 648 | | | | (5,795 | ) | | | | |
Purchases | | | — | | | | — | | | | — | | | | | |
Sales | | | (1,230 | ) | | | (530 | ) | | | — | | | | | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 43,691 | | | $ | 5,355 | | | $ | 18,091 | | | | | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(4,343) 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 period ended September 30, 2021.
291 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
FLEXIBLE INCOME FUND | |
| ASSET-BACKED
SECURITIES |
| | | CORPORATES | | |
| MORTGAGE-
BACKED
SECURITIES |
| | | | |
Balance as of | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 815,348 | | | $ | 213,302 | | | $ | 2,696,696 | | | | | |
Accrued discounts/premiums | | | (4,415) | | | | 31,069 | | | | (65,016) | | | | | |
Realized gain (loss) | | | — | | | | 1,528 | | | | (1,961) | | | | | |
Change in unrealized appreciation (depreciation)* | | | (51,172) | | | | 21,153 | | | | (212,870) | | | | | |
Purchases | | | — | | | | 252,398 | | | | — | | | | | |
Sales | | | (15,037) | | | | (21,477) | | | | (8,716) | | | | | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 744,724 | | | $ | 497,973 | | | $ | 2,408,133 | | | | | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(241,818) 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 period ended September 30, 2021.
| | | | | | | | |
FLOATING RATE INCOME FUND | | | BANK LOANS | | | | | |
Balance as of | | | | | | | | |
April 1, 2021 | | $ | 3,008,358 | | | | | |
Accrued discounts/premiums | | | (41,287) | | | | | |
Realized (loss) | | | (95,992) | | | | | |
Change in unrealized appreciation* | | | 258,480 | | | | | |
Purchases | | | 194,730 | | | | | |
Sales | | | (53,767) | | | | | |
Transfers into Level 3** | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | | |
| | | | | | | | |
Balance as of | | | | | | | | |
September 30, 2021 | | $ | 3,270,522 | | | | | |
| | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $158,210 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 period ended September 30, 2021.
| | | | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | |
| BANK
LOANS |
| |
| COMMON
STOCK |
| | | CORPORATES | | |
| CREDIT DEFAULT
SWAPS |
| | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 2,009,394 | | | $ | — | | | $ | 1,124,446 | | | | — | | | | | |
Accrued discounts/premiums | | | 876 | | | | — | | | | 207,539 | | | | (11,820) | | | | | |
Realized gain | | | 4,041 | | | | — | | | | 8,056 | | | | — | | | | | |
Change in unrealized appreciation* | | | 491 | | | | — | | | | 83,848 | | | | 3,690 | | | | | |
Purchases | | | 841,185 | | | | — | | | | 2,697,208 | | | | 124,114 | | | | | |
Sales | | | (465,000) | | | | — | | | | (113,220) | | | | — | | | | | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 2,390,987 | | | $ | — | | | $ | 4,007,877 | | | $ | 115,984 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $89,701 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 period ended September 30, 2021.
Semi-Annual Report September 2021 / 292
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | |
| ASSET-BACKED
SECURITIES |
| | | CORPORATES | | |
| CREDIT DEFAULT
SWAPS |
| | | | |
Balance as of | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 2,254,916 | | | $ | 513,506 | | | | — | | | | | |
Accrued discounts/premiums | | | — | | | | (2,909) | | | | (13,114) | | | | | |
Realized (loss) | | | — | | | | (545) | | | | — | | | | | |
Change in unrealized appreciation* | | | 41,051 | | | | 63,721 | | | | 3,486 | | | | | |
Purchases | | | — | | | | — | | | | 130,579 | | | | | |
Sales | | | (62,881) | | | | (51,705) | | | | — | | | | | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 2,233,086 | | | $ | 522,068 | | | $ | 120,951 | | | | | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $105,096 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 period ended September 30, 2021.
| | | | | | | | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | |
| ASSET-BACKED
SECURITIES |
| | | CORPORATES | | |
| MORTGAGE-
BACKED
SECURITIES |
| | | | |
Balance as of | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 39,216 | | | $ | 13,167 | | | $ | 65,397 | | | | | |
Accrued discounts/premiums | | | — | | | | (64) | | | | (1,928) | | | | | |
Realized (loss) | | | — | | | | (12) | | | | — | | | | | |
Change in unrealized appreciation (depreciation)* | | | 714 | | | | 1,621 | | | | (12,869) | | | | | |
Purchases | | | — | | | | — | | | | — | | | | | |
Sales | | | (1,094) | | | | (1,326) | | | | — | | | | | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 38,836 | | | $ | 13,386 | | | $ | 50,600 | | | | | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(10,534) 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 period ended September 30, 2021.
| | | | | | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | |
| ASSET-BACKED
SECURITIES |
| | | CORPORATES | | |
| CREDIT DEFAULT
SWAPS |
| |
| MORTGAGE-
BACKED
SECURITIES |
| | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | |
April 1, 2021 | | $ | 6,666,708 | | | $ | 2,061,924 | | | | — | | | $ | 1,343,373 | | | | | |
Accrued discounts/premiums | | | (29,902) | | | | (13,004) | | | | (39,868) | | | | — | | | | | |
Realized (loss) | | | — | | | | (2,436) | | | | — | | | | — | | | | | |
Change in unrealized appreciation (depreciation)* | | | (44,398) | | | | 257,435 | | | | 12,448 | | | | — | | | | | |
Purchases | | | — | | | | — | | | | 418,611 | | | | — | | | | | |
Sales | | | (185,910) | | | | (207,614) | | | | — | | | | — | | | | | |
Other** | | | 1,343,373 | | | | — | | | | — | | | | (1,343,373) | | | | | |
Transfers into Level 3*** | | | — | | | | — | | | | — | | | | — | | | | | |
Transfers out of Level 3*** | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | |
September 30, 2021 | | $ | 7,749,871 | | | $ | 2,096,305 | | | $ | 391,191 | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $215,256 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.
***There were no transfers between level 2 and 3 for the period ended September 30, 2021.
293 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
| | | |
OPPORTUNISTIC HIGH INCOME
CREDIT FUND | | BANK
LOANS | | | CORPORATES | | | MORTGAGE-
BACKED
SECURITIES | |
Balance as of
August 2, 2021* | | $ | — | | | $ | — | | | $ | — | |
Accrued discounts/premiums | | | — | | | | 303 | | | | (97) | |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)** | | | (316) | | | | (912) | | | | 3,537 | |
Purchases | | | 33,165 | | | | 25,775 | | | | 38,329 | |
Sales | | | — | | | | — | | | | — | |
Transfers into Level 3*** | | | — | | | | — | | | | — | |
Transfers out of Level 3*** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2021 | | $ | 32,849 | | | $ | 25,166 | | | $ | 41,769 | |
| | | | | | | | | | | | |
*Commencement of Operations.
**The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $2,308 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 period ended September 30, 2021.
| | | | | | | | | | | | |
| | | |
STRATEGIC
INCOME FUND | | ASSET-BACKED
SECURITIES | | | CORPORATES | | | MORTGAGE-
BACKED
SECURITIES | |
Balance as of
April 1, 2021 | | $ | 122,413 | | | $ | 31,600 | | | $ | 159,315 | |
Accrued discounts/premiums | | | 127 | | | | (230) | | | | 37,785 | |
Realized (loss) | | | — | | | | (43) | | | | — | |
Change in unrealized appreciation (depreciation)* | | | 909 | | | | 3,982 | | | | (70,830) | |
Purchases | | | — | | | | — | | | | — | |
Sales | | | (2,050) | | | | (3,182) | | | | — | |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2021 | | $ | 121,399 | | | $ | 32,127 | | | $ | 126,270 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(65,940) 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 period ended September 30, 2021.
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL RETURN
BOND FUND | | ASSET-BACKED
SECURITIES | | | BANK
LOANS | | | CORPORATES | | | CREDIT DEFAULT
SWAPS | | | MORTGAGE-
BACKED
SECURITIES | |
Balance as of
April 1, 2021 | | $ | 31,559,020 | | | $ | 4,248,631 | | | $ | 54,418,554 | | | | — | | | $ | 8,525,700 | |
Accrued discounts/premiums | | | — | | | | 24,681 | | | | (236,652) | | | | (119,494) | | | | (676,563) | |
Realized (loss) | | | — | | | | (181,196) | | | | (99,615) | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)* | | | 574,543 | | | | 120,867 | | | | 6,312,845 | | | | 33,417 | | | | (769,644) | |
Purchases | | | — | | | | 419,040 | | | | 4,916,085 | | | | 1,254,685 | | | | — | |
Sales | | | (880,063) | | | | (848,925) | | | | (5,419,023) | | | | — | | | | — | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2021 | | $ | 31,253,500 | | | $ | 3,783,098 | | | $ | 59,892,194 | | | $ | 1,168,608 | | | $ | 7,079,493 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $6,241,472 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 period ended September 30, 2021.
Semi-Annual Report September 2021 / 294
Notes to Financial Statements (Continued)
| | | | | | | | |
| | |
ULTRA SHORT
BOND FUND | | ASSET-BACKED
SECURITIES | | | MORTGAGE-
BACKED
SECURITIES | |
Balance as of
April 1, 2021 | | $ | — | | | $ | 18,543 | |
Accrued discounts/premiums | | | (3,081) | | | | — | |
Realized gain (loss) | | | — | | | | — | |
Change in unrealized (depreciation)* | | | (41) | | | | — | |
Purchases | | | — | | | | — | |
Sales | | | — | | | | — | |
Other** | | | 18,543 | | | | (18,543) | |
Transfers into Level 3*** | | | — | | | | — | |
Transfers out of Level 3*** | | | — | | | | — | |
| | | | | | | | |
Balance as of
September 30, 2021 | | $ | 15,421 | | | $ | — | |
| | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $(41) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Certain Level 3 investments were re-classified between Mortgage-Backed Securities – Non-Agency and Asset-Backed Securities.
***There were no transfers between level 2 and 3 for the period ended September 30, 2021.
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
UNCONSTRAINED
BOND FUND | | ASSET-BACKED
SECURITIES | | | BANK
LOANS | | | CORPORATES | | | CREDIT DEFAULT
SWAPS | | | MORTGAGE-
BACKED
SECURITIES | |
Balance as of
April 1, 2021 | | $ | 10,098,102 | | | $ | 375,837 | | | $ | 3,607,708 | | | | — | | | $ | 97,063 | |
Accrued discounts/premiums | | | — | | | | 2,182 | | | | (26,835) | | | | (58,601) | | | | 18,184 | |
Realized (loss) | | | — | | | | (16,030) | | | | (5,024) | | | | — | | | | — | |
Change in unrealized appreciation (depreciation)* | | | 183,840 | | | | 10,695 | | | | 455,273 | | | | 15,578 | | | | (37,374) | |
Purchases | | | — | | | | 37,069 | | | | — | | | | 583,504 | | | | — | |
Sales | | | (281,599) | | | | (75,097) | | | | (363,258) | | | | — | | | | — | |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2021 | | $ | 10,000,343 | | | $ | 334,656 | | | $ | 3,667,864 | | | $ | 540,481 | | | $ | 77,873 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2021 was $613,880 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 period ended September 30, 2021.
Significant unobservable valuations inputs for Level 3 investments as of September 30, 2021, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| ALPHATRAK 500 FUND | | FAIR VALUE AT
9/30/21 | | | VALUATION
TECHNIQUE* | | | UNOBSERVABLE
INPUT | | | RANGE | | | WEIGHTED
AVERAGE | |
| | | | | |
Asset-Backed Securities | | | $22,235 | | | | Third-Party Vendor | | | | Vendor Prices | | | | $1.29 | | | | $1.29 | |
Mortgage-Backed Securities-Commercial Mortgage-Backed | | | $29,143 | | | | Third-Party Vendor | | | | Vendor Prices | | | | $0.21 - $3.26 | | | | $2.61 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| CORPORATE BOND FUND | | FAIR VALUE AT
9/30/21 | | | VALUATION
TECHNIQUE* | | | UNOBSERVABLE
INPUT | | | RANGE | | | WEIGHTED
AVERAGE | |
| | | | | |
Asset-Backed Securities | | | $43,691 | | | | Broker Quote | | | | Offered Quote | | | | $100.29 | | | | $100.29 | |
Corporate Securities | | | $5,355 | | | | Third-Party Vendor | | | | Vendor Prices | | | | $93.00 | | | | $93.00 | |
Mortgage-Backed Securities-Commercial Mortgage-Backed | | | $18,091 | | | | Third-Party Vendor | | | | Vendor Prices | | | | $0.21 - $2.05 | | | | $1.51 | |
295 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| | | | | |
| FLEXIBLE INCOME FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $533,999 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Asset-Backed Securities | | $210,725 | | Third-Party Vendor | | Vendor Prices | | $2.21 | | $2.21 |
Corporate Securities | | $497,973 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Mortgage-Backed Securities-Commercial Mortgage-Backed | | $641,726 | | Third-Party Vendor | | Vendor Prices | | $2.05 | | $2.05 |
Mortgage-Backed Securities-Non-Agency | | $1,766,407 | | Third-Party Vendor | | Vendor Prices | | $2.78 - $30.21 | | $8.60 |
| | |
| | | | | |
| FLOATING RATE INCOME FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $3,270,522 | | Third-Party Vendor | | Vendor Prices | | $66.33 - $101.31 | | $92.93 |
| | |
| | | | | |
| HIGH YIELD BOND FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $2,390,987 | | Third-Party Vendor | | Vendor Prices | | $99.54 | | $99.54 |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— |
Corporate Securities | | $4,007,877 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Credit Default Swaps | | $115,984 | | Broker Quote | | Offered Quote | | $— | | $— |
| | |
| | | | | |
| INTERMEDIATE BOND FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $2,233,086 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— |
Corporate Securities | | $522,068 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Credit Default Swaps | | $120,951 | | Broker Quote | | Offered Quote | | $— | | $— |
| | |
| | | | | |
| INVESTMENT GRADE CREDIT FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $38,836 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Corporate Securities | | $13,386 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Mortgage-Backed Securities-Commercial Mortgage-Backed | | $50,600 | | Third-Party Vendor | | Vendor Prices | | $0.21 - $2.05 | | $1.77 |
| | |
| | | | | |
| LOW DURATION BOND FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $6,602,168 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Asset-Backed Securities | | $1,147,703 | | Third-Party Vendor | | Vendor Prices | | $1.61 | | $1.61 |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— |
Corporate Securities | | $2,096,305 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Credit Default Swaps | | $391,191 | | Broker Quote | | Offered Quote | | $— | | $— |
| | |
| | | | | |
OPPORTUNISTIC HIGH INCOME
CREDIT FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $32,849 | | Third-Party Vendor | | Vendor Prices | | $99.54 | | $99.54 |
Corporate Securities | | $25,166 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Mortgage-Backed Securities-Non-Agency | | $41,769 | | Third-Party Vendor | | Vendor Prices | | $19.04 | | $19.04 |
Semi-Annual Report September 2021 / 296
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| | | | | |
| STRATEGIC INCOME FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $72,818 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Asset-Backed Securities | | $48,581 | | Third-Party Vendor | | Vendor Prices | | $11.57 | | $11.57 |
Corporate Securities | | $32,127 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Mortgage-Backed Securities-Non-Agency | | $126,270 | | Third-Party Vendor | | Vendor Prices | | $7.44 | | $7.44 |
| | |
| | | | | |
| TOTAL RETURN BOND FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $31,253,500 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Bank Loans | | $3,783,098 | | Third-Party Vendor | | Vendor Prices | | $72.50 | | $72.50 |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— |
Corporate Securities | | $59,892,194 | | Third-Party Vendor | | Vendor Prices | | $93.00 - $117.69 | | $94.72 |
Mortgage-Backed Securities-Non-Agency | | $7,079,493 | | Third-Party Vendor | | Vendor Prices | | $0.86 - $2.34 | | $1.63 |
Credit Default Swaps | | $1,168,608 | | Broker Quote | | Offered Quote | | $— | | $— |
| | |
| | | | | |
| ULTRA SHORT BOND FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $15,421 | | Third-Party Vendor | | Vendor Prices | | $1.29 | | $1.29 |
| | |
| | | | | |
UNCONSTRAINED BOND
FUND | | FAIR VALUE AT
9/30/21 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $10,000,343 | | Broker Quote | | Offered Quote | | $100.29 | | $100.29 |
Bank Loans | | $334,656 | | Third-Party Vendor | | Vendor Prices | | $72.50 | | $72.50 |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— |
Corporate Securities | | $3,667,864 | | Third-Party Vendor | | Vendor Prices | | $93.00 | | $93.00 |
Mortgage-Backed Securities-Non-Agency | | $77,873 | | Third-Party Vendor | | Vendor Prices | | $0.60 - $7.44 | | $6.42 |
Credit Default Swaps | | $540,481 | | Broker Quote | | Offered Quote | | $— | | $— |
|
* 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. |
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of September 30, 2021:
| | | | |
| |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
| | |
| DERIVATIVE TYPE | | ASSET DERIVATIVES | | LIABILITY DERIVATIVES |
Interest rate contracts | | Unrealized appreciation on swap | | Unrealized depreciation on swap |
| | contracts Premiums paid for swap | | contracts Premiums received on swap |
| | contracts Receivable for daily variation | | contracts Payable for daily variation |
| | margin Investments, at value | | margin Options written |
Credit contracts | | Unrealized appreciation on swap | | Unrealized depreciation on swap |
| | contracts Premiums paid for swap | | contracts Premiums received for swap |
| | contracts | | contracts |
Equity contracts | | Unrealized appreciation on swap | | Unrealized depreciation on swap |
| | contracts Premiums paid for swap | | contracts Premiums received for swap |
| | contracts Receivable for daily variation | | contracts Payable for daily variation |
| | margin | | margin |
| | — | | Options written |
Foreign currency exchange contracts | | Unrealized appreciation on foreign | | Unrealized depreciation on foreign |
| | currency exchange contracts | | currency exchange contracts |
297 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 153,000 | | | $ | 131,653 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | — | | | | 16,080 | | | | 591,604 | | | | — | | | | 258,343 | | | | 217,838 | |
Options and swaptions purchased | | | — | | | | — | | | | — | | | | — | | | | — | | | | 247,500 | |
Swaps | | | — | | | | 2,321 | | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | 56,207 | | | | 54,624 | | | | 95,156 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 18,401 | | | $ | 647,811 | | | $ | 54,624 | | | $ | 506,499 | | | $ | 596,991 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | ASSET DERIVATIVE INVESTMENTS | | | | | | | |
| | | INVESTMENT
GRADE CREDIT
FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | 422,926 | | | $ | — | | | $ | — | | | $ | 1,730,710 | | | $ | 3,614 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | 62,728 | | | | 3,229,408 | | | | — | | | | 61,039 | | | | 12,467,051 | | | | 261,704 | |
Options and swaptions purchased | | | — | | | | 819,213 | | | | — | | | | — | | | | 34,150,878 | | | | 75,000 | |
Swaps | | | 5,659 | | | | — | | | | — | | | | 6,979 | | | | 20,823,344 | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | — | | | | — | | | | 5,288,986 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 68,387 | | | $ | 4,471,547 | | | $ | — | | | $ | 68,018 | | | $ | 74,460,969 | | | $ | 340,318 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| ASSET DERIVATIVE INVESTMENTS | |
| | | | | | | | | | | | | | | | | | UNCONSTRAINED
BOND FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | | | | | | | | | | | | | | | | | | | | $ | 636,566 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | | | | | | | | | | | | | | | | | | | | 10,566,062 | |
Options and swaptions purchased | | | | | | | | | | | | | | | | | | | | | | | 1,170,000 | |
Swaps | | | | | | | | | | | | | | | | | | | | | | | 932,039 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | | | | | | | | | | | | | | | | | | | | 145,848 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | 13,450,515 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | LIABILITY DERIVATIVE INVESTMENTS | | | | | | | |
| | | ALPHATRAK 500
FUND | | | CORPORATE
BOND FUND | | | FLEXIBLE
INCOME FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD
BOND FUND | | | INTERMEDIATE
BOND FUND | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | (1,749,338) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | — | | | | (2,209) | | | | (241,667) | | | | — | | | | (165,443) | | | | (92,735) | |
Options and swaptions written | | | — | | | | — | | | | — | | | | — | | | | — | | | | (127,875) | |
Swaps | | | — | | | | (361) | | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | (18,843) | | | | (18,494) | | | | (32,228) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (1,749,338) | | | $ | (2,570) | | | $ | (260,510) | | | $ | (18,494) | | | $ | (197,671) | | | $ | (220,610) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2021 / 298
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | LIABILITY DERIVATIVE INVESTMENTS | | | | | | | |
| | | INVESTMENT
GRADE CREDIT
FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | (15,963) | | | $ | (97,640) | | | $ | (25) | | | $ | (6,575) | | | $ | (37,445,542) | | | $ | — | |
Options and swaptions written | | | — | | | | (423,215) | | | | — | | | | — | | | | (10,729,375) | | | | (38,750) | |
Swaps | | | (6,237) | | | | — | | | | — | | | | (8,643) | | | | (26,698,819) | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | — | | | | — | | | | (1,963,955) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (22,200) | | | $ | (520,855) | | | $ | (25) | | | $ | (15,218) | | | $ | (76,837,691) | | | $ | (38,750) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| LIABILITY DERIVATIVE INVESTMENTS | |
| | | | | | | | | | | | | | | | | | UNCONSTRAINED
BOND FUND | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | | | | | | | | | | | | | | | | | | | $ | (3,006,218) | |
Options and swaptions written | | | | | | | | | | | | | | | | | | | | | | | (604,500) | |
Swaps | | | | | | | | | | | | | | | | | | | | | | | (1,138,496) | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | | | | | | | | | | | | | | | | | | | | (49,725) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (4,798,939) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 six months ended September 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| REALIZED GAIN (LOSS) 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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 44,303 | | | $ | 15,690 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 5,065,453 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | | (20,858) | | | | (632,281) | | | | — | | | | 109,714 | | | | (598,403) | |
Options and swaptions purchased1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 58,798 | |
Options and swaptions written | | | — | | | | — | | | | — | | | | — | | | | — | | | | (27,103) | |
Swaps | | | — | | | | (17) | | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | 20,871 | | | | — | | | | 8,433 | | | | 443,267 | | | | 41,656 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 5,086,324 | | | $ | (20,875) | | | $ | (623,848) | | | $ | 443,267 | | | $ | 195,673 | | | $ | (551,018) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
299 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | INVESTMENT
GRADE
CREDIT FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | 46,389 | | | $ | — | | | $ | — | | | $ | 655,244 | | | $ | 3,999 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | (52,173) | | | | (2,141,925 | ) | | | — | | | | (94,075) | | | | 106,422,141 | | | | (188,110) | |
Options and swaptions purchased1 | | | — | | | | 186,768 | | | | — | | | | — | | | | 14,870,643 | | | | 19,793 | |
Options and swaptions written | | | — | | | | (86,093 | ) | | | — | | | | — | | | | (1,687,141 | ) | | | (10,472) | |
Swaps | | | (31) | | | | — | | | | — | | | | (36) | | | | (103,604 | ) | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | 1,443,076 | | | | — | | | | — | | | | 40,012,385 | | | | 268,341 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (52,204) | | | $ | (551,785 | ) | | $ | — | | | $ | (94,111) | | | $ | 160,169,668 | | | $ | 93,551 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| |
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | | | | |
| | |
| | | UNCONSTRAINED
BOND FUND | | | | |
Credit contracts: | | | | | | | | |
Swaps | | $ | 123,515 | | | | | |
Interest contracts: | | | | | | | | |
Futures | | | (13,276,926) | | | | | |
Options and swaptions purchased1 | | | 269,779 | | | | | |
Options and swaptions written | | | (124,356) | | | | | |
Swaps | | | (4,782) | | | | | |
Foreign currency exchange contracts: | | | | | | | | |
Forwards | | | 2,148,621 | | | | | |
| | | | | | | | |
| | | | | | | | |
Total | | $ | (10,864,149) | | | | | |
| | | | | | | | |
1Options and swaptions purchased are included in net realized gain (loss) from investments — unaffiliated.
| | | | | | | | | | | | | | | | | | | | | | | | |
|
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 | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,769 | | | $ | 3,798 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | (1,882,570) | | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | | (7,104) | | | | 8,295 | | | | — | | | | 38,185 | | | | 42,395 | |
Options and swaptions purchased1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | 117,254 | |
Options and swaptions written | | | — | | | | — | | | | — | | | | — | | | | — | | | | (49,366) | |
Swaps | | | — | | | | 1,960 | | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (20,568) | | | | — | | | | 24,060 | | | | (381,094) | | | | 62,928 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (1,903,138) | | | $ | (5,144) | | | $ | 32,355 | | | $ | (381,094) | | | $ | 105,882 | | | $ | 114,081 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2021 / 300
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
|
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF
OPERATIONS | |
| | | | | | |
| | | INVESTMENT
GRADE
CREDIT FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | 13,372 | | | $ | — | | | $ | — | | | $ | 49,804 | | | $ | 106 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 9,389 | | | | 967,707 | | | | (25 | ) | | | (49,970 | ) | | | (6,408,384 | ) | | | 129,609 | |
Options and swaptions purchased1 | | | — | | | | 381,606 | | | | — | | | | — | | | | (1,218,431 | ) | | | 36,024 | |
Options and swaptions written | | | — | | | | (158,296 | ) | | | — | | | | — | | | | 2,904,558 | | | | (15,452 | ) |
Swaps | | | (578 | ) | | | — | | | | — | | | | (1,664 | ) | | | (5,875,475 | ) | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | (1,422,086 | ) | | | — | | | | — | | | | (38,955,574 | ) | | | (264,437 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 8,811 | | | $ | (217,697 | ) | | $ | (25 | ) | | $ | (51,634 | ) | | $ | (49,503,502 | ) | | $ | (114,150 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| |
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF
OPERATIONS | | | | |
| | |
| | | UNCONSTRAINED
BOND FUND | | | | |
Credit contracts: | | | | | | | | |
Swaps | | $ | 18,379 | | | | | |
Interest contracts: | | | | | | | | |
Futures | | | (2,517,181) | | | | | |
Options and swaptions purchased1 | | | 553,974 | | | | | |
Options and swaptions written | | | (233,051) | | | | | |
Swaps | | | (206,457) | | | | | |
Foreign currency exchange contracts: | | | | | | | | |
Forwards | | | (2,056,034) | | | | | |
| | | | | | | | |
| | | | | | | | |
Total | | $ | (4,440,370) | | | | | |
| | | | | | | | |
1Options purchased are included in net change in unrealized appreciation (depreciation) on investments.
301 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | | | | |
| | | ALPHATRAK
500 FUND | | | CORPORATE
BOND
FUND | | | FLEXIBLE
INCOME
FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD
BOND FUND | | | INTERMEDIATE
BOND FUND | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 170 | | | | 7 | | | | 212 | | | | — | | | | 223 | | | | 318 | |
Average number of contracts sold | | | — | | | | 6 | | | | 129 | | | | — | | | | 89 | | | | 55 | |
Average value of contracts purchased | | $ | 817,167 | | | $ | 4,037 | | | $ | 119,710 | | | $ | — | | | $ | 85,420 | | | $ | 114,697 | |
Average value of contracts sold | | $ | — | | | $ | 18,166 | | | $ | 395,939 | | | $ | — | | | $ | 128,795 | | | $ | 217,377 | |
Purchased options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 83 | |
Average notional value | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,562 | |
Written options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | — | | | | — | | | | — | | | | — | | | | 165 | |
Average notional value | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 19,627 | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - sell protection | | | — | | | | — | | | | — | | | | — | | | | 1 | | | | 1 | |
Average notional value - sell protection | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,492,500 | | | $ | 1,383,750 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | — | |
Average number of contracts - receives fixed rate | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | — | |
Average notional - pays fixed rate | | $ | — | | | $ | 283 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Average notional - receives fixed rate | | $ | — | | | $ | 24 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | 1 | | | | — | | | | 3 | | | | 2 | | | | 2 | | | | — | |
Average value of contracts sold | | $ | 6,521 | | | $ | — | | | $ | 13,474 | | | $ | 126,901 | | | $ | 29,673 | | | $ | — | |
Semi-Annual Report September 2021 / 302
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
|
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | | | | |
| | | INVESTMENT
GRADE
CREDIT FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 27 | | | | 192 | | | | 1 | | | | 5 | | | | 5,610 | | | | — | |
Average number of contracts sold | | | 15 | | | | 1,134 | | | | — | | | | 18 | | | | 4,025 | | | | 193 | |
Average value of contracts purchased | | $ | 16,341 | | | $ | 24,410 | | | $ | 6 | | | $ | 1,757 | | | $ | 26,436,258 | | | $ | — | |
Average value of contracts sold | | $ | 47,608 | | | $ | 1,670,558 | | | $ | — | | | $ | 68,329 | | | $ | 5,004,190 | | | $ | 111,415 | |
Purchased options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | 273 | | | | — | | | | — | | | | 32,463 | | | | 25 | |
Average notional value | | $ | — | | | $ | 107,804 | | | $ | — | | | $ | — | | | $ | 15,438,774 | | | $ | 9,744 | |
Written options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | 545 | | | | — | | | | — | | | | 56,175 | | | | 50 | |
Average notional value | | $ | — | | | $ | 200,081 | | | $ | — | | | $ | — | | | $ | 13,810,805 | | | $ | 5,825 | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - sell protection | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | 1 | |
Average notional value - sell protection | | $ | — | | | $ | 4,242,500 | | | $ | — | | | $ | — | | | $ | — | | | $ | 292,500 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | 1 | | | | — | | | | — | | | | 1 | | | | 1 | | | | — | |
Average number of contracts - receives fixed rate | | | 1 | | | | — | | | | — | | | | 1 | | | | 1 | | | | — | |
Average notional - pays fixed rate | | $ | 514 | | | $ | — | | | $ | — | | | $ | 578 | | | $ | 1,706,784 | | | $ | — | |
Average notional - receives fixed rate | | $ | 43 | | | $ | — | | | $ | — | | | $ | 49 | | | $ | 143,594 | | | $ | — | |
Purchased swaptions: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | 1 | | | | — | | | | — | | | | 2 | | | | — | |
Average notional value | | $ | — | | | $ | 939,000 | | | $ | — | | | $ | — | | | $ | 8,172,180 | | | $ | — | |
Written swaptions: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | — | |
Average notional value | | $ | — | | | $ | 540,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | — | | | | 1 | | | | — | | | | 1 | | | | 4 | | | | 1 | |
Average value of contracts sold | | $ | — | | | $ | 609,730 | | | $ | — | | | $ | 985 | | | $ | 14,351,866 | | | $ | 106,174 | |
303 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | |
|
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| |
| | | UNCONSTRAINED
BOND FUND | |
Financial futures contracts: | | | | |
Average number of contracts purchased | | | 2,811 | |
Average number of contracts sold | | | 2,495 | |
Average value of contracts purchased | | $ | 1,855,380 | |
Average value of contracts sold | | $ | 8,645,607 | |
Purchased options: | | | | |
Average number of contracts | | | 390 | |
Average notional value | | $ | 154,007 | |
Written options: | | | | |
Average number of contracts | | | 780 | |
Average notional value | | $ | 92,862 | |
Credit default swaps: | | | | |
Average number of contracts - sell protection | | | 1 | |
Average notional value - sell protection | | $ | 10,090,000 | |
Interest rate swaps: | | | | |
Average number of contracts - pays fixed rate | | | 1 | |
Average number of contracts - receives fixed rate | | | 1 | |
Average notional - pays fixed rate | | $ | 78,278 | |
Average notional - receives fixed rate | | $ | 6,594 | |
Foreign currency exchange contracts: | | | | |
Average number of contracts sold | | | 647,724 | |
Average value of contracts sold | | $ | 5 | |
1Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 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.
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
Semi-Annual Report September 2021 / 304
Notes to Financial Statements (Continued)
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 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 September 30, 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 | | | $ | 56,207 | | | | $ | — | | | | $ | (18,843) | | | | $ | 37,364 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 56,207 | | | | $ | — | | | | $ | (18,843) | | | | $ | 37,364 | |
| | | | | | | | | | | | | | | | | | | | |
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.
305 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
The following table presents Flexible Income Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | FLEXIBLE INCOME FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 18,843 | | | | $ | — | | | | $ | (18,843) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 18,843 | | | | $ | — | | | | $ | (18,843) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents Floating Rate Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | FLOATING RATE INCOME FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 54,624 | | | | $ | — | | | | $ | (18,494) | | | | $ | 36,130 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 54,624 | | | | $ | — | | | | $ | (18,494) | | | | $ | 36,130 | |
| | | | | | | | | | | | | | | | | | | | |
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 liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | FLOATING RATE INCOME FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 18,494 | | | | $ | — | | | | $ | (18,494) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 18,494 | | | | $ | — | | | | $ | (18,494) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
Semi-Annual Report September 2021 / 306
Notes to Financial Statements (Continued)
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 September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | HIGH YIELD 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 |
Citigroup Global Markets Inc. | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 115,984 | | | | $ | — | | | | $ | — | | | | $ | 115,984 | |
| | | | | | | | | | | | | | | | | | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 37,016 | | | | $ | — | | | | $ | — | | | | $ | 37,016 | |
| | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 95,156 | | | | $ | — | | | | $ | (32,228) | | | | $ | 62,928 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 248,156 | | | | $ | — | | | | $ | (32,228) | | | | $ | 215,928 | |
| | | | | | | | | | | | | | | | | | | | |
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 liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | HIGH YIELD FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 32,228 | | | | $ | — | | | | $ | (32,228) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 32,228 | | | | $ | — | | | | $ | (32,228) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents Intermediate Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | INTERMEDIATE BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Citigroup Global Markets Inc. | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 120,951 | | | | $ | — | | | | $ | — | | | | $ | 120,951 | |
| | | | | | | | | | | | | | | | | | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 10,702 | | | | $ | — | | | | $ | — | | | | $ | 10,702 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 131,653 | | | | $ | — | | | | $ | — | | | | $ | 131,653 | |
| | | | | | | | | | | | | | | | | | | | |
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.
307 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | LOW DURATION BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Citigroup Global Markets Inc. | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 391,191 | | | | $ | — | | | | $ | — | | | | $ | 391,191 | |
| | | | | | | | | | | | | | | | | | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 31,735 | | | | $ | (31,735) | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 1,713 | | | | $ | (873) | | | | $ | (840) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 424,639 | | | | $ | (32,608) | | | | $ | (840) | | | | $ | 391,191 | |
| | | | | | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | LOW DURATION BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 840 | | | | $ | — | | | | | $ (840) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 840 | | | | $ | — | | | | | $ (840) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents Total Return Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | TOTAL RETURN BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Barclays Bank PLC | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 2,653,734 | | | | $ | (401,893) | | | | $ | — | | | | $ | 2,251,841 | |
| | | | | | | | | | | | | | | | | | | | |
Citigroup Global Markets Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 1,522,344 | | | | $ | — | | | | $ | — | | | | $ | 1,522,344 | |
| | | | | | | | | | | | | | | | | | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 1,730,710 | | | | $ | (1,730,710) | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 5,288,986 | | | | $ | (1,807,860) | | | | $ | (1,963,955) | | | | $ | 1,517,171 | |
Swaptions | | | | 8,168,550 | | | | | (2,792,140) | | | | | — | | | | | 5,376,410 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | $ | 13,457,536 | | | | $ | (4,600,000) | | | | $ | (1,963,955) | | | | $ | 6,893,581 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 19,364,324 | | | | $ | (6,732,603) | | | | $ | (1,963,955) | | | | $ | 10,667,766 | |
| | | | | | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
Semi-Annual Report September 2021 / 308
Notes to Financial Statements (Continued)
The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | TOTAL RETURN BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 1,963,955 | | | | $ | — | | | | $ | (1,963,955) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,963,955 | | | | $ | — | | | | $ | (1,963,955) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The following table presents 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 September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | ULTRA SHORT BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 3,614 | | | | $ | — | | | | $ | — | | | | $ | 3,614 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 3,614 | | | | $ | — | | | | $ | — | | | | $ | 3,614 | |
| | | | | | | | | | | | | | | | | | | | |
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 September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | UNCONSTRAINED BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | | $ | 636,566 | | | | $ | (636,566 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 145,848 | | | | $ | — | | | | $ | (49,725) | | | | $ | 96,123 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 782,414 | | | | $ | (636,566) | | | | $ | (49,725) | | | | $ | 96,123 | |
| | | | | | | | | | | | | | | | | | | | |
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.
309 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
The following table presents Unconstrained Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| |
| | | UNCONSTRAINED BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 49,725 | | | | $ | — | | | | $ | (49,725) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 49,725 | | | | $ | — | | | | $ | (49,725) | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable to the counterparty in the event of default.
The 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 the Federal National Mortgage Association (“FNMA”) and the Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by the 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
Semi-Annual Report September 2021 / 310
Notes to Financial Statements (Continued)
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 six months ended September 30, 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, Opportunistic High Income 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 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 September 30, 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 six months ended September 30, 2021, the Funds did not receive any in-kind payments with respect to PIK securities.
311 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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 September 30, 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 repurchase 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 Total Return Bond Fund for the six months ended September 30, 2021, was $638,028,138 and (0.36)%.
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 September 30, 2021, the Funds did not hold any reverse repurchase agreements.
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.
Semi-Annual Report September 2021 / 312
Notes to Financial Statements (Continued)
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 their investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.
The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of September 30, 2021, the Low Duration Bond Fund held written options.
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 of 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).
313 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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. 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. As of September 30, 2021, there were no credit default swaps outstanding in the Funds.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve, or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 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
Semi-Annual Report September 2021 / 314
Notes to Financial Statements (Continued)
derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR-based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps, is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 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.
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.
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.
315 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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.
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 declared in March 2020 that the COVID-19 outbreak officially 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, imposed and in some cases 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.
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. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term
Semi-Annual Report September 2021 / 316
Notes to Financial Statements (Continued)
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 that may arise in the future could have a significant adverse impact on our investments and result in significant investment losses.
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 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. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. However, although regulators have encouraged the development and adoption of alternative rates such as the Secured Overnight Financing Rate (“SOFR”), 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 six months ended September 30, 2021, excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
| | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 17,554,415 | | | $ | 4,626,207 | |
Corporate Bond Fund | | | 4,557,179 | | | | 2,668,403 | |
Flexible Income Fund | | | 45,783,542 | | | | 34,873,556 | |
Floating Rate Income Fund | | | 139,994,814 | | | | 98,448,897 | |
High Yield Bond Fund | | | 362,685,967 | | | | 351,494,610 | |
Intermediate Bond Fund | | | 95,676,933 | | | | 89,584,570 | |
Investment Grade Credit Fund | | | 13,859,058 | | | | 1,900,576 | |
Low Duration Bond Fund | | | 609,524,472 | | | | 395,255,778 | |
Opportunistic High Income Credit Fund | | | 3,197,517 | | | | 626,150 | |
Strategic Income Fund | | | 6,903,108 | | | | 1,940,549 | |
Total Return Bond Fund | | | 9,755,437,871 | | | | 7,433,840,195 | |
Ultra Short Bond Fund | | | 26,169,576 | | | | 30,318,856 | |
Unconstrained Bond Fund | | | 876,628,709 | | | | 606,191,677 | |
317 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
Investment transactions in U.S. government securities for the six months ended September 30, 2021 were as follows:
| | | | | | | | |
| | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 6,964,048 | | | $ | 7,416,813 | |
Corporate Bond Fund | | | 7,379,072 | | | | 7,758,792 | |
Flexible Income Fund | | | 162,198,669 | | | | 163,687,656 | |
Intermediate Bond Fund | | | 1,491,327,833 | | | | 1,486,236,833 | |
Investment Grade Credit Fund | | | 28,503,371 | | | | 22,822,381 | |
Low Duration Bond Fund | | | 3,544,741,592 | | | | 3,249,702,489 | |
Opportunistic High Income Credit Fund | | | 84,884 | | | | — | |
Strategic Income Fund | | | 5,222,743 | | | | 2,934,516 | |
Total Return Bond Fund | | | 208,471,681,509 | | | | 212,609,146,308 | |
Ultra Short Bond Fund | | | 231,169,764 | | | | 235,627,141 | |
Unconstrained Bond Fund | | | 2,570,480,763 | | | | 2,636,782,303 | |
There were no purchases or sales of securities from affiliated investment accounts for the six months ended September 30, 2021. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.
Investment transactions in the shares of affiliated issuers for the six months ended September 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | VALUE AT
BEGINNING
OF YEAR | | | PURCHASES | | | SALES | | | DIVIDEND/
INTEREST | | | VALUE AT
END OF PERIOD | | | REALIZED GAIN
(LOSS) | | | CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| | High Yield Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Homer City Holdings LLC | | | $— | | | | $— | | | | $— | | | | $— | | | | $— | | | | $— | | | | $— | |
| | | | | | | | |
| | Total Return Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Homer City Holdings LLC | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| 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 Opportunistic High Income Credit 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%, 0.50%, 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 six months ended September 30, 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 six months ended September 30, 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
Semi-Annual Report September 2021 / 318
Notes to Financial Statements (Continued)
accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.
Investment advisory fees and related contractual expense limitations for the six months ended September 30, 2021, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| PORTFOLIO | | | | INVESTMENT ADVISORY FEE RATE | | | | CONTRACTUAL EXPENSE LIMITATION1 |
| | | | | | | | | | | | |
| | | | | CLASS M | | CLASS I | | CLASS I-2 | | ADMINI-
STRATIVE
CLASS | | PLAN
CLASS | | | | CLASS M | | CLASS I | | CLASS I-2 | | ADMINI-
STRATIVE
CLASS | | PLAN
CLASS |
| | | | 0.00%- | | | | | | | | | | | | | | | | | | | | |
AlphaTrak 500 Fund | | | | 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 |
Opportunistic High Income Credit Fund2 | | | | 0.50% | | 0.50% | | N/A | | N/A | | N/A | | | | 0.85% | | 0.60% | | N/A | | N/A | | N/A |
| | | | 0.50%- | | 0.50%- | | | | | | | | | | | | | | | | | | |
Strategic Income Fund | | | | 1.90% | | 1.90% | | N/A | | N/A | | N/A | | | | 1.04% | | 0.80% | | 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, 2023, unless approved by the Board.
2The Opportunistic High Income Credit Fund commenced operations on August 2, 2021.
At September 30, 2021, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| PORTFOLIO | | 2022 | | | | | | 2023 | | | | | | 2024 | | | | | | 2025 | | | | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AlphaTrak 500 Fund | | $ | 40,586 | | | | | | | $ | 48,578 | | | | | | | $ | 122,267 | | | | | | | $ | — | | | | | | | $ | 211,431 | |
Corporate Bond Fund | | | 138,411 | | | | | | | | 179,693 | | | | | | | | 257,070 | | | | | | | | 131,248 | | | | | | | | 706,422 | |
Flexible Income Fund | | | 84,349 | | | | | | | | 195,102 | | | | | | | | 309,577 | | | | | | | | 201,831 | | | | | | | | 790,859 | |
Floating Rate Income Fund | | | 20,804 | | | | | | | | 9,650 | | | | | | | | 8,677 | | | | | | | | 6,045 | | | | | | | | 45,176 | |
High Yield Bond Fund | | | 201,390 | | | | | | | | 195,809 | | | | | | | | 158,414 | | | | | | | | 74,738 | | | | | | | | 630,351 | |
Intermediate Bond Fund | | | — | | | | | | | | 5,068 | | | | | | | | 4,895 | | | | | | | | 659 | | | | | | | | 10,622 | |
Investment Grade Credit Fund | | | 142,645 | | | | | | | | 191,069 | | | | | | | | 259,548 | | | | | | | | 127,028 | | | | | | | | 720,290 | |
Opportunistic High Income Credit Fund | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 30,730 | | | | | | | | 30,730 | |
Strategic Income Fund | | | — | | | | | | | | 40,102 | | | | | | | | 58,687 | | | | | | | | 303,971 | | | | | | | | 402,760 | |
Ultra Short Bond Fund | | | 247,985 | | | | | | | | 244,911 | | | | | | | | 310,177 | | | | | | | | 174,383 | | | | | | | | 977,456 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 876,170 | | | | | | | $ | 1,109,982 | | | | | | | $ | 1,489,312 | | | | | | | $ | 1,050,633 | | | | | | | $ | 4,526,097 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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. The annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. 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.
319 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| 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 Opportunistic High Income Credit 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 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, 0.25% for the Opportunistic High Income Credit Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the six months ended September 30, 2021. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2023, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.
The Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Shareholder Servicing Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class, but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.
| 8. | COMMITMENTS AND CONTINGENCIES |
The Flexible Income Fund, Floating Rate Income Fund, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund, Opportunistic High Income Credit Fund, Total Return Bond Fund and Unconstrained Bond Fund had the following unfunded commitments and unrealized gain (loss) by investment as of September 30, 2021:
| | | | | | | | | | | | |
| | | | |
| FLEXIBLE INCOME FUND | | | | | | | | | | |
| | | |
| UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN (LOSS) | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 201,750 | | | $ | 4,848 | |
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien | | November | | 2027 | | | 46,221 | | | | (414) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 247,971 | | | $ | 4,434 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| FLOATING RATE INCOME FUND | | | | | | | | | | |
| | | |
| UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN (LOSS) | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 779,259 | | | $ | 18,725 | |
Bifm CA Buyer, Inc., Delayed-Draw Term Loan, 1st Lien | | May | | 2026 | | | 101,658 | | | | (383) | |
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien | | November | | 2027 | �� | | 346,658 | | | | (807) | |
Refficiency Holdings LLC, Delayed-Draw Term Loan, 1st Lien | | December | | 2027 | | | 161,542 | | | | 252 | |
TricorBraun Holdings, Inc., Delayed-Draw Term Loan, 1st Lien | | March | | 2028 | | | 180,562 | | | | (770) | |
Convergint Technologies, Delayed-Draw Term Loan, 1st Lien | | March | | 2028 | | | 6,654 | | | | 31 | |
Dessert Holdings, Inc., Delayed-Draw Term Loan | | June | | 2028 | | | 315,854 | | | | 65 | |
Trident TPI Holdings, Inc., Delayed-Draw Term Loan, 1st Lien | | September | | 2028 | | | 124,586 | | | | 362 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 2,016,773 | | | $ | 17,475 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| HIGH YIELD BOND FUND | | | | | | | | | | |
| | | |
| UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 1,294,562 | | | $ | 31,107 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 1,294,562 | | | $ | 31,107 | |
| | | | | | | | | | | | |
Semi-Annual Report September 2021 / 320
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
| | | |
INTERMEDIATE BOND FUND
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 96,672 | | | $ | 2,323 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 96,672 | | | $ | 2,323 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
LOW DURATION BOND FUND
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 310,264 | | | $ | 7,455 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 310,264 | | | $ | 7,455 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
OPPORTUNISTIC HIGH INCOME CREDIT FUND
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 10,087 | | | $ | 242 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 10,087 | | | $ | 242 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
TOTAL RETURN BOND FUND
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 2,202,571 | | | $ | 52,926 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 2,202,571 | | | $ | 52,926 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
UNCONSTRAINED BOND FUND
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | | UNREALIZED GAIN | |
Intelsat Jackson Holdings SA, Delayed-Draw Term Loan, 1st Lien | | July | | 2022 | | $ | 445,940 | | | $ | 10,716 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 445,940 | | | $ | 10,716 | |
| | | | | | | | | | | | |
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 | |
| | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 2,773,846 | | | | | | | | 3,268,505 | |
| | | | | | | | | | | | |
Shares sold | | | 684,765 | | | | | | | | 696,121 | |
Shares issued through reinvestment of distributions | | | 17,603 | | | | | | | | 207,881 | |
Shares redeemed | | | (306,879) | | | | | | | | (1,398,661) | |
| | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 395,489 | | | | | | | | (494,659) | |
| | | | | | | | | | | | |
Shares outstanding at end of period | | | 3,169,335 | | | | | | | | 2,773,846 | |
| | | | | | | | | | | | |
321 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | CORPORATE BOND FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 768,830 | | | | | | | | 84,928 | | | | | | | | 444,057 | | | | | | | | 231,865 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 97,385 | | | | | | | | 1,236,850 | | | | | | | | 324,868 | | | | | | | | 302,004 | | | | | |
Shares issued through reinvestment of distributions | | | 6,327 | | | | | | | | 18,359 | | | | | | | | 5,899 | | | | | | | | 13,508 | | | | | |
Shares redeemed | | | (244,871) | | | | | | | | (571,307) | | | | | | | | (36,668) | | | | | | | | (103,320) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (141,159) | | | | | | | | 683,902 | | | | | | | | 294,099 | | | | | | | | 212,192 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 627,671 | | | | | | | | 768,830 | | | | | | | | 738,156 | | | | | | | | 444,057 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | FLEXIBLE INCOME FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 2,147,224 | | | | | | | | 123 | | | | | | | | 16,108,760 | | | | | | | | 909,949 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 1,061,770 | | | | | | | | 3,246,654 | | | | | | | | 2,497,447 | | | | | | | | 15,480,089 | | | | | |
Shares issued through reinvestment of distributions | | | 102,011 | | | | | | | | 64,488 | | | | | | | | 751,567 | | | | | | | | 446,626 | | | | | |
Shares redeemed | | | (883,946) | | | | | | | | (1,164,041) | | | | | | | | (3,305,599) | | | | | | | | (727,903) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 279,835 | | | | | | | | 2,147,101 | | | | | | | | (56,585) | | | | | | | | 15,198,812 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 2,427,059 | | | | | | | | 2,147,224 | | | | | | | | 16,052,175 | | | | | | | | 16,108,761 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | FLOATING RATE INCOME FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 1,387,808 | | | | | | | | 677,246 | | | | | | | | 41,999,130 | | | | | | | | 27,856,410 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 321,318 | | | | | | | | 1,261,859 | | | | | | | | 6,686,969 | | | | | | | | 15,726,159 | | | | | |
Shares issued through reinvestment of distributions | | | 19,335 | | | | | | | | 28,802 | | | | | | | | 612,923 | | | | | | | | 875,259 | | | | | |
Shares redeemed | | | (224,618) | | | | | | | | (580,099) | | | | | | | | (3,436,484) | | | | | | | | (2,458,698) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 116,035 | | | | | | | | 710,562 | | | | | | | | 3,863,408 | | | | | | | | 14,142,720 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 1,503,843 | | | | | | | | 1,387,808 | | | | | | | | 45,862,538 | | | | | | | | 41,999,130 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| |
| | | FLOATING RATE INCOME FUND | |
| | | PLAN CLASS | | | PLAN CLASS | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | PERIOD ENDED
MARCH 31, 2021* | |
| | | | | | | | |
| | |
Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | | 10 | | | | — | |
| | | | | | | | |
Shares sold | | | — | | | | 10 | |
Shares issued through reinvestment of distributions | | | — | | | | — | |
| | | | | | | | |
Net increase in fund shares | | | — | | | | 10 | |
| | | | | | | | |
Shares outstanding at end of period | | | 10 | | | | 10 | |
| | | | | | | | |
* The Plan Class commenced operations on January 29, 2021.
Semi-Annual Report September 2021 / 322
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | HIGH YIELD BOND FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 18,755,387 | | | | | | | | 13,656,919 | | | | | | | | 54,120,573 | | | | | | | | 31,231,832 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 2,383,406 | | | | | | | | 12,682,957 | | | | | | | | 9,546,901 | | | | | | | | 48,545,618 | | | | | |
Shares issued through reinvestment of distributions | | | 308,065 | | | | | | | | 598,528 | | | | | | | �� | 945,392 | | | | | | | | 1,644,258 | | | | | |
Shares redeemed | | | (2,170,596) | | | | | | | | (8,183,017) | | | | | | | | (7,709,209) | | | | | | | | (27,301,135) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 520,875 | | | | | | | | 5,098,468 | | | | | | | | 2,783,084 | | | | | | | | 22,888,7@41 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 19,276,262 | | | | | | | | 18,755,387 | | | | | | | | 56,903,657 | | | | | | | | 54,120,573 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | INTERMEDIATE BOND FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 3,395,400 | | | | | | | | 3,177,342 | | | | | | | | 71,377,801 | | | | | | | | 65,097,687 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 367,287 | | | | | | | | 1,297,628 | | | | | | | | 7,689,526 | | | | | | | | 21,529,757 | | | | | |
Shares issued through reinvestment of distributions | | | 15,809 | | | | | | | | 126,637 | | | | | | | | 432,222 | | | | | | | | 2,595,867 | | | | | |
Shares redeemed | | | (580,643) | | | | | | | | (1,206,207) | | | | | | | | (5,396,127) | | | | | | | | (17,845,510) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (197,547) | | | | | | | | 218,058 | | | | | | | | 2,725,621 | | | | | | | | 6,280,114 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 3,197,853 | | | | | | | | 3,395,400 | | | | | | | | 74,103,422 | | | | | | | | 71,377,801 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | INVESTMENT GRADE CREDIT FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 219,784 | | | | | | | | 86,723 | | | | | | | | 1,044,749 | | | | | | | | 666,665 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 390,849 | | | | | | | | 432,102 | | | | | | | | 1,560,601 | | | | | | | | 463,146 | | | | | |
Shares issued through reinvestment of distributions | | | 5,873 | | | | | | | | 14,422 | | | | | | | | 36,232 | | | | | | | | 76,716 | | | | | |
Shares redeemed | | | (123,347) | | | | | | | | (313,463) | | | | | | | | (135,648) | | | | | | | | (161,778) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 273,375 | | | | | | | | 133,061 | | | | | | | | 1,461,185 | | | | | | | | 378,084 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 493,159 | | | | | | | | 219,784 | | | | | | | | 2,505,934 | | | | | | | | 1,044,749 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | LOW DURATION BOND FUND | | | | |
| | | | | | | | |
| | | CLASS M | | | | | | CLASS M | | | | | | CLASS I | | | | | | CLASS I | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | | | | YEAR ENDED
MARCH 31, 2021 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 50,165,234 | | | | | | | | 51,991,467 | | | | | | | | 229,018,746 | | | | | | | | 168,341,807 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 4,091,560 | | | | | | | | 13,288,674 | | | | | | | | 58,627,177 | | | | | | | | 105,146,438 | | | | | |
Shares issued through reinvestment of distributions | | | 193,379 | | | | | | | | 574,080 | | | | | | | | 1,123,914 | | | | | | | | 2,570,754 | | | | | |
Shares redeemed | | | (2,795,047) | | | | | | | | (15,688,987) | | | | | | | | (42,494,943) | | | | | | | | (47,040,253) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 1,489,892 | | | | | | | | (1,826,233) | | | | | | | | 17,256,148 | | | | | | | | 60,676,939 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 51,655,126 | | | | | | | | 50,165,234 | | | | | | | | 246,274,894 | | | | | | | | 229,018,746 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
323 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | |
| |
| | | LOW DURATION BOND FUND | |
| | | ADMINISTRATIVE
CLASS | | | ADMINISTRATIVE
CLASS | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | |
| | |
Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | | 7,678 | | �� | | 8,384 | |
| | | | | | | | |
Shares sold | | | 216,521 | | | | 763 | |
Shares issued through reinvestment of distributions | | | 283 | | | | 60 | |
Shares redeemed | | | (2,383) | | | | (1,529) | |
| | | | | | | | |
Net increase (decrease) in fund shares | | | 214,421 | | | | (706) | |
| | | | | | | | |
Shares outstanding at end of period | | | 222,099 | | | | 7,678 | |
| | | | | | | | |
| | | | | | | | |
| |
| | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND | |
| | |
| | | CLASS M | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2021
(UNAUDITED)* | | | PERIOD ENDED
SEPTEMBER 30,
2021
(UNAUDITED)* | |
| | | | | | | | |
| | |
Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | | — | | | | — | |
| | | | | | | | |
Shares sold | | | 10 | | | | 303,418 | |
Shares issued through reinvestment of distributions | | | — | | | | 2,714 | |
| | | | | | | | |
Net increase in fund shares | | | 10 | | | | 306,132 | |
| | | | | | | | |
Shares outstanding at end of period | | | 10 | | | | 306,132 | |
| | | | | | | | |
| | |
* The Fund commenced operations on August 2, 2021. | | | | | | | | |
| | | | | | | | | | | | | | | | |
| |
| | | STRATEGIC INCOME FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 1,975,844 | | | | 1,428,333 | | | | 1,251,843 | | | | 6,621,937 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 700,771 | | | | 1,585,527 | | | | 462,833 | | | | 712,954 | |
Shares issued through reinvestment of distributions | | | 87,607 | | | | 99,943 | | | | 54,933 | | | | 202,975 | |
Shares redeemed | | | (316,629) | | | | (1,137,959) | | | | (202,015) | | | | (6,286,023) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 471,749 | | | | 547,511 | | | | 315,751 | | | | (5,370,094) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 2,447,593 | | | | 1,975,844 | | | | 1,567,594 | | | | 1,251,843 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| |
| | | TOTAL RETURN BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 661,139,405 | | | | 807,293,176 | | | | 4,897,035,762 | | | | 4,144,455,446 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 78,479,144 | | | | 246,419,869 | | | | 703,921,270 | | | | 1,648,449,661 | |
Shares issued through reinvestment of distributions | | | 3,355,647 | | | | 50,332,883 | | | | 28,303,121 | | | | 258,093,148 | |
Shares redeemed | | | (95,757,814) | | | | (442,906,523) | | | | (677,345,282) | | | | (1,153,962,493) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (13,923,023) | | | | (146,153,771) | | | | 54,879,109 | | | | 752,580,316 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 647,216,382 | | | | 661,139,405 | | | | 4,951,914,871 | | | | 4,897,035,762 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2021 / 324
Notes to Financial Statements (Continued)
| | | | | | | | |
| |
| | | TOTAL RETURN BOND FUND | |
| | |
| | | CLASS I-2 | | | CLASS I-2 | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | |
| | |
Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | | 10,801,035 | | | | 9 | |
| | | | | | | | |
Shares sold | | | 8,444,540 | | | | 11,338,778 | |
Shares issued through reinvestment of distributions | | | 87,877 | | | | 547,958 | |
Shares redeemed | | | (1,309,306) | | | | (1,085,710) | |
| | | | | | | | |
Net increase in fund shares | | | 7,223,111 | | | | 10,801,026 | |
| | | | | | | | |
Shares outstanding at end of period | | | 18,024,146 | | | | 10,801,035 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | |
| |
| | | TOTAL RETURN BOND FUND | |
| | | ADMINISTRATIVE
CLASS | | | ADMINISTRATIVE
CLASS | | | PLAN CLASS | | | PLAN CLASS | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 192,427,211 | | | | 156,243,805 | | | | 2,425,345,101 | | | | 2,277,531,666 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 16,840,671 | | | | 59,236,353 | | | | 258,586,425 | | | | 725,752,496 | |
Shares issued through reinvestment of distributions | | | 843,628 | | | | 10,248,450 | | | | 14,855,203 | | | | 145,266,719 | |
Shares redeemed | | | (22,761,459) | | | | (33,301,397) | | | | (347,943,409) | | | | (723,205,780) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (5,077,160) | | | | 36,183,406 | | | | (74,501,781) | | | | 147,813,435 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 187,350,051 | | | | 192,427,211 | | | | 2,350,843,320 | | | | 2,425,345,101 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| |
| | | ULTRA SHORT BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 14,559,872 | | | | 6,709,806 | | | | 42,554,510 | | | | 18,036,590 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 2,880,111 | | | | 21,914,311 | | | | 10,400,014 | | | | 41,150,119 | |
Shares issued through reinvestment of distributions | | | 33,294 | | | | 61,610 | | | | 146,746 | | | | 255,902 | |
Shares redeemed | | | (4,620,959) | | | | (14,125,855) | | | | (9,173,352) | | | | (16,888,101) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (1,707,554) | | | | 7,850,066 | | | | 1,373,408 | | | | 24,517,920 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 12,852,318 | | | | 14,559,872 | | | | 43,927,918 | | | | 42,554,510 | |
| | | | | | | | | | | | | | | | |
325 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 21,607,830 | | | | 24,012,697 | | | | 273,766,820 | | | | 248,328,242 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 1,870,009 | | | | 4,522,456 | | | | 60,337,386 | | | | 96,605,193 | |
Shares issued through reinvestment of distributions | | | 244,075 | | | | 693,758 | | | | 2,966,047 | | | | 7,137,466 | |
Shares redeemed | | | (1,977,775) | | | | (7,621,081) | | | | (26,663,082) | | | | (78,304,081) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 136,309 | | | | (2,404,867) | | | | 36,640,351 | | | | 25,438,578 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 21,744,139 | | | | 21,607,830 | | | | 310,407,171 | | | | 273,766,820 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | UNCONSTRAINED BOND FUND | |
| | | PLAN CLASS | | | PLAN CLASS | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2021
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2021 | |
| | | | | | | | |
| | |
Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | | 5,342,862 | | | | 8 | |
| | | | | | | | |
Shares sold | | | 8,760,388 | | | | 10,304,063 | |
Shares issued through reinvestment of distributions | | | 123,647 | | | | 230,276 | |
Shares redeemed | | | (3,971,537) | | | | (5,191,485) | |
| | | | | | | | |
Net increase in fund shares | | | 4,912,498 | | | | 5,342,854 | |
| | | | | | | | |
Shares outstanding at end of period | | | 10,255,360 | | | | 5,342,862 | |
| | | | | | | | |
| 10. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At September 30, 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. |
Semi-Annual Report September 2021 / 326
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 |
| |
| OPPORTUNISTIC
HIGH INCOME
CREDIT FUND |
| |
| STRATEGIC
INCOME
FUND |
| |
| TOTAL
RETURN
BOND FUND |
| |
| ULTRA
SHORT
BOND
FUND |
|
Undistributed ordinary income (inclusive of short-term gains) | | $ | 23,540 | | | $ | 1,619,990 | | | $ | — | | | $ | 557,772 | | | $ | — | | | $ | 359,317 | |
Undistributed long-term gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Other temporary differences | | | — | | | | (265,144) | | | | — | | | | (10,104) | | | | (11,493,390) | | | | (8,287) | |
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) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total accumulated earnings (losses) | | $ | (404,207) | | | $ | (25,819,472) | | | $ | — | | | $ | (4,176,767) | | | $ | (271,920,244) | | | $ | (5,389,858) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | UNCONSTRAINED
BOND FUND | |
| |
Undistributed ordinary income (inclusive of short-term gains) | | $ | 29,892,218 | |
Undistributed long-term gains | | | 20,305,457 | |
Other temporary differences | | | (1,536,022) | |
Accumulated capital loss carryforwards and post-October losses | | | — | |
Net unrealized appreciation (depreciation) | | | (43,399,701) | |
| | | | |
| |
Total accumulated earnings (losses) | | $ | 5,261,952 | |
| | | | |
327 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
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 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
| | | 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 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2021 / 328
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | 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 | |
| | | | | | | | | | | | | | | | |
Tax Cost
As of September 30, 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 | | $ | 42,910,728 | | | $ | 14,551,419 | | | $ | 204,545,426 | | | $ | 484,031,857 | | | $ | 811,098,801 | | | $ | 854,093,651 | |
| | | | | | |
Gross unrealized appreciation | | | 1,353,134 | | | | 261,111 | | | | 2,554,281 | | | | 5,194,412 | | | | 22,206,480 | | | | 11,282,999 | |
Gross unrealized (depreciation) | | | (694,756) | | | | (265,799) | | | | (9,148,607) | | | | (2,430,688) | | | | (34,184,043) | | | | (6,092,846) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net unrealized appreciation (depreciation) | | $ | 658,378 | | | $ | (4,688) | | | $ | (6,594,326) | | | $ | 2,763,724 | | | $ | (11,977,563) | | | $ | 5,190,153 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| INVESTMENT
GRADE
CREDIT
FUND |
| |
| LOW
DURATION
BOND FUND |
| |
| OPPORTUNISTIC
HIGH INCOME
CREDIT FUND |
| |
| STRATEGIC
INCOME
FUND |
| |
| TOTAL RETURN
BOND FUND |
| |
| ULTRA
SHORT
BOND FUND |
|
| | | | | | |
Tax Cost | | $ | 29,957,862 | | | $ | 3,111,842,544 | | | $ | 3,366,447 | | | $ | 35,081,226 | | | $ | 106,652,033,331 | | | $ | 258,669,327 | |
| | | | | | |
Gross unrealized appreciation | | | 378,416 | | | | 21,551,926 | | | | 68,316 | | | | 873,156 | | | | 1,666,164,085 | | | | 906,421 | |
Gross unrealized (depreciation) | | | (908,833) | | | | (18,279,265) | | | | (41,246) | | | | (5,177,482) | | | | (824,039,717) | | | | (928,033) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net unrealized appreciation (depreciation) | | $ | (530,417) | | | $ | 3,272,661 | | | $ | 27,070 | | | $ | (4,304,326) | | | $ | 842,124,368 | | | $ | (21,612) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | UNCONSTRAINED
BOND FUND | |
| |
Tax Cost | | $ | 4,497,613,280 | |
| |
Gross unrealized appreciation | | | 88,577,087 | |
Gross unrealized (depreciation) | | | (131,187,795) | |
| | | | |
| |
Net unrealized appreciation (depreciation) | | $ | (42,610,708) | |
| | | | |
| 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, 2022. 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 six months ended September 30, 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.
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.
329 / Semi-Annual Report September 2021
Notes to Financial Statements (Continued)
| 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 provide 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.
Semi-Annual Report September 2021 / 330
Approval of Investment Management Agreement by Trustees (Unaudited)
The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated February 6, 2013, as amended (the “Agreement”), between the Trust, on behalf of each Fund, and the Adviser. The Agreement was approved for a two-year initial term by the shareholders of each Fund then existing at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain Funds. The Agreement was most recently amended on July 29, 2021 for the purpose of adding the Metropolitan West ESG Securitized Fund (the “ESG Securitized Fund”) and the Metropolitan West Opportunistic High Income Credit Fund (the “Opportunistic High Income Credit Fund”). Following the Agreement’s initial two-year term with respect to each Fund, the Agreement continues in effect from year-to-year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Trustees of the Trust (the “Board”), and, in either event, by a majority of the Trustees who are not “interested persons” of the Trust, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Investment Company Act”), (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.
On September 20, 2021, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2022 through February 5, 2023 with respect to each Fund, other than the ESG Securitized Fund and the Opportunistic High Income Credit Fund, for which the Agreement remains in the initial two-year term. The Board met by videoconference to approve that renewal, notwithstanding the in-person approval requirement that normally applies under the Investment Company Act, as permitted by relief provided by the Securities and Exchange Commission in light of the COVID-19 pandemic. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees also met by telephone in a working session on August 24, 2021 to hear presentations by representatives of the Adviser, to ask related questions, to review and discuss materials provided by the Adviser for their consideration, and to meet separately with their independent legal counsel. On September 20, 2021 they also met separately with their independent legal counsel to review and discuss supplemental information that had been requested on their behalf by their independent legal counsel and presented by the Adviser. The information, material facts, and conclusions that formed the basis for the Independent Trustees’ recommendation and the Board’s subsequent approval are described below.
Materials reviewed — During the course of each year, the Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on the Adviser’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. The information in the Adviser’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Trustees also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to peer groups of mutual funds selected by Broadridge. After reviewing this information, the Trustees requested additional information from the Adviser, which the Adviser provided and the Trustees considered.
Review process — The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. The Independent Trustees were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Trustees also discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Trustees did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and Independent Trustees.
| 2. | Nature, extent, and quality of services provided by the Adviser |
The Board and the Independent Trustees considered the depth and quality of the Adviser’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Adviser; and the ability of its organizational structure to address the growth in assets over the past several years. The Board and the Independent Trustees considered the ability of the Adviser to attract and retain well-qualified investment professionals, noting in particular the Adviser’s hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Trustees also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, and portfolio accounting. They noted the
331 / Semi-Annual Report September 2021
substantial additional resources made available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser. The Board and the Independent Trustees examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Adviser’s institutional and sub-advised clients, as well as the Adviser’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Adviser and the Independent Trustees. The Adviser explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Trustees and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
The Board and the Independent Trustees considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2021. The Board and the Independent Trustees reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Adviser. In reviewing each Fund’s relative performance, the Board and the Independent Trustees took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Trustees noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly over longer periods, which the Board and the Independent Trustees believe are generally the most relevant. The Board and the Independent Trustees indicated their belief that the performance of each Fund for periods where the Fund lagged its respective peer group average remained satisfactory when assessed on a risk-adjusted basis, in part because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns. The Board and the Independent Trustees recognized the Adviser’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Trustees believed that relative performance also should be considered in light of future market conditions expected by the Adviser. The Board and the Independent Trustees noted the Adviser’s view that longer term performance can be more meaningful for active fixed income funds such as the Funds because market cycles in fixed income are generally longer than three years. The Board and the Independent Trustees also considered data showing that the Funds generally experienced less volatility for many periods compared to other funds in the applicable peer groups.
For the Metropolitan West Total Return Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second (Class I)/second (Class M) quintile for the ten-year period, the fourth (Class I)/fourth (Class M) quintile for the five-year period, the second (Class I)/third (Class M) quintile for the three-year period and the fifth (Class I)/fifth (Class M) quintile for the one-year period.
For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the five-year period, the second quintile for the three-year period and the third quintile for the one-year period.
For the Metropolitan West Low Duration Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five- and three-year periods and the fourth quintile for the one-year period.
For the Metropolitan West Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-, five- and three-year periods and the second quintile for the one-year period.
For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period, the second quintile for the five-year period, the first quintile for the three-year period and the fifth quintile for the one-year period.
For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period, the first quintile for the three-year period and the fifth quintile for the one-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.
For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten-year period and the fifth quintile for the five-, three- and one-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance, including that the Fund is generally being managed with lower interest rate risk and credit risk as compared to the peer group funds. The Board also considered that the peer funds can have substantially longer dollar-weighted average maturities than would be permitted for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods. The Board and the Independent further noted the substantially lower volatility for this Fund compared to the funds in the peer group.
Semi-Annual Report September 2021 / 332
For the Flexible Income Fund, the Board and the Independent Trustees noted that the Fund was in the fourth quintile for the one-year period and the first quintile for the period since the Fund’s inception on November 30, 2018. The Board and the Independent Trustees also noted the substantially lower volatility for this Fund compared to the funds in the peer group.
For the Metropolitan West AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the ten- and five-year periods, the second quintile for the three-year period and the first quintile for the one-year period.
For the Metropolitan West Strategic Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five-year period and the second quintile for the three- and one-year periods. The Board and the Independent Trustees also considered the limitations of using the absolute return funds peer group for this Fund because of the significant differences in the strategies used by those funds.
For the Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the one-year period and the period since the Fund’s inception on June 29, 2018.
For the Corporate Bond Fund, the Board and the Independent Trustees noted that the Fund was in the fourth quintile for the one-year period and the first quintile for the period since the Fund’s inception on June 29, 2018.
The Board and the Independent Trustees concluded that the Adviser was implementing each Fund’s investment objective(s) and that the Adviser’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
| 4. | Advisory fees and total expenses |
The Board and the Independent Trustees compared the management fees (which Broadridge defines to include advisory fee and administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense levels of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Trustees by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Trustees observed that each Fund’s management fee was below or near the median of the peer group funds on a current basis, with the exception of the Unconstrained Bond Fund, the Floating Rate Income Fund and the Strategic Income Fund. The Board and the Independent Trustees noted the divergence in the management fees of the Unconstrained Bond Fund and the Floating Rate Income Fund as compared to the medians of their respective peer groups, which the Board did not consider to be unreasonable, with the management fees for the Unconstrained Bond Fund and the Floating Rate Income Fund each approximately 6 basis points higher than those medians. With respect to the Strategic Income Fund, the Board and the Independent Trustees considered the Adviser’s view that the Broadridge peer group did not provide a suitable comparison given the significant differences in the strategies used by the Fund as compared to those used by funds in the peer group. In particular, the Adviser’s view is that the Strategic Income Fund should instead be compared to private absolute return funds, which the Adviser views as that Fund’s closest relevant comparison and to which its fees and expenses compare very favorably. The Board and the Independent Trustees further noted that the AlphaTrak 500 Fund and the Strategic Income Fund at the time of the meeting each employed a fulcrum fee that adjusts upward from a basic fee only if the Fund has favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board and the Independent Trustees noted that such a fee structure is designed so that the advisory fee payable to the Adviser by either Fund would be on the higher end of the fee range only if the Fund had favorable relative net performance and considered the appropriateness of the use of the AlphaTrak 500 Fund’s and the Strategic Income Fund’s respective benchmark indexes for these purposes, which the Adviser views as reasonable. The Board and the Independent Trustees further considered that the Adviser has proposed to change the fulcrum fee structure to a flat fee structure for each of the AlphaTrak 500 Fund and Strategic Income Fund, and that those proposals would be submitted for a vote by shareholders of the applicable Fund. The Board noted that if the new advisory fee structure had been in place for the year ended May 31, 2021, the management fee for each of the Strategic Income Fund and the AlphaTrak 500 Fund would have been well below the respective medians.
In considering the Funds’ total operating expenses, the Board and the Independent Trustees observed that each Fund’s total expenses were below or near the median of the peer group funds on a current basis, with the exception of the AlphaTrak 500 Fund, the Strategic Income Fund and Class M of the Total Return Bond Fund. The Board and the Independent Trustees noted that if the new advisory fee structure had been in place for the year ended May 31, 2021, the total expenses of the AlphaTrak 500 Fund would have been below the median, while the total expenses of the Strategic Income Fund would have been approximately 7 basis points above the median. The Board further noted that the total expenses of Class M shares of the Total Return Bond Fund were approximately 6 basis points above the median and determined that these divergences were not unreasonable. The Board and the Independent Trustees also considered the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may recoup, and has recouped in the past, certain fees and/or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/ or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
333 / Semi-Annual Report September 2021
The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
| 5. | The Adviser’s costs, level of profits, and economies of scale |
The Board and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel compensation costs, which constitute the Adviser’s largest operating cost. The Board and the Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Trustees also reviewed a comparison of the Adviser’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Adviser believed supported its view that the Adviser’s profitability was reasonable. Based on their review, the Board and the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Trustees considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. For example, the largest Fund, the Total Return Bond Fund, is one of the largest mutual funds in its peer group, but its actual management fees and total expenses remain at or below the peer group median. The Board and the Independent Trustees recognized the benefits of the Adviser’s substantial past and ongoing investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees also noted the Adviser’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. The Board and the Independent Trustees further noted the Adviser’s past and current subsidies of the operating expenses of newer and smaller Funds and the Adviser’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Trustees also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Trustees considered the risk borne by the Adviser that the Funds’ net assets and thus the Adviser’s fees might decline and that smaller Funds might not grow to become profitable. The Board and the Independent Trustees concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
The Board and the Independent Trustees also considered other actual and potential financial benefits to the Adviser or its affiliates. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser. They noted that the principal underwriter for the Funds’ shares is affiliated with the Adviser but does not derive a profit from that role. The Board and the Independent Trustees concluded that any potential benefits received or to be derived by the Adviser from its relationships with the Funds are reasonably related to the services provided by the Adviser to the Funds.
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
Semi-Annual Report September 2021 / 334
Metropolitan West Funds
Privacy Policy
The TCW Group, Inc. and Subsidiaries
TCW Investment Management Company LLC
TCW Asset Management Company LLC
Metropolitan West Asset Management, LLC
| | | | | | |
| | TCW Funds Inc. | | TCW Direct Lending LLC | | |
| | TCW Strategic Income Fund, Inc. | | TCW Direct Lending VII LLC | | |
| | Metropolitan West Funds | | TCW Direct Lending VIII LLC | | |
| | Sepulveda Management LLC | | | | |
Effective May 2021
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.
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, TCW Direct Lending VII LLC, and TCW Direct Lending VIII 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.
335 / Semi-Annual Report September 2021
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.
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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. |
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INFORMATION ABOUT FORMER CUSTOMERS |
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
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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, TCW Direct Lending VII LLC, and TCW Direct Lending VIII 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. |
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| | THE TCW GROUP, INC | | SEPULVEDA MANAGEMENT LLC | | |
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| | TCW FUNDS, INC. | | TCW DIRECT LENDING LLC | | |
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| | TCW STRATEGIC INCOME FUND, INC. | | TCW DIRECT LENDING VII LLC | | |
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| | METROPOLITAN WEST FUNDS | | TCW DIRECT LENDING VIII LLC | | |
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
Semi-Annual Report September 2021 / 336
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 their portfolios’ 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 11/2021
(b) Not Applicable.
Not applicable.
| Item 3. | Audit Committee Financial Expert. |
Not applicable.
| Item 4. | Principal Accountant Fees and Services. |
Not applicable.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
| Item 11. | Controls and Procedures. |
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the 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.
There were no written solicitations to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons.
There was no change in the Registrant’s independent public accountant during the period covered by the report.
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 December 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 December 3, 2021
By (Signature and Title)* /s/ Richard Villa
Richard Villa, Treasurer, Principal Financial Officer and Principal
Accounting Officer
(principal financial officer)
Date December 3, 2021
* Print the name and title of each signing officer under his or her signature.
