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)
Kathryn Koch
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: March 31, 2023
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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| | MARCH 31 |
| | 2023 |
| | ANNUAL REPORT |
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METWEST FUNDS | | |
AlphaTrak 500 Fund Corporate Bond Fund ESG Securitized 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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| Metropolitan West Funds | | |
| Table of Contents | | March 31, 2023 |
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2023. While long in the making, it was just twelve months ago which saw the culmination of the Fed’s rate hiking regime, bringing forth now 475 basis points (bps) of tightening of the Federal Funds rate in an attempt to curb the persistence of inflation. With this surge higher in rates, fixed income pricing faced weakness during the period, reflected in the asset levels of the Fund complex, which ended the period at $70.9 billion. These challenges notwithstanding, higher yields do imply an improved return outlook going forward and the attendant volatility brings opportunity for our teams to apply their hallmark discipline to find value for client assets across the Fund complex.
The March 31, 2023 Annual Report covers the following Metropolitan West Funds:
| | |
| Metropolitan West AlphaTrak 500 Fund | | M-Class (MWATX) |
| Metropolitan West Corporate Bond Fund | | M-Class (MWCSX), I-Class (MWCBX) |
| Metropolitan West ESG Securitized Fund | | M-Class (MWERX), I-Class (MWESX) |
| 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
Much as any year brings its share of the unexpected, possibly the biggest surprise of 2022 was the Fed finding a long-lost resolve in the face of a capital markets-wide selloff precipitated by historically high, persistent inflation catalyzed by the pandemic (though seeded decades prior). Although late to take action to combat pricing pressures, the Fed initiated its aggressive tightening measures in March 2022 to eventually get through four consecutive 75 basis point (bps) increases to the Fed Funds rate, followed by an additional 50 bps bump in December, bringing the target range to 4.25% to 4.50% by the end of the year. Pricing weakness was felt across asset classes with broad stock and bond measures dropping more than 15% in 2022, a first for the record books and a nemesis to diversification. After the decidedly grim year for capital markets, 2023 kicked off to considerably more optimism as investors began to foresee an end to, and possible easing from, the Fed’s aggressive tightening since the prior March. Three days into February, however, a blowout jobs number followed a week or so later by stubbornly high inflation prints had Jerome Powell reasserting restrictive monetary policy and the 2-Year U.S. Treasury climbing to its highest level since 2007. Though not all of the year-opening rally was forfeited, it was clear that the path forward was unlikely to be idyllic and volatility-free, with wide speculation that the Fed was on path to “break something.” This was ultimately borne out in March, as the first signs of fallout from 450 basis points of rate hikes came to light: losses from long-dated Treasury holdings and concentrated deposit risk had built up gradually, but ultimately accelerated to result in the second and third largest bank failures in U.S. history (Silicon Valley Bank and Signature Bank). Decisive responses by authorities assuaged worries of a broader crisis and fueled a rebound into the end of March, but not before rate volatility surged, capital market activity stalled and markets shifted focus from systemic banking risks to the longer-term implications on growth, with recast expectations for Fed policy cuts in 2023.
With recessionary fears developing on the Fed tightening, equity returns were broadly negative over the past year, notwithstanding the rally to start 2023, with the S&P 500 Index dropping 7.8% during the period. Meanwhile, fixed income markets followed a similar trajectory (i.e., rallying in 1Q23 on lower Treasury yields), and the Bloomberg U.S. Aggregate Bond Index delivered a year-over-year loss of 4.8%. Credit markets significantly underperformed in 2022 as spiking rates and then worries on growth had investors recalibrating risk premiums. Investment grade corporates fell roughly 5.6% for the twelve-month period, weighed down most notably by financials amid the banking sector effects, first from significant issuance through 2022 and then from the first quarter turmoil. Meanwhile, high yield credit fared slightly better than investment grade on an absolute basis, though still was down 3.4%. Not surprisingly, the lower-quality cohort of CCC-rated issues notably underperformed against the volatile
1 / Annual Report March 2023
backdrop, losing 8.6%, while BB- and B-rated issues held in and were down more modestly, at 1.9% and 3.8%, respectively. Within securitized, agency mortgage-backed securities (MBS) faced headwinds of policy uncertainty, rate volatility and banking sector concerns and weakened to levels similar to where they were in 2008, ultimately delivering an Index-like 4.9% decline and lagging comparable duration Treasuries. Among the other securitized sectors, commercial MBS (CMBS) were off approximately 3.9%, weighed down by non-agency backed collateral. Finally, asset-backed securities (ABS), predominantly floating rate in nature, were one of the top performing fixed income sectors, with a positive performance profile of 0.4%.
The Economy and Market Ahead
It is too early to say if the bank crises experienced in 1Q are contained or harbingers of additional stress to come. However, one thing is clear; the fallout of these institutions revealed the lagged effects of coordinated aggressive rate-hiking regimes. In short, inverted yield curves do not just signal recessions, but also cause them – the option to borrow in the short-term from depositors and lend long has become a losing trade under a steeply inverted yield curve regime. Thus, the result will be an ongoing tightening of financial conditions and a squeezing of credit to the detriment of overleveraged borrowers. Consequently, and as already seen, the unwind of longstanding monetary accommodation is going to be volatile. Notwithstanding this potential for collateral damage in the broader market, central banks globally continue to reiterate their resolve in slowing inflation. Furthermore, while the banking sector turmoil experienced in the first quarter appears contained, at least for now, disruption in the financial system will no doubt leave its mark on the real economy. More specifically, increased conservatism in the sector (i.e., tighter lending standards, especially at smaller banks), alongside increased regulatory oversight, together signal that overall credit conditions will be tighter going forward, thus having a significant impact on credit availability. In short, it is no surprise that the Fed’s aggressive rate hiking regime will have impacts that are “long and variable” in nature and despite the apparent attempt to disentangle macro-prudential tools and financial stability tools, there are likely to be accidents along the way.
Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.
Fund Performance Commentary
The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month-end is available on the Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.
Metropolitan West AlphaTrak 500 Fund
M-Class (MWATX)
For the twelve-month period ending March 31, 2023, the MetWest AlphaTrak 500 Fund (“Fund”) fell 9.77% (net of fees), finishing behind the S&P 500 Index (“Index”) by 204 bps. Underperformance for the period stemmed largely from the Fund’s allocation to residential mortgage-backed securities (MBS) as both agency and non-agency MBS lagged during the year. The sharp rise in U.S. Treasury yields weighed heavily on the agency MBS basis as the accompanying rise in mortgage rates quickly moved a large majority of the MBS Index out of the money, resulting in extended durations that exacerbated downward price movements. Though the sector had strong months during the period (July, November, January), the sustained volatility throughout the year ultimately resulted in negative excess returns and held back Fund performance. Non-agency MBS similarly underperformed as yield spreads widened amid elevated rates and macro volatility, though favorable issue selection among the Fund’s holdings of newer issued, re-securitized “2.0” bonds positively impacted returns and largely offset the sector drag. Rounding out the securitized exposure were positions higher in the capital structure of non-agency CMBS and ABS deals, including senior tranches of single asset, single borrower deals and AAA-rated CLOs (collateralized loan obligations). While both the broader CMBS and ABS sectors trailed duration-matched Treasuries for the year, Fund holdings outperformed and were accretive to performance. The Fund’s single asset, single borrower CMBS positions emphasized high quality properties and sponsors with bonds that offered robust credit enhancement and attractive compensation, while CLO holdings similarly carried attractive yields and stable duration profiles. Away from securitized, the allocation to short corporate credit benefitted performance owing largely to issue selection, driven by high quality, senior positions in large money center banking names, with further contributions from holdings in the Fund’s preferred defensive sectors including communications and non-cyclicals.
Though lower over the first quarter, rates still skew high given the risk of recession. Short-term yields remain above an apparent equilibrium, thus informing a duration position of approximately 1.3 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and fundamentally sound money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive
Annual Report March 2023 / 2
spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted, though there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs and federally-guaranteed student loans. CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads.
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| | | Performance Through March 31, 2023 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since
Inception
(Annualized) |
| MWATX (Inception: June 29, 1998) | | | 16.03% | | | | -9.77% | | | 18.04% | | 10.39% | | 12.47% | | 7.40% |
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| S&P 500 Index | | | 15.62% | | | | -7.73% | | | 18.60% | | 11.18% | | 12.23% | | 7.30% |
Metropolitan West Corporate Bond Fund
M-Class (MWCSX), I-Class (MWCBX)
For the twelve-month period ending March 31, 2023, the MetWest Corporate Bond Fund – I Class (“Fund”) fell 5.79% (net of fees), trailing the Bloomberg U.S. Corporate Index (“Index”) by approximately 24 bps. An underweight to industrial credit weighed on relative performance as the sector led the corporate market during the period, while financial institutions, which represented an overweight in the Fund, lagged both Treasuries and the broader corporate market on a duration-adjusted basis, weighed down by brokers, REITs (real estate investment trusts), and life insurance sectors. Issue selection among corporates was mixed, with the relative underweight to the commodity-sensitive energy sector further holding back performance as it was one of the best performers during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Meanwhile, the overweight to communications and consumer non-cyclicals contributed as both sectors outpaced Treasuries and the broader corporate market on a duration-adjusted basis. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates, though these additions made during times of spread widening weighed on immediate performance. Consistent with the team’s disciplined relative approach, these positions were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. While the Fund’s corporate exposure fluctuated throughout the year, the allocation to banks grew as programmatic issuance pushed yield spreads wider despite what the team believes to be solid fundamentals and capitalization levels across large money center banks. An emphasis on senior paper from these high quality, well capitalized banks significantly contributed to performance in the most recent quarter, where broader banking sector concerns weighed on the banking component of the Index.
Though lower over the quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks with solid capital ratios and strong long-term fundamentals. Within the small allocation to securitized products, positions in CMBS and ABS remain, though caution is warranted, particularly in CMBS. However, there are still good risk-adjusted opportunities on diligent underwriting, with current exposure focused on higher quality issues.
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| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| MWCSX (Inception: June 29, 2018) | | | 7.28% | | | | -6.02% | | | | -1.23% | | | | — | | | | — | | | | 2.67% | |
| Bloomberg U.S. Corporate Index | | | 7.26% | | | | -5.55% | | | | -0.54% | | | | — | | | | — | | | | 1.92% | |
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| MWCBX (Inception: June 29, 2018) | | | 7.41% | | | | -5.79% | | | | -0.99% | | | | — | | | | — | | | | 2.93% | |
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| Bloomberg U.S. Corporate Index | | | 7.26% | | | | -5.55% | | | | -0.54% | | | | — | | | | — | | | | 1.92% | |
3 / Annual Report March 2023
Metropolitan West ESG Securitized Fund
M-Class (MWERX), I-Class (MWESX)
For the twelve-month period ending March 31, 2023, the MetWest ESG Securitized Mutual Fund – I Class (“Fund”) fell 7.04% (net of fees), trailing the Bloomberg U.S. MBS Index (“Index”) by 219 bps. Underperformance was driven primarily by the Fund’s overweight exposure to non-agency CMBS. While holdings were focused on highly-rated single asset, single borrower deals, the market was weighted down at various points in the year by investors fulfilling liquidity needs during risk off periods and concerns about tighter credit conditions in the banking sector. Relative performance was also challenged by exposure to solar ABS, as the sector saw a longer duration extension due to rate volatility which, when combined with lower liquidity, led to underperformance. Meanwhile, the Fund’s structural underweight to agency MBS contributed to performance as the sector experienced significant underperformance versus comparable maturity Treasuries during the period due to sustained interest rate volatility. Finally, performance benefited from the Fund’s duration position which was extending as Treasury rates increased, then shortened in March as rates fell. However, this performance was slightly offset by the Fund’s curve steeping bias (overweight to 2- and 5-Year parts of the curve), which detracted as Treasury yields marched higher, led by short interest rates.
This environment will broadly continue to inform duration and curve positioning in the Fund, along with relative value considerations across securitized sectors. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Expectations are that agency MBS could be used as buy liquidity for other opportunities in market volatility, but within the targeted subset of the agency MBS universe where social characteristics, such as affordability, are prioritized along with relative value considerations. Additionally, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. Exposure is focused on higher quality issues, with an emphasis on unlabeled green opportunities in the non-agency CMBS sector, specifically single-asset, single-borrower structures and underlying properties, where green attributes align better designed and more sustainable properties, with attractive credit fundamentals. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, various ABS holdings, particularly solar ABS and data centers present compelling unlabeled green opportunities, though FFELP student loans and Small Business Administration backed bond may present more compelling opportunities in the future if valuations cheapen. Regarding specific ESG-labeled opportunities, there is a small, yet growing opportunity for increased issuance within the securitized market. Issuance remains largely concentrated in sovereign and corporate green bonds, though we anticipate this will expand to other asset classes and labeled types. Overall, we expect the ESG-labeled market to grow over time as issuers’ structure bonds to meet the rising demand for these assets driven by the growth in the sustainable fund universe and ESG-related investments.
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| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWERX (Inception: October 1, 2021) | | | 2.50% | | | | -7.15% | | | | — | | | | — | | | | — | | | | -8.42% | |
| Bloomberg U.S. Mortgage-Backed Securities (MBS) Index | | | 4.72% | | | | -4.85% | | | | — | | | | — | | | | — | | | | -6.73% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWESX (Inception: October 1, 2021) | | | 2.60% | | | | -7.04% | | | | — | | | | — | | | | — | | | | -8.52% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Bloomberg U.S. Mortgage-Backed Securities (MBS) Index | | | 4.72% | | | | -4.85% | | | | — | | | | — | | | | — | | | | -6.73% | |
Metropolitan West Flexible Income Fund
M-Class (MWFSX), I-Class (MWFEX)
For the twelve-month period ending March 31, 2023, the MetWest Flexible Income Fund – I Class (“Fund”) fell 1.25% (net of fees), outpacing the Bloomberg U.S. Aggregate Bond Index (“Index”) by over 350 bps. Outperformance was driven by the duration position, which remained considerably shorter than the Aggregate Index, despite being extended throughout the year as yields rose. Meanwhile, smaller contributions came from CMBS, with select IO (interest only) issues contributing. The impact from corporate credit was mixed. Communications and consumer non-cyclicals both represent sizable overweights in the Fund, though the underperformance of the sectors relative to duration-matched Treasuries weighed on returns. Meanwhile, a relative underweight to the commodity-sensitive energy sector further held back performance as it was the best performing corporate sector during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second
Annual Report March 2023 / 4
and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates. These additions, which were made during times of spread widening, weighed on immediate performance, but were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. Finally, additional gains were made in March 2023 with additions to existing senior Credit Suisse positions, and favorable relative value trades in bank names that saw outsized volatility during the month. Finally, issue selection within residential MBS was a sizable drag, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets.
Though lower over the quarter, rates still skew high given the risk of recession, with expectations for the front end of the curve to move meaningfully lower once the Fed ultimately starts to reduce interest rates. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a relative underweight overall, with an overweight to 30 year conventionals given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Also in CMBS, the Fund maintains an allocation to select IO issuers where there is attractive upside potential. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| MWFSX (Inception: November 30, 2018) | | | 6.56% | | | | -1.50% | | | | 2.19% | | | | — | | | | — | | | | 6.10% | |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | — | | | | — | | | | 1.12% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWFEX (Inception: November 30, 2018) | | | 6.69% | | | | -1.25% | | | | 2.35% | | | | — | | | | — | | | | 6.28% | |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | — | | | | — | | | | 1.12% | |
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 1.26% (net of fees) for the twelve-month period ending March 31, 2023, trailing the Morningstar LSTA U.S. Leveraged Loan Index (“Index”) by approximately 128 bps. Relative underperformance was driven largely by sector positioning and issue selection within industrials. Consumer non-cyclicals represent one of the larger overweight positions in the strategy, though the sector lagged the broader loan universe, weighed down heavily by food/beverage and healthcare loans. Meanwhile, energy is a relatively small position in the Fund and is underweight the Index, though energy equipment and services gained over 11% during the year to finish as the top performing sector in the Index. Meanwhile, Fund holdings within capital goods and consumer cyclicals underperformed relative to Index holdings, though technology and gaming loans positively contributed to Fund performance. Away from industrials, utility and financials had a smaller negative effect on performance, largely as a result of being underweight sectors that finished ahead of the broader Index. Finally, given that higher quality loans outperformed during the year (BB-rated loans returned over 5%, while CCC fell 8%), the Fund’s minor underweight to BB deals resulted in a slight drag.
The reduction in the availability of credit as a result of recent stresses in the banking system is likely to challenge borrowers across the leveraged loan market, as even the larger and more experienced lenders and arrangers are likely to reassess lending terms and impose more lender-friendly covenants and/or compensation when syndicating deals. Added to an already challenging environment in which base rates and input costs are both drastically higher than in prior years, borrowers will need to have substantial liquidity and free cash flow to maintain easy access to capital markets in the midst of these tighter lending conditions. For more levered borrowers or those whose profits are declining amid slowing sales and inventory markdowns, they may soon
5 / Annual Report March 2023
lack the ability to service their debt, while access to funding is likely to be far more challenging without paying a premium. As such, the already-observed uptick in both downgrades and defaults through the first quarter of 2023 is likely to accelerate as growth slows and credit conditions tighten. Downgrades have thus far exceeded upgrades, while the nine defaults to start 2023 are just two shy of the total amount observed throughout all of 2022. Given that different CLO managers tend to have a modest degree of overlapping holdings, these defaults rolling through the bank loan sector are starting to affect overcollateralization levels across CLO structures, while the downgrade wave is challenging managers’ CCC concentration limits. Expectations are for an increased bid for loans slightly higher on the credit spectrum in the wake of these developments, where the Fund is currently strategically positioned to be a liquidity provider. Further, with dispersion between the lowest and highest quality segments of the market still at relatively wide levels by historical standards, and the yield on the Leveraged Loan Index near 10%, opportunities are plentiful for disciplined active management, whereby diligent fundamental analysis and judicious underwriting remain paramount to the team’s process.
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| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since
Inception
(Annualized) | |
| MWFRX (Inception: June 28, 2013) | | | 5.00% | | | | 0.96% | | | | 5.41% | | | | 2.63% | | | | — | | | | 3.14% | |
| Morningstar LSTA U.S. Leveraged Loan Index | | | 5.94% | | | | 2.54% | | | | 8.52% | | | | 3.63% | | | | — | | | | 3.83% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWFLX (Inception: June 28, 2013) | | | 5.10% | | | | 1.26% | | | | 5.62% | | | | 2.86% | | | | — | | | | 3.35% | |
| Morningstar LSTA U.S. Leveraged Loan Index | | | 5.94% | | | | 2.54% | | | | 8.52% | | | | 3.63% | | | | — | | | | 3.83% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWFPX (Inception: January 29, 2021) | | | 5.05% | | | | 1.00% | | | | — | | | | — | | | | — | | | | 1.42% | |
| Morningstar LSTA U.S. Leveraged Loan Index | | | 5.94% | | | | 2.54% | | | | — | | | | — | | | | — | | | | 2.95% | |
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
Against the backdrop of rising rates, the MetWest High Yield Bond Fund – I Class (“Fund”) fell 3.97% (net of fees) over the twelve-month period ending March 31, 2023, trailing the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 61 bps. The largest drag on returns came from the Fund’s sector positioning, specifically an overweight to consumer non-cyclicals, which was weighed down by an over 20% decline in pharmaceuticals. Also within industrials, an overweight to lagging communications was a headwind, notably the emphasis on wirelines names as the industry was one of the worst performers in the Index during the period. An underweight to top performing energy sectors such as refining and oil field services further detracted. Favorable issue selection helped offset these sector drags, with contributions coming from consumer non-cyclicals, technology, and consumer cyclical names. Within the financials, the Fund’s banking, insurance, and finance company holdings also outpaced those held in the Index. Finally, the Fund’s high quality emphasis was a slight tailwind to performance, as CCC-rated issues generally trailed BB- and B-rated cohorts.
The team maintains a relatively cautious outlook, particularly when considering that the lagged effect of the Fed’s cumulative policy tightening and its ongoing balance sheet run-off is likely to continue to challenge liquidity conditions and risk appetites across financial markets. This thesis has come to fruition in early March 2023, with financial conditions considerably tightening as the prospect of a banking crisis upended the narrative of a “soft” or “no landing” scenario. Looking forward, the team will continue to opportunistically trim exposure on strength, while adding, on weakness, to quality names with strong balance sheets, skilled management and sustainable objectives to weather this period of heightened uncertainty. Overall, an emphasis remains on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors while more cyclical segments such as retail and technology represent relative underweights.
Annual Report March 2023 / 6
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months (Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) |
| MWHYX (Inception: September 30, 2002) | | | 7.06% | | | | -4.20% | | | | 3.76% | | | | 3.34% | | | | 3.13% | | | | 7.02% | |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 7.88% | | | | -3.35% | | | | 5.88% | | | | 3.19% | | | | 4.09% | | | | 7.58% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWHIX (Inception: March 31, 2003) | | | 7.19% | | | | -3.87% | | | | 4.06% | | | | 3.60% | | | | 3.39% | | | | 6.55% | |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 7.88% | | | | -3.35% | | | | 5.88% | | | | 3.19% | | | | 4.09% | | | | 7.06% | |
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
For the twelve-month period ending March 31, 2023, the MetWest Intermediate Bond Fund – I Class (“Fund”) fell 2.22% (net of fees), trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 56 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS and CMBS also detracted, but to a lesser extent, with spreads widening in both sectors as cracks in consumer strength held back ABS, while slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit had little impact overall on relative returns as intermediate corporates were flat relative to Treasuries on a duration-adjusted basis, though the issue selection impact from the sector was boosted by contributions in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector helped insulate returns from the broader spread widening, while additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, though long duration versus the index for most of the period, the decline in rates in November 2022 and in 1Q 2023 drove a positive impact from duration positioning.
Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
7 / Annual Report March 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since
Inception (Annualized) | |
| MWIMX (Inception: June 30, 2003) | | | 4.56% | | | | -2.32% | | | | -0.85% | | | | 1.34% | | | | 1.20% | | | | 3.43% | |
| Bloomberg Intermediate U.S. Government/Credit Index | | | 3.91% | | | | -1.66% | | | | -1.28% | | | | 1.40% | | | | 1.32% | | | | 2.79% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWIIX (Inception: June 28, 2002) | | | 4.55% | | | | -2.22% | | | | -0.67% | | | | 1.54% | | | | 1.42% | | | | 4.21% | |
| Bloomberg Intermediate U.S. Government/Credit Index | | | 3.91% | | | | -1.66% | | | | -1.28% | | | | 1.40% | | | | 1.32% | | | | 3.16% | |
Metropolitan West Investment Grade Credit Fund
M-Class (MWISX), I-Class (MWIGX)
For the twelve-month period ending March 31, 2023, the MetWest Investment Grade Credit Fund – I Class (“Fund”) fell 2.03% (net of fees), trailing the Bloomberg U.S. Intermediate Credit Index (“Index”) by approximately 15 bps. An underweight to industrial credit weighed on relative performance as the sector led the corporate market during the period, while financial institutions, which represented an overweight in the Fund, lagged both Treasuries and the broader corporate market on a duration-adjusted basis, weighed down by brokers, REITs, and life insurance sectors. Issue selection among corporates was mixed, with the relative underweight to the commodity-sensitive energy sector further holding back performance as it was one of the best performers during the period, owing to surging gas prices and increased demand for travel amid a further loosening of global COVID restrictions. Meanwhile, the emphasis on communications and consumer non-cyclicals contributed as both sectors outpaced Treasuries and the broader corporate market on a duration-adjusted basis. Rising yield premiums and more attractive valuations across a large swath of the corporate market in the second and third quarter of 2022 informed an expansion of the risk budget and increased allocation to corporates, though these additions made during times of spread widening weighed on immediate performance. Consistent with the team’s disciplined relative approach, these positions were subsequently trimmed into the rallying market environments throughout November and early in the first quarter of 2023, crystalizing gains in the Fund. Finally, an emphasis on senior paper from high quality, well capitalized banks significantly contributed to performance in the most recent quarter, particularly additions to existing senior Credit Suisse positions at the height of March’s volatility that subsequently benefitted from the sharp rebound of prices into quarter-end. Away from corporates, the Fund’s off-Index position in securitized products focused on residential MBS detracted from performance during the period, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. Last, the smaller allocation to CMBS, mostly interest only positions, boosted returns.
Though lower over the quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks with solid capital ratios and strong long-term fundamentals. Within securitized products, agency MBS remains a sizable position given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. The strategy also maintains positions in CMBS and ABS, though caution is warranted, particularly in CMBS. However, there are still good risk-adjusted opportunities on diligent underwriting, with current exposure focused on higher quality issues.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| | | | | | |
| MWISX (Inception: June 29, 2018) | | | 5.53% | | | | -2.24% | | | | -0.06% | | | | — | | | | — | | | | 2.81% | |
| Bloomberg U.S. Intermediate Credit Index | | | 5.05% | | | | -1.88% | | | | 0.37% | | | | — | | | | — | | | | 1.97% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWIGX (Inception: June 29, 2018) | | | 5.64% | | | | -2.03% | | | | 0.15% | | | | — | | | | — | | | | 3.02% | |
| Bloomberg U.S. Intermediate Credit Index | | | 5.05% | | | | -1.88% | | | | 0.37% | | | | — | | | | — | | | | 1.97% | |
Annual Report March 2023 / 8
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
For the twelve-month period ending March 31, 2023, the MetWest Low Duration Bond Fund – I Class (“Fund”) fell 0.37% (net of fees), trailing the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 56 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS modestly contributed to returns, driven by CLOs and bonds backed by student loan FFELP and auto collateral. Meanwhile, the allocation to corporate credit was a slight headwind at the sector level given short corporates modestly trailed Treasuries on a duration-adjusted basis, though issue selection contributed, especially in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector, along with additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March, significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, the longer-than-Index duration position and overweight to 2-Year part of the curve detracted as Treasury yields marched higher throughout the period, led by short interest rates.
Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) | |
| | | | | | |
| MWLDX (Inception: March 31, 1997) | | | 3.10% | | | | -0.46% | | | | 0.23% | | | | 1.10% | | | | 1.01% | | | | 3.15% | |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 2.30% | | | | 0.20% | | | | -0.81% | | | | 1.11% | | | | 0.81% | | | | 2.80% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWLIX (Inception: March 31, 2000) | | | 3.21% | | | | -0.37% | | | | 0.44% | | | | 1.29% | | | | 1.23% | | | | 2.85% | |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 2.30% | | | | 0.20% | | | | -0.81% | | | | 1.11% | | | | 0.81% | | | | 2.42% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWLNX (Inception: September 22, 2009) | | | 3.22% | | | | -0.48% | | | | 0.16% | | | | 1.01% | | | | 0.91% | | | | 2.42% | |
| ICE BofA 1-3 Year U.S. Treasury Index | | | 2.30% | | | | 0.20% | | | | -0.81% | | | | 1.11% | | | | 0.81% | | | | 0.94% | |
Metropolitan West Opportunistic High Income Credit Fund
M-Class (MWORX), I-Class (MWOPX)
For the twelve-month period ending March 31, 2023, the MetWest Opportunistic High Income Credit Fund – I Class (“Fund”) fell 7.53% (net of fees), trailing the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 417 bps. Rising U.S. Treasury yields weighed on fixed income sectors, while equities fell on concerns about ongoing tightening from the central bank and the growing risk of recession. Underperformance was driven by the allocation to equities in the Fund, and the emphasis on more defensive corporate sectors like non-cyclicals, which was weighed down by an over 20% decline in pharmaceuticals, and communications, one of the worst performers in the Index during the period. An underweight to top
9 / Annual Report March 2023
performing energy sectors such as refining and oil field services further detracted. Favorable issue selection helped offset these sector drags, with contributions coming from consumer non-cyclicals, technology, and consumer cyclical names. Within financials, the Fund’s banking, insurance, and finance company holdings also outpaced those held in the Index. Finally, the Fund’s high quality emphasis was a slight tailwind to performance; lower rated cohorts lagged. Away from corporates, performance was also held back by the allocation to non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. CMBS also detracted, but to a lesser extent, with spreads widening as slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral.
The team maintains a relatively cautious outlook, particularly when considering that the lagged effect of the Fed’s cumulative policy tightening and its ongoing balance sheet run-off is likely to continue to challenge liquidity conditions and risk appetites across financial markets. This thesis has come to fruition in early March 2023, with financial conditions considerably tightening as the prospect of a banking crisis upended the narrative of a “soft” or “no landing” scenario. Strategically, the Fund will tend to position for good value opportunities with a higher yield profile. With regard to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Outside of corporate credit, the team is generally constructive on securitized assets, and believe there is value in many subsectors of the market. In particular, non-agency MBS looks compelling at current wide spreads given embedded home price appreciation in many deals with even modest seasoning. Even so, allocations remain up in the capital structure with cash flow priority and credit enhancement to reduce downside risks. Finally, the CMBS allocation emphasizes high quality as well, but is focused on select IO issuers where there is attractive upside potential.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| MWORX (Inception: August 2, 2021) | | | 6.44% | | | | -7.74% | | | | — | | | | — | | | | — | | | | -5.91% | |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 7.88% | | | | -3.35% | | | | — | | | | — | | | | — | | | | -3.98% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWOPX (Inception: August 2, 2021) | | | 6.72% | | | | -7.41% | | | | — | | | | — | | | | — | | | | -5.68% | |
| Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap | | | 7.88% | | | | -3.35% | | | | — | | | | — | | | | — | | | | -3.98% | |
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
The MetWest Strategic Income Fund – I Class (“Fund”) was down a modest 0.16% (net of fees) for the twelve-month period ending March 31, 2023, lagging the ICE BofA U.S. 3-Month Treasury Bill Index + 200 bps (“Index”) by approximately 470 bps. The largest headwind to returns came from the positive duration profile, which was extended throughout the period to end the period at approximately 2.9 years, as Treasury yields moved higher across the curve (the 2-Year yield was nearly 170 bps higher while the 10-Year was up 113 bps). The next largest drag came from the residential MBS allocation, namely non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS exposure also detracted, though to a lesser extent, as spreads widened on cracks in consumer strength. Meanwhile, the Fund’s CMBS holdings contributed to returns even as the sector faced challenging dynamics including slowing retail activity and the popularization of away-from-the-office work arrangements. Outside of securitized, the exposure to corporate credit detracted for the period, notwithstanding positive contributions in the first quarter of 2023 stemming from favorable relative value trades in bank names.
Though lower over the first quarter, rates still skew high given the risk of recession. The 10-Year yield remains above an apparent equilibrium, thus informing a duration position of approximately 2.9 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has
Annual Report March 2023 / 10
translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted, though there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 | |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) | |
| MWSTX (Inception: June 30, 2003) | | | 5.02% | | | | -0.23% | | | | 3.38% | | | | 1.81% | | | | 1.99% | | | | 3.59% | |
| ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | | | 2.94% | | | | 4.55% | | | | 2.85% | | | | 3.40% | | | | 2.86% | | | | 3.33% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| MWSIX (Inception: March 31, 2004) | | | 5.31% | | | | 0.00% | | | | 3.55% | | | | 2.05% | | | | 2.24% | | | | 3.16% | |
| ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | | | 2.94% | | | | 4.55% | | | | 2.85% | | | | 3.40% | | | | 2.86% | | | | 3.34% | |
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
For the twelve-month period ending March 31, 2023, the MetWest Total Return Bond Fund – I Class (“Fund”) fell 5.39% (net of fees), trailing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 105 bps. Underperformance was driven primarily by issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. ABS and CMBS also detracted, but to a lesser extent, with spreads widening in both sectors as cracks in consumer strength held back ABS, while slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit contributed to relative returns given the sector outpaced Treasuries by 27 bps for the period, with additional contributions in March 2023 during what was a very volatile couple of weeks for banks. A preference for more senior areas of the banking sector helped insulate returns from the broader spread widening, while additions to existing senior Credit Suisse positions and favorable relative value trades in bank names that saw outsized volatility in March significantly boosted returns. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period. Finally, though long duration versus the index for most of the period, the decline in rates in November 2022 and in 1Q 2023 drove a positive impact from duration positioning.
Though lower over the first quarter, rates still skew high given the risk of recession, with the 10-Year yield above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable overweight given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer
11 / Annual Report March 2023
good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
| | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| | | | | | |
| MWTRX (Inception: March 31, 1997) | | | 5.27% | | | | -6.10% | | | | -2.58% | | | | 0.84% | | | | 1.32% | | | 5.08% |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | 0.90% | | | | 1.36% | | | 4.32% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWTIX (Inception: March 31, 2000) | | | 5.39% | | | | -5.80% | | | | -2.37% | | | | 1.06% | | | | 1.55% | | | 4.86% |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | 0.90% | | | | 1.36% | | | 4.02% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWTTX (Inception: March 6, 2020) | | | 5.34% | | | | -5.87% | | | | -2.38% | | | | — | | | | — | | | -3.27% |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | — | | | | — | | | -2.90% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWTNX (Inception: December 18, 2009) | | | 5.20% | | | | -6.10% | | | | -2.69% | | | | 0.73% | | | | 1.20% | | | 2.91% |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | 0.90% | | | | 1.36% | | | 2.32% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWTSX (Inception: August 1, 2011) | | | 5.41% | | | | -5.79% | | | | -2.30% | | | | 1.14% | | | | 1.61% | | | 2.51% |
| Bloomberg U.S. Aggregate Bond Index | | | 4.89% | | | | -4.78% | | | | -2.77% | | | | 0.90% | | | | 1.36% | | | 1.80% |
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
For the twelve-month period ending March 31, 2023, the MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.90% (net of fees), trailing the ICE BofA 1-Year U.S. Treasury Index (“Index”) by a modest 12 bps. The largest detractor from relative performance was the allocation to agency MBS, which suffered a significant rise in nominal spreads as interest rate volatility increased, prepayment assumptions cratered, and durations extended across the majority of the coupon stack, resulting in 215 bps of negative excess returns versus duration-matched Treasuries. Non-agency MBS bonds were similarly challenged throughout the past year in the higher rate environment, though select holdings in the Fund backed by legacy collateral positively impacted performance. Elsewhere in securitized credit, CMBS exposure focusing on senior positions in single asset, single borrower deals was additive despite the broader challenges surfacing in the commercial real estate and CMBS market. Meanwhile, the exposure to short corporates was also beneficial, including an emphasis on top-performing communications, while issue selection among banks significantly contributed to performance. In particular, additions to existing senior Credit Suisse positions at the height of March’s volatility provided cheap entry points and a subsequent benefit as prices rebounded sharply into quarter-end. Finally, the Fund’s duration position produced a net positive as the benefit from large drops in Treasury yields in the latter half of the period outweighed the headwinds during months when rates rose.
Though lower over the quarter, rates still skew high given the risk of recession, with short-term yields above an apparent equilibrium, thus informing a relative long duration position. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and fundamentally sound money center banks among financials. Within securitized products, agency MBS represents a sizable allocation given the government-guaranteed nature, the strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS and ABS, caution and selectivity are warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues with attractive yields and protection in the form of robust credit enhancement.
| | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception (Annualized) |
| MWUSX (Inception: June 30, 2003) | | | 2.59% | | | | 0.49% | | | | 0.12% | | | | 0.91% | | | | 0.77% | | | 1.60% |
| ICE BofA 1-Year U.S. Treasury Index | | | 2.01% | | | | 1.02% | | | | 0.08% | | | | 1.29% | | | | 0.85% | | | 1.50% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWUIX (Inception: July 31, 2004) | | | 2.67% | | | | 0.90% | | | | 0.36% | | | | 1.08% | | | | 0.93% | | | 1.48% |
| ICE BofA 1-Year U.S. Treasury Index | | | 2.01% | | | | 1.02% | | | | 0.08% | | | | 1.29% | | | | 0.85% | | | 1.53% |
Annual Report March 2023 / 12
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX), Plan-Class (MWCPX)
For the twelve-month period ending March 31, 2023, the MetWest Unconstrained Bond Fund – I Class (“Fund”) fell 1.65% (net of fees), trailing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by 466 bps. The largest headwind to relative returns came from the positive duration profile, which was extended throughout the period to approximately 2.9 years, as Treasury yields moved higher across the curve (the 2-Year yield rose nearly 170 bps to 4.03% while the 10-Year was up 113 bps to 3.5%). Also significant to underperformance was issue selection within residential MBS, particularly non-agency MBS. Non-agency MBS tightened in late 2022, but underperformed for the twelve-month period given increased volatility, money manager outflows, and overall financial market stress, with a notable bifurcation between higher quality issues that traded more frequently and less liquid issues. Ultimately, non-agency MBS spreads reflect much more dire economic conditions than are indicated by credit markets. An additional drag came from the overweight to agency MBS, which experienced its best and worst monthly performance in history during 2022, but was ultimately weakened by sustained interest rate volatility. CMBS also detracted as slowing retail activity and the popularization of away-from-the-office work arrangements weighed on CMBS collateral. Meanwhile, the overweight to corporate credit contributed to relative returns given the sector outpaced Treasuries by 27 bps for the period, with an additional boost in March 2023 during what was a very volatile couple of weeks for banks, with favorable issue selection among the Fund’s higher conviction banking names, including senior positions in Credit Suisse. Prior to 2023, corporate credit had been more mixed, with additions made during the year benefitting returns in periods when the sector rallied (November 2022), but resulting in a drag on performance as spreads widened throughout much of the period.
Though lower over the quarter, rates still skew high given the risk of recession. The 10-Year yield remains above an apparent equilibrium, thus informing a duration position of approximately 3.0 years, with an emphasis on the front end of the yield curve. With regards to sector positioning, the team remains diligent in applying TCW’s disciplined process of using market volatility to add risk to the portfolio at more attractive levels to maximize long-term performance. Specific to corporate credit, that has translated to an emphasis on defensive sectors such as communications and consumer non-cyclicals (particularly healthcare), with an additional focus on high conviction names and money center banks among financials. Within securitized products, agency MBS represents a sizable position given the government-guaranteed nature, strong liquidity, and attractive spreads. Most notably, discount dollar prices provide compelling upside optionality if, and when, rates begin to move lower. Moving towards CMBS, caution is warranted. However, there are still good risk-adjusted opportunities on diligent underwriting. For now, exposure is focused on higher quality issues, with an emphasis on selected single-asset, single-borrower structures and underlying properties. Going forward, as stress materializes in office buildings around the world, and that gets reflected in prices, expectations are for tremendous opportunity up and down the capital structure in CMBS deals. Finally, ABS exposure tends to be focused on CLOs, federally-guaranteed student loans, and a variety of smaller, typically non-consumer related collateral types (legal settlements, shipping containers, single-family rentals, etc.). CLOs in particular offer good liquidity, with minimal credit risk given top-of-the capital structure positions, at attractive spreads. While the challenges in ABS are not likely to be as acute as the ones facing CMBS, a recession, lower consumer spending, and general market volatility should create opportunities.
| | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Performance Through March 31, 2023 |
| | | | | | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since
Inception
(Annualized) |
| | | | | | |
| MWCRX (Inception: October 1, 2011) | | | 4.49% | | | | -1.93% | | | | 1.82% | | | | 1.24% | | | | 1.80% | | | 3.69% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 2.15% | | | | 3.00% | | | | 1.21% | | | | 1.67% | | | | 1.14% | | | 1.05% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWCIX (Inception: October 1, 2011) | | | 4.64% | | | | -1.65% | | | | 2.08% | | | | 1.52% | | | | 2.08% | | | 3.97% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 2.15% | | | | 3.00% | | | | 1.21% | | | | 1.67% | | | | 1.14% | | | 1.05% |
| | | | | | | | | | | | | | | | | | | | | | |
| MWCPX (Inception: March 6, 2020) | | | 4.77% | | | | -1.50% | | | | 2.17% | | | | — | | | | — | | | -0.22% |
| ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | | | 2.15% | | | | 3.00% | | | | 1.21% | | | | — | | | | — | | | 1.23% |
13 / Annual Report March 2023
A Disciplined Value Philosophy
Difficult economic and market conditions, no doubt, test the patience of investors and the discipline of asset managers. The upside, if we can cite one, is that cheaper prices create opportunities for better entry points, and a tendency for excessive risk aversion, that is, panic selling, which amplifies mispricing. This remains especially true in fixed income, as the size, structure and segmentation of the market continue to be a place where active strategy and disciplined implementation can generate outperformance and moderate risk under a value-oriented approach. The Funds and its management are unwavering in that commitment and have been for more than 25 years.
Thank you again for your investment in the Metropolitan West Funds. Our entire team looks forward to continuing to assist you in the fulfillment of your financial goals.
Sincerely,
Kathryn Koch
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 High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including leverage risk. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.
Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the risk that the value of a Fund’s investments in foreign securities may decline based on changes to currency values, or political and economic environments in the countries where the Fund invests. Asset-backed securities investment risk refers to the risk that the impairment of the value of the collateral underlying the security in which a Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. Prepayment risk refers to the possibility that falling interest rates may cause the underlying loans to pay off at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of a Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage risk refers to the limited ability of a Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding, which could create interest expenses that can exceed the income from the assets retained.
The views and forecasts expressed here are as of May 2023, 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.
Annual Report March 2023 / 14
Metropolitan West Funds
Illustration of an Assumed Investment of $10,000
The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.tcw.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.
Metropolitan West AlphaTrak 500 Fund
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were -9.77% and 12.47%, respectively. The graph assumes that distributions were reinvested.
Metropolitan West Corporate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the Bloomberg U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were -6.02% and 2.67%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were -5.79% and 2.93%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $11,470.
15 / Annual Report March 2023
Metropolitan West ESG Securitized Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West ESG Securitized Fund Class M with the performance of the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index. The one year and average annual since inception total return for the Metropolitan West ESG Securitized Fund Class M were -7.15% and -8.42%, respectively. The inception date for Class M was October 1, 2021. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West ESG Securitized Fund Class I was October 1, 2021. The one year and average annual since inception total return for the Metropolitan West ESG Securitized Fund Class I were -7.04% and -8.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West ESG Securitized Fund Class I shares would have been valued at $8,751.
Metropolitan West Flexible Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were -1.50% and 6.10%, respectively. The inception date for Class M was November 30, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Flexible Income Fund Class I was November 30, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were -1.25% and 6.28%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $13,017.
Annual Report March 2023 / 16
Metropolitan West Floating Rate Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the Morningstar LSTA U.S. Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 0.96% and 3.14%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were 1.26% and 3.35%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $13,787.
The inception date for the Metropolitan West Floating Rate Income Fund Plan Class was January 29, 2021. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Plan Class were 1.00% and 1.42%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Plan Class shares would have been valued at $10,310.
Metropolitan West High Yield Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were -4.20% and 3.13%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns were -3.87% and 3.39%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $13,959.
17 / Annual Report March 2023
Metropolitan West Intermediate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Intermediate U.S. Government/Credit Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were -2.32% and 1.20%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns were -2.22% and 1.42%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $11,509.
Metropolitan West Investment Grade Credit Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the Bloomberg U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were -2.24% and 2.81%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were -2.03% and 3.02%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $11,520.
Annual Report March 2023 / 18
Metropolitan West Low Duration Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofA 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were -0.46% and 1.01%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were -0.37% and 1.23%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $11,296.
For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were -0.48% and 0.91%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $10,944.
Metropolitan West Opportunistic High Income Credit Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class M were -7.74% and -5.91%, respectively. The inception date for Class M was August 2, 2021. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan Opportunistic High Income Credit Fund Class I was August 2, 2021. The one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class I were -7.41% and -5.68%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class I shares would have been valued at $9,070.
19 / Annual Report March 2023
Metropolitan West Strategic Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were -0.23% and 1.99%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns were 0.00% and 2.24%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $12,473.
Metropolitan West Total Return Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were -6.10% and 1.32%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns were -5.80% and 1.55%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $11,659.
The inception date for the Metropolitan West Total Return Bond Fund Class I-2 was March 6, 2020. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I-2 were -5.87% and -3.27%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I-2 shares would have been valued at $9,031.
Annual Report March 2023 / 20
For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were -6.10% and 1.20%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $11,262.
For the Metropolitan West Total Return Bond Fund Plan Class, the one year and average annual 10 year total returns were -5.79% and 1.61%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $11,728.
Metropolitan West Ultra Short Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the ICE BofA 1-Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 0.49% and 0.77%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns were 0.90% and 0.93%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $10,975.
21 / Annual Report March 2023
Metropolitan West Unconstrained Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual 10 year total returns for the Metropolitan West Unconstrained Bond Fund Class M were -1.93% and 1.80%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Unconstrained Bond Fund Class I, the one year and average annual 10 year total returns were -1.65% and 2.08%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $12,290.
The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The one year and average annual since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class were -1.50% and -0.22%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $9,932.
Annual Report March 2023 / 22
Metropolitan West Funds
Disclosure of Fund Expenses (Unaudited)
For the Six Months Ended March 31, 2023
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
10/01/22 | | Ending
Account Value
03/31/23 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| ALPHATRAK 500 FUND | | | | | | | | |
Actual Fund Return | | $1,000.00 | | $1,160.30 | | 0.45% | | $2.42 |
Hypothetical 5% Return | | $1,000.00 | | $1,022.69 | | 0.45% | | $2.27 |
| | | | |
| CORPORATE BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,072.80 | | 0.74% | | $3.82 |
Class I | | $1,000.00 | | $1,074.10 | | 0.49% | | $2.53 |
| | | | |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.24 | | 0.74% | | $3.73 |
Class I | | $1,000.00 | | $1,022.49 | | 0.49% | | $2.47 |
| | | | |
| ESG SECURITIZED FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,025.00 | | 0.69% | | $3.48 |
Class I | | $1,000.00 | | $1,026.00 | | 0.48% | | $2.42 |
| | | | |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.49 | | 0.69% | | $3.48 |
Class I | | $1,000.00 | | $1,022.54 | | 0.48% | | $2.42 |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown). |
23 / Annual Report March 2023
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
10/01/22 | | | Ending
Account Value
03/31/23 | | | Expense
Ratio1 | | | Expenses
Paid During
Period2 | |
| FLEXIBLE INCOME FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,065.60 | | | | 0.79% | | | | $4.07 | |
Class I | | | $1,000.00 | | | | $1,066.90 | | | | 0.54% | | | | $2.78 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,020.99 | | | | 0.79% | | | | $3.98 | |
Class I | | | $1,000.00 | | | | $1,022.24 | | | | 0.54% | | | | $2.72 | |
| | | | |
| FLOATING RATE INCOME FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,050.00 | | | | 0.89% | | | | $4.55 | |
Class I | | | $1,000.00 | | | | $1,051.00 | | | | 0.70% | | | | $3.58 | |
Plan Class | | | $1,000.00 | | | | $1,050.50 | | | | 0.10% | | | | $0.51 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,020.49 | | | | 0.89% | | | | $4.48 | |
Class I | | | $1,000.00 | | | | $1,021.44 | | | | 0.70% | | | | $3.53 | |
Plan Class | | | $1,000.00 | | | | $1,024.43 | | | | 0.10% | | | | $0.50 | |
| | | | |
| HIGH YIELD BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,070.60 | | | | 0.84% | | | | $4.34 | |
Class I | | | $1,000.00 | | | | $1,071.90 | | | | 0.59% | | | | $3.05 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,020.74 | | | | 0.84% | | | | $4.23 | |
Class I | | | $1,000.00 | | | | $1,021.99 | | | | 0.59% | | | | $2.97 | |
| | | | |
| INTERMEDIATE BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,045.60 | | | | 0.69% | | | | $3.52 | |
Class I | | | $1,000.00 | | | | $1,045.50 | | | | 0.50% | | | | $2.55 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.49 | | | | 0.69% | | | | $3.48 | |
Class I | | | $1,000.00 | | | | $1,022.44 | | | | 0.50% | | | | $2.52 | |
| | | | |
| INVESTMENT GRADE CREDIT FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,055.30 | | | | 0.69% | | | | $3.54 | |
Class I | | | $1,000.00 | | | | $1,056.40 | | | | 0.48% | | | | $2.46 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.49 | | | | 0.69% | | | | $3.48 | |
Class I | | | $1,000.00 | | | | $1,022.54 | | | | 0.48% | | | | $2.42 | |
| | | | |
| LOW DURATION BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,031.00 | | | | 0.63% | | | | $3.19 | |
Class I | | | $1,000.00 | | | | $1,032.10 | | | | 0.42% | | | | $2.13 | |
Administrative Class | | | $1,000.00 | | | | $1,031.20 | | | | 0.68% | | | | $3.44 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.79 | | | | 0.63% | | | | $3.18 | |
Class I | | | $1,000.00 | | | | $1,022.84 | | | | 0.42% | | | | $2.12 | |
Administrative Class | | | $1,000.00 | | | | $1,021.54 | | | | 0.68% | | | | $3.43 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown). |
Annual Report March 2023 / 24
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
10/01/22 | | | Ending
Account Value
03/31/23 | | | Expense
Ratio1 | | | Expenses
Paid During
Period2 | |
| OPPORTUNISTIC HIGH INCOME CREDIT FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,064.40 | | | | 0.84% | | | | $4.32 | |
Class I | | | $1,000.00 | | | | $1,067.20 | | | | 0.59% | | | | $3.04 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,020.74 | | | | 0.84% | | | | $4.23 | |
Class I | | | $1,000.00 | | | | $1,021.99 | | | | 0.59% | | | | $2.97 | |
| | | | |
| STRATEGIC INCOME FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,050.20 | | | | 1.03% | | | | $5.26 | |
Class I | | | $1,000.00 | | | | $1,053.10 | | | | 0.79% | | | | $4.04 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,019.80 | | | | 1.03% | | | | $5.19 | |
Class I | | | $1,000.00 | | | | $1,020.99 | | | | 0.79% | | | | $3.98 | |
| | | | |
| TOTAL RETURN BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,052.70 | | | | 0.65% | | | | $3.33 | |
Class I | | | $1,000.00 | | | | $1,053.90 | | | | 0.43% | | | | $2.20 | |
Class I-2 | | | $1,000.00 | | | | $1,053.40 | | | | 0.52% | | | | $2.66 | |
Administrative Class | | | $1,000.00 | | | | $1,052.00 | | | | 0.77% | | | | $3.94 | |
Plan Class | | | $1,000.00 | | | | $1,054.10 | | | | 0.37% | | | | $1.89 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.69 | | | | 0.65% | | | | $3.28 | |
Class I | | | $1,000.00 | | | | $1,022.79 | | | | 0.43% | | | | $2.17 | |
Class I-2 | | | $1,000.00 | | | | $1,022.34 | | | | 0.52% | | | | $2.62 | |
Administrative Class | | | $1,000.00 | | | | $1,021.09 | | | | 0.77% | | | | $3.88 | |
Plan Class | | | $1,000.00 | | | | $1,023.09 | | | | 0.37% | | | | $1.87 | |
| | | | |
| ULTRA SHORT BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,025.90 | | | | 0.49% | | | | $2.47 | |
Class I | | | $1,000.00 | | | | $1,026.70 | | | | 0.34% | | | | $1.72 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,022.49 | | | | 0.49% | | | | $2.47 | |
Class I | | | $1,000.00 | | | | $1,023.24 | | | | 0.34% | | | | $1.72 | |
| | | | |
| UNCONSTRAINED BOND FUND | | | | | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,044.90 | | | | 1.04% | | | | $5.30 | |
Class I | | | $1,000.00 | | | | $1,046.40 | | | | 0.75% | | | | $3.83 | |
Plan Class | | | $1,000.00 | | | | $1,047.70 | | | | 0.70% | | | | $3.57 | |
| | | | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,019.75 | | | | 1.04% | | | | $5.24 | |
Class I | | | $1,000.00 | | | | $1,021.19 | | | | 0.75% | | | | $3.78 | |
Plan Class | | | $1,000.00 | | | | $1,021.44 | | | | 0.70% | | | | $3.53 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period shown). |
25 / Annual Report March 2023
Metropolitan West Funds
Summary of Portfolio Holdings
March 31, 2023
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 | | | 26.16% | |
U.S. Treasury Bills | | | 17.81% | |
Asset-Backed Securities | | | 14.09% | |
U.S. Agency Mortgage-Backed | | | 12.12% | |
Non-Agency Commercial Mortgage-Backed | | | 9.50% | |
Money Market Funds | | | 8.95% | |
Non-Agency Mortgage-Backed | | | 8.11% | |
U.S. Agency Commercial Mortgage-Backed | | | 1.55% | |
Municipal Bonds | | | 1.23% | |
Mutual Funds | | | 0.25% | |
Common Stock | | | 0.07% | |
Rights | | | 0.00% | |
Other* | | | 0.16% | |
Total | | | 100.00% | |
| | | | |
|
| CORPORATE BOND FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 86.46% | |
U.S. Treasury Securities | | | 6.95% | |
Municipal Bonds | | | 3.42% | |
Money Market Funds | | | 2.89% | |
Asset-Backed Securities | | | 0.50% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.28% | |
Non-Agency Commercial Mortgage-Backed | | | 0.14% | |
U.S. Agency Mortgage-Backed | | | 0.12% | |
Other* | | | (0.76)% | |
Total | | | 100.00% | |
| | | | |
|
| ESG SECURITIZED FUND | |
|
| Sector Diversification | |
U.S. Agency Mortgage-Backed | | | 71.76% | |
Non-Agency Commercial Mortgage-Backed | | | 30.30% | |
Asset-Backed Securities | | | 7.85% | |
Money Market Funds | | | 2.07% | |
U.S. Treasury Securities | | | 1.50% | |
U.S. Agency Commercial Mortgage-Backed | | | 1.33% | |
Non-Agency Mortgage-Backed | | | 1.03% | |
Other* | | | (15.84)% | |
Total | | | 100.00% | |
| | | | |
| | | | |
|
| FLEXIBLE INCOME FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 31.13% | |
Non-Agency Mortgage-Backed | | | 22.40% | |
U.S. Agency Mortgage-Backed | | | 21.94% | |
U.S. Treasury Bills | | | 18.59% | |
Asset-Backed Securities | | | 9.05% | |
Non-Agency Commercial Mortgage-Backed | | | 5.62% | |
Money Market Funds | | | 4.45% | |
Bank Loans | | | 3.37% | |
Foreign Government Obligations | | | 1.57% | |
U.S. Agency Commercial Mortgage-Backed | | | 1.06% | |
U.S. Treasury Securities | | | 0.93% | |
Municipal Bonds | | | 0.24% | |
Common Stock | | | 0.17% | |
Rights | | | 0.00% | |
Warrant | | | 0.00% | |
Other* | | | (20.52)% | |
Total | | | 100.00% | |
| | | | |
|
| FLOATING RATE INCOME FUND | |
|
| Sector Diversification | |
Bank Loans | | | 90.74% | |
Corporate Bonds | | | 3.58% | |
U.S. Treasury Bills | | | 3.20% | |
Money Market Funds | | | 0.81% | |
Asset-Backed Securities | | | 0.33% | |
Common Stock | | | 0.08% | |
Rights | | | 0.00% | |
Warrant | | | 0.00% | |
Other* | | | 1.26% | |
Total | | | 100.00% | |
| | | | |
|
| HIGH YIELD BOND FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 83.65% | |
Bank Loans | | | 9.25% | |
Money Market Funds | | | 2.96% | |
Common Stock | | | 0.90% | |
Rights | | | 0.00% | |
Warrant | | | 0.00% | |
Other* | | | 3.24% | |
Total | | | 100.00% | |
Annual Report March 2023 / 26
| | | | |
|
| INTERMEDIATE BOND FUND | |
|
| Sector Diversification | |
U.S. Treasury Securities | | | 46.47% | |
Corporate Bonds | | | 30.06% | |
U.S. Agency Mortgage-Backed | | | 14.20% | |
Non-Agency Mortgage-Backed | | | 6.66% | |
Asset-Backed Securities | | | 4.90% | |
Non-Agency Commercial Mortgage-Backed | | | 2.86% | |
Money Market Funds | | | 1.76% | |
U.S. Agency Discount Notes | | | 1.66% | |
Bank Loans | | | 1.09% | |
Municipal Bonds | | | 0.97% | |
U.S. Treasury Bills | | | 0.85% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.32% | |
Common Stock | | | 0.04% | |
Rights | | | 0.00% | |
Other* | | | (11.84)% | |
Total | | | 100.00% | |
| | | | |
|
| INVESTMENT GRADE CREDIT FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 60.88% | |
U.S. Treasury Securities | | | 17.93% | |
U.S. Agency Mortgage-Backed | | | 12.50% | |
Asset-Backed Securities | | | 4.70% | |
Municipal Bonds | | | 4.51% | |
Non-Agency Mortgage-Backed | | | 3.56% | |
Money Market Funds | | | 2.76% | |
Non-Agency Commercial Mortgage-Backed | | | 2.58% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.34% | |
Other* | | | (9.76)% | |
Total | | | 100.00% | |
| | | | |
|
| LOW DURATION BOND FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 29.55% | |
U.S. Agency Mortgage-Backed | | | 25.98% | |
Non-Agency Mortgage-Backed | | | 16.04% | |
U.S. Treasury Securities | | | 13.64% | |
Asset-Backed Securities | | | 13.09% | |
Non-Agency Commercial Mortgage-Backed | | | 9.70% | |
Money Market Funds | | | 8.56% | |
Bank Loans | | | 2.21% | |
Municipal Bonds | | | 1.47% | |
U.S. Agency Discount Notes | | | 1.39% | |
U.S. Treasury Bills | | | 1.39% | |
U.S. Agency Commercial Mortgage-Backed | | | 1.30% | |
Common Stock | | | 0.00% | |
Purchased Swaptions | | | 0.00% | |
Written Swaptions | | | 0.00% | |
Other* | | | (24.32)% | |
Total | | | 100.00% | |
| | | | |
| | | | |
|
| OPPORTUNISTIC HIGH INCOME CREDIT FUND | |
|
| Sector Diversification | |
Corporate Bonds | | | 63.73% | |
Money Market Funds | | | 47.59% | |
Common Stock | | | 10.08% | |
Bank Loans | | | 9.13% | |
Non-Agency Mortgage-Backed | | | 7.13% | |
Master Limited Partnerships | | | 2.22% | |
Non-Agency Commercial Mortgage-Backed | | | 1.31% | |
U.S. Treasury Bills | | | 0.72% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.13% | |
Other* | | | (42.04)% | |
Total | | | 100.00% | |
| | | | |
|
| STRATEGIC INCOME FUND | |
|
| Sector Diversification | |
Non-Agency Mortgage-Backed | | | 32.32% | |
Corporate Bonds | | | 29.35% | |
U.S. Treasury Bills | | | 19.62% | |
U.S. Agency Mortgage-Backed | | | 14.87% | |
Asset-Backed Securities | | | 10.96% | |
Non-Agency Commercial Mortgage-Backed | | | 2.84% | |
Money Market Funds | | | 1.62% | |
U.S. Treasury Securities | | | 0.96% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.95% | |
Municipal Bonds | | | 0.18% | |
Common Stock | | | 0.11% | |
Rights | | | 0.00% | |
Other* | | | (13.78)% | |
Total | | | 100.00% | |
| | | | |
|
| TOTAL RETURN BOND FUND | |
|
| Sector Diversification | |
U.S. Agency Mortgage-Backed | | | 37.90% | |
Corporate Bonds | | | 30.08% | |
U.S. Treasury Securities | | | 24.22% | |
Non-Agency Mortgage-Backed | | | 9.31% | |
U.S. Treasury Bills | | | 5.43% | |
Asset-Backed Securities | | | 4.98% | |
Non-Agency Commercial Mortgage-Backed | | | 3.52% | |
Money Market Funds | | | 2.05% | |
Bank Loans | | | 1.54% | |
U.S. Agency Discount Notes | | | 1.15% | |
Foreign Government Obligations | | | 0.66% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.59% | |
Municipal Bonds | | | 0.57% | |
Common Stock | | | 0.10% | |
Rights | | | 0.00% | |
Other* | | | (22.10)% | |
Total | | | 100.00% | |
27 / Annual Report March 2023
| | | | |
|
| ULTRA SHORT BOND FUND | |
|
| Sector Diversification | |
U.S. Treasury Securities | | | 36.53% | |
Corporate Bonds | | | 23.18% | |
U.S. Agency Mortgage-Backed | | | 22.60% | |
Non-Agency Mortgage-Backed | | | 11.01% | |
Money Market Funds | | | 9.02% | |
Asset-Backed Securities | | | 6.72% | |
U.S. Treasury Bills | | | 6.31% | |
Non-Agency Commercial Mortgage-Backed | | | 3.76% | |
U.S. Agency Commercial Mortgage-Backed | | | 2.15% | |
Municipal Bonds | | | 0.77% | |
Other* | | | (22.05)% | |
Total | | | 100.00% | |
| | | | |
| | | | |
|
| UNCONSTRAINED BOND FUND | |
|
| Sector Diversification | |
Non-Agency Mortgage-Backed | | | 32.40% | |
Corporate Bonds | | | 30.75% | |
U.S. Agency Mortgage-Backed | | | 21.40% | |
Asset-Backed Securities | | | 12.67% | |
Non-Agency Commercial Mortgage-Backed | | | 8.53% | |
Bank Loans | | | 3.82% | |
U.S. Treasury Bills | | | 2.68% | |
Foreign Government Obligations | | | 2.45% | |
Money Market Funds | | | 1.98% | |
U.S. Agency Commercial Mortgage-Backed | | | 1.15% | |
U.S. Treasury Securities | | | 0.98% | |
Municipal Bonds | | | 0.42% | |
Common Stock | | | 0.33% | |
Rights | | | 0.00% | |
Other* | | | (19.56)% | |
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.
Annual Report March 2023 / 28
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 72.76% | | | | | |
ASSET-BACKED SECURITIES — 14.09%** | | | | | |
Access Group, Inc., | | | | | |
Series 2015-1, Class A | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
5.55% | | 07/25/561,2 | | $ | 8,785 | | | $ | 8,515 | |
Aimco CLO 11 Ltd., | | | | | |
Series 2020-11A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | 10/17/341,2,3 | | | 100,000 | | | | 97,573 | |
Americredit Automobile Receivables Trust, | | | | | |
Series 2019-1, Class D | | | | | |
3.62% | | 03/18/25 | | | 175,000 | | | | 172,928 | |
Apidos CLO XXII, | | | | | |
Series 2015-22A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.06%) | | | | | |
5.87% | | 04/20/311,2,3 | | | 200,000 | | | | 197,991 | |
Barings CLO Ltd., | | | | | |
Series 2018-3A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.95%) | | | | | |
5.76% | | 07/20/291,2,3 | | | 42,225 | | | | 41,944 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2010-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.16% | | 02/25/352 | | | 169,281 | | | | 168,026 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
5.76% | | 02/25/302 | | | 2,271 | | | | 2,269 | |
Carmax Auto Owner Trust, | | | | | |
Series 2020-1, Class C | | | | | |
2.34% | | 11/17/25 | | | 135,000 | | | | 130,814 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2022-P3, Class A3 | | | | | |
4.61% | | 11/10/27 | | | 165,000 | | | | 161,486 | |
Cedar Funding XII CLO Ltd., | | | | | |
Series 2020-12A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.13%) | | | | | |
5.95% | | 10/25/341,2,3 | | | 100,000 | | | | 97,173 | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.82%) | | | | | |
5.68% | | 11/15/281,2,3 | | | 75,201 | | | | 74,268 | |
Dryden XXVI Senior Loan Fund, | | | | | |
Series 2013-26A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
5.69% | | 04/15/291,2,3 | | | 43,777 | | | | 43,285 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2020-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.17%) | | | | | |
5.96% | | 10/15/341,2,3 | | | 150,000 | | | | 146,646 | |
| | | | | | | | | | | | |
| 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%) | | | | | |
5.47% | | 04/25/352 | | $ | 754 | | | $ | 752 | |
Educational Funding of the South, Inc., | | | | | |
Series 2012-1, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
5.90% | | 03/25/362 | | | 12,624 | | | | 12,612 | |
Exeter Automobile Receivables Trust, | | | | | |
Series 2021-1A, Class D | | | | | |
1.08% | | 11/16/26 | | | 145,000 | | | | 137,782 | |
Exeter Automobile Receivables Trust, | | | | | |
Series 2021-2A, Class B | | | | | |
0.57% | | 09/15/25 | | | 17,999 | | | | 17,962 | |
Exeter Automobile Receivables Trust, | | | | | |
Series 2022-6A, Class C | | | | | |
6.32% | | 05/15/28 | | | 130,000 | | | | 132,389 | |
Flagship Credit Auto Trust, | | | | | |
Series 2021-1, Class C | | | | | |
0.91% | | 03/15/271 | | | 150,000 | | | | 141,585 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | | | | | |
Series 2020-8A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
5.96% | | 10/20/341,2,3 | | | 140,000 | | | | 136,715 | |
Higher Education Funding I, | | | | | |
Series 2014-1, Class A | | | | | |
(LIBOR USD 3-Month plus 1.05%) | | | | | |
6.01% | | 05/25/341,2 | | | 5,988 | | | | 5,984 | |
LCM 29 Ltd., | | | | | |
Series 29A, Class XR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
5.59% | | 04/15/311,2,3 | | | 56,818 | | | | 56,464 | |
Madison Park Funding XVII Ltd., | | | | | |
Series 2015-17A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
5.82% | | 07/21/301,2,3 | | | 166,322 | | | | 164,700 | |
Navient Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.51%) | | | | | |
5.36% | | 06/25/312 | | | 66,876 | | | | 64,632 | |
Navient Student Loan Trust, | | | | | |
Series 2017-2A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
5.90% | | 12/27/661,2 | | | 59,468 | | | | 57,771 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-3A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.58%) | | | | | |
5.43% | | 06/25/411,2 | | | 9,346 | | | | 9,158 | |
NYACK Park CLO Ltd., | | | | | |
Series 2021-1A, Class X | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.65%) | | | | | |
5.46% | | 10/20/341,2,3 | | | 60,000 | | | | 59,314 | |
|
| See accompanying Notes to Financial Statements. |
|
| 29 / Annual Report March 2023 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Oak Street Investment Grade Net Lease Fund, | | | | | |
Series 2020-1A, Class A1 | | | | | |
1.85% | | | | | | 11/20/501 | | $ | 95,931 | | | $ | 86,262 | |
OCP CLO Ltd., | | | | | |
Series 2017-14A, Class A1A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
6.07% | | | | | | 11/20/301,2,3 | | | 85,000 | | | | 84,154 | |
OHA Credit Funding 7 Ltd., | | | | | |
Series 2020-7A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.30%) | | | | | |
5.93% | | | | | | 02/24/371,2,3 | | | 115,000 | | | | 112,897 | |
Palmer Square CLO Ltd., | | | | | |
Series 2014-1A, Class A1R2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | | | | | 01/17/311,2,3 | | | 85,000 | | | | 84,238 | |
PHEAA Student Loan Trust, | | | | | |
Series 2016-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
6.00% | | | | | | 09/25/651,2 | | | 39,962 | | | | 39,371 | |
Progress Residential Trust, | | | | | |
Series 2019-SFR3, Class A | | | | | |
2.27% | | | | | | 09/17/361 | | | 118,808 | | | | 113,615 | |
Progress Residential Trust, | | | | | |
Series 2019-SFR4, Class A | | | | | |
2.69% | | | | | | 10/17/361 | | | 99,874 | | | | 95,565 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-3A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.19%) | | | | | |
6.00% | | | | | | 10/20/301,2,3 | | | 130,000 | | | | 128,784 | |
SLM Student Loan Trust, | | | | | |
Series 2005-5, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.14%) | | | | | |
4.96% | | | | | | 10/25/282 | | | 15,841 | | | | 15,814 | |
SLM Student Loan Trust, | | | | | |
Series 2005-7, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.15%) | | | | | |
4.97% | | | | | | 10/25/292 | | | 70,223 | | | | 69,917 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.52% | | | | | | 07/25/232 | | | 77,715 | | | | 77,349 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
5.92% | | | | | | 07/25/232 | | | 114,790 | | | | 111,815 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
6.32% | | | | | | 04/25/232 | | | 29,223 | | | | 29,067 | |
SLM Student Loan Trust, | | | | | |
Series 2012-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
5.80% | | | | | | 09/25/282 | | | 120,479 | | | | 114,911 | |
| | | | | | | | | | | | |
| 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%) | | | | | |
5.55% | | | | 01/25/292 | | $ | 69,801 | | | $ | 67,340 | |
SLM Student Loan Trust, | | | | | |
Series 2013-4, Class A | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
5.40% | | | | 06/25/432 | | | 4,722 | | | | 4,569 | |
Sofi Professional Loan Program Trust, | | | | | |
Series 2021-B, Class AFX | | | | | |
1.14% | | | | 02/15/471 | | | 198,488 | | | | 166,075 | |
Sofi Professional Loan Program, LLC, | | | | | |
Series 2019-A, Class A2FX | | | | | |
3.69% | | | | 06/15/481 | | | 136,952 | | | | 132,336 | |
Stack Infrastructure Issuer LLC, | | | | | |
Series 2019-2A, Class A2 | | | | | |
3.08% | | | | 10/25/441 | | | 60,000 | | | | 57,070 | |
Westlake Automobile Receivables Trust, | | | | | |
Series 2023-1A, Class B | | | | | |
5.41% | | | | 01/18/281 | | | 150,000 | | | | 149,118 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $4,153,620) | | | | 4,081,005 | |
| | | | | | | | | | | | |
| |
CORPORATES — 26.16%* | | | | | |
| |
Banking — 7.84% | | | | | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
2.55% | | | | 02/04/284 | | | 235,000 | | | | 214,223 | |
Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
1.31% | | | | 02/02/271,3,4 | | | 145,000 | | | | 123,250 | |
2.59% | | | | 09/11/251,3,4 | | | 230,000 | | | | 213,753 | |
6.37% | | | | 07/15/261,3,4 | | | 20,000 | | | | 19,505 | |
DNB Bank ASA | | | | | |
(Norway) | | | | | |
0.86% | | | | 09/30/251,3,4 | | | 200,000 | | | | 186,790 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
0.98% | | | | 05/24/253,4 | | | 395,000 | | | | 372,201 | |
ING Groep NV | | | | | |
(Netherlands) | | | | | |
3.87% | | | | 03/28/263,4 | | | 200,000 | | | | 193,542 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
4.72% | | | | 08/11/263,4 | | | 60,000 | | | | 58,713 | |
Macquarie Group Ltd. | | | | | |
(Australia) | | | | | |
1.20% | | | | 10/14/251,3,4 | | | 90,000 | | | | 83,920 | |
1.34% | | | | 01/12/271,3,4 | | | 70,000 | | | | 62,516 | |
NatWest Group PLC | | | | | |
(United Kingdom) | | | | | |
4.27% | | | | 03/22/253,4 | | | 105,000 | | | | 102,937 | |
4.52% | | | | 06/25/243,4 | | | 75,000 | | | | 74,645 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.53% | | | | 08/21/263,4 | | | 200,000 | | | | 178,603 | |
4.80% | | | | 11/15/243,4 | | | 75,000 | | | | 73,979 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 30 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | | | 02/11/264 | | | $ | 330,000 | | | $ | 310,647 | |
| | | | | | | | | | | | | | | | |
| | | | 2,269,224 | |
| | | | | | | | | | | | | | | | |
| |
| Communications — 2.47% | | | | | |
AT&T, Inc. | | | | | |
(LIBOR USD 3-Month plus 1.18%) | | | | | |
6.33% | | | | | | | 06/12/24 | 2 | | | 175,000 | | | | 175,840 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | | | | | | 02/01/24 | 2 | | | 125,000 | | | | 125,496 | |
Frontier Communications Holdings LLC | | | | | |
8.63% | | | | | | | 03/15/31 | 1 | | | 32,000 | | | | 31,360 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
6.50% | | | | | | | 03/15/30 | 1,3 | | | 66,000 | | | | 60,768 | |
Intelsat Jackson Holdings SA, | | | | | |
Class B | | | | | |
(Luxembourg) | | | | | |
8.50% | | | | | | | 10/15/24 | †,1,3,5,6,7,8 | | | 20,000 | | | | — | |
9.75% | | | | | | | 07/15/25 | †,1,3,5,6,7,8 | | | 61,000 | | | | — | |
Qwest Corp. | | | | | |
7.25% | | | | | | | 09/15/25 | | | | 100,000 | | | | 93,000 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
5.15% | | | | | | | 03/20/28 | 1 | | | 50,000 | | | | 49,706 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | | | | | | 02/15/26 | | | | 113,000 | | | | 105,467 | |
2.63% | | | | | | | 04/15/26 | | | | 79,000 | | | | 74,015 | |
| | | | | | | | | | | | | | | | |
| | | | 715,652 | |
| | | | | | | | | | | | | | | | |
| |
| Consumer Discretionary — 1.17% | | | | | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | | | | | | 05/15/25 | 1,3 | | | 100,000 | | | | 98,525 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
6.13% | | | | 07/27/271,3 | | | | 35,000 | | | | 35,930 | |
WarnerMedia Holdings, Inc. | | | | | |
3.43% | | | | 03/15/241 | | | | 210,000 | | | | 205,325 | |
| | | | | | | | | | | | | | | | |
| | | | 339,780 | |
| | | | | | | | | | | | | | | | |
| |
| Diversified REITs — 0.35% | | | | | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | | | 01/15/32 | | | | 6,000 | | | | 4,898 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
4.50% | | | | 01/15/281 | | | | 6,000 | | | | 5,564 | |
4.63% | | | | 06/15/251 | | | | 95,000 | | | | 91,901 | |
| | | | | | | | | | | | | | | | |
| | | | 102,363 | |
| | | | | | | | | | | | | | | | |
| |
| Electric — 1.42% | | | | | |
Alliant Energy Finance LLC | | | | | |
3.75% | | | | 06/15/231 | | | | 140,000 | | | | 139,539 | |
American Electric Power Co., Inc. | | | | | |
2.03% | | | | 03/15/24 | | | | 120,000 | | | | 116,403 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/281 | | $ | 63,000 | | | $ | 56,913 | |
Pennsylvania Electric Co. | | | | | |
4.15% | | 04/15/251 | | | 50,000 | | | | 48,438 | |
5.15% | | 03/30/261 | | | 50,000 | | | | 50,251 | |
| | | | | |
| | | | 411,544 | |
| | | | | |
| |
| Energy — 1.41% | | | | | |
Energy Transfer LP | | | | | |
4.25% | | 04/01/24 | | | 150,000 | | | | 148,123 | |
5.50% | | 06/01/27 | | | 12,000 | | | | 12,139 | |
Occidental Petroleum Corp. | | | | | |
0.00% | | 10/10/369 | | | 25,000 | | | | 12,938 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | 10/15/25 | | | 125,000 | | | | 123,805 | |
Southern Co. Gas Capital Corp. | | | | | |
3.88% | | 11/15/25 | | | 100,000 | | | | 97,385 | |
Transocean Poseidon Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | 02/01/271,3 | | | 14,625 | | | | 14,350 | |
| | | | | |
| | | | 408,740 | |
| | | | | |
| |
| Finance — 5.21% | | | | | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/271,3 | | | 5,000 | | | | 4,235 | |
Capital One Financial Corp. | | | | | |
1.34% | | 12/06/244 | | | 120,000 | | | | 115,782 | |
Citigroup, Inc. | | | | | |
3.52% | | 10/27/284 | | | 290,000 | | | | 271,302 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.22% | | 12/06/23 | | | 90,000 | | | | 87,489 | |
1.95% | | 10/21/274 | | | 25,000 | | | | 22,338 | |
Goldman Sachs Group, Inc. (The) | | | | | |
(MTN) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.55% | | 11/29/232 | | | 75,000 | | | | 75,495 | |
JPMorgan Chase & Co. | | | | | |
0.56% | | 02/16/254 | | | 290,000 | | | | 278,185 | |
0.82% | | 06/01/254 | | | 110,000 | | | | 104,328 | |
1.04% | | 02/04/274 | | | 50,000 | | | | 44,643 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | 07/20/274 | | | 260,000 | | | | 230,917 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
4.36% | | 08/01/241,3,4 | | | 75,000 | | | | 74,385 | |
UBS Group AG | | | | | |
(Switzerland) | | | | | |
5.71% | | 01/12/271,3,4 | | | 200,000 | | | | 198,301 | |
| | | | | |
| | | | 1,507,400 | |
| | | | | |
| |
| Health Care — 3.24% | | | | | |
AbbVie, Inc. | | | | | |
3.75% | | 11/14/23 | | | 125,000 | | | | 123,808 | |
Amgen, Inc. | | | | | |
5.15% | | 03/02/28 | | | 130,000 | | | | 132,834 | |
|
| See accompanying Notes to Financial Statements. |
|
| 31 / Annual Report March 2023 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
Bayer U.S. Finance II LLC | | | | | |
4.25% | | | 12/15/251 | | | $ | 165,000 | | | $ | 161,542 | |
Catalent Pharma Solutions, Inc. | | | | | |
3.50% | | | 04/01/301 | | | | 57,000 | | | | 50,145 | |
Embecta Corp. | | | | | |
5.00% | | | 02/15/301 | | | | 45,000 | | | | 38,771 | |
HCA, Inc. | | | | | |
5.00% | | | 03/15/24 | | | | 75,000 | | | | 74,549 | |
5.25% | | | 06/15/26 | | | | 155,000 | | | | 155,257 | |
Humana, Inc. | | | | | |
5.70% | | | 03/13/26 | | | | 70,000 | | | | 70,414 | |
Organon & Co./Organon Foreign Debt Co.-Issuer BV | |
5.13% | | | 04/30/311 | | | | 16,000 | | | | 14,237 | |
Prestige Brands, Inc. | | | | | |
3.75% | | | 04/01/311 | | | | 40,000 | | | | 33,940 | |
Royalty Pharma PLC | | | | | |
(United Kingdom) | | | | | |
0.75% | | | 09/02/233 | | | | 85,000 | | | | 83,332 | |
| | | | | |
| | | | 938,829 | |
| | | | | |
| |
| Industrials — 0.34% | | | | | |
Artera Services LLC | | | | | |
9.03% | | | 12/04/251 | | | | 9,000 | | | | 7,792 | |
General Electric Co. | | | | | |
(MTN) | | | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.38%) | | | | | |
5.19% | | | 05/05/262 | | | | 29,000 | | | | 28,646 | |
(LIBOR USD 3-Month plus 0.48%) | | | | | |
5.34% | | | 08/15/362 | | | | 75,000 | | | | 63,338 | |
| | | | | |
| | | | 99,776 | |
| | | | | |
| |
| Information Technology — 0.88% | | | | | |
NCR Corp. | | | | | |
5.13% | | | 04/15/291 | | | | 8,000 | | | | 6,952 | |
Oracle Corp. | | | | | |
5.80% | | | 11/10/25 | | | | 140,000 | | | | 143,555 | |
VMware, Inc. | | | | | |
1.00% | | | 08/15/24 | | | | 110,000 | | | | 103,708 | |
| | | | | |
| | | | 254,215 | |
| | | | | |
| |
| Insurance — 1.00% | | | | | |
Athene Global Funding | | | | | |
(SOFR Index plus 0.70%) | | | | | |
5.46% | | | 05/24/241,2 | | | | 85,000 | | | | 84,232 | |
Nationwide Mutual Insurance Co. | | | | | |
7.16% | | | 12/15/241,4 | | | | 90,000 | | | | 89,655 | |
Trinity Acquisition PLC | | | | | |
(United Kingdom) | | | | | |
4.63% | | | 08/15/233 | | | | 110,000 | | | | 109,636 | |
Willis North America, Inc. | | | | | |
4.65% | | | 06/15/27 | | | | 5,000 | | | | 4,928 | |
| | | | | |
| | | | 288,451 | |
| | | | | |
| |
| Materials — 0.58% | | | | | |
Georgia-Pacific LLC | | | | | |
3.60% | | | 03/01/251 | | | | 115,000 | | | | 112,057 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
Materials (continued) | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
2.30% | | 11/01/301 | | $ | 70,000 | | | $ | 56,226 | |
| | | | | |
| | | | 168,283 | |
| | | | | |
| |
| Retail — 0.06% | | | | | |
Michaels Cos., Inc. (The) | | | | | |
5.25% | | 05/01/281 | | | 20,000 | | | | 16,689 | |
| | | | | |
| |
| Services — 0.07% | | | | | |
Waste Pro USA, Inc. | | | | | |
5.50% | | 02/15/261 | | | 23,000 | | | | 21,176 | |
| | | | | |
| |
| Specialized REITs — 0.01% | | | | | |
Life Storage LP | | | | | |
2.40% | | 10/15/31 | | | 5,000 | | | | 4,050 | |
| | | | | |
| |
| Transportation — 0.11% | | | | | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | 10/01/24 | | | 30,486 | | | | 30,273 | |
| | | | | |
| |
| Total Corporates | | | | | |
(Cost $7,770,616) | | | | 7,576,445 | |
| | | | | |
| |
| MORTGAGE-BACKED — 31.28%** | | | | | |
|
| Non-Agency Commercial Mortgage-Backed — 9.50% | |
| 1345 Avenue of the Americas & Park Avenue Plaza Trust, | | | | | |
Series 2005-1, Class A3 | | | | | |
5.28% | | 08/10/351 | | | 32,780 | | | | 31,741 | |
ACAM Ltd., | | | | | |
Series 2019-FL1, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 1-Month plus 1.51%) | | | | | |
6.17% | | 11/17/341,2,3 | | | 22,137 | | | | 21,788 | |
AREIT Trust, | | | | | |
Series 2019-CRE3, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.38%) | | | | | |
6.04% | | 09/14/361,2 | | | 16,683 | | | | 16,261 | |
BANK, | | | | | |
Series 2018-BN14, Class A2 | | | | | |
4.13% | | 09/15/60 | | | 57,613 | | | | 56,413 | |
Barclays Commercial Mortgage Securities Trust, | | | | | |
Series 2018-BXH, Class A | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
5.68% | | 10/15/371,2 | | | 72,684 | | | | 70,417 | |
Beast Mortgage Trust, | | | | | |
Series 2021-SSCP, Class A | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
5.43% | | 04/15/361,2 | | | 250,000 | | | | 237,993 | |
BFLD Trust, | | | | | |
Series 2020-EYP, Class A | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
5.83% | | 10/15/351,2 | | | 125,000 | | | | 116,701 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-CIP, Class A | | | | | |
(LIBOR USD 1-Month plus 0.92%) | | | | | |
5.61% | | 12/15/381,2 | | | 130,000 | | | | 125,484 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 32 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
BX Trust, | | | | | |
Series 2021-SDMF, Class A | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
5.27% | | 09/15/341,2 | | $ | 121,000 | | | $ | 115,598 | |
BXMT Ltd., | | | | | |
Series 2020-FL3, Class A | | | | | |
(Cayman Islands) | | | | | |
(SOFR30A plus 1.51%) | | | | | |
6.07% | | 11/15/371,2,3 | | | 410,000 | | | | 399,687 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2015-GC29, Class AAB | | | | | |
2.98% | | 04/10/48 | | | 30,303 | | | | 29,692 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2015-P1, Class AAB | | | | | |
3.47% | | 09/15/48 | | | 26,012 | | | | 25,414 | |
Cold Storage Trust, | | | | | |
Series 2020-ICE5, Class A | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.58% | | 11/15/371,2 | | | 108,129 | | | | 105,470 | |
Commercial Mortgage Trust, | | | | | |
Series 2012-CR4, Class XA (IO) | | | | | |
1.19% | | 10/15/454 | | | 75,030 | | | | 1 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-CR11, Class ASB | | | | | |
3.66% | | 08/10/50 | | | 1,590 | | | | 1,581 | |
Commercial Mortgage Trust, | | | | | |
Series 2015-LC23, Class A2 | | | | | |
3.22% | | 10/10/48 | | | 37,887 | | | | 35,821 | |
Commercial Mortgage Trust, | | | | | |
Series 2015-PC1, Class A4 | | | | | |
3.62% | | 07/10/50 | | | 76,416 | | | | 73,629 | |
Credit Suisse Mortgage Capital Certificates, | | | | | |
Series 2019-ICE4, Class A | | | | | |
(LIBOR USD 1-Month plus 0.98%) | | | | | |
5.66% | | 05/15/361,2 | | | 244,392 | | | | 241,837 | |
GS Mortgage Securities Trust, | | | | | |
Series 2010-C1, Class X (IO) | | | | | |
0.46% | | 08/10/431,4 | | | 1,531,888 | | | | 1,290 | |
GS Mortgage Securities Trust, | | | | | |
Series 2011-GC3, Class X (IO) | | | | | |
0.00% | | 03/10/441,4 | | | 325,550 | | | | 3 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2013-C17, Class XA (IO) | | | | | |
0.68% | | 01/15/474 | | | 1,437,653 | | | | 3,106 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C19, Class A3 | | | | | |
3.67% | | 04/15/47 | | | 41,948 | | | | 41,347 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-C13, Class XA (IO) | | | | | |
0.11% | | 01/15/464 | | | 4,269,741 | | | | 167 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | | | | | |
1.26% | | 04/15/464 | | | 1,084,923 | | | | 5,617 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2015-JP1, Class XA (IO) | | | | | |
0.89% | | 01/15/494,5,7 | | | 634,573 | | | | 12,667 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
LB-UBS Commercial Mortgage Trust, | | | | | |
Series 2006-C6, Class XCL (IO) | | | | | |
0.43% | | 09/15/391,4 | | $ | 303,520 | | | $ | 36 | |
MF1 Ltd., | | | | | |
Series 2020-FL4, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.81%) | | | | | |
6.47% | | 11/15/351,2 | | | 144,703 | | | | 144,905 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C13, Class ASB | | | | | |
3.56% | | 11/15/46 | | | 1,822 | | | | 1,811 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C14, Class XA (IO) | | | | | |
0.90% | | 02/15/474 | | | 867,888 | | | | 2,812 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C26, Class ASB | | | | | |
3.32% | | 10/15/48 | | | 39,078 | | | | 37,946 | |
One New York Plaza Trust, | | | | | |
Series 2020-1NYP, Class A | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
5.63% | | 01/15/361,2 | | | 94,000 | | | | 90,212 | |
SREIT Trust, | | | | | |
Series 2021-MFP, Class A | | | | | |
(LIBOR USD 1-Month plus 0.73%) | | | | | |
5.42% | | 11/15/381,2 | | | 250,000 | | | | 239,635 | |
TMSQ Mortgage Trust, | | | | | |
Series 2014-1500, Class XA (IO) | | | | | |
0.15% | | 10/10/361,4 | | | 14,000,000 | | | | 29,341 | |
UBS-Barclays Commercial Mortgage Trust, | | | | | |
Series 2012-C3, Class XB (IO) | | | | | |
0.17% | | 08/10/491,4,5,7 | | | 247,265 | | | | 101 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2014-LC16, Class A4 | | | | | |
3.55% | | 08/15/50 | | | 72,222 | | | | 70,647 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2017-SMP, Class A | | | | | |
(LIBOR USD 1-Month plus 0.88%) | | | | | |
5.56% | | 12/15/341,2 | | | 200,000 | | | | 188,555 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C20, Class A4 | | | | | |
3.72% | | 05/15/47 | | | 112,801 | | | | 111,040 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C21, Class ASB | | | | | |
3.39% | | 08/15/47 | | | 10,926 | | | | 10,775 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C25, Class XA (IO) | | | | | |
0.79% | | 11/15/474 | | | 4,929,032 | | | | 47,080 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-LC14, Class ASB | | | | | |
3.52% | | 03/15/47 | | | 6,373 | | | | 6,319 | |
| | | | | |
| | | | 2,750,940 | |
| | | | | |
| |
Non-Agency Mortgage-Backed — 8.11% | | | | | |
Alternative Loan Trust, | | | | | |
Series 2007-22, Class 2A16 | | | | | |
6.50% | | 09/25/37 | | | 195,141 | | | | 83,211 | |
|
| See accompanying Notes to Financial Statements. |
|
| 33 / Annual Report March 2023 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Asset-Backed Funding Certificates, | | | | | |
Series 2004-OPT4, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.75% | | | 02/25/34 | 2 | | $ | 86,526 | | | $ | 83,508 | |
Banc of America Funding Trust, | | | | | |
Series 2014-R7, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.15%) | | | | | |
5.00% | | | 05/26/36 | 1,2 | | | 3,257 | | | | 3,291 | |
Banc of America Funding Trust, | | | | | |
Series 2015-R7, Class 1A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.92%) | | | | | |
2.91% | | | 09/26/46 | 1,2 | | | 44,410 | | | | 44,182 | |
Centex Home Equity Loan Trust, | | | | | |
Series 2005-B, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
5.49% | | | 03/25/35 | 2 | | | 100,870 | | | | 99,314 | |
Centex Home Equity Loan Trust, | | | | | |
Series 2005-D, Class M4 | | | | | |
(LIBOR USD 1-Month plus 0.92%) | | | | | |
5.76% | | | 10/25/35 | 2 | | | 52,976 | | | | 52,846 | |
CIM Trust, | | | | | |
Series 2019-R1, Class A | | | | | |
3.25% | | | 10/25/58 | 1,4 | | | 88,467 | | | | 77,391 | |
CIM Trust, | | | | | |
Series 2021-R3, Class A1A | | | | | |
1.95% | | | 06/25/57 | 1,4 | | | 113,319 | | | | 99,446 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2005-HE4, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
5.52% | | | 10/25/35 | 2 | | | 143,000 | | | | 136,168 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2007-WFH3, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.39%) | | | | | |
5.24% | | | 06/25/37 | 2 | | | 94,017 | | | | 91,356 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2007-13, Class 2A1 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.75% | | | 10/25/47 | 2 | | | 60,066 | | | | 54,164 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2005-9, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | | 05/25/35 | 2 | | | 40,436 | | | | 33,084 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2003-CB1, Class AF (STEP-reset date 05/25/23) | | | | | |
3.95% | | | 01/25/33 | | | | 5,068 | | | | 4,670 | |
DSLA Mortgage Loan Trust, | | | | | |
Series 2004-AR3, Class 2A2A | | | | | |
(LIBOR USD 1-Month plus 0.74%) | | | | | |
5.50% | | | 07/19/44 | 2 | | | 2,025 | | | | 1,774 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF4, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
4.83% | | | 03/25/36 | 2 | | | 19,946 | | | | 19,686 | |
| | | | | | | | | | | | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
GMACM Mortgage Corp. Loan Trust, | | | | | |
Series 2006-AR1, Class 1A1 | | | | | |
3.28% | | | 04/19/36 | 4 | | $ | 60,679 | | | $ | 45,896 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2005-4, Class 2A | | | | | |
4.21% | | | 07/19/35 | 4 | | | 701 | | | | 614 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2005-9, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.68%) | | | | | |
5.44% | | | 06/20/35 | 2 | | | 105,279 | | | | 94,826 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2007-WF1, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.32%) | | | | | |
5.17% | | | 05/25/37 | 2 | | | 36,033 | | | | 35,819 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR5, Class 2A1A | | | | | |
(LIBOR USD 1-Month plus 0.86%) | | | | | |
5.71% | | | 08/25/34 | 2 | | | 6,215 | | | | 5,092 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2006-AR4, Class A1A | | | | | |
(LIBOR USD 1-Month plus 0.42%) | | | | | |
5.27% | | | 05/25/46 | 2 | | | 71,840 | | | | 62,975 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR1, Class 2A1 | | | | | |
3.52% | | | 06/25/37 | 4 | | | 57,471 | | | | 37,120 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2005-WMC1, Class M3 | | | | | |
(LIBOR USD 1-Month plus 0.71%) | | | | | |
5.55% | | | 09/25/35 | 2 | | | 145,794 | | | | 139,227 | |
Long Beach Mortgage Loan Trust, | | | | | |
Series 2004-4, Class 1A1 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
5.41% | | | 10/25/34 | 2 | | | 100,360 | | | | 94,064 | |
Morgan Stanley ABS Capital I, Inc. Trust, | | | | | |
Series 2007-HE7, Class A2B | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
5.85% | | | 07/25/37 | 2 | | | 65,027 | | | | 63,084 | |
| Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates, | | | | | |
Series 2005-4, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.69%) | | | | | |
5.54% | | | 11/25/35 | 2 | | | 76,532 | | | | 70,046 | |
PRPM LLC, | | | | | |
Series 2021-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | | 04/25/26 | 1 | | | 159,291 | | | | 148,605 | |
PRPM LLC, | | | | | |
Series 2021-6, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.79% | | | 07/25/26 | 1 | | | 67,199 | | | | 62,243 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2004-SL1, Class A2 | | | | | |
8.50% | | | 11/25/31 | | | | 4,097 | | | | 1,374 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2006-NC3, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.34%) | | | | | |
5.36% | | | 03/25/36 | 2 | | | 82,007 | | | | 78,153 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 34 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Residential Asset Securities Corp., | | | | | |
Series 2005-AHL2, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.63%) | | | | | |
5.48% | | 10/25/352 | | $ | 21,452 | | | $ | 21,351 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2006-AR1, Class 3A1 | | | | | |
(LIBOR USD 1-Month plus 0.46%) | | | | | |
5.31% | | 02/25/362 | | | 38,899 | | | | 30,883 | |
Terwin NIMs Trust, | | | | | |
Series 2004-13AL, Class 2PX (IO) | | | | | |
0.34% | | 08/25/341,5,7 | | | 1,439,659 | | | | 17,136 | |
VOLT CIII LLC, | | | | | |
| Series 2021-CF1, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.99% | | 08/25/511 | | | 94,559 | | | | 86,222 | |
VOLT XCIX, LLC, | | | | | |
| Series 2021-NPL8, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.12% | | 04/25/511 | | | 193,746 | | | | 177,449 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2002-AR6, Class A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.40%) | | | | | |
4.54% | | 06/25/422 | | | 1,075 | | | | 959 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR8, Class 2AB2 | | | | | |
(LIBOR USD 1-Month plus 0.84%) | | | | | |
5.69% | | 07/25/452 | | | 92,185 | | | | 87,462 | |
| Wells Fargo Home Equity Asset-Backed Securities Trust, | | | | | |
Series 2005-4, Class M3 | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
5.60% | | 12/25/352 | | | 100,000 | | | | 97,617 | |
Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
Series 2003-I, Class A1 | | | | | |
4.17% | | 09/25/334 | | | 5,635 | | | | 5,420 | |
| | | | | | | | | | | | |
| | | | 2,347,728 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 1.55% | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series K031, Class X1 (IO) | | | | | |
0.17% | | 04/25/234 | | | 10,133,905 | | | | 49 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series K033, Class X1 (IO) | | | | | |
0.28% | | 07/25/234 | | | 3,405,863 | | | | 954 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series K036, Class X1 (IO) | | | | | |
0.68% | | 10/25/234 | | | 4,785,753 | | | | 11,051 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series K044, Class X1 (IO) | | | | | |
0.74% | | 01/25/254 | | | 1,103,976 | | | | 13,375 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series K732, Class X3 (IO) | | | | | |
2.17% | | 05/25/464 | | | 250,000 | | | | 11,115 | |
| | | | | | | | | | | | |
| 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) | | | | | |
1.21% | | 06/25/274 | | $ | 963,217 | | | $ | 28,871 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series KF88, Class AL | | | | | |
(LIBOR USD 1-Month plus 0.33%) | | | | | |
5.00% | | 09/25/302 | | | 118,056 | | | | 117,286 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series KJ30, Class A1 | | | | | |
0.53% | | 01/25/25 | | | 51,828 | | | | 51,349 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series KJ31, Class A1 | | | | | |
0.57% | | 05/25/26 | | | 27,531 | | | | 26,367 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series KJ32, Class A1 | | | | | |
0.52% | | 06/25/25 | | | 50,596 | | | | 48,193 | |
Freddie Mac Multifamily Structured Pass-Through | | | | | |
Certificates, | | | | | |
Series KS07, Class X (IO) | | | | | |
0.62% | | 09/25/254 | | | 2,873,463 | | | | 40,240 | |
Ginnie Mae, | | | | | |
Series 2014-157, Class C | | | | | |
3.15% | | 10/16/544 | | | 103,263 | | | | 100,335 | |
| | | | | | | | | | | | |
| | | | 449,185 | |
| | | | | | | | | | | | |
| |
U.S. Agency Mortgage-Backed — 12.12% | | | | | |
Fannie Mae Pool 802665 | | | | | |
(LIBOR USD 6-Month plus 1.74%) | | | | | |
3.86% | | 12/01/342 | | | 570 | | | | 559 | |
Fannie Mae Pool AL0851 | | | | | |
6.00% | | 10/01/40 | | | 1,705 | | | | 1,806 | |
Fannie Mae REMICS, | | | | | |
Series 1997-91, Class SL (IO) | | | | | |
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap) | | | | | |
6.68% | | 11/25/232 | | | 796 | | | | 5 | |
Fannie Mae REMICS, | | | | | |
Series 2002-21, Class FB | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.75% | | 04/25/322 | | | 18,462 | | | | 18,564 | |
Fannie Mae REMICS, | | | | | |
Series 2002-53, Class FY | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 08/25/322 | | | 68,958 | | | | 68,923 | |
Fannie Mae REMICS, | | | | | |
Series 2003-11, Class FA | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
5.85% | | 09/25/322 | | | 3,274 | | | | 3,318 | |
Fannie Mae REMICS, | | | | | |
Series 2003-81, Class FE | | | | | |
(LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 09/25/332 | | | 24,053 | | | | 23,944 | |
|
| See accompanying Notes to Financial Statements. |
|
| 35 / Annual Report March 2023 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, | |
| Series 2006-48, Class FL | |
| (LIBOR USD 1-Month plus 0.40%) | |
5.25% | | | 06/25/36 | 2 | | $ | 31,433 | | | $ | 31,086 | |
| Fannie Mae REMICS, | |
| Series 2006-8, Class NF | |
| (LIBOR USD 1-Month plus 0.37%) | |
5.22% | | | 03/25/36 | 2 | | | 26,169 | | | | 25,798 | |
| Fannie Mae REMICS, | |
| Series 2008-12, Class FA | |
| (LIBOR USD 1-Month plus 0.67%) | |
5.52% | | | 03/25/38 | 2 | | | 83,404 | | | | 83,152 | |
| Fannie Mae REMICS, | |
| Series 2010-109, Class PF | |
| (LIBOR USD 1-Month plus 0.40%) | |
5.25% | | | 10/25/40 | 2 | | | 2,820 | | | | 2,801 | |
| Fannie Mae REMICS, | |
| Series 2010-74, Class AF | |
| (LIBOR USD 1-Month plus 0.54%) | |
5.39% | | | 07/25/37 | 2 | | | 27,520 | | | | 27,319 | |
| Freddie Mac REMICS, | |
| Series 2684, Class F | |
| (LIBOR USD 1-Month plus 0.90%) | |
5.58% | | | 01/15/33 | 2 | | | 2,935 | | | | 2,970 | |
| Freddie Mac REMICS, | |
| Series 3231, Class FB | |
| (LIBOR USD 1-Month plus 0.35%) | |
5.03% | | | 10/15/36 | 2 | | | 50,351 | | | | 49,541 | |
| Freddie Mac Strips, | |
| Series 263, Class F5 | |
| (LIBOR USD 1-Month plus 0.50%) | |
5.18% | | | 06/15/42 | 2 | | | 7,964 | | | | 7,863 | |
| Ginnie Mae (TBA) | |
4.50% | | | 04/20/53 | | | | 150,000 | | | | 147,804 | |
5.00% | | | 04/20/53 | | | | 75,000 | | | | 75,099 | |
| UMBS (TBA) | |
2.50% | | | 05/01/53 | | | | 150,000 | | | | 129,457 | |
3.00% | | | 05/01/53 | | | | 575,000 | | | | 516,310 | |
3.50% | | | 05/01/53 | | | | 50,000 | | | | 46,477 | |
4.00% | | | 05/01/53 | | | | 475,000 | | | | 454,590 | |
4.50% | | | 04/15/53 | | | | 150,000 | | | | 146,966 | |
4.50% | | | 05/01/53 | | | | 350,000 | | | | 343,038 | |
5.00% | | | 05/01/53 | | | | 675,000 | | | | 673,128 | |
5.50% | | | 04/01/53 | | | | 625,000 | | | | 631,360 | |
| | | | | | | | | | | | | | |
| | | | 3,511,878 | |
| | | | | | | | | | | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $9,911,809) | | | | 9,059,731 | |
| | | | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 1.23%* | | | | | |
Colorado — 0.46% | | | | | |
| City & County of Denver Airport System Revenue Bonds, | | | | | |
| Series C | |
0.88% | | | 11/15/23 | | | | 135,000 | | | | 131,445 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
MUNICIPAL BONDS (continued) | | | | | |
| |
Maryland — 0.28% | | | | | |
| City of Baltimore General Obligation, School Improvements, | | | | | |
| Series C | |
5.00% | | | | 10/15/25 | | | $ | 80,000 | | | $ | 80,493 | |
| | | | | |
| |
New York — 0.49% | | | | | |
| New York City Transitional Finance Authority Future Tax | | | | | |
| Secured Revenue Bonds, Public Improvements, Series A2 | | | | | |
2.15% | | | | 05/01/25 | | | | 150,000 | | | | 142,709 | |
| | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $374,151) | | | | 354,647 | |
| | | | | |
| |
Total Bonds — 72.76% | | | | | |
(Cost $22,210,196) | | | | 21,071,828 | |
| | | | | |
| | | | | | | | | | | | | | | | |
| Issues | | | | | | | | Shares | | | Value | |
| |
COMMON STOCK — 0.07% | | | | | |
Communications — 0.07% | | | | | |
Intelsat Emergence SA3,5,7 | | | | | |
(Luxembourg) | | | | 772 | | | | 20,072 | |
| | | | | |
Total Common Stock | | | | | |
(Cost $25,862) | | | | | |
| |
RIGHTS — 0.00% | | | | | |
Communications — 0.00% | | | | | |
Intelsat Jackson Holdings SA, Series A†,3,5,7,8 | |
(Luxembourg) | | | | 80 | | | | — | |
Intelsat Jackson Holdings SA, Series B†,3,5,7,8 | |
(Luxembourg) | | | | 80 | | | | — | |
| | | | | |
| | | | — | |
| | | | | |
Total Rights (Cost $–) | | | | — | |
| | | | | |
| | | | | | | | | | | | | | | | |
| Issues | | | | | | | | Shares | | | Value | |
| |
MUTUAL FUNDS — 0.25% | | | | | |
Mutual Funds — 0.25% | | | | | |
| SPDR S&P 500 ETF Trust10 | | | | 175 | | | | 71,643 | |
| | | | | |
| |
Total Mutual Funds | | | | | |
(Cost $68,392) | | | | | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value | |
| |
SHORT-TERM INVESTMENTS — 26.76% | | | | | |
Money Market Funds — 8.95% | | | | | |
Dreyfus Government Cash Management Fund | | | | | |
4.71%11 | | | 1,180,000 | | | | 1,180,000 | |
| Fidelity Investments Money Market Funds -Government Portfolio | | | | | |
4.72%11 | | | 23,808 | | | | 23,808 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 36 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | Maturity Date | | | Principal Amount/Shares | | | Value | |
| |
SHORT-TERM INVESTMENTS (continued) | | | | | |
Money Market Funds (continued) | | | | | |
| Morgan Stanley Institutional Liquidity Funds -Government Portfolio | | | | | |
4.73%11 | | | | 1,387,000 | | | $ | 1,387,000 | |
| | | | | |
| | | | 2,590,808 | |
| | | | | |
U.S. Treasury Bills — 17.81% | | | | | |
U.S. Treasury Bills | | | | | |
4.50%12 | | | 05/11/23 | | | $ | 2,000,000 | | | | 1,990,490 | |
4.75%12 | | | 07/20/23 | | | | 500,000 | | | | 493,145 | |
4.76%12 | | | 08/03/23 | | | | 1,500,000 | | | | 1,476,083 | |
5.07%12 | | | 08/31/23 | | | | 470,000 | | | | 460,929 | |
U.S. Treasury Bills (WI) | | | | | |
4.76%12 | | | 07/18/23 | | | | 750,000 | | | | 739,726 | |
| | | | | |
| | | | 5,160,373 | |
| | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $7,749,520) | | | | 7,751,181 | |
| | | | | |
| |
Total Investments - 99.84% | | | | | |
(Cost $30,053,970) | | | | 28,914,724 | |
| | | | | |
| |
Cash and Other Assets, Less
Liabilities - 0.16% | | | | 46,729 | |
| | | | | |
Net Assets - 100.00% | | | $ | 28,961,453 | |
| | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 | Security is currently in default with regard to scheduled interest or principal payments. |
| 7 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $49,976, which is 0.17% of total net assets. |
| 8 | Non-income producing security. |
| 9 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2023. |
| 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 March 31, 2023. |
| 12 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved 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
(ETF): Exchange-Traded Fund
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(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
(WI): When Issued
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized
Appreciation | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | |
S&P 500 E-mini Index | | 139 | | 06/16/23 | | $ | 28,757,363 | | | $ | 1,723,515 | | | $ | 1,723,515 | |
| | | | | | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 37 / Annual Report March 2023 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 97.87% | | | | | |
| |
| ASSET-BACKED SECURITIES — 0.50%** | | | | | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | 05/10/371,2,3 | | $ | 39,754 | | | $ | 35,886 | |
| | | | | |
| |
Total Asset-Backed Securities (Cost $39,755) | | | | | |
| |
| CORPORATES — 86.46%* | | | | | |
| |
| Banking — 13.37% | | | | | |
Bank of America Corp. | | | | | |
1.73% | | 07/22/273 | | | 63,000 | | | | 56,510 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
1.92% | | 10/24/313 | | | 20,000 | | | | 15,994 | |
2.09% | | 06/14/293 | | | 110,000 | | | | 94,721 | |
3.97% | | 03/05/293 | | | 20,000 | | | | 18,977 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
2.65% | | 03/11/323 | | | 10,000 | | | | 8,361 | |
Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
1.31% | | 02/02/273,4,5 | | | 30,000 | | | | 25,500 | |
3.09% | | 05/14/323,4,5 | | | 30,000 | | | | 24,144 | |
6.54% | | 08/12/333,4,5 | | | 40,000 | | | | 41,000 | |
9.02% | | 11/15/333,4,5 | | | 15,000 | | | | 17,850 | |
Discover Bank | | | | | |
(BKNT) | | | | | |
3.45% | | 07/27/26 | | | 10,000 | | | | 9,244 | |
DNB Bank ASA | | | | | |
(Norway) | | | | | |
1.13% | | 09/16/263,4,5 | | | 50,000 | | | | 44,904 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.21% | | 08/17/293,4 | | | 120,000 | | | | 101,163 | |
JPMorgan Chase & Co. | | | | | |
1.58% | | 04/22/273 | | | 30,000 | | | | 26,965 | |
2.07% | | 06/01/293 | | | 15,000 | | | | 12,954 | |
4.01% | | 04/23/293 | | | 20,000 | | | | 19,159 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | | 10,000 | | | | 8,881 | |
4.72% | | 08/11/263,4 | | | 35,000 | | | | 34,249 | |
Macquarie Group Ltd. | | | | | |
(Australia) | | | | | |
1.34% | | 01/12/273,4,5 | | | 10,000 | | | | 8,931 | |
1.63% | | 09/23/273,4,5 | | | 30,000 | | | | 26,377 | |
NatWest Group PLC | | | | | |
(United Kingdom) | | | | | |
4.27% | | 03/22/253,4 | | | 50,000 | | | | 49,018 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/343 | | | 100,000 | | | | 98,814 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.09% | | 03/15/253,4 | | | 55,000 | | | | 52,010 | |
U.S. Bancorp | | | | | |
4.84% | | 02/01/343 | | | 20,000 | | | | 19,413 | |
5.85% | | 10/21/333 | | | 15,000 | | | | 15,704 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
3.35% | | 03/02/333 | | $ | 130,000 | | | $ | 112,848 | |
5.01% | | 04/04/513 | | | 15,000 | | | | 14,144 | |
| | | | | |
| | | | 957,835 | |
| | | | | |
| |
| Communications — 7.05% | | | | | |
AT&T, Inc. | | | | | |
3.80% | | 12/01/57 | | | 78,000 | | | | 58,202 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
2.30% | | 02/01/32 | | | 20,000 | | | | 15,255 | |
3.90% | | 06/01/52 | | | 5,000 | | | | 3,316 | |
5.38% | | 05/01/47 | | | 42,000 | | | | 34,564 | |
5.75% | | 04/01/48 | | | 20,000 | | | | 17,471 | |
Comcast Corp. | | | | | |
3.45% | | 02/01/50 | | | 15,000 | | | | 11,606 | |
4.00% | | 11/01/49 | | | 15,000 | | | | 12,596 | |
Cox Communications, Inc. | | | | | |
2.60% | | 06/15/315 | | | 40,000 | | | | 33,069 | |
Fox Corp. | | | | | |
3.50% | | 04/08/30 | | | 25,000 | | | | 22,869 | |
Meta Platforms, Inc. | | | | | |
3.85% | | 08/15/32 | | | 10,000 | | | | 9,363 | |
Qwest Corp. | | | | | |
7.25% | | 09/15/25 | | | 20,000 | | | | 18,600 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/445 | | | 35,000 | | | | 27,567 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | 03/20/285 | | | 15,000 | | | | 14,912 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
3.98% | | 04/11/294,5 | | | 30,000 | | | | 28,416 | |
Time Warner Cable LLC | | | | | |
5.50% | | 09/01/41 | | | 33,000 | | | | 28,546 | |
T-Mobile USA, Inc. | | | | | |
2.55% | | 02/15/31 | | | 93,000 | | | | 78,865 | |
3.88% | | 04/15/30 | | | 10,000 | | | | 9,391 | |
4.50% | | 04/15/50 | | | 12,000 | | | | 10,461 | |
Verizon Communications, Inc. | | | | | |
2.36% | | 03/15/32 | | | 45,000 | | | | 36,963 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 09/17/504 | | | 41,000 | | | | 33,548 | |
| | | | | |
| | | | 505,580 | |
| | | | | |
| |
| Consumer Discretionary — 3.45% | | | | | |
Altria Group, Inc. | | | | | |
3.70% | | 02/04/51 | | | 5,000 | | | | 3,373 | |
3.88% | | 09/16/46 | | | 11,000 | | | | 7,931 | |
5.95% | | 02/14/49 | | | 15,000 | | | | 14,235 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.70% | | 05/15/284,5 | | | 20,000 | | | | 19,850 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 38 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Consumer Discretionary (continued) | | | | | |
BAT Capital Corp. | | | | | |
4.39% | | 08/15/37 | | $ | 35,000 | | | $ | 28,588 | |
4.54% | | 08/15/47 | | | 40,000 | | | | 29,841 | |
Constellation Brands, Inc. | | | | | |
3.75% | | 05/01/50 | | | 35,000 | | | | 27,727 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 07/21/254,5 | | | 35,000 | | | | 33,978 | |
JDE Peet’s NV | | | | | |
(Netherlands) | | | | | |
2.25% | | 09/24/314,5 | | | 25,000 | | | | 19,755 | |
WarnerMedia Holdings, Inc. | | | | | |
4.28% | | 03/15/325 | | | 10,000 | | | | 8,929 | |
5.14% | | 03/15/525 | | | 65,000 | | | | 52,810 | |
| | | | | |
| | | | 247,017 | |
| | | | | |
| |
| Diversified REITs — 3.74% | | | | | |
American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 30,000 | | | | 24,116 | |
American Tower Corp. | | | | | |
5.65% | | 03/15/33 | | | 15,000 | | | | 15,449 | |
Crown Castle, Inc. | | | | | |
3.30% | | 07/01/30 | | | 50,000 | | | | 45,117 | |
Equinix, Inc. | | | | | |
3.90% | | 04/15/32 | | | 37,000 | | | | 33,685 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | 01/15/32 | | | 2,000 | | | | 1,633 | |
4.00% | | 01/15/30 | | | 65,000 | | | | 57,800 | |
LXP Industrial Trust | | | | | |
2.38% | | 10/01/31 | | | 5,000 | | | | 3,854 | |
2.70% | | 09/15/30 | | | 45,000 | | | | 36,608 | |
VICI Properties LP | | | | | |
5.13% | | 05/15/32 | | | 20,000 | | | | 18,959 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
4.63% | | 06/15/255 | | | 18,000 | | | | 17,413 | |
Weyerhaeuser Co. | | | | | |
3.38% | | 03/09/33 | | | 15,000 | | | | 13,196 | |
| | | | | |
| | | | 267,830 | |
| | | | | |
| |
| Electric — 8.54% | | | | | |
AEP Transmission Co. LLC, | | | | | |
Series M | | | | | |
3.65% | | 04/01/50 | | | 5,000 | | | | 3,975 | |
AEP Transmission Co. LLC, | | | | | |
Series N | | | | | |
2.75% | | 08/15/51 | | | 40,000 | | | | 26,584 | |
Alabama Power Co. | | | | | |
5.50% | | 03/15/41 | | | 9,000 | | | | 9,023 | |
Alliant Energy Finance LLC | | | | | |
1.40% | | 03/15/265 | | | 45,000 | | | | 39,921 | |
Appalachian Power Co. | | | | | |
4.45% | | 06/01/45 | | | 10,000 | | | | 8,577 | |
Arizona Public Service Co. | | | | | |
6.35% | | 12/15/32 | | | 15,000 | | | | 16,359 | |
Baltimore Gas and Electric Co. | | | | | |
2.90% | | 06/15/50 | | | 33,000 | | | | 22,877 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Electric (continued) | | | | | |
Black Hills Corp. | | | | | |
4.35% | | 05/01/33 | | $ | 35,000 | | | $ | 32,257 | |
Consolidated Edison Co. of New York, Inc., | | | | | |
Series 2017 | | | | | |
3.88% | | 06/15/47 | | | 10,000 | | | | 8,193 | |
Duke Energy Carolinas LLC | | | | | |
3.75% | | 06/01/45 | | | 70,000 | | | | 57,119 | |
3.88% | | 03/15/46 | | | 15,000 | | | | 12,297 | |
5.35% | | 01/15/53 | | | 9,000 | | | | 9,406 | |
Evergy, Inc. | | | | | |
2.45% | | 09/15/24 | | | 5,000 | | | | 4,793 | |
FirstEnergy Transmission LLC | | | | | |
5.45% | | 07/15/445 | | | 30,000 | | | | 28,721 | |
Florida Power & Light Co. | | | | | |
4.13% | | 02/01/42 | | | 65,000 | | | | 57,736 | |
Interstate Power and Light Co. | | | | | |
2.30% | | 06/01/30 | | | 20,000 | | | | 16,769 | |
ITC Holdings Corp. | | | | | |
4.05% | | 07/01/23 | | | 10,000 | | | | 9,966 | |
4.95% | | 09/22/275 | | | 15,000 | | | | 15,113 | |
Metropolitan Edison Co. | | | | | |
4.00% | | 04/15/255 | | | 39,000 | | | | 37,244 | |
MidAmerican Energy Co. | | | | | |
4.25% | | 05/01/46 | | | 10,000 | | | | 8,754 | |
Narragansett Electric Co. (The) | | | | | |
3.40% | | 04/09/305 | | | 10,000 | | | | 9,168 | |
Niagara Mohawk Power Corp. | | | | | |
5.78% | | 09/16/525 | | | 15,000 | | | | 15,615 | |
Oklahoma Gas and Electric Co. | | | | | |
5.60% | | 04/01/53 | | | 10,000 | | | | 10,283 | |
PacifiCorp. | | | | | |
4.13% | | 01/15/49 | | | 60,000 | | | | 51,545 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | 08/01/25 | | | 20,000 | | | | 19,431 | |
Virginia Electric & Power Co., | | | | | |
Series B | | | | | |
3.80% | | 09/15/47 | | | 20,000 | | | | 16,044 | |
Virginia Electric and Power Co. | | | | | |
2.45% | | 12/15/50 | | | 12,000 | | | | 7,411 | |
Vistra Operations Co., LLC | | | | | |
3.55% | | 07/15/245 | | | 6,000 | | | | 5,791 | |
Xcel Energy, Inc. | | | | | |
4.80% | | 09/15/41 | | | 55,000 | | | | 50,825 | |
| | | | | |
| | | | 611,797 | |
| | | | | |
| |
| Energy — 4.75% | | | | | |
Aker BP ASA | | | | | |
(Norway) | | | | | |
3.10% | | 07/15/314,5 | | | 30,000 | | | | 25,420 | |
Boston Gas Co. | | | | | |
3.76% | | 03/16/325 | | | 10,000 | | | | 9,047 | |
Enbridge, Inc. | | | | | |
(Canada) | | | | | |
5.70% | | 03/08/334 | | | 22,000 | | | | 22,894 | |
Energy Transfer LP | | | | | |
5.00% | | 05/15/50 | | | 45,000 | | | | 38,334 | |
See accompanying Notes to Financial Statements.
|
| 39 / Annual Report March 2023 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
5.40% | | 10/01/47 | | $ | 6,000 | | | $ | 5,351 | |
6.13% | | 12/15/45 | | | 12,000 | | | | 11,607 | |
EQM Midstream Partners LP | | | | | |
6.50% | | 07/15/48 | | | 8,000 | | | | 6,240 | |
KeySpan Gas East Corp. | | | | | |
5.82% | | 04/01/415 | | | 15,000 | | | | 15,091 | |
Kinder Morgan Energy Partners LP | | | | | |
5.80% | | 03/15/35 | | | 15,000 | | | | 15,284 | |
Kinder Morgan Energy Partners LP | | | | | |
(MTN) | | | | | |
6.95% | | 01/15/38 | | | 5,000 | | | | 5,620 | |
Kinder Morgan, Inc. | | | | | |
(GMTN) | | | | | |
7.80% | | 08/01/31 | | | 5,000 | | | | 5,746 | |
NGPL Pipe Co. LLC | | | | | |
3.25% | | 07/15/315 | | | 20,000 | | | | 16,942 | |
4.88% | | 08/15/275 | | | 10,000 | | | | 9,697 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
7.69% | | 01/23/504 | | | 25,000 | | | | 17,661 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.50% | | 12/15/26 | | | 13,000 | | | | 12,736 | |
Rockies Express Pipeline LLC | | | | | |
3.60% | | 05/15/255 | | | 30,000 | | | | 28,222 | |
6.88% | | 04/15/405 | | | 17,000 | | | | 14,195 | |
Sabine Pass Liquefaction LLC | | | | | |
4.20% | | 03/15/28 | | | 3,000 | | | | 2,886 | |
Southern Co. Gas Capital Corp. | | | | | |
4.40% | | 06/01/43 | | | 10,000 | | | | 8,459 | |
5.88% | | 03/15/41 | | | 30,000 | | | | 31,834 | |
Southern Natural Gas Co. LLC | | | | | |
4.80% | | 03/15/475 | | | 15,000 | | | | 12,916 | |
TransCanada PipeLines Ltd. | | | | | |
(Canada) | | | | | |
5.00% | | 10/16/434 | | | 15,000 | | | | 13,690 | |
Williams Cos., Inc. (The) | | | | | |
3.50% | | 10/15/51 | | | 15,000 | | | | 10,682 | |
| | | | | |
| | | | 340,554 | |
| | | | | |
| |
| Finance — 12.17% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
3.00% | | 10/29/284 | | | 15,000 | | | | 13,092 | |
3.30% | | 01/30/324 | | | 28,000 | | | | 23,139 | |
3.88% | | 01/23/284 | | | 4,000 | | | | 3,708 | |
Air Lease Corp. | | | | | |
3.63% | | 12/01/27 | | | 19,000 | | | | 17,441 | |
4.25% | | 09/15/24 | | | 10,000 | | | | 9,800 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/274,5 | | | 3,000 | | | | 2,541 | |
2.75% | | 02/21/284,5 | | | 10,000 | | | | 8,355 | |
2.88% | | 02/15/254,5 | | | 15,000 | | | | 14,063 | |
4.38% | | 05/01/264,5 | | | 10,000 | | | | 9,395 | |
Capital One Financial Corp. | | | | | |
3.27% | | 03/01/303 | | | 10,000 | | | | 8,630 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Finance (continued) | | | | | |
Citigroup, Inc. | | | | | |
2.57% | | 06/03/313 | | $ | 100,000 | | | $ | 84,429 | |
2.98% | | 11/05/303 | | | 5,000 | | | | 4,385 | |
3.06% | | 01/25/333 | | | 50,000 | | | | 42,538 | |
3.52% | | 10/27/283 | | | 30,000 | | | | 28,066 | |
Discover Financial Services | | | | | |
6.70% | | 11/29/32 | | | 25,000 | | | | 25,864 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | 09/10/273 | | | 10,000 | | | | 8,807 | |
1.95% | | 10/21/273 | | | 20,000 | | | | 17,870 | |
1.99% | | 01/27/323 | | | 40,000 | | | | 31,942 | |
2.38% | | 07/21/323 | | | 10,000 | | | | 8,155 | |
2.60% | | 02/07/30 | | | 80,000 | | | | 68,830 | |
2.65% | | 10/21/323 | | | 25,000 | | | | 20,673 | |
3.81% | | 04/23/293 | | | 15,000 | | | | 14,132 | |
Intercontinental Exchange, Inc. | | | | | |
1.85% | | 09/15/32 | | | 10,000 | | | | 7,911 | |
JPMorgan Chase & Co. | | | | | |
2.55% | | 11/08/323 | | | 55,000 | | | | 45,711 | |
2.95% | | 02/24/283 | | | 20,000 | | | | 18,586 | |
3.90% | | 01/23/493 | | | 65,000 | | | | 53,469 | |
LSEGA Financing PLC | | | | | |
(United Kingdom) | | | | | |
2.00% | | 04/06/284,5 | | | 30,000 | | | | 25,774 | |
Morgan Stanley | | | | | |
2.48% | | 09/16/363 | | | 40,000 | | | | 30,261 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | 07/20/273 | | | 85,000 | | | | 75,492 | |
3.77% | | 01/24/293 | | | 25,000 | | | | 23,647 | |
Morgan Stanley | | | | | |
(MTN) | | | | | |
1.93% | | 04/28/323 | | | 50,000 | | | | 39,621 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
4.36% | | 08/01/243,4,5 | | | 15,000 | | | | 14,877 | |
ORIX Corp. | | | | | |
(Japan) | | | | | |
4.00% | | 04/13/324 | | | 30,000 | | | | 27,640 | |
Park Aerospace Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
5.50% | | 02/15/244,5 | | | 2,000 | | | | 1,982 | |
Pipeline Funding Co. LLC | | | | | |
7.50% | | 01/15/305 | | | 25,608 | | | | 26,171 | |
Raymond James Financial, Inc. | | | | | |
3.75% | | 04/01/51 | | | 20,000 | | | | 14,925 | |
| | | | | |
| | | | 871,922 | |
| | | | | |
| |
| Food — 1.47% | | | | | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | | | | | |
5.75% | | 04/01/334,5 | | | 10,000 | | | | 9,617 | |
6.50% | | 12/01/524,5 | | | 25,000 | | | | 23,995 | |
Kraft Heinz Foods Co. | | | | | |
4.63% | | 10/01/39 | | | 10,000 | | | | 9,180 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 40 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Food (continued) | | | | | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | $ | 45,000 | | | $ | 36,344 | |
Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/315 | | | 35,000 | | | | 26,464 | |
| | | | | |
| | | | 105,600 | |
| | | | | |
| |
| Health Care — 11.23% | | | | | |
AbbVie, Inc. | | | | | |
4.40% | | 11/06/42 | | | 25,000 | | | | 22,846 | |
Alcon Finance Corp. | | | | | |
2.60% | | 05/27/305 | | | 30,000 | | | | 25,903 | |
Amgen, Inc. | | | | | |
4.40% | | 05/01/45 | | | 15,000 | | | | 13,248 | |
4.88% | | 03/01/53 | | | 10,000 | | | | 9,387 | |
5.65% | | 03/02/53 | | | 40,000 | | | | 41,661 | |
Barnabas Health, Inc., | | | | | |
Series 2012 | | | | | |
4.00% | | 07/01/28 | | | 5,000 | | | | 4,823 | |
Baxter International, Inc. | | | | | |
3.95% | | 04/01/30 | | | 10,000 | | | | 9,330 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | 12/15/285 | | | 25,000 | | | | 24,183 | |
4.88% | | 06/25/485 | | | 30,000 | | | | 26,937 | |
Becton Dickinson & Co. | | | | | |
3.79% | | 05/20/50 | | | 25,000 | | | | 20,314 | |
4.67% | | 06/06/47 | | | 5,000 | | | | 4,688 | |
Centene Corp. | | | | | |
3.00% | | 10/15/30 | | | 21,000 | | | | 17,703 | |
Children’s Hospital Medical Center | | | | | |
2.82% | | 11/15/50 | | | 20,000 | | | | 13,379 | |
Cigna Group (The) | | | | | |
5.40% | | 03/15/33 | | | 20,000 | | | | 20,779 | |
CommonSpirit Health | | | | | |
2.78% | | 10/01/30 | | | 35,000 | | | | 29,900 | |
3.91% | | 10/01/50 | | | 10,000 | | | | 7,769 | |
CVS Health Corp. | | | | | |
5.05% | | 03/25/48 | | | 28,000 | | | | 26,230 | |
5.25% | | 02/21/33 | | | 28,000 | | | | 28,543 | |
DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | 06/01/30 | | | 45,000 | | | | 39,803 | |
Elanco Animal Health, Inc. | | | | | |
6.65% | | 08/28/28 | | | 5,000 | | | | 4,735 | |
Elevance Health, Inc. | | | | | |
3.70% | | 09/15/49 | | | 10,000 | | | | 7,968 | |
Hackensack Meridian Health, Inc., | | | | | |
Series 2020 | | | | | |
2.88% | | 09/01/50 | | | 30,000 | | | | 20,503 | |
HCA, Inc. | | | | | |
3.63% | | 03/15/325 | | | 10,000 | | | | 8,803 | |
5.25% | | 06/15/49 | | | 50,000 | | | | 45,166 | |
Illumina, Inc. | | | | | |
2.55% | | 03/23/31 | | | 35,000 | | | | 28,955 | |
Mass General Brigham, Inc., | | | | | |
Series 2020 | | | | | |
3.34% | | 07/01/60 | | | 10,000 | | | | 7,287 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
NYU Langone Hospitals, | | | | | |
Series 2020 | | | | | |
3.38% | | 07/01/55 | | $ | 15,000 | | | $ | 10,991 | |
OhioHealth Corp., | | | | | |
Series 2020 | | | | | |
3.04% | | 11/15/50 | | | 15,000 | | | | 10,970 | |
PerkinElmer, Inc. | | | | | |
2.25% | | 09/15/31 | | | 20,000 | | | | 16,075 | |
2.55% | | 03/15/31 | | | 25,000 | | | | 20,658 | |
Regeneron Pharmaceuticals, Inc. | | | | | |
1.75% | | 09/15/30 | | | 20,000 | | | | 16,172 | |
Royalty Pharma PLC | | | | | |
(United Kingdom) | | | | | |
1.75% | | 09/02/274 | | | 45,000 | | | | 39,419 | |
Sharp HealthCare, | | | | | |
Series 20B | | | | | |
2.68% | | 08/01/50 | | | 50,000 | | | | 33,557 | |
Smith & Nephew PLC | | | | | |
(United Kingdom) | | | | | |
2.03% | | 10/14/304 | | | 30,000 | | | | 24,346 | |
STERIS Irish FinCo UnLtd Co. | | | | | |
(Ireland) | | | | | |
2.70% | | 03/15/314 | | | 30,000 | | | | 25,179 | |
UnitedHealth Group, Inc. | | | | | |
3.70% | | 08/15/49 | | | 10,000 | | | | 8,204 | |
4.25% | | 04/15/47 | | | 15,000 | | | | 13,441 | |
Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | | 40,000 | | | | 35,120 | |
| West Virginia United Health System Obligated Group, | | | | | |
Series 2020 | | | | | |
3.13% | | 06/01/50 | | | 35,000 | | | | 23,791 | |
Zoetis, Inc. | | | | | |
5.60% | | 11/16/32 | | | 15,000 | | | | 16,013 | |
| | | | | |
| | | | 804,779 | |
| | | | | |
| |
| Health Care REITs — 0.65% | | | | | |
Healthcare Reality Holdings LP | | | | | |
2.00% | | 03/15/31 | | | 20,000 | | | | 15,630 | |
Healthcare Realty Holdings LP | | | | | |
3.63% | | 01/15/28 | | | 30,000 | | | | 27,294 | |
Physicians Realty LP | | | | | |
2.63% | | 11/01/31 | | | 5,000 | | | | 3,944 | |
| | | | | |
| | | | 46,868 | |
| | | | | |
| |
| Hotel & Resort REITs — 0.24% | | | | | |
Host Hotels & Resorts LP, | | | | | |
Series I | | | | | |
3.50% | | 09/15/30 | | | 20,000 | | | | 16,949 | |
| | | | | |
| |
| Industrials — 2.17% | | | | | |
Amcor Flexibles North America, Inc. | | | | | |
2.63% | | 06/19/30 | | | 5,000 | | | | 4,200 | |
BAE Systems Holdings, Inc. | | | | | |
3.85% | | 12/15/255 | | | 20,000 | | | | 19,409 | |
BAE Systems PLC | | | | | |
(United Kingdom) | | | | | |
3.40% | | 04/15/304,5 | | | 30,000 | | | | 27,559 | |
See accompanying Notes to Financial Statements.
|
| 41 / Annual Report March 2023 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Industrials (continued) | | | | | |
Berry Global, Inc. | | | | | |
1.57% | | 01/15/26 | | $ | 28,000 | | | $ | 25,455 | |
Boeing Co. (The) | | | | | |
5.93% | | 05/01/60 | | | 12,000 | | | | 12,019 | |
CCL Industries, Inc. | | | | | |
(Canada) | | | | | |
3.05% | | 06/01/304,5 | | | 25,000 | | | | 21,270 | |
Northrop Grumman Corp. | | | | | |
5.15% | | 05/01/40 | | | 10,000 | | | | 10,131 | |
Sealed Air Corp. | | | | | |
1.57% | | 10/15/265 | | | 20,000 | | | | 17,524 | |
Sonoco Products Co. | | | | | |
3.13% | | 05/01/30 | | | 10,000 | | | | 8,841 | |
Sydney Airport Finance Co. Pty Ltd. | | | | | |
(Australia) | | | | | |
3.63% | | 04/28/264,5 | | | 5,000 | | | | 4,805 | |
WRKCo, Inc. | | | | | |
3.00% | | 06/15/33 | | | 5,000 | | | | 4,104 | |
| | | | | |
| | | | 155,317 | |
| | | | | |
| |
| Information Technology — 4.05% | | | | | |
Amazon.com, Inc. | | | | | |
2.50% | | 06/03/50 | | | 17,000 | | | | 11,545 | |
Broadcom, Inc. | | | | | |
2.60% | | 02/15/335 | | | 30,000 | | | | 23,551 | |
3.14% | | 11/15/355 | | | 25,000 | | | | 19,313 | |
3.42% | | 04/15/335 | | | 23,000 | | | | 19,263 | |
CDW LLC/CDW Finance Corp. | | | | | |
3.28% | | 12/01/28 | | | 25,000 | | | | 22,149 | |
Fiserv, Inc. | | | | | |
2.65% | | 06/01/30 | | | 15,000 | | | | 12,958 | |
Intel Corp. | | | | | |
3.25% | | 11/15/49 | | | 5,000 | | | | 3,563 | |
5.70% | | 02/10/53 | | | 25,000 | | | | 25,523 | |
Micron Technology, Inc. | | | | | |
2.70% | | 04/15/32 | | | 25,000 | | | | 20,022 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/274,5 | | | 17,000 | | | | 17,531 | |
Oracle Corp. | | | | | |
3.60% | | 04/01/50 | | | 80,000 | | | | 56,825 | |
3.95% | | 03/25/51 | | | 27,000 | | | | 20,317 | |
Skyworks Solutions, Inc. | | | | | |
0.90% | | 06/01/23 | | | 10,000 | | | | 9,931 | |
Take-Two Interactive Software, Inc. | | | | | |
4.00% | | 04/14/32 | | | 30,000 | | | | 27,648 | |
| | | | | |
| | | | 290,139 | |
| | | | | |
| |
| Insurance — 6.37% | | | | | |
Allstate Corp. (The) | | | | | |
3.85% | | 08/10/49 | | | 20,000 | | | | 16,058 | |
Aon Corp. | | | | | |
2.80% | | 05/15/30 | | | 15,000 | | | | 13,267 | |
Aon Corp./Aon Global Holdings PLC | | | | | |
3.90% | | 02/28/52 | | | 25,000 | | | | 20,234 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Insurance (continued) | | | | | |
Arthur J Gallagher & Co. | | | | | |
3.05% | | 03/09/52 | | $ | 20,000 | | | $ | 13,187 | |
Athene Global Funding | | | | | |
1.61% | | 06/29/265 | | | 15,000 | | | | 13,046 | |
1.99% | | 08/19/285 | | | 10,000 | | | | 8,119 | |
(SOFR Index plus 0.70%) | | | | | |
5.46% | | 05/24/245,6 | | | 30,000 | | | | 29,729 | |
Brown & Brown, Inc. | | | | | |
2.38% | | 03/15/31 | | | 45,000 | | | | 36,163 | |
Farmers Insurance Exchange | | | | | |
4.75% | | 11/01/573,5 | | | 55,000 | | | | 43,154 | |
Guardian Life Insurance Co. of America (The) | | | | | |
3.70% | | 01/22/705 | | | 45,000 | | | | 31,622 | |
Massachusetts Mutual Life Insurance Co. | | | | | |
3.38% | | 04/15/505 | | | 17,000 | | | | 12,486 | |
MMI Capital Trust I, | | | | | |
Series B | | | | | |
7.63% | | 12/15/27 | | | 25,000 | | | | 26,645 | |
Nationwide Mutual Insurance Co. | | | | | |
7.16% | | 12/15/243,5 | | | 45,000 | | | | 44,827 | |
New York Life Insurance Co. | | | | | |
3.75% | | 05/15/505 | | | 15,000 | | | | 12,141 | |
Principal Life Global Funding II | | | | | |
0.75% | | 04/12/245 | | | 25,000 | | | | 23,906 | |
Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | 05/15/505 | | | 24,000 | | | | 17,353 | |
4.38% | | 09/15/543,5 | | | 65,000 | | | | 63,357 | |
Willis North America, Inc. | | | | | |
2.95% | | 09/15/29 | | | 35,000 | | | | 30,875 | |
| | | | | |
| | | | 456,169 | |
| | | | | |
| |
| Materials — 0.67% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
1.23% | | 10/01/255 | | | 5,000 | | | | 4,478 | |
2.30% | | 11/01/305 | | | 15,000 | | | | 12,049 | |
5.00% | | 09/26/48 | | | 25,000 | | | | 21,369 | |
Nutrien Ltd. | | | | | |
(Canada) | | | | | |
5.80% | | 03/27/534 | | | 10,000 | | | | 10,320 | |
| | | | | |
| | | | 48,216 | |
| | | | | |
| |
| Office REITs — 1.33% | | | | | |
Boston Properties LP | | | | | |
2.55% | | 04/01/32 | | | 10,000 | | | | 7,124 | |
3.40% | | 06/21/29 | | | 5,000 | | | | 4,101 | |
Hudson Pacific Properties LP | | | | | |
3.95% | | 11/01/27 | | | 50,000 | | | | 34,363 | |
Kilroy Realty LP | | | | | |
2.50% | | 11/15/32 | | | 15,000 | | | | 9,531 | |
2.65% | | 11/15/33 | | | 15,000 | | | | 9,333 | |
Piedmont Operating Partnership LP | | | | | |
2.75% | | 04/01/32 | | | 45,000 | | | | 31,193 | |
| | | | | |
| | | | 95,645 | |
| | | | | |
| |
| Residential REITs — 0.58% | | | | | |
American Homes 4 Rent LP | | | | | |
2.38% | | 07/15/31 | | | 15,000 | | | | 11,972 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 42 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Residential REITs (continued) | | | | | |
Essex Portfolio LP | | | | | |
2.65% | | 03/15/32 | | $ | 5,000 | | | $ | 4,091 | |
Invitation Homes Operating Partnership LP | | | | | |
2.30% | | 11/15/28 | | | 30,000 | | | | 25,197 | |
| | | | | |
| | | | 41,260 | |
| | | | | |
| |
| Retail — 0.74% | | | | | |
Alimentation Couche-Tard, Inc. | | | | | |
(Canada) | | | | | |
3.80% | | 01/25/504,5 | | | 45,000 | | | | 33,589 | |
Lowe’s Cos., Inc. | | | | | |
5.63% | | 04/15/53 | | | 10,000 | | | | 10,064 | |
5.75% | | 07/01/53 | | | 5,000 | | | | 5,100 | |
McDonald’s Corp. | | | | | |
(MTN) | | | | | |
4.20% | | 04/01/50 | | | 5,000 | | | | 4,414 | |
| | | | | |
| | | | 53,167 | |
| | | | | |
| |
| Services — 0.92% | | | | | |
Global Payments, Inc. | | | | | |
4.45% | | 06/01/28 | | | 30,000 | | | | 28,482 | |
RELX Capital, Inc. | | | | | |
4.00% | | 03/18/29 | | | 35,000 | | | | 33,769 | |
William Marsh Rice University | | | | | |
2.60% | | 05/15/50 | | | 5,000 | | | | 3,531 | |
| | | | | |
| | | | 65,782 | |
| | | | | |
| |
| Specialized REITs — 1.09% | | | | | |
CubeSmart LP | | | | | |
2.25% | | 12/15/28 | | | 20,000 | | | | 17,321 | |
4.38% | | 02/15/29 | | | 5,000 | | | | 4,778 | |
Extra Space Storage LP | | | | | |
3.90% | | 04/01/29 | | | 25,000 | | | | 23,077 | |
Life Storage LP | | | | | |
2.20% | | 10/15/30 | | | 40,000 | | | | 32,907 | |
| | | | | |
| | | | 78,083 | |
| | | | | |
| |
| Transportation — 1.48% | | | | | |
Delta Air Lines Pass-Through Trust, | | | | | |
Series 2020-1, Class AA | | | | | |
2.00% | | 06/10/28 | | | 21,263 | | | | 18,741 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2019-1, Class AA | | | | | |
2.75% | | 05/15/32 | | | 12,988 | | | | 10,922 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2020-1, Class A | | | | | |
4.00% | | 11/15/32 | | | 26,074 | | | | 24,022 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2011-1, Class A | | | | | |
7.13% | | 10/22/23 | | | 17,633 | | | | 17,907 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | 10/01/24 | | | 11,878 | | | | 11,795 | |
Union Pacific Corp. | | | | | |
3.84% | | 03/20/60 | | | 20,000 | | | | 16,279 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Transportation (continued) | | | | | |
United Airlines Pass-Through Trust, | | | | | |
Series 2016-2, Class AA | | | | | |
2.88% | | 10/07/28 | | $ | 7,357 | | | $ | 6,516 | |
| | | | | |
| | | | 106,182 | |
| | | | | |
| |
| Water — 0.40% | | | | | |
American Water Capital Corp. | | | | | |
3.45% | | 05/01/50 | | | 6,000 | | | | 4,581 | |
Essential Utilities, Inc. | | | | | |
5.30% | | 05/01/52 | | | 25,000 | | | | 24,251 | |
| | | | | |
| | | | 28,832 | |
| | | | | |
Total Corporates (Cost $7,255,843) | | | | 6,195,523 | |
| | | | | |
| |
| MORTGAGE-BACKED — 0.54%** | | | | | |
|
| Non-Agency Commercial Mortgage-Backed — 0.14% | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS5, Class XA (IO) | | | | | |
0.83% | | 09/10/471,2,3 | | | 575,627 | | | | 5,094 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS6, Class XA (IO) | | | | | |
0.83% | | 12/10/473 | | | 403,325 | | | | 4,100 | |
GS Mortgage Securities Trust, | | | | | |
Series 2010-C1, Class X (IO) | | | | | |
0.46% | | 08/10/433,5 | | | 1,256,715 | | | | 1,058 | |
GS Mortgage Securities Trust, | | | | | |
Series 2011-GC3, Class X (IO) | | | | | |
0.00% | | 03/10/443,5 | | | 81,388 | | | | 1 | |
UBS-Barclays Commercial Mortgage Trust, | | | | | |
Series 2012-C3, Class XB (IO) | | | | | |
0.17% | | 08/10/491,2,3,5 | | | 181,328 | | | | 74 | |
| | | | | |
| | | | 10,327 | |
| | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 0.28% | |
Ginnie Mae, | | | | | |
Series 2009-111, Class IO (IO) | | | | | |
0.19% | | 09/16/513 | | | 507,199 | | | | 18,827 | |
Ginnie Mae, | | | | | |
Series 2012-144, Class IO (IO) | | | | | |
0.32% | | 01/16/533 | | | 149,517 | | | | 1,296 | |
| | | | | |
| | | | 20,123 | |
| | | | | |
| |
| U.S. Agency Mortgage-Backed — 0.12% | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2011-116, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
1.15% | | 11/25/416 | | | 25,547 | | | | 2,071 | |
Fannie Mae REMICS, | | | | | |
Series 2012-128, Class UA | | | | | |
2.50% | | 06/25/42 | | | 6,926 | | | | 6,283 | |
| | | | | |
| | | | 8,354 | |
| | | | | |
| |
| Total Mortgage-Backed | | | | | |
(Cost $162,730) | | | | 38,804 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| 43 / Annual Report March 2023 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MUNICIPAL BONDS — 3.42%* | | | | | |
| |
| California — 1.18% | | | | | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.37% | | 11/01/35 | | $ | 35,000 | | | $ | 27,085 | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
3.89% | | 05/15/38 | | | 15,000 | | | | 13,316 | |
| 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 | | | | 3,465 | |
| San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C | | | | | |
3.05% | | 05/01/34 | | | 35,000 | | | | 30,283 | |
| Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
5.88% | | 04/01/32 | | | 10,000 | | | | 10,495 | |
| | | | | | | | | | | | |
| | | | 84,644 | |
| | | | | | | | | | | | |
| |
| Florida — 0.20% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | 10/01/31 | | | 15,000 | | | | 13,843 | |
| | | | | | | | | | | | |
| |
| Massachusetts — 0.23% | | | | | |
| Massachusetts School Building Authority Revenue Bonds, Series A | | | | | |
2.50% | | 02/15/37 | | | 10,000 | | | | 7,679 | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | 10/15/32 | | | 10,000 | | | | 8,740 | |
| | | | | | | | | | | | |
| | | | 16,419 | |
| | | | | | | | | | | | |
| |
| Michigan — 0.45% | | | | | |
| University of Michigan Revenue Bonds, Series C | | | | | |
3.50% | | 04/01/34 | | | 35,000 | | | | 32,063 | |
| | | | | | | | | | | | |
| |
| New York — 1.36% | | | | | |
| City of New York General Obligation Bonds, Series D | | | | | |
1.92% | | 08/01/31 | | | 25,000 | | | | 20,485 | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | 11/15/49 | | | 5,000 | | | | 4,496 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
3.73% | | 08/01/29 | | | 5,000 | | | | 4,767 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | 02/01/33 | | | 20,000 | | | | 15,527 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements | | | | | |
3.96% | | 08/01/32 | | | 30,000 | | | | 28,064 | |
| New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B | | | | | |
2.54% | | 03/15/34 | | | 10,000 | | | | 8,161 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
| |
| MUNICIPAL BONDS (continued) | | | | | |
| |
| New York (continued) | | | | | |
2.59% | | | 03/15/35 | | | $ | 20,000 | | | $ | 16,141 | |
| | | | | |
| | | | 97,641 | |
| | | | | |
| |
| Total Municipal Bonds | | | | | |
(Cost $288,975) | | | | 244,610 | |
| | | | | |
| |
| U.S. TREASURY SECURITIES — 6.95% | | | | | |
| |
| U.S. Treasury Bonds — 1.50% | | | | | |
U.S. Treasury Bonds | | | | | |
3.63% | | | 02/15/53 | | | | 33,000 | | | | 32,763 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | | 10/15/277 | | | | 53,526 | | | | 54,591 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI) | | | | | |
1.13% | | | 01/15/337 | | | | 20,087 | | | | 20,053 | |
| | | | | |
| | | | 107,407 | |
| | | | | |
| |
| U.S. Treasury Notes — 5.45% | | | | | |
| U.S. Treasury Notes | | | | | |
3.50% | | | 02/15/33 | | | | 134,000 | | | | 134,220 | |
3.63% | | | 03/31/28 | | | | 160,000 | | | | 160,294 | |
3.88% | | | 03/31/25 | | | | 22,000 | | | | 21,935 | |
4.00% | | | 02/29/28 | | | | 59,000 | | | | 60,078 | |
4.63% | | | 02/28/25 | | | | 14,000 | | | | 14,137 | |
| | | | | |
| | | | 390,664 | |
| | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
(Cost $495,865) | | | | 498,071 | |
| | | | | |
| |
| Total Bonds — 97.87% | | | | | |
(Cost $8,243,168) | | | | 7,012,894 | |
| | | | | |
| | | | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 2.89% | | | | | |
| |
| Money Market Funds — 2.89% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%8 | | | | 20,347 | | | | 20,347 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%8 | | | | 187,000 | | | | 187,000 | |
| |
| Total Short-Term Investments | | | | | |
(Cost $207,347) | | | | 207,347 | |
| | | | | |
| |
| Total Investments - 100.76% | | | | | |
(Cost $8,450,515) | | | | 7,220,241 | |
| | | | | |
| |
| Liabilities in Excess of Other Assets - (0.76)% | | | | (54,380 | ) |
| | | | | |
| |
| Net Assets - 100.00% | | | $ | 7,165,861 | |
| | | | | |
| 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 $41,054, which is 0.57% of total net assets. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 44 |
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| 3 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 4 | Foreign denominated security issued by foreign domiciled entity. |
| 5 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 6 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 7 | Inflation protected security. Principal amount reflects original security face amount. |
| 8 | Represents the current yield as of March 31, 2023. |
| * | 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
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(USD): U.S. Dollar
(WI): When Issued
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
|
| FUTURES CONTRACTS: LONG POSITIONS | |
U.S. Treasury Two-Year Note | | | 16 | | | | 06/30/23 | | | $ | 3,303,250 | | | $ | 20,593 | | | $ | 20,593 | |
U.S. Treasury Ultra Bond | | | 1 | | | | 06/21/23 | | | | 141,125 | | | | 5,904 | | | | 5,904 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 3,444,375 | | | | 26,497 | | | | 26,497 | |
| | | | | | | | | | | | | | | | | | | | |
|
| FUTURES CONTRACTS: SHORT POSITIONS | |
U.S. Treasury Ten-Year Ultra Bond | | | 6 | | | | 06/21/23 | | | | (726,844) | | | | (19,211) | | | | (19,211) | |
U.S. Treasury Five-Year Note | | | 3 | | | | 06/30/23 | | | | (328,523) | | | | (4,004) | | | | (4,004) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (1,055,367) | | | | (23,215) | | | | (23,215) | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 2,389,008 | | | $ | 3,282 | | | $ | 3,282 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | |
| Description | | Maturity Date | | Rate | | Frequency | | Rate | | Frequency | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
| | | | |
| SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | 09/20/53 | | USD-SOFR-
COMPOUND | | Annual | | 3.00% | | Annual | | $ | 76 | | | $ | (1,714) | | | $ | — | | | $ | (1,714) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| TOTAL SWAPS CONTRACTS | | $ | 76 | | | $ | (1,714) | | | $ | — | | | $ | (1,714) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 45 / Annual Report March 2023 |
ESG Securitized Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BONDS – 113.77% | | | | | |
ASSET-BACKED SECURITIES — 7.85%** | | | | | |
Aligned Data Centers Issuer LLC, | | | | | |
Series 2021-1A, Class A2 | | | | | |
1.94% | | 08/15/461 | | $ | 150,000 | | | $ | 132,145 | |
Flexential Issuer, | | | | | |
Series 2021-1A, Class A2 | | | | | |
3.25% | | 11/27/511 | | | 150,000 | | | | 133,515 | |
GoodLeap Sustainable Home Solutions Trust, | | | | | |
Series 2022-1GS, Class A | | | | | |
2.70% | | 01/20/491 | | | 93,729 | | | | 77,099 | |
GoodLeap Sustainable Home Solutions Trust, | | | | | |
Series 2023-1GS, Class A | | | | | |
5.52% | | 02/22/551 | | | 44,447 | | | | 43,456 | |
Loanpal Solar Loan Ltd., | | | | | |
Series 2021-1GS, Class A | | | | | |
2.29% | | 01/20/481 | | | 161,525 | | | | 121,964 | |
Sunnova Helios VII Issuer LLC, | | | | | |
Series 2021-C, Class A | | | | | |
2.03% | | 10/20/481 | | | 180,176 | | | | 152,581 | |
| | | | | | | | | | | | |
| |
| Total Asset-Backed Securities | | | | | |
(Cost $767,703) | | | | 660,760 | |
| | | | | | | | | | | | |
| |
| MORTGAGE-BACKED — 104.42%** | | | | | |
|
| Non-Agency Commercial Mortgage-Backed — 30.30% | |
1211 Avenue of the Americas Trust, | | | | | |
Series 2015-1211, Class A1A1 | | | | | |
3.90% | | 08/10/351 | | | 150,000 | | | | 140,677 | |
CALI Mortgage Trust, | | | | | |
Series 2019-101C, Class A | | | | | |
3.96% | | 03/10/391 | | | 125,000 | | | | 109,675 | |
CAMB Commercial Mortgage Trust, | | | | | |
Series 2021-CX2, Class B | | | | | |
2.77% | | 11/10/461,2 | | | 150,000 | | | | 114,722 | |
Commercial Mortgage Trust, | | | | | |
Series 2019-521F, Class A | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.58% | | 06/15/341,3 | | | 150,000 | | | | 144,088 | |
Commercial Mortgage Trust, | | | | | |
Series 2022-HC, Class A | | | | | |
2.82% | | 01/10/391 | | | 150,000 | | | | 131,624 | |
DBUBS Mortgage Trust, | | | | | |
Series 2017-BRBK, Class F | | | | | |
3.53% | | 10/10/341,2 | | | 150,000 | | | | 127,970 | |
DOLP Trust, | | | | | |
Series 2021-NYC, Class A | | | | | |
2.96% | | 05/10/411 | | | 150,000 | | | | 119,935 | |
DROP Mortgage Trust, | | | | | |
Series 2021-FILE, Class A | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
5.83% | | 10/15/431,3 | | | 150,000 | | | | 138,655 | |
Frost CMBS DAC, | | | | | |
Series 2021-1A, Class GBB | | | | | |
(Ireland) | | | | | |
(SONIA plus 1.65%) | | | | | |
5.74% | | 11/20/331,3,4 | | | 249,390 | | | | 277,162 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| Non-Agency Commercial Mortgage-Backed (continued) | |
Grace Trust, | | | | | |
Series 2020-GRCE, Class B | | | | | |
2.60% | | 12/10/401 | | $ | 150,000 | | | $ | 113,676 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-30HY, Class A | | | | | |
3.23% | | 07/10/391 | | | 150,000 | | | | 129,371 | |
KREST Commercial Mortgage Securities Trust, | | | | | |
Series 2021-CHIP, Class C | | | | | |
2.93% | | 11/05/441,2 | | | 125,000 | | | | 84,858 | |
KREST Commercial Mortgage Securities Trust, | | | | | |
Series 2021-CHIP, Class F | | | | | |
2.93% | | 11/05/441,2 | | | 200,000 | | | | 106,733 | |
MFT Mortgage Trust, | | | | | |
Series 2020-B6, Class B | | | | | |
3.28% | | 08/10/401,2 | | | 150,000 | | | | 98,361 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2020-CNP, Class A | | | | | |
2.43% | | 04/05/421,2 | | | 150,000 | | | | 119,046 | |
Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2019-10K, Class A | | | | | |
3.62% | | 05/15/391 | | | 150,000 | | | | 130,130 | |
One New York Plaza Trust, | | | | | |
Series 2020-1NYP, Class AJ | | | | | |
(LIBOR USD 1-Month plus 1.25%) | | | | | |
5.93% | | 01/15/361,3 | | | 150,000 | | | | 141,177 | |
SFO Commercial Mortgage Trust, | | | | | |
Series 2021-555, Class C | | | | | |
(LIBOR USD 1-Month plus 1.80%) | | | | | |
6.48% | | 05/15/381,3 | | | 130,000 | | | | 108,574 | |
Shops at Crystals Trust, | | | | | |
Series 2016-CSTL, Class A | | | | | |
3.13% | | 07/05/361 | | | 150,000 | | | | 132,503 | |
SLG Office Trust, | | | | | |
Series 2021-OVA, Class A | | | | | |
2.59% | | 07/15/411 | | | 100,000 | | | | 79,766 | |
| | | | | |
| | | | 2,548,703 | |
| | | | | |
| |
| Non-Agency Mortgage-Backed — 1.03% | | | | | |
Cascade MH Asset Trust, | | | | | |
Series 2022-MH1, Class A (STEP-reset date 05/25/23) | | | | | |
4.25% | | 08/25/541 | | | 97,045 | | | | 86,382 | |
| | | | | | | | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 1.33% | |
Freddie Mac Multifamily ML Certificates, | | | | | |
Series 2021-ML12, Class XUS (IO) | | | | | |
1.22% | | 07/25/411 | | | 1,087,204 | | | | 111,656 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Mortgage-Backed — 71.76% | | | | | |
Fannie Mae Pool AL9266 | | | | | |
3.00% | | 10/01/46 | | | 128,609 | | | | 117,961 | |
Fannie Mae Pool BO2256 | | | | | |
3.00% | | 10/01/49 | | | 302,456 | | | | 274,952 | |
Fannie Mae Pool BQ1226 | | | | | |
2.00% | | 09/01/50 | | | 134,236 | | | | 111,469 | |
Fannie Mae Pool BV9977 | | | | | |
3.50% | | 06/01/52 | | | 96,770 | | | | 90,044 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 46 |
ESG Securitized Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae Pool BW0000 | | | | | |
4.00% | | 07/01/52 | | $ | 97,100 | | | $ | 92,958 | |
Fannie Mae Pool CA5496 | | | | | |
3.00% | | 04/01/50 | | | 381,105 | | | | 347,282 | |
Fannie Mae Pool CB2074 | | | | | |
2.50% | | 11/01/51 | | | 161,826 | | | | 139,959 | |
Fannie Mae Pool CB4211 | | | | | |
4.50% | | 07/01/52 | | | 121,746 | | | | 119,345 | |
Fannie Mae Pool FM2870 | | | | | |
3.00% | | 03/01/50 | | | 234,453 | | | | 213,426 | |
Fannie Mae Pool FM3687 | | | | | |
2.50% | | 06/01/50 | | | 342,738 | | | | 299,625 | |
Fannie Mae Pool FM5254 | | | | | |
2.00% | | 12/01/50 | | | 160,750 | | | | 133,493 | |
Fannie Mae Pool FM6400 | | | | | |
2.00% | | 03/01/51 | | | 107,408 | | | | 89,203 | |
Fannie Mae Pool FS1334 | | | | | |
2.00% | | 11/01/51 | | | 163,381 | | | | 135,423 | |
Fannie Mae Pool FS1598 | | | | | |
2.00% | | 04/01/52 | | | 119,482 | | | | 98,743 | |
Fannie Mae Pool MA4398 | | | | | |
2.00% | | 08/01/51 | | | 169,151 | | | | 140,361 | |
Fannie Mae Pool MA4414 | | | | | |
2.50% | | 09/01/51 | | | 195,107 | | | | 168,545 | |
Fannie Mae REMICS, | | | | | |
Series 2019-25, Class PA | | | | | |
3.00% | | 05/25/48 | | | 218,640 | | | | 203,457 | |
Freddie Mac Gold Pool G67707 | | | | | |
3.50% | | 01/01/48 | | | 203,134 | | | | 192,791 | |
Freddie Mac Gold Pool G67708 | | | | | |
3.50% | | 03/01/48 | | | 40,143 | | | | 37,971 | |
Freddie Mac Pool QA7550 | | | | | |
3.00% | | 03/01/50 | | | 67,861 | | | | 61,647 | |
Freddie Mac Pool QA8518 | | | | | |
3.00% | | 04/01/50 | | | 81,593 | | | | 74,122 | |
Freddie Mac Pool QC8921 | | | | | |
2.50% | | 10/01/51 | | | 152,428 | | | | 131,685 | |
Freddie Mac Pool QD1841 | | | | | |
2.00% | | 11/01/51 | | | 137,272 | | | | 113,669 | |
Freddie Mac Pool RA3282 | | | | | |
3.00% | | 08/01/50 | | | 369,419 | | | | 335,595 | |
Freddie Mac Pool RA4201 | | | | | |
2.00% | | 12/01/50 | | | 97,367 | | | | 80,857 | |
Freddie Mac Pool RA5552 | | | | | |
3.00% | | 07/01/51 | | | 236,596 | | | | 213,066 | |
Freddie Mac Pool RA5855 | | | | | |
2.50% | | 09/01/51 | | | 203,246 | | | | 175,577 | |
Freddie Mac Pool RA6071 | | | | | |
2.00% | | 10/01/51 | | | 142,187 | | | | 117,678 | |
Freddie Mac Pool RA6528 | | | | | |
2.50% | | 02/01/52 | | | 22,938 | | | | 19,773 | |
Freddie Mac Pool RA7091 | | | | | |
2.50% | | 03/01/52 | | | 143,438 | | | | 123,803 | |
Freddie Mac Pool RA7543 | | | | | |
4.00% | | 06/01/52 | | | 118,831 | | | | 113,671 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac Pool SD7511 | | | | | |
3.50% | | 01/01/50 | | $ | 35,959 | | | $ | 33,966 | |
Freddie Mac Pool SD7549 | | | | | |
2.00% | | 01/01/52 | | | 144,669 | | | | 120,817 | |
Freddie Mac Pool SD8222 | | | | | |
4.00% | | 06/01/52 | | | 95,403 | | | | 91,219 | |
Freddie Mac REMICS, | | | | | |
Series 3067, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.35%) | | | | | |
5.03% | | 11/15/353 | | | 61,422 | | | | 60,855 | |
Freddie Mac REMICS, | | | | | |
Series 3071, Class TF | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
4.98% | | 04/15/353 | | | 14,185 | | | | 14,140 | |
Freddie Mac REMICS, | | | | | |
Series 3210, Class F | | | | | |
(LIBOR USD 1-Month plus 0.40%) | | | | | |
5.08% | | 05/15/363 | | | 3,836 | | | | 3,834 | |
Freddie Mac REMICS, | | | | | |
Series 4139, Class DA | | | | | |
1.25% | | 12/15/27 | | | 24,095 | | | | 22,658 | |
Ginnie Mae (TBA) | | | | | |
2.50% | | 05/20/53 | | | 150,000 | | | | 132,209 | |
4.50% | | 04/20/53 | | | 200,000 | | | | 197,072 | |
5.00% | | 04/20/53 | | | 25,000 | | | | 25,033 | |
UMBS (TBA) | | | | | |
4.00% | | 05/01/53 | | | 175,000 | | | | 167,480 | |
4.50% | | 04/01/53 | | | 100,000 | | | | 97,978 | |
4.50% | | 05/01/53 | | | 75,000 | | | | 73,508 | |
5.00% | | 05/01/53 | | | 200,000 | | | | 199,445 | |
5.50% | | 04/01/53 | | | 225,000 | | | | 227,290 | |
| | | | | |
| | | | 6,035,655 | |
| | | | | |
| |
| Total Mortgage-Backed | | | | | |
(Cost $9,810,786) | | | | 8,782,396 | |
| | | | | |
| |
| U.S. TREASURY SECURITIES — 1.50% | | | | | |
| |
| U.S. Treasury Bonds — 1.13% | | | | | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | 10/15/275 | | | 78,775 | | | | 80,342 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI) | | | | | |
1.13% | | 01/15/335 | | | 15,065 | | | | 15,040 | |
| | | | | |
| | | | 95,382 | |
| | | | | |
| |
| U.S. Treasury Notes — 0.37% | | | | | |
U.S. Treasury Notes | | | | | |
3.63% | | 03/31/28 | | | 26,000 | | | | 26,048 | |
3.88% | | 03/31/25 | | | 5,000 | | | | 4,985 | |
| | | | | |
| | | | 31,033 | |
| | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
(Cost $125,796) | | | | 126,415 | |
| | | | | |
| |
| Total Bonds — 113.77% | | | | | |
(Cost $10,704,285) | | | | 9,569,571 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| 47 / Annual Report March 2023 |
ESG Securitized Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount/Shares | | | Value |
| |
| SHORT-TERM INVESTMENTS — 2.07% | | | | | |
| |
| Money Market Funds — 2.07% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%6 | | | | | | | 20,688 | | | $ | 20,688 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%6 | | | | 153,000 | | | | 153,000 | |
| | | | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
| (Cost $173,688) | | | | 173,688 | |
| | | | | | | | | | | | | | |
| |
Total Investments - 115.84% | | | | | |
| (Cost $10,877,973) | | | | 9,743,259 | |
| | | | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (15.84)% | | | | (1,332,411 | ) |
| | | | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 8,410,848 | |
| | | | | | | | | | | | | | |
| 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 | 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. |
| 3 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 4 | Foreign denominated security issued by foreign domiciled entity. |
| 5 | Inflation protected security. Principal amount reflects original security face amount. |
| 6 | Represents the current yield as of March 31, 2023. |
| ** | 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.
(GBP): British Pound
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
| | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | | Unrealized (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 285,683 | | GBP 234,000 | | Citibank N.A. | | | 04/13/23 | | | $ | (3,724) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | |
| U.S. Treasury Two-Year Note | | 9 | | 06/30/23 | | $ | 1,858,078 | | | $ | 19,741 | | | $ | 19,741 | |
| U.S. Treasury Ten-Year Ultra Bond | | 2 | | 06/21/23 | | | 242,281 | | | | 7,679 | | | | 7,679 | |
| U.S. Treasury Ultra Bond | | 1 | | 06/21/23 | | | 141,125 | | | | 560 | | | | 560 | |
| | | | | | | | | | | | | | | | |
| | | | | | | 2,241,484 | | | | 27,980 | | | | 27,980 | |
| | | | | | | | | | | | | | | | |
| FUTURES CONTRACTS: SHORT POSITIONS | |
| U.S. Treasury Five-Year Note | | 7 | | 06/30/23 | | | (766,555) | | | | (5,598) | | | | (5,598) | |
| | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 1,474,929 | | | $ | 22,382 | | | $ | 22,382 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 48 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BONDS – 97.31% | | | | | |
| |
| ASSET-BACKED SECURITIES — 9.05%** | | | | | |
| AGL CLO 13 Ltd., | | | | | |
| Series 2021-13A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | 10/20/341,2,3 | | $ | 600,000 | | | $ | 578,580 | |
| Aimco CLO 11 Ltd., | | | | | |
| Series 2020-11A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | 10/17/341,2,3 | | | 185,000 | | | | 180,510 | |
| Aimco CLO 14 Ltd., | | | | | |
| Series 2021-14A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/20/341,3,4 | | | 700,000 | | | | 491,680 | |
| AMSR Trust, | | | | | |
| Series 2020-SFR1, Class I | | | | | |
8.19% | | 04/17/371 | | | 605,000 | | | | 580,872 | |
| AMSR Trust, | | | | | |
| Series 2020-SFR3, Class H | | | | | |
6.50% | | 09/17/371 | | | 635,000 | | | | 609,697 | |
| AMSR Trust, | | | | | |
| Series 2021-SFR3, Class G | | | | | |
3.80% | | 10/17/381 | | | 600,000 | | | | 521,418 | |
| BlueMountain CLO Ltd., | | | | | |
| Series 2018-3A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.77%) | | | | | |
6.59% | | 10/25/301,2,3 | | | 250,000 | | | | 243,100 | |
| BMO SBA COOF Trust, | | | | | |
| Series 2019-1, Class A (IO) | | | | | |
1.76% | | 10/25/451,4 | | | 2,953,005 | | | | 104,126 | |
| Carvana Auto Receivables Trust, | | | | | |
| Series 2020-P1, Class R | | | | | |
0.00% | | 09/08/271 | | | 1,300 | | | | 174,922 | |
| Carvana Auto Receivables Trust, | | | | | |
| Series 2021-N3, Class R | | | | | |
0.00% | | 06/12/281 | | | 1,500 | | | | 351,814 | |
| Carvana Auto Receivables Trust, | | | | | |
| Series 2022-P2, Class R | | | | | |
1.00% | | 05/10/291 | | | 3,050 | | | | 609,742 | |
| Carvana Auto Receivables Trust, | | | | | |
| Series 2023-P1, Class R | | | | | |
0.00% | | 03/11/301 | | | 1,600 | | | | 331,043 | |
| CIFC Funding Ltd., | | | | | |
| Series 2017-4A, Class A2R | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.55%) | | | | | |
6.37% | | 10/24/301,2,3 | | | 575,000 | | | | 561,472 | |
| CIFC Funding Ltd., | | | | | |
| Series 2018-1A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/18/311,3,4 | | | 575,000 | | | | 275,588 | |
| CIFC Funding Ltd., | | | | | |
| Series 2022-2A, Class INCB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/19/351,3,4 | | | 475,000 | | | | 391,220 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| CoreVest American Finance Trust, | | | | | |
| Series 2019-3, Class XA (IO) | | | | | |
2.04% | | 10/15/521,4 | | $ | 548,117 | | | $ | 22,589 | |
| CoreVest American Finance Trust, | | | | | |
| Series 2021-1, Class XB (IO) | | | | | |
1.55% | | 04/15/531,4 | | | 4,459,000 | | | | 300,424 | |
| Dryden 72 CLO Ltd., | | | | | |
| Series 2019-72A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.51% | | 05/15/321,2,3 | | | 925,000 | | | | 894,383 | |
| Dryden XXVI Senior Loan Fund, | | | | | |
| Series 2013-26A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
5.69% | | 04/15/291,2,3 | | | 56,035 | | | | 55,405 | |
| Dryden XXVIII Senior Loan Fund, | | | | | |
| Series 2013-28A, Class A1LR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
6.06% | | 08/15/301,2,3 | | | 9,648 | | | | 9,548 | |
| Elmwood CLO VI Ltd., | | | | | |
| Series 2020-3A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | 10/20/341,2,3 | | | 440,000 | | | | 424,213 | |
| FirstKey Homes Trust, | | | | | |
| Series 2020-SFR1, Class F2 | | | | | |
4.28% | | 08/17/371 | | | 1,288,000 | | | | 1,196,879 | |
| FirstKey Homes Trust, | | | | | |
| Series 2021-SFR3, Class E1 | | | | | |
2.99% | | 12/17/381 | | | 944,000 | | | | 827,566 | |
| Flatiron CLO 21 Ltd., | | | | | |
| Series 2021-1A, Class A1 | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.11%) | | | | | |
5.91% | | 07/19/341,2,3 | | | 1,290,360 | | | | 1,260,140 | |
| FRTKL, | | | | | |
| Series 2021-SFR1, Class F | | | | | |
3.17% | | 09/17/381 | | | 1,000,000 | | | | 844,487 | |
| Gilbert Park CLO Ltd., | | | | | |
| Series 2017-1A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.19%) | | | | | |
5.98% | | 10/15/301,2,3 | | | 335,000 | | | | 331,516 | |
| GoldenTree Loan Management U.S. CLO 8 Ltd., | | | | | |
| Series 2020-8A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.15%) | | | | | |
5.96% | | 10/20/341,2,3 | | | 250,000 | | | | 244,135 | |
| Greenwood Park CLO Ltd., | | | | | |
| Series 2018-1A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/15/311,3,4 | | | 675,000 | | | | 251,755 | |
| HOA Funding, LLC, | | | | | |
| Series 2021-1A, Class A2 | | | | | |
4.72% | | 08/20/511 | | | 876,650 | | | | 729,143 | |
See accompanying Notes to Financial Statements.
|
| 49 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| Invesco CLO Ltd., | | | | | |
| Series 2021-1A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/15/341,3,4 | | $ | 650,000 | | | $ | 448,500 | |
| J.G. Wentworth XXX LLC, | | | | | |
| Series 2013-3A, Class A | | | | | |
4.08% | | 01/17/731 | | | 40,130 | | | | 37,370 | |
| J.G. Wentworth XXXII LLC, | | | | | |
| Series 2014-2A, Class A | | | | | |
3.61% | | 01/17/731 | | | 39,386 | | | | 35,227 | |
| JPMorgan Chase Bank Auto Credit Linked Notes, | | | | | |
| Series 2021-1, Class R | | | | | |
28.35% | | 09/25/281 | | | 517,721 | | | | 545,171 | |
| Madison Park Funding XLVIII Ltd., | | | | | |
| Series 2021-48A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.15%) | | | | | |
5.95% | | 04/19/331,2,3 | | | 1,000,000 | | | | 990,677 | |
| Navient Student Loan Trust, | | | | | |
| Series 2018-4A, Class B | | | | | |
| (LIBOR USD 1-Month plus 1.30%) | | | | | |
6.15% | | 06/27/671,2 | | | 850,000 | | | | 773,660 | |
| Nelnet Student Loan Trust, | | | | | |
| Series 2015-3A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
5.75% | | 06/25/541,2 | | | 630,000 | | | | 607,021 | |
| Neuberger Berman CLO XVI-S Ltd., | | | | | |
| Series 2017-16SA, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.04%) | | | | | |
5.83% | | 04/15/341,2,3 | | | 1,200,000 | | | | 1,170,782 | |
| Neuberger Berman Loan Advisers CLO 40 Ltd., | | | | | |
| Series 2021-40A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/16/331,3,4 | | | 275,000 | | | | 173,704 | |
| OCP CLO Ltd., | | | | | |
| Series 2017-14A, Class A1A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.15%) | | | | | |
6.07% | | 11/20/301,2,3 | | | 325,000 | | | | 321,766 | |
| Octagon Investment Partners 44 Ltd., | | | | | |
| Series 2019-1A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.70%) | | | | | |
6.49% | | 10/15/341,2,3 | | | 700,000 | | | | 674,127 | |
| Palmer Square CLO Ltd., | | | | | |
| Series 2014-1A, Class A1R2 | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | 01/17/311,2,3 | | | 550,000 | | | | 545,067 | |
| Palmer Square CLO Ltd., | | | | | |
| Series 2021-1A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 04/20/341,3,4 | | | 625,000 | | | | 388,125 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| PHEAA Student Loan Trust, | | | | | |
| Series 2014-3A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.59%) | | | | | |
5.44% | | 08/25/401,2 | | $ | 26,459 | | | $ | 25,599 | |
| Progress Residential Trust, | | | | | |
| Series 2021-SFR2, Class H | | | | | |
5.00% | | 04/19/381 | | | 819,000 | | | | 715,567 | |
| Progress Residential Trust, | | | | | |
| Series 2021-SFR8, Class G | | | | | |
4.01% | | 10/17/381 | | | 838,000 | | | | 689,809 | |
| Progress Residential Trust, | | | | | |
| Series 2021-SFR9, Class E1 | | | | | |
2.81% | | 11/17/401 | | | 1,531,000 | | | | 1,233,803 | |
| Progress Residential, | | | | | |
| Series 2021-SFR1, Class H | | | | | |
5.00% | | 04/17/381 | | | 1,050,000 | | | | 911,431 | |
| Progress Residential, | | | | | |
| Series 2021-SFR3, Class G | | | | | |
4.25% | | 05/17/261 | | | 1,211,000 | | | | 1,072,256 | |
| Regata XII Funding Ltd., | | | | | |
| Series 2019-1A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
6.39% | | 10/15/321,2,3 | | | 750,000 | | | | 726,975 | |
| Rockford Tower CLO Ltd., | | | | | |
| Series 2017-2A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.02%) | | | | | |
5.81% | | 10/15/291,2,3 | | | 51,884 | | | | 51,408 | |
| Rockford Tower CLO Ltd., | | | | | |
| Series 2017-3A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.19%) | | | | | |
6.00% | | 10/20/301,2,3 | | | 810,000 | | | | 802,425 | |
| Santander Consumer Auto Receivables Trust, | | | | | |
| Series 2021-CA, Class R | | | | | |
0.00% | | 06/15/281 | | | 5,150 | | | | 607,147 | |
| Skyline Aircraft Finance LLC, | | | | | |
| Series 2021-1, Class A | | | | | |
3.23% | | 05/10/374,5,6 | | | 485,888 | | | | 438,609 | |
| SLM Student Loan Trust, | | | | | |
| Series 2004-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
5.32% | | 07/25/392 | | | 154,688 | | | | 144,535 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-5, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.70%) | | | | | |
6.52% | | 07/25/232 | | | 70,807 | | | | 70,473 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-7, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
5.72% | | 07/25/232 | | | 13,323 | | | | 12,966 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/832 | | | 10,000 | | | | 9,286 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 50 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| Stratus CLO Ltd., | | | | | |
| Series 2021-3A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 12/29/291,3,4 | | $ | 975,000 | | | $ | 703,817 | |
| Textainer Marine Containers VII Ltd., | | | | | |
| Series 2021-1A, Class B | | | | | |
| (Bermuda) | | | | | |
2.52% | | 02/20/461,3 | | | 639,427 | | | | 539,820 | |
| Tricon American Homes Trust, | | | | | |
| Series 2017-SFR2, Class E | | | | | |
4.22% | | 01/17/361 | | | 800,000 | | | | 784,949 | |
| Voya CLO Ltd., | | | | | |
| Series 2018-4A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | 01/15/321,2,3 | | | 250,000 | | | | 241,581 | |
| | | | | |
| |
Total Asset-Backed Securities (Cost $32,373,417) | | | | 29,891,620 | |
| | | | | |
| |
| BANK LOANS — 3.37%* | | | | | |
| |
| Communications — 0.09% | | | | | |
| CenturyLink, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 2.36%) | | | | | |
7.17% | | 03/15/272 | | | 5,219 | | | | 3,467 | |
| CSC Holdings LLC, | | | | | |
| Term Loan B5, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.18% | | 04/15/272 | | | 48,867 | | | | 43,323 | |
| Frontier Communications Holdings LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.62% | | 05/01/282 | | | 122,500 | | | | 116,681 | |
| Virgin Media Bristol LLC, | | | | | |
| Term Loan Y, 1st Lien | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.11% | | 03/31/312 | | | 150,000 | | | | 148,360 | |
| | | | | |
| | | | 311,831 | |
| | | | | |
| |
| Consumer Discretionary — 0.21% | | | | | |
| ADMI Corp., | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 3.38%) | | | | | |
8.11% | | 12/23/272 | | | 147,000 | | | | 136,556 | |
| Naked Juice, LLC, | | | | | |
| Term Loan, 1st Lien (Luxembourg) | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.09% | | 01/24/292,3 | | | 248,125 | | | | 219,901 | |
| Term Loan, 2nd Lien | | | | | |
| (SOFR plus 6.00%) | | | | | |
11.00% | | 01/24/302 | | | 120,000 | | | | 92,000 | |
| Sunshine Luxembourg VII SARL, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.91% | | 10/01/262 | | | 245,000 | | | | 243,029 | |
| | | | | |
| | | | 691,486 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Electric — 0.26% | | | | | |
| Astoria Energy LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.14% | | 12/10/272 | | $ | 263,347 | | | $ | 261,833 | |
| Calpine Corp., | | | | | |
| Term Loan B9, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
6.85% | | 04/05/262 | | | 244,289 | | | | 243,161 | |
| Endure Digital, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.22% | | 02/10/282 | | | 393,000 | | | | 368,437 | |
| | | | | |
| | | | 873,431 | |
| | | | | |
| |
| Entertainment — 0.15% | | | | | |
| Cineworld Finance U.S., Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.50%) | | | | | |
9.50% | | 02/28/252 | | | 122,619 | | | | 19,351 | |
| Crown Finance U.S., Inc., | | | | | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
| (SOFR plus 10.10%) | | | | | |
14.66% - 14.80% | | 09/07/232,3 | | | 459,325 | | | | 466,581 | |
| | | | | |
| | | | 485,932 | |
| | | | | |
| |
| Finance — 0.08% | | | | | |
| DCG Acquisition Corp., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 4.60%) | | | | | |
9.41% | | 09/30/262 | | | 268,818 | | | | 261,426 | |
| Deerfield Dakota Holding LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.75%) | | | | | |
8.46% | | 04/09/272 | | | 10,839 | | | | 10,522 | |
| | | | | |
| | | | 271,948 | |
| | | | | |
| |
| Gaming — 0.01% | | | | | |
| Golden Nugget, LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.00%) | | | | | |
8.81% | | 01/26/292 | | | 10,840 | | | | 10,698 | |
| Scientific Games International, Inc., | | | | | |
| Term Loan B, 1st Lien (Canada) | | | | | |
| (SOFR plus 3.10%) | | | | | |
7.96% | | 04/13/292,3 | | | 10,868 | | | | 10,802 | |
| | | | | |
| | | | 21,500 | |
| | | | | |
| |
| Health Care — 0.65% | | | | | |
| Avantor Funding, Inc., | | | | | |
| Term Loan B5, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
6.98% | | 11/08/272 | | | 30,064 | | | | 30,080 | |
| Avolon TLB Borrower 1 U.S. LLC, | | | | | |
| Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
6.51% | | 01/15/252 | | | 275,000 | | | | 275,459 | |
See accompanying Notes to Financial Statements.
|
| 51 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| BANK LOANS (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
| Buckeye Partners LP, | | | | | |
| Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
7.09% | | 11/01/262 | | $ | 244,375 | | | $ | 244,104 | |
| Certara Holdco, Inc., | | | | | |
| Term Loan B, 1st Lien (France) | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.34% | | 08/15/262,3 | | | 270,188 | | | | 267,823 | |
| Curia Global, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.85%) | | | | | |
8.53% | | 08/28/262 | | | 392,450 | | | | 336,405 | |
| Genesee & Wyoming, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 2.10%) | | | | | |
6.86% | | 12/30/262 | | | 268,766 | | | | 267,422 | |
| Horizon Therapeutics USA, Inc., | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
6.56% | | 03/15/282 | | | 269,500 | | | | 269,310 | |
| Pathway Vet Alliance LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.49% | | 03/31/272 | | | 97,504 | | | | 85,885 | |
| Peraton Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.49% | | 02/01/282 | | | 389,257 | | | | 385,203 | |
| | | | | |
| | | | 2,161,691 | |
| | | | | |
| |
| Health Care REITs — 0.07% | | | | | |
| Aveanna Healthcare LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.70% | | 07/17/282 | | | 265,153 | | | | 226,421 | |
| | | | | |
| |
| Industrials — 0.38% | | | | | |
| ASP Blade Holdings, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.94% | | 10/16/282 | | | 199,525 | | | | 167,269 | |
| Berry Global, Inc., | | | | | |
| Term Loan Z, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
6.51% | | 07/01/262 | | | 352,247 | | | | 351,477 | |
| DIRECTV Financing LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 5.00%) | | | | | |
9.84% | | 08/02/272 | | | 302,750 | | | | 292,051 | |
| Michaels Cos., Inc. (The), | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 4.25%) | | | | | |
9.41% | | 04/15/282 | | | 167,025 | | | | 153,777 | |
| Proampac PG Borrower LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
7.96% -
8.65% | | 11/03/252 | | | 196,015 | | | | 192,193 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| BANK LOANS (continued) | | | | | |
| |
| Industrials (continued) | | | | | |
| Zep, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
9.16% | | 08/12/242 | | $ | 98,930 | | | $ | 85,680 | |
| | | | | |
| | | | 1,242,447 | |
| | | | | |
| |
| Information Technology — 0.86% | | | | | |
| AppLovin Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.16% | | 08/15/252 | | | 268,686 | | | | 268,434 | |
| AthenaHealth Group, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.50%) | | | | | |
8.25% | | 02/15/292,3,7 | | | 884,800 | | | | 830,606 | |
| Central Parent, Inc., | | | | | |
| Term Loan, 1st Lien (Canada) | | | | | |
| (SOFR plus 4.25%) | | | | | |
9.14% - 9.18% | | 07/06/292,3 | | | 10,923 | | | | 10,906 | |
| CT Technologies Intermediate Holdings, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 4.25%) | | | | | |
9.09% | | 12/16/252 | | | 73,500 | | | | 70,267 | |
| EagleView Technology Co., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.66% | | 08/14/252 | | | 268,686 | | | | 231,526 | |
| Gainwell Acquisition Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.86% | | 10/01/272 | | | 244,987 | | | | 234,575 | |
| Nouryon USA LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 2.85%) | | | | | |
9.75% | | 10/01/252 | | | 307,060 | | | | 305,277 | |
| Precision Medicine Group LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
8.16% | | 11/18/272 | | | 391,678 | | | | 378,459 | |
| Prime Security Services Borrower LLC, | | | | | |
| Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | |
7.52% | | 09/23/262 | | | 15,145 | | | | 15,118 | |
| RealPage, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
7.84% | | 04/24/282 | | | 270,875 | | | | 263,381 | |
| Spin Holdco, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.99% | | 03/03/282 | | | 269,500 | | | | 227,342 | |
| | | | | |
| | | | 2,835,891 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 52 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Insurance — 0.07% | | | | | |
| Acrisure LLC, | | | | | |
| Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.24% | | 02/15/272 | | $ | 246,819 | | | $ | 239,517 | |
| | | | | |
| |
Materials — 0.14% | | | | | |
| Mativ Holdings, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.62% | | 04/20/282 | | | 270,188 | | | | 261,575 | |
| Polar U.S. Borrower LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 4.75%) | | | | | |
9.02% | | 10/15/252 | | | 254,500 | | | | 213,007 | |
| | | | | |
| | | | 474,582 | |
| | | | | |
| |
Office REITs — 0.07% | | | | | |
| Rent-A-Center, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
8.12% | | 02/17/282 | | | 233,082 | | | | 231,334 | |
| | | | | |
| |
Retail — 0.19% | | | | | |
| AmWINS Group, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
6.99% | | 02/19/282 | | | 171,064 | | | | 169,294 | |
| U.S. Anesthesia Partners, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.25%) | | | | | |
8.91% | | 10/02/282 | | | 467,875 | | | | 452,012 | |
| | | | | |
| | | | 621,306 | |
| | | | | |
| |
Services — 0.06% | | | | | |
| Pre-Paid Legal Services, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.59% | | 12/15/282 | | | 10,841 | | | | 10,686 | |
| Trans Union LLC, | | | | | |
| Term Loan B6, 1st Lien (Luxembourg) | | | | | |
| (LIBOR plus 2.25%) | | | | | |
6.99% | | 12/01/282,3 | | | 176,632 | | | | 175,602 | |
| TruGreen LP, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.84% | | 11/02/272 | | | 10,839 | | | | 10,036 | |
| | | | | |
| | | | 196,324 | |
| | | | | |
| |
Transportation — 0.08% | | | | | |
| Kenan Advantage Group, Inc. (The), | | | | | |
| Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 7.25%) | | | | | |
12.09% | | 09/01/272 | | | 275,000 | | | | 257,011 | |
| | | | | |
Total Bank Loans | | | | | |
| (Cost $11,553,493) | | | | 11,142,652 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES — 31.13%* | | | | | |
| |
| Banking — 5.01% | | | | | |
| ABN AMRO Bank NV | | | | | |
| (Netherlands) | | | | | |
2.47% | | 12/13/291,3,4 | | $ | 270,000 | | | $ | 227,756 | |
| Bank of America Corp. | | | | | |
2.30% | | 07/21/324 | | | 640,000 | | | | 516,099 | |
3.42% | | 12/20/284 | | | 685,000 | | | | 637,358 | |
| Bank of America Corp. | | | | | |
| (MTN) | | | | | |
1.92% | | 10/24/314 | | | 385,000 | | | | 307,889 | |
2.55% | | 02/04/284 | | | 125,000 | | | | 113,948 | |
3.19% | | 07/23/304 | | | 275,000 | | | | 244,549 | |
| Bank of America Corp., | | | | | |
| Series N | | | | | |
1.66% | | 03/11/274 | | | 500,000 | | | | 451,116 | |
| Bank of America Corp., | | | | | |
| Series RR | | | | | |
4.38%4,8 | | | | | 100,000 | | | | 85,386 | |
| Comerica, Inc. | | | | | |
5.63%4,8 | | | | | 15,000 | | | | 12,612 | |
| Credit Suisse Group AG | | | | | |
| (Switzerland) | | | | | |
1.31% | | 02/02/271,3,4 | | | 600,000 | | | | 510,000 | |
3.09% | | 05/14/321,3,4 | | | 1,190,000 | | | | 957,713 | |
4.19% | | 04/01/311,3,4 | | | 2,335,000 | | | | 2,078,851 | |
6.37% | | 07/15/261,3,4 | | | 130,000 | | | | 126,783 | |
6.54% | | 08/12/331,3,4 | | | 230,000 | | | | 235,750 | |
| Credit Suisse Group AG | | | | | |
| (EMTN) | | | | | |
| (Switzerland) | | | | | |
0.63% | | 01/18/333 | | | 410,000 | | | | 291,498 | |
| Discover Bank | | | | | |
2.45% | | 09/12/24 | | | 230,000 | | | | 218,058 | |
| DNB Bank ASA | | | | | |
| (Norway) | | | | | |
0.86% | | 09/30/251,3,4 | | | 220,000 | | | | 205,469 | |
| HSBC Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
1.59% | | 05/24/273,4 | | | 510,000 | | | | 450,024 | |
1.65% | | 04/18/263,4 | | | 130,000 | | | | 118,817 | |
2.01% | | 09/22/283,4 | | | 350,000 | | | | 301,210 | |
2.36% | | 08/18/313,4 | | | 255,000 | | | | 205,902 | |
2.80% | | 05/24/323,4 | | | 500,000 | | | | 409,188 | |
4.76% | | 06/09/283,4 | | | 255,000 | | | | 247,051 | |
6.33% | | 03/09/443,4 | | | 455,000 | | | | 481,375 | |
| JPMorgan Chase & Co. | | | | | |
0.97% | | 06/23/254 | | | 280,000 | | | | 265,289 | |
1.58% | | 04/22/274 | | | 700,000 | | | | 629,180 | |
2.58% | | 04/22/324 | | | 550,000 | | | | 463,597 | |
| Lloyds Banking Group PLC | | | | | |
| (United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | | 205,000 | | | | 182,065 | |
3.57% | | 11/07/283,4 | | | 390,000 | | | | 357,340 | |
4.72% | | 08/11/263,4 | | | 30,000 | | | | 29,356 | |
4.98% | | 08/11/333,4 | | | 415,000 | | | | 401,254 | |
See accompanying Notes to Financial Statements.
|
| 53 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
| Macquarie Group Ltd. | | | | | |
| (Australia) | | | | | |
2.87% | | 01/14/331,3,4 | | $ | 375,000 | | | $ | 304,067 | |
5.03% | | 01/15/301,3,4 | | | 170,000 | | | | 167,181 | |
| NatWest Group PLC | | | | | |
| (United Kingdom) | | | | | |
4.27% | | 03/22/253,4 | | | 500,000 | | | | 490,177 | |
| PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/344 | | | 95,000 | | | | 93,873 | |
6.04% | | 10/28/334 | | | 225,000 | | | | 237,570 | |
| Santander UK Group Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
1.09% | | 03/15/253,4 | | | 325,000 | | | | 307,330 | |
1.67% | | 06/14/273,4 | | | 325,000 | | | | 283,214 | |
4.80% | | 11/15/243,4 | | | 245,000 | | | | 241,664 | |
| U.S. Bancorp | | | | | |
3.70%4,8 | | | | | 105,000 | | | | 81,978 | |
4.84% | | 02/01/344 | | | 650,000 | | | | 630,906 | |
5.85% | | 10/21/334 | | | 225,000 | | | | 235,563 | |
| Wells Fargo & Co. | | | | | |
| (MTN) | | | | | |
2.39% | | 06/02/284 | | | 745,000 | | | | 671,340 | |
3.35% | | 03/02/334 | | | 640,000 | | | | 555,558 | |
3.53% | | 03/24/284 | | | 525,000 | | | | 495,919 | |
| | | | | |
| | | | 16,558,823 | |
| | | | | |
| |
| Communications — 3.44% | | | | | |
| AT&T, Inc. | | | | | |
2.55% | | 12/01/33 | | | 452,000 | | | | 364,335 | |
4.75% | | 05/15/46 | | | 125,000 | | | | 112,972 | |
| Cable One, Inc. | | | | | |
4.00% | | 11/15/301 | | | 60,000 | | | | 49,200 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
4.25% | | 02/01/311 | | | 600,000 | | | | 492,000 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
2.80% | | 04/01/31 | | | 140,000 | | | | 112,866 | |
4.80% | | 03/01/50 | | | 250,000 | | | | 190,318 | |
5.38% | | 05/01/47 | | | 141,000 | | | | 116,035 | |
| Charter Communications Operating, LLC/Charter Communications Operating Capital | | | | | |
5.25% | | 04/01/53 | | | 520,000 | | | | 421,984 | |
| Cogent Communications Group, Inc. | | | | | |
7.00% | | 06/15/271 | | | 625,000 | | | | 620,390 | |
| CommScope, Inc. | | | | | |
4.75% | | 09/01/291 | | | 391,000 | | | | 328,733 | |
| CSC Holdings LLC | | | | | |
4.63% | | 12/01/301 | | | 300,000 | | | | 149,250 | |
5.38% | | 02/01/281 | | | 150,000 | | | | 123,031 | |
6.50% | | 02/01/291 | | | 322,000 | | | | 267,717 | |
7.50% | | 04/01/281 | | | 453,000 | | | | 289,195 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/261,9,10 | | | 751,000 | | | | 42,244 | |
| DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc. | | | | | |
5.88% | | 08/15/271 | | | 169,000 | | | | 153,226 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Communications (continued) | | | | | |
| Frontier Communications Holdings LLC | | | | | |
6.75% | | 05/01/291 | | $ | 575,000 | | | $ | 456,245 | |
8.63% | | 03/15/311 | | | 796,000 | | | | 780,072 | |
| Global Switch Finance BV | | | | | |
| (EMTN) | | | | | |
| (Netherlands) | | | | | |
1.38% | | 10/07/303 | | | 285,000 | | | | 254,556 | |
| Gray Escrow II, Inc. | | | | | |
5.38% | | 11/15/311 | | | 267,000 | | | | 175,808 | |
| Gray Television, Inc. | | | | | |
7.00% | | 05/15/271 | | | 400,000 | | | | 335,268 | |
| Intelsat Jackson Holdings SA | | | | | |
| (Luxembourg) | | | | | |
6.50% | | 03/15/301,3 | | | 535,000 | | | | 492,586 | |
Intelsat Jackson Holdings SA,
Class B (Luxembourg) | | | | | | | | |
5.50% | | 08/01/23†,3,5,6,9,10 | | | 535,000 | | | | — | |
8.50% | | 10/15/24†,1,3,5,6,9,10 | | | 270,000 | | | | — | |
9.75% | | 07/15/25†,1,3,5,6,9,10 | | | 360,000 | | | | — | |
| Level 3 Financing, Inc. | | | | | |
3.63% | | 01/15/291 | | | 40,000 | | | | 22,125 | |
3.75% | | 07/15/291 | | | 250,000 | | | | 133,617 | |
10.50% | | 05/15/301 | | | 275,000 | | | | 262,969 | |
| Meta Platforms, Inc. | | | | | |
4.45% | | 08/15/52 | | | 165,000 | | | | 145,456 | |
| Netflix, Inc. | | | | | |
4.63% | | 05/15/29 | | | 100,000 | | | | 111,061 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/271 | | | 700,000 | | | | 598,500 | |
| Scripps Escrow, Inc. | | | | | |
5.88% | | 07/15/271 | | | 400,000 | | | | 298,624 | |
| Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/311 | | | 600,000 | | | | 467,091 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
4.74% | | 03/20/251 | | | 262,500 | | | | 260,606 | |
5.15% | | 03/20/281 | | | 495,000 | | | | 492,089 | |
| Tencent Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.88% | | 04/22/311,3 | | | 200,000 | | | | 173,623 | |
| Time Warner Cable LLC | | | | | |
5.50% | | 09/01/41 | | | 80,000 | | | | 69,201 | |
| Virgin Media Secured Finance PLC | | | | | |
| (United Kingdom) | | | | | |
4.50% | | 08/15/301,3 | | | 350,000 | | | | 301,128 | |
| Vmed O2 UK Financing I PLC | | | | | |
| (United Kingdom) | | | | | |
4.25% | | 01/31/311,3 | | | 375,000 | | | | 319,500 | |
| Vodafone Group PLC | | | | | |
| (United Kingdom) | | | | | |
4.25% | | 09/17/503 | | | 60,000 | | | | 49,097 | |
5.63% | | 02/10/533 | | | 300,000 | | | | 297,061 | |
| VZ Secured Financing BV | | | | | |
| (Netherlands) | | | | | |
5.00% | | 01/15/321,3 | | | 1,100,000 | | | | 898,562 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 54 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Communications (continued) | | | | | |
| Zayo Group Holdings, Inc. | | | | | |
4.00% | | 03/01/271 | | $ | 185,000 | | | $ | 140,766 | |
| | | | | |
| | | | 11,369,107 | |
| | | | | |
| |
| Consumer Discretionary — 1.36% | | | | | |
| Bacardi Ltd. | | | | | |
| (Bermuda) | | | | | |
4.45% | | 05/15/251,3 | | | 165,000 | | | | 162,566 | |
| BAT Capital Corp. | | | | | |
3.56% | | 08/15/27 | | | 165,000 | | | | 153,605 | |
4.39% | | 08/15/37 | | | 150,000 | | | | 122,521 | |
5.65% | | 03/16/52 | | | 430,000 | | | | 378,440 | |
| BAT International Finance PLC | | | | | |
| (United Kingdom) | | | | | |
1.67% | | 03/25/263 | | | 83,000 | | | | 75,582 | |
| Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/291 | | | 350,000 | | | | 315,000 | |
| Imperial Brands Finance PLC | | | | | |
| (United Kingdom) | | | | | |
4.25% | | 07/21/251,3 | | | 160,000 | | | | 155,327 | |
6.13% | | 07/27/271,3 | | | 195,000 | | | | 200,181 | |
| JDE Peet’s NV | | | | | |
| (Netherlands) | | | | | |
2.25% | | 09/24/311,3 | | | 750,000 | | | | 592,650 | |
| Reynolds American, Inc. | | | | | |
5.70% | | 08/15/35 | | | 100,000 | | | | 94,857 | |
5.85% | | 08/15/45 | | | 95,000 | | | | 85,705 | |
| Spectrum Brands, Inc. | | | | | |
5.50% | | 07/15/301 | | | 425,000 | | | | 377,187 | |
| Triton Water Holdings, Inc. | | | | | |
6.25% | | 04/01/291 | | | 1,075,000 | | | | 855,657 | |
| WarnerMedia Holdings, Inc. | | | | | |
4.28% | | 03/15/321 | | | 190,000 | | | | 169,647 | |
5.05% | | 03/15/421 | | | 480,000 | | | | 401,915 | |
5.14% | | 03/15/521 | | | 425,000 | | | | 345,296 | |
| | | | | |
| | | | 4,486,136 | |
| | | | | |
| |
| Diversified REITs — 1.05% | | | | | |
| American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 500,000 | | | | 401,933 | |
| American Tower Corp. | | | | | |
0.88% | | 05/21/29 | | | 180,000 | | | | 157,544 | |
1.00% | | 01/15/32 | | | 210,000 | | | | 168,819 | |
2.70% | | 04/15/31 | | | 80,000 | | | | 67,147 | |
5.65% | | 03/15/33 | | | 145,000 | | | | 149,336 | |
| CapitaLand Ascendas REIT | | | | | |
| (EMTN) | | | | | |
| (Slovenia) | | | | | |
0.75% | | 06/23/283 | | | 100,000 | | | | 86,358 | |
| Digital Dutch Finco BV | | | | | |
| (Netherlands) | | | | | |
1.00% | | 01/15/323 | | | 150,000 | | | | 114,874 | |
1.25% | | 02/01/313 | | | 220,000 | | | | 178,463 | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | 01/15/32 | | | 17,000 | | | | 13,878 | |
4.00% | | 01/15/30 | | | 305,000 | | | | 271,215 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Diversified REITs (continued) | | | | | |
4.00% | | 01/15/31 | | $ | 48,000 | | | $ | 41,943 | |
5.38% | | 04/15/26 | | | 590,000 | | | | 573,129 | |
5.75% | | 06/01/28 | | | 10,000 | | | | 9,767 | |
| LXP Industrial Trust | | | | | |
2.70% | | 09/15/30 | | | 160,000 | | | | 130,162 | |
| VICI Properties LP | | | | | |
5.13% | | 05/15/32 | | | 369,000 | | | | 349,800 | |
5.63% | | 05/15/52 | | | 145,000 | | | | 130,735 | |
| VICI Properties LP/VICI Note Co., Inc. | | | | | |
3.75% | | 02/15/271 | | | 135,000 | | | | 124,741 | |
3.88% | | 02/15/291 | | | 120,000 | | | | 106,817 | |
4.13% | | 08/15/301 | | | 54,000 | | | | 47,452 | |
4.50% | | 09/01/261 | | | 65,000 | | | | 62,201 | |
4.50% | | 01/15/281 | | | 13,000 | | | | 12,056 | |
4.63% | | 06/15/251 | | | 15,000 | | | | 14,511 | |
5.75% | | 02/01/271 | | | 80,000 | | | | 78,841 | |
| Weyerhaeuser Co. | | | | | |
3.38% | | 03/09/33 | | | 195,000 | | | | 171,554 | |
| | | | | |
| | | | 3,463,276 | |
| | | | | |
| |
| Electric — 1.74% | | | | | |
| Alliant Energy Finance LLC | | | | | |
1.40% | | 03/15/261 | | | 245,000 | | | | 217,347 | |
| Alliant Energy Finance, LLC | | | | | |
3.60% | | 03/01/321 | | | 155,000 | | | | 138,142 | |
| American Electric Power Co., Inc. | | | | | |
2.03% | | 03/15/24 | | | 455,000 | | | | 441,360 | |
5.63% | | 03/01/33 | | | 325,000 | | | | 337,123 | |
| Arizona Public Service Co. | | | | | |
6.35% | | 12/15/32 | | | 600,000 | | | | 654,350 | |
| Comision Federal de Electricidad | | | | | |
| (Mexico) | | | | | |
4.69% | | 05/15/291,3 | | | 200,000 | | | | 179,780 | |
| Duke Energy Carolinas LLC | | | | | |
4.00% | | 09/30/42 | | | 250,000 | | | | 214,632 | |
5.35% | | 01/15/53 | | | 195,000 | | | | 203,798 | |
| Duke Energy Corp. | | | | | |
3.85% | | 06/15/34 | | | 200,000 | | | | 204,021 | |
| Duke Energy Progress LLC | | | | | |
5.25% | | 03/15/33 | | | 170,000 | | | | 176,785 | |
| Eversource Energy, | | | | | |
| Series O | | | | | |
4.25% | | 04/01/29 | | | 8,000 | | | | 7,769 | |
| FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/281 | | | 418,000 | | | | 377,617 | |
| Niagara Mohawk Power Corp. | | | | | |
5.78% | | 09/16/521 | | | 365,000 | | | | 379,973 | |
| Oklahoma Gas and Electric Co. | | | | | |
5.40% | | 01/15/33 | | | 685,000 | | | | 710,148 | |
| Pennsylvania Electric Co. | | | | | |
4.15% | | 04/15/251 | | | 555,000 | | | | 537,666 | |
| Pike Corp. | | | | | |
5.50% | | 09/01/281 | | | 400,000 | | | | 350,424 | |
| Public Service Co. of New Mexico | | | | | |
3.85% | | 08/01/25 | | | 40,000 | | | | 38,862 | |
See accompanying Notes to Financial Statements.
|
| 55 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Electric (continued) | | | | | |
TenneT Holding BV
(EMTN)
(Netherlands) | | | | | |
4.50% | | 10/28/343 | | $ | 100,000 | | | $ | 116,811 | |
4.75% | | 10/28/423 | | | 140,000 | | | | 165,006 | |
| Tucson Electric Power Co. | | | | | |
5.50% | | 04/15/53 | | | 305,000 | | | | 311,742 | |
| | | | | |
| | | | 5,763,356 | |
| | | | | |
| |
| Energy — 2.28% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | 04/01/281 | | | 350,000 | | | | 337,750 | |
| CenterPoint Energy Resources Corp. | | | | | |
5.40% | | 03/01/33 | | | 765,000 | | | | 791,557 | |
Enbridge, Inc.
(Canada) | | | | | |
5.70% | | 03/08/333 | | | 90,000 | | | | 93,657 | |
| Energy Transfer LP | | | | | |
4.90% | | 03/15/35 | | | 20,000 | | | | 18,734 | |
5.00% | | 05/15/50 | | | 490,000 | | | | 417,416 | |
| Energy Transfer LP, | | | | | |
| Series B | | | | | |
6.63%4,8 | | | | | 733,000 | | | | 548,704 | |
| Galaxy Pipeline Assets Bidco Ltd. (United Kingdom) | | | | | |
2.16% | | 03/31/341,3 | | | 177,420 | | | | 153,010 | |
| Global Partners LP/GLP Finance Corp. | | | | | |
6.88% | | 01/15/29 | | | 430,000 | | | | 400,180 | |
| Hess Corp. | | | | | |
5.60% | | 02/15/41 | | | 20,000 | | | | 19,300 | |
| KazMunayGas National Co. JSC | | | | | |
| (Kazakhstan) | | | | | |
3.50% | | 04/14/331,3 | | | 200,000 | | | | 150,468 | |
| KeySpan Gas East Corp. | | | | | |
5.99% | | 03/06/331 | | | 385,000 | | | | 397,890 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | 02/01/261 | | | 294,000 | | | | 284,077 | |
| NGPL Pipe Co. LLC | | | | | |
4.88% | | 08/15/271 | | | 40,000 | | | | 38,785 | |
| Petroleos Mexicanos | | | | | |
| (Mexico) | | | | | |
5.95% | | 01/28/313 | | | 184,000 | | | | 140,954 | |
6.35% | | 02/12/483 | | | 5,000 | | | | 3,120 | |
6.75% | | 09/21/473 | | | 15,000 | | | | 9,762 | |
6.95% | | 01/28/603 | | | 5,000 | | | | 3,235 | |
QatarEnergy,
Series REGS
(Qatar) | | | | | |
2.25% | | 07/12/313 | | | 200,000 | | | | 170,191 | |
| Rockies Express Pipeline LLC | | | | | |
4.80% | | 05/15/301 | | | 234,000 | | | | 205,920 | |
4.95% | | 07/15/291 | | | 215,000 | | | | 192,864 | |
| Sabine Pass Liquefaction LLC | | | | | |
4.50% | | 05/15/30 | | | 77,000 | | | | 74,311 | |
| Southern Natural Gas Co. LLC | | | | | |
4.80% | | 03/15/471 | | | 65,000 | | | | 55,970 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | 02/15/26 | | $ | 725,000 | | | $ | 627,865 | |
| Transocean Poseidon Ltd. | | | | | |
| (Cayman Islands) | | | | | |
6.88% | | 02/01/271,3 | | | 28,438 | | | | 27,903 | |
| Transocean Titan Financing Ltd. | | | | | |
| (Cayman Islands) | | | | | |
8.38% | | 02/01/281,3 | | | 426,000 | | | | 435,585 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | 09/01/27 | | | 600,000 | | | | 573,933 | |
| Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | 11/01/331 | | | 248,000 | | | | 208,675 | |
4.13% | | 08/15/311 | | | 1,225,000 | | | | 1,077,192 | |
| Williams Cos., Inc. (The) | | | | | |
4.30% | | 03/04/24 | | | 60,000 | | | | 59,409 | |
| | | | | |
| | | | 7,518,417 | |
| | | | | |
| |
| Entertainment — 0.18% | | | | | |
| Cinemark USA, Inc. | | | | | |
5.25% | | 07/15/281 | | | 685,000 | | | | 599,546 | |
| | | | | |
| |
| Finance — 3.22% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
2.45% | | 10/29/263 | | | 123,000 | | | | 110,442 | |
3.30% | | 01/30/323 | | | 565,000 | | | | 466,922 | |
3.88% | | 01/23/283 | | | 5,000 | | | | 4,634 | |
4.45% | | 10/01/253 | | | 110,000 | | | | 106,562 | |
| Air Lease Corp. | | | | | |
| (MTN) | | | | | |
2.88% | | 01/15/26 | | | 380,000 | | | | 354,573 | |
| American Express Co. | | | | | |
2.55% | | 03/04/27 | | | 190,000 | | | | 176,073 | |
Avolon Holdings Funding Ltd.
(Cayman Islands) | | | | | |
2.53% | | 11/18/271,3 | | | 583,000 | | | | 493,849 | |
| Capital One Financial Corp. | | | | | |
1.34% | | 12/06/244 | | | 360,000 | | | | 347,345 | |
| Cboe Global Markets, Inc. | | | | | |
3.00% | | 03/16/32 | | | 190,000 | | | | 164,818 | |
Charles Schwab Corp. (The)
Series K | | | | | |
5.00%4,8 | | | | | 200,000 | | | | 170,000 | |
| Citigroup, Inc. | | | | | |
2.56% | | 05/01/324 | | | 240,000 | | | | 199,275 | |
2.57% | | 06/03/314 | | | 375,000 | | | | 316,609 | |
2.98% | | 11/05/304 | | | 145,000 | | | | 127,177 | |
3.06% | | 01/25/334 | | | 930,000 | | | | 791,203 | |
3.52% | | 10/27/284 | | | 435,000 | | | | 406,954 | |
Citigroup, Inc.,
Series VAR | | | | | |
3.07% | | 02/24/284 | | | 95,000 | | | | 88,465 | |
| Discover Financial Services | | | | | |
3.95% | | 11/06/24 | | | 105,000 | | | | 100,205 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 56 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Finance (continued) | | | | | |
Gaci First Investment Co.
(Cayman Islands) | | | | | |
5.25% | | 10/13/323 | | $ | 300,000 | | | $ | 312,375 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
0.93% | | 10/21/244 | | | 130,000 | | | | 126,523 | |
1.22% | | 12/06/23 | | | 455,000 | | | | 442,308 | |
1.54% | | 09/10/274 | | | 5,000 | | | | 4,404 | |
1.95% | | 10/21/274 | | | 325,000 | | | | 290,388 | |
1.99% | | 01/27/324 | | | 375,000 | | | | 299,456 | |
2.38% | | 07/21/324 | | | 170,000 | | | | 138,628 | |
2.65% | | 10/21/324 | | | 480,000 | | | | 396,933 | |
3.81% | | 04/23/294 | | | 575,000 | | | | 541,712 | |
| Intercontinental Exchange, Inc. | | | | | |
1.85% | | 09/15/32 | | | 195,000 | | | | 154,259 | |
| JPMorgan Chase & Co. | | | | | |
1.04% | | 02/04/274 | | | 25,000 | | | | 22,322 | |
1.05% | | 11/19/264 | | | 270,000 | | | | 241,890 | |
2.55% | | 11/08/324 | | | 200,000 | | | | 166,223 | |
2.74% | | 10/15/304 | | | 160,000 | | | | 139,784 | |
2.95% | | 02/24/284 | | | 120,000 | | | | 111,515 | |
| JPMorgan Chase & Co., | | | | | |
| Series KK | | | | | |
3.65%4,8 | | | | | 115,000 | | | | 100,912 | |
| Morgan Stanley | | | | | |
0.99% | | 12/10/264 | | | 145,000 | | | | 129,340 | |
2.48% | | 09/16/364 | | | 170,000 | | | | 128,610 | |
2.95% | | 05/07/324 | | | 155,000 | | | | 153,693 | |
| Morgan Stanley | | | | | |
| (GMTN) | | | | | |
1.51% | | 07/20/274 | | | 120,000 | | | | 106,577 | |
2.24% | | 07/21/324 | | | 160,000 | | | | 129,102 | |
2.70% | | 01/22/314 | | | 290,000 | | | | 249,832 | |
| Morgan Stanley | | | | | |
| (MTN) | | | | | |
1.16% | | 10/21/254 | | | 495,000 | | | | 462,537 | |
1.93% | | 04/28/324 | | | 775,000 | | | | 614,123 | |
| Nationwide Building Society | | | | | |
| (United Kingdom) | | | | | |
2.97% | | 02/16/281,3,4 | | | 200,000 | | | | 182,003 | |
4.36% | | 08/01/241,3,4 | | | 130,000 | | | | 128,934 | |
| Park Aerospace Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
5.50% | | 02/15/241,3 | | | 2,000 | | | | 1,982 | |
| Pipeline Funding Co. LLC | | | | | |
7.50% | | 01/15/301 | | | 149,380 | | | | 152,662 | |
| Raymond James Financial, Inc. | | | | | |
4.65% | | 04/01/30 | | | 145,000 | | | | 143,663 | |
| Vonovia SE | | | | | |
| (Georgia) | | | | | |
1.00% | | 06/16/333 | | | 100,000 | | | | 68,253 | |
1.50% | | 06/14/413 | | | 100,000 | | | | 57,141 | |
| | | | | |
| | | | 10,623,190 | |
| | | | | |
| |
| Food — 1.14% | | | | | |
| Chobani LLC/Chobani Finance Corp, Inc. | | | | | |
4.63% | | 11/15/281 | | | 741,000 | | | | 676,077 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Food (continued) | | | | | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | 06/01/261 | | $ | 682,000 | | | $ | 422,738 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada) | | | | | |
3.75% | | 12/01/311,3 | | | 385,000 | | | | 319,221 | |
5.50% | | 01/15/301,3 | | | 376,000 | | | | 359,275 | |
| Pilgrim’s Pride Corp. | | | | | |
4.25% | | 04/15/31 | | | 180,000 | | | | 157,436 | |
5.88% | | 09/30/271 | | | 884,000 | | | | 879,182 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed | | | | | |
4.63% | | 03/01/291 | | | 750,000 | | | | 609,771 | |
| Smithfield Foods, Inc. | | | | | |
5.20% | | 04/01/291 | | | 5,000 | | | | 4,674 | |
| TreeHouse Foods, Inc. | | | | | |
4.00% | | 09/01/28 | | | 400,000 | | | | 354,057 | |
| | | | | |
| | | | 3,782,431 | |
| | | | | |
| |
| Health Care — 3.77% | | | | | |
| 1375209 BC Ltd. | | | | | |
| (Canada) | | | | | |
9.00% | | 01/30/281,3 | | | 400,000 | | | | 397,000 | |
| AbbVie, Inc. | | | | | |
3.85% | | 06/15/24 | | | 10,000 | | | | 9,882 | |
| Amgen, Inc. | | | | | |
3.15% | | 02/21/40 | | | 100,000 | | | | 78,529 | |
5.25% | | 03/02/33 | | | 305,000 | | | | 313,457 | |
5.60% | | 03/02/43 | | | 305,000 | | | | 314,885 | |
5.65% | | 03/02/53 | | | 305,000 | | | | 317,666 | |
| Baxter International, Inc. | | | | | |
0.87% | | 12/01/23 | | | 260,000 | | | | 253,060 | |
| Bayer U.S. Finance II LLC | | | | | |
4.25% | | 12/15/251 | | | 255,000 | | | | 249,656 | |
4.38% | | 12/15/281 | | | 210,000 | | | | 203,137 | |
4.40% | | 07/15/441 | | | 245,000 | | | | 202,498 | |
4.88% | | 06/25/481 | | | 80,000 | | | | 71,831 | |
| Becton Dickinson & Co. | | | | | |
3.73% | | 12/15/24 | | | 3,000 | | | | 2,935 | |
| Cano Health LLC | | | | | |
6.25% | | 10/01/281 | | | 290,000 | | | | 160,225 | |
| Catalent Pharma Solutions, Inc. | | | | | |
3.13% | | 02/15/291 | | | 475,000 | | | | 418,004 | |
| Centene Corp. | | | | | |
2.45% | | 07/15/28 | | | 349,000 | | | | 303,796 | |
3.00% | | 10/15/30 | | | 323,000 | | | | 272,283 | |
4.25% | | 12/15/27 | | | 455,000 | | | | 438,829 | |
| CommonSpirit Health | | | | | |
2.78% | | 10/01/30 | | | 35,000 | | | | 29,900 | |
3.35% | | 10/01/29 | | | 200,000 | | | | 180,237 | |
4.35% | | 11/01/42 | | | 100,000 | | | | 85,723 | |
| CVS Health Corp. | | | | | |
5.05% | | 03/25/48 | | | 270,000 | | | | 252,934 | |
| DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | 06/01/30 | | | 265,000 | | | | 234,397 | |
See accompanying Notes to Financial Statements.
|
| 57 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
Embecta Corp. | | | | | |
6.75% | | | | | | | 02/15/30 | 1 | | $ | 525,000 | | | $ | 478,556 | |
| Grifols Escrow Issuer SA | | | | | |
| (Spain) | | | | | |
4.75% | | | | | | | 10/15/28 | 1,3 | | | 1,202,000 | | | | 986,906 | |
| HCA, Inc. | | | | | |
3.50% | | | | | | | 09/01/30 | | | | 143,000 | | | | 127,465 | |
3.63% | | | | | | | 03/15/32 | 1 | | | 425,000 | | | | 374,118 | |
4.13% | | | | | | | 06/15/29 | | | | 80,000 | | | | 75,186 | |
5.25% | | | | | | | 06/15/49 | | | | 185,000 | | | | 167,116 | |
5.38% | | | | | | | 09/01/26 | | | | 10,000 | | | | 10,067 | |
5.50% | | | | | | | 06/15/47 | | | | 120,000 | | | | 113,843 | |
5.63% | | | | | | | 09/01/28 | | | | 275,000 | | | | 277,585 | |
| Medline Borrower LP | | | | | |
3.88% | | | | | | | 04/01/29 | 1 | | | 750,000 | | | | 654,375 | |
| ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | | | | | | 10/01/29 | 1 | | | 265,000 | | | | 227,580 | |
| ModivCare, Inc. | | | | | |
5.88% | | | | | | | 11/15/25 | 1 | | | 375,000 | | | | 360,013 | |
| Molina Healthcare, Inc. | | | | | |
3.88% | | | | | | | 11/15/30 | 1 | | | 975,000 | | | | 852,801 | |
3.88% | | | | | | | 05/15/32 | 1 | | | 570,000 | | | | 484,834 | |
4.38% | | | | | | | 06/15/28 | 1 | | | 74,000 | | | | 68,887 | |
| NYU Langone Hospitals, | | | | | |
| Series 2020 | | | | | |
3.38% | | | | | | | 07/01/55 | | | | 295,000 | | | | 216,147 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | | | | | 04/30/31 | 1 | | | 315,000 | | | | 280,296 | |
| Prestige Brands, Inc. | | | | | |
3.75% | | | | | | | 04/01/31 | 1 | | | 450,000 | | | | 381,820 | |
| Prime Healthcare Services, Inc. | | | | | |
7.25% | | | | | | | 11/01/25 | 1 | | | 450,000 | | | | 400,500 | |
| Royalty Pharma PLC | | | | | |
| (United Kingdom) | | | | | |
1.75% | | | | | | | 09/02/27 | 3 | | | 125,000 | | | | 109,498 | |
| Tenet Healthcare Corp. | | | | | |
4.25% | | | | | | | 06/01/29 | | | | 550,000 | | | | 498,085 | |
| Teva Pharmaceutical Finance Netherlands II BV | | | | | |
| (Netherlands) | | | | | |
7.88% | | | | | | | 09/15/31 | 3 | | | 275,000 | | | | 309,366 | |
| Teva Pharmaceutical Finance Netherlands III BV (Netherlands) | | | | | |
8.13% | | | | | | | 09/15/31 | 3 | | | 200,000 | | | | 210,752 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,456,660 | |
| | | | | | | | | | | | | | | | |
| |
Health Care REITs — 0.19% | | | | | |
| Healthcare Reality Holdings LP | | | | | |
2.00% | | | | | | | 03/15/31 | | | | 140,000 | | | | 109,407 | |
3.10% | | | | | | | 02/15/30 | | | | 115,000 | | | | 99,687 | |
| Healthcare Realty Holdings LP | | | | | |
2.05% | | | | | | | 03/15/31 | | | | 22,000 | | | | 16,733 | |
2.40% | | | | | | | 03/15/30 | | | | 325,000 | | | | 260,248 | |
3.63% | | | | | | | 01/15/28 | | | | 150,000 | | | | 136,468 | |
| Healthpeak OP LLC, | | | | | |
3.40% | | | | | | | 02/01/25 | | | | 2,000 | | | | 1,940 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 624,483 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Industrial REITs — 0.13% | | | | | |
| Prologis Euro Finance LLC | | | | | |
0.50% | | | | | | | 02/16/32 | | | $ | 100,000 | | | $ | 76,288 | |
1.00% | | | | | | | 02/06/35 | | | | 100,000 | | | | 71,656 | |
1.00% | | | | | | | 02/16/41 | | | | 100,000 | | | | 59,161 | |
| Prologis Euro Finance LLC, | | | | | |
| (EMTN) | | | | | |
4.25% | | | | | | | 01/31/43 | | | | 100,000 | | | | 97,965 | |
| SELP Finance SARL | | | | | |
| (Luxembourg) | | | | | |
0.88% | | | | | | | 05/27/29 | 3 | | | 160,000 | | | | 132,647 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 437,717 | |
| | | | | | | | | | | | | | | | |
| |
| Industrials — 1.81% | | | | | |
| Advanced Drainage Systems, Inc. | | | | | |
6.38% | | | | | | | 06/15/30 | 1 | | | 335,000 | | | | 328,638 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Canada) | | | | | |
5.25% | | | | | | | 08/15/27 | 1,3 | | | 885,000 | | | | 698,613 | |
| Artera Services LLC | | | | | |
9.03% | | | | | | | 12/04/25 | 1 | | | 669,000 | | | | 579,216 | |
| BAE Systems Holdings, Inc. | | | | | |
3.85% | | | | | | | 12/15/25 | 1 | | | 250,000 | | | | 242,615 | |
| Berry Global, Inc. | | | | | |
1.50% | | | | | | | 01/15/27 | 1 | | | 200,000 | | | | 194,252 | |
1.65% | | | | | | | 01/15/27 | | | | 40,000 | | | | 35,057 | |
5.50% | | | | | | | 04/15/28 | 1 | | | 255,000 | | | | 254,357 | |
| Boeing Co. (The) | | | | | |
1.43% | | | | | | | 02/04/24 | | | | 340,000 | | | | 328,693 | |
Cellnex Finance Co. SA (EMTN) (Spain) | | | | | | | | | |
2.00% | | | | | | | 09/15/32 | 3 | | | 300,000 | | | | 253,377 | |
| Energizer Holdings, Inc. | | | | | |
4.38% | | | | | | | 03/31/29 | 1 | | | 925,000 | | | | 815,156 | |
General Electric Co. (MTN) (LIBOR USD 3-Month plus 0.38%) | | | | | |
5.19% | | | | | | | 05/05/26 | 2 | | | 57,000 | | | | 56,305 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
5.34% | | | | | | | 08/15/36 | 2 | | | 52,000 | | | | 43,914 | |
Heathrow Funding Ltd. (EMTN) (United Kingdom) | | | | | | | | | |
1.88% | | | | | | | 03/14/34 | 3 | | | 230,000 | | | | 196,982 | |
| OT Merger Corp. | | | | | |
7.88% | | | | 10/15/29 | 1 | | | 1,350,000 | | | | 813,143 | |
| TransDigm, Inc. | | | | | |
6.75% | | | | | | | 08/15/28 | 1 | | | 1,115,000 | | | | 1,126,855 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,967,173 | |
| | | | | | | | | | | | | | | | |
| |
Information Technology — 1.39% | | | | | |
| Broadcom, Inc. | | | | | |
3.42% | | | | | | | 04/15/33 | 1 | | | 190,000 | | | | 159,130 | |
| Fiserv, Inc. | | | | | |
2.65% | | | | | | | 06/01/30 | | | | 10,000 | | | | 8,638 | |
5.60% | | | | | | | 03/02/33 | | | | 605,000 | | | | 628,455 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 58 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Information Technology (continued) | | | | | |
| Gen Digital, Inc. | | | | | |
6.75% | | | | | | | 09/30/27 | 1 | | $ | 360,000 | | | $ | 362,337 | |
| NCR Corp. | | | | | |
5.00% | | | | | | | 10/01/28 | 1 | | | 550,000 | | | | 484,688 | |
5.13% | | | | | | | 04/15/29 | 1 | | | 340,000 | | | | 295,468 | |
5.25% | | | | | | | 10/01/30 | 1 | | | 700,000 | | | | 572,096 | |
| Netflix, Inc. | | | | | |
5.88% | | | | | | | 02/15/25 | | | | 310,000 | | | | 316,667 | |
| Open Text Corp. | | | | | |
| (Canada) | | | | | |
6.90% | | | | | | | 12/01/27 | 1,3 | | | 350,000 | | | | 360,937 | |
| Oracle Corp. | | | | | |
2.88% | | | | | | | 03/25/31 | | | | 65,000 | | | | 55,646 | |
3.80% | | | | | | | 11/15/37 | | | | 355,000 | | | | 295,013 | |
3.95% | | | | | | | 03/25/51 | | | | 830,000 | | | | 624,552 | |
4.00% | | | | | | | 11/15/47 | | | | 40,000 | | | | 30,567 | |
5.55% | | | | | | | 02/06/53 | | | | 300,000 | | | | 285,746 | |
6.90% | | | | | | | 11/09/52 | | | | 115,000 | | | | 129,146 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,609,086 | |
| | | | | | | | | | | | | | | | |
Insurance — 1.02% | | | | | |
| Acrisure LLC/Acrisure Finance, Inc. | | | | | |
4.25% | | | | | | | 02/15/29 | 1 | | | 175,000 | | | | 149,517 | |
6.00% | | | | | | | 08/01/29 | 1 | | | 400,000 | | | | 333,000 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings | | | | | |
| Co.-Issuer | | | | | |
6.75% | | | | | | | 10/15/27 | 1 | | | 452,000 | | | | 420,925 | |
| Aon Corp./Aon Global Holdings PLC | | | | | |
3.90% | | | | | | | 02/28/52 | | | | 280,000 | | | | 226,626 | |
| AssuredPartners, Inc. | | | | | |
5.63% | | | | | | | 01/15/29 | 1 | | | 415,000 | | | | 359,114 | |
| Athene Global Funding | | | | | |
1.99% | | | | | | | 08/19/28 | 1 | | | 370,000 | | | | 300,378 | |
2.72% | | | | | | | 01/07/29 | 1 | | | 95,000 | | | | 79,831 | |
3.21% | | | | | | | 03/08/27 | 1 | | | 130,000 | | | | 119,626 | |
| Berkshire Hathaway Finance Corp. | | | | | |
2.50% | | | | | | | 01/15/51 | | | | 115,000 | | | | 74,040 | |
| Brown & Brown, Inc. | | | | | |
4.95% | | | | | | | 03/17/52 | | | | 160,000 | | | | 135,776 | |
| Farmers Exchange Capital II | | | | | |
6.15% | | | | | | | 11/01/53 | 1,4 | | | 150,000 | | | | 149,053 | |
| Farmers Exchange Capital III | | | | | |
5.45% | | | | | | | 10/15/54 | 1,4 | | | 85,000 | | | | 77,728 | |
| Farmers Insurance Exchange | | | | | |
4.75% | | | | | | | 11/01/57 | 1,4 | | | 135,000 | | | | 105,922 | |
| HUB International Ltd. | | | | | |
7.00% | | | | | | | 05/01/26 | 1 | | | 350,000 | | | | 345,625 | |
| Metropolitan Life Global Funding I | | | | | |
2.95% | | | | | | | 04/09/30 | 1 | | | 15,000 | | | | 13,236 | |
| Nationwide Mutual Insurance Co. | | | | | |
7.16% | | | | | | | 12/15/24 | 1,4 | | | 375,000 | | | | 373,562 | |
| Teachers Insurance & Annuity Association of America | |
4.27% | | | | | | | 05/15/47 | 1 | | | 40,000 | | | | 33,950 | |
4.38% | | | | | | | 09/15/54 | 1,4 | | | 65,000 | | | | 63,356 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,361,265 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Materials — 0.74% | | | | | |
| ASP Unifrax Holdings, Inc. | | | | | |
5.25% | | | | | | | 09/30/28 | 1 | | $ | 265,000 | | | $ | 212,079 | |
| Freeport Indonesia PT | | | | | |
| (Indonesia) | | | | | |
4.76% | | | | | | | 04/14/27 | 1,3 | | | 200,000 | | | | 195,583 | |
| Herens Holdco SARL | | | | | |
| (Luxembourg) | | | | | |
4.75% | | | | | | | 05/15/28 | 1,3 | | | 450,000 | | | | 360,351 | |
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia) | | | | | |
5.45% | | | | | | | 05/15/30 | 3 | | | 200,000 | | | | 197,640 | |
| International Flavors & Fragrances, Inc. | | | | | |
2.30% | | | | | | | 11/01/30 | 1 | | | 775,000 | | | | 622,505 | |
| SK Invictus Intermediate II SARL | | | | | |
| (Luxembourg) | | | | | |
5.00% | | | | | | | 10/30/29 | 1,3 | | | 450,000 | | | | 374,094 | |
| Valvoline, Inc. | | | | | |
3.63% | | | | | | | 06/15/31 | 1 | | | 550,000 | | | | 467,659 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,429,911 | |
| | | | | | | | | | | | | | | | |
Office REITs — 0.08% | | | | | |
| Boston Properties LP | | | | | |
2.75% | | | | | | | 10/01/26 | | | | 10,000 | | | | 8,605 | |
| Hudson Pacific Properties LP | | | | | |
3.95% | | | | | | | 11/01/27 | | | | 255,000 | | | | 175,253 | |
5.95% | | | | | | | 02/15/28 | | | | 60,000 | | | | 46,429 | |
| Kilroy Realty LP | | | | | |
2.50% | | | | | | | 11/15/32 | | | | 50,000 | | | | 31,768 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 262,055 | |
| | | | | | | | | | | | | | | | |
Residential REITs — 0.26% | | | | | |
| American Homes 4 Rent LP | | | | | |
3.38% | | | | | | | 07/15/51 | | | | 675,000 | | | | 445,460 | |
| Invitation Homes Operating Partnership LP | | | | | |
2.00% | | | | | | | 08/15/31 | | | | 305,000 | | | | 234,491 | |
2.30% | | | | | | | 11/15/28 | | | | 50,000 | | | | 41,996 | |
2.70% | | | | | | | 01/15/34 | | | | 190,000 | | | | 146,155 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 868,102 | |
| | | | | | | | | | | | | | | | |
Retail — 0.67% | | | | | |
| Bloomin’ Brands, Inc./OSI Restaurant Partners LLC | | | | | |
5.13% | | | | | | | 04/15/29 | 1 | | | 743,000 | | | | 666,843 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | | | | | | 01/15/30 | 1 | | | 725,000 | | | | 596,697 | |
| FirstCash, Inc. | | | | | |
5.63% | | | | | | | 01/01/30 | 1 | | | 475,000 | | | | 438,822 | |
| Michaels Cos., Inc. (The) | | | | | |
7.88% | | | | | | | 05/01/29 | 1 | | | 745,000 | | | | 522,204 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,224,566 | |
| | | | | | | | | | | | | | | | |
Services — 0.87% | | | | | |
| Adtalem Global Education, Inc. | | | | | |
5.50% | | | | | | | 03/01/28 | 1 | | | 227,000 | | | | 215,514 | |
| Global Payments, Inc. | | | | | |
5.40% | | | | | | | 08/15/32 | | | | 95,000 | | | | 93,109 | |
See accompanying Notes to Financial Statements.
|
| 59 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Services (continued) | | | | | |
5.95% | | | | | 08/15/52 | | | $ | 183,000 | | | $ | 175,058 | |
| HealthEquity, Inc. | | | | | |
4.50% | | | | | 10/01/29 | 1 | | | 525,000 | | | | 470,163 | |
| Hertz Corp. (The) | | | | | |
4.63% | | | | | 12/01/26 | 1 | | | 50,000 | | | | 45,525 | |
5.00% | | | | | 12/01/29 | 1 | | | 650,000 | | | | 541,593 | |
| Upbound Group, Inc. | | | | | |
6.38% | | | | | 02/15/29 | 1 | | | 300,000 | | | | 252,750 | |
| WASH Multifamily Acquisition, Inc. | | | | | |
5.75% | | | | | 04/15/26 | 1 | | | 225,000 | | | | 213,105 | |
| Waste Pro USA, Inc. | | | | | |
5.50% | | | | | 02/15/26 | 1 | | | 925,000 | | | | 851,636 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 2,858,453 | |
| | | | | | | | | | | | | | |
Specialized REITs — 0.69% | | | | | |
| Annington Funding PLC | | | | | |
| (EMTN) | | | | | |
| (United Kingdom) | | | | | |
2.31% | | | | | 10/06/32 | 3 | | | 100,000 | | | | 90,752 | |
| Blackstone Property Partners Europe Holdings SARL | |
| (EMTN) | | | | | |
| (Luxembourg) | | | | | |
1.00% | | | | | 05/04/28 | 3 | | | 195,000 | | | | 158,413 | |
1.75% | | | | | 03/12/29 | 3 | | | 100,000 | | | | 80,537 | |
| China Aoyuan Group Ltd. | | | | | |
| (Cayman Islands) | | | | | |
6.35% | | | | | 02/08/24 | 3,5,6 | | | 200,000 | | | | 19,051 | |
| CubeSmart LP | | | | | |
2.50% | | | | | 02/15/32 | | | | 350,000 | | | | 282,183 | |
| Extra Space Storage LP | | | | | |
2.35% | | | | | 03/15/32 | | | | 530,000 | | | | 417,135 | |
| Iron Mountain, Inc. | | | | | |
5.63% | | | | | 07/15/32 | 1 | | | 1,240,000 | | | | 1,135,530 | |
| Life Storage LP | | | | | |
2.40% | | | | | 10/15/31 | | | | 45,000 | | | | 36,450 | |
| Sunac China Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
6.50% | | | | | 01/10/25 | 3,5,6 | | | 210,000 | | | | 50,744 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 2,270,795 | |
| | | | | | | | | | | | | | |
Transportation — 0.09% | | | | | |
| Delta Air Lines Pass-Through Trust, | | | | | |
| Series 2020-1, Class AA | | | | | |
2.00% | | | | | 06/10/28 | | | | 21,263 | | | | 18,741 | |
| JetBlue Airways Pass-Through Trust, | | | | | |
| Series 2019-1, Class AA | | | | | |
2.75% | | | | | 05/15/32 | | | | 25,976 | | | | 21,845 | |
| JetBlue Airways Pass-Through Trust, | | | | | |
| Series 2020-1, Class A | | | | | |
4.00% | | | | | 11/15/32 | | | | 65,184 | | | | 60,053 | |
| Transnet SOC Ltd. | | | | | |
| (South Africa) | | | | | |
8.25% | | | | | 02/06/28 | 1,3 | | | 200,000 | | | | 199,760 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
| |
| Transportation (continued) | | | | | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2012-1, Class A | | | | | |
5.90% | | | | | | | 10/01/24 | | | $ | 11,878 | | | $ | 11,795 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 312,194 | |
| | | | | | | | | | | | | | | | |
| |
Total Corporates | | | | | |
| (Cost $109,140,660) | | | | | | | | 102,846,742 | |
| | | | | | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 1.57% | |
| |
Foreign Government Obligations — 1.57% | | | | | |
| Brazilian Government International Bond (Brazil) | | | | | |
3.88% | | | | | | | 06/12/30 | 3 | | | 400,000 | | | | 358,466 | |
| Chile Government International Bond | | | | | |
| (Chile) | | | | | |
2.55% | | | | | | | 01/27/32 | 3 | | | 400,000 | | | | 342,457 | |
2.55% | | | | | | | 07/27/33 | 3 | | | 200,000 | | | | 164,927 | |
| Colombia Government International Bond | | | | | |
| (Colombia) | | | | | |
8.00% | | | | | | | 04/20/33 | 3 | | | 400,000 | | | | 410,394 | |
Dominican Republic International Bond,
Series REGS
(Dominican Republic) | | | | | |
4.50% | | | | | | | 01/30/30 | 3 | | | 200,000 | | | | 174,880 | |
4.88% | | | | | | | 09/23/32 | 3 | | | 200,000 | | | | 170,820 | |
| Egypt Government International Bond | | | | | |
| (Egypt) | | | | | |
7.60% | | | | | | | 03/01/29 | 1,3 | | | 200,000 | | | | 140,060 | |
| Finance Department Government of Sharjah (United Arab Emirates) | | | | | |
6.50% | | | | | | | 11/23/32 | 1,3 | | | 200,000 | | | | 204,237 | |
| Hungary Government International Bond | | | | | |
| (Hungary) | | | | | |
2.13% | | | | | | | 09/22/31 | 1,3 | | | 400,000 | | | | 309,240 | |
| Mexico Government International Bond | | | | | |
| (Mexico) | | | | | |
2.66% | | | | | | | 05/24/31 | 3 | | | 272,000 | | | | 227,678 | |
3.75% | | | | | | | 01/11/28 | 3 | | | 200,000 | | | | 192,480 | |
6.35% | | | | | | | 02/09/35 | 3 | | | 200,000 | | | | 212,920 | |
Oman Government International Bond,
Series REGS
(Oman) | | | | | |
6.75% | | | | | | | 10/28/27 | 3 | | | 200,000 | | | | 209,500 | |
| Panama Government International Bond | | | | | |
| (Panama) | | | | | |
2.25% | | | | | | | 09/29/32 | 3 | | | 440,000 | | | | 338,448 | |
3.16% | | | | | | | 01/23/30 | 3 | | | 200,000 | | | | 176,180 | |
Perusahaan Penerbit SBSN Indonesia III,
Series REGS
(Indonesia) | | | | | |
2.80% | | | | | | | 06/23/30 | 3 | | | 200,000 | | | | 178,673 | |
| Peruvian Government International Bond | | | | | |
| (Peru) | | | | | |
2.84% | | | | | | | 06/20/30 | 3 | | | 250,000 | | | | 219,077 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 60 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
|
| FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
| Foreign Government Obligations (continued) | |
| Philippine Government International Bond | | | | | |
| (Philippines) | | | | | |
2.46% | | | | 05/05/303 | | | $ | 200,000 | | | $ | 173,914 | |
| Republic of Poland Government International Bond (Poland) | | | | | |
5.50% | | | | 11/16/273 | | | | 200,000 | | | | 208,785 | |
5.75% | | | | 11/16/323 | | | | 125,000 | | | | 133,625 | |
Republic of South Africa Government International Bond (South Africa) | | | | | |
5.88% | | | | 04/20/323 | | | | 200,000 | | | | 182,520 | |
| Romanian Government International Bond, | | | | | |
| Series REGS | | | | | |
| (Romania) | | | | | |
3.00% | | | | 02/14/313 | | | | 300,000 | | | | 247,687 | |
| Serbia International Bond | | | | | |
| (Serbia) | | | | | |
6.50% | | | | 09/26/331,3 | | | | 200,000 | | | | 199,250 | |
| | | | | | | | | | | | | | | | |
Total Foreign Government Obligations | | | | | |
| (Cost $5,463,896) | | | | | | | | 5,176,218 | |
| | | | | | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 51.02%** | | | | | |
Non-Agency Commercial Mortgage-Backed — 5.62% | |
| Banc of America Commercial Mortgage Trust, | |
| Series 2015-UBS7, Class XA (IO) | | | | | |
0.75% | | | | 09/15/484 | | | | 6,069,678 | | | | 88,196 | |
| Banc of America Commercial Mortgage Trust, | | | | | |
| Series 2015-UBS7, Class XE (IO) | | | | | |
1.25% | | | | 09/15/481,4 | | | | 500,000 | | | | 11,528 | |
| BB-UBS Trust, | | | | | |
| Series 2012-SHOW, Class XA (IO) | | | | | |
0.60% | | | | 11/05/361,4 | | | | 3,109,000 | | | | 26,557 | |
| BB-UBS Trust, | | | | | |
| Series 2012-SHOW, Class XB (IO) | | | | | |
0.14% | | | | 11/05/361,4 | | | | 1,395,000 | | | | 3,706 | |
| Benchmark Mortgage Trust, | | | | | |
| Series 2020-B18, Class AGNF | | | | | |
4.14% | | | | 07/15/531 | | | | 529,000 | | | | 454,832 | |
| Blackstone Industrial Portfolio - Proj Foxtrot | | | | | |
2.23% | | | | 04/09/244,5,6 | | | | 234,463 | | | | 220,536 | |
| BX Trust, | | | | | |
| Series 2019-OC11, Class E | | | | | |
3.94% | | | | 12/09/411,4 | | | | 670,000 | | | | 533,598 | |
| BX Trust, | | | | | |
| Series 2021-LGCY, Class J | | | | | |
| (LIBOR USD 1-Month plus 3.19%) | | | | | |
7.88% | | | | 10/15/361,2 | | | | 400,000 | | | | 349,734 | |
| BX Trust, | | | | | |
| Series 2021-MFM1, Class G | | | | | |
| (CME Term SOFR 1-Month plus 4.01%) | | | | | |
8.84% | | | | 01/15/341,2 | | | | 452,123 | | | | 409,596 | |
| CD Mortgage Trust, | | | | | |
| Series 2016-CD1, Class XA (IO) | | | | | |
1.37% | | | | | | | 08/10/49 | 4 | | | 9,066,454 | | | | 300,116 | |
| Century Plaza Towers, | | | | | |
| Series 2019-CPT, Class F | | | | | |
3.00% | | | | 11/13/391,4 | | | | 450,000 | | | | 256,536 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2013-GC15, Class XA (IO) | | | | | |
0.78% | | 09/10/464 | | $ | 3,776,032 | | | $ | 4,264 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2014-GC19, Class XA (IO) | | | | | |
1.09% | | 03/11/474 | | | 909,421 | | | | 4,884 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2014-GC25, Class XA (IO) | | | | | |
0.94% | | 10/10/474 | | | 13,806,017 | | | | 140,414 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2015-GC27, Class XA (IO) | | | | | |
1.31% | | 02/10/484 | | | 1,527,284 | | | | 26,605 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2016-GC36, Class XA (IO) | | | | | |
1.21% | | 02/10/494 | | | 5,477,010 | | | | 149,077 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2017-B1, Class XF (IO) | | | | | |
0.82% | | 08/15/501,4 | | | 11,628,000 | | | | 341,032 | |
| Commercial Mortgage Lease-Backed Certificates-1, Series 2001-CMLB, Class X (IO) | | | | | |
1.32% | | 06/20/311,4 | | | 1,379,377 | | | | 10,922 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2012-CR3, Class XA (IO) | | | | | |
1.23% | | 10/15/454 | | | 66,122 | | | | 141 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2012-CR4, Class XA (IO) | | | | | |
1.19% | | 10/15/454 | | | 183,886 | | | | 2 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2012-LC4, Class XB (IO) | | | | | |
0.36% | | 12/10/441,4 | | | 1,428,146 | | | | 14 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-CR9, Class XA (IO) | | | | | |
0.02% | | 07/10/454 | | | 6,205,550 | | | | 62 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-CR14, Class XA (IO) | | | | | |
0.51% | | 02/10/474 | | | 3,313,722 | | | | 8,289 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-CR19, Class XA (IO) | | | | | |
0.93% | | 08/10/474 | | | 901,150 | | | | 8,088 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-CR19, Class XC (IO) | | | | | |
0.78% | | 08/10/471,4 | | | 1,200,000 | | | | 11,228 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-UBS3, Class XA (IO) | | | | | |
1.05% | | 06/10/474 | | | 3,073,661 | | | | 22,586 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-UBS5, Class XA (IO) | | | | | |
0.83% | | 09/10/474,5,6 | | | 29,648,153 | | | | 262,349 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-UBS6, Class XA (IO) | | | | | |
0.83% | | 12/10/474 | | | 11,428,328 | | | | 116,175 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2015-CR22, Class XA (IO) | | | | | |
0.82% | | 03/10/484 | | | 9,985,379 | | | | 119,622 | |
See accompanying Notes to Financial Statements.
|
| 61 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Commercial Mortgage Trust, | | | | | |
| Series 2015-CR25, Class XA (IO) | | | | | |
0.80% | | 08/10/484 | | $ | 7,952,767 | | | $ | 123,207 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2015-LC21, Class XE (IO) | | | | | |
1.08% | | 07/10/481,4 | | | 10,015,000 | | | | 210,337 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2016-CR28, Class XA (IO) | | | | | |
0.64% | | 02/10/494 | | | 13,401,502 | | | | 205,399 | |
| CSAIL Commercial Mortgage Trust, | | | | | |
| Series 2015-C2, Class XA (IO) | | | | | |
0.72% | | 06/15/574 | | | 16,497,404 | | | | 181,960 | |
| CSAIL Commercial Mortgage Trust, | | | | | |
| Series 2019-C16, Class XA (IO) | | | | | |
1.55% | | 06/15/524 | | | 562,845 | | | | 38,945 | |
| CSMC Trust, | | | | | |
| Series 2016-NXSR, Class XA (IO) | | | | | |
0.69% | | 12/15/494 | | | 11,652,998 | | | | 217,965 | |
| DBJPM 16-C1 Mortgage Trust, | | | | | |
| Series 2016-C1, Class XA (IO) | | | | | |
1.37% | | 05/10/494 | | | 8,752,668 | | | | 270,713 | |
| DBUBS Mortgage Trust, | | | | | |
| Series 2017-BRBK, Class F | | | | | |
3.53% | | 10/10/341,4 | | | 380,000 | | | | 324,192 | |
| European Loan Conduit No. 36 DAC, | | | | | |
| Series 36A, Class E | | | | | |
| (Ireland) | | | | | |
| (3 month Euribor plus 3.35%) | | | | | |
6.03% | | 02/17/301,2,3 | | | 679,831 | | | | 689,456 | |
| Extended Stay America Trust, | | | | | |
| Series 2021-ESH, Class F | | | | | |
| (LIBOR USD 1-Month plus 3.70%) | | | | | |
8.39% | | 07/15/381,2 | | | 585,715 | | | | 551,438 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2010-C1, Class X (IO) | | | | | |
0.46% | | 08/10/431,4 | | | 5,288,131 | | | | 4,453 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2011-GC3, Class X (IO) | | | | | |
0.00% | | 03/10/441,4 | | | 138,359 | | | | 1 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2011-GC5, Class XA (IO) | | | | | |
0.00% | | 08/10/441,4 | | | 619,630 | | | | 6 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2014-GC18, Class XA (IO) | | | | | |
1.02% | | 01/10/474 | | | 25,419,284 | | | | 106,518 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2015-GC32, Class XA (IO) | | | | | |
0.71% | | 07/10/484 | | | 32,357,611 | | | | 425,684 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2015-GC34, Class XA (IO) | | | | | |
1.20% | | 10/10/484 | | | 5,297,056 | | | | 129,005 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2015-GS1, Class XA (IO) | | | | | |
0.76% | | 11/10/484 | | | 9,219,204 | | | | 153,324 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2016-GS2, Class XA (IO) | | | | | |
1.73% | | 05/10/494 | | $ | 250,415 | | | $ | 10,196 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2016-GS4, Class XA (IO) | | | | | |
0.57% | | 11/10/494 | | | 14,832,723 | | | | 241,896 | |
| GSCG Trust, | | | | | |
| Series 2019-600C, Class G | | | | | |
3.99% | | 09/06/341,4 | | | 285,000 | | | | 208,848 | |
| Hilton USA Trust, | | | | | |
| Series 2016-SFP, Class E | | | | | |
5.52% | | 11/05/351 | | | 400,000 | | | | 359,437 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2014-C19, Class XA (IO) | | | | | |
0.60% | | 04/15/474 | | | 11,701,160 | | | | 53,808 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-C30, Class XA (IO) | | | | | |
0.43% | | 07/15/484 | | | 23,335,181 | | | | 197,525 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-C30, Class XNR (IO) | | | | | |
0.25% | | 07/15/481,4 | | | 44,664,247 | | | | 186,650 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-C31, Class XA (IO) | | | | | |
0.81% | | 08/15/484 | | | 6,372,815 | | | | 101,219 | |
| JPMCC Commercial Mortgage Securities Trust, | | | | | |
| Series 2017-JP5, Class XA (IO) | | | | | |
0.82% | | 03/15/504 | | | 4,232,710 | | | | 100,802 | |
| JPMDB Commercial Mortgage Securities Trust, | | | | | |
| Series 2016-C2, Class XA (IO) | | | | | |
1.49% | | 06/15/494 | | | 244,919 | | | | 8,197 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2012-CBX, Class XB (IO) | | | | | |
0.44% | | 06/15/451,4 | | | 54,394,630 | | | | 1,164,448 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2013-LC11, Class XA (IO) | | | | | |
1.26% | | 04/15/464 | | | 909,604 | | | | 4,709 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2019-COR4, Class A3 | | | | | |
3.76% | | 03/10/52 | | | 500,000 | | | | 475,040 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2020-ACE, Class XA (IO) | | | | | |
0.34% | | 01/10/371,4 | | | 2,000,000 | | | | 11,452 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2020-LOOP, Class XB (IO) | | | | | |
0.25% | | 12/05/381,4 | | | 2,010,000 | | | | 17,364 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2020-NNN, Class XAFX (IO) | | | | | |
1.88% | | 01/16/371,4 | | | 450,000 | | | | 10,345 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2020-NNN, Class XBFX (IO) | | | | | |
0.57% | | 01/16/371,4 | | | 1,450,000 | | | | 10,631 | |
| Last Mile Logistics Pan Euro Finance DAC, | | | | | |
| Series 1A, Class F | | | | | |
| (Ireland) | | | | | |
| (3 month Euribor plus 3.65%) | | | | | |
6.33% | | 08/17/331,2,3 | | | 490,928 | | | | 492,436 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 62 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Med Trust, | | | | | |
| Series 2021-MDLN, Class G | | | | | |
| (LIBOR USD 1-Month plus 5.25%) | | | | | |
9.94% | | 11/15/381,2 | | $ | 418,756 | | | $ | 384,005 | |
| MFT Trust, | | | | | |
| Series 2020-ABC, Class D | | | | | |
3.48% | | 02/10/421,4 | | | 450,000 | | | | 278,984 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2012-C5, Class XC (IO) | | | | | |
0.01% | | 08/15/451,4 | | | 29,994,791 | | | | 103,866 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2012-CKSV, Class XA (IO) | | | | | |
1.00% | | 10/15/301,4 | | | 1,055,882 | | | | 19,225 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2013-C12, Class XC (IO) | | | | | |
1.23% | | 10/15/461,4 | | | 19,087,479 | | | | 154,695 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2013-C13, Class XA (IO) | | | | | |
0.92% | | 11/15/464 | | | 2,282,510 | | | | 4,615 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2014-C18, Class XA (IO) | | | | | |
0.60% | | 10/15/474 | | | 91,613 | | | | 494 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2015-C21, Class XA (IO) | | | | | |
0.85% | | 03/15/484 | | | 3,234,326 | | | | 37,726 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2015-C22, Class XA (IO) | | | | | |
1.00% | | 04/15/484 | | | 1,073,183 | | | | 14,497 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2015-C24, Class XA (IO) | | | | | |
0.69% | | 05/15/484 | | | 6,870,833 | | | | 85,960 | |
| Morgan Stanley Capital I Trust, | | | | | |
| Series 2011-C2, Class XB (IO) | | | | | |
0.45% | | 06/15/441,4 | | | 11,153,594 | | | | 41,471 | |
| MRCD Mortgage Trust, | | | | | |
| Series 2019-PRKC, Class A | | | | | |
4.25% | | 12/15/361,4 | | | 500,000 | | | | 361,978 | |
| MSCG Trust, | | | | | |
| Series 2018-SELF, Class F | | | | | |
| (LIBOR USD 1-Month plus 3.05%) | | | | | |
7.74% | | 10/15/371,2 | | | 731,097 | | | | 680,290 | |
| Natixis Commercial Mortgage Securities Trust, | | | | | |
| Series 2018-ALXA, Class E | | | | | |
4.32% | | 01/15/431,4 | | | 100,000 | | | | 75,825 | |
| Natixis Commercial Mortgage Securities Trust, | | | | | |
| Series 2019-FAME, Class D | | | | | |
4.40% | | 08/15/361,4 | | | 665,000 | | | | 546,259 | |
| Natixis Commercial Mortgage Securities Trust, | | | | | |
| Series 2019-FAME, Class E | | | | | |
4.40% | | 08/15/361,4 | | | 395,000 | | | | 305,669 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class A2A | | | | | |
3.66% | | 01/05/431,4 | | | 400,000 | | | | 289,796 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class A2B | | | | | |
4.14% | | 01/05/431,4 | | | 460,000 | | | | 325,052 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class C | | | | | |
4.39% | | 01/05/431,4 | | $ | 925,000 | | | $ | 554,891 | |
SMRT,
Series 2022-MINI, Class F | | | | | |
| (CME Term SOFR 1-Month plus 3.35%) | | | | | |
8.18% | | 01/15/391,2 | | | 570,000 | | | | 511,665 | |
| Taurus UK DAC, | | | | | |
| Series 2021-UK1A, Class D | | | | | |
| (Ireland) | | | | | |
| (SONIA plus 2.60%) | | | | | |
6.68% | | 05/17/311,2,3 | | | 471,537 | | | | 551,003 | |
| UBS Commercial Mortgage Trust, | | | | | |
| Series 2017-C4, Class XA (IO) | | | | | |
1.09% | | 10/15/504 | | | 8,240,018 | | | | 304,122 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2014-LC16, Class XA (IO) | | | | | |
1.07% | | 08/15/504 | | | 13,541,170 | | | | 105,793 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2014-LC18, Class XA (IO) | | | | | |
1.01% | | 12/15/474 | | | 1,344,528 | | | | 18,888 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2015-C27, Class XA (IO) | | | | | |
0.84% | | 02/15/484 | | | 17,117,500 | | | | 206,262 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2015-C31, Class XA (IO) | | | | | |
0.95% | | 11/15/484 | | | 17,222,846 | | | | 335,637 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2015-LC20, Class XF (IO) | | | | | |
1.74% | | 04/15/501,4 | | | 415,000 | | | | 11,428 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2015-NXS3, Class XA (IO) | | | | | |
0.88% | | 09/15/574 | | | 9,317,981 | | | | 164,609 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2016-C34, Class XA (IO) | | | | | |
2.06% | | 06/15/494 | | | 6,027,115 | | | | 240,573 | |
| Westfield Galleria at Roseville | | | | | |
3.25% | | 03/29/255,6 | | | 495,000 | | | | 492,426 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2012-C10, Class XA (IO) | | | | | |
1.15% | | 12/15/451,4 | | | 55,347 | | | | 1 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2012-C10, Class XB (IO) | | | | | |
0.44% | | 12/15/451,4 | | | 56,000,000 | | | | 560 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2014-C20, Class XA (IO) | | | | | |
0.89% | | 05/15/474 | | | 9,874,117 | | | | 65,765 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2014-C22, Class XA (IO) | | | | | |
0.78% | | 09/15/574 | | | 1,764,606 | | | | 13,725 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2014-C24, Class XA (IO) | | | | | |
0.84% | | 11/15/474 | | | 6,070,702 | | | | 57,833 | |
See accompanying Notes to Financial Statements.
|
| 63 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2014-LC14, Class XA (IO) | | | | | |
1.24% | | | | 03/15/474 | | | $ | 9,284,923 | | | $ | 52,724 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,566,607 | |
| | | | | | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 22.40% | | | | | |
| Alternative Loan Trust, | | | | | |
| Series 2004-30CB, Class 1A6 | | | | | |
5.50% | | | | 02/25/35 | | | | 1,073,440 | | | | 984,070 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-10CB, Class 1A8 | | | | | |
5.50% | | | | 05/25/35 | | | | 1,661,427 | | | | 1,409,961 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-46CB, Class A3 | | | | | |
5.50% | | | | 10/25/35 | | | | 265,579 | | | | 193,139 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-46CB, Class A4 | | | | | |
5.25% | | | | 10/25/35 | | | | 200,682 | | | | 143,440 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-46CB, Class A7 | | | | | |
5.50% | | | | 10/25/35 | | | | 566,109 | | | | 411,695 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-55CB, Class 1A1 | | | | | |
5.50% | | | | 11/25/35 | | | | 197,005 | | | | 137,756 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-64CB, Class 2A1 | | | | | |
6.00% | | | | 11/25/35 | | | | 3,039,188 | | | | 538,493 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-65CB, Class 2A4 | | | | | |
5.50% | | | | 12/25/35 | | | | 323,240 | | | | 241,389 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-67CB, Class A1 | | | | | |
5.50% | | | | 01/25/36 | | | | 66,730 | | | | 52,173 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-74T1, Class A5 | | | | | |
6.00% | | | | 01/25/36 | | | | 497,419 | | | | 316,567 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-7CB, Class 2A2 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap) | | | | | |
0.20% | | | | 03/01/382,5,6 | | | | 1,437,370 | | | | 60,578 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-86CB, Class A1 | | | | | |
5.50% | | | | 02/25/36 | | | | 563,543 | | | | 356,944 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-86CB, Class A8 | | | | | |
5.50% | | | | 02/25/36 | | | | 257,620 | | | | 163,175 | |
| Alternative Loan Trust, | | | | | |
| Series 2006-19CB, Class A15 | | | | | |
6.00% | | | | 08/25/36 | | | | 123,448 | | | | 76,366 | |
| Alternative Loan Trust, | | | | | |
| Series 2006-19CB, Class A17 | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
5.25% | | | | 08/25/362 | | | | 4,092,503 | | | | 2,033,783 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Alternative Loan Trust, | | | | | |
| Series 2006-19CB, Class A18 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.60%, 5.60% Cap) | | | | | |
0.75% | | 08/25/362,5,6 | | $ | 3,950,887 | | | $ | 406,887 | |
| Alternative Loan Trust, | | | | | |
| Series 2006-32CB, Class A18 | | | | | |
6.00% | | 11/25/36 | | | 138,746 | | | | 86,563 | |
| Alternative Loan Trust, | | | | | |
| Series 2006-34, Class A5 | | | | | |
6.25% | | 11/25/46 | | | 1,254,116 | | | | 700,076 | |
| Alternative Loan Trust, | | | | | |
| Series 2006-J1, Class 1A11 | | | | | |
5.50% | | 02/25/36 | | | 207,232 | | | | 150,447 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-13, Class A1 | | | | | |
6.00% | | 06/25/47 | | | 274,540 | | | | 150,139 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-15CB, Class A6 | | | | | |
5.75% | | 07/25/37 | | | 552,279 | | | | 347,682 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-15CB, Class A7 | | | | | |
6.00% | | 07/25/37 | | | 1,481,730 | | | | 947,665 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-16CB, Class 1A7 | | | | | |
6.00% | | 08/25/37 | | | 7,253 | | | | 5,812 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-18CB, Class 2A25 | | | | | |
6.00% | | 08/25/37 | | | 326,628 | | | | 205,259 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-22, Class 2A16 | | | | | |
6.50% | | 09/25/37 | | | 243,926 | | | | 104,013 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-5CB, Class 1A3 | | | | | |
6.00% | | 04/25/37 | | | 181,255 | | | | 106,125 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-5CB, Class 1A4 | | | | | |
6.00% | | 04/25/37 | | | 534,749 | | | | 313,138 | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2006-6, Class XP (IO) (PO) | | | | | |
0.04% | | 12/25/464,5,6 | | | 22,356,043 | | | | 259,017 | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2007-1, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
3.84% | | 02/25/472 | | | 1,687,588 | | | | 693,337 | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2007-5, Class XP (IO) (PO) | | | | | |
0.06% | | 06/25/474,5,6 | | | 918,960 | | | | 28,611 | |
| American Home Mortgage Investment Trust, | | | | | |
| Series 2006-1, Class 11A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
5.13% | | 03/25/462 | | | 12,717 | | | | 10,537 | |
| Banc of America Alternative Loan Trust, | | | | | |
| Series 2006-5, Class CB8 | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
5.16% | | 06/25/462 | | | 1,868,991 | | | | 1,495,685 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 64 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Banc of America Alternative Loan Trust, | | | | | |
| Series 2006-5, Class CB9 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.69%, 6.69% Cap) | | | | | |
1.84% | | 06/25/462,5,6 | | $ | 1,869,002 | | | $ | 172,971 | |
| Banc of America Funding Trust, | | | | | |
| Series 2006-3, Class 5A3 | | | | | |
5.50% | | 03/25/36 | | | 5,682 | | | | 4,912 | |
| Banc of America Funding Trust, | | | | | |
| Series 2006-7, Class T2A5 (STEP-reset date 05/25/23) | | | | | |
6.54% | | 10/25/36 | | | 737,864 | | | | 629,114 | |
| Banc of America Funding Trust, | | | | | |
| Series 2014-R7, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
5.00% | | 05/26/361,2 | | | 1,481 | | | | 1,496 | |
| Banc of America Funding Trust, | | | | | |
| Series 2015-R4, Class 5A1 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
4.77% | | 10/25/361,2 | | | 6,043 | | | | 5,986 | |
| BCAP LLC Trust, | | | | | |
| Series 2007-AA2, Class 2A12 | | | | | |
5.50% | | 04/25/37 | | | 2,102,581 | | | | 983,417 | |
| Bear Stearns ALT-A Trust, | | | | | |
| Series 2005-7, Class 22A1 | | | | | |
3.96% | | 09/25/354 | | | 145,323 | | | | 89,111 | |
| Bear Stearns ARM Trust, | | | | | |
| Series 2004-3, Class 2A | | | | | |
3.37% | | 07/25/344 | | | 6,534 | | | | 6,018 | |
| Bear Stearns ARM Trust, | | | | | |
| Series 2005-10, Class A3 | | | | | |
4.11% | | 10/25/354 | | | 130,382 | | | | 121,923 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
| Series 1999-B, Class A2 | | | | | |
6.98% | | 12/15/294 | | | 997,492 | | | | 131,131 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
| Series 2000-A, Class A3 | | | | | |
7.83% | | 06/15/304 | | | 1,658,345 | | | | 227,145 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
| Series 2000-A, Class A4 | | | | | |
8.29% | | 06/15/304 | | | 142,144 | | | | 21,185 | |
| BRAVO Residential Funding Trust, | | | | | |
| Series 2021-A, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.99% | | 10/25/591 | | | 1,287,777 | | | | 1,223,881 | |
| Cascade MH Asset Trust, | | | | | |
| Series 2022-MH1, Class A (STEP-reset date 05/25/23) | | | | | |
4.25% | | 08/25/541 | | | 1,261,581 | | | | 1,122,966 | |
| CHNGE Mortgage Trust, | | | | | |
| Series 2023-1, Class M1 | | | | | |
8.41% | | 03/25/581,4 | | | 580,000 | | | | 579,309 | |
| CIM Trust, | | | | | |
| Series 2021-NR2, Class A1 (STEP-reset date 05/25/23) | | | | | |
2.57% | | 07/25/591 | | | 464,711 | | | | 444,663 | |
| CIM Trust, | | | | | |
| Series 2021-NR4, Class A1 (STEP-reset date 05/25/23) | | | | | |
2.82% | | 10/25/611 | | | 1,022,792 | | | | 956,090 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| CIM Trust, | | | | | |
| Series 2021-R5, Class A1B | | | | | |
2.00% | | 08/25/611,4 | | $ | 681,000 | | | $ | 415,001 | |
| CIM Trust, | | | | | |
| Series 2022-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
5.00% | | 07/25/621 | | | 335,250 | | | | 309,225 | |
| CIM Trust, | | | | | |
| Series 2023-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
6.00% | | 06/25/621 | | | 1,555,784 | | | | 1,505,453 | |
| CIT Mortgage Loan Trust, | | | | | |
| Series 2007-1, Class 1M2 | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
6.60% | | 10/25/371,2 | | | 1,046,000 | | | | 925,790 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-WF1, Class A2C (STEP-reset date 05/25/23) | | | | | |
4.61% | | 03/25/36 | | | 30,414 | | | | 14,805 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2009-10, Class 2A2 | | | | | |
7.00% | | 12/25/351,4 | | | 533,065 | | | | 373,998 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
| Series 2005-WF2, Class AF6A (STEP-reset date 05/25/23) | | | | | |
6.13% | | 08/25/35 | | | 1,727,369 | | | | 1,472,604 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2006-A1, Class 1A5 | | | | | |
5.50% | | 04/25/36 | | | 276,238 | | | | 249,184 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2007-A1, Class 1A1 | | | | | |
6.00% | | 01/25/37 | | | 111,481 | | | | 99,971 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2007-A1, Class 1A5 | | | | | |
6.00% | | 01/25/37 | | | 212,798 | | | | 190,827 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2007-A2, Class 1A13 | | | | | |
5.75% | | 02/25/37 | | | 243,560 | | | | 215,423 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2007-A3, Class 1A7 | | | | | |
5.75% | | 03/25/37 | | | 204,573 | | | | 180,939 | |
| CitiMortgage Alternative Loan Trust, | | | | | |
| Series 2007-A5, Class 1A1 | | | | | |
6.00% | | 05/25/37 | | | 887,195 | | | | 821,052 | |
| Conseco Finance Corp., | | | | | |
| Series 1996-6, Class M1 | | | | | |
7.95% | | 09/15/274 | | | 179,042 | | | | 179,448 | |
| Conseco Finance Securitizations Corp., | | | | | |
| Series 2000-1, Class A5 | | | | | |
8.06% | | 09/01/294 | | | 3,422,743 | | | | 721,305 | |
| Conseco Finance Securitizations Corp., | | | | | |
| Series 2000-4, Class A5 | | | | | |
7.97% | | 05/01/32 | | | 1,992,158 | | | | 399,779 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2007-14, Class A3 | | | | | |
6.25% | | 09/25/37 | | | 22,726 | | | | 13,101 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2007-20, Class A1 | | | | | |
6.50% | | 01/25/38 | | | 202,583 | | | | 108,882 | |
See accompanying Notes to Financial Statements.
|
| 65 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2007-7, Class A9 | | | | | |
5.50% | | | | 06/25/37 | | | $ | 613,235 | | | $ | 313,466 | |
| Credit Suisse Mortgage Capital Trust, | | | | | |
| Series 2020-RPL6, Class A1 | | | | | |
2.69% | | | | 03/25/591,4 | | | | 780,390 | | | | 756,888 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-CB7, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
5.17% | | | | 10/25/362 | | | | 36,840 | | | | 24,173 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-MH1, Class B1 (STEP-reset date 05/25/23) | | | | | |
6.75% | | | | 10/25/361 | | | | 47,018 | | | | 48,079 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF3 (STEP-reset date 05/25/23) | | | | | |
3.13% | | | | 01/25/37 | | | | 996,483 | | | | 300,612 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB1, Class AF6 (STEP-reset date 05/25/23) | | | | | |
3.13% | | | | 01/25/37 | | | | 1,759,213 | | | | 531,044 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2B (STEP-reset date 05/25/23) | | | | | |
3.53% | | | | 02/25/37 | | | | 954,601 | | | | 585,634 | |
| CSMC Mortgage-Backed Trust, | | | | | |
| Series 2006-6, Class 1A8 | | | | | |
6.00% | | | | 07/25/36 | | | | 367,136 | | | | 196,524 | |
| CSMC Mortgage-Backed Trust, | | | | | |
| Series 2006-7, Class 10A6 | | | | | |
6.50% | | | | 08/25/36 | | | | 1,162,310 | | | | 716,486 | |
| CSMC Mortgage-Backed Trust, | | | | | |
| Series 2006-7, Class 8A11 | | | | | |
6.50% | | | | 08/25/36 | | | | 415,154 | | | | 199,271 | |
| CSMC Mortgage-Backed Trust, | | | | | |
| Series 2007-5, Class 1A9 | | | | | |
7.00% | | | | 08/25/374 | | | | 747,660 | | | | 493,198 | |
| CSMC Trust, | | | | | |
| Series 2020-RPL5, Class A1 | | | | | |
3.02% | | | | 08/25/601,4 | | | | 199,647 | | | | 192,736 | |
| CSMC, | | | | | | | | | | | | | | | | |
| Series 2014-8R, Class 3A2 | | | | | |
4.60% | | | | 02/27/361,4 | | | | 999,523 | | | | 758,703 | |
| Deutsche ALT-B Securities, Inc., Mortgage Loan Trust, | | | | | |
| Series 2006-AB2, Class A2 | | | | | |
4.81% | | | | 06/25/364 | | | | 225,503 | | | | 195,748 | |
| Deutsche Mortgage & Asset Receiving Corp., | |
| Series 2014-RS1, Class 1A2 | | | | | |
6.50% | | | | 07/27/371,4 | | | | 350,132 | | | | 284,740 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2019-R04, Class 2B1 | | | | | |
| (LIBOR USD 1-Month plus 5.25%) | | | | | |
10.10% | | | | 06/25/391,2 | | | | 958,493 | | | | 974,436 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2019-R06, Class 2B1 | | | | | |
| (LIBOR USD 1-Month plus 3.75%) | | | | | |
8.60% | | | | 09/25/391,2 | | | | 1,095,913 | | | | 1,067,947 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2019-R07, Class 1B1 | | | | | |
| (LIBOR USD 1-Month plus 3.40%) | | | | | |
8.25% | | 10/25/391,2 | | $ | 1,000,000 | | | $ | 984,791 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2020-R02, Class 2B1 | | | | | |
| (LIBOR USD 1-Month plus 3.00%) | | | | | |
7.85% | | 01/25/401,2 | | | 1,000,000 | | | | 938,077 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2021-R03, Class 1B2 | | | | | |
| (SOFR30A plus 5.50%) | | | | | |
10.06% | | 12/25/411,2 | | | 985,000 | | | | 871,855 | |
| First Franklin Mortgage Loan Trust, | | | | | |
| Series 2006-FF13, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
5.17% | | 10/25/362 | | | 382,069 | | | | 256,399 | |
| First Franklin Mortgage Loan Trust, | | | | | |
| Series 2007-FF2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 03/25/372 | | | 709,883 | | | | 350,957 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
| Series 2006-FA6, Class 2A3 | | | | | |
6.25% | | 11/25/36 | | | 721,736 | | | | 257,831 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
| Series 2007-FA1, Class A4 | | | | | |
6.25% | | 03/25/37 | | | 602,417 | | | | 285,282 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
| Series 2007-FA2, Class 1A4 | | | | | |
5.75% | | 04/25/37 | | | 709,595 | | | | 257,100 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2021-DNA1, Class B1 | | | | | |
| (SOFR30A plus 2.65%) | | | | | |
7.21% | | 01/25/511,2 | | | 700,000 | | | | 636,002 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2021-HQA1, Class M2 | | | | | |
| (SOFR30A plus 2.25%) | | | | | |
6.81% | | 08/25/331,2 | | | 1,000,000 | | | | 963,092 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2021-HQA2, Class M2 | | | | | |
| (SOFR30A plus 2.05%) | | | | | |
6.61% | | 12/25/331,2 | | | 815,000 | | | | 770,701 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2022-DNA1, Class M2 | | | | | |
| (SOFR30A plus 2.50%) | | | | | |
7.06% | | 01/25/421,2 | | | 1,000,000 | | | | 923,473 | |
| Fremont Home Loan Trust, | | | | | |
| Series 2005-E, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.51% | | 01/25/362 | | | 20,712 | | | | 19,185 | |
| GreenPoint Mortgage Funding Trust, | | | | | |
| Series 2005-AR3, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
5.33% | | 08/25/452 | | | 4,735 | | | | 3,560 | |
| GSAA Home Equity Trust, | | | | | |
| Series 2007-5, Class 1F3B | | | | | |
6.00% | | 05/25/374 | | | 4,300,000 | | | | 281,089 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 66 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| GSAA Home Equity Trust, | | | | | |
| Series 2007-5, Class 1F5B (STEP-reset date 05/25/23) | | | | | |
6.44% | | 05/25/37 | | $ | 1,987,261 | | | $ | 142,688 | |
| GSAA Home Equity Trust, | | | | | |
| Series 2007-5, Class 2A2A | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
5.31% | | 04/25/472 | | | 824,076 | | | | 397,179 | |
| GSAA Trust, | | | | | |
| Series 2006-7, Class AF3 (STEP-reset date 05/25/23) | | | | | |
6.72% | | 03/25/46 | | | 2,966,368 | | | | 1,221,741 | |
| GSAA Trust, | | | | | |
| Series 2007-3, Class 2A1B | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
5.05% | | 03/25/472 | | | 166,316 | | | | 9,381 | |
| GSMSC Resecuritization Trust, | | | | | |
| Series 2015-5R, Class 1C | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
3.90% | | 04/26/371,2 | | | 121,801 | | | | 122,157 | |
| GSR Mortgage Loan Trust, | | | | | |
| Series 2005-AR6, Class 2A1 | | | | | |
4.05% | | 09/25/354 | | | 3,798 | | | | 3,513 | |
| HarborView Mortgage Loan Trust, | | | | | |
| Series 2005-9, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
5.44% | | 06/20/352 | | | 15,530 | | | | 13,988 | |
| HarborView Mortgage Loan Trust, | | | | | |
| Series 2005-9, Class 2X (IO) | | | | | |
0.00% | | 06/20/351,4,5,6 | | | 1,138,889 | | | | 179 | |
| HarborView Mortgage Loan Trust, | | | | | |
| Series 2006-5, Class X2 (IO) | | | | | |
0.06% | | 07/19/464,5,6 | | | 2,687,804 | | | | 27 | |
| HSI Asset Loan Obligation Trust, | | | | | |
| Series 2007-WF1, Class A5 (STEP-reset date 05/25/23) | | | | | |
4.49% | | 12/25/36 | | | 255,356 | | | | 86,390 | |
| IndyMac Index Mortgage Loan Trust, | | | | | |
| Series 2006-AR3, Class 2A1A | | | | | |
3.42% | | 03/25/364 | | | 81,905 | | | | 55,622 | |
| IndyMac Index Mortgage Loan Trust, | | | | | |
| Series 2007-F2, Class 1A4 | | | | | |
6.00% | | 07/25/37 | | | 695,255 | | | | 529,529 | |
| JPMorgan Alternative Loan Trust, | | | | | |
| Series 2006-S1, Class 3A4 | | | | | |
6.18% | | 03/25/364 | | | 894,706 | | | | 768,255 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-CH2, Class AF3 (STEP-reset date 05/25/23) | | | | | |
5.46% | | 09/25/29 | | | 484,792 | | | | 301,421 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-CW2, Class AF4 (STEP-reset date 05/25/23) | | | | | |
6.08% | | 08/25/36 | | | 1,457,368 | | | | 858,086 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-CW2, Class AF5 (STEP-reset date 05/25/23) | | | | | |
6.34% | | 08/25/36 | | | 276,945 | | | | 196,488 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-WF1, Class A5 (STEP-reset date 05/25/23) | | | | | |
6.91% | | 07/25/36 | | | 1,718,687 | | | | 500,718 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-CH1, Class AF6 (STEP-reset date 05/25/23) | | | | | |
4.60% | | 11/25/36 | | $ | 3,783 | | | $ | 3,724 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-CH2, Class AF2 (STEP-reset date 05/25/23) | | | | | |
4.44% | | 01/25/37 | | | 408,919 | | | | 213,922 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-CH2, Class AF3 (STEP-reset date 05/25/23) | | | | | |
4.44% | | 10/25/30 | | | 627,798 | | | | 342,291 | |
| JPMorgan Mortgage Trust, | | | | | |
| Series 2007-S1, Class 2A11 | | | | | |
6.00% | | 03/25/37 | | | 358,357 | | | | 162,483 | |
| Lehman ABS Manufactured Housing Contract Trust, | | | | | |
| Series 2001-B, Class M1 | | | | | |
6.63% | | 04/15/404 | | | 702,176 | | | | 695,234 | |
| Lehman Mortgage Trust, | | | | | |
| Series 2006-1, Class 1A5 | | | | | |
5.50% | | 02/25/36 | | | 135,293 | | | | 70,559 | |
| Lehman Mortgage Trust, | | | | | |
| Series 2006-7, Class 2A5 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap) | | | | | |
1.70% | | 11/25/362,5,6 | | | 184,422 | | | | 22,858 | |
| Lehman Mortgage Trust, | | | | | |
| Series 2007-5, Class 10A2 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap) | | | | | |
1.49% | | 06/25/372,5,6 | | | 8,542,794 | | | | 658,458 | |
| Lehman Mortgage Trust, | | | | | |
| Series 2007-5, Class 7A3 | | | | | |
7.50% | | 10/25/36 | | | 514,294 | | | | 225,456 | |
| Lehman XS Trust, | | | | | |
| Series 2005-1, Class 3A4 (STEP-reset date 05/25/23) | | | | | |
5.37% | | 07/25/35 | | | 40,021 | | | | 40,021 | |
| Lehman XS Trust, | | | | | |
| Series 2006-17, Class 1A3 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 08/25/462 | | | 203,785 | | | | 174,906 | |
| Lehman XS Trust, | | | | | |
| Series 2006-17, Class 1AIO (IO) | | | | | |
0.60% | | 08/25/465,6 | | | 8,079,477 | | | | 165,083 | |
| MASTR Alternative Loan Trust, | | | | | |
| Series 2005-2, Class 4A3 | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
5.25% | | 03/25/352 | | | 13,003 | | | | 12,634 | |
| MASTR Asset-Backed Securities Trust, | | | | | |
| Series 2006-NC2, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 08/25/362 | | | 719,255 | | | | 280,880 | |
| Merrill Lynch Alternative Note Asset Trust, | | | | | |
| Series 2007-A1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
5.17% | | 01/25/372 | | | 659,085 | | | | 216,966 | |
| Merrill Lynch Alternative Note Asset Trust, | | | | | |
| Series 2007-OAR2, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
5.37% | | 04/25/372 | | | 1,961,965 | | | | 207,478 | |
See accompanying Notes to Financial Statements.
|
| 67 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
| Series 2007-3, Class A2B | |
| (LIBOR USD 1-Month plus 0.26%) | |
5.11% | | | | 06/25/372 | | $ | 508,856 | | | $ | 457,063 | |
| Merrill Lynch Mortgage Investors Trust, | |
| Series 2004-B, Class A1 | |
| (LIBOR USD 1-Month plus 0.50%) | |
5.35% | | | | 05/25/292 | | | 6,091 | | | | 5,804 | |
| Merrill Lynch Mortgage Investors Trust, | |
| Series 2006-HE6, Class A2B | |
| (LIBOR USD 1-Month plus 0.30%) | |
5.15% | | | | 11/25/372 | | | 802,678 | | | | 257,828 | |
| Merrill Lynch Mortgage Investors Trust, | |
| Series 2006-RM2, Class A1A | |
| (LIBOR USD 1-Month plus 0.37%) | |
5.22% | | | | 05/25/372 | | | 3,558,965 | | | | 1,036,895 | |
| Mid-State Capital Corp. Trust, | |
| Series 2005-1, Class A | |
5.75% | | | | 01/15/40 | | | 4,571 | | | | 4,494 | |
| Mid-State Capital Corp. Trust, | |
| Series 2006-1, Class A | |
5.79% | | | | 10/15/401 | | | 35,826 | | | | 34,973 | |
| Mid-State Trust XI, | |
| Series 11, Class A1 | |
4.86% | | | | 07/15/38 | | | 2,193 | | | | 2,129 | |
| Morgan Stanley Mortgage Loan Trust, | |
| Series 2007-13, Class 6A1 | |
6.00% | | | | 10/25/37 | | | 175,079 | | | | 98,912 | |
| Nationstar Home Equity Loan Trust, | |
| Series 2007-C, Class 2AV4 | |
| (LIBOR USD 1-Month plus 0.25%) | |
5.10% | | | | 06/25/372 | | | 19,744 | | | | 18,669 | |
| Oakwood Mortgage Investors, Inc., | |
| Series 1999-C, Class A2 | |
7.48% | | | | 08/15/27 | | | 349,220 | | | | 293,431 | |
| Oakwood Mortgage Investors, Inc., | |
| Series 2002-A, Class A2 | |
5.01% | | | | 03/15/204 | | | 2,010 | | | | 1,992 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through | | | | | |
| Certificates, | |
| Series 2005-WCH1, Class M4 | |
| (LIBOR USD 1-Month plus 1.25%) | |
6.09% | | | | 01/25/362 | | | 7,114 | | | | 6,956 | |
| PRET LLC, | |
| Series 2021-RN2, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.74% | | | | 07/25/511 | | | 791,687 | | | | 739,529 | |
| PRET LLC, | |
| Series 2022-RN2, Class A1 (STEP-reset date 04/25/23) | | | | | |
5.00% | | | | 06/25/521 | | | 684,406 | | | | 644,062 | |
| PRPM LLC, | |
| Series 2021-11, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.49% | | | | 11/25/261 | | | 383,145 | | | | 363,506 | |
| PRPM LLC, | |
| Series 2021-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | | | 04/25/261 | | | 896,011 | | | | 835,904 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| PRPM LLC, | |
| Series 2021-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | | | 04/25/261 | | $ | 1,205,190 | | | $ | 1,152,341 | |
| PRPM LLC, | |
| Series 2021-9, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.36% | | | | 10/25/261 | | | 418,747 | | | | 397,276 | |
| PRPM LLC, | |
| Series 2022-1, Class A1 (STEP-reset date 04/25/23) | | | | | |
3.72% | | | | 02/25/271 | | | 1,132,763 | | | | 1,082,565 | |
| PRPM LLC, | |
| Series 2022-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
5.56% | | | | 06/25/271 | | | 1,049,991 | | | | 1,035,866 | |
| PRPM LLC, | |
| Series 2022-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
5.00% | | | | 08/25/271 | | | 263,356 | | | | 255,871 | |
| PRPM, LLC, | |
| Series 2021-1, Class A1 | |
2.12% | �� | | | 01/25/261,4 | | | 907,496 | | | | 857,456 | |
| PRPM, LLC, | |
| Series 2021-10, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.49% | | | | 10/25/261 | | | 425,886 | | | | 394,749 | |
| PRPM, LLC, | |
| Series 2021-8, Class A1 | |
1.74% | | | | 09/25/261,4 | | | 636,243 | | | | 597,335 | |
| Residential Accredit Loans Trust, | |
| Series 2005-QS14, Class 3A3 | |
6.00% | | | | 09/25/35 | | | 129,037 | | | | 105,848 | |
| Residential Accredit Loans Trust, | |
| Series 2005-QS16, Class A7 | |
5.50% | | | | 11/25/35 | | | 431,564 | | | | 367,794 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS15, Class A3 | |
6.50% | | | | 10/25/36 | | | 862,925 | | | | 737,728 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS4, Class A2 | |
6.00% | | | | 04/25/36 | | | 298,895 | | | | 235,641 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS4, Class A4 | |
6.00% | | | | 04/25/36 | | | 370,266 | | | | 290,775 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS6, Class 1A15 | |
6.00% | | | | 06/25/36 | | | 149,991 | | | | 123,317 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS6, Class 1A2 | |
6.00% | | | | 06/25/36 | | | 589,218 | | | | 484,434 | |
| Residential Accredit Loans Trust, | |
| Series 2007-QH9, Class X (IO) (PO) | |
0.70% | | | | 11/25/374,5,6 | | | 10,996,716 | | | | 352,588 | |
| Residential Accredit Loans Trust, | |
| Series 2007-QO2, Class A1 | |
| (LIBOR USD 1-Month plus 0.15%) | |
5.00% | | | | 02/25/472 | | | 514,498 | | | | 189,913 | |
| Residential Accredit Loans Trust, | |
| Series 2007-QS1, Class 1A4 | |
6.00% | | | | 01/25/37 | | | 473,530 | | | | 368,096 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 68 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Residential Accredit Loans Trust, | | | | | |
| Series 2007-QS3, Class A1 | | | | | |
6.50% | | 02/25/37 | | $ | 447,380 | | | $ | 361,664 | |
| Residential Accredit Loans Trust, | | | | | |
| Series 2007-QS7, Class 1A1 | | | | | |
6.00% | | 05/25/37 | | | 49,657 | | | | 40,188 | |
| Residential Asset Mortgage Products Trust, | | | | | |
| Series 2006-EFC2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 12/25/362 | | | 41,130 | | | | 40,394 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2003-A15, Class 1A3 (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap) | | | | | |
2.70% | | 02/25/342,5,6 | | | 459,410 | | | | 35,172 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2005-A14, Class A5 | | | | | |
5.50% | | 12/25/35 | | | 81,383 | | | | 44,331 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2005-A8CB, Class A9 | | | | | |
5.38% | | 07/25/35 | | | 246,068 | | | | 150,480 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2006-A12, Class A1 | | | | | |
6.25% | | 11/25/36 | | | 502,024 | | | | 204,645 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2006-A15, Class A2 | | | | | |
6.25% | | 01/25/37 | | | 512,793 | | | | 199,186 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2006-A16, Class 1A3 | | | | | |
6.00% | | 02/25/37 | | | 329,926 | | | | 153,329 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2006-A5CB, Class A4 | | | | | |
6.00% | | 06/25/36 | | | 207,960 | | | | 91,631 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2007-A1, Class A1 | | | | | |
6.00% | | 03/25/37 | | | 325,239 | | | | 102,082 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2007-A3, Class 1A4 | | | | | |
5.75% | | 04/25/37 | | | 476,559 | | | | 253,007 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2007-A6, Class 1A3 | | | | | |
6.00% | | 06/25/37 | | | 144,490 | | | | 84,559 | |
| Residential Funding Mortgage Securities Trust, | | | | | |
| Series 2006-S10, Class 1A1 | | | | | |
6.00% | | 10/25/36 | | | 704,614 | | | | 572,412 | |
| Residential Funding Mortgage Securities Trust, | | | | | |
| Series 2006-S3, Class A7 | | | | | |
5.50% | | 03/25/36 | | | 508,057 | | | | 413,563 | |
| Residential Funding Mortgage Securities Trust, | | | | | |
| Series 2006-S6, Class A10 | | | | | |
6.00% | | 07/25/36 | | | 241,162 | | | | 202,837 | |
| Residential Funding Mortgage Securities Trust, | | | | | |
| Series 2006-S6, Class A14 | | | | | |
6.00% | | 07/25/36 | | | 77,328 | | | | 64,166 | |
| Residential Funding Mortgage Securities Trust, | | | | | |
| Series 2007-S8, Class 1A1 | | | | | |
6.00% | | 09/25/37 | | | 145,337 | | | | 103,057 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
| Series 2006-CB1, Class AF4 (STEP-reset date 05/25/23) | | | | | |
2.86% | | 01/25/36 | | $ | 254,215 | | | $ | 199,931 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
| Series 2007-NC1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
5.15% | | 12/25/362 | | | 902,502 | | | | 521,158 | |
| Soundview Home Loan Trust, | | | | | |
| Series 2007-OPT2, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
5.10% | | 07/25/372 | | | 284,080 | | | | 223,644 | |
| Soundview Home Loan Trust, | | | | | |
| Series 2007-OPT4, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
5.85% | | 09/25/372 | | | 397,247 | | | | 278,711 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
| Series 2004-1, Class 4A1 | | | | | |
5.19% | | 02/25/344 | | | 1,268 | | | | 1,166 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2006-AR2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
5.31% | | 02/25/362 | �� | | 11,097 | | | | 9,516 | |
| VOLT CIII LLC, | | | | | |
| Series 2021-CF1, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.99% | | 08/25/511 | | | 797,760 | | | | 727,429 | |
| VOLT XCII LLC, | | | | | |
| Series 2021-NPL1, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.89% | | 02/27/511 | | | 1,229,764 | | | | 1,130,377 | |
| VOLT XCVI LLC, | | | | | |
| Series 2021-NPL5, Class A2 (STEP-reset date 04/25/23) | | | | | |
4.83% | | 03/27/511 | | | 930,000 | | | | 814,925 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-2, Class 1A6 | | | | | |
6.00% | | 03/25/36 | | | 22,960 | | | | 21,453 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR3, Class X3 (IO) | | | | | |
1.15% | | 05/25/465,6 | | | 7,013,359 | | | | 266,510 | |
| Wells Fargo Alternative Loan Trust, | | | | | |
| Series 2007-PA2, Class 1A1 | | | | | |
6.00% | | 06/25/37 | | | 187,766 | | | | 155,366 | |
| Wells Fargo Alternative Loan Trust, | | | | | |
| Series 2007-PA5, Class 1A1 | | | | | |
6.25% | | 11/25/37 | | | 329,184 | | | | 279,863 | |
| Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
| Series 2006-AR14, Class 2A3 | | | | | |
4.51% | | 10/25/364 | | | 36,384 | | | | 33,302 | |
| Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
| Series 2006-AR4, Class 2A1 | | | | | |
4.64% | | 04/25/364 | | | 7,006 | | | | 6,391 | |
| Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
| Series 2007-7, Class A1 | | | | | |
6.00% | | 06/25/37 | | | 222,514 | | | | 203,159 | |
| | | | | | | | | | | | |
| | | | 74,009,365 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 69 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 1.06% | |
| Fannie Mae Pool 462209 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.18%) | | | | | |
6.40% | | | | 04/01/362 | | $ | 50,700 | | | $ | 50,594 | |
| Fannie Mae-Aces, | | | | | |
| Series 2016-M11, Class X2 (IO) | | | | | |
3.04% | | | | 07/25/394 | | | 257,021 | | | | 5,135 | |
| Fannie Mae-Aces, | | | | | |
| Series 2016-M2, Class X3 (IO) | | | | | |
2.05% | | | | 04/25/364 | | | 67,787 | | | | 595 | |
| Fannie Mae-Aces, | | | | | |
| Series 2016-M4, Class X2 (IO) | | | | | |
2.67% | | | | 01/25/394 | | | 532,779 | | | | 7,762 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K028, Class X3 (IO) | | | | | |
2.92% | | | | 06/25/414 | | | 5,425,332 | | | | 11,427 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K031, Class X3 (IO) | | | | | |
1.66% | | | | 07/25/414 | | | 1,170,000 | | | | 507 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K037, Class X3 (IO) | | | | | |
2.21% | | | | 01/25/424 | | | 390,000 | | | | 6,251 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K043, Class X1 (IO) | | | | | |
0.51% | | | | 12/25/244 | | | 23,047,626 | | | | 180,576 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K044, Class X3 (IO) | | | | | |
1.50% | | | | 01/25/434 | | | 4,900,000 | | | | 121,602 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K045, Class X1 (IO) | | | | | |
0.42% | | | | 01/25/254 | | | 27,198,638 | | | | 181,015 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K049, Class X1 (IO) | | | | | |
0.56% | | | | 07/25/254 | | | 12,410,368 | | | | 136,226 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K049, Class X3 (IO) | | | | | |
1.55% | | | | 10/25/434 | | | 2,925,000 | | | | 96,362 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K050, Class X1 (IO) | | | | | |
0.30% | | | | 08/25/254 | | | 21,571,797 | | | | 134,580 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K056, Class X3 (IO) | | | | | |
2.12% | | | | 06/25/444 | | | 6,243,936 | | | | 380,281 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K062, Class X3 (IO) | |
2.08% | | | | 01/25/454 | | $ | 3,000,000 | | | $ | 202,385 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K106, Class X1 (IO) | |
1.35% | | | | 01/25/304 | | | 9,752,921 | | | | 713,663 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K732, Class X3 (IO) | |
2.17% | | | | 05/25/464 | | | 4,850,000 | | | | 215,632 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K735, Class X3 (IO) | |
2.15% | | | | 05/25/474 | | | 3,160,000 | | | | 178,839 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K736, Class X3 (IO) | |
2.01% | | | | 09/25/474 | | | 2,495,000 | | | | 147,259 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series KC05, Class X1 (IO) | |
1.21% | | | | 06/25/274 | | | 674,252 | | | | 20,209 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series KLU1, Class X3 (IO) | |
4.05% | | | | 01/25/314 | | | 291,569 | | | | 36,987 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series Q013, Class XPT1 (IO) | |
1.66% | | | | 05/25/254 | | | 4,145,166 | | | | 76,836 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series Q013, Class XPT2 (IO) | |
1.81% | | | | 05/25/274 | | | 3,657,415 | | | | 101,342 | |
| Ginnie Mae, | |
| Series 2009-111, Class IO (IO) | |
0.19% | | | | 09/16/514 | | | 901,688 | | | | 33,471 | |
| Ginnie Mae, | |
| Series 2010-159, Class D | |
4.56% | | | | 09/16/444 | | | 120,492 | | | | 118,186 | |
| Ginnie Mae, | |
| Series 2011-119, Class IO (IO) | |
0.21% | | | | 08/16/514 | | | 1,139,176 | | | | 2,332 | |
| Ginnie Mae, | |
| Series 2011-86, Class C | |
3.63% | | | | 09/16/514 | | | 228,801 | | | | 218,390 | |
| Ginnie Mae, | |
| Series 2012-123, Class IO (IO) | |
0.63% | | | | 12/16/514 | | | 1,529,481 | | | | 23,882 | |
| Ginnie Mae, | |
| Series 2012-135, Class IO (IO) | |
0.34% | | | | 01/16/534 | | | 268,037 | | | | 2,459 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 70 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Ginnie Mae, | | | | | |
| Series 2013-33, Class IO (IO) | | | | | |
0.22% | | 04/16/544 | | $ | 359,018 | | | $ | 966 | |
| Ginnie Mae, | | | | | |
| Series 2014-126, Class IO (IO) | | | | | |
0.72% | | 02/16/554 | | | 5,166,897 | | | | 114,266 | |
| | | | | | | | | | | | |
| | | | 3,520,017 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Mortgage-Backed — 21.94% | | | | | |
| Fannie Mae REMICS, | | | | | |
| Series 2005-56, Class SP | | | | | |
| (-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap) | | | | | |
6.00% | | 08/25/332 | | | 2,941 | | | | 2,910 | |
| Fannie Mae REMICS, | | | | | |
| Series 2011-116, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
1.15% | | 11/25/412 | | | 76,640 | | | | 6,213 | |
| Fannie Mae REMICS, | | | | | |
| Series 2012-139, Class AI (IO) | | | | | |
3.00% | | 12/25/27 | | | 161,190 | | | | 7,452 | |
| Freddie Mac Strips, | | | | | |
| Series 240, Class IO (IO) | | | | | |
5.50% | | 07/15/36 | | | 236,018 | | | | 51,453 | |
| Ginnie Mae (TBA) | | | | | |
4.50% | | 04/20/53 | | | 1,500,000 | | | | 1,478,038 | |
5.00% | | 04/20/53 | | | 775,000 | | | | 776,029 | |
| Ginnie Mae, | | | | | |
| Series 2003-110, Class S (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
2.00% | | 10/20/332 | | | 280,933 | | | | 22,426 | |
| Ginnie Mae, | | | | | |
| Series 2018-124, Class NW | | | | | |
3.50% | | 09/20/48 | | | 27,455 | | | | 26,126 | |
| Ginnie Mae, | | | | | |
| Series 2018-154, Class BP | | | | | |
3.50% | | 11/20/48 | | | 2,730 | | | | 2,592 | |
| UMBS (TBA) | | | | | |
2.00% | | 05/01/53 | | | 13,275,000 | | | | 10,985,314 | |
2.50% | | 05/01/53 | | | 15,375,000 | | | | 13,269,355 | |
3.00% | | 05/01/53 | | | 8,900,000 | | | | 7,991,578 | |
4.00% | | 05/01/53 | | | 6,525,000 | | | | 6,244,630 | |
4.50% | | 04/15/53 | | | 2,875,000 | | | | 2,816,860 | |
4.50% | | 05/01/53 | | | 5,150,000 | | | | 5,047,558 | |
5.00% | | 05/01/53 | | | 16,850,000 | | | | 16,803,268 | |
5.50% | | 04/01/53 | | | 6,875,000 | | | | 6,944,958 | |
| | | | | | | | | | | | |
| | | | 72,476,760 | |
| | | | | | | | | | | | |
| |
| Total Mortgage-Backed | | | | | |
| (Cost $195,914,605) | | | | 168,572,749 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS — 0.24%* | | | | | |
| |
| California — 0.03% | | | | | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
3.89% | | 05/15/38 | | | 100,000 | | | | 88,775 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
| |
| MUNICIPAL BONDS (continued) | | | | | |
Florida — 0.02% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.61% | | | 10/01/32 | | | $ | 100,000 | | | $ | 84,491 | |
| | | | | | | | | | | | | | |
New York — 0.17% | | | | | |
| City of New York General Obligation Bonds, Public Improvements, Series F | | | | | |
3.62% | | | 04/01/31 | | | | 155,000 | | | | 145,518 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3 | | | | | |
1.85% | | | 08/01/32 | | | | 75,000 | | | | 58,356 | |
| New York State Dormitory Authority Revenue Bonds, School Improvements, Series F | | | | | |
3.11% | | | 02/15/39 | | | | 150,000 | | | | 124,735 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F | | | | | |
2.00% | | | 03/15/33 | | | | 100,000 | | | | 78,226 | |
| New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B | | | | | |
2.54% | | | 03/15/34 | | | | 175,000 | | | | 142,814 | |
| | | | | | | | | | | | | | |
| | | | 549,649 | |
| | | | | | | | | | | | | | |
| |
| Ohio — 0.02% | | | | | |
| Ohio, Taxable Revenue Bonds, Advanced Refunding, Cleveland Clinic | | | | | |
2.89% | | | 01/01/32 | | | | 100,000 | | | | 85,812 | |
| | | | | | | | | | | | | | |
| |
| Total Municipal Bonds | | | | | |
| (Cost $989,612) | | | | 808,727 | |
| | | | | | | | | | | | | | |
| |
| U.S. TREASURY SECURITIES — 0.93% | | | | | |
| |
| U.S. Treasury Bonds — 0.71% | | | | | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | | 10/15/2711 | | | | 2,291,531 | | | | 2,337,129 | |
| | | | | | | | | | | | | | |
| |
| U.S. Treasury Notes — 0.22% | | | | | |
| U.S. Treasury Notes | | | | | |
3.63% | | | 03/31/28 | | | | 748,000 | | | | 749,373 | |
| | | | | | | | | | | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
| (Cost $3,079,093) | | | | 3,086,502 | |
| | | | | | | | | | | | | | |
| |
| Total Bonds — 97.31% | | | | | |
| (Cost $358,514,776) | | | | 321,525,210 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
| |
COMMON STOCK — 0.17% | | | | | |
| |
| Communications — 0.09% | | | | | |
| Intelsat Emergence SA3,5,6 | | | | | |
| (Luxembourg) | | | | 11,030 | | | | 286,780 | |
| | | | | | | | | | | | | | |
| |
Financials — 0.08% | | | | | |
| AGNC Investment Corp. | | | | 25,500 | | | | 257,040 | |
| | | | | | | | | | | | | | |
| |
| Total Common Stock | | | | | |
| (Cost $682,025) | | | | 543,820 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 71 / Annual Report March 2023 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | Shares | | | Value |
| |
RIGHTS — 0.00% | | | | | |
| |
| Communications — 0.00% | | | | | |
| Intelsat Jackson Holdings SA, Series A†,3,5,6,10 | | | | | |
| (Luxembourg) | | | | 1,154 | | | $ | — | |
| Intelsat Jackson Holdings SA, Series B†,3,5,6,10 | | | | | | | | | |
| (Luxembourg) | | | | 1,154 | | | | — | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | — | |
| | | | | | | | | | | | | | |
| |
| Total Rights | | | | | |
| (Cost $–) | | | | — | |
| | | | | | | | | | | | | | |
| |
WARRANT — 0.00% | | | | | |
| |
| Entertainment — 0.00% | | | | | |
| Cineworld Group PLC3,10 | | | | | |
| (United Kingdom) | | | | 152,713 | | | | 5,193 | |
| | | | | | | | | | | | | | |
| |
| Total Warrant | | | | | |
| (Cost $–) | | | | | |
| | | | | | | | | | | | | | |
| | | | | |
| Issues | | Maturity Date | | | | Principal Amount/Shares | | | | | Value |
| | |
| SHORT-TERM INVESTMENTS — 23.04% | | | | | | | |
| | |
| Money Market Funds — 4.45% | | | | | | | |
| Dreyfus Government Cash Management Fund | | | | | | | |
4.71%12 | | | | | | | 19,000 | | | | | | 19,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | | | |
4.72%12 | | | | | | | 31,128 | | | | | | 31,128 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | | | |
4.73%12 | | | | | | | 14,666,500 | | | | | | 14,666,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 14,716,628 | |
| | | | | | | | | | | | | | |
| | |
| U.S. Treasury Bills — 18.59% | | | | | | | |
| U.S. Treasury Bills | | | | | | | |
4.55%13 | | 05/11/23 | | | | $ | 14,930,000 | | | | | | 14,859,009 | |
4.53%13 | | 05/18/23 | | | | | 10,000,000 | | | | | | 9,942,535 | |
4.56%13 | | 05/25/23 | | | | | 15,000,000 | | | | | | 14,900,230 | |
4.58%13 | | 06/01/23 | | | | | 7,000,000 | | | | | | 6,947,855 | |
4.76%13 | | 08/03/23 | | | | | 10,000,000 | | | | | | 9,840,553 | |
5.06%13 | | 08/31/23 | | | | | 5,000,000 | | | | | | 4,903,498 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 61,393,680 | |
| | | | | | | | | | | | | | |
| | |
| Total Short-Term Investments | | | | | | | |
| (Cost $76,096,286) | | | | | | 76,110,308 | |
| | | | | | | | | | | | | | |
| | |
| Total Investments - 120.52% | | | | | | | |
| (Cost $435,293,087) | | | | | | 398,184,531 | |
| | | | | | | | | | | | | | |
| | |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | | | (4,280 | ) |
Liabilities in Excess of Other
Assets - (20.52)% | | | | | | (67,781,710 | ) |
| | | | | | | | | | | | | | |
| | |
| Net Assets - 100.00% | | | | | $ | 330,398,541 | |
| | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 $4,199,434, which is 1.27% 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 $102,038, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum. |
| 8 | Perpetual security with no stated maturity date. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Non-income producing security. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Represents the current yield as of March 31, 2023. |
| 13 | 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 approved 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
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 72 |
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 4,609,165 | | EUR 4,266,000 | | Citibank N.A. | | | 04/13/23 | | | $ | (29,007) | |
USD 355,095 | | EUR 332,000 | | Goldman Sachs International | | | 04/13/23 | | | | (5,870) | |
USD 637,801 | | GBP 522,000 | | Goldman Sachs International | | | 04/13/23 | | | | (7,800) | |
| | | | | | | | | | | | |
| | |
NET UNREALIZED DEPRECIATION | | | | | | $ | (42,677) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | |
| U.S. Treasury Five-Year Note | | 1,178 | | 06/30/23 | | $ | 129,000,204 | | | $ | 2,555,132 | | | $ | 2,555,132 | |
| U.S. Treasury Two-Year Note | | 109 | | 06/30/23 | | | 22,503,391 | | | | 255,592 | | | | 255,592 | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | 151,503,595 | | | | 2,810,724 | | | | 2,810,724 | |
| | | | | | | | | | | | | | | | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | |
| U.S. Treasury Ten-Year Ultra Bond | | 313 | | 06/21/23 | | | (37,917,016) | | | | (1,090,460) | | | | (1,090,460) | |
| U.S. Treasury Ultra Bond | | 87 | | 06/21/23 | | | (12,277,875) | | | | (561,589) | | | | (561,589) | |
| Euro-Bund Future | | 10 | | 06/08/23 | | | (1,475,834) | | | | (53,513) | | | | (53,513) | |
| Euro-Bobl Future | | 9 | | 06/08/23 | | | (1,152,637) | | | | (13,901) | | | | (13,901) | |
| Euro-Buxl 30 Year | | 2 | | 06/08/23 | | | (306,075) | | | | 6,043 | | | | 6,043 | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | (53,129,437) | | | | (1,713,420) | | | | (1,713,420) | |
| | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 98,374,158 | | | $ | 1,097,304 | | | $ | 1,097,304 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 73 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| BONDS – 94.65% | |
|
| ASSET-BACKED SECURITIES — 0.33%** | |
| AMMC CLO 18 Ltd., | |
| Series 2016-18A, Class BR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.60%) | |
6.56% | | | | 05/26/311,2,3 | | $ | 1,165,000 | | | $ | 1,127,837 | |
| | | | | | | | | | | | |
|
| Total Asset-Backed Securities | |
| (Cost $1,122,464) | |
|
| BANK LOANS — 90.74%* | |
|
| Automotive — 0.52% | |
| Clarios Global LP, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.09% | | | | 04/30/262 | | | 461,302 | | | | 459,763 | |
| First Brands Group LLC, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 5.00%) | |
10.25% | | | | 03/30/272 | | | 1,351,099 | | | | 1,304,655 | |
| | | | | | | | | | | | |
| | | | 1,764,418 | |
| | | | | | | | | | | | |
|
| Communications — 6.48% | |
| Altice Financing SA, | |
| Term Loan, 1st Lien | |
| (SOFR plus 5.00%) | |
9.56% | | | | 10/29/272 | | | 750,000 | | | | 745,313 | |
| Banijay Group U.S. Holding, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.42% | | | | 03/01/252 | | | 476,226 | | | | 473,052 | |
| CCI Buyer, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.00%) | |
8.74% | | | | 12/17/272 | | | 973,797 | | | | 962,842 | |
| CenturyLink, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.36%) | |
7.17% | | | | 03/15/272 | | | 533,647 | | | | 354,542 | |
| Ciena Corp., | |
| Term Loan, 1st Lien | |
| (SOFR plus 2.50%) | |
7.19% | | | | 01/18/302 | | | 1,250,000 | | | | 1,251,569 | |
| Consolidated Communications, Inc., | |
| Term Loan B1, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.38% | | | | 10/02/272 | | | 1,250,000 | | | | 999,531 | |
| Coralus Co-Borrower LLC, | |
| Term Loan B5, 1st Lien | |
| (LIBOR plus 2.25%) | |
6.93% | | | | 01/31/282 | | | 1,250,000 | | | | 1,214,288 | |
| CSC Holdings LLC, | |
| Term Loan B5, 1st Lien | |
| (LIBOR plus 2.50%) | |
7.18% | | | | 04/15/272 | | | 974,874 | | | | 864,289 | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.50%) | |
9.32% | | | | 01/17/282 | | | 713,148 | | | | 662,336 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Communications (continued) | |
| Cyxtera DC Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.00%) | |
5.07% | | | | 05/01/242 | | $ | 497,361 | | | $ | 406,802 | |
| Dawn Acquisition LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.48% | | | | 12/31/252 | | | 256,022 | | | | 150,029 | |
| Diamond Sports Group, LLC, | |
| Term Loan, 2nd Lien | |
| (SOFR plus 3.40%) | |
8.03% | | | | 08/24/262 | | | 166,993 | | | | 9,567 | |
| Frontier Communications Holdings LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.62% | | | | 05/01/282 | | | 230,706 | | | | 219,747 | |
| Global Tel*Link Corp., | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.25%) | |
9.08% | | | | 11/29/252 | | | 972,606 | | | | 854,741 | |
| Gray Television, Inc., | |
| Term Loan D, 1st Lien | |
| (LIBOR plus 3.00%) | |
7.66% | | | | 12/01/282 | | | 488,788 | | | | 476,570 | |
| Intelsat Jackson Holdings SA, | |
| Term Loan, 1st Lien (Luxembourg) | |
| (SOFR plus 4.50%) | |
9.08% | | | | 02/01/292,3 | | | 1,947,658 | | | | 1,931,425 | |
| MH Sub I LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.59% | | | | 09/13/242 | | | 1,303,677 | | | | 1,284,734 | |
| NEP Group, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.84% | | | | 10/17/252 | | | 246,875 | | | | 231,033 | |
| NEP/NCP Holdco, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.09% | | | | 10/17/252 | | | 477,780 | | | | 446,326 | |
| Term Loan, 2nd Lien | |
| (LIBOR plus 7.00%) | |
11.84% | | | | 10/19/262 | | | 440,000 | | | | 357,867 | |
| New Insight Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 5.50%) | |
10.31% | | | | 12/20/242 | | | 473,750 | | | | 363,345 | |
| Numericable U.S. LLC, | |
| Term Loan B14, 1st Lien | |
| (SOFR plus 5.50%) | |
10.17% | | | | 08/16/282 | | | 1,500,000 | | | | 1,429,016 | |
| Radiate Holdco LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 2.25%) | |
8.11% | | | | 09/25/262 | | | 249,369 | | | | 205,072 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 74 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Communications (continued) | | | | | |
| SBA Senior Finance II LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
6.60% | | 04/11/252 | | $ | 1,496,073 | | | $ | 1,497,091 | |
| Terrier Media Buyer, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.66% | | 12/17/262 | | | 507,438 | | | | 451,112 | |
| United Talent Agency LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 2.25%) | | | | | |
8.90% | | 07/07/282 | | | 997,468 | | | | 992,481 | |
| UPC Financing Partnership, | | | | | |
| Term Loan AT, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
6.93% | | 04/28/282 | | | 250,000 | | | | 244,688 | |
| Virgin Media Bristol LLC, | | | | | |
| Term Loan Y, 1st Lien | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.11% | | 03/31/312 | | | 1,200,000 | | | | 1,186,878 | |
| Zayo Group Holdings, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
7.84% | | 03/09/272 | | | 1,635,276 | | | | 1,337,581 | |
| (SOFR plus 4.25%) | | | | | |
9.06% | | 03/09/272 | | | 495,000 | | | | 394,020 | |
| | | | | | | | | | | | |
| | | | 21,997,887 | |
| | | | | | | | | | | | |
Consumer Discretionary — 4.40% | | | | | |
| ADMI Corp., | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 3.38%) | | | | | |
8.11% | | 12/23/272 | | | 1,225,000 | | | | 1,137,970 | |
| Arterra Wines Canada, Inc., | | | | | |
| Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.44% | | 11/24/272 | | | 1,179,187 | | | | 1,158,256 | |
| City Brewing Co. LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.32% | | 04/05/282 | | | 986,234 | | | | 417,039 | |
| Hanesbrands, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.75%) | | | | | |
8.55% | | 03/08/302 | | | 605,000 | | | | 603,488 | |
| Naked Juice, LLC, | | | | | |
| Term Loan, 1st Lien (Luxembourg) | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.09% | | 01/24/292,3 | | | 496,250 | | | | 439,802 | |
| Term Loan, 2nd Lien | | | | | |
| (SOFR plus 6.00%) | | | | | |
11.00% | | 01/24/302 | | | 2,100,000 | | | | 1,609,996 | |
| New Trojan Parent, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
7.96% - 8.09% | | 01/06/282 | | | 1,473,750 | | | | 1,009,526 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Consumer Discretionary (continued) | | | | | |
| Osmosis Buyer Ltd., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.75%) | | | | | |
8.48% | | 07/31/282 | | $ | 2,136,553 | | | $ | 2,068,461 | |
| Pegasus Bidco BV, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.25%) | | | | | |
9.01% | | 07/12/292 | | | 997,500 | | | | 985,445 | |
| Playa Hotels &Amp; Resorts B.V., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 4.25%) | | | | | |
8.99% | | 01/05/292 | | | 623,438 | | | | 620,757 | |
| Sunshine Luxembourg VII SARL, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.91% | | 10/01/262 | | | 2,205,000 | | | | 2,187,261 | |
| Triton Water Holdings, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.23% | | 03/31/282 | | | 1,723,118 | | | | 1,553,503 | |
| Waystar technologies, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.84% | | 10/22/262 | | | 947,572 | | | | 945,946 | |
| Weber-Stephen Products LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.35%) | | | | | |
8.62% | | 10/30/272 | | | 208,861 | | | | 181,230 | |
| | | | | | | | | | | | |
| | | | 14,918,680 | |
| | | | | | | | | | | | |
Electric — 1.81% | | | | | |
| Calpine Corp., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.35% | | 12/16/272 | | | 997,449 | | | | 994,492 | |
| CommScope, Inc., | | | | | |
| Term Loan B2, 1st Lien (France) | | | | | |
| (LIBOR plus 3.25%) | | | | | |
8.09% | | 04/06/262,3 | | | 1,934,937 | | | | 1,866,305 | |
| Edgewater Generation LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.65% | | 12/13/252 | | | 1,000,000 | | | | 935,095 | |
| Endure Digital, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.22% | | 02/10/282 | | | 1,965,000 | | | | 1,842,187 | |
| Pike Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.50%) | | | | | |
8.21% | | 01/21/282 | | | 497,500 | | | | 496,878 | |
| | | | | | | | | | | | |
| | | | 6,134,957 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 75 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Energy — 1.30% | | | | | |
| Apro LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.76% | | 11/14/262 | | $ | 1,319,376 | | | $ | 1,297,388 | |
| Calpine Corp., | | | | | |
| Term Loan B10, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
6.84% | | 08/12/262 | | | 186,957 | | | | 186,073 | |
| EG America LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.84% | | 02/07/252 | | | 745,430 | | | | 715,322 | |
| Parkway Generation LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 5.15%) | | | | | |
9.90% | | 02/16/292 | | | 468,987 | | | | 454,331 | |
| Term Loan C, 1st Lien | | | | | |
| (SOFR plus 5.01%) | | | | | |
9.90% | | 02/16/292 | | | 70,697 | | | | 68,459 | |
| TransMontaigne Operating Co. LP, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.43%) | | | | | |
8.13% - 8.34% | | 11/17/282 | | | 737,836 | | | | 728,942 | |
| Traverse Midstream Partners LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 2.25%) | | | | | |
8.72% | | 02/16/282 | | | 486,328 | | | | 479,641 | |
| Whitewater Whistler Holdings, LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 3.85%) | | | | | |
8.66% | | 02/15/302 | | | 500,000 | | | | 498,750 | |
| | | | | | | | | | | | |
| | | | 4,428,906 | |
| | | | | | | | | | | | |
| |
| Entertainment — 3.35% | | | | | |
| Alpha Topco Ltd. - Delta 2 (Lux) Sarl, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.25%) | | | | | |
8.05% | | 01/15/302 | | | 2,750,000 | | | | 2,754,593 | |
| AMC Entertainment Holdings, Inc., | | | | | |
| Term Loan B1, 1st Lien (France) | | | | | |
| (LIBOR plus 3.00%) | | | | | |
7.68% | | 04/22/262,3 | | | 519,588 | | | | 380,273 | |
| Crown Finance U.S., Inc., | | | | | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
| (SOFR plus 10.10%) | | | | | |
14.66% - 14.80% | | 09/07/232,3 | | | 2,745,527 | | | | 2,788,892 | |
| Elanco Animal Health, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
6.41% | | 08/01/272 | | | 747,935 | | | | 732,912 | |
| NAI Entertainment Holdings LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.35% | | 05/08/252 | | | 1,391,572 | | | | 1,324,387 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Entertainment (continued) | | | | | |
| SMG US Midco 2, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.33% | | 01/23/252 | | $ | 984,739 | | | $ | 977,107 | |
| WildBrain Ltd., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 4.36%) | | | | | |
9.08% | | 03/24/282 | | | 1,470,000 | | | | 1,406,305 | |
| WMG Acquisition Corp., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 3.00%) | | | | | |
7.81% | | 01/20/282 | | | 1,000,000 | | | | 995,250 | |
| | | | | | | | | | | | |
| | | | 11,359,719 | |
| | | | | | | | | | | | |
| |
| Finance — 3.58% | | | | | |
| Auris Lux III SA, | | | | | |
| Term Loan B2, 1st Lien (Luxembourg) | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.68% | | 02/27/262,3 | | | 1,200,007 | | | | 1,090,206 | |
| Camelot Finance SA, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
7.84% | | 10/30/262 | | | 824,762 | | | | 823,987 | |
| Cushman & Wakefield U.S. Borrower LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.15% | | 01/31/302 | | | 425,422 | | | | 411,596 | |
| DCG Acquisition Corp., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (SOFR plus 4.60%) | | | | | |
9.41% | | 09/30/262 | | | 690,400 | | | | 671,414 | |
| Deerfield Dakota Holding LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.75%) | | | | | |
8.46% | | 04/09/272 | | | 1,485,995 | | | | 1,442,656 | |
| Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 6.75%) | | | | | |
8.65% | | 04/07/282 | | | 250,000 | | | | 231,354 | |
| First Eagle Holdings, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.66% | | 02/01/272 | | | 635,683 | | | | 618,602 | |
| Fiserv Investment Solutions, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.00%) | | | | | |
8.95% | | 02/18/272 | | | 987,310 | | | | 950,286 | |
| Focus Financial Partners LLC, | | | | | |
| Term Loan B5, 1st Lien | | | | | |
| (SOFR plus 3.25%) | | | | | |
8.06% | | 06/30/282 | | | 497,500 | | | | 493,699 | |
| Guggenheim Partners Investment Management Holdings LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.25%) | | | | | |
7.99% | | 12/12/292 | | | 748,125 | | | | 745,694 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 76 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Finance (continued) | | | | | |
| Hertz Corp. (The), | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
7.89% | | 06/30/282 | | $ | 1,245,299 | | | $ | 1,239,465 | |
| Term Loan C, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
7.89% | | 06/30/282 | | | 238,871 | | | | 237,752 | |
| Jane Street Group LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | |
7.59% | | 01/26/282 | | | 1,710,625 | | | | 1,686,676 | |
| Mozart Borrower, LP, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
8.09% | | 10/23/282 | | | 1,532,645 | | | | 1,496,368 | |
| | | | | | | | | | | | |
| | | | 12,139,755 | |
| | | | | | | | | | | | |
| |
| Food — 3.84% | | | | | |
| 8th Avenue Food & Provisions, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
8.59% | | 10/01/252 | | | 496,114 | | | | 440,378 | |
| 8th Avenue Food & Provisions, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 4.75%) | | | | | |
9.59% | | 10/01/252 | | | 492,500 | | | | 440,583 | |
| Aramark Services, Inc., | | | | | |
| Term Loan B5, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.24% | | 04/06/282 | | | 1,000,000 | | | | 998,595 | |
| Chobani LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.61%) | | | | | |
8.42% | | 10/25/272 | | | 723,820 | | | | 719,296 | |
| Dessert Holdings, Inc., | | | | | |
| Term Loan, 1st Lien | | | | | |
| (PRIME plus 3.25%) | | | | | |
9.16% - 11.25% | | 06/09/282 | | | 1,220,046 | | | | 1,123,205 | |
| Flora Food Group, | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (SOFR plus 3.16%) | | | | | |
7.46% | | 07/02/252 | | | 1,929,423 | | | | 1,852,786 | |
| Froneri U.S., Inc., | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
7.41% | | 01/29/272 | | | 896,417 | | | | 885,812 | |
| H-Food Holdings LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.69%) | | | | | |
8.53% | | 05/23/252 | | | 248,047 | | | | 214,037 | |
| Hostess Brands LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
7.08% | | 08/03/252 | | | 362,189 | | | | 362,847 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
| |
| Food (continued) | | | | | |
| Matterhorn Merger Sub LLC, | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
8.84% | | 05/23/252 | | $ | 1,462,246 | | | $ | 1,266,305 | |
| Shearer’s Foods LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.34% | | 09/23/272 | | | 1,165,943 | | | | 1,141,895 | |
| Snacking Investments Bidco, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.00%) | | | | | |
8.69% | | 12/18/262 | | | 1,225,458 | | | | 1,218,816 | |
| Sovos Brands Intermediate, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | |
8.33% | | 06/08/282 | | | 1,536,207 | | | | 1,526,606 | |
| Utz Quality Foods LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.11%) | | | | | |
7.92% | | 01/20/282 | | | 859,378 | | | | 857,165 | |
| | | | | | | | | | | | |
| | | | 13,048,326 | |
| | | | | | | | | | | | |
| |
| Gaming — 2.85% | | | | | |
| Bally’s Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | |
7.96% | | 10/02/282 | | | 243,138 | | | | 232,675 | |
| Caesars Entertainment, Inc., | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.35%) | | | | | |
8.15% | | 02/06/302 | | | 450,000 | | | | 448,499 | |
| Entain PLC, | | | | | |
| Term Loan B2, 1st Lien | | | | | |
| (SOFR plus 3.60%) | | | | | |
8.44% | | 10/31/292 | | | 399,000 | | | | 399,936 | |
| Flutter Entertainment PLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 3.51%) | | | | | |
8.41% | | 07/22/282 | | | 995,000 | | | | 996,343 | |
| Golden Nugget, LLC, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (SOFR plus 4.00%) | | | | | |
8.81% | | 01/26/292 | | | 1,473,803 | | | | 1,454,379 | |
| GVC Holdings Gibraltar Ltd., | | | | | |
| Term Loan B4, 1st Lien | | | | | |
| (SOFR plus 2.60%) | | | | | |
7.44% | | 03/29/272 | | | 1,719,375 | | | | 1,718,300 | |
| J&J Ventures Gaming LLC, | | | | | |
| Term Loan, 1st Lien | | | | | |
| (LIBOR plus 4.00%) | | | | | |
9.16% | | 04/26/282 | | | 1,492,399 | | | | 1,449,806 | |
| PCI Gaming Authority, | | | | | |
| Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
7.33% | | 05/29/262 | | | 1,250,000 | | | | 1,250,263 | |
See accompanying Notes to Financial Statements.
|
| 77 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Gaming (continued) | |
| Penn National Gaming, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.66% | | 05/03/292 | | $ | 992,500 | | | $ | 991,696 | |
| Scientific Games Holdings LP, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.50%) | |
8.10% | | 04/04/292 | | | 497,739 | | | | 491,635 | |
| Stars Group Holdings BV, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 2.25%) | |
7.07% | | 07/21/262 | | | 235,649 | | | | 235,810 | |
| | | | | |
| | | | 9,669,342 | |
| | | | | |
|
| Health Care — 12.65% | |
| ADMI Corp., | |
| Term Loan B, 1st Lien (France) | |
| (LIBOR plus 3.00%) | |
7.74% | | 04/30/252,3 | | | 952,638 | | | | 918,500 | |
| Bausch & Lomb Corp., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.25%) | |
8.36% | | 05/10/272 | | | 3,031,112 | | | | 2,951,121 | |
| Bella Holding Co. LLC, | |
| Term Loan, 1st Lien | |
| (SOFR plus 3.75%) | |
8.56% | | 05/10/282 | | | 985,000 | | | | 951,835 | |
| Cano Health, LLC, | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.00%) | |
8.81% | | 11/23/272 | | | 1,992,673 | | | | 1,504,468 | |
| Carestream Dental, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.50%) | |
9.34% | | 09/01/242 | | | 1,564,013 | | | | 1,452,968 | |
| CCS-CMGC Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 5.50%) | |
10.32% | | 10/01/252 | | | 478,750 | | | | 325,292 | |
| Certara Holdco, Inc., | |
| Term Loan B, 1st Lien (France) | |
| (LIBOR plus 3.50%) | |
8.34% | | 08/15/262,3 | | | 1,965,000 | | | | 1,947,806 | |
| Charlotte Buyer, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 5.25%) | |
10.10% | | 02/11/282 | | | 947,625 | | | | 907,948 | |
| Curia Global, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.85%) | |
8.53% | | 08/28/262 | | | 2,164,220 | | | | 1,855,148 | |
| CVET Midco 2 LP, | |
| Term Loan, 1st Lien | |
| (SOFR plus 5.00%) | |
9.90% | | 10/13/292 | | | 1,300,000 | | | | 1,231,750 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Health Care (continued) | |
| Dermatology Intermediate Holdings, Inc., | |
| Delayed-Draw Term Loan, 1st Lien | |
| (SOFR plus 4.25%) | |
8.93% | | 04/02/292,4 | | $ | 273,277 | | | $ | 268,324 | |
| eResearchTechnology, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.50%) | |
9.34% | | 02/04/272 | | | 1,742,837 | | | | 1,649,169 | |
| Grifols Worldwide Operations USA, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 2.00%) | |
6.74% | | 11/15/272 | | | 925,556 | | | | 908,396 | |
| Heartland Dental LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.59% | | 04/30/252 | | | 717,403 | | | | 672,691 | |
| Horizon Therapeutics USA, Inc., | |
| Term Loan B1, 1st Lien | |
| (LIBOR plus 2.00%) | |
7.06% | | 05/22/262 | | | 1,500,000 | | | | 1,500,285 | |
| Jazz Financing Lux SARL, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.34% | | 05/05/282 | | | 1,821,309 | | | | 1,816,564 | |
| LSCS Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.50%) | |
9.34% | | 12/16/282 | | | 923,163 | | | | 890,081 | |
| National Seating & Mobility, | |
| Term Loan, 1st Lien | |
| (SOFR plus 5.25%) | |
10.16% | | 11/16/262 | | | 1,947,245 | | | | 1,821,648 | |
| NMN Holdings III Corp., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.59% | | 11/13/252 | | | 1,188,891 | | | | 1,017,988 | |
| Option Care Health, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 2.75%) | |
7.49% | | 10/27/282 | | | 1,975,000 | | | | 1,970,063 | |
| Organon & Co., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.00%) | |
7.75% | | 06/02/282 | | | 1,301,675 | | | | 1,302,756 | |
| Pacific Dental Services, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.28% | | 05/05/282 | | | 982,500 | | | | 978,511 | |
| Pathway Vet Alliance LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.49% | | 03/31/272 | | | 937,129 | | | | 825,452 | |
| Peraton Corp., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.49% | | 02/01/282 | | | 2,155,929 | | | | 2,133,475 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 78 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Health Care (continued) | |
| Perrigo Investments LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.35%) | |
7.15% | | 04/20/292 | | $ | 1,985,000 | | | $ | 1,975,075 | |
| PetVet Care Centers LLC, | |
| Term Loan B3, 1st Lien (Luxembourg) | |
(LIBOR plus 3.50%) | |
8.24% | | 02/14/252,3 | | | 706,948 | | | | 684,325 | |
| Phoenix Newco, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
7.88% | | 11/15/282 | | | 1,976,259 | | | | 1,956,872 | |
| Pluto Acquisition I, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.95% | | 06/22/262 | | | 484,982 | | | | 346,357 | |
| Premise Health Holding Corp., | |
| Term Loan, 1st Lien (Luxembourg) | |
(LIBOR plus 3.75%) | |
8.91% | | 07/10/252,3 | | | 2,094,012 | | | | 2,010,252 | |
| Prestige Brands, Inc., | |
| Term Loan B5, 1st Lien | |
(LIBOR plus 2.00%) | |
6.86% | | 07/03/282 | | | 1,551,136 | | | | 1,548,879 | |
| Resonetics LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
9.10% | | 04/28/282 | | | 1,724,984 | | | | 1,659,435 | |
| Sharp Midco LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 12/31/282 | | | 984,389 | | | | 969,623 | |
| | | | | |
| | | | 42,953,057 | |
| | | | | |
|
| Industrial REITs — 0.33% | |
| Avison Young Canada, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 5.75%) | |
10.61% | | 01/31/262 | | | 1,476,864 | | | | 1,104,576 | |
| | | | | |
|
| Industrials — 13.11% | |
| Alliance Laundry Systems, LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.31% | | 10/08/272 | | | 1,480,853 | | | | 1,470,672 | |
| Anchor Packaging LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.74% | | 07/18/262 | | | 207,767 | | | | 202,918 | |
Arterrsa Services LLC, | |
| Term Loan, 1st Lien (Luxembourg) | |
| (LIBOR plus 3.50%) | |
8.44% | | 03/06/252,3 | | | 1,473,750 | | | | 1,255,849 | |
ASP Blade Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.94% | | 10/16/282 | | | 1,734,106 | | | | 1,453,762 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Industrials (continued) | |
| AZZ, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
8.91% - 9.33% | | 05/14/292 | | $ | 1,609,511 | | | $ | 1,611,185 | |
BCPE Empire Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.84% | | 06/11/262 | | | 492,516 | | | | 484,305 | |
Charter Next generation, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 3.75%) | |
8.67% | | 12/01/272 | | | 1,243,655 | | | | 1,230,348 | |
Compass Power Generation LLC, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.36%) | |
9.08% | | 04/14/292 | | | 898,096 | | | | 896,133 | |
Conserve Merger Sub, Inc., | |
| Term Loan, 1st Lien (France) | |
| (LIBOR plus 3.50%) | |
8.31% | | 08/08/252,3 | | | 1,910,000 | | | | 1,867,025 | |
Convergint Technologies, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.38% - 8.56% | | 03/31/282 | | | 491,266 | | | | 478,201 | |
Dermatology Intermediate Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.25%) | |
8.93% | | 04/02/292 | | | 1,505,161 | | | | 1,477,880 | |
DG Investment Intermediate Holdings 2, Inc., | |
| Term Loan, 2nd Lien | |
| (LIBOR plus 6.75%) | |
11.59% | | 03/30/292 | | | 250,000 | | | | 221,199 | |
DIRECTV Financing LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 5.00%) | |
9.84% | | 08/02/272 | | | 1,017,088 | | | | 981,144 | |
DTI Holdco, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.75%) | |
9.43% | | 04/26/292 | | | 1,990,000 | | | | 1,853,436 | |
Eagle 4 Ltd., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.41% | | 07/12/282 | | | 493,616 | | | | 489,482 | |
Energizer Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 2.36%) | |
7.12% | | 12/22/272 | | | 426,740 | | | | 424,340 | |
Engineered Machinery Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.66% | | 05/19/282 | | | 485,035 | | | | 479,275 | |
Gates Global LLC, | |
| Term Loan B4, 1st Lien | |
| (SOFR plus 3.50%) | |
8.31% | | 11/16/292 | | | 497,500 | | | | 497,075 | |
See accompanying Notes to Financial Statements.
|
| 79 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Industrials (continued) | |
| Golden Entertainment, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.86% | | 10/21/242 | | $ | 1,078,125 | | | $ | 1,078,125 | |
| Hyland Software, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 07/01/242 | | | 1,141,184 | | | | 1,130,719 | |
| II-VI, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.38% - 7.67% | | 07/02/292 | | | 477,857 | | | | 474,273 | |
| KAMC Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.95% | | 08/14/262,5,6 | | | 723,750 | | | | 620,616 | |
| Mauser Packaging Solutions Holding Co., | | | | | |
| Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.78% | | 08/15/262 | | | 500,000 | | | | 496,875 | |
| Michaels Cos., Inc. (The), | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.41% | | 04/15/282 | | | 1,231,865 | | | | 1,134,160 | |
| Momentive Performance Materials USA LLC, | | | | | |
| Term Loan, 1st Lien | |
(SOFR plus 3.25%) | |
9.31% | | 03/29/282 | | | 525,000 | | | | 515,812 | |
| NMN Holdings III Corp., | |
| Delayed-Draw Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | |
8.59% | | 11/13/252 | | | 255,123 | | | | 218,449 | |
| Osmose Utilities Services, Inc., | | | | | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
7.88% | | 06/23/282 | | | 984,981 | | | | 947,552 | |
| Patriot Container Corp., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.47% | | 03/20/252 | | | 1,998,938 | | | | 1,849,018 | |
| Peacock Merger Corp., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.06% | | 12/29/282 | | | 483,775 | | | | 432,171 | |
| Plaze, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.49% | | 08/03/262 | | | 488,750 | | | | 450,466 | |
| Term Loan B, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 3.50%) | |
8.24% | | 08/03/262,3 | | | 1,746,752 | | | | 1,609,929 | |
| Proampac PG Borrower LLC, | | | | | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
7.96% - 10.75% | | 11/03/252 | | | 1,401,272 | | | | 1,373,947 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Industrials (continued) | |
| Project Castle, Inc., | |
| Term Loan B, 1st Lien | |
(PRIME plus 4.50%) | |
10.40% - 12.50% | | 06/01/292 | | $ | 746,250 | | | $ | 638,977 | |
| Protective Industrial Products, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 12/29/272 | | | 1,761,720 | | | | 1,638,400 | |
| Refficiency Holdings LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.56% | | 12/16/272 | | | 1,819,348 | | | | 1,794,331 | |
| Spirit Aerosystems, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.18% | | 01/15/272 | | | 995,000 | | | | 995,497 | |
| SPX FLOW, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 4.60%) | |
9.41% - 9.58% | | 04/05/292 | | | 871,413 | | | | 833,838 | |
| Standard Industries, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 2.25%) | |
7.12% | | 09/22/282 | | | 493,082 | | | | 491,265 | |
| Transcendia Holdings, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 05/30/242 | | | 2,397,578 | | | | 1,822,160 | |
| Transdigm, Inc., | |
| Term Loan I, 1st Lien | |
(SOFR plus 3.25%) | |
8.15% | | 08/24/282 | | | 1,250,000 | | | | 1,248,125 | |
| TricorBraun Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
7.99% | | 03/03/282 | | | 471,722 | | | | 461,698 | |
| Vantage Elevator Solutions, | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.53% | | 11/19/282 | | | 1,976,259 | | | | 1,700,818 | |
| Wrench Group LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 04/30/262 | | | 1,715,474 | | | | 1,674,731 | |
| Zep, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 08/12/242 | | | 1,717,420 | | | | 1,487,406 | |
| | | | | | | | | | | | |
| | | | 44,493,587 | |
| | | | | | | | | | | | |
|
| Information Technology — 15.80% | |
| AppLovin Corp., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.16% | | 08/15/252 | | | 1,343,894 | | | | 1,342,630 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 80 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Information Technology (continued) | |
| Arches Buyer, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 3.25%) | |
8.06% | | 12/06/272 | | $ | 997,449 | | | $ | 942,275 | |
| AthenaHealth Group, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.25% | | 02/15/292,3,7 | | | 1,769,601 | | | | 1,661,213 | |
| Azalea Topco, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.47% | | 07/24/262 | | | 495,000 | | | | 465,300 | |
| Barracuda Parent LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.18% | | 08/15/292 | | | 132,218 | | | | 127,632 | |
| Bifm CA Buyer, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
8.31% | | 06/01/262 | | | 980,155 | | | | 963,620 | |
| Castle U.S. Holding Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | 01/29/272 | | | 975,000 | | | | 644,026 | |
| Central Parent, Inc., | |
| Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
9.14% - 9.18% | | 07/06/292,3 | | | 1,645,875 | | | | 1,643,349 | |
| CHG Healthcare Services, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | 09/29/282 | | | 738,750 | | | | 732,748 | |
| CT Technologies Intermediate Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.09% | | 12/16/252 | | | 1,608,811 | | | | 1,538,048 | |
| EagleView Technology Co., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.66% | | 08/14/252 | | | 2,673,382 | | | | 2,303,639 | |
| Electron Bidco, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | 11/01/282 | | | 990,000 | | | | 977,259 | |
| Emerald Topco, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 07/24/262 | | | 1,461,042 | | | | 1,368,360 | |
| Ensemble RCM LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.53% | | 08/03/262 | | | 973,532 | | | | 973,776 | |
| Entegris, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.37% - 7.64% | | 07/06/292 | | | 1,000,000 | | | | 990,000 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Information Technology (continued) | |
| EQT Box Merger Sub, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.29% - 8.31% | | 04/17/282 | | $ | 1,485,594 | | | $ | 1,428,955 | |
| Gainwell Acquisition Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.86% | | 10/01/272 | | | 1,469,925 | | | | 1,407,453 | |
| Imperva, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.86% | | 01/12/262 | | | 733,893 | | | | 646,193 | |
| ION Analytics, | |
| Term Loan, 1st Lien | |
(SOFR plus 4.15%) | |
8.89% | | 02/16/282 | | | 677,083 | | | | 655,643 | |
| IQVIA, Inc., | |
| Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
6.59% | | 06/11/252 | | | 500,000 | | | | 500,352 | |
| Logmein, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
9.38% | | 08/31/272 | | | 1,458,713 | | | | 840,780 | |
| Magenta Buyer LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
9.58% | | 07/27/282 | | | 975,000 | | | | 807,510 | |
| Magenta Buyer, LLC, | |
| Term Loan, 2nd Lien | |
(LIBOR plus 8.25%) | |
13.08% | | 07/27/292 | | | 446,493 | | | | 336,359 | |
| Magnite, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
9.86% | | 04/28/282 | | | 124,683 | | | | 120,007 | |
| Match Group, Inc., | |
| Term Loan B1, 1st Lien | |
(LIBOR plus 1.75%) | |
6.71% | | 02/13/272 | | | 1,000,000 | | | | 996,250 | |
| MeridianLink, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
8.15% | | 11/10/282 | | | 490,031 | | | | 477,577 | |
| Mitnick Corporate Purchaser, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 4.85%) | |
9.53% | | 05/02/292 | | | 992,506 | | | | 937,918 | |
| Monotype Imaging Holdings, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 5.00%) | |
9.84% | | 10/09/262 | | | 1,477,500 | | | | 1,462,725 | |
| NCR Corp., | |
| Term Loan, 1st Lien | |
(LIBOR plus 2.50%) | |
7.33% | | 08/28/262 | | | 1,975,165 | | | | 1,952,115 | |
See accompanying Notes to Financial Statements.
|
| 81 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Information Technology (continued) | |
| Northwest Fiber LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.62% | | 04/30/272 | | $ | 432,395 | | | $ | 419,966 | |
| Nouryon USA LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
9.75% | | 10/01/252 | | | 734,142 | | | | 729,881 | |
| Open Text Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.30% | | 08/24/292 | | | 997,500 | | | | 996,148 | |
| Pactiv Evergreen Group Holdings, Inc., | | | | | |
| Term Loan B3, 1st Lien | |
(LIBOR plus 3.25%) | |
8.00% | | 09/22/282 | | | 1,723,750 | | | | 1,702,919 | |
| Panther Purchaser LP, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.08% | | 01/07/282 | | | 975,019 | | | | 909,205 | |
| Playtika Holding Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
7.49% | | 03/13/282 | | | 987,406 | | | | 982,291 | |
| Precision Medicine Group LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
8.16% | | 11/18/272 | | | 1,435,176 | | | | 1,386,739 | |
| Pretium Packaging Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.79% - 9.01% | | 10/02/282 | | | 1,730,606 | | | | 1,390,975 | |
| Project Alpha Intermediate Holding, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.74% | | 04/26/242 | | | 924,614 | | | | 920,375 | |
| Project Boost Purchaser, LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.24% | | 06/01/262 | | | 1,480,818 | | | | 1,462,775 | |
| Proofpoint, Inc., | |
| Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 3.25%) | |
7.99% | | 08/31/282,3 | | | 935,120 | | | | 916,156 | |
| RealPage, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | 04/24/282 | | | 1,971,234 | | | | 1,916,700 | |
| Renaissance Holding Corp., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.22% | | 03/14/302 | | | 1,122,055 | | | | 1,093,213 | |
| Renaissance Learning, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.23% | | 04/01/272 | | | 991,256 | | | | 988,986 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Information Technology (continued) | |
| Skillsoft Finance II, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 5.36%) | |
10.10% | | 07/14/282 | | $ | 673,102 | | | $ | 571,632 | |
| Sophia LP, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.66% | | 10/07/272 | | | 909,130 | | | | 900,043 | |
| Spin Holdco, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.99% | | 03/03/282 | | | 1,960,000 | | | | 1,653,397 | |
| Sunshine Software Merger Sub, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | 10/16/282 | | | 735,649 | | | | 681,394 | |
| TIBCO Software, Inc., | |
| Term Loan A, 1st Lien | |
(SOFR plus 4.60%) | |
9.50% | | 09/29/282 | | | 315,000 | | | | 285,581 | |
| TierPoint LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | 05/05/262 | | | 249,339 | | | | 238,742 | |
| Uber Technologies, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.87% | | 03/03/302 | | | 995,326 | | | | 994,470 | |
| Veeam Software, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
10.00% | | 02/28/272 | | | 221,644 | | | | 219,889 | |
| VT Topco, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 08/01/252 | | | 1,681,076 | | | | 1,662,164 | |
| Zoominfo LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 2.85%) | |
7.66% | | 02/28/302 | | | 498,750 | | | | 499,166 | |
| Zotec Partners LLC, | |
| Term Loan B, 1st Lien (France) | |
(LIBOR plus 3.75%) | |
8.91% | | 02/14/242,3 | | | 929,953 | | | | 863,694 | |
| | | | | | | | | | | | |
| | | | 53,630,213 | |
| | | | | | | | | | | | |
|
| Insurance — 1.99% | |
| Acrisure LLC, | |
| Term Loan B1, 1st Lien | |
(LIBOR plus 3.50%) | |
8.24% | | 02/15/272 | | | 1,440,794 | | | | 1,398,169 | |
| AssuredPartners, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.21% | | 02/12/272 | | | 1,238,120 | | | | 1,227,287 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 82 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Insurance (continued) | |
| Asurion LLC, | |
| Term Loan B10, 1st Lien | |
(SOFR plus 4.10%) | |
8.91% | | 08/19/282 | | $ | 951,378 | | | $ | 880,624 | |
| Term Loan B9, 1st Lien | |
| (LIBOR plus 3.25%) | |
7.99% | | 07/31/272 | | | 1,728,016 | | | | 1,589,775 | |
| Asurion, LLC, | |
| Term Loan B4, 2nd Lien | |
(LIBOR plus 5.25%) | |
10.00% | | 01/20/292 | | | 250,000 | | | | 207,625 | |
| Howden Group Holdings Ltd., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.13% | | 11/12/272 | | | 219,887 | | | | 217,885 | |
| HUB International Ltd., | |
| Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.73% | | 11/10/292 | | | 1,246,875 | | | | 1,244,774 | |
| | | | | | | | | | | | |
| | | | 6,766,139 | |
| | | | | | | | | | | | |
|
| Materials — 2.98% | |
| American Rock Salt Co. LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.73% | | 06/09/282 | | | 734,394 | | | | 709,608 | |
| Archroma Finance Sarl, | |
| Term Loan B, 1st Lien | |
(SOFR plus 5.25%) | |
10.33% | | 01/01/402 | | | 500,000 | | | | 472,500 | |
| Avient Corp., | |
| Term Loan B6, 1st Lien | |
(SOFR plus 3.25%) | |
7.93% | | 08/29/292 | | | 509,556 | | | | 511,148 | |
| Geon Performance Solutions, LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
9.44% | | 08/18/282 | | | 683,266 | | | | 674,441 | |
| Herens U.S. Holdco Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 07/03/282 | | | 772,000 | | | | 718,998 | |
| LSF11 A5 HoldCo LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.61%) | |
8.42% | | 10/15/282 | | | 1,485,000 | | | | 1,442,314 | |
| Lummus Technology Holdings V LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 06/30/272 | | | 296,389 | | | | 291,805 | |
| Nouryon Finance BV, | |
| Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.79% | | 03/03/282 | | | 350,000 | | | | 349,563 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Materials (continued) | |
| Plaskolite PPC Intermediate II LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.83% | | 12/15/252 | | $ | 1,453,998 | | | $ | 1,299,205 | |
| Polar U.S. Borrower LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 4.75%) | |
9.02% | | 10/15/252 | | | 1,524,790 | | | | 1,276,188 | |
| Potters Borrower LP, | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.94% | | 12/14/272 | | | 1,463,704 | | | | 1,456,385 | |
| TMS International Corp., | |
| Term Loan B4, 1st Lien | |
(SOFR plus 4.75%) | |
9.55% | | 03/07/302 | | | 400,000 | | | | 390,750 | |
| U.S. Renal Care, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 5.00%) | |
9.69% | | 06/26/262 | | | 764,584 | | | | 522,784 | |
| | | | | | | | | | | | |
| | | | 10,115,689 | |
| | | | | | | | | | | | |
|
| Office REITs — 0.34% | |
| Rent-A-Center, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.12% | | 02/17/282 | | | 1,167,172 | | | | 1,158,418 | |
| | | | | |
|
| Retail — 4.73% | |
| American Airlines, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
9.56% | | 04/20/282 | | | 2,750,000 | | | | 2,796,599 | |
| BC ULC, | |
| Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 1.75%) | |
6.59% | | 11/19/262,3 | | | 498,711 | | | | 494,764 | |
| BCPE Empire Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 06/11/262 | | | 458,954 | | | | 452,393 | |
| BW Gas & Convenience Holdings LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 03/31/282 | | | 1,228,125 | | | | 1,203,562 | |
| Curium Bidco SARL, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
9.41% | | 12/02/272 | | | 1,472,625 | | | | 1,432,128 | |
| Term Loan B, 1st Lien (Canada) | |
| (LIBOR plus 3.99%) | |
9.15% -9.16% | | 07/09/262,3 | | | 974,748 | | | | 950,379 | |
| Dave & Buster’s, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 5.00%) | |
9.94% | | 06/29/292 | | | 1,741,873 | | | | 1,744,530 | |
See accompanying Notes to Financial Statements.
|
| 83 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Retail (continued) | |
| IRB Holding Corp., | | | | | |
| Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.10%) | | | | | |
7.69% | | 12/15/272 | | $ | 497,481 | | | $ | 489,984 | |
| KFC Holding Co., | | | | | |
| Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.51% | | 03/15/282 | | | 1,494,917 | | | | 1,490,560 | |
| MIC Glen LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 07/21/282 | | | 718,278 | | | | 697,717 | |
| SRS Distribution, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.15% | | 06/02/282 | | | 88,750 | | | | 85,932 | |
| Tacala Investment Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 02/05/272 | | | 1,166,352 | | | | 1,147,883 | |
| Term Loan B, 2nd Lien | |
| (LIBOR plus 7.50%) | |
12.34% | | 02/04/282 | | | 735,000 | | | | 673,907 | |
| Whatabrands LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | 08/03/282 | | | 1,478,769 | | | | 1,465,423 | |
| Woof Holdings, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.53% | | 12/21/272 | | | 984,893 | | | | 945,497 | |
| | | | | | | | | | | | |
| | | | 16,071,258 | |
| | | | | | | | | | | | |
|
| Services — 8.69% | |
| Allied Universal Holdco LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.56% | | 05/12/282 | | | 583,799 | | | | 555,289 | |
| Amentum Government Services Holdings, LLC, | | | | | |
| Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.82% - 9.03% | | 02/15/292 | | | 1,731,888 | | | | 1,697,250 | |
| ArchKey Holdings, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 5.25%) | |
10.08% - 10.09% | | 06/29/282 | | | 243,133 | | | | 236,447 | |
| Arcis Golf LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
8.99% | | 11/24/282 | | | 990,000 | | | | 987,525 | |
| CCRR Parent, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.60% | | 03/06/282 | | | 498,728 | | | | 483,142 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Services (continued) | |
| CH Gunther PPC Parent LLC, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.88% | | 12/08/282 | | $ | 990,000 | | | $ | 981,338 | |
| Confluent Medical Technologies, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.49% | | 02/16/292 | | | 738,759 | | | | 719,060 | |
| CoreLogic, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.38% | | 06/02/282 | | | 720,047 | | | | 616,415 | |
| Corp. Service Co., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.16% | | 11/02/292 | | | 1,603,813 | | | | 1,603,067 | |
| Covanta Holding Corp., | |
| Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.12% | | 11/30/282 | | | 921,010 | | | | 918,321 | |
| Term Loan C, 1st Lien | |
| (SOFR plus 2.50%) | |
7.31% | | 11/30/282 | | | 69,686 | | | | 69,483 | |
| Creative Artists Agency, LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.31% | | 11/27/282 | | | 1,000,000 | | | | 998,230 | |
| Dodge Data & Analytics, LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 4.75%) | |
9.79% | | 02/23/292 | | | 992,500 | | | | 840,315 | |
| Element Materials Technology Group U.S. Holdings, Inc., | | | | | |
| Delayed-Draw Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.25% | | 06/22/292 | | | 582,750 | | | | 577,287 | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.35%) | |
9.25% | | 06/22/292 | | | 1,262,625 | | | | 1,250,788 | |
| Filtration Group Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.52% | | 10/21/282 | | | 496,222 | | | | 490,225 | |
| Hornblower Sub LLC (American Queen Sub LLC), | | | | | |
| Term Loan, 1st Lien | |
(LIBOR plus 8.13%) | |
13.26% | | 11/10/252 | | | 554,681 | | | | 554,681 | |
| Indy U.S. Holdco LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
11.08% | | 03/05/282 | | | 336,770 | | | | 293,621 | |
| Iridium Satellite LLC, | |
| Term Loan B2, 1st Lien | |
(SOFR plus 2.50%) | |
7.41% | | 11/04/262 | | | 650,011 | | | | 650,417 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 84 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
|
| Services (continued) | |
| Lakeland Holdings LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 8.00%) | |
13.25% | | 09/25/272,5,6,8 | | $ | 634,811 | | | $ | 422,149 | |
| Lakeland Tours LLC, | |
| Term Loan, 1st Lien | |
(EURIBOR plus 6.00%) | |
10.83% | | 09/25/252,5,6,9 | | | 743,744 | | | | 661,932 | |
| Madison IAQ LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.30% | | 06/21/282 | | | 248,106 | | | | 236,724 | |
| Mavenir Systems, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
9.65% | | 08/18/282 | | | 643,500 | | | | 452,863 | |
| NAB Holdings, LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.15%) | |
7.89% | | 11/23/282 | | | 733,144 | | | | 723,672 | |
| Neptune Bidco U.S., Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 5.10%) | |
9.74% | | 04/11/292 | | | 500,000 | | | | 451,250 | |
| Nielsen Consumer, Inc., | |
| Term Loan, 1st Lien | |
(SOFR plus 6.25%) | |
11.06% | | 03/06/282 | | | 163,230 | | | | 142,316 | |
| PowerTeam Services LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.19% | | 03/06/252 | | | 146,561 | | | | 124,913 | |
| Pre-Paid Legal Services, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | 12/15/282 | | | 1,726,889 | | | | 1,702,246 | |
| Safe Fleet Holdings, LLC, | |
| Term Loan, 1st Lien | |
(SOFR plus 3.85%) | |
8.61% | | 02/23/292 | | | 1,732,500 | | | | 1,701,454 | |
| Technimark Holdings LLC, | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.53% | | 07/07/282 | | | 215,805 | | | | 207,712 | |
| Trans Union LLC, | |
| Term Loan B6, 1st Lien (Luxembourg) | |
(LIBOR plus 2.25%) | |
6.99% | | 12/01/282,3 | | | 1,675,438 | | | | 1,665,662 | |
| Trugreen LP, | |
| Term Loan B, 2nd Lien | |
(LIBOR plus 8.50%) | |
13.18% | | 11/02/282,5 | | | 500,000 | | | | 337,500 | |
| TruGreen LP, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 11/02/272 | | | 1,977,247 | | | | 1,830,812 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
BANK LOANS (continued) | | | | | |
| |
Services (continued) | | | | | |
| University Support Services, LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.16% | | 02/10/292 | | $ | 1,824,672 | | | $ | 1,800,495 | |
| Vaco Holdings, LLC, | |
| Term Loan B, 1st Lien | |
(SOFR plus 5.00%) | |
9.89% | | 01/19/292 | | | 982,538 | | | | 969,028 | |
| Verscend Holding Corp., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 08/27/252 | | | 982,416 | | | | 982,725 | |
| WW International, Inc., | |
| Term Loan B, 1st Lien (France) | |
(LIBOR plus 3.50%) | |
8.35% | | 04/13/282,3 | | | 945,000 | | | | 551,644 | |
| | | | | | | | | | | | |
| | | | 29,487,998 | |
| | | | | | | | | | | | |
|
| Transportation — 1.99% | |
| Air Canada, | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.37% | | 08/11/282 | | | 496,250 | | | | 496,096 | |
| Delta Air Lines, Inc., | |
| Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.56% | | 10/20/272 | | | 902,500 | | | | 936,800 | |
| Kenan Advantage Group, Inc. (The), | |
| Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
12.09% | | 09/01/272 | | | 2,350,000 | | | | 2,196,275 | |
| Kestrel Bidco, Inc., | |
| Term Loan B, 1st Lien | |
(SOFR plus 3.10%) | |
7.86% | | 12/11/262 | | | 1,472,273 | | | | 1,414,825 | |
| United Airlines, Inc., | |
| Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.56% | | 04/21/282 | | | 1,715,000 | | | | 1,706,639 | |
| | | | | | | | | | | | |
| | | | 6,750,635 | |
| | | | | | | | | | | | |
| |
Total Bank Loans | | | | | |
(Cost $321,280,755) | | | | 307,993,560 | |
| | | | | | | | | | | | |
| |
CORPORATES — 3.58%* | | | | | |
| |
Automobile Components — 0.28% | | | | | |
| Allison Transmission, Inc. | |
3.75% | | 01/30/311 | | | 550,000 | | | | 470,442 | |
| Ford Motor Credit Co. LLC | |
3.37% | | 11/17/23 | | | 500,000 | | | | 491,250 | |
| | | | | | | | | | | | |
| | | | 961,692 | |
| | | | | | | | | | | | |
| |
Banking — 0.50% | | | | | |
| Bank of America Corp. | |
3.42% | | | | 12/20/2810 | | | 500,000 | | | | 465,225 | |
See accompanying Notes to Financial Statements.
|
| 85 / Annual Report March 2023 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
Bank of New York Mellon Corp. (The) | | | | | |
(MTN) | | | | | |
3.44% | | 02/07/2810 | | $ | 500,000 | | | $ | 479,134 | |
| Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
2.59% | | 09/11/251,3,10 | | | 800,000 | | | | 743,488 | |
| | | | | | | | | | | | |
| | | | 1,687,847 | |
| | | | | | | | | | | | |
| |
| Communications — 0.60% | | | | | |
| Consolidated Communications, Inc. | | | | | |
6.50% | | 10/01/281 | | | 300,000 | | | | 218,190 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/261,11,12 | | | 1,000,000 | | | | 56,250 | |
| Frontier Communications Holdings LLC | | | | | |
5.00% | | 05/01/281 | | | 500,000 | | | | 434,537 | |
| Intelsat Jackson Holdings SA, | | | | | |
Class B | | | | | |
(Luxembourg) | | | | | |
8.50% | | 10/15/24†,1,3,5,6,11,12 | | | 1,000,000 | | | | — | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/271 | | | 500,000 | | | | 427,500 | |
| T-Mobile USA, Inc. | | | | | |
3.75% | | 04/15/27 | | | 500,000 | | | | 480,941 | |
| Vmed O2 UK Financing I PLC | | | | | |
| (United Kingdom) | | | | | |
4.75% | | 07/15/311,3 | | | 500,000 | | | | 431,110 | |
| | | | | | | | | | | | |
| | | | 2,048,528 | |
| | | | | | | | | | | | |
| |
| Consumer Discretionary — 0.23% | | | | | |
| BAT Capital Corp. | | | | | |
2.73% | | 03/25/31 | | | 400,000 | | | | 324,725 | |
| WarnerMedia Holdings, Inc. | | | | | |
4.28% | | 03/15/321 | | | 500,000 | | | | 446,440 | |
| | | | | | | | | | | | |
| | | | 771,165 | |
| | | | | | | | | | | | |
| |
| Diversified REITs — 0.13% | | | | | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.00% | | 01/15/30 | | | 500,000 | | | | 444,615 | |
| | | | | | | | | | | | |
| |
| Electric — 0.13% | | | | | |
| Pike Corp. | | | | | |
5.50% | | 09/01/281 | | | 500,000 | | | | 438,030 | |
| | | | | | | | | | | | |
| |
| Entertainment — 0.13% | | | | | |
| WMG Acquisition Corp. | | | | | |
3.88% | | 07/15/301 | | | 500,000 | | | | 437,500 | |
| | | | | | | | | | | | |
| |
| Finance — 0.28% | | | | | |
| Intercontinental Exchange, Inc. | | | | | |
4.00% | | 09/15/27 | | | 500,000 | | | | 495,229 | |
| JPMorgan Chase & Co. | | | | | |
2.95% | | 02/24/2810 | | | 500,000 | | | | 464,646 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 959,875 | |
| | | | | | | | | | | | |
| |
| Food — 0.06% | | | | | |
| Pilgrim’s Pride Corp. | |
3.50% | | 03/01/32 | | | 250,000 | | | | 201,911 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
CORPORATES (continued) | |
|
| Health Care — 0.44% | |
| Grifols Escrow Issuer SA | |
| (Spain) | |
4.75% | | 10/15/281,3 | | $ | 50,000 | | | $ | 41,053 | |
| HCA, Inc. | |
5.25% | | 06/15/26 | | | 500,000 | | | | 500,827 | |
| Medline Borrower LP | |
3.88% | | 04/01/291 | | | 500,000 | | | | 436,250 | |
| Molina Healthcare, Inc. | |
3.88% | | 05/15/321 | | | 500,000 | | | | 425,293 | |
| Prime Healthcare Services, Inc. | |
7.25% | | 11/01/251 | | | 100,000 | | | | 89,000 | |
| | | | | | | | | | | | |
| | | | 1,492,423 | |
| | | | | | | | | | | | |
|
| Industrials — 0.22% | |
Ball Corp. | | | | | |
3.13% | | 09/15/31 | | | 500,000 | | | | 414,352 | |
| OT Merger Corp. | |
7.88% | | 10/15/291 | | | 500,000 | | | | 301,164 | |
| Titan Acquisition Ltd./Titan Co-Borrower LLC | |
| (Canada) | |
7.75% | | 04/15/261,3 | | | 50,000 | | | | 42,000 | |
| | | | | | | | | | | | |
| | | | 757,516 | |
| | | | | | | | | | | | |
|
| Information Technology — 0.19% | |
| Central Parent, Inc./CDK Global, Inc. | |
7.25% | | 06/15/291 | | | 250,000 | | | | 245,945 | |
| NCR Corp. | |
5.13% | | 04/15/291 | | | 50,000 | | | | 43,451 | |
| Oracle Corp. | |
2.95% | | 04/01/30 | | | 380,000 | | | | 335,662 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 625,058 | |
| | | | | | | | | | | | |
|
| Retail — 0.18% | |
| 1011778 BC ULC/New Red Finance, Inc. | |
| (Canada) | |
3.50% | | 02/15/291,3 | | | 500,000 | | | | 448,770 | |
| Michaels Cos., Inc. (The) | |
7.88% | | 05/01/291 | | | 250,000 | | | | 175,236 | |
| | | | | | | | | | | | |
| | | | 624,006 | |
| | | | | | | | | | | | |
|
| Services — 0.21% | |
| GFL Environmental, Inc. | |
| (Canada) | |
3.50% | | 09/01/281,3 | | | 250,000 | | | | 226,643 | |
4.75% | | 06/15/291,3 | | | 500,000 | | | | 465,310 | |
| | | | | | | | | | | | |
| | | | 691,953 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $12,976,461) | | | | 12,142,119 | |
| | | | | | | | | | | | |
| |
Total Bonds — 94.65% | | | | | |
(Cost $335,379,680) | | | | 321,263,516 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 86 |
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| Issues | | | | | | | Shares | | | Value | |
| |
COMMON STOCK — 0.08% | | | | | |
| |
Communications — 0.08% | | | | | |
| Intelsat Emergence SA3,5,6 | | | | | |
(Luxembourg) | | | | | | | 9,662 | | | $ | 251,212 | |
| | | | | |
| |
Total Common Stock | | | | | |
(Cost $323,677) | | | | | |
| |
RIGHTS — 0.00% | | | | | |
| |
Communications — 0.00% | | | | | |
Intelsat Jackson Holdings SA, Series A†,3,5,6,11 | | | | | |
(Luxembourg) | | | | 1,011 | | | | — | |
Intelsat Jackson Holdings SA, Series B†,3,5,6,11 | | | | | |
(Luxembourg) | | | | 1,011 | | | | — | |
| | | | | |
| | | | — | |
| | | | | |
| |
Total Rights | | | | | |
(Cost $–) | | | | — | |
| | | | | |
| |
WARRANT — 0.00% | | | | | |
| |
Entertainment — 0.00% | | | | | |
Cineworld Group PLC3,11 | | | | | |
(United Kingdom) | | | | 229,579 | | | | 7,806 | |
| | | | | |
| |
Total Warrant | | | | | |
(Cost $–) | | | | | |
| | | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount/Shares | | | Value | |
| |
SHORT-TERM INVESTMENTS — 4.01% | | | | | |
| |
Money Market Funds — 0.81% | | | | | |
| Fidelity Investments Money Market Funds -Government Portfolio | | | | | |
4.72%13 | | | | 2,565,430 | | | | 2,565,430 | |
| Morgan Stanley Institutional Liquidity Funds -Government Portfolio | | | | | |
4.73%13 | | | | 194,000 | | | | 194,000 | |
| | | | | | | | | | | | | | |
| | | | 2,759,430 | |
| | | | | | | | | | | | | | |
U.S. Treasury Bills — 3.20% | |
U.S. Treasury Bills | |
4.50%14 | | | | | 05/11/23 | | | $ | 5,915,000 | | | | 5,886,875 | |
4.56%14 | | | | | 05/25/23 | | | | 5,000,000 | | | | 4,966,743 | |
| | | | | | | | | | | | | | |
| | | | 10,853,618 | |
| | | | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $13,611,826) | | | | 13,613,048 | |
| | | | | | | | | | | | | | |
|
| Total Investments - 98.74% | |
(Cost $349,315,183) | | | | | | | | 335,135,582 | |
| | | | | | | | | | | | | | |
| |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | (12,328 | ) |
| |
Cash and Other Assets, Less
Liabilities - 1.26% | | | | 4,295,122 | |
| | | | | | | | | | | | | | |
| | |
Net Assets - 100.00% | | | | | | | $ | 339,418,376 | |
| | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $10,003, at an interest rate of 8.93% and a maturity of April 02, 2029. The investment is not accruing an unused commitment fee. |
| 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 $1,955,909, which is 0.58% 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 $204,076, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum. |
| 8 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.00% cash or 13.25% payment-in-kind interest. |
| 9 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 10.83% cash or 12.83% payment-in-kind interest. |
| 10 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 11 | Non-income producing security. |
| 12 | Security is currently in default with regard to scheduled interest or principal payments. |
| 13 | Represents the current yield as of March 31, 2023. |
| 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 approved by the Board of Trustees. See Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EURIBOR): Euro InterBank Offer Rate
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(USD): U.S. Dollar
See accompanying Notes to Financial Statements.
|
| 87 / Annual Report March 2023 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BONDS – 92.90% | |
|
| BANK LOANS — 9.25%* | |
|
| Communications — 0.44% | |
| NEP/NCP Holdco, Inc., | |
| Term Loan, 2nd Lien | |
| (LIBOR plus 7.00%) | |
11.84% | | | | 10/19/261 | | $ | 875,000 | | | $ | 711,668 | |
| Zayo Group Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.00%) | |
7.84% | | | | 03/09/271 | | | 1,800,000 | | | | 1,472,319 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,183,987 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 1.11% | |
| ADMI Corp., | |
| Term Loan B2, 1st Lien | |
| (LIBOR plus 3.38%) | |
8.11% | | | | 12/23/271 | | | 1,886,500 | | | | 1,752,473 | |
| City Brewing Co. LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.32% | | | | 04/05/281 | | | 1,189,481 | | | | 502,984 | |
| Hanesbrands, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.75%) | |
8.55% | | | | 03/08/301 | | | 800,000 | | | | 798,000 | |
| Naked Juice, LLC, | |
| Term Loan, 2nd Lien | |
| (SOFR plus 6.00%) | |
11.00% | | | | 01/24/301 | | | 2,241,000 | | | | 1,720,614 | |
| New Trojan Parent, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.25%) | |
7.96% -8.09% | | | | 01/06/281 | | | 1,090,725 | | | | 747,152 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,521,223 | |
| | | | | | | | | | | | |
|
| Entertainment — 1.32% | |
| Cineworld Finance U.S., Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 1.50%) | |
9.50% | | | | 02/28/251 | | | 2,261,537 | | | | 356,904 | |
| Crown Finance U.S., Inc., | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
| (SOFR plus 10.10%) | |
14.66% - 14.80% | | 09/07/231,2 | | | 2,704,622 | | | | 2,747,342 | |
| Elanco Animal Health, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.41% | | | | 08/01/271 | | | 3,489,874 | | | | 3,419,780 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,524,026 | |
| | | | | | | | | | | | |
|
| Finance — 0.20% | |
| Auris Lux III SA, | |
| Term Loan B2, 1st Lien (Luxembourg) | |
| (LIBOR plus 3.75%) | |
8.68% | | | | 02/27/261,2 | | | 1,062,993 | | | | 965,729 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
|
| Health Care — 0.16% | |
| eResearchTechnology, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.50%) | |
9.34% | | | | 02/04/271 | | $ | 850,327 | | | $ | 804,626 | |
| | | | | | | | | | | | |
|
| Health Care REITs — 0.23% | |
| Aveanna Healthcare LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.70% | | | | 07/17/281 | | | 1,347,145 | | | | 1,150,361 | |
| | | | | | | | | | | | |
|
| Industrials — 2.43% | |
| Clydesdale Acquisition Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.18%) | |
9.08% | | | | 04/13/291 | | | 2,183,500 | | | | 2,137,374 | |
| DIRECTV Financing LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 5.00%) | |
9.84% | | | | 08/02/271 | | | 640,100 | | | | 617,479 | |
| Patriot Container Corp., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.75%) | |
8.47% | | | | 03/20/251 | | | 738,058 | | | | 682,703 | |
| Plaze, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.49% | | | | 08/03/261 | | | 2,278,100 | | | | 2,099,657 | |
| Proampac PG Borrower LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
7.96% - 8.65% | | 11/03/251 | | | 2,567,797 | | | | 2,517,724 | |
| SPX FLOW, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.60%) | |
9.41% - 9.58% | | 04/05/291 | | | 429,171 | | | | 410,665 | |
| Titan Acquisition, Ltd., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.00%) | |
8.15% | | | | 03/28/251 | | | 904,071 | | | | 859,812 | |
| Transcendia Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.34% | | | | 05/30/241 | | | 1,594,096 | | | | 1,211,513 | |
| Zep, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
9.16% | | | | 08/12/241 | | | 1,720,347 | | | | 1,489,941 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,026,868 | |
| | | | | | | | | | | | |
|
| Information Technology — 1.60% | |
| Central Parent, Inc., | |
| Term Loan, 1st Lien (Canada) | |
| (SOFR plus 4.25%) | |
9.14% - 9.18% | | 07/06/291,2 | | | 1,241,888 | | | | 1,239,981 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 88 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| |
| Information Technology (continued) | | | | | |
| CT Technologies Intermediate Holdings, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.25%) | |
9.09% | | | | 12/16/251 | | $ | 1,029,000 | | | $ | 983,739 | |
| Logmein, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.75%) | |
9.38% | | | | 08/31/271 | | | 1,189,957 | | | | 685,873 | |
| Open Text Corp., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.30% | | | | 08/24/291 | | | 1,836,398 | | | | 1,833,909 | |
| Spin Holdco, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.99% | | | | 03/03/281 | | | 2,695,000 | | | | 2,273,421 | |
| TierPoint LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.59% | | | | 05/05/261 | | | 934,016 | | | | 894,321 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,911,244 | |
| | | | | | | | | | | | |
|
Materials — 0.33% | |
| Iris Holding, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.75%) | |
9.53% | | | | 06/28/281 | | | 910,425 | | | | 786,097 | |
| Polar U.S. Borrower LLC, | |
| Term Loan, 1st Lien | |
| (SOFR plus 4.75%) | |
9.02% | | | | 10/15/251 | | | 1,000,000 | | | | 836,960 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,623,057 | |
| | | | | | | | | | | | |
|
Retail — 0.32% | |
| American Airlines, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.75%) | |
9.56% | | | | 04/20/281 | | | 430,000 | | | | 437,286 | |
| Tacala Investment Corp., | |
| Term Loan B, 2nd Lien | |
| (LIBOR plus 7.50%) | |
12.34% | | | | 02/04/281 | | | 1,249,500 | | | | 1,145,642 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,582,928 | |
| | | | | | | | | | | | |
|
Services — 0.36% | |
| Hornblower Sub LLC (American Queen Sub LLC), | |
| Term Loan, 1st Lien | |
| (LIBOR plus 8.13%) | |
13.26% | | | | 11/10/251 | | | 554,681 | | | | 554,681 | |
| Neptune Bidco U.S., Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 5.10%) | |
9.74% | | | | 04/11/291 | | | 1,335,000 | | | | 1,204,838 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,759,519 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| |
| Transportation — 0.75% | | | | | |
| Kenan Advantage Group, Inc. (The), | |
| Term Loan, 2nd Lien | |
| (LIBOR plus 7.25%) | |
12.09% | | | | 09/01/271 | | $ | 4,000,000 | | | $ | 3,738,340 | |
| | | | | | | | | | | | |
| |
| Total Bank Loans | | | | | |
(Cost $49,822,012) | | | | | | | 45,791,908 | |
| | | | | | | | | | | | |
|
CORPORATES — 83.65%* | |
|
Automobile Components — 0.70% | |
| Allison Transmission, Inc. | |
3.75% | | | | 01/30/313 | | | 1,665,000 | | | | 1,424,158 | |
| Ford Motor Credit Co. LLC | |
2.90% | | | | 02/16/28 | | | 300,000 | | | | 257,583 | |
3.37% | | | | 11/17/23 | | | 1,836,000 | | | | 1,803,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,485,611 | |
| | | | | | | | | | | | |
|
Banking — 2.70% | |
| Bank of America Corp., | |
| Series RR | |
4.38%4,5 | | | | | 2,040,000 | | | | 1,741,880 | |
| Bank of New York Mellon Corp. (The), | |
| Series I | |
3.75%4,5 | | | | | | | 2,515,000 | | | | 2,095,613 | |
| Credit Suisse Group AG | |
| (Switzerland) | |
6.37% | | | | 07/15/262,3,5 | | | 710,000 | | | | 692,431 | |
6.54% | | | | 08/12/332,3,5 | | | 3,520,000 | | | | 3,608,000 | |
7.50%2,3,4 | | | | | 1,095,000 | | | | 46,538 | |
9.02% | | | | 11/15/332,3,5 | | | 2,070,000 | | | | 2,463,300 | |
| U.S. Bancorp | |
3.70%4,5 | | | | | 3,515,000 | | | | 2,744,309 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,392,071 | |
| | | | | | | | | | | | |
|
Communications — 14.88% | |
| Altice France SA | |
| (France) | |
5.13% | | | | 01/15/292,3 | | | 1,628,000 | | | | 1,248,513 | |
5.50% | | | | 10/15/292,3 | | | 4,679,000 | | | | 3,597,042 | |
8.13% | | | | 02/01/272,3 | | | 2,414,000 | | | | 2,238,985 | |
| Cable One, Inc. | |
4.00% | | | | 11/15/303 | | | 7,101,000 | | | | 5,822,820 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | |
4.50% | | | | 08/15/303 | | | 850,000 | | | | 717,441 | |
4.75% | | | | 03/01/303 | | | 1,050,000 | | | | 910,875 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. | |
4.50% | | | | 05/01/32 | | | 1,205,000 | | | | 988,100 | |
4.50% | | | | 06/01/333 | | | 5,650,000 | | | | 4,512,824 | |
| Cogent Communications Group, Inc. | |
7.00% | | | | 06/15/273 | | | 1,750,000 | | | | 1,737,091 | |
| CommScope, Inc. | |
4.75% | | | | 09/01/293 | | | 3,850,000 | | | | 3,236,887 | |
| Consolidated Communications, Inc. | |
6.50% | | | | 10/01/283 | | | 1,553,000 | | | | 1,129,495 | |
| CSC Holdings LLC | |
4.63% | | | | 12/01/303 | | | 900,000 | | | | 447,750 | |
See accompanying Notes to Financial Statements.
|
| 89 / Annual Report March 2023 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Communications (continued) | | | | | |
6.50% | | 02/01/293 | | $ | 6,629,000 | | | $ | 5,511,467 | |
7.50% | | 04/01/283 | | | 4,075,000 | | | | 2,601,480 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/263,6,7 | | | 4,581,000 | | | | 257,681 | |
| DISH DBS Corp. | | | | | |
5.25% | | 12/01/263 | | | 3,105,000 | | | | 2,483,286 | |
7.38% | | 07/01/28 | | | 2,552,000 | | | | 1,457,337 | |
| DISH Network Corp. | | | | | |
11.75% | | 11/15/273 | | | 1,045,000 | | | | 1,005,812 | |
| Frontier Communications Holdings LLC | | | | | |
5.00% | | 05/01/283 | | | 1,763,000 | | | | 1,532,177 | |
6.75% | | 05/01/293 | | | 1,650,000 | | | | 1,309,225 | |
8.63% | | 03/15/313 | | | 1,450,000 | | | | 1,420,984 | |
| Global Switch Finance BV | | | | | |
| (EMTN) | | | | | |
| (Netherlands) | | | | | |
1.38% | | 10/07/302 | | | 975,000 | | | | 870,850 | |
| Gray Escrow II, Inc. | | | | | |
5.38% | | 11/15/313 | | | 3,546,000 | | | | 2,334,894 | |
| Intelsat Jackson Holdings SA | | | | | |
| (Luxembourg) | | | | | |
6.50% | | 03/15/302,3 | | | 3,664,000 | | | | 3,373,523 | |
| Intelsat Jackson Holdings SA, | | | | | |
| Class B | | | | | |
| (Luxembourg) | | | | | |
5.50% | | 08/01/23†,2,6,7,8,9 | | | 6,350,000 | | | | — | |
8.50% | | 10/15/24†,2,3,6,7,8,9 | | | 2,853,000 | | | | — | |
9.75% | | 07/15/25†,2,3,6,7,8,9 | | | 4,051,000 | | | | — | |
| Level 3 Financing, Inc. | | | | | |
3.63% | | 01/15/293 | | | 1,213,000 | | | | 670,934 | |
4.25% | | 07/01/283 | | | 1,375,000 | | | | 777,356 | |
10.50% | | 05/15/303 | | | 3,190,000 | | | | 3,050,438 | |
| National CineMedia LLC | | | | | |
5.75% | | 08/15/26 | | | 2,251,000 | | | | 54,272 | |
| Netflix, Inc. | | | | | |
4.63% | | 05/15/29 | | | 900,000 | | | | 999,553 | |
| Nexstar Media, Inc. | | | | | |
4.75% | | 11/01/283 | | | 1,534,000 | | | | 1,365,148 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/273 | | | 1,725,000 | | | | 1,474,875 | |
| Scripps Escrow II, Inc. | | | | | |
5.38% | | 01/15/313 | | | 1,758,000 | | | | 1,213,020 | |
| Scripps Escrow, Inc. | | | | | |
5.88% | | 07/15/273 | | | 650,000 | | | | 485,264 | |
| SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/443 | | | 1,680,000 | | | | 1,323,198 | |
| Sinclair Television Group, Inc. | | | | | |
4.13% | | 12/01/303 | | | 1,565,000 | | | | 1,263,659 | |
| Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/313 | | | 4,164,000 | | | | 3,241,612 | |
| Vmed O2 UK Financing I PLC | | | | | |
| (United Kingdom) | | | | | |
4.75% | | 07/15/312,3 | | | 2,050,000 | | | | 1,767,551 | |
| VZ Secured Financing BV | | | | | |
| (Netherlands) | | | | | |
5.00% | | 01/15/322,3 | | | 2,576,000 | | | | 2,104,270 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Communications (continued) | | | | | |
| VZ Secured Financing BV, | | | | | |
| Series REGS | | | | | |
| (Netherlands) | | | | | |
3.50% | | 01/15/322 | | $ | 1,260,000 | | | $ | 1,095,851 | |
| Zayo Group Holdings, Inc. | | | | | |
4.00% | | 03/01/273 | | | 2,683,000 | | | | 2,041,495 | |
| | | | | |
| | | | 73,675,035 | |
| | | | | |
| |
Consumer Discretionary — 3.87% | | | | | |
| BAT Capital Corp. | | | | | |
5.28% | | 04/02/50 | | | 1,763,000 | | | | 1,451,033 | |
| Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/293 | | | 1,723,000 | | | | 1,550,700 | |
| Hilton Domestic Operating Co., Inc. | | | | | |
3.63% | | 02/15/323 | | | 2,595,000 | | | | 2,191,867 | |
| Primo Water Holdings, Inc. | | | | | |
4.38% | | 04/30/293 | | | 2,942,000 | | | | 2,570,678 | |
| Triton Water Holdings, Inc. | | | | | |
6.25% | | 04/01/293 | | | 4,722,000 | | | | 3,758,523 | |
| WarnerMedia Holdings, Inc. | | | | | |
5.14% | | 03/15/523 | | | 5,935,000 | | | | 4,821,950 | |
| Wyndham Hotels & Resorts, Inc. | | | | | |
4.38% | | 08/15/283 | | | 3,054,000 | | | | 2,817,510 | |
| | | | | |
| | | | 19,162,261 | |
| | | | | |
| |
Consumer Products — 1.12% | | | | | |
| Newell Brands, Inc. | | | | | |
4.88% | | 06/01/25 | | | 3,865,000 | | | | 3,800,068 | |
6.00% | | 04/01/46 | | | 1,560,000 | | | | 1,276,907 | |
| Spectrum Brands, Inc. | | | | | |
5.00% | | 10/01/293 | | | 550,000 | | | | 482,625 | |
| | | | | |
| | | | 5,559,600 | |
| | | | | |
| |
Diversified REITs — 2.58% | | | | | |
| American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 3,431,000 | | | | 2,758,064 | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.75% | | 06/01/28 | | | 1,650,000 | | | | 1,611,581 | |
| VICI Properties LP/VICI Note Co., Inc. | | | | | |
3.88% | | 02/15/293 | | | 295,000 | | | | 262,593 | |
4.63% | | 06/15/253 | | | 2,990,000 | | | | 2,892,452 | |
5.75% | | 02/01/273 | | | 5,307,000 | | | | 5,230,119 | |
| | | | | |
| | | | 12,754,809 | |
| | | | | |
| |
Electric — 0.15% | | | | | |
| Pike Corp. | | | | | |
5.50% | | 09/01/283 | | | 850,000 | | | | 744,651 | |
| | | | | |
| |
Energy — 6.31% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | 04/01/283 | | | 531,000 | | | | 512,415 | |
| Energy Transfer LP, | | | | | |
| Series B | | | | | |
6.63%4,5 | | | | | 6,154,000 | | | | 4,606,720 | |
| Global Partners LP/GLP Finance Corp. | | | | | |
6.88% | | 01/15/29 | | | 3,971,000 | | | | 3,695,611 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 90 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | 02/01/263 | | $ | 2,173,000 | | | $ | 2,099,655 | |
| Petroleos Mexicanos | | | | | |
| (Mexico) | | | | | |
5.95% | | 01/28/312 | | | 524,000 | | | | 401,411 | |
7.69% | | 01/23/502 | | | 425,000 | | | | 300,237 | |
| Rockies Express Pipeline LLC | | | | | |
4.80% | | 05/15/303 | | | 650,000 | | | | 572,000 | |
6.88% | | 04/15/403 | | | 2,984,000 | | | | 2,491,640 | |
| SM Energy Co. | | | | | |
6.50% | | 07/15/28 | | | 1,907,000 | | | | 1,828,891 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | 02/15/26 | | | 3,139,000 | | | | 2,718,437 | |
| Transocean Titan Financing Ltd. | | | | | |
| (Cayman Islands) | | | | | |
8.38% | | 02/01/282,3 | | | 2,975,000 | | | | 3,041,937 | |
| USA Compression Partners LP/USA Compression Finance | | | | | |
| Corp. | | | | | |
6.88% | | 09/01/27 | | | 885,000 | | | | 846,551 | |
| Valaris Ltd., | | | | | |
| Series 1145, PIK | | | | | |
| (Bermuda) | | | | | |
8.25% | | 04/30/282,10 | | | 111,000 | | | | 112,765 | |
| Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | 11/01/333 | | | 550,000 | | | | 462,787 | |
4.13% | | 08/15/313 | | | 4,007,000 | | | | 3,523,517 | |
6.25% | | 01/15/303 | | | 4,000,000 | | | | 4,045,000 | |
| | | | | |
| | | | 31,259,574 | |
| | | | | |
| |
Entertainment — 0.87% | | | | | |
| Cinemark USA, Inc. | | | | | |
5.25% | | 07/15/283 | | | 3,655,000 | | | | 3,199,039 | |
| WMG Acquisition Corp. | | | | | |
3.75% | | 12/01/293 | | | 1,223,000 | | | | 1,086,293 | |
| | | | | |
| | | | 4,285,332 | |
| | | | | |
| |
Finance — 2.43% | | | | | |
| American Express Co., | | | | | |
| Series D | | | | | |
3.55%4,5 | | | | | 2,150,000 | | | | 1,797,938 | |
| Avolon Holdings Funding Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.53% | | 11/18/272,3 | | | 2,083,000 | | | | 1,764,472 | |
| Charles Schwab Corp. (The) | | | | | |
| Series K | | | | | |
5.00%4,5 | | | | | 2,430,000 | | | | 2,065,500 | |
| Citigroup, Inc. | | | | | |
2.52% | | 11/03/325 | | | 120,000 | | | | 97,969 | |
2.56% | | 05/01/325 | | | 1,670,000 | | | | 1,386,622 | |
| Jane Street Group/JSG Finance, Inc. | | | | | |
4.50% | | 11/15/293 | | | 4,708,000 | | | | 4,226,737 | |
| JPMorgan Chase & Co., | | | | | |
| Series KK | | | | | |
3.65%4,5 | | | | | 805,000 | | | | 706,387 | |
| | | | | |
| | | | 12,045,625 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
Food — 6.38% | | | | | |
| B&G Foods, Inc. | | | | | |
5.25% | | 04/01/25 | | $ | 1,150,000 | | | $ | 1,076,688 | |
5.25% | | 09/15/27 | | | 290,000 | | | | 250,043 | |
| Chobani LLC/Chobani Finance Corp, Inc. | | | | | |
4.63% | | 11/15/283 | | | 700,000 | | | | 638,670 | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | 06/01/263 | | | 1,287,000 | | | | 797,747 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
| (Canada) | | | | | |
3.75% | | 12/01/312,3 | | | 1,789,000 | | | | 1,483,339 | |
5.75% | | 04/01/332,3 | | | 7,835,000 | | | | 7,534,575 | |
| Nathan’s Famous, Inc. | | | | | |
6.63% | | 11/01/253 | | | 372,000 | | | | 367,815 | |
| Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 13,071,000 | | | | 10,556,713 | |
5.88% | | 09/30/273 | | | 1,896,000 | | | | 1,885,666 | |
| Post Holdings, Inc. | | | | | |
5.75% | | 03/01/273 | | | 3,000,000 | | | | 2,940,000 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ | | | | | |
| Simmons Pet Food, Inc./Simmons Feed | | | | | |
4.63% | | 03/01/293 | | | 4,974,000 | | | | 4,044,004 | |
| | | | | |
| | | | 31,575,260 | |
| | | | | |
| |
Gaming — 1.58% | | | | | |
| Caesars Resort Collection LLC/CRC Finco, Inc. | | | | | |
5.75% | | 07/01/253 | | | 4,375,000 | | | | 4,411,954 | |
| CDI Escrow Issuer, Inc. | | | | | |
5.75% | | 04/01/303 | | | 1,075,000 | | | | 1,029,961 | |
| Penn Entertainment, Inc. | | | | | |
4.13% | | 07/01/293 | | | 2,825,000 | | | | 2,361,248 | |
| | | | | |
| | | | 7,803,163 | |
| | | | | |
| |
Health Care — 16.32% | | | | | |
| 1375209 BC Ltd. | | | | | |
| (Canada) | | | | | |
9.00% | | 01/30/282,3 | | | 2,579,000 | | | | 2,559,657 | |
| 180 Medical, Inc. | | | | | |
3.88% | | 10/15/293 | | | 3,986,000 | | | | 3,537,575 | |
| Amgen, Inc. | | | | | |
5.25% | | 03/02/33 | | | 1,300,000 | | | | 1,336,045 | |
| Bausch Health Cos., Inc. | | | | | |
| (Canada) | | | | | |
11.00% | | 09/30/282,3 | | | 1,733,000 | | | | 1,283,876 | |
14.00% | | 10/15/302,3 | | | 342,000 | | | | 194,239 | |
| Cano Health LLC | | | | | |
6.25% | | 10/01/283 | | | 4,067,000 | | | | 2,247,018 | |
| Catalent Pharma Solutions, Inc. | | | | | |
3.50% | | 04/01/303 | | | 3,667,000 | | | | 3,225,970 | |
5.00% | | 07/15/273 | | | 1,921,000 | | | | 1,877,777 | |
| Centene Corp. | | | | | |
2.45% | | 07/15/28 | | | 7,675,000 | | | | 6,680,888 | |
2.63% | | 08/01/31 | | | 2,500,000 | | | | 2,026,475 | |
3.00% | | 10/15/30 | | | 865,000 | | | | 729,179 | |
4.25% | | 12/15/27 | | | 8,170,000 | | | | 7,879,638 | |
See accompanying Notes to Financial Statements.
|
| 91 / Annual Report March 2023 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
Health Care (continued) | |
| Embecta Corp. | |
6.75% | | | | 02/15/303 | | $ | 4,174,000 | | | $ | 3,804,751 | |
| Grifols Escrow Issuer SA | |
| (Spain) | |
4.75% | | | | 10/15/282,3 | | | 2,689,000 | | | | 2,207,812 | |
| Grifols Escrow Issuer SA, | |
| Series REGS | |
| (Spain) | |
3.88% | | | | 10/15/282 | | | 375,000 | | | | 318,595 | |
| Medline Borrower LP | |
3.88% | | | | 04/01/293 | | | 1,596,000 | | | | 1,392,510 | |
| ModivCare Escrow Issuer, Inc. | |
5.00% | | | | 10/01/293 | | | 2,300,000 | | | | 1,975,219 | |
| ModivCare, Inc. | |
5.88% | | | | 11/15/253 | | | 2,450,000 | | | | 2,352,086 | |
| Molina Healthcare, Inc. | |
3.88% | | | | 11/15/303 | | | 7,217,000 | | | | 6,312,475 | |
3.88% | | | | 05/15/323 | | | 5,150,000 | | | | 4,380,521 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | | 04/30/313 | | | 2,313,000 | | | | 2,058,171 | |
| Prestige Brands, Inc. | |
3.75% | | | | 04/01/313 | | | 1,646,000 | | | | 1,396,614 | |
| Prime Healthcare Services, Inc. | |
7.25% | | | | 11/01/253 | | | 4,053,000 | | | | 3,607,170 | |
| Teleflex, Inc. | |
4.25% | | | | 06/01/283 | | | 2,609,000 | | | | 2,484,159 | |
| Tenet Healthcare Corp. | |
4.25% | | | | 06/01/29 | | | 2,568,000 | | | | 2,325,607 | |
4.63% | | | | 07/15/24 | | | 7,030,000 | | | | 6,941,914 | |
4.63% | | | | 09/01/24 | | | 963,000 | | | | 952,851 | |
4.88% | | | | 01/01/26 | | | 3,284,000 | | | | 3,222,807 | |
| Teva Pharmaceutical Finance Netherlands III BV | | | | | |
| (Netherlands) | |
8.13% | | | | 09/15/312 | | | 1,450,000 | | | | 1,527,953 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 80,839,552 | |
| | | | | | | | | | | | |
|
Industrials — 6.13% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
| (Canada) | |
5.25% | | | | 08/15/272,3 | | | 4,430,000 | | | | 3,497,017 | |
| Artera Services LLC | |
9.03% | | | | 12/04/253 | | | 2,214,000 | | | | 1,916,868 | |
| Ball Corp. | |
3.13% | | | | 09/15/31 | | | 3,154,000 | | | | 2,613,731 | |
6.88% | | | | 03/15/28 | | | 1,250,000 | | | | 1,296,875 | |
| General Electric Co. | |
| (MTN) | |
| (LIBOR USD 3-Month plus 0.48%) | |
5.34% | | | | 08/15/361 | | | 1,300,000 | | | | 1,097,850 | |
| General Electric Co., | |
| Series D | |
8.20%4,5 | | | | | | | 1,430,000 | | | | 1,429,923 | |
| Graham Packaging Co., Inc. | |
7.13% | | | | 08/15/283 | | | 1,816,000 | | | | 1,581,955 | |
| Graphic Packaging International LLC | |
4.13% | | | | 08/15/24 | | | 3,150,000 | | | | 3,094,875 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| CORPORATES (continued) | | | | | |
Industrials (continued) | |
| II-VI, Inc. | |
5.00% | | 12/15/293 | | $ | 622,000 | | | $ | 564,913 | |
| OT Merger Corp. | |
7.88% | | 10/15/293 | | | 4,618,000 | | | | 2,781,550 | |
| Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group | | | | | | | | |
| Issuer, Inc. | |
4.38% | | 10/15/283 | | | 1,698,000 | | | | 1,488,276 | |
| Rolls-Royce PLC | |
| (EMTN) | |
| (United Kingdom) | |
1.63% | | 05/09/282 | | | 400,000 | | | | 362,175 | |
| TransDigm, Inc. | |
4.63% | | 01/15/29 | | | 1,150,000 | | | | 1,023,546 | |
6.25% | | 03/15/263 | | | 4,400,000 | | | | 4,411,000 | |
6.75% | | 08/15/283 | | | 2,650,000 | | | | 2,678,174 | |
| Trivium Packaging Finance BV | |
| (Netherlands) | |
5.50% | | | | 08/15/262,3 | | | 556,000 | | | | 533,321 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,372,049 | |
| | | | | | | | | | | | |
|
Information Technology — 3.63% | |
| Alteryx, Inc. | |
8.75% | | | | 03/15/283 | | | 800,000 | | | | 809,176 | |
| Booz Allen Hamilton, Inc. | |
4.00% | | | | 07/01/293 | | | 2,816,000 | | | | 2,547,651 | |
| Gen Digital, Inc. | |
6.75% | | | | 09/30/273 | | | 500,000 | | | | 503,246 | |
| MSCI, Inc. | |
3.63% | | | | 09/01/303 | | | 2,020,000 | | | | 1,757,824 | |
3.63% | | | | 11/01/313 | | | 1,190,000 | | | | 1,020,258 | |
| NCR Corp. | |
5.13% | | | | 04/15/293 | | | 3,717,000 | | | | 3,230,164 | |
5.25% | | | | 10/01/303 | | | 4,479,000 | | | | 3,660,596 | |
| Open Text Corp. | |
| (Canada) | |
6.90% | | | | 12/01/272,3 | | | 1,300,000 | | | | 1,340,625 | |
| Oracle Corp. | |
6.25% | | | | 11/09/32 | | | 1,300,000 | | | | 1,397,468 | |
| Science Applications International Corp. | |
4.88% | | | | 04/01/283 | | | 1,795,000 | | | | 1,685,080 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,952,088 | |
| | | | | | | | | | | | |
|
Insurance — 1.79% | |
| Acrisure LLC/Acrisure Finance, Inc. | |
6.00% | | | | 08/01/293 | | | 3,540,000 | | | | 2,947,050 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings | | | | | |
| Co.-Issuer | |
6.75% | | | | 10/15/273 | | | 3,440,000 | | | | 3,203,500 | |
| AssuredPartners, Inc. | |
5.63% | | | | 01/15/293 | | | 3,117,000 | | | | 2,697,249 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,847,799 | |
| | | | | | | | | | | | |
|
Materials — 4.65% | |
| ASP Unifrax Holdings, Inc. | |
5.25% | | | | 09/30/283 | | | 1,971,000 | | | | 1,577,391 | |
7.50% | | | | 09/30/293 | | | 2,579,000 | | | | 1,755,989 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 92 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Materials (continued) | | | | | |
| ATI, Inc. | | | | | |
5.13% | | 10/01/31 | | $ | 613,000 | | | $ | 560,895 | |
| Axalta Coating Systems, LLC | | | | | |
3.38% | | 02/15/293 | | | 3,451,000 | | | | 2,993,215 | |
| Clearwater Paper Corp. | | | | | |
4.75% | | 08/15/283 | | | 2,671,000 | | | | 2,401,756 | |
| Herens Holdco SARL | | | | | |
| (Luxembourg) | | | | | |
4.75% | | 05/15/282,3 | | | 3,224,000 | | | | 2,581,712 | |
| International Flavors & Fragrances, Inc. | | | | | |
2.30% | | 11/01/303 | | | 1,650,000 | | | | 1,325,333 | |
| Olympus Water U.S. Holding Corp. | | | | | |
7.13% | | 10/01/273 | | | 1,385,000 | | | | 1,301,165 | |
| SCIH Salt Holdings, Inc. | | | | | |
4.88% | | 05/01/283 | | | 272,000 | | | | 243,130 | |
| SCIL IV LLC/SCIL USA Holdings LLC | | | | | |
5.38% | | 11/01/263 | | | 1,189,000 | | | | 1,095,143 | |
| SK Invictus Intermediate II SARL | | | | | |
| (Luxembourg) | | | | | |
5.00% | | 10/30/292,3 | | | 4,120,000 | | | | 3,425,038 | |
| Valvoline, Inc. | | | | | |
3.63% | | 06/15/313 | | | 1,975,000 | | | | 1,679,323 | |
| WR Grace Holdings, LLC | | | | | |
5.63% | | 08/15/293 | | | 2,450,000 | | | | 2,082,500 | |
| | | | | |
| | | | 23,022,590 | |
| | | | | |
| |
| Retail — 2.76% | | | | | |
| Bloomin’ Brands, Inc./OSI Restaurant Partners LLC | | | | | |
5.13% | | 04/15/293 | | | 324,000 | | | | 290,790 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | 01/15/303 | | | 4,369,000 | | | | 3,595,822 | |
| FirstCash, Inc. | | | | | |
5.63% | | 01/01/303 | | | 1,424,000 | | | | 1,315,543 | |
| Michaels Cos., Inc. (The) | | | | | |
7.88% | | 05/01/293 | | | 3,171,000 | | | | 2,222,697 | |
| Papa John’s International, Inc. | | | | | |
3.88% | | 09/15/293 | | | 2,400,000 | | | | 2,065,604 | |
| Yum! Brands, Inc. | | | | | |
3.88% | | 11/01/23 | | | 4,215,000 | | | | 4,164,947 | |
| | | | | |
| | | | 13,655,403 | |
| | | | | |
| |
| Services — 3.82% | | | | | |
| ADT Security Corp. (The) | | | | | |
4.13% | | 06/15/23 | | | 169,000 | | | | 168,595 | |
| Adtalem Global Education, Inc. | | | | | |
5.50% | | 03/01/283 | | | 1,259,000 | | | | 1,195,297 | |
| Block, Inc. | | | | | |
3.50% | | 06/01/31 | | | 1,030,000 | | | | 847,175 | |
| Carriage Services, Inc. | | | | | |
4.25% | | 05/15/293 | | | 2,100,000 | | | | 1,731,087 | |
| HealthEquity, Inc. | | | | | |
4.50% | | 10/01/293 | | | 1,380,000 | | | | 1,235,858 | |
| Hertz Corp. (The) | | | | | |
5.00% | | 12/01/293 | | | 4,176,000 | | | | 3,479,527 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
| |
| Services (continued) | | | | | |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | | | | | |
3.38% | | | 08/31/273 | | | $ | 300,000 | | | $ | 269,156 | |
| Upbound Group, Inc. | | | | | |
6.38% | | | 02/15/293 | | | | 4,111,000 | | | | 3,463,517 | |
| WASH Multifamily Acquisition, Inc. | | | | | |
5.75% | | | 04/15/263 | | | | 668,000 | | | | 632,686 | |
| Waste Pro USA, Inc. | | | | | |
5.50% | | | 02/15/263 | | | | 6,420,000 | | | | 5,910,814 | |
| | | | | |
| | | | 18,933,712 | |
| | | | | |
| |
| Specialized REITs — 0.60% | | | | | |
Blackstone Property Partners Europe Holdings SARL
(EMTN) | | | | | |
| (Luxembourg) | | | | | |
1.75% | | | 03/12/292 | | | | 635,000 | | | | 511,409 | |
| Iron Mountain, Inc. | | | | | |
5.25% | | | 07/15/303 | | | | 677,000 | | | | 614,432 | |
5.63% | | | 07/15/323 | | | | 2,035,000 | | | | 1,863,551 | |
| | | | | |
| | | | | | | | | | | | | 2,989,392 | |
| | | | | |
| |
| Transportation — 0.38% | | | | | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 643,922 | | | | 644,068 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 1,266,957 | | | | 1,258,114 | |
| | | | | |
| | | | 1,902,182 | |
| | | | | |
| |
| Total Corporates | | | | | |
| (Cost $446,617,273) | | | | 414,257,759 | |
| | | | | |
| |
| Total Bonds — 92.90% | | | | | |
| (Cost $496,439,285) | | | | 460,049,667 | |
| | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | | | Shares | | | Value | |
COMMON STOCK — 0.90% | |
|
| Communications — 0.66% | |
| Intelsat Emergence SA2,8,9 | |
| (Luxembourg) | | | | 125,435 | | | | 3,261,310 | |
| | | | | | | | | | | | | | |
| Electric — 0.00% | |
| Homer City Holdings LLC†,8,9,11 | | | | 502,908 | | | | — | |
| | | | | | | | | | | | | | |
| Transportation — 0.24% | |
| Hertz Global Holdings, Inc.7 | | | | 75,000 | | | | 1,221,750 | |
| | | | | | | | | | | | | | |
| Total Common Stock | |
| (Cost $32,356,394) | | | | | | | | 4,483,060 | |
| | | | | | | | | | | | | | |
| RIGHTS — 0.00% | |
| Communications — 0.00% | |
| Intelsat Jackson Holdings SA, Series | |
| A†,2,7,8,9 | |
| (Luxembourg) | | | | 13,135 | | | | — | |
See accompanying Notes to Financial Statements.
|
| 93 / Annual Report March 2023 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | |
| Issues | | | | | Shares | | | Value | |
RIGHTS — 0.00% (continued) | |
| Communications — 0.00% (continued) | |
| Intelsat Jackson Holdings SA, Series B†,2,7,8,9 | | | | | |
| (Luxembourg) | | | | | | | 13,135 | | | $ | — | |
| | | | | |
| | | | | | | | | | | | | — | |
| | | | | |
|
| Total Rights | |
| (Cost $–) | | | | | | | | — | |
| | | | | |
|
| WARRANT — 0.00% | |
| |
| Intelsat Jackson Holdings SA,2,7,8,9 | | | | | |
| (Luxembourg) | | | | | | | 16 | | | | 23 | |
| | | | | |
|
| Entertainment — 0.00% | |
|
| Cineworld Group PLC2,7 | |
(United Kingdom) | | | | 288,340 | | | | 9,804 | |
| | | | | |
|
| Total Warrant | |
| (Cost $60) | | | | | | | | 9,827 | |
| | | | | |
| | | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount/Shares | | | Value | |
SHORT-TERM INVESTMENTS — 2.96% | |
|
| Money Market Funds — 2.96% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%12 | | | | 1,563,556 | | | | 1,563,556 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%12 | | | | 13,071,000 | | | | 13,071,000 | |
| | | | | |
| |
| Total Short-Term Investments | | | | | |
| (Cost $14,634,556) | | | | 14,634,556 | |
| | | | | |
| |
| Total Investments - 96.76% | | | | | |
| (Cost $543,430,295) | | | | 479,177,110 | |
| | | | | |
| |
| Cash and Other Assets, Less Liabilities - 3.24% | | | | 16,021,306 | |
| | | | | |
| |
| Net Assets - 100.00% | | | $ | 495,198,416 | |
| | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | Perpetual security with no stated maturity date. |
| 5 | 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. |
| 6 | Security is currently in default with regard to scheduled interest or principal payments. |
| 7 | Non-income producing security. |
| 8 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 9 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,261,333, which is 0.66% of total net assets. |
| 10 | 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. |
| 11 | Affiliated investment. |
| 12 | Represents the current yield as of March 31, 2023. |
| † | 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 approved 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.
(EMTN): Euro Medium-Term Note
(EUR): Euro
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PIK): Payment In Kind
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(USD): U.S. Dollar
| | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement
Date | | Unrealized
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 512,477 | | EUR 485,000 | | Goldman Sachs International | | 04/13/23 | | $ | (14,835) | |
USD 3,685,042 | | EUR 3,407,000 | | Citibank N.A. | | 04/13/23 | | | (19,191) | |
| | | | | | | | | | |
| | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | $ | (34,026) | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 94 |
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 61 | | | | 06/30/23 | | | $ | 12,593,641 | | | $ | 136,213 | | | $ | 136,213 | |
U.S. Treasury Five-Year Note | | | 49 | | | | 06/30/23 | | | | 5,365,883 | | | | 147,284 | | | | 147,284 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 17,959,524 | | | | 283,497 | | | | 283,497 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 111 | | | | 06/21/23 | | | | (13,446,609) | | | | (322,789) | | | | (322,789) | |
Euro-Bobl Future | | | 28 | | | | 06/08/23 | | | | (3,585,980) | | | | (87,208) | | | | (87,208) | |
Euro-Bund Future | | | 4 | | | | 06/08/23 | | | | (590,333) | | | | (21,406) | | | | (21,406) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (17,622,922) | | | | (431,403) | | | | (431,403) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 336,602 | | | $ | (147,906) | | | $ | (147,906) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing Rate Paid by the Fund | | Payment
Frequency | | | Implied Credit Spread
at 03/31/231 | | Counterparty | | Expiration Date | | Notional Amount (000’s)2 | | | Value3 | | | Premiums Paid | | | Unrealized Appreciation | |
| | | | | | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4 | | | | | | | | | | | | | | | | | | | | |
| Berry Global, Inc., 5.63%, due 07/15/27 | | 5.00% | | | 3Months | | | 175 | | Credit Suisse First Boston International | | 12/20/23 | | $ | 3,995 | | | $ | 98,716 | | | $ | 88,505 | | | $ | 10,211 | |
1011778 BC ULC/New Red | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | | First Boston | | | | | | | | | | | | | | | | | | |
10/15/305 | | 5.00%3 | | | Months | | | 120 | | International | | 06/20/23 | | | 1,985 | | | | 20,044 | | | | 14,328 | | | | 5,716 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | $ | 118,760 | | | $ | 102,833 | | | $ | 15,927 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
See accompanying Notes to Financial Statements.
|
| 95 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 107.53% | |
|
| ASSET-BACKED SECURITIES — 4.90%** | |
| Academic Loan Funding Trust, | |
| Series 2012-1A, Class A2 | |
| (LIBOR USD 1-Month plus 1.10%) | |
5.95% | | 12/27/441,2 | | $ | 425,692 | | | $ | 419,135 | |
| AIG CLO Ltd., | |
| Series 2019-2A, Class BR | |
| (LIBOR USD 3-Month plus 1.60%) | |
6.42% | | 10/25/331,2 | | | 2,100,000 | | | | 2,039,520 | |
| Allegro CLO VI Ltd., | |
| Series 2017-2A, Class B | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.50%) | |
6.29% | | 01/17/311,2,3 | | | 1,750,000 | | | | 1,699,057 | |
| Brazos Higher Education Authority, Inc., | |
| Series 2010-1, Class A2 | |
| (LIBOR USD 3-Month plus 1.20%) | |
6.16% | | 02/25/351 | | | 511,778 | | | | 507,985 | |
| Brazos Higher Education Authority, Inc., | |
| Series 2011-1, Class A2 | |
| (LIBOR USD 3-Month plus 0.80%) | |
5.76% | | 02/25/301 | | | 177 | | | | 177 | |
| Brazos Higher Education Authority, Inc., | |
| Series 2011-2, Class A3 | |
| (LIBOR USD 3-Month plus 1.00%) | |
5.82% | | 10/27/361 | | | 841,968 | | | | 831,097 | |
| Cedar Funding XII CLO Ltd., | |
| Series 2020-12A, Class A1R | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.13%) | |
5.95% | | 10/25/341,2,3 | | | 2,000,000 | | | | 1,943,456 | |
| CIT Education Loan Trust, | |
| Series 2007-1, Class A | |
| (LIBOR USD 3-Month plus 0.09%) | |
5.22% | | 03/25/421,2 | | | 164,792 | | | | 159,131 | |
| CoreVest American Finance Trust, | |
| Series 2019-1, Class XA (IO) | |
2.28% | | 03/15/522,4 | | | 601,642 | | | | 19,394 | |
| Dryden XXVI Senior Loan Fund, | |
| Series 2013-26A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 0.90%) | |
5.69% | | 04/15/291,2,3 | | | 1,562,856 | | | | 1,545,289 | |
| Global SC Finance II SRL, | |
| Series 2014-1A, Class A2 | |
| (Barbados) | |
3.09% | | 07/17/292,3 | | | 223,110 | | | | 215,676 | |
| Higher Education Funding I, | |
| Series 2014-1, Class A | |
| (LIBOR USD 3-Month plus 1.05%) | |
6.01% | | 05/25/341,2 | | | 39,220 | | | | 39,196 | |
| J.G. Wentworth XXX LLC, | |
| Series 2013-3A, Class A | |
4.08% | | 01/17/732 | | | 336,089 | | | | 312,977 | |
| J.G. Wentworth XXXII LLC, | |
| Series 2014-2A, Class A | |
3.61% | | 01/17/732 | | | 603,915 | | | | 540,146 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| LCM XVIII LP, | |
| Series 19A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.24%) | |
6.03% | | 07/15/271,2,3 | | $ | 6,895 | | | $ | 6,892 | |
| LCM XX LP, | |
| Series 20A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.04%) | |
5.85% | | 10/20/271,2,3 | | | 393,017 | | | | 391,969 | |
| Navient Student Loan Trust, | |
| Series 2014-1, Class A3 | |
| (LIBOR USD 1-Month plus 0.51%) | |
5.36% | | 06/25/311 | | | 445,837 | | | | 430,881 | |
| Navient Student Loan Trust, | |
| Series 2014-3, Class A | |
| (LIBOR USD 1-Month plus 0.62%) | |
5.47% | | 03/25/831 | | | 1,257,998 | | | | 1,222,415 | |
| Navient Student Loan Trust, | |
| Series 2014-4, Class A | |
| (LIBOR USD 1-Month plus 0.62%) | |
5.47% | | 03/25/831 | | | 1,128,669 | | | | 1,097,322 | |
| Navient Student Loan Trust, | |
| Series 2016-2A, Class A3 | |
| (LIBOR USD 1-Month plus 1.50%) | |
6.35% | | 06/25/651,2 | | | 1,403,501 | | | | 1,406,033 | |
| Nelnet Student Loan Trust, | |
| Series 2014-4A, Class A2 | |
| (LIBOR USD 1-Month plus 0.95%) | |
5.80% | | 11/25/481,2 | | | 1,370,000 | | | | 1,341,105 | |
| Neuberger Berman CLO XX Ltd., | |
| Series 2015-20A, Class ARR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.16%) | |
5.95% | | 07/15/341,2,3 | | | 2,140,000 | | | | 2,088,317 | |
| OCP CLO Ltd., | |
| Series 2020-19A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.15%) | |
5.96% | | 10/20/341,2,3 | | | 1,750,000 | | | | 1,704,097 | |
| Octagon Investment Partners 46 Ltd., | |
| Series 2020-2A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.16%) | |
5.95% | | 07/15/361,2,3 | | | 2,000,000 | | | | 1,948,978 | |
| Progress Residential Trust, | |
| Series 2021-SFR8, Class D | |
2.08% | | 10/17/382 | | | 1,150,000 | | | | 988,895 | |
| Recette CLO Ltd., | |
| Series 2015-1A, Class ARR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.08%) | |
5.89% | | 04/20/341,2,3 | | | 1,875,000 | | | | 1,823,100 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 96 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
|
| Regata XII Funding Ltd., | |
| Series 2019-1A, Class BR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.60%) | |
6.39% | | 10/15/321,2,3 | | $ | 2,100,000 | | | $ | 2,035,530 | |
| Rockford Tower CLO Ltd., | |
| Series 2019-2A, Class AR | |
| (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.10%) | |
6.02% | | 08/20/321,2,3 | | | 2,000,000 | | | | 1,958,734 | |
| Skyline Aircraft Finance LLC, | |
| Series 2021-1, Class A | |
3.23% | | 05/10/374,5,6 | | | 2,031,894 | | | | 1,834,181 | |
| SLC Student Loan Trust, | |
| Series 2004-1, Class B | |
| (LIBOR USD 3-Month plus 0.29%) | |
5.15% | | 08/15/311 | | | 89,168 | | | | 77,993 | |
| SLC Student Loan Trust, | |
| Series 2008-1, Class A4A | |
| (LIBOR USD 3-Month plus 1.60%) | |
6.47% | | 12/15/321 | | | 160,239 | | | | 160,356 | |
| SLM Student Loan Trust, | |
| Series 2004-2, Class B | |
| (LIBOR USD 3-Month plus 0.47%) | |
5.29% | | 07/25/391 | | | 110,871 | | | | 103,491 | |
| SLM Student Loan Trust, | |
| Series 2006-8, Class A6 | |
| (LIBOR USD 3-Month plus 0.16%) | |
4.98% | | 01/25/411 | | | 779,994 | | | | 742,022 | |
| SLM Student Loan Trust, | |
| Series 2008-2, Class B | |
| (LIBOR USD 3-Month plus 1.20%) | |
6.02% | | 01/25/831 | | | 185,000 | | | | 163,389 | |
| SLM Student Loan Trust, | |
| Series 2008-3, Class B | |
| (LIBOR USD 3-Month plus 1.20%) | |
6.02% | | 04/26/831 | | | 185,000 | | | | 172,091 | |
| SLM Student Loan Trust, | |
| Series 2008-4, Class B | |
| (LIBOR USD 3-Month plus 1.85%) | |
6.67% | | 04/25/731 | | | 185,000 | | | | 177,617 | |
| SLM Student Loan Trust, | |
| Series 2008-5, Class B | |
| (LIBOR USD 3-Month plus 1.85%) | |
6.67% | | 07/25/731 | | | 2,235,000 | | | | 2,089,491 | |
| SLM Student Loan Trust, | |
| Series 2008-6, Class A4 | |
| (LIBOR USD 3-Month plus 1.10%) | |
5.92% | | 07/25/231 | | | 1,401,393 | | | | 1,365,072 | |
| SLM Student Loan Trust, | |
| Series 2008-6, Class B | |
| (LIBOR USD 3-Month plus 1.85%) | |
6.67% | | 07/26/831 | | | 185,000 | | | | 171,685 | |
| SLM Student Loan Trust, | |
| Series 2008-7, Class B | |
| (LIBOR USD 3-Month plus 1.85%) | |
6.67% | | 07/26/831 | | | 185,000 | | | | 171,793 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, | |
| Series 2008-8, Class B | |
| (LIBOR USD 3-Month plus 2.25%) | |
7.07% | | | 10/25/751 | | | $ | 185,000 | | | $ | 180,271 | |
| SLM Student Loan Trust, | |
| Series 2008-9, Class A | |
| (LIBOR USD 3-Month plus 1.50%) | |
6.32% | | | 04/25/231 | | | | 467,563 | | | | 465,077 | |
| SLM Student Loan Trust, | |
| Series 2008-9, Class B | |
| (LIBOR USD 3-Month plus 2.25%) | |
7.07% | | | 10/25/831 | | | | 1,885,000 | | | | 1,861,295 | |
| SLM Student Loan Trust, | |
| Series 2009-3, Class A | |
| (LIBOR USD 1-Month plus 0.75%) | |
5.60% | | | 01/25/451,2 | | | | 2,127,744 | | | | 2,044,225 | |
| SLM Student Loan Trust, | |
| Series 2011-2, Class A2 | |
| (LIBOR USD 1-Month plus 1.20%) | |
6.05% | | | 10/25/341 | | | | 344,108 | | | | 344,120 | |
| SLM Student Loan Trust, | |
| Series 2012-7, Class A3 | |
| (LIBOR USD 1-Month plus 0.65%) | |
5.50% | | | 05/26/261 | | | | 484,194 | | | | 465,259 | |
| Structured Receivables Finance LLC, | |
| Series 2010-A, Class B | |
7.61% | | | 01/16/462 | | | | 412,482 | | | | 416,385 | |
| Student Loan Consolidation Center Student Loan Trust I, | |
| Series 2002-2, Class B2 | |
| (28 Day Auction Rate plus 0.00%) | |
1.61% | | | 07/01/421,2 | | | | 500,000 | | | | 461,927 | |
| Velocity Commercial Capital Loan Trust, | |
| Series 2019-1, Class A | |
3.76% | | | 03/25/492,4 | | | | 1,899,431 | | | | 1,785,569 | |
| | | | | |
|
| Total Asset-Backed Securities | |
(Cost $45,813,582) | | | | | | | | | | | 43,969,813 | |
| | | | | |
|
| BANK LOANS — 1.09%* | |
|
| Automotive — 0.02% | |
| Clarios Global LP, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.09% | | | 04/30/261 | | | | 169,042 | | | | 168,478 | |
| | | | | |
|
| Communications — 0.10% | |
| CenturyLink, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.36%) | |
7.17% | | | 03/15/271 | | | | 23,955 | | | | 15,915 | |
| Charter Communications Operating LLC, | |
| Term Loan B2, 1st Lien | |
| (SOFR plus 1.75%) | |
6.46% | | | 02/01/271 | | | | 96,742 | | | | 96,001 | |
| CSC Holdings LLC, | |
| Term Loan B5, 1st Lien | |
| (LIBOR plus 2.50%) | |
7.18% | | | 04/15/271 | | | | 97,733 | | | | 86,647 | |
See accompanying Notes to Financial Statements.
|
| 97 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| Communications (continued) | |
| Frontier Communications Holdings LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.62% | | 05/01/281 | | $ | 46,643 | | | $ | 44,427 | |
| SBA Senior Finance II LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.60% | | 04/11/251 | | | 134,072 | | | | 134,163 | |
| Virgin Media Bristol LLC, | |
| Term Loan Y, 1st Lien | |
| (SOFR plus 3.35%) | |
8.11% | | 03/31/311 | | | 150,000 | | | | 148,360 | |
| Zayo Group Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.00%) | |
7.84% | | 03/09/271 | | | 400,395 | | | | 327,505 | |
| (SOFR plus 4.25%) | |
9.06% | | 03/09/271 | | | 63,313 | | | | 50,397 | |
| | | | | | | | | | | | |
| | | | 903,415 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 0.03% | |
| Naked Juice, LLC, | |
| Term Loan, 1st Lien (Luxembourg) | |
| (SOFR plus 3.35%) | |
8.09% | | 01/24/291,3 | | | 88,692 | | | | 78,603 | |
| Term Loan, 2nd Lien | |
| (SOFR plus 6.00%) | |
11.00% | | 01/24/301 | | | 11,129 | | | | 8,533 | |
| Osmosis Buyer Ltd., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.75%) | |
8.48% | | 07/31/281 | | | 72,187 | | | | 69,886 | |
| Sunshine Luxembourg VII SARL, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.91% | | 10/01/261 | | | 84,498 | | | | 83,818 | |
| | | | | | | | | | | | |
| | | | 240,840 | |
| | | | | | | | | | | | |
|
| Entertainment — 0.10% | |
| Alpha Topco Ltd. - Delta 2 (Lux) Sarl, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.25%) | |
8.05% | | 01/15/301 | | | 11,946 | | | | 11,966 | |
| Crown Finance U.S., Inc., | |
| Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
| (SOFR plus 10.10%) | |
14.66% - 14.80% | | 09/07/231,3 | | | 255,382 | | | | 259,416 | |
| Elanco Animal Health, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.41% | | 08/01/271 | | | 619,771 | | | | 607,323 | |
| William Morris Endeavor Entertainment LLC, | |
| Term Loan B1, 1st Lien | |
| (LIBOR plus 2.75%) | |
7.60% | | 05/16/251 | | | 19,930 | | | | 19,797 | |
| | | | | | | | | | | | |
| | | | 898,502 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| BANK LOANS (continued) | |
| Finance — 0.06% | |
| Deerfield Dakota Holding LLC, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.75%) | |
8.46% | | 04/09/271 | | $ | 129,858 | | | $ | 126,071 | |
| Mozart Borrower, LP, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.09% | | 10/23/281 | | | 99,000 | | | | 96,657 | |
| Setanta Aircraft Leasing DAC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 2.00%) | |
7.16% | | 11/06/281 | | | 275,000 | | | | 275,309 | |
| | | | | | | | | | | | |
| | | | 498,037 | |
| | | | | | | | | | | | |
|
| Food — 0.02% | |
| Froneri U.S., Inc., | |
| Term Loan B2, 1st Lien | |
| (LIBOR plus 2.25%) | |
7.41% | | 01/29/271 | | | 41,708 | | | | 41,215 | |
| Hostess Brands LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 2.25%) | |
7.08% | | 08/03/251 | | | 151,919 | | | | 152,195 | |
| | | | | | | | | | | | |
| | | | 193,410 | |
| | | | | | | | | | | | |
|
| Gaming — 0.05% | |
| Golden Nugget, LLC, | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.00%) | |
8.81% | | 01/26/291 | | | 59,957 | | | | 59,167 | |
| Penn National Gaming, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.85%) | |
7.66% | | 05/03/291 | | | 47,124 | | | | 47,086 | |
| Scientific Games International, Inc., | |
| Term Loan B, 1st Lien (Canada) | |
| (SOFR plus 3.10%) | |
7.96% | | 04/13/291,3 | | | 316,856 | | | | 314,940 | |
| | | | | | | | | | | | |
| | | | 421,193 | |
| | | | | | | | | | | | |
|
| Health Care — 0.10% | |
| Avantor Funding, Inc., | |
| Term Loan B5, 1st Lien | |
| (LIBOR plus 2.25%) | |
6.98% | | 11/08/271 | | | 217,132 | | | | 217,251 | |
| Avolon TLB Borrower 1 U.S. LLC, | |
| Term Loan B3, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.51% | | 01/15/251 | | | 52,744 | | | | 52,832 | |
| Bausch & Lomb Corp., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.25%) | |
8.36% | | 05/10/271 | | | 90,544 | | | | 88,155 | |
| Jazz Financing Lux SARL, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.34% | | 05/05/281 | | | 366,540 | | | | 365,585 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 98 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| Health Care (continued) | |
| Peraton Corp., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.49% | | 02/01/281 | | $ | 184,722 | | | $ | 182,798 | |
| | | | | | | | | | | | |
| | | | 906,621 | |
| | | | | | | | | | | | |
|
| Industrials — 0.16% | |
| ASP Blade Holdings, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.94% | | 10/16/281 | | | 49,881 | | | | 41,817 | |
| AZZ, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.35%) | |
9.06% | | 05/14/291 | | | 19,114 | | | | 19,133 | |
| Berry Global, Inc., | |
| Term Loan Z, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.51% | | 07/01/261 | | | 896,675 | | | | 894,716 | |
| DIRECTV Financing LLC, | |
| Term Loan, 1st Lien | |
| (LIBOR plus 5.00%) | |
9.84% | | 08/02/271 | | | 310,791 | | | | 299,807 | |
| II-VI, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.86%) | |
7.38% - 7.67% | | 07/02/291 | | | 34,092 | | | | 33,837 | |
| Transdigm, Inc., | |
| Term Loan I, 1st Lien | |
| (SOFR plus 3.25%) | |
8.15% | | 08/24/281 | | | 185,511 | | | | 185,233 | |
| | | | | | | | | | | | |
| | | | 1,474,543 | |
| | | | | | | | | | | | |
|
| Information Technology — 0.25% | |
| Arches Buyer, Inc., | |
| Term Loan, 1st Lien | |
| (SOFR plus 3.25%) | |
8.06% | | 12/06/271 | | | 52,209 | | | | 49,321 | |
| AthenaHealth Group, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 3.50%) | |
8.25% | | 02/15/291,3,7 | | | 34,265 | | | | 32,167 | |
| Central Parent, Inc., | |
| Term Loan, 1st Lien (Canada) | |
| (SOFR plus 4.25%) | |
9.14% - 9.18% | | 07/06/291,3 | | | 227,064 | | | | 226,715 | |
| Entegris, Inc., | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.75%) | |
7.37% - 7.64% | | 07/06/291 | | | 46,695 | | | | 46,229 | |
| Gainwell Acquisition Corp., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.86% | | 10/01/271 | | | 197,975 | | | | 189,561 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| Information Technology (continued) | |
| NCR Corp., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 2.50%) | |
7.33% | | 08/28/261 | | $ | 197,262 | | | $ | 194,960 | |
| NortonLifeLock, Inc., | |
| Term Loan A, 1st Lien | |
| (SOFR plus 2.00%) | |
6.58% | | 09/10/271 | | | 194,403 | | | | 190,515 | |
| Term Loan B, 1st Lien | |
| (SOFR plus 2.10%) | |
6.91% | | 09/12/291 | | | 158,488 | | | | 157,120 | |
| Open Text Corp., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.30% | | 08/24/291 | | | 41,165 | | | | 41,109 | |
| Oracle Corp., | |
| Term Loan 1, 1st Lien | |
| (SOFR plus 1.60%) | |
6.46% | | 08/16/271 | | | 556,429 | | | | 553,647 | |
| Prime Security Services Borrower LLC, | |
| Term Loan B1, 1st Lien | |
| (LIBOR plus 2.75%) | |
7.52% | | 09/23/261 | | | 99,456 | | | | 99,275 | |
| Proofpoint, Inc., | |
| Term Loan B, 1st Lien (Canada) | |
| (LIBOR plus 3.25%) | |
7.99% | | 08/31/281,3 | | | 22,300 | | | | 21,847 | |
| RealPage, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.00%) | |
7.84% | | 04/24/281 | | | 41,186 | | | | 40,047 | |
| Renaissance Holding Corp., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.22% | | 03/14/301 | | | 77,266 | | | | 75,279 | |
| Sophia LP, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.66% | | 10/07/271 | | | 88,619 | | | | 87,733 | |
| Spin Holdco, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.99% | | 03/03/281 | | | 228,235 | | | | 192,532 | |
| | | | | | | | | | | | |
| | | | 2,198,057 | |
| | | | | | | | | | | | |
|
| Insurance — 0.04% | |
| Acrisure LLC, | |
| Term Loan B1, 1st Lien | |
| (LIBOR plus 3.50%) | |
8.24% | | 02/15/271 | | | 246,819 | | | | 239,517 | |
| Asurion LLC, | |
| Term Loan B8, 1st Lien | |
| (LIBOR plus 3.25%) | |
7.99% | | 12/23/261 | | | 60,506 | | | | 56,292 | |
See accompanying Notes to Financial Statements.
|
| 99 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| Insurance (continued) | |
| HUB International Ltd., | |
| Term Loan B3, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.06% | | 04/25/251 | | $ | 85,439 | | | $ | 85,348 | |
| | | | | | | | | | | | |
| | | | 381,157 | |
| | | | | | | | | | | | |
|
| Retail — 0.07% | |
| American Airlines, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 4.75%) | |
9.56% | | 04/20/281 | | | 42,088 | | | | 42,802 | |
| KFC Holding Co., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 1.75%) | |
6.51% | | 03/15/281 | | | 81,748 | | | | 81,510 | |
| Whatabrands LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.25%) | |
8.09% | | 08/03/281 | | | 469,063 | | | | 464,829 | |
| | | | | | | | | | | | |
| | | | 589,141 | |
| | | | | | | | | | | | |
|
| Services — 0.09% | |
| Amentum Government Services Holdings LLC, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.63% | | 01/29/271 | | | 284,738 | | | | 280,111 | |
| Element Materials Technology Group U.S. Holdings, Inc., | |
| Delayed-Draw Term Loan B, 1st Lien | |
| (SOFR plus 4.35%) | |
9.25% | | 06/22/291 | | | 19,638 | | | | 19,454 | |
| Term Loan B, 1st Lien | |
| (SOFR plus 4.35%) | |
9.25% | | 06/22/291 | | | 42,550 | | | | 42,151 | |
| Pre-Paid Legal Services, Inc., | |
| Term Loan, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.59% | | 12/15/281 | | | 95,786 | | | | 94,418 | |
| Safe Fleet Holdings, LLC, | |
| Term Loan, 1st Lien | |
| (SOFR plus 3.85%) | |
8.61% | | 02/23/291 | | | 27,454 | | | | 26,962 | |
| Trans Union LLC, | |
| Term Loan B6, 1st Lien (Luxembourg) | |
| (LIBOR plus 2.25%) | |
6.99% | | 12/01/281,3 | | | 194,109 | | | | 192,977 | |
| TruGreen LP, | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 4.00%) | |
8.84% | | 11/02/271 | | | 186,673 | | | | 172,848 | |
| | | | | | | | | | | | |
| | | | 828,921 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
BANK LOANS (continued) | |
| Transportation — 0.00% | |
| United Airlines, Inc., | |
| Term Loan B, 1st Lien | |
| (LIBOR plus 3.75%) | |
8.56% | | 04/21/281 | | $ | 38,955 | | | $ | 38,765 | |
| | | | | | | | | | | | |
|
| Total Bank Loans | |
| (Cost $9,763,476) | | | | 9,741,080 | |
| | | | | | | | | | | | |
|
CORPORATES — 30.06%* | |
| Banking — 6.48% | |
| Bank of America Corp. | |
1.73% | | 07/22/274 | | | 2,605,000 | | | | 2,336,664 | |
2.30% | | 07/21/324 | | | 1,420,000 | | | | 1,145,095 | |
| Bank of America Corp. | |
| (GMTN) | |
3.59% | | 07/21/284 | | | 860,000 | | | | 809,160 | |
| Bank of America Corp. | |
| (MTN) | |
1.92% | | 10/24/314 | | | 1,135,000 | | | | 907,674 | |
2.09% | | 06/14/294 | | | 2,355,000 | | | | 2,027,881 | |
2.55% | | 02/04/284 | | | 160,000 | | | | 145,854 | |
3.09% | | 10/01/254 | | | 93,000 | | | | 89,547 | |
3.82% | | 01/20/284 | | | 605,000 | | | | 578,610 | |
3.97% | | 03/05/294 | | | 1,540,000 | | | | 1,461,244 | |
| Bank of America Corp., | |
| Series N | |
1.66% | | 03/11/274 | | | 1,120,000 | | | | 1,010,500 | |
| Bank of New York Mellon Corp. (The) | |
| (MTN) | |
3.44% | | 02/07/284 | | | 2,110,000 | | | | 2,021,947 | |
| Credit Suisse Group AG | |
| (Switzerland) | |
1.31% | | 02/02/272,3,4 | | | 3,425,000 | | | | 2,911,250 | |
2.88% | | 04/02/323,4 | | | 400,000 | | | | 363,003 | |
3.09% | | 05/14/322,3,4 | | | 880,000 | | | | 708,225 | |
3.87% | | 01/12/292,3,4 | | | 145,000 | | | | 129,213 | |
4.19% | | 04/01/312,3,4 | | | 5,345,000 | | | | 4,758,653 | |
4.28% | | 01/09/282,3 | | | 1,715,000 | | | | 1,556,362 | |
6.37% | | 07/15/262,3,4 | | | 315,000 | | | | 307,205 | |
7.75% | | 03/01/293,4 | | | 525,000 | | | | 625,806 | |
| DNB Bank ASA | |
| (Norway) | |
0.86% | | 09/30/252,3,4 | | | 2,485,000 | | | | 2,320,870 | |
| HSBC Holdings PLC | |
| (United Kingdom) | |
1.59% | | 05/24/273,4 | | | 1,730,000 | | | | 1,526,550 | |
2.01% | | 09/22/283,4 | | | 2,425,000 | | | | 2,086,954 | |
2.21% | | 08/17/293,4 | | | 1,195,000 | | | | 1,007,421 | |
2.80% | | 05/24/323,4 | | | 720,000 | | | | 589,231 | |
4.76% | | 06/09/283,4 | | | 1,240,000 | | | | 1,201,347 | |
6.33% | | 03/09/443,4 | | | 150,000 | | | | 158,695 | |
| ING Groep NV | |
| (Netherlands) | |
4.02% | | 03/28/283,4 | | | 1,795,000 | | | | 1,714,385 | |
| JPMorgan Chase & Co. | |
0.97% | | 06/23/254 | | | 755,000 | | | | 715,334 | |
1.58% | | 04/22/274 | | | 1,035,000 | | | | 930,288 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 100 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Banking (continued) | |
2.07% | | 06/01/294 | | $ | 30,000 | | | $ | 25,907 | |
| Lloyds Banking Group PLC | |
| (United Kingdom) | |
4.72% | | 08/11/263,4 | | | 3,020,000 | | | | 2,955,208 | |
| Macquarie Group Ltd. | |
| (Australia) | |
1.20% | | 10/14/252,3,4 | | | 1,760,000 | | | | 1,641,102 | |
1.34% | | 01/12/272,3,4 | | | 1,660,000 | | | | 1,482,517 | |
| NatWest Group PLC | |
| (United Kingdom) | |
4.27% | | 03/22/253,4 | | | 385,000 | | | | 377,436 | |
4.52% | | 06/25/243,4 | | | 1,165,000 | | | | 1,159,486 | |
| PNC Financial Services Group, Inc. (The) | |
5.07% | | 01/24/344 | | | 590,000 | | | | 583,004 | |
| Santander UK Group Holdings PLC | |
| (United Kingdom) | |
1.09% | | 03/15/253,4 | | | 1,575,000 | | | | 1,489,368 | |
1.53% | | 08/21/263,4 | | | 155,000 | | | | 138,417 | |
1.67% | | 06/14/273,4 | | | 435,000 | | | | 379,071 | |
2.47% | | 01/11/283,4 | | | 1,245,000 | | | | 1,096,838 | |
4.80% | | 11/15/243,4 | | | 1,730,000 | | | | 1,706,445 | |
| Santander UK PLC | |
| (United Kingdom) | |
5.00% | | 11/07/232,3 | | | 330,000 | | | | 326,310 | |
| U.S. Bancorp | |
4.84% | | 02/01/344 | | | 500,000 | | | | 485,312 | |
| Wells Fargo & Co. | |
| (MTN) | |
2.16% | | 02/11/264 | | | 305,000 | | | | 287,113 | |
2.39% | | 06/02/284 | | | 5,445,000 | | | | 4,906,640 | |
3.35% | | 03/02/334 | | | 2,195,000 | | | | 1,905,389 | |
3.53% | | 03/24/284 | | | 1,140,000 | | | | 1,076,853 | |
| | | | | | | | | | | | |
| | | | 58,167,384 | |
| | | | | | | | | | | | |
|
| Communications — 2.56% | |
| AT&T, Inc. | |
2.55% | | 12/01/33 | | | 2,142,000 | | | | 1,726,558 | |
| Cable One, Inc. | |
4.00% | | 11/15/302 | | | 1,000,000 | | | | 820,000 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
2.30% | | 02/01/32 | | | 825,000 | | | | 629,273 | |
2.80% | | 04/01/31 | | | 1,825,000 | | | | 1,471,293 | |
| Cox Communications, Inc. | |
2.60% | | 06/15/312 | | | 705,000 | | | | 582,836 | |
| CSC Holdings LLC | |
4.50% | | 11/15/312 | | | 500,000 | | | | 360,065 | |
5.38% | | 02/01/282 | | | 275,000 | | | | 225,557 | |
6.50% | | 02/01/292 | | | 674,000 | | | | 560,375 | |
7.50% | | 04/01/282 | | | 90,000 | | | | 57,456 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/262,8,9 | | | 1,007,000 | | | | 56,644 | |
| Fox Corp. | |
3.50% | | 04/08/30 | | | 1,500,000 | | | | 1,372,152 | |
| Frontier Communications Holdings LLC | |
8.63% | | 03/15/312 | | | 900,000 | | | | 881,990 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Communications (continued) | |
| Global Switch Finance BV | |
| (EMTN) | |
| (Netherlands) | |
1.38% | | 10/07/303 | | $ | 925,000 | | | $ | 826,191 | |
| Intelsat Jackson Holdings SA | |
| (Luxembourg) | |
6.50% | | 03/15/302,3 | | | 2,108,000 | | | | 1,940,881 | |
| Intelsat Jackson Holdings SA, | |
| Class B | |
| (Luxembourg) | |
8.50% | | 10/15/24†,2,3,5,6,8,9 | | | 1,003,000 | | | | — | |
9.75% | | 07/15/25†,2,3,5,6,8,9 | | | 585,000 | | | | — | |
| Meta Platforms, Inc. | |
3.85% | | 08/15/32 | | | 920,000 | | | | 861,408 | |
| Netflix, Inc. | |
4.63% | | 05/15/29 | | | 720,000 | | | | 799,643 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/272 | | | 95,000 | | | | 81,225 | |
| SES GLOBAL Americas Holdings, Inc. | |
5.30% | | 03/25/442 | | | 750,000 | | | | 590,713 | |
| SES SA | |
| (Luxembourg) | |
3.60% | | 04/04/232,3 | | | 1,500,000 | | | | 1,500,000 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
| Spectrum Co. III LLC | |
4.74% | | 03/20/252 | | | 587,500 | | | | 583,262 | |
5.15% | | 03/20/282 | | | 1,785,000 | | | | 1,774,501 | |
| Tencent Holdings Ltd. | |
| (Cayman Islands) | |
2.88% | | 04/22/312,3 | | | 1,210,000 | | | | 1,050,422 | |
| T-Mobile USA, Inc. | |
2.25% | | 02/15/26 | | | 700,000 | | | | 653,334 | |
2.55% | | 02/15/31 | | | 740,000 | | | | 627,533 | |
3.75% | | 04/15/27 | | | 2,275,000 | | | | 2,188,284 | |
3.88% | | 04/15/30 | | | 800,000 | | | | 751,281 | |
| | | | | | | | | | | | |
| | | | 22,972,877 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 1.55% | |
| Anheuser-Busch InBev Worldwide, Inc. | |
4.38% | | 04/15/38 | | | 725,000 | | | | 689,121 | |
| Bacardi Ltd. | |
| (Bermuda) | |
4.45% | | 05/15/252,3 | | | 1,045,000 | | | | 1,029,585 | |
| BAT Capital Corp. | |
2.73% | | 03/25/31 | | | 555,000 | | | | 450,556 | |
3.46% | | 09/06/29 | | | 1,570,000 | | | | 1,389,275 | |
3.56% | | 08/15/27 | | | 550,000 | | | | 512,017 | |
4.39% | | 08/15/37 | | | 830,000 | | | | 677,952 | |
| BAT International Finance PLC | |
| (United Kingdom) | |
1.67% | | 03/25/263 | | | 330,000 | | | | 300,506 | |
| Constellation Brands, Inc. | |
4.65% | | 11/15/28 | | | 1,000,000 | | | | 999,777 | |
| Imperial Brands Finance PLC | |
| (United Kingdom) | |
3.13% | | 07/26/242,3 | | | 1,000,000 | | | | 968,678 | |
See accompanying Notes to Financial Statements.
|
| 101 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Consumer Discretionary (continued) | |
6.13% | | 07/27/272,3 | | $ | 385,000 | | | $ | 395,230 | |
| JDE Peet’s NV | |
| (Netherlands) | |
0.80% | | 09/24/242,3 | | | 1,650,000 | | | | 1,538,452 | |
| Reynolds American, Inc. | |
5.70% | | 08/15/35 | | | 940,000 | | | | 891,656 | |
| Triton Water Holdings, Inc. | |
6.25% | | 04/01/292 | | | 300,000 | | | | 238,788 | |
| WarnerMedia Holdings, Inc. | |
4.28% | | 03/15/322 | | | 4,320,000 | | | | 3,857,241 | |
| | | | | | | | | | | | |
| | | | 13,938,834 | |
| | | | | | | | | | | | |
|
| Diversified REITs — 0.96% | |
| American Tower Corp. | |
0.88% | | 05/21/29 | | | 515,000 | | | | 450,752 | |
1.00% | | 01/15/32 | | | 360,000 | | | | 289,404 | |
2.70% | | 04/15/31 | | | 230,000 | | | | 193,046 | |
5.65% | | 03/15/33 | | | 570,000 | | | | 587,047 | |
| CapitaLand Ascendas REIT | |
| (EMTN) | |
| (Slovenia) | |
0.75% | | 06/23/283 | | | 375,000 | | | | 323,841 | |
| Digital Dutch Finco BV | |
| (Netherlands) | |
1.25% | | 02/01/313 | | | 1,185,000 | | | | 961,264 | |
| GLP Capital LP/GLP Financing II, Inc. | |
4.00% | | 01/15/30 | | | 30,000 | | | | 26,677 | |
4.00% | | 01/15/31 | | | 200,000 | | | | 174,761 | |
5.38% | | 04/15/26 | | | 848,000 | | | | 823,751 | |
5.75% | | 06/01/28 | | | 1,465,000 | | | | 1,430,888 | |
| VICI Properties LP/VICI Note Co., Inc. | |
3.88% | | 02/15/292 | | | 1,695,000 | | | | 1,508,796 | |
4.50% | | 01/15/282 | | | 605,000 | | | | 561,045 | |
4.63% | | 06/15/252 | | | 60,000 | | | | 58,043 | |
5.75% | | 02/01/272 | | | 540,000 | | | | 532,177 | |
| Weyerhaeuser Co. | |
3.38% | | 03/09/33 | | | 810,000 | | | | 712,608 | |
| | | | | | | | | | | | |
| | | | 8,634,100 | |
| | | | | | | | | | | | |
|
| Electric — 1.92% | |
| Alliant Energy Finance, LLC | |
3.60% | | 03/01/322 | | | 1,625,000 | | | | 1,448,268 | |
| Appalachian Power Co., | |
| Series H | |
5.95% | | 05/15/33 | | | 350,000 | | | | 362,156 | |
| Appalachian Power Co., | |
| Series X | |
3.30% | | 06/01/27 | | | 410,000 | | | | 387,811 | |
| Black Hills Corp. | |
5.95% | | 03/15/28 | | | 1,765,000 | | | | 1,831,312 | |
| Duke Energy Corp. | |
2.65% | | 09/01/26 | | | 30,000 | | | | 28,083 | |
3.10% | | 06/15/28 | | | 1,030,000 | | | | 1,068,379 | |
4.30% | | 03/15/28 | | | 1,105,000 | | | | 1,085,019 | |
| EVERSOURCE ENERGY | |
4.60% | | 07/01/27 | | | 1,295,000 | | | | 1,297,294 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Electric (continued) | |
| Exelon Corp. | | | | | |
2.75% | | | 03/15/27 | | | $ | 1,325,000 | | | $ | 1,241,409 | |
| FirstEnergy Transmission LLC | | | | | |
2.87% | | | 09/15/282 | | | | 853,000 | | | | 770,591 | |
| ITC Holdings Corp. | | | | | |
4.95% | | | 09/22/272 | | | | 2,190,000 | | | | 2,206,527 | |
| Jersey Central Power & Light Co. | | | | | |
4.70% | | | 04/01/242 | | | | 995,000 | | | | 988,796 | |
| Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/252 | | | | 770,000 | | | | 735,328 | |
4.30% | | | 01/15/292 | | | | 550,000 | | | | 528,629 | |
| Pennsylvania Electric Co. | | | | | |
5.15% | | | 03/30/262 | | | | 500,000 | | | | 502,508 | |
| Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 1,405,000 | | | | 1,365,026 | |
| TenneT Holding BV | | | | | |
| (EMTN) | | | | | |
| (Netherlands) | | | | | |
4.50% | | | 10/28/343 | | | | 1,200,000 | | | | 1,401,733 | |
| | | | | | | | | | | | | | |
| | | | 17,248,869 | |
| | | | | | | | | | | | | | |
|
| Energy — 1.08% | |
| Boston Gas Co. | | | | | |
3.76% | | | 03/16/322 | | | | 2,400,000 | | | | 2,171,363 | |
| Enbridge, Inc. | | | | | |
| (Canada) | | | | | |
5.70% | | | 03/08/333 | | | | 260,000 | | | | 270,565 | |
| Energy Transfer LP | | | | | |
3.75% | | | 05/15/30 | | | | 315,000 | | | | 291,510 | |
4.95% | | | 05/15/28 | | | | 750,000 | | | | 743,649 | |
| Energy Transfer Operating LP | | | | | |
5.25% | | | 04/15/29 | | | | 1,145,000 | | | | 1,143,168 | |
| Occidental Petroleum Corp. | | | | | |
0.00% | | | 10/10/3610 | | | | 444,000 | | | | 229,770 | |
| Petroleos Mexicanos | | | | | |
| (Mexico) | | | | | |
5.95% | | | 01/28/313 | | | | 2,452,000 | | | | 1,878,360 | |
6.35% | | | 02/12/483 | | | | 125,000 | | | | 78,003 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.80% | | | 09/15/30 | | | | 525,000 | | | | 468,353 | |
| Rockies Express Pipeline LLC | | | | | |
4.80% | | | 05/15/302 | | | | 400,000 | | | | 352,000 | |
4.95% | | | 07/15/292 | | | | 1,000,000 | | | | 897,044 | |
| Sabine Pass Liquefaction LLC | | | | | |
4.50% | | | 05/15/30 | | | | 462,000 | | | | 445,869 | |
| Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | | 08/15/292 | | | | 825,000 | | | | 744,554 | |
| | | | | | | | | | | | | | |
| | | | 9,714,208 | |
| | | | | | | | | | | | | | |
|
| Finance — 5.63% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | | | | | | | | | | |
2.45% | | | 10/29/263 | | | | 2,045,000 | | | | 1,836,205 | |
3.00% | | | 10/29/283 | | | | 1,000,000 | | | | 872,815 | |
3.30% | | | 01/30/323 | | | | 285,000 | | | | 235,527 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 102 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Finance (continued) | |
| Air Lease Corp. | | | | | |
3.25% | | 03/01/25 | | $ | 820,000 | | | $ | 786,966 | |
3.25% | | 10/01/29 | | | 525,000 | | | | 460,683 | |
3.63% | | 12/01/27 | | | 355,000 | | | | 325,880 | |
| Avolon Holdings Funding Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.53% | | 11/18/272,3 | | | 1,558,000 | | | | 1,319,754 | |
2.88% | | 02/15/252,3 | | | 1,160,000 | | | | 1,087,531 | |
| Capital One Financial Corp. | | | | | |
1.34% | | 12/06/244 | | | 2,090,000 | | | | 2,016,531 | |
| Cboe Global Markets, Inc. | | | | | |
3.00% | | 03/16/32 | | | 820,000 | | | | 711,321 | |
| Citigroup, Inc. | | | | | |
2.52% | | 11/03/324 | | | 3,285,000 | | | | 2,681,884 | |
2.56% | | 05/01/324 | | | 785,000 | | | | 651,795 | |
2.57% | | 06/03/314 | | | 1,305,000 | | | | 1,101,801 | |
3.52% | | 10/27/284 | | | 1,505,000 | | | | 1,407,967 | |
| Citigroup, Inc., | | | | | |
| Series VAR | | | | | |
3.07% | | 02/24/284 | | | 405,000 | | | | 377,140 | |
| Durrah MSN 35603 | | | | | |
| (Cayman Islands) | | | | | |
1.68% | | 01/22/253 | | | 1,151,668 | | | | 1,118,975 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
0.93% | | 10/21/244 | | | 840,000 | | | | 817,532 | |
1.22% | | 12/06/23 | | | 2,090,000 | | | | 2,031,701 | |
2.38% | | 07/21/324 | | | 1,020,000 | | | | 831,770 | |
2.65% | | 10/21/324 | | | 3,160,000 | | | | 2,613,142 | |
3.75% | | 02/25/26 | | | 20,000 | | | | 19,456 | |
3.81% | | 04/23/294 | | | 2,555,000 | | | | 2,407,085 | |
| JPMorgan Chase & Co. | | | | | |
0.56% | | 02/16/254 | | | 910,000 | | | | 872,925 | |
1.04% | | 02/04/274 | | | 185,000 | | | | 165,179 | |
1.56% | | 12/10/254 | | | 2,280,000 | | | | 2,140,569 | |
1.76% | | 11/19/314 | | | 460,000 | | | | 365,392 | |
1.95% | | 02/04/324 | | | 430,000 | | | | 346,209 | |
2.74% | | 10/15/304 | | | 3,055,000 | | | | 2,669,006 | |
2.95% | | 02/24/284 | | | 425,000 | | | | 394,949 | |
3.54% | | 05/01/284 | | | 900,000 | | | | 851,821 | |
| Morgan Stanley | | | | | |
2.48% | | 09/16/364 | | | 620,000 | | | | 469,049 | |
2.63% | | 02/18/264 | | | 860,000 | | | | 816,916 | |
2.95% | | 05/07/324 | | | 415,000 | | | | 411,502 | |
| Morgan Stanley | | | | | |
| (GMTN) | | | | | |
1.51% | | 07/20/274 | | | 1,710,000 | | | | 1,518,725 | |
2.70% | | 01/22/314 | | | 1,570,000 | | | | 1,352,535 | |
| Morgan Stanley | | | | | |
| (MTN) | | | | | |
1.16% | | 10/21/254 | | | 4,790,000 | | | | 4,475,867 | |
| Nationwide Building Society | | | | | |
| (United Kingdom) | | | | | |
2.97% | | 02/16/282,3,4 | | | 700,000 | | | | 637,011 | |
4.36% | | 08/01/242,3,4 | | | 1,085,000 | | | | 1,076,100 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
| Finance (continued) | |
| ORIX Corp. | | | | | |
| (Japan) | | | | | |
5.00% | | 09/13/273 | | $ | 2,185,000 | | | $ | 2,186,093 | |
| Park Aerospace Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
5.50% | | 02/15/242,3 | | | 40,000 | | | | 39,644 | |
| Safina Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.00% | | 12/30/233 | | | 1,121,160 | | | | 1,106,492 | |
| Sandalwood 2013 LLC | | | | | |
2.90% | | 07/10/25 | | | 787,541 | | | | 770,663 | |
| TIAA FSB Holdings, Inc. | | | | | |
5.75% | | 07/02/25 | | | 1,150,000 | | | | 1,098,718 | |
| UBS Group AG | | | | | |
| (Switzerland) | | | | | |
1.36% | | 01/30/272,3,4 | | | 1,000,000 | | | | 879,053 | |
| Vonovia SE | | | | | |
| (Georgia) | | | | | |
1.00% | | 06/16/333 | | | 300,000 | | | | 204,760 | |
| | | | | | | | | | | | |
| | | | 50,562,639 | |
| | | | | | | | | | | | |
| |
| Food — 0.44% | | | | | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
| (Canada) | | | | | |
3.00% | | 02/02/292,3 | | | 1,435,000 | | | | 1,231,762 | |
| JBS USA LUX SA/JBS USA Food Co/JBS USA Finance, Inc. | | | | | |
| (Canada) | | | | | |
3.00% | | 05/15/322,3 | | | 1,185,000 | | | | 938,353 | |
| Kraft Heinz Foods Co. | | | | | |
5.00% | | 07/15/35 | | | 103,000 | | | | 102,666 | |
5.00% | | 06/04/42 | | | 245,000 | | | | 235,189 | |
| Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 925,000 | | | | 747,070 | |
5.88% | | 09/30/272 | | | 65,000 | | | | 64,646 | |
| Post Holdings, Inc. | | | | | |
5.75% | | 03/01/272 | | | 600,000 | | | | 588,000 | |
| | | | | | | | | | | | |
| | | | 3,907,686 | |
| | | | | | | | | | | | |
| |
| Health Care — 3.56% | | | | | |
| AbbVie, Inc. | | | | | |
3.60% | | 05/14/25 | | | 1,152,000 | | | | 1,130,487 | |
3.85% | | 06/15/24 | | | 1,342,000 | | | | 1,326,118 | |
| Aetna, Inc. | | | | | |
2.80% | | 06/15/23 | | | 50,000 | | | | 49,774 | |
3.50% | | 11/15/24 | | | 1,250,000 | | | | 1,220,643 | |
| Alcon Finance Corp. | | | | | |
2.75% | | 09/23/262 | | | 2,300,000 | | | | 2,157,619 | |
| Amgen, Inc. | | | | | |
3.00% | | 02/22/29 | | | 500,000 | | | | 460,164 | |
5.25% | | 03/02/33 | | | 4,240,000 | | | | 4,357,562 | |
| Bayer U.S. Finance II LLC | | | | | |
4.38% | | 12/15/282 | | | 2,914,000 | | | | 2,818,764 | |
5.50% | | 08/15/252 | | | 1,100,000 | | | | 1,092,768 | |
| Bayer U.S. Finance LLC | | | | | |
3.38% | | 10/08/242 | | | 1,020,000 | | | | 993,222 | |
See accompanying Notes to Financial Statements.
|
| 103 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
CORPORATES (continued) | |
|
| Health Care (continued) | |
| Baylor Scott & White Holdings | | | | | |
2.65% | | | 11/15/26 | | | $ | 1,530,000 | | | $ | 1,411,918 | |
| Becton Dickinson & Co. | | | | | |
3.36% | | | 06/06/24 | | | | 589,000 | | | | 578,326 | |
| Centene Corp. | | | | | |
3.00% | | | 10/15/30 | | | | 2,000,000 | | | | 1,685,962 | |
4.25% | | | 12/15/27 | | | | 445,000 | | | | 429,185 | |
| CommonSpirit Health | | | | | |
2.78% | | | 10/01/30 | | | | 1,650,000 | | | | 1,409,568 | |
| DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | | 06/01/30 | | | | 1,540,000 | | | | 1,362,156 | |
| Fresenius Finance Ireland PLC | | | | | |
| (EMTN) | | | | | |
| (Ireland) | | | | | |
0.88% | | | 10/01/31 | 3 | | | 550,000 | | | | 442,684 | |
| Grifols Escrow Issuer SA | | | | | |
| (Spain) | | | | | |
4.75% | | | 10/15/28 | 2,3 | | | 1,068,000 | | | | 876,885 | |
| HCA, Inc. | | | | | |
4.13% | | | 06/15/29 | | | | 1,145,000 | | | | 1,076,094 | |
5.25% | | | 04/15/25 | | | | 865,000 | | | | 865,002 | |
5.88% | | | 02/15/26 | | | | 2,530,000 | | | | 2,569,974 | |
5.88% | | | 02/01/29 | | | | 1,000,000 | | | | 1,021,930 | |
7.05% | | | 12/01/27 | | | | 80,000 | | | | 84,860 | |
| Humana, Inc. | | | | | |
1.35% | | | 02/03/27 | | | | 955,000 | | | | 840,438 | |
3.85% | | | 10/01/24 | | | | 860,000 | | | | 845,815 | |
Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | | 04/30/31 | 2 | | | 355,000 | | | | 315,889 | |
| Royalty Pharma PLC | | | | | |
| (United Kingdom) | | | | | |
2.20% | | | 09/02/30 | 3 | | | 675,000 | | | | 547,669 | |
| | | | | | | | | | | | | | |
| | | | 31,971,476 | |
| | | | | | | | | | | | | | |
| |
| Health Care REITs — 0.44% | | | | | |
| Healthcare Reality Holdings LP | | | | | |
3.50% | | | 08/01/26 | | | | 225,000 | | | | 210,413 | |
| Healthcare Realty Holdings LP | | | | | |
3.63% | | | 01/15/28 | | | | 911,000 | | | | 828,818 | |
3.88% | | | 05/01/25 | | | | 1,255,000 | | | | 1,212,230 | |
| Physicians Realty LP | | | | | |
3.95% | | | 01/15/28 | | | | 1,223,000 | | | | 1,149,007 | |
4.30% | | | 03/15/27 | | | | 590,000 | | | | 570,341 | |
| | | | | | | | | | | | | | |
| | | | 3,970,809 | |
| | | | | | | | | | | | | | |
| |
| Hotel & Resort REITs — 0.07% | | | | | |
| Host Hotels & Resorts LP, | | | | | |
| Series H | | | | | |
3.38% | | | 12/15/29 | | | | 758,000 | | | | 645,231 | |
| | | | | | | | | | | | | | |
| |
| Industrial REITs — 0.16% | | | | | |
| Prologis Euro Finance LLC | | | | | |
0.50% | | | 02/16/32 | | | | 625,000 | | | | 476,803 | |
0.63% | | | 09/10/31 | | | | 150,000 | | | | 117,645 | |
| Prologis Euro Finance LLC | | | | | |
| (EMTN) | | | | | |
1.00% | | | 02/08/29 | | | | 380,000 | | | | 336,939 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
CORPORATES (continued) | |
|
| Industrial REITs (continued) | |
| SELP Finance SARL | | | | | |
| (Luxembourg) | | | | | |
0.88% | | | 05/27/29 | 3 | | $ | 555,000 | | | $ | 460,118 | |
| | | | | | | | | | | | | | |
| | | | 1,391,505 | |
| | | | | | | | | | | | | | |
| |
| Industrials — 1.28% | | | | | |
| Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | | | | 1,950,000 | | | | 1,885,684 | |
| Artera Services LLC | | | | | |
9.03% | | | 12/04/25 | 2 | | | 227,000 | | | | 196,535 | |
| BAE Systems Holdings, Inc. | | | | | |
3.80% | | | 10/07/24 | 2 | | | 630,000 | | | | 621,090 | |
| Berry Global, Inc. | | | | | |
1.50% | | | 01/15/27 | 2 | | | 690,000 | | | | 670,169 | |
1.65% | | | 01/15/27 | | | | 95,000 | | | | 83,261 | |
4.88% | | | 07/15/26 | 2 | | | 1,055,000 | | | | 1,029,374 | |
| Boeing Co. (The) | | | | | |
1.43% | | | 02/04/24 | | | | 1,300,000 | | | | 1,256,767 | |
| Cellnex Finance Co. SA | | | | | |
| (EMTN) | | | | | |
| (Spain) | | | | | |
2.00% | | | 09/15/32 | 3 | | | 700,000 | | | | 591,213 | |
| Crane Holdings Co. | | | | | |
4.45% | | | 12/15/23 | | | | 1,130,000 | | | | 1,130,428 | |
| General Electric Co. | | | | | |
| (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
5.19% | | | 05/05/26 | 1 | | | 1,028,000 | | | | 1,015,467 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
5.34% | | | 08/15/36 | 1 | | | 1,115,000 | | | | 941,617 | |
| Heathrow Funding Ltd. | | | | | |
(EMTN) | | | | | | | | | | | | | | |
| (United Kingdom) | | | | | |
1.88% | | | 03/14/34 | 3 | | | 725,000 | | | | 620,923 | |
| L3Harris Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 410,000 | | | | 408,523 | |
| Rolls-Royce PLC | | | | | |
| (EMTN) | | | | | |
| (United Kingdom) | | | | | |
1.63% | | | 05/09/28 | 3 | | | 230,000 | | | | 208,251 | |
| Sydney Airport Finance Co. Pty Ltd. | | | | | |
| (Australia) | | | | | |
3.38% | | | 04/30/25 | 2,3 | | | 410,000 | | | | 396,264 | |
| TransDigm, Inc. | | | | | |
6.75% | | | 08/15/28 | 2 | | | 425,000 | | | | 429,519 | |
| | | | | | | | | | | | | | |
| | | | 11,485,085 | |
| | | | | | | | | | | | | | |
| |
| Information Technology — 0.70% | | | | | |
| Apple, Inc. | | | | | |
3.25% | | | 02/23/26 | | | | 20,000 | | | | 19,575 | |
| Broadcom, Inc. | | | | | |
2.60% | | | 02/15/33 | 2 | | | 1,017,000 | | | | 798,365 | |
| NCR Corp. | | | | | |
5.13% | | | 04/15/29 | 2 | | | 300,000 | | | | 260,707 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 104 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
|
| Information Technology (continued) | |
| Open Text Corp. | |
| (Canada) | |
6.90% | | | | 12/01/272,3 | | $ | 250,000 | | | $ | 257,813 | |
| Oracle Corp. | |
2.30% | | | | 03/25/28 | | | 1,000,000 | | | | 895,264 | |
2.88% | | | | 03/25/31 | | | 1,955,000 | | | | 1,673,662 | |
2.95% | | | | 04/01/30 | | | 1,855,000 | | | | 1,638,562 | |
| VMware, Inc. | |
1.00% | | | | 08/15/24 | | | 815,000 | | | | 768,381 | |
| | | | | | | | | | | | |
| | | | 6,312,329 | |
| | | | | | | | | | | | |
|
| Insurance — 1.40% | |
| Alliant Holdings Intermediate LLC/Alliant Holdings | |
| Co.-Issuer | |
6.75% | | | | 10/15/272 | | | 90,000 | | | | 83,813 | |
| Aon Corp. | |
4.50% | | | | 12/15/28 | | | 1,235,000 | | | | 1,217,185 | |
| Athene Global Funding | |
1.99% | | | | 08/19/282 | | | 2,555,000 | | | | 2,074,228 | |
3.21% | | | | 03/08/272 | | | 530,000 | | | | 487,707 | |
| Berkshire Hathaway Finance Corp. | |
2.88% | | | | 03/15/32 | | | 265,000 | | | | 238,848 | |
| Brown & Brown, Inc. | |
4.20% | | | | 03/17/32 | | | 1,330,000 | | | | 1,201,852 | |
| Equitable Financial Life Global Funding | |
1.30% | | | | 07/12/262 | | | 1,190,000 | | | | 1,053,623 | |
| Metropolitan Life Global Funding I | |
3.30% | | | | 03/21/292 | | | 1,200,000 | | | | 1,115,184 | |
4.30% | | | | 08/25/292 | | | 1,535,000 | | | | 1,493,731 | |
| Nationwide Mutual Insurance Co. | |
7.16% | | | | 12/15/242,4 | | | 1,212,000 | | | | 1,207,352 | |
| New York Life Global Funding | |
3.00% | | | | 01/10/282 | | | 50,000 | | | | 46,811 | |
| Trinity Acquisition PLC | |
| (United Kingdom) | |
4.40% | | | | 03/15/263 | | | 1,385,000 | | | | 1,366,270 | |
| Willis North America, Inc. | |
4.65% | | | | 06/15/27 | | | 1,025,000 | | | | 1,010,124 | |
| | | | | | | | | | | | |
| | | | 12,596,728 | |
| | | | | | | | | | | | |
|
| Materials — 0.24% | |
| International Flavors & Fragrances, Inc. | |
1.23% | | | | 10/01/252 | | | 950,000 | | | | 850,903 | |
2.30% | | | | 11/01/302 | | | 1,135,000 | | | | 911,668 | |
| Valvoline, Inc. | |
3.63% | | | | 06/15/312 | | | 500,000 | | | | 425,145 | |
| | | | | | | | | | | | |
| | | | 2,187,716 | |
| | | | | | | | | | | | |
|
| Office REITs — 0.15% | |
| Hudson Pacific Properties LP | |
3.25% | | | | 01/15/30 | | | 25,000 | | | | 16,058 | |
4.65% | | | | 04/01/29 | | | 1,065,000 | | | | 748,459 | |
| Kilroy Realty LP | |
4.25% | | | | 08/15/29 | | | 721,000 | | | | 607,993 | |
| | | | | | | | | | | | |
| | | | 1,372,510 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
CORPORATES (continued) | |
|
| Residential REITs — 0.14% | |
| American Homes 4 Rent LP | |
3.63% | | | | | 04/15/32 | | | $ | 1,030,000 | | | $ | 893,642 | |
| Invitation Homes Operating Partnership LP | |
2.00% | | | | | 08/15/31 | | | | 415,000 | | | | 319,061 | |
2.30% | | | | | 11/15/28 | | | | 69,000 | | | | 57,954 | |
| | | | | | | | | | | | | | |
| | | | 1,270,657 | |
| | | | | | | | | | | | | | |
|
| Retail — 0.33% | |
| 7-Eleven, Inc. | |
0.80% | | | | | 02/10/242 | | | | 1,565,000 | | | | 1,498,952 | |
| Alimentation Couche-Tard, Inc. | |
| (Canada) | |
3.55% | | | | | 07/26/272,3 | | | | 640,000 | | | | 603,637 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | | | | 01/15/302 | | | | 100,000 | | | | 82,303 | |
| FirstCash, Inc. | |
5.63% | | | | | 01/01/302 | | | | 415,000 | | | | 383,392 | |
| Michaels Cos., Inc. (The) | |
5.25% | | | | | 05/01/282 | | | | 405,000 | | | | 337,960 | |
| | | | | | | | | | | | | | |
| | | | 2,906,244 | |
| | | | | | | | | | | | | | |
|
| Services — 0.16% | |
| Global Payments, Inc. | |
5.30% | | | | | 08/15/29 | | | | 1,240,000 | | | | 1,226,655 | |
| Upbound Group, Inc. | |
6.38% | | | | | 02/15/292 | | | | 100,000 | | | | 84,250 | |
| WASH Multifamily Acquisition, Inc. | |
5.75% | | | | | 04/15/262 | | | | 100,000 | | | | 94,713 | |
| | | | | | | | | | | | | | |
| | | | 1,405,618 | |
| | | | | | | | | | | | | | |
|
| Specialized REITs — 0.67% | |
| Annington Funding PLC | |
(EMTN) | | | | | | | | | | | | | | |
| (United Kingdom) | |
2.31% | | | | | 10/06/323 | | | | 560,000 | | | | 508,207 | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
| (EMTN) | |
| (Luxembourg) | |
1.00% | | | | | 05/04/283 | | | | 325,000 | | | | 264,022 | |
1.63% | | | | | 04/20/303 | | | | 235,000 | | | | 178,184 | |
1.75% | | | | | 03/12/293 | | | | 215,000 | | | | 173,154 | |
| CubeSmart LP | |
2.25% | | | | | 12/15/28 | | | | 185,000 | | | | 160,224 | |
3.00% | | | | | 02/15/30 | | | | 220,000 | | | | 191,032 | |
4.38% | | | | | 02/15/29 | | | | 673,000 | | | | 643,104 | |
| Extra Space Storage LP | |
3.90% | | | | | 04/01/29 | | | | 1,650,000 | | | | 1,523,064 | |
5.70% | | | | | 04/01/28 | | | | 220,000 | | | | 221,623 | |
| Life Storage LP | |
2.20% | | | | | 10/15/30 | | | | 1,000,000 | | | | 822,666 | |
3.88% | | | | | 12/15/27 | | | | 915,000 | | | | 866,532 | |
| Public Storage | |
0.50% | | | | | 09/09/30 | | | | 575,000 | | | | 460,527 | |
| | | | | | | | | | | | | | |
| | | | 6,012,339 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 105 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | |
|
| Transportation — 0.14% | |
| Canadian Pacific Railway Co. | |
| (Canada) | |
1.35% | | | | 12/02/243 | | $ | 490,000 | | | $ | 461,965 | |
| U.S. Airways Pass-Through Trust, | |
| Series 2011-1, Class A | |
7.13% | | | | 10/22/23 | | | 349,449 | | | | 354,881 | |
| U.S. Airways Pass-Through Trust, | |
| Series 2012-1, Class A | |
5.90% | | | | 10/01/24 | | | 247,453 | | | | 245,725 | |
| U.S. Airways Pass-Through Trust, | |
| Series 2012-2, Class A | |
4.63% | | | | 06/03/25 | | | 229,709 | | | | 216,528 | |
| Union Pacific Corp. | |
2.80% | | | | 02/14/32 | | | 5,000 | | | | 4,403 | |
| | | | | | | | | | | | |
| | | | 1,283,502 | |
| | | | | | | | | | | | |
| |
| Total Corporates | | | | | |
| (Cost $283,273,714) | | | | 269,958,346 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 24.04%** | | | | | |
|
| Non-Agency Commercial Mortgage-Backed — 2.86% | |
| Arbor Realty Commercial Real Estate Notes Ltd., | |
| Series 2021-FL2, Class A | |
| (Cayman Islands) | |
| (LIBOR USD 1-Month plus 1.10%) | |
5.78% | | | | 05/15/361,2,3 | | | 1,688,000 | | | | 1,660,166 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
| Series 2018-PARK, Class A | |
4.09% | | | | 08/10/382,4 | | | 1,095,000 | | | | 983,832 | |
| BX Commercial Mortgage Trust, | |
| Series 2019-XL, Class A | |
| (CME Term SOFR 1-Month plus 1.03%) | |
5.86% | | | | 10/15/361,2 | | | 1,998,310 | | | | 1,976,231 | |
| BX Trust, | |
| Series 2019-OC11, Class A | |
3.20% | | | | 12/09/412 | | | 375,000 | | | | 321,221 | |
| BXSC Commercial Mortgage Trust, | |
| Series 2022-WSS, Class D | |
| (CME Term SOFR 1-Month plus 3.19%) | |
8.02% | | | | 03/15/351,2 | | | 1,550,000 | | | | 1,503,320 | |
| CALI Mortgage Trust, | |
| Series 2019-101C, Class A | |
3.96% | | | | 03/10/392 | | | 805,000 | | | | 706,308 | |
| Century Plaza Towers, | |
| Series 2019-CPT, Class A | |
2.87% | | | | 11/13/392 | | | 715,000 | | | | 578,156 | |
| Citigroup Commercial Mortgage Trust, | |
| Series 2016-GC36, Class A5 | |
3.62% | | | | 02/10/49 | | | 3,250,000 | | | | 3,087,357 | |
| Citigroup Commercial Mortgage Trust, | |
| Series 2016-GC37, Class A4 | |
3.31% | | | | 04/10/49 | | | 1,000,000 | | | | 941,896 | |
| Commercial Mortgage Trust, | |
| Series 2014-UBS2, Class XA (IO) | |
1.06% | | | | 03/10/474 | | | 17,786,972 | | | | 90,301 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Credit Suisse Mortgage Capital Trust, | |
| Series 2019-ICE4, Class E | |
| (LIBOR USD 1-Month plus 2.15%) | |
6.83% | | | | 05/15/361,2 | | $ | 1,820,471 | | | $ | 1,755,259 | |
| DC Office Trust, | |
| Series 2019-MTC, Class A | |
2.97% | | | | 09/15/452 | | | 765,000 | | | | 628,443 | |
| GPMT Ltd., | |
| Series 2021-FL4, Class AS | |
| (Cayman Islands) | |
| (LIBOR USD 1-Month plus 1.70%) | |
6.45% | | | | 12/15/361,2,3 | | | 2,380,000 | | | | 2,264,252 | |
| Hudson Yards Mortgage Trust, | |
| Series 2019-30HY, Class A | |
3.23% | | | | 07/10/392 | | | 760,000 | | | | 655,478 | |
| Hudson Yards Mortgage Trust, | |
| Series 2019-55HY, Class A | |
2.94% | | | | 12/10/412,4 | | | 765,000 | | | | 648,104 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-C29, Class XA (IO) | |
0.56% | | | | 05/15/484 | | | 20,359,188 | | | | 193,009 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2019-OSB, Class A | |
3.40% | | | | 06/05/392 | | | 740,000 | | | | 653,089 | |
| Last Mile Logistics Pan Euro Finance DAC, | |
| Series 1A, Class A | |
| (Ireland) | |
| (3 month Euribor plus 0.75%) | |
3.43% | | | | 08/17/331,2,3 | | | 2,340,318 | | | | 2,440,608 | |
| Last Mile Securities PE 2021 DAC, | |
| Series 2021-1A, Class A1 | |
| (Ireland) | |
| (3 month Euribor plus 0.90%) | |
3.58% | | | | 08/17/311,2,3 | | | 2,172,553 | | | | 2,275,931 | |
| MKT Mortgage Trust, | |
| Series 2020-525M, Class A | |
2.69% | | | | 02/12/402 | | | 520,000 | | | | 414,993 | |
| One Bryant Park Trust, | |
| Series 2019-OBP, Class A | |
2.52% | | | | 09/15/542 | | | 960,000 | | | | 791,087 | |
| RBS Commercial Funding, Inc., Trust, | |
| Series 2013-GSP, Class A | |
3.83% | | | | 01/15/322,4 | | | 560,000 | | | | 542,094 | |
| SFAVE Commercial Mortgage Securities Trust, | |
| Series 2015-5AVE, Class A2B | |
4.14% | | | | 01/05/432,4 | | | 45,000 | | | | 31,798 | |
| Wells Fargo Commercial Mortgage Trust, | |
| Series 2015-C26, Class XA (IO) | |
1.19% | | | | 02/15/484 | | | 30,775,946 | | | | 523,153 | |
| | | | | | | | | | | | |
| | | | 25,666,086 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 6.66% | | | | | |
| ACE Securities Corp. Home Equity Loan Trust, | |
| Series 2005-HE2, Class M5 | |
| (LIBOR USD 1-Month plus 1.02%) | |
5.87% | | | | 04/25/351 | | | 2,242,435 | | | | 2,179,574 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 106 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Amresco Residential Securities Corp. Mortgage Loan Trust, | | | | | |
| Series 1998-1, Class A5 (STEP-reset date 05/25/23) | | | | | |
7.40% | | 10/25/27 | | $ | 1,429 | | | $ | 1,421 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2004-HE9, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.98%) | | | | | |
5.82% | | 12/25/341 | | | 330,881 | | | | 300,581 | |
| Banc of America Funding Trust, | | | | | |
| Series 2003-2, Class 1A1 | | | | | |
6.50% | | 06/25/32 | | | 3,534 | | | | 3,507 | |
| Banc of America Funding Trust, | | | | | |
| Series 2014-R6, Class 2A11 | | | | | |
4.88% | | 07/26/362,4 | | | 1,700,000 | | | | 1,413,989 | |
| Bear Stearns ALT-A Trust, | | | | | |
| Series 2004-12, Class 1M1 | | | | | |
| (LIBOR USD 1-Month plus 0.93%) | | | | | |
5.78% | | 01/25/351 | | | 1,568,128 | | | | 1,506,288 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
| Series 2005-2A, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
5.03% | | 05/25/361,2 | | | 40,380 | | | | 34,035 | |
| CIM Trust, | | | | | |
| Series 2021-R3, Class A1A | | | | | |
1.95% | | 06/25/572,4 | | | 2,385,657 | | | | 2,093,598 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
| Series 2006-WFH1, Class M5 | | | | | |
| (LIBOR USD 1-Month plus 0.78%) | | | | | |
5.63% | | 01/25/361 | | | 1,509,678 | | | | 1,492,442 | |
| Countrywide Asset-Backed Certificates Trust, | | | | | |
| Series 2005-7, Class MV5 | | | | | |
| (LIBOR USD 1-Month plus 1.13%) | | | | | |
5.97% | | 11/25/351 | | | 4,220,000 | | | | 4,076,584 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-14, Class 4A1 | | | | | |
3.91% | | 08/25/344 | | | 52,151 | | | | 45,573 | |
| Credit Suisse Mortgage Capital Trust | | | | | |
| Series 2022-RPL3, Class A1 | | | | | |
3.68% | | 03/25/612,4 | | | 3,526,828 | | | | 3,553,279 | |
| Credit Suisse Mortgage Capital Trust, | | | | | |
| Series 2022-ATH2, Class A1 | | | | | |
4.55% | | 05/25/672,4 | | | 1,859,984 | | | | 1,802,172 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2003-CB3, Class AF1 (STEP-reset date 05/25/23) | | | | | |
3.38% | | 12/25/32 | | | 464,330 | | | | 432,218 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-CB2, Class AF4 (STEP-reset date 05/25/23) | | | | | |
3.04% | | 12/25/36 | | | 346,107 | | | | 263,008 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.06%) | | | | | |
3.40% | | 04/25/371 | | | 98,786 | | | | 68,449 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2007-CB5, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
3.40% | | 04/25/371 | | | 1,173,834 | | | | 689,033 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2022-R01, Class 1M1 | | | | | |
| (SOFR30A plus 1.00%) | | | | | |
5.56% | | 12/25/411,2 | | $ | 1,094,320 | | | $ | 1,081,338 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
| Series 2004-AA3, Class A1 | | | | | |
5.10% | | 09/25/344 | | | 36,288 | | | | 32,091 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2022-DNA2, Class M1B | | | | | |
| (SOFR30A plus 2.40%) | | | | | |
6.96% | | 02/25/421,2 | | | 2,000,000 | | | | 1,933,438 | |
| GCAT Trust, | | | | | |
| Series 2021-NQM5, Class A1 | | | | | |
1.26% | | 07/25/662,4 | | | 4,244,112 | | | | 3,360,143 | |
| GSAA Home Equity Trust, | | | | | |
| Series 2005-9, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | |
5.60% | | 08/25/351 | | | 2,158,000 | | | | 2,066,120 | |
| GSR Mortgage Loan Trust, | | | | | |
| Series 2004-9, Class 5A7 | | | | | |
3.35% | | 08/25/344 | | | 8,098 | | | | 8,011 | |
| HarborView Mortgage Loan Trust, | | | | | |
| Series 2007-7, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 2.00%) | | | | | |
5.85% | | 10/25/371 | | | 1,508,262 | | | | 1,396,324 | |
| HSI Asset Securitization Corp. Trust, | | | | | |
| Series 2005-OPT1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.63%) | | | | | |
5.48% | | 11/25/351 | | | 127,497 | | | | 124,270 | |
| IndyMac Index Mortgage Loan Trust, | | | | | |
| Series 2004-AR7, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.86%) | | | | | |
5.71% | | 09/25/341 | | | 6,860 | | | | 5,768 | |
| IndyMac Index Mortgage Loan Trust, | | | | | |
| Series 2004-AR8, Class 2A2A | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
5.65% | | 11/25/341 | | | 20,063 | | | | 17,115 | |
| IndyMac Index Mortgage Loan Trust, | | | | | |
| Series 2007-AR11, Class 1A1 | | | | | |
2.92% | | 06/25/374 | | | 470,668 | | | | 368,908 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1997-1, Class A3 | | | | | |
6.61% | | 02/25/28 | | | 23,921 | | | | 23,656 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1997-1, Class A4 | | | | | |
6.75% | | 02/25/28 | | | 6,368 | | | | 6,299 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1998-1, Class A4 | | | | | |
6.49% | | 09/25/28 | | | 40,837 | | | | 41,265 | |
| JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2006-CH1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
5.14% | | 07/25/361 | | | 810,693 | | | | 805,081 | |
See accompanying Notes to Financial Statements.
|
| 107 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| JPMorgan Mortgage Trust, | | | | | |
| Series 2007-A3, Class 3A2 | | | | | |
3.63% | | 05/25/374 | | $ | 102,093 | | | $ | 88,360 | |
| MASTR Adjustable Rate Mortgages Trust, | | | | | |
| Series 2003-6, Class 4A2 | | | | | |
3.81% | | 01/25/344 | | | 22,869 | | | | 21,397 | |
| MASTR Adjustable Rate Mortgages Trust, | | | | | |
| Series 2007-HF2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
5.47% | | 09/25/371 | | | 586,824 | | | | 566,736 | |
| MASTR Seasoned Securitization Trust, | | | | | |
| Series 2004-1, Class 4A1 | | | | | |
4.22% | | 10/25/324 | | | 4,358 | | | | 4,126 | |
| MASTR Seasoned Securitization Trust, | | | | | |
| Series 2005-1, Class 4A1 | | | | | |
4.32% | | 10/25/324 | | | 16,063 | | | | 14,866 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
| Series 2007-3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
5.21% | | 06/25/371 | | | 316,489 | | | | 287,685 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
| Series 2007-3, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 06/25/371 | | | 584,863 | | | | 528,797 | |
| Mid-State Trust XI, | | | | | |
| Series 11, Class A1 | | | | | |
4.86% | | 07/15/38 | | | 302,074 | | | | 293,211 | |
| Morgan Stanley ABS Capital I Trust, | | | | | |
| Series 2004-NC7, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.93%) | | | | | |
5.78% | | 07/25/341 | | | 112,555 | | | | 106,071 | |
| Morgan Stanley ABS Capital I, Inc., Trust, | | | | | |
| Series 2005-HE3, Class M5 | | | | | |
| (LIBOR USD 1-Month plus 1.04%) | | | | | |
5.88% | | 07/25/351 | | | 3,561,390 | | | | 3,420,570 | |
| Nationstar Home Equity Loan Trust, | | | | | |
| Series 2007-B, Class 1AV1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 04/25/371 | | | 1,009,355 | | | | 1,001,798 | |
| New Century Home Equity Loan Trust, | | | | | |
| Series 2005-1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
5.52% | | 03/25/351 | | | 1,348,482 | | | | 1,323,567 | |
| New Century Home Equity Loan Trust, | | | | | |
| Series 2005-D, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
5.29% | | 02/25/361 | | | 92,661 | | | | 92,555 | |
| New York Mortgage Trust, | | | | | |
| Series 2005-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
5.33% | | 02/25/361 | | | 309,548 | | | | 301,373 | |
| Option One Mortgage Loan Trust, | | | | | |
| Series 2005-2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.51% | | 05/25/351 | | | 12,887 | | | | 12,797 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
| PRPM LLC, | | | | | |
| Series 2020-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.95% | | 10/25/252 | | $ | 2,254,956 | | | $ | 2,203,969 | |
| PRPM LLC, | | | | | |
| Series 2021-11, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.49% | | 11/25/262 | | | 1,466,051 | | | | 1,390,904 | |
| PRPM LLC, | | | | | |
| Series 2021-6, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.79% | | 07/25/262 | | | 1,884,922 | | | | 1,745,916 | |
| PRPM LLC, | | | | | |
| Series 2022-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
5.56% | | 06/25/272 | | | 2,187,481 | | | | 2,158,054 | |
| RBSSP Resecuritization Trust, | | | | | |
| Series 2009-12, Class 17A2 | | | | | |
3.99% | | 10/25/352,4 | | | 1,044,798 | | | | 989,427 | |
| Residential Asset Mortgage Products Trust, | | | | | |
| Series 2003-SL1, Class A41 | | | | | |
8.00% | | 04/25/31 | | | 15,201 | | | | 13,562 | |
| Residential Asset Mortgage Products Trust, | | | | | |
| Series 2004-SL1, Class A7 | | | | | |
7.00% | | 11/25/31 | | | 6,109 | | | | 5,241 | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2004-IP2, Class 2A1 | | | | | |
3.53% | | 12/25/344 | | | 11,485 | | | | 9,433 | |
| Saxon Asset Securities Trust, | | | | | |
| Series 2007-1, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
5.09% | | 01/25/471 | | | 4,598,217 | | | | 4,129,255 | |
| Soundview Home Loan Trust, | | | | | |
| Series 2005-OPT4, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.69%) | | | | | |
5.54% | | 12/25/351 | | | 4,500,000 | | | | 3,663,619 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
| Series 2004-15, Class A | | | | | |
4.14% | | 10/25/344 | | | 615,603 | | | | 569,917 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2005-AR1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
5.24% | | 04/19/351 | | | 331,819 | | | | 294,171 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2005-AR8, Class A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.48%) | | | | | |
3.91% | | 02/25/361 | | | 228,723 | | | | 192,442 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2006-AR3, Class 22A1 | | | | | |
3.45% | | 05/25/364 | | | 1,777,856 | | | | 957,608 | |
| VOLT XCIX, LLC, | | | | | |
| Series 2021-NPL8, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.12% | | 04/25/512 | | | 1,262,691 | | | | 1,156,478 | |
| VOLT XCVI LLC, | | | | | |
| Series 2021-NPL5, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.12% | | 03/27/512 | | | 708,579 | | | | 668,750 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 108 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| WaMu Mortgage Pass-Through Certificates, | |
| Series 2005-AR13, Class A1A3 | |
| (LIBOR USD 1-Month plus 1.56%) | |
6.41% | | | | 10/25/451 | | $ | 384,851 | | | $ | 361,320 | |
| | | | | | | | | | | | |
| | | | 59,799,553 | |
| | | | | | | | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 0.32% | |
| Fannie Mae Pool AN2786 | |
2.76% | | | | 09/01/36 | | | 47,014 | | | | 41,325 | |
| Fannie Mae Pool BL6060 | |
2.46% | | | | 04/01/40 | | | 1,160,000 | | | | 848,701 | |
| Freddie Mac Multifamily Structured Pass-Through | |
| Certificates, | |
| Series KJ42, Class A1 | |
3.90% | | | | 07/25/29 | | | 2,033,998 | | | | 2,005,250 | |
| | | | | | | | | | | | |
| | | | 2,895,276 | |
| | | | | | | | | | | | |
|
| U.S. Agency Mortgage-Backed — 14.20% | |
| Fannie Mae Pool 253974 | |
7.00% | | | | 08/01/31 | | | 659 | | | | 675 | |
| Fannie Mae Pool 527247 | |
7.00% | | | | 09/01/26 | | | 4 | | | | 4 | |
| Fannie Mae Pool 545191 | |
7.00% | | | | 09/01/31 | | | 402 | | | | 413 | |
| Fannie Mae Pool 545646 | |
7.00% | | | | 09/01/26 | | | 3 | | | | 3 | |
| Fannie Mae Pool 549740 | |
6.50% | | | | 10/01/27 | | | 1,140 | | | | 1,177 | |
| Fannie Mae Pool 630599 | |
7.00% | | | | 05/01/32 | | | 2,039 | | | | 2,085 | |
| Fannie Mae Pool 655928 | |
7.00% | | | | 08/01/32 | | | 1,440 | | | | 1,534 | |
| Fannie Mae Pool 735207 | |
7.00% | | | | 04/01/34 | | | 625 | | | | 646 | |
| Fannie Mae Pool 735861 | |
6.50% | | | | 09/01/33 | | | 28,650 | | | | 29,223 | |
| Fannie Mae Pool 764388 | |
| (LIBOR USD 6-Month plus 1.38%) | |
3.76% | | | | 03/01/341 | | | 6,519 | | | | 6,356 | |
| Fannie Mae Pool 776708 | |
5.00% | | | | 05/01/34 | | | 62,662 | | | | 64,054 | |
| Fannie Mae Pool 844773 | |
| (LIBOR USD 12-Month plus 1.56%) | |
3.81% | | | | 12/01/351 | | | 2,736 | | | | 2,680 | |
| Fannie Mae Pool 889184 | |
5.50% | | | | 09/01/36 | | | 48,331 | | | | 49,921 | |
| Fannie Mae Pool 890221 | |
5.50% | | | | 12/01/33 | | | 68,598 | | | | 71,272 | |
| Fannie Mae Pool 939419 | |
| (LIBOR USD 12-Month plus 1.27%) | |
2.64% | | | | 05/01/371 | | | 19,614 | | | | 19,130 | |
| Fannie Mae Pool AL0209 | |
4.50% | | | | 05/01/41 | | | 190,777 | | | | 192,568 | |
| Fannie Mae Pool CA1710 | |
4.50% | | | | 05/01/48 | | | 7,987 | | | | 7,945 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool CA1711 | |
4.50% | | | | 05/01/48 | | $ | 558,634 | | | $ | 555,660 | |
| Fannie Mae Pool CA2208 | |
4.50% | | | | 08/01/48 | | | 7,348 | | | | 7,309 | |
| Fannie Mae Pool FM2318 | |
3.50% | | | | 09/01/49 | | | 932,470 | | | | 877,175 | |
| Fannie Mae Pool FS1598 | |
2.00% | | | | 04/01/52 | | | 3,106,535 | | | | 2,567,320 | |
| Fannie Mae Pool FS2646 | |
3.00% | | | | 06/01/52 | | | 3,478,507 | | | | 3,126,315 | |
| Fannie Mae Pool MA1527 | |
3.00% | | | | 08/01/33 | | | 12,802 | | | | 12,224 | |
| Fannie Mae Pool MA1561 | |
3.00% | | | | 09/01/33 | | | 719,449 | | | | 686,956 | |
| Fannie Mae Pool MA1608 | |
3.50% | | | | 10/01/33 | | | 623,038 | | | | 606,621 | |
| Fannie Mae Pool MA3427 | |
4.00% | | | | 07/01/33 | | | 6,243 | | | | 6,179 | |
| Fannie Mae Pool MA3537 | |
4.50% | | | | 12/01/48 | | | 501,424 | | | | 498,754 | |
| Fannie Mae Pool MA3811 | |
3.00% | | | | 10/01/49 | | | 423,169 | | | | 375,314 | |
| Fannie Mae Pool MA4152 | |
2.00% | | | | 10/01/40 | | | 2,415,727 | | | | 2,066,083 | |
| Fannie Mae Pool MA4333 | |
2.00% | | | | 05/01/41 | | | 669,845 | | | | 572,679 | |
| Fannie Mae Pool MA4512 | |
2.50% | | | | 01/01/52 | | | 2,150,332 | | | | 1,857,202 | |
| Fannie Mae Pool MA4548 | |
2.50% | | | | 02/01/52 | | | 2,613,932 | | | | 2,253,251 | |
| Fannie Mae REMICS, | |
| Series 1993-80, Class S | |
| (-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) | | | | | |
4.96% | | | | 05/25/231 | | | 5 | | | | 5 | |
| Fannie Mae REMICS, | |
| Series 2001-52, Class YZ | |
6.50% | | | | 10/25/31 | | | 72,833 | | | | 75,789 | |
| 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 | | | 2,157 | | | | 2,187 | |
| Fannie Mae REMICS, | |
| Series 2007-64, Class FA | |
| (LIBOR USD 1-Month plus 0.47%) | |
5.32% | | | | 07/25/371 | | | 28,241 | | | | 28,008 | |
| Fannie Mae REMICS, | |
| Series 2008-50, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
1.20% | | | | 11/25/361 | | | 517,238 | | | | 43,988 | |
| Fannie Mae REMICS, | |
| Series 2018-38, Class PA | |
3.50% | | | | 06/25/47 | | | 3,293 | | | | 3,193 | |
| Fannie Mae REMICS, | |
| Series 2018-43, Class CT | |
3.00% | | | | 06/25/48 | | | 190,632 | | | | 176,726 | |
See accompanying Notes to Financial Statements.
|
| 109 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae REMICS, | |
| Series 2018-55, Class PA | |
3.50% | | | | 01/25/47 | | $ | 24,047 | | | $ | 23,447 | |
| Fannie Mae REMICS, | |
| Series 2018-86, Class JA | |
4.00% | | | | 05/25/47 | | | 143,133 | | | | 140,250 | |
| Fannie Mae Trust, | |
| Series 2003-W6, Class 5T (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap) | | | | | |
0.55% | | | | 09/25/421 | | | 6,264,062 | | | | 103,549 | |
| Freddie Mac Gold Pool A25162 | |
5.50% | | | | 05/01/34 | | | 57,522 | | | | 59,713 | |
| Freddie Mac Gold Pool A33262 | |
5.50% | | | | 02/01/35 | | | 23,371 | | | | 24,228 | |
| Freddie Mac Gold Pool A68781 | |
5.50% | | | | 10/01/37 | | | 3,079 | | | | 3,195 | |
| Freddie Mac Gold Pool C03813 | |
3.50% | | | | 04/01/42 | | | 496,950 | | | | 476,595 | |
| Freddie Mac Gold Pool G01548 | |
7.50% | | | | 07/01/32 | | | 159,774 | | | | 171,296 | |
| Freddie Mac Gold Pool G01644 | |
5.50% | | | | 02/01/34 | | | 34,854 | | | | 36,039 | |
| Freddie Mac Gold Pool G02366 | |
6.50% | | | | 10/01/36 | | | 30,025 | | | | 32,253 | |
| Freddie Mac Gold Pool G08844 | |
5.00% | | | | 10/01/48 | | | 144,369 | | | | 146,242 | |
| Freddie Mac Gold Pool G15897 | |
2.50% | | | | 09/01/31 | | | 17,646 | | | | 16,743 | |
| Freddie Mac Gold Pool G16085 | |
2.50% | | | | 02/01/32 | | | 1,106,865 | | | | 1,046,183 | |
| Freddie Mac Gold Pool G16524 | |
3.50% | | | | 05/01/33 | | | 38,099 | | | | 37,175 | |
| Freddie Mac Gold Pool G16756 | |
3.50% | | | | 01/01/34 | | | 651,561 | | | | 635,910 | |
| Freddie Mac Gold Pool G18581 | |
2.50% | | | | 01/01/31 | | | 17,101 | | | | 16,206 | |
| Freddie Mac Pool SD7503 | |
3.50% | | | | 08/01/49 | | | 2,578,667 | | | | 2,437,097 | |
| Freddie Mac Pool SD8199 | |
2.00% | | | | 03/01/52 | | | 1,684,100 | | | | 1,391,652 | |
| Freddie Mac REMICS, | |
| Series 1602, Class SN | |
| (-4.25 X PRIME plus 46.22%, 10.09% Cap) | |
10.09% | | | | 10/15/231 | | | 616 | | | | 616 | |
| Freddie Mac REMICS, | |
| Series 2174, Class PN | |
6.00% | | | | 07/15/29 | | | 12,731 | | | | 12,949 | |
| Freddie Mac REMICS, | |
| Series 3460, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | | | | | |
1.52% | | | | 06/15/381 | | | 478,285 | | | | 41,820 | |
| Freddie Mac REMICS, | |
| Series 4030, Class HS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) | | | | | |
1.93% | | | | 04/15/421 | | | 429,235 | | | | 47,183 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
| |
| U.S. Agency Mortgage-Backed (continued) | | | | | |
| Ginnie Mae (TBA) | |
2.50% | | | | 04/20/53 | | $ | 425,000 | | | $ | 374,050 | |
2.50% | | | | 05/20/53 | | | 3,475,000 | | | | 3,062,854 | |
4.50% | | | | 04/20/53 | | | 4,425,000 | | | | 4,360,210 | |
5.00% | | | | 04/20/53 | | | 2,200,000 | | | | 2,202,922 | |
| Ginnie Mae I Pool 782810 | |
4.50% | | | | 11/15/39 | | | 345,088 | | | | 345,662 | |
| Ginnie Mae II Pool 80968 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
| 1-Year plus 1.50%) | | | | | |
2.63% | | | | 07/20/341 | | | 9,619 | | | | 9,484 | |
| Ginnie Mae II Pool MA4454 | |
5.00% | | | | 05/20/47 | | | 13,429 | | | | 13,696 | |
| Ginnie Mae II Pool MA4511 | |
4.00% | | | | 06/20/47 | | | 3,367 | | | | 3,290 | |
| Ginnie Mae II Pool MA4588 | |
4.50% | | | | 07/20/47 | | | 116,774 | | | | 117,362 | |
| Ginnie Mae II Pool MA4589 | |
5.00% | | | | 07/20/47 | | | 644,075 | | | | 660,354 | |
| Ginnie Mae II Pool MA4838 | |
4.00% | | | | 11/20/47 | | | 304,709 | | | | 297,732 | |
| Ginnie Mae II Pool MA4901 | |
4.00% | | | | 12/20/47 | | | 245,710 | | | | 240,084 | |
| Ginnie Mae II Pool MA5399 | |
4.50% | | | | 08/20/48 | | | 305,676 | | | | 305,371 | |
| Ginnie Mae II Pool MA5530 | |
5.00% | | | | 10/20/48 | | | 3,634 | | | | 3,690 | |
| Ginnie Mae II Pool MA6030 | |
3.50% | | | | 07/20/49 | | | 42,713 | | | | 39,477 | |
| Ginnie Mae II Pool MA6080 | |
3.00% | | | | 08/20/49 | | | 21,127 | | | | 18,766 | |
| Ginnie Mae II Pool MA6209 | |
3.00% | | | | 10/20/49 | | | 382,651 | | | | 339,901 | |
| Ginnie Mae, | |
| Series 2004-8, Class SE | |
| (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
5.07% | | | | 11/26/231 | | | 829 | | | | 826 | |
| UMBS (TBA) | |
2.50% | | | | 05/01/53 | | | 5,975,000 | | | | 5,156,709 | |
3.00% | | | | 05/01/53 | | | 6,575,000 | | | | 5,903,891 | |
3.50% | | | | 05/01/53 | | | 375,000 | | | | 348,578 | |
4.00% | | | | 05/01/53 | | | 11,825,000 | | | | 11,316,896 | |
4.50% | | | | 04/15/53 | | | 13,850,000 | | | | 13,569,915 | |
4.50% | | | | 05/01/53 | | | 13,275,000 | | | | 13,010,938 | |
5.00% | | | | 05/01/53 | | | 22,600,000 | | | | 22,537,320 | |
5.50% | | | | 04/01/53 | | | 19,350,000 | | | | 19,546,901 | |
| | | | | | | | | | | | |
| | | | 127,535,844 | |
| | | | | | | | | | | | |
| |
| Total Mortgage-Backed | | | | | |
| (Cost $224,165,375) | | | | 215,896,759 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.97%* | | | | | |
| |
| California — 0.08% | | | | | |
| City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G | | | | | |
2.19% | | 11/01/32 | | | 795,000 | | | | 650,342 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 110 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MUNICIPAL BONDS (continued) | | | | | |
| |
| California (continued) | | | | | |
| Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C | | | | | |
5.52% | | 07/01/27 | | $ | 50,000 | | | $ | 52,174 | |
| | | | | |
| | | | 702,516 | |
| | | | | |
| |
| Florida — 0.05% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C | | | | | |
4.06% | | 10/01/31 | | | 280,000 | | | | 268,753 | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | 10/01/31 | | | 245,000 | | | | 226,097 | |
| | | | | |
| | | | 494,850 | |
| | | | | |
| |
| Massachusetts — 0.22% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | 07/15/31 | | | 2,000,000 | | | | 1,954,664 | |
| | | | | |
| |
| Michigan — 0.08% | | | | | |
| University of Michigan Revenue Bonds, Series C | | | | | |
3.48% | | 04/01/33 | | | 750,000 | | | | 686,747 | |
| | | | | |
| |
| New York — 0.54% | | | | | |
| City of New York General Obligation, Public Improvements, Series 2 | | | | | |
1.70% | | 03/01/29 | | | 250,000 | | | | 214,865 | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
6.55% | | 11/15/31 | | | 25,000 | | | | 26,714 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | 05/01/27 | | | 1,465,000 | | | | 1,505,257 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3 | | | | | |
5.13% | | 02/01/35 | | | 718,000 | | | | 728,856 | |
5.15% | | 02/01/36 | | | 718,000 | | | | 727,434 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | 03/15/29 | | | 590,000 | | | | 510,731 | |
| New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F | | | | | |
3.03% | | 02/15/33 | | | 1,245,000 | | | | 1,079,233 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D | | | | | |
5.50% | | 03/15/30 | | | 70,000 | | | | 72,048 | |
| | | | | |
| | | | 4,865,138 | |
| | | | | |
| |
| Pennsylvania — 0.00% | | | | | |
| Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B | | | | | |
3.20% | | 11/15/27 | | | 40,000 | | | | 37,203 | |
| | | | | |
| |
| Total Municipal Bonds | | | | | |
| (Cost $9,407,453) | | | | 8,741,118 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
U.S. TREASURY SECURITIES — 46.47% | | | | | |
| |
| U.S. Treasury Bonds — 1.48% | | | | | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | 10/15/2711 | | $ | 6,431,234 | | | $ | 6,559,205 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds (WI) | | | | | |
1.13% | | 01/15/3311 | | | 6,729,078 | | | | 6,717,674 | |
| | | | | |
| | | | 13,276,879 | |
| | | | | |
| |
| U.S. Treasury Notes — 44.99% | | | | | |
| U.S. Treasury Notes | | | | | |
3.50% | | 02/15/33 | | | 35,309,000 | | | | 35,366,929 | |
3.63% | | 03/31/28 | | | 101,592,000 | | | | 101,778,517 | |
3.88% | | 03/31/25 | | | 78,920,000 | | | | 78,687,247 | |
4.00% | | 02/29/28 | | | 91,780,000 | | | | 93,457,853 | |
4.63% | | 02/28/25 | | | 52,559,000 | | | | 53,073,298 | |
4.63% | | 03/15/26 | | | 40,745,000 | | | | 41,676,087 | |
| | | | | |
| | | | 404,039,931 | |
| | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
| (Cost $413,282,014) | | | | 417,316,810 | |
| | | | | |
| |
| Total Bonds — 107.53% | | | | | |
| (Cost $985,705,614) | | | | 965,623,926 | |
| | | | | |
| | | | | | | | | | | | | | | | |
| | | |
| Issues | | | | | | Shares | | | Value |
COMMON STOCK — 0.04% | | | | | |
| |
| Communications — 0.04% | | | | | |
| Intelsat Emergence SA3,5,6 | | | | | |
| (Luxembourg) | | | | 15,249 | | | | 396,474 | |
| | | | | |
| |
| Electric — 0.00% | | | | | |
| Homer City Holdings LLC†,5,6 | | | | 8,014 | | | | — | |
| | | | | |
| |
| Total Common Stock | | | | | |
| (Cost $968,242) | | | | 396,474 | |
| | | | | |
| |
RIGHTS — 0.00% | | | | | |
| |
| Communications — 0.00% | | | | | |
| Intelsat Jackson Holdings SA, Series | | | | | |
A†,3,5,6,8 | | | | | | | | | | | | | | | | |
| (Luxembourg) | | | | 1,596 | | | | — | |
| Intelsat Jackson Holdings SA, Series | | | | | |
B†,3,5,6,8 | | | | | | | | | | | | | | | | |
| (Luxembourg) | | | | 1,596 | | | | — | |
| | | | | |
| | | | — | |
| | | | | |
| Total Rights | | | | | |
| (Cost $–) | | | | — | |
| | | | | |
| | | | | |
| | | | |
| Issues | | | | | |
| Maturity
Date |
| |
| Principal
Amount/Shares |
| | | Value | |
| |
SHORT-TERM INVESTMENTS — 4.27% | | | | | |
| |
| Money Market Funds — 1.76% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%12,13 | | | | 891,448 | | | | 891,448 | |
See accompanying Notes to Financial Statements.
|
| 111 / Annual Report March 2023 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity
Date | | | Principal
Amount/Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | | | | | |
| |
| Money Market Funds (continued) | | | | | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%12 | | | | | | | | | | | 14,906,000 | | | $ | 14,906,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 15,797,448 | |
| | | | | | | | | | | | | | | | |
|
| U.S. Agency Discount Notes — 1.66% | |
| Federal Home Loan Bank | | | | | |
4.98%14 | | | | | | | 06/21/23 | | | $ | 15,000,000 | | | | 14,846,653 | |
| | | | | | | | | | | | | | | | |
| |
| U.S. Treasury Bills — 0.85% | | | | | |
| U.S. Treasury Bills | | | | | |
4.62%14 | | | | | | | 07/20/23 | | | | 7,765,000 | | | | 7,658,539 | |
| | | | | | | | | | | | | | | | |
|
| Total Short-Term Investments | |
(Cost $38,289,492) | | | | 38,302,640 | |
| | | | | | | | | | | | | | | | |
|
| Total Investments - 111.84% | |
(Cost $1,024,963,348) | | | | 1,004,323,040 | |
| | | | | | | | | | | | | | | | |
| |
| Net unrealized appreciation on unfunded commitments - 0.00% | | | | 48 | |
| Liabilities in Excess of Other Assets - (11.84)% | | | | (106,352,259 | ) |
| | | | | | | | | | | | | | | | |
| Net Assets - 100.00% | | | $ | 897,970,829 | |
| | | | | | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 | 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 $2,230,655, which is 0.25% 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 $3,952, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% 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 March 31, 2023. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Represents the current yield as of March 31, 2023. |
| 13 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,528. |
| 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 approved 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
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
| | | | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | |
USD 15,456,835 | | | EUR 14,294,000 | | | | Citibank N.A. | | | | 04/13/23 | | | $ | (84,199) | |
USD 1,865,016 | | | EUR 1,737,000 | | | | Goldman Sachs International | | | | 04/13/23 | | | | (23,523) | |
USD 516,427 | | | GBP 423,000 | | | | Citibank N.A. | | | | 04/13/23 | | | | (6,732) | |
| | | | | | | | | | | | | | | | |
| | | | |
| NET UNREALIZED DEPRECIATION | | | | | | | | | | | | | | $ | (114,454) | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 112 |
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | |
U.S. Treasury Two-Year Note | | | 1,280 | | | | 06/30/23 | | | $ | 264,260,001 | | | $ | 3,024,183 | | | $ | 3,024,183 | |
U.S. Treasury Five-Year Note | | | 105 | | | | 06/30/23 | | | | 11,498,320 | | | | 172,687 | | | | 172,687 | |
U.S. Treasury Ten-Year Ultra Bond | | | 86 | | | | 06/21/23 | | | | 10,418,094 | | | | 330,193 | | | | 330,193 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 286,176,415 | | | | 3,527,063 | | | | 3,527,063 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Ultra Bond | | | 74 | | | | 06/21/23 | | | | (10,443,250) | | | | (443,254) | | | | (443,254) | |
Euro-Bobl Future | | | 52 | | | | 06/08/23 | | | | (6,659,678) | | | | (87,881) | | | | (87,881) | |
Euro-Bund Future | | | 36 | | | | 06/08/23 | | | | (5,313,001) | | | | (114,166) | | | | (114,166) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (22,415,929) | | | | (645,301) | | | | (645,301) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 263,760,486 | | | $ | 2,881,762 | | | $ | 2,881,762 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate Paid by
the Fund | | | Payment
Frequency | | | Implied
Credit Spread at 03/31/231 | | | Counterparty | | | Expiration
Date | | | Notional
Amount
(000’s)2 | | | Value3 | | | Premiums
Paid | | | Unrealized
Appreciation | |
| | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4 | | | | | | | | | |
1011778 BC ULC/New Red | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
10/15/305 | | | 5.00 | % | | | 3 Months | | | | 120 | | | | International | | | | 06/20/23 | | | $ | 2,070 | | | $ | 20,902 | | | $ | 14,987 | | | $ | 5,915 | |
| | | | | | | | | | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | | 5.00 | % | | | 3 Months | | | | 175 | | | | International | | | | 12/20/23 | | | | 1,155 | | | | 28,540 | | | | 25,588 | | | | 2,952 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 49,442 | | | $ | 40,575 | | | $ | 8,867 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
See accompanying Notes to Financial Statements.
|
| 113 / Annual Report March 2023 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| BONDS – 107.00% | |
ASSET-BACKED SECURITIES — 4.70%** | |
Aimco CLO, | |
Series 2015-AA, Class BR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.60%) | |
6.39% | | | 10/17/341,2,3 | | | $ | 70,000 | | | $ | 68,056 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | | 01/17/733 | | | | 30,098 | | | | 28,028 | |
Madison Park Funding XXXIX Ltd., | |
Series 2021-39A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.65%) | |
6.47% | | | 10/22/341,2,3 | | | | 70,000 | | | | 67,298 | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.16%) | |
5.95% | | | 07/15/361,2,3 | | | | 70,000 | | | | 68,214 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | 05/10/374,5,6 | | | | 35,337 | | | | 31,899 | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
6.02% | | | 01/25/831 | | | | 20,000 | | | | 17,664 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(LIBOR USD 3-Month plus 1.20%) | |
6.02% | | | 04/26/831 | | | | 20,000 | | | | 18,605 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
6.67% | | | 07/25/731 | | | | 35,000 | | | | 32,721 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(LIBOR USD 3-Month plus 1.10%) | |
5.92% | | | 07/25/231 | | | | 23,915 | | | | 23,295 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | | 07/26/831 | | | | 20,000 | | | | 18,561 | |
SLM Student Loan Trust, | | | | | | | | | | | | |
Series 2008-7, Class B | |
(LIBOR USD 3-Month plus 1.85%) | |
6.67% | | | 07/26/831 | | | | 20,000 | | | | 18,572 | |
SLM Student Loan Trust, | |
Series 2008-8, Class A4 | |
(LIBOR USD 3-Month plus 1.50%) | |
6.32% | | | 04/25/231 | | | | 14,847 | | | | 14,712 | |
SLM Student Loan Trust, | |
Series 2008-8, Class B | |
(LIBOR USD 3-Month plus 2.25%) | |
7.07% | | | 10/25/751 | | | | 30,000 | | | | 29,233 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2008-9, Class A | |
(LIBOR USD 3-Month plus 1.50%) | |
6.32% | | | 04/25/231 | | | $ | 10,959 | | | $ | 10,900 | |
SLM Student Loan Trust, | |
Series 2008-9, Class B | |
(LIBOR USD 3-Month plus 2.25%) | |
7.07% | | | 10/25/831 | | | | 15,000 | | | | 14,811 | |
Wachovia Student Loan Trust, | |
Series 2006-1, Class A6 | |
(LIBOR USD 3-Month plus 0.17%) | |
4.99% | | | 04/25/401,3 | | | | 23,862 | | | | 22,823 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $501,063) | | | | 485,392 | |
| | | | | | | | | | | | |
|
CORPORATES — 60.88%* | |
|
| Banking — 9.49% | |
Bank of America Corp. | |
1.73% | | | 07/22/275 | | | | 50,000 | | | | 44,850 | |
2.30% | | | 07/21/325 | | | | 40,000 | | | | 32,256 | |
Bank of America Corp. | |
(MTN) | | | | | | | | | | | | |
3.19% | | | 07/23/305 | | | | 155,000 | | | | 137,837 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/272,3,5 | | | | 45,000 | | | | 38,250 | |
2.59% | | | 09/11/252,3,5 | | | | 15,000 | | | | 13,941 | |
3.09% | | | 05/14/322,3,5 | | | | 25,000 | | | | 20,120 | |
4.19% | | | 04/01/312,3,5 | | | | 30,000 | | | | 26,709 | |
6.37% | | | 07/15/262,3,5 | | | | 5,000 | | | | 4,876 | |
6.54% | | | 08/12/332,3,5 | | | | 40,000 | | | | 41,000 | |
DNB Bank ASA | |
(Norway) | |
1.13% | | | 09/16/262,3,5 | | | | 15,000 | | | | 13,471 | |
Fifth Third Bancorp | |
2.55% | | | 05/05/27 | | | | 15,000 | | | | 12,939 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.21% | | | 08/17/292,5 | | | | 95,000 | | | | 80,088 | |
JPMorgan Chase & Co. | |
1.58% | | | 04/22/275 | | | | 240,000 | | | | 215,719 | |
Macquarie Group Ltd. | |
(Australia) | |
1.63% | | | 09/23/272,3,5 | | | | 45,000 | | | | 39,565 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | | 03/22/252,5 | | | | 30,000 | | | | 29,411 | |
PNC Financial Services Group, Inc. (The) | |
5.07% | | | 01/24/345 | | | | 40,000 | | | | 39,526 | |
6.04% | | | 10/28/335 | | | | 10,000 | | | | 10,558 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
2.47% | | | 01/11/282,5 | | | | 15,000 | | | | 13,215 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | | 11/07/232,3 | | | | 35,000 | | | | 34,609 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 114 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Banking (continued) | |
U.S. Bancorp | |
4.84% | | 02/01/345 | | $ | 55,000 | | | $ | 53,384 | |
Wells Fargo & Co. | |
(MTN) | |
3.35% | | 03/02/335 | | | 90,000 | | | | 78,125 | |
| | | | | | | | | | |
| | | | 980,449 | |
| | | | | | | | | | |
|
| Communications — 4.28% | |
AT&T, Inc. | |
2.55% | | 12/01/33 | | | 89,000 | | | | 71,739 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
2.30% | | 02/01/32 | | | 100,000 | | | | 76,276 | |
Comcast Corp. | |
1.95% | | 01/15/31 | | | 10,000 | | | | 8,326 | |
Discovery Communications LLC | |
3.63% | | 05/15/30 | | | 35,000 | | | | 31,129 | |
Meta Platforms, Inc. | |
3.85% | | 08/15/32 | | | 10,000 | | | | 9,363 | |
SES SA | |
(Luxembourg) | |
3.60% | | 04/04/232,3 | | | 15,000 | | | | 15,000 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | 03/20/253 | | | 37,500 | | | | 37,230 | |
5.15% | | 03/20/283 | | | 60,000 | | | | 59,647 | |
Tencent Holdings Ltd. | |
(Cayman Islands) | |
3.98% | | 04/11/292,3 | | | 30,000 | | | | 28,416 | |
T-Mobile USA, Inc. | |
2.55% | | 02/15/31 | | | 79,000 | | | | 66,993 | |
Verizon Communications, Inc. | |
2.36% | | 03/15/32 | | | 31,000 | | | | 25,463 | |
Walt Disney Co. (The) | |
7.75% | | 01/20/24 | | | 12,000 | | | | 12,244 | |
| | | | | | | | | | |
| | | | 441,826 | |
| | | | | | | | | | |
|
| Consumer Discretionary — 3.45% | |
Anheuser-Busch InBev Worldwide, Inc. | |
3.50% | | 06/01/30 | | | 30,000 | | | | 28,303 | |
Bacardi Ltd. | |
(Bermuda) | |
4.70% | | 05/15/282,3 | | | 10,000 | | | | 9,925 | |
Church & Dwight Co., Inc. | |
5.60% | | 11/15/32 | | | 35,000 | | | | 37,590 | |
Constellation Brands, Inc. | |
2.88% | | 05/01/30 | | | 30,000 | | | | 26,331 | |
Hyatt Hotels Corp. | |
1.80% | | 10/01/24 | | | 35,000 | | | | 33,138 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
4.25% | | 07/21/252,3 | | | 30,000 | | | | 29,124 | |
JDE Peet’s NV | |
(Netherlands) | |
2.25% | | 09/24/312,3 | | | 30,000 | | | | 23,706 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Consumer Discretionary (continued) | |
Kenvue, Inc. | |
4.90% | | 03/22/333 | | $ | 30,000 | | | $ | 31,014 | |
Philip Morris International, Inc. | |
5.75% | | 11/17/32 | | | 30,000 | | | | 31,507 | |
Reynolds American, Inc. | |
5.70% | | 08/15/35 | | | 50,000 | | | | 47,429 | |
WarnerMedia Holdings, Inc. | |
4.28% | | 03/15/323 | | | 65,000 | | | | 58,037 | |
| | | | | | | | | | |
| | | | 356,104 | |
| | | | | | | | | | |
|
| Diversified REITs — 2.41% | |
American Assets Trust LP | |
3.38% | | 02/01/31 | | | 25,000 | | | | 20,097 | |
American Tower Corp. | |
2.90% | | 01/15/30 | | | 15,000 | | | | 13,073 | |
5.65% | | 03/15/33 | | | 5,000 | | | | 5,150 | |
Crown Castle, Inc. | |
3.30% | | 07/01/30 | | | 25,000 | | | | 22,558 | |
Equinix, Inc. | |
3.90% | | 04/15/32 | | | 25,000 | | | | 22,760 | |
GLP Capital LP/GLP Financing II, Inc. | |
3.25% | | 01/15/32 | | | 4,000 | | | | 3,265 | |
4.00% | | 01/15/30 | | | 20,000 | | | | 17,785 | |
5.30% | | 01/15/29 | | | 20,000 | | | | 19,056 | |
LXP Industrial Trust | |
2.38% | | 10/01/31 | | | 25,000 | | | | 19,269 | |
2.70% | | 09/15/30 | | | 25,000 | | | | 20,338 | |
VICI Properties LP | |
5.13% | | 05/15/32 | | | 25,000 | | | | 23,699 | |
VICI Properties LP/VICI Note Co., Inc. | |
4.63% | | 06/15/253 | | | 50,000 | | | | 48,369 | |
Weyerhaeuser Co. | |
3.38% | | 03/09/33 | | | 15,000 | | | | 13,196 | |
| | | | | | | | | | |
| | | | 248,615 | |
| | | | | | | | | | |
|
| Electric — 4.75% | |
Alliant Energy Finance LLC | |
1.40% | | 03/15/263 | | | 50,000 | | | | 44,357 | |
Ameren Corp. | |
3.50% | | 01/15/31 | | | 75,000 | | | | 68,295 | |
American Electric Power Co., Inc. | |
5.63% | | 03/01/33 | | | 10,000 | | | | 10,373 | |
Appalachian Power Co., | |
Series X | |
3.30% | | 06/01/27 | | | 20,000 | | | | 18,918 | |
Arizona Public Service Co. | |
6.35% | | 12/15/32 | | | 20,000 | | | | 21,812 | |
Berkshire Hathaway Energy Co. | |
1.65% | | 05/15/31 | | | 25,000 | | | | 20,061 | |
Black Hills Corp. | |
4.35% | | 05/01/33 | | | 36,000 | | | | 33,178 | |
CenterPoint Energy Houston Electric LLC | |
4.95% | | 04/01/33 | | | 5,000 | | | | 5,109 | |
Duke Energy Corp. | |
2.55% | | 06/15/31 | | | 35,000 | | | | 29,298 | |
See accompanying Notes to Financial Statements.
|
| 115 / Annual Report March 2023 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Electric (continued) | |
EVERSOURCE ENERGY | |
4.60% | | 07/01/27 | | $ | 15,000 | | | $ | 15,027 | |
Exelon Corp. | |
5.30% | | 03/15/33 | | | 20,000 | | | | 20,367 | |
ITC Holdings Corp. | |
4.95% | | 09/22/273 | | | 20,000 | | | | 20,151 | |
Jersey Central Power & Light Co. | |
2.75% | | 03/01/323 | | | 35,000 | | | | 29,598 | |
Metropolitan Edison Co. | |
4.00% | | 04/15/253 | | | 25,000 | | | | 23,874 | |
Narragansett Electric Co. (The) | |
3.40% | | 04/09/303 | | | 35,000 | | | | 32,088 | |
Oklahoma Gas and Electric Co. | |
5.40% | | 01/15/33 | | | 25,000 | | | | 25,918 | |
Public Service Co. of New Mexico | |
3.85% | | 08/01/25 | | | 40,000 | | | | 38,862 | |
Southwestern Electric Power Co., | |
Series M | |
4.10% | | 09/15/28 | | | 15,000 | | | | 14,530 | |
Xcel Energy, Inc. | |
3.40% | | 06/01/30 | | | 20,000 | | | | 18,278 | |
| | | | | | | | | | |
| | | | 490,094 | |
| | | | | | | | | | |
|
| Energy — 2.86% | |
Aker BP ASA | |
(Norway) | |
3.10% | | 07/15/312,3 | | | 35,000 | | | | 29,657 | |
CenterPoint Energy Resources Corp. | |
5.40% | | 03/01/33 | | | 25,000 | | | | 25,868 | |
Enbridge, Inc. | |
(Canada) | |
5.70% | | 03/08/332 | | | 5,000 | | | | 5,203 | |
KeySpan Gas East Corp. | |
5.99% | | 03/06/333 | | | 25,000 | | | | 25,837 | |
Kinder Morgan, Inc. | |
5.30% | | 12/01/34 | | | 30,000 | | | | 29,476 | |
Petroleos Mexicanos | |
(Mexico) | |
5.95% | | 01/28/312 | | | 30,000 | | | | 22,981 | |
6.70% | | 02/16/322 | | | 13,000 | | | | 10,358 | |
Piedmont Natural Gas Co., Inc. | |
2.50% | | 03/15/31 | | | 10,000 | | | | 8,355 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | 10/15/25 | | | 30,000 | | | | 29,713 | |
Rockies Express Pipeline LLC | |
3.60% | | 05/15/253 | | | 20,000 | | | | 18,814 | |
4.95% | | 07/15/293 | | | 10,000 | | | | 8,971 | |
Sabine Pass Liquefaction LLC | |
4.50% | | 05/15/30 | | | 35,000 | | | | 33,778 | |
Southern Co. Gas Capital Corp. | |
5.15% | | 09/15/32 | | | 20,000 | | | | 20,217 | |
Southern Natural Gas Co. LLC | |
4.80% | | 03/15/473 | | | 30,000 | | | | 25,832 | |
| | | | | | | | | | |
| | | | 295,060 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Finance — 6.97% | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.00% | | 10/29/282 | | $ | 15,000 | | | $ | 13,092 | |
3.88% | | 01/23/282 | | | 16,000 | | | | 14,831 | |
Air Lease Corp. | |
3.63% | | 12/01/27 | | | 26,000 | | | | 23,867 | |
4.63% | | 10/01/28 | | | 15,000 | | | | 14,282 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/272,3 | | | 21,000 | | | | 17,789 | |
2.75% | | 02/21/282,3 | | | 10,000 | | | | 8,355 | |
4.38% | | 05/01/262,3 | | | 5,000 | | | | 4,697 | |
Cboe Global Markets, Inc. | |
3.00% | | 03/16/32 | | | 20,000 | | | | 17,349 | |
Citigroup, Inc. | |
2.52% | | 11/03/325 | | | 90,000 | | | | 73,476 | |
2.56% | | 05/01/325 | | | 50,000 | | | | 41,516 | |
3.06% | | 01/25/335 | | | 25,000 | | | | 21,269 | |
Discover Financial Services | |
6.70% | | 11/29/32 | | | 25,000 | | | | 25,864 | |
Goldman Sachs Group, Inc. (The) | |
1.54% | | 09/10/275 | | | 90,000 | | | | 79,261 | |
2.65% | | 10/21/325 | | | 50,000 | | | | 41,347 | |
Intercontinental Exchange, Inc. | |
1.85% | | 09/15/32 | | | 25,000 | | | | 19,777 | |
JPMorgan Chase & Co. | |
1.76% | | 11/19/315 | | | 100,000 | | | | 79,433 | |
Morgan Stanley | |
2.48% | | 09/16/365 | | | 5,000 | | | | 3,783 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | 07/20/275 | | | 35,000 | | | | 31,085 | |
Morgan Stanley | |
(MTN) | |
1.79% | | 02/13/325 | | | 5,000 | | | | 3,928 | |
1.93% | | 04/28/325 | | | 130,000 | | | | 103,014 | |
Nationwide Building Society | |
(United Kingdom) | |
1.50% | | 10/13/262,3 | | | 25,000 | | | | 21,856 | |
ORIX Corp. | |
(Japan) | |
4.00% | | 04/13/322 | | | 25,000 | | | | 23,033 | |
Pipeline Funding Co. LLC | |
7.50% | | 01/15/303 | | | 17,072 | | | | 17,447 | |
Raymond James Financial, Inc. | |
4.65% | | 04/01/30 | | | 20,000 | | | | 19,816 | |
| | | | | | | | | | |
| | | | 720,167 | |
| | | | | | | | | | |
|
| Food — 2.19% | |
General Mills, Inc. | |
4.95% | | 03/29/33 | | | 35,000 | | | | 35,536 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | | | | | |
Inc. | |
(Canada) | |
3.75% | | 12/01/312,3 | | | 32,000 | | | | 26,533 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 116 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Food (continued) | |
Kellogg Co. | |
5.25% | | 03/01/33 | | $ | 30,000 | | | $ | 30,804 | |
Kraft Heinz Foods Co. | |
5.00% | | 07/15/35 | | | 28,000 | | | | 27,909 | |
Mondelez International, Inc. | |
3.00% | | 03/17/32 | | | 30,000 | | | | 26,432 | |
Pilgrim’s Pride Corp. | |
3.50% | | 03/01/32 | | | 60,000 | | | | 48,459 | |
Smithfield Foods, Inc. | |
2.63% | | 09/13/313 | | | 40,000 | | | | 30,245 | |
| | | | | | | | | | |
| | | | 225,918 | |
| | | | | | | | | | |
|
| Health Care — 9.21% | |
AbbVie, Inc. | |
4.50% | | 05/14/35 | | | 30,000 | | | | 29,097 | |
Alcon Finance Corp. | |
2.75% | | 09/23/263 | | | 40,000 | | | | 37,524 | |
Amgen, Inc. | |
5.25% | | 03/02/33 | | | 50,000 | | | | 51,386 | |
Ascension Health, | |
Series B | |
2.53% | | 11/15/29 | | | 20,000 | | | | 17,609 | |
Banner Health | |
2.34% | | 01/01/30 | | | 10,000 | | | | 8,663 | |
Barnabas Health, Inc., | |
Series 2012 | |
4.00% | | 07/01/28 | | | 15,000 | | | | 14,469 | |
Baxter International, Inc. | |
3.95% | | 04/01/30 | | | 10,000 | | | | 9,330 | |
Bayer U.S. Finance II LLC | |
4.38% | | 12/15/283 | | | 45,000 | | | | 43,529 | |
Becton Dickinson & Co. | |
3.70% | | 06/06/27 | | | 20,000 | | | | 19,338 | |
Centene Corp. | |
3.00% | | 10/15/30 | | | 50,000 | | | | 42,149 | |
Cigna Group (The) | |
2.40% | | 03/15/30 | | | 35,000 | | | | 30,377 | |
5.40% | | 03/15/33 | | | 30,000 | | | | 31,168 | |
CommonSpirit Health | |
2.78% | | 10/01/30 | | | 20,000 | | | | 17,086 | |
3.35% | | 10/01/29 | | | 50,000 | | | | 45,059 | |
CVS Health Corp. | |
3.25% | | 08/15/29 | | | 50,000 | | | | 45,748 | |
5.25% | | 02/21/33 | | | 25,000 | | | | 25,485 | |
DENTSPLY SIRONA, Inc. | |
3.25% | | 06/01/30 | | | 35,000 | | | | 30,958 | |
Elanco Animal Health, Inc. | |
6.65% | | 08/28/28 | | | 15,000 | | | | 14,205 | |
Elevance Health, Inc. | |
5.50% | | 10/15/32 | | | 20,000 | | | | 21,023 | |
Fresenius Medical Care U.S. Finance III, Inc. | |
1.88% | | 12/01/263 | | | 20,000 | | | | 17,385 | |
HCA, Inc. | |
3.63% | | 03/15/323 | | | 10,000 | | | | 8,803 | |
4.13% | | 06/15/29 | | | 65,000 | | | | 61,088 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| CORPORATES (continued) | |
Health Care (continued) | |
Humana, Inc. | |
3.70% | | 03/23/29 | | $ | 10,000 | | | $ | 9,388 | |
5.88% | | 03/01/33 | | | 25,000 | | | | 26,918 | |
Illumina, Inc. | |
2.55% | | 03/23/31 | | | 25,000 | | | | 20,682 | |
5.75% | | 12/13/27 | | | 15,000 | | | | 15,378 | |
Medtronic Global Holdings SCA | |
(Luxembourg) | |
4.50% | | 03/30/332 | | | 30,000 | | | | 30,042 | |
Molina Healthcare, Inc. | |
3.88% | | 11/15/303 | | | 30,000 | | | | 26,240 | |
PerkinElmer, Inc. | |
2.55% | | 03/15/31 | | | 35,000 | | | | 28,922 | |
Premier Health Partners, | |
Series G | |
2.91% | | 11/15/26 | | | 15,000 | | | | 13,715 | |
Providence St. Joseph Health Obligated Group, | |
Series H | |
2.75% | | 10/01/26 | | | 20,000 | | | | 18,676 | |
Regeneron Pharmaceuticals, Inc. | |
1.75% | | 09/15/30 | | | 20,000 | | | | 16,172 | |
Royalty Pharma PLC | |
(United Kingdom) | |
1.75% | | 09/02/272 | | | 25,000 | | | | 21,900 | |
Smith & Nephew PLC | |
(United Kingdom) | |
2.03% | | 10/14/302 | | | 30,000 | | | | 24,346 | |
STERIS Irish FinCo UnLtd Co. | |
(Ireland) | |
2.70% | | 03/15/312 | | | 30,000 | | | | 25,179 | |
Universal Health Services, Inc. | |
1.65% | | 09/01/26 | | | 35,000 | | | | 30,730 | |
Zoetis, Inc. | |
5.60% | | 11/16/32 | | | 20,000 | | | | 21,351 | |
| | | | | | | | | | |
| | | | 951,118 | |
| | | | | | | | | | |
|
| Health Care REITs — 0.92% | |
Healthcare Reality Holdings LP | |
2.00% | | 03/15/31 | | | 50,000 | | | | 39,074 | |
3.10% | | 02/15/30 | | | 15,000 | | | | 13,003 | |
Healthcare Realty Holdings LP | |
3.88% | | 05/01/25 | | | 4,000 | | | | 3,863 | |
Physicians Realty LP | |
2.63% | | 11/01/31 | | | 5,000 | | | | 3,944 | |
4.30% | | 03/15/27 | | | 26,000 | | | | 25,134 | |
Ventas Realty LP | |
4.13% | | 01/15/26 | | | 10,000 | | | | 9,709 | |
| | | | | | | | | | |
| | | | 94,727 | |
| | | | | | | | | | |
|
| Hotel & Resort REITs — 0.25% | |
Host Hotels & Resorts LP, | |
Series I | |
3.50% | | 09/15/30 | | | 30,000 | | | | 25,424 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 117 / Annual Report March 2023 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Industrial REITs — 0.04% | |
Rexford Industrial Realty LP | |
2.13% | | 12/01/30 | | $ | 5,000 | | | $ | 4,028 | |
| | | | | | | | | | |
|
| Industrials — 1.74% | |
Amcor Finance USA, Inc. | |
3.63% | | 04/28/26 | | | 25,000 | | | | 24,176 | |
BAE Systems Holdings, Inc. | |
3.80% | | 10/07/243 | | | 15,000 | | | | 14,788 | |
3.85% | | 12/15/253 | | | 10,000 | | | | 9,704 | |
Berry Global, Inc. | |
1.57% | | 01/15/26 | | | 20,000 | | | | 18,182 | |
1.65% | | 01/15/27 | | | 20,000 | | | | 17,529 | |
Boeing Co. (The) | |
4.88% | | 05/01/25 | | | 15,000 | | | | 14,977 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
5.19% | | 05/05/261 | | | 10,000 | | | | 9,878 | |
Sealed Air Corp. | |
1.57% | | 10/15/263 | | | 30,000 | | | | 26,287 | |
Sonoco Products Co. | |
3.13% | | 05/01/30 | | | 25,000 | | | | 22,102 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.63% | | 04/28/262,3 | | | 15,000 | | | | 14,415 | |
WRKCo, Inc. | |
3.00% | | 06/15/33 | | | 10,000 | | | | 8,209 | |
| | | | | | | | | | |
| | | | 180,247 | |
| | | | | | | | | | |
|
| Information Technology — 2.10% | |
Amazon.com, Inc. | |
3.60% | | 04/13/32 | | | 10,000 | | | | 9,490 | |
Broadcom, Inc. | |
2.60% | | 02/15/333 | | | 10,000 | | | | 7,850 | |
3.42% | | 04/15/333 | | | 35,000 | | | | 29,314 | |
Fidelity National Information Services, Inc. | |
5.10% | | 07/15/32 | | | 25,000 | | | | 24,418 | |
Fiserv, Inc. | |
2.65% | | 06/01/30 | | | 20,000 | | | | 17,277 | |
Micron Technology, Inc. | |
2.70% | | 04/15/32 | | | 15,000 | | | | 12,013 | |
Netflix, Inc. | |
3.63% | | 06/15/253 | | | 20,000 | | | | 19,437 | |
Open Text Corp. | |
(Canada) | |
6.90% | | 12/01/272,3 | | | 17,000 | | | | 17,531 | |
Oracle Corp. | |
2.88% | | 03/25/31 | | | 70,000 | | | | 59,926 | |
6.25% | | 11/09/32 | | | 5,000 | | | | 5,375 | |
Take-Two Interactive Software, Inc. | |
4.00% | | 04/14/32 | | | 15,000 | | | | 13,824 | |
| | | | | | | | | | |
| | | | 216,455 | |
| | | | | | | | | | |
|
| Insurance — 4.39% | |
Aon Corp. | |
2.80% | | 05/15/30 | | | 25,000 | | | | 22,112 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Insurance (continued) | |
Aon Corp./Aon Global Holdings PLC | |
2.60% | | 12/02/31 | | $ | 10,000 | | | $ | 8,408 | |
Arthur J Gallagher & Co. | |
5.75% | | 03/02/53 | | | 40,000 | | | | 40,169 | |
Athene Global Funding | |
1.61% | | 06/29/263 | | | 5,000 | | | | 4,349 | |
(SOFR Index plus 0.70%) | |
5.46% | | 05/24/241,3 | | | 30,000 | | | | 29,729 | |
Berkshire Hathaway Finance Corp. | |
2.88% | | 03/15/32 | | | 5,000 | | | | 4,507 | |
Brown & Brown, Inc. | |
2.38% | | 03/15/31 | | | 35,000 | | | | 28,127 | |
Equitable Financial Life Global Funding | |
1.30% | | 07/12/263 | | | 25,000 | | | | 22,135 | |
Farmers Exchange Capital | |
7.05% | | 07/15/283 | | | 5,000 | | | | 5,220 | |
Farmers Insurance Exchange | |
4.75% | | 11/01/573,5 | | | 45,000 | | | | 35,307 | |
Marsh & McLennan Cos., Inc. | |
2.25% | | 11/15/30 | | | 30,000 | | | | 25,344 | |
Metropolitan Life Global Funding I | |
2.95% | | 04/09/303 | | | 15,000 | | | | 13,236 | |
MMI Capital Trust I, | |
Series B | |
7.63% | | 12/15/27 | | | 50,000 | | | | 53,289 | |
Nationwide Mutual Insurance Co. | |
7.16% | | 12/15/243,5 | | | 50,000 | | | | 49,808 | |
New York Life Insurance Co. | |
5.88% | | 05/15/333 | | | 25,000 | | | | 26,412 | |
Progressive Corp. (The) | |
3.20% | | 03/26/30 | | | 10,000 | | | | 9,207 | |
Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | 09/15/543,5 | | | 55,000 | | | | 53,609 | |
Willis North America, Inc. | |
2.95% | | 09/15/29 | | | 25,000 | | | | 22,054 | |
| | | | | | | | | | |
| | | | 453,022 | |
| | | | | | | | | | |
|
| Materials — 0.47% | |
Georgia-Pacific LLC | |
2.30% | | 04/30/303 | | | 20,000 | | | | 17,254 | |
International Flavors & Fragrances, Inc. | |
2.30% | | 11/01/303 | | | 30,000 | | | | 24,097 | |
3.27% | | 11/15/403 | | | 10,000 | | | | 7,130 | |
| | | | | | | | | | |
| | | | 48,481 | |
| | | | | | | | | | |
|
| Office REITs — 1.01% | |
Hudson Pacific Properties LP | |
3.95% | | 11/01/27 | | | 75,000 | | | | 51,545 | |
Kilroy Realty LP | |
2.50% | | 11/15/32 | | | 40,000 | | | | 25,415 | |
3.05% | | 02/15/30 | | | 5,000 | | | | 3,676 | |
Piedmont Operating Partnership LP | |
2.75% | | 04/01/32 | | | 35,000 | | | | 24,261 | |
| | | | | | | | | | |
| | | | 104,897 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 118 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
| Residential REITs — 0.92% | |
American Homes 4 Rent LP | |
2.38% | | 07/15/31 | | $ | 30,000 | | | $ | 23,943 | |
Essex Portfolio LP | |
2.65% | | 03/15/32 | | | 10,000 | | | | 8,182 | |
Invitation Homes Operating Partnership LP | |
2.30% | | 11/15/28 | | | 45,000 | | | | 37,796 | |
Mid-America Apartments LP | |
1.70% | | 02/15/31 | | | 20,000 | | | | 15,950 | |
UDR, Inc. | |
(MTN) | |
4.40% | | 01/26/29 | | | 10,000 | | | | 9,602 | |
| | | | | | | | | | |
| | | | 95,473 | |
| | | | | | | | | | |
|
| Retail — 0.47% | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
2.95% | | 01/25/302,3 | | | 35,000 | | | | 30,740 | |
Starbucks Corp. | |
2.55% | | 11/15/30 | | | 20,000 | | | | 17,406 | |
| | | | | | | | | | |
| | | | 48,146 | |
| | | | | | | | | | |
|
| Services — 0.99% | |
Global Payments, Inc. | |
5.30% | | 08/15/29 | | | 15,000 | | | | 14,838 | |
Moody’s Corp. | |
4.25% | | 08/08/32 | | | 30,000 | | | | 28,912 | |
Northwestern University | |
3.69% | | 12/01/38 | | | 20,000 | | | | 17,990 | |
RELX Capital, Inc. | |
3.00% | | 05/22/30 | | | 30,000 | | | | 26,781 | |
Republic Services, Inc. | |
2.90% | | 07/01/26 | | | 5,000 | | | | 4,776 | |
S&P Global, Inc. | |
2.90% | | 03/01/32 | | | 10,000 | | | | 8,942 | |
| | | | | | | | | | |
| | | | 102,239 | |
| | | | | | | | | | |
|
| Specialized REITs — 0.76% | |
CubeSmart LP | |
4.38% | | 02/15/29 | | | 15,000 | | | | 14,334 | |
Extra Space Storage LP | |
2.35% | | 03/15/32 | | | 10,000 | | | | 7,870 | |
3.90% | | 04/01/29 | | | 25,000 | | | | 23,077 | |
Life Storage LP | |
2.20% | | 10/15/30 | | | 40,000 | | | | 32,906 | |
| | | | | | | | | | |
| | | | 78,187 | |
| | | | | | | | | | |
|
| Transportation — 1.21% | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | 06/10/28 | | | 21,263 | | | | 18,741 | |
JetBlue Airways Pass-Through Trust, | |
Series 2019-1, Class AA | |
2.75% | | 05/15/32 | | | 28,574 | | | | 24,029 | |
Norfolk Southern Corp. | |
3.00% | | 03/15/32 | | | 15,000 | | | | 13,222 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
| Transportation (continued) | |
U.S. Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | 04/22/23 | | $ | 2,576 | | | $ | 2,576 | |
U.S. Airways Pass-Through Trust, | |
Series 2011-1, Class A | |
7.13% | | 10/22/23 | | | 14,427 | | | | 14,651 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | 10/01/24 | | | 35,633 | | | | 35,385 | |
Union Pacific Corp. | |
2.89% | | 04/06/36 | | | 20,000 | | | | 16,523 | |
| | | | | | | | | | |
| | | | 125,127 | |
| | | | | | | | | | |
|
| Total Corporates | |
(Cost $6,935,610) | | | | 6,285,804 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED — 18.98%** | |
| Non-Agency Commercial Mortgage-Backed — 2.58% | |
Citigroup Commercial Mortgage Trust, | |
Series 2013-GC15, Class XA (IO) | |
0.78% | | 09/10/465 | | | 6,932,126 | | | | 7,828 | |
Citigroup Commercial Mortgage Trust, | |
Series 2014-GC25, Class XA (IO) | |
0.94% | | 10/10/475 | | | 557,626 | | | | 5,671 | |
Commercial Mortgage Trust, | |
Series 2013-CR9, Class XA (IO) | |
0.02% | | 07/10/455 | | | 6,059,347 | | | | 61 | |
Commercial Mortgage Trust, | |
Series 2014-CR19, Class XA (IO) | |
0.93% | | 08/10/475 | | | 569,627 | | | | 5,112 | |
Commercial Mortgage Trust, | |
Series 2014-UBS2, Class XA (IO) | |
1.06% | | 03/10/475 | | | 779,624 | | | | 3,958 | |
Commercial Mortgage Trust, | |
Series 2014-UBS3, Class XA (IO) | |
1.05% | | 06/10/475 | | | 1,739,122 | | | | 12,779 | |
Commercial Mortgage Trust, | |
Series 2014-UBS5, Class XA (IO) | |
0.83% | | 09/10/474,5,6 | | | 1,984,219 | | | | 17,558 | |
CSMC Trust, | |
Series 2016-NXSR, Class XA (IO) | |
0.69% | | 12/15/495 | | | 310,497 | | | | 5,808 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class XA (IO) | |
0.35% | | 02/10/373,5 | | | 375,000 | | | | 2,113 | |
GS Mortgage Securities Trust, | |
Series 2010-C1, Class X (IO) | |
0.46% | | 08/10/433,5 | | | 2,431,568 | | | | 2,048 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class XA (IO) | |
0.00% | | 08/10/443,5 | | | 225,003 | | | | 2 | |
GS Mortgage Securities Trust, | |
Series 2013-GC14, Class XA (IO) | |
0.45% | | 08/10/465 | | | 4,000,512 | | | | 9,066 | |
See accompanying Notes to Financial Statements.
|
| 119 / Annual Report March 2023 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| Non-Agency Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Trust, | |
Series 2014-GC20, Class XA (IO) | |
1.01% | | | 04/10/475 | | | $ | 2,244,395 | | | $ | 13,062 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C22, Class XA (IO) | |
0.80% | | | 09/15/475 | | | | 1,787,841 | | | | 13,148 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C25, Class XA (IO) | |
0.81% | | | 11/15/475 | | | | 1,401,296 | | | | 13,877 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2010-C2, Class XB (IO) | |
1.45% | | | 11/15/433,5 | | | | 597,694 | | | | 7,054 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C19, Class XA (IO) | |
0.95% | | | 12/15/475 | | | | 1,760,735 | | | | 19,296 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C22, Class XA (IO) | |
1.00% | | | 04/15/485 | | | | 655,379 | | | | 8,853 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C3, Class XB (IO) | |
0.17% | | | 08/10/493,4,5,6 | | | | 304,960 | | | | 124 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class XA (IO) | |
1.07% | | | 08/15/505 | | | | 260,407 | | | | 2,035 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC18, Class XA (IO) | |
1.01% | | | 12/15/475 | | | | 4,324,674 | | | | 60,753 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-NXS2, Class XA (IO) | |
0.60% | | | 07/15/585 | | | | 2,058,713 | | | | 21,691 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C19, Class XA (IO) | |
0.96% | | | 03/15/475 | | | | 5,405,180 | | | | 27,657 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-LC14, Class XA (IO) | |
1.24% | | | 03/15/475 | | | | 1,192,067 | | | | 6,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 266,153 | |
| | | | | | | | | | | | |
|
| Non-Agency Mortgage-Backed — 3.56% | |
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-R11, Class M3 | |
(LIBOR USD 1-Month plus 0.75%) | |
5.60% | | | 01/25/361 | | | | 100,000 | | | | 94,220 | |
Banc of America Funding Trust, | |
Series 2014-R7, Class 2A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
4.99% | | | 09/26/361,3 | | | | 5,867 | | | | 5,895 | |
Bear Stearns ARM Trust, | |
Series 2004-1, Class 12A5 | |
3.92% | | | 04/25/345 | | | | 5,896 | | | | 5,299 | |
Bombardier Capital Mortgage Securitization Corp., | |
Series 2000-A, Class A2 | |
7.58% | | | 06/15/305 | | | | 19,426 | | | | 2,645 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| Non-Agency Mortgage-Backed (continued) | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | | 05/01/613,5 | | | $ | 66,070 | | | $ | 57,277 | |
CIT Mortgage Loan Trust, | |
Series 2007-1, Class 1A | |
(LIBOR USD 1-Month plus 1.35%) | |
6.20% | | | 10/25/371,3 | | | | 1,642 | | | | 1,636 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.63%) | |
5.48% | | | 02/25/351 | | | | 37,630 | | | | 34,743 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2007-13, Class 2A1 | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | | 10/25/471 | | | | 18,612 | | | | 16,783 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1 | |
4.05% | | | 09/25/355 | | | | 9,494 | | | | 8,783 | |
HSI Asset Securitization Corp. Trust, | |
Series 2007-WF1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | | 05/25/371 | | | | 8,478 | | | | 8,428 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-FLX3, Class A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | | 06/25/371 | | | | 70,478 | | | | 60,524 | |
JPMorgan Mortgage Trust, | |
Series 2005-A3, Class 2A1 | |
3.58% | | | 06/25/355 | | | | 482 | | | | 478 | |
Long Beach Mortgage Loan Trust, | |
Series 2006-1, Class 1A | |
(LIBOR USD 1-Month plus 0.44%) | |
5.29% | | | 02/25/361 | | | | 3,774 | | | | 3,642 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-5AR, Class 3A1 | |
3.93% | | | 07/25/345 | | | | 10,381 | | | | 9,529 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2A | |
(LIBOR USD 1-Month plus 0.10%) | |
4.95% | | | 05/25/471 | | | | 64,401 | | | | 46,290 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2004-AR1, Class 1A2 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.46% | | | 03/19/341 | | | | 1,383 | | | | 1,294 | |
Wells Fargo Home Equity Trust Mortgage Pass-Through | | | | | |
Certificates, | |
Series 2004-1, Class 2A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | | 04/25/341 | | | | 10,542 | | | | 10,015 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 367,481 | |
| | | | | | | | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 0.34% | |
Fannie Mae-Aces, | |
Series 2016-M2, Class X3 (IO) | |
2.05% | | | 04/25/365 | | | | 45,191 | | | | 396 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 120 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| U.S. Agency Commercial Mortgage-Backed (continued) | |
Fannie Mae-Aces, | |
Series 2016-M4, Class X2 (IO) | |
2.67% | | | 01/25/395 | | | $ | 302,162 | | | $ | 4,402 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K049, Class X3 (IO) | |
1.55% | | | 10/25/435 | | | | 250,000 | | | | 8,236 | |
Ginnie Mae, | |
Series 2012-112, Class IO (IO) | |
0.13% | | | 02/16/535 | | | | 2,123,302 | | | | 6,319 | |
Ginnie Mae, | |
Series 2013-1, Class IO (IO) | |
0.58% | | | 02/16/545 | | | | 488,603 | | | | 5,513 | |
Ginnie Mae, | |
Series 2013-125, Class IO (IO) | |
0.21% | | | 10/16/545 | | | | 788,350 | | | | 10,474 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,340 | |
| | | | | | | | | | | | |
|
| U.S. Agency Mortgage-Backed — 12.50% | |
Fannie Mae REMICS, | |
Series 2011-116, Class SA (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
1.15% | | | 11/25/411 | | | | 63,867 | | | | 5,178 | |
Fannie Mae REMICS, | |
Series 2012-128, Class UA | |
2.50% | | | 06/25/42 | | | | 18,228 | | | | 16,533 | |
Fannie Mae REMICS, | |
Series 2013-5, Class GF | |
(LIBOR USD 1-Month plus 1.10%) | |
5.00% | | | 10/25/421 | | | | 31,304 | | | | 30,313 | |
Freddie Mac Pool SD8189 | |
2.50% | | | 01/01/52 | | | | 46,100 | | | | 39,789 | |
Freddie Mac Pool SD8199 | |
2.00% | | | 03/01/52 | | | | 47,439 | | | | 39,201 | |
Freddie Mac REMICS, | |
Series 4064, Class TB | |
3.50% | | | 06/15/42 | | | | 98,618 | | | | 93,965 | |
Freddie Mac Strips, | |
Series 240, Class IO (IO) | |
5.50% | | | 07/15/36 | | | | 147,511 | | | | 32,158 | |
Ginnie Mae (TBA) | |
4.50% | | | 04/20/53 | | | | 50,000 | | | | 49,268 | |
5.00% | | | 04/20/53 | | | | 25,000 | | | | 25,033 | |
Ginnie Mae, | |
Series 2003-110, Class S (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
2.00% | | | 10/20/331 | | | | 180,600 | | | | 14,417 | |
Ginnie Mae, | |
Series 2018-124, Class NW | |
3.50% | | | 09/20/48 | | | | 22,880 | | | | 21,772 | |
Ginnie Mae, | |
Series 2018-154, Class BP | |
3.50% | | | 11/20/48 | | | | 2,366 | | | | 2,247 | |
Ginnie Mae, | |
Series 2019-15, Class GT | |
3.50% | | | 02/20/49 | | | | 19,796 | | | | 18,590 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| U.S. Agency Mortgage-Backed (continued) | |
UMBS (TBA) | |
2.50% | | | 05/01/53 | | | $ | 100,000 | | | $ | 86,305 | |
4.00% | | | 05/01/53 | | | | 150,000 | | | | 143,555 | |
4.50% | | | 04/15/53 | | | | 75,000 | | | | 73,483 | |
4.50% | | | 05/01/53 | | | | 150,000 | | | | 147,016 | |
5.00% | | | 05/01/53 | | | | 225,000 | | | | 224,376 | |
5.50% | | | 04/01/53 | | | | 225,000 | | | | 227,290 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,290,489 | |
| | | | | | | | | | | | |
|
| Total Mortgage-Backed | |
(Cost $3,265,732) | | | | 1,959,463 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS — 4.51%* | | | | | |
|
| California — 0.60% | |
| 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 | | | | 7,039 | |
| San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C | | | | | |
3.05% | | | 05/01/34 | | | | 20,000 | | | | 17,304 | |
| Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements | | | | | |
5.88% | | | 04/01/32 | | | | 20,000 | | | | 20,989 | |
| Santa Monica Community College District General Obligation Bonds | | | | | |
2.05% | | | 08/01/33 | | | | 20,000 | | | | 16,076 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 61,408 | |
| | | | | | | | | | | | |
|
| Florida — 0.13% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 15,000 | | | | 13,843 | |
| | | | | | | | | | | | |
|
| Maryland — 0.12% | |
City of Baltimore Revenue Bonds, Series B | |
2.13% | | | 07/01/33 | | | | 15,000 | | | | 11,962 | |
| | | | | | | | | | | | |
|
| Massachusetts — 0.24% | |
| Massachusetts School Building Authority Revenue Bonds, Series A | | | | | |
2.50% | | | 02/15/37 | | | | 15,000 | | | | 11,518 | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | | 10/15/32 | | | | 15,000 | | | | 13,110 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,628 | |
| | | | | | | | | | | | |
|
| Michigan — 0.22% | |
University of Michigan Revenue Bonds, Series C | |
3.44% | | | 04/01/31 | | | | 25,000 | | | | 23,125 | |
| | | | | | | | | | | | |
|
| New York — 3.20% | |
| City of New York General Obligation Bonds, Series D | | | | | |
1.92% | | | 08/01/31 | | | | 30,000 | | | | 24,582 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 4,767 | |
See accompanying Notes to Financial Statements.
|
| 121 / Annual Report March 2023 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| MUNICIPAL BONDS (continued) | |
New York (continued) | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.50% | | | 11/01/33 | | | $ | 50,000 | | | $ | 40,602 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | | 02/01/33 | | | | 100,000 | | | | 77,637 | |
| New York State Dormitory Authority Revenue Bonds, School Improvements, Series F | | | | | |
2.96% | | | 02/15/32 | | | | 25,000 | | | | 21,914 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | | 75,000 | | | | 64,923 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | | 03/15/33 | | | | 50,000 | | | | 51,248 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B | | | | | |
2.97% | | | 03/15/34 | | | | 15,000 | | | | 12,788 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F | | | | | |
2.00% | | | 03/15/33 | | | | 15,000 | | | | 11,734 | |
| New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B | | | | | |
2.59% | | | 03/15/35 | | | | 25,000 | | | | 20,177 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 330,372 | |
| | | | | | | | | | | | |
|
| Total Municipal Bonds | |
(Cost $562,038) | | | | 465,338 | |
| | | | | | | | | | | | |
|
| U.S. TREASURY SECURITIES — 17.93% | |
U.S. Treasury Bonds — 0.95% | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | | 10/15/277 | | | | 73,725 | | | | 75,192 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
(WI) | | | | | | | | | | | | |
1.13% | | | 01/15/337 | | | | 23,100 | | | | 23,060 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 98,252 | |
| | | | | | | | | | | | |
|
| U.S. Treasury Notes — 16.98% | |
U.S. Treasury Notes | |
3.50% | | | 02/15/33 | | | | 98,000 | | | | 98,161 | |
3.63% | | | 03/31/28 | | | | 269,000 | | | | 269,494 | |
3.88% | | | 03/31/25 | | | | 592,000 | | | | 590,254 | |
4.00% | | | 02/29/28 | | | | 214,000 | | | | 217,912 | |
4.63% | | | 02/28/25 | | | | 398,000 | | | | 401,895 | |
4.63% | | | 03/15/26 | | | | 172,000 | | | | 175,930 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,753,646 | |
| | | | | | | | | | | | |
|
| Total U.S. Treasury Securities | |
(Cost $1,847,691) | | | | 1,851,898 | |
| | | | | | | | | | | | |
|
| Total Bonds — 107.00% | |
(Cost $13,112,134) | | | | 11,047,895 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | | Value |
|
| SHORT-TERM INVESTMENTS — 2.76% | |
| Money Market Funds — 2.76% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%8 | | | | | 20,923 | | | $ | 20,923 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%8 | | | | | 264,000 | | | | 264,000 | |
| | | | | | | | | | |
|
| Total Short-Term Investments | |
(Cost $284,923) | | | | 284,923 | |
| | | | | | | | | | |
|
| Total Investments - 109.76% | |
(Cost $13,397,057) | | | | 11,332,818 | |
| | | | | | | | | | |
| |
| Liabilities in Excess of Other Assets - (9.76)% | | | | (1,007,272 | ) |
| | | | | | | | | | |
| |
| Net Assets - 100.00% | | | $ | 10,325,546 | |
| | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | 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. |
| 6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $49,581, which is 0.48% of total net assets. |
| 7 | Inflation protected security. Principal amount reflects original security face amount. |
| 8 | Represents the current yield as of March 31, 2023. |
| * | 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
(REIT): Real Estate Investment Trust
(S&P): Standard & Poor’s
(SOFR): Secured Overnight Financing Rate
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 122 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | | | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 16 | | | | 06/30/23 | | | $ | 3,303,250 | | | $ | 29,109 | | | | $ 29,109 | |
U.S. Treasury Five-Year Note | | | 7 | | | | 06/30/23 | | | | 766,555 | | | | 14,995 | | | | 14,995 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | 4,069,805 | | | | 44,104 | | | | 44,104 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 11 | | | | 06/21/23 | | | | (1,332,547) | | | | (41,047) | | | | (41,047) | |
U.S. Treasury Ultra Bond | | | 1 | | | | 06/21/23 | | | | (141,125) | | | | (6,752) | | | | (6,752) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | (1,473,672) | | | | (47,799) | | | | (47,799) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 2,596,133 | | | $ | (3,695) | | | $ | (3,695) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | | |
| | | | | | | | | |
| Description | | Maturity Date | | Rate | | Frequency | | Rate | | | Frequency | | | Notional
Amount
(000’s) | | | Value | | | Premiums
Paid | | | Unrealized
(Depreciation) | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | 09/20/53 | | USD-SOFR-
COMPOUND | | Annual | | | 3.00% | | | | Annual | | | $ | 16 | | | $ | (361) | | | $ | — | | | $ | (361) | |
| Interest Rate Swap1 | | 09/20/53 | | USD-SOFR-
COMPOUND | | Annual | | | 3.00% | | | | Annual | | | | 52 | | | | (1,173) | | | | — | | | | (1,173) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | $ | 68 | | | $ | (1,534) | | | $ | — | | | $ | (1,534) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 123 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| BONDS – 112.98% | |
ASSET-BACKED SECURITIES — 13.09%** | |
Access Group, Inc., | |
Series 2015-1, Class A | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | 07/25/561,2 | | $ | 915,886 | | | $ | 887,702 | |
American Credit Acceptance Receivables Trust, | |
Series 2019-3, Class F | |
5.42% | | 05/12/261 | | | 7,780,000 | | | | 7,725,002 | |
American Credit Acceptance Receivables Trust, | |
Series 2019-4, Class D | |
2.97% | | 12/12/251 | | | 431,830 | | | | 428,357 | |
American Credit Acceptance Receivables Trust, | |
Series 2020-3, Class D | |
2.40% | | 06/15/261 | | | 1,700,000 | | | | 1,660,439 | |
Americredit Automobile Receivables Trust, | |
Series 2019-1, Class D | |
3.62% | | 03/18/25 | | | 4,610,000 | | | | 4,555,429 | |
AmeriCredit Automobile Receivables Trust, | |
Series 2020-1, Class D | |
1.80% | | 12/18/25 | | | 6,065,000 | | | | 5,828,465 | |
AmeriCredit Automobile Receivables Trust, | |
Series 2020-3, Class D | |
1.49% | | 09/18/26 | | | 2,587,000 | | | | 2,378,279 | |
AMMC CLO XIII Ltd., | |
Series 2013-13A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.05%) | |
5.87% | | 07/24/291,2,3 | | | 3,824,254 | | | | 3,797,675 | |
Barings CLO Ltd., | |
Series 2018-3A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
5.76% | | 07/20/291,2,3 | | | 1,925,938 | | | | 1,913,131 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
(LIBOR USD 1-Month plus 0.45%) | |
5.30% | | 04/25/351,2 | | | 93,479 | | | | 88,868 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
5.76% | | 02/25/302 | | | 674 | | | | 674 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
(LIBOR USD 3-Month plus 1.00%) | |
5.82% | | 10/27/362 | | | 4,148,533 | | | | 4,094,967 | |
Canyon Capital CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.59% | | 04/15/341,2,3 | | | 450,000 | | | | 449,132 | |
Carmax Auto Owner Trust, | |
Series 2019-4, Class C | |
2.60% | | 09/15/25 | | | 3,270,000 | | | | 3,192,627 | |
Carvana Auto Receivables Trust, | |
Series 2021-N2, Class D | |
1.27% | | 03/10/28 | | | 5,211,027 | | | | 4,949,069 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
ASSET-BACKED SECURITIES (continued) | |
Carvana Auto Receivables Trust, | |
Series 2022-N1, Class N | |
4.60% | | 12/11/281 | | $ | 506,644 | | | $ | 506,179 | |
CF Hippolyta Issuer, LLC, | |
Series 2020-1, Class A1 | |
1.69% | | 07/15/601 | | | 8,303,060 | | | | 7,610,480 | |
Drive Auto Receivables Trust, | |
Series 2021-2, Class C | |
0.87% | | 10/15/27 | | | 5,745,000 | | | | 5,545,871 | |
Dryden 30 Senior Loan Fund, | |
Series 2013-30A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.82%) | |
5.68% | | 11/15/281,2,3 | | | 2,120,663 | | | | 2,094,366 | |
Education Loan Asset-Backed Trust I, | |
Series 2013-1, Class A2 | |
(LIBOR USD 1-Month plus 0.80%) | |
5.65% | | 04/26/321,2 | | | 3,698,357 | | | | 3,656,088 | |
Exeter Automobile Receivables Trust, | |
Series 2021-3A, Class C | |
0.96% | | 10/15/26 | | | 11,395,000 | | | | 10,907,297 | |
Exeter Automobile Receivables Trust, | |
Series 2021-4A, Class C | |
1.46% | | 10/15/27 | | | 3,110,000 | | | | 2,964,270 | |
Flagship Credit Auto Trust, | |
Series 2019-4, Class D | |
3.12% | | 01/15/261 | | | 2,967,000 | | | | 2,870,960 | |
GLS Auto Receivables Issuer Trust, | |
Series 2020-3A, Class D | |
2.27% | | 05/15/261 | | | 4,000,000 | | | | 3,896,384 | |
Goal Capital Funding Trust, | |
Series 2006-1, Class B | |
(LIBOR USD 3-Month plus 0.45%) | |
5.41% | | 08/25/422 | | | 1,332,489 | | | | 1,220,815 | |
GoldenTree Loan Opportunities IX Ltd., | |
Series 2014-9A, Class AR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.11%) | |
5.91% | | 10/29/291,2,3 | | | 3,231,022 | | | | 3,207,856 | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
6.01% | | 05/25/341,2 | | | 35,927 | | | | 35,904 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | 01/17/731 | | | 2,846,726 | | | | 2,650,962 | |
JPMorgan Chase Bank N.A. - CACLN, | |
Series 2021-1, Class C | |
1.02% | | 09/25/281 | | | 662,162 | | | | 641,172 | |
LCM XXIV Ltd., | |
Series 24A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
5.79% | | 03/20/301,2,3 | | | 4,272,353 | | | | 4,222,858 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 124 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Madison Park Funding XIX Ltd., | |
Series 2015-19A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.92%) | |
5.74% | | 01/22/281,2,3 | | $ | 5,191,687 | | | $ | 5,141,224 | |
Madison Park Funding XVII Ltd., | |
Series 2015-17A, Class AR2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.00%) | |
5.82% | | 07/21/301,2,3 | | | 10,497,840 | | | | 10,395,486 | |
Magnetite VII Ltd., | |
Series 2012-7A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.59% | | 01/15/281,2,3 | | | 4,620,193 | | | | 4,582,076 | |
Navient Private Education Refi Loan Trust, | |
Series 2021-CA, Class A | |
1.06% | | 10/15/691 | | | 974,692 | | | | 851,714 | |
Navient Private Education Refi Loan Trust, | |
Series 2021-FA, Class A | |
1.11% | | 02/18/701 | | | 3,045,572 | | | | 2,570,597 | |
Navient Student Loan Trust, | |
Series 2015-2, Class A3 | |
(LIBOR USD 1-Month plus 0.57%) | |
5.42% | | 11/26/402 | | | 3,512,181 | | | | 3,401,683 | |
Navient Student Loan Trust, | |
Series 2017-2A, Class A | |
(LIBOR USD 1-Month plus 1.05%) | |
5.90% | | 12/27/661,2 | | | 2,230,062 | | | | 2,166,403 | |
Nelnet Student Loan Trust, | |
Series 2013-1A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 06/25/411,2 | | | 1,343,397 | | | | 1,309,896 | |
Nelnet Student Loan Trust, | |
Series 2014-5A, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
5.40% | | 07/25/461,2 | | | 4,441,460 | | | | 4,284,193 | |
NYACK Park CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.65%) | |
5.46% | | 10/20/341,2,3 | | | 1,562,500 | | | | 1,544,636 | |
OCP CLO Ltd., | |
Series 2017-14A, Class A1A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.15%) | |
6.07% | | 11/20/301,2,3 | | | 2,000,000 | | | | 1,980,100 | |
OHA Credit Funding 2 Ltd., | |
Series 2019-2A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.62% | | 04/21/341,2,3 | | | 328,125 | | | | 327,948 | |
Palmer Square CLO Ltd., | |
Series 2018-1A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.03%) | |
5.82% | | 04/18/311,2,3 | | | 2,075,000 | | | | 2,045,161 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Palmer Square Loan Funding Ltd., | |
Series 2021-2A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.72% | | 05/20/291,2,3 | | $ | 1,111,215 | | | $ | 1,096,247 | |
PHEAA Student Loan Trust, | |
Series 2016-1A, Class A | |
(LIBOR USD 1-Month plus 1.15%) | |
6.00% | | 09/25/651,2 | | | 4,262,612 | | | | 4,199,617 | |
Progress Residential Trust, | |
Series 2020-SFR3, Class F | |
2.80% | | 10/17/271 | | | 6,980,000 | | | | 6,277,286 | |
ReadyCap Commercial Mortgage Trust, | |
Series 2019-6, Class A | |
2.83% | | 10/25/521 | | | 3,451,603 | | | | 3,226,629 | |
Reese Park CLO Ltd., | |
Series 2020-1A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.90%) | |
5.69% | | 10/15/341,2,3 | | | 1,741,667 | | | | 1,718,938 | |
Rockford Tower CLO Ltd., | |
Series 2017-3A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.19%) | |
6.00% | | 10/20/301,2,3 | | | 1,750,000 | | | | 1,733,634 | |
Santander Bank Auto Credit-Linked Notes, | |
Series 2022-B, Class E | |
8.68% | | 08/16/321 | | | 3,795,763 | | | | 3,732,883 | |
Santander Drive Auto Receivables Trust, | |
Series 2019-2, Class D | |
3.22% | | 07/15/25 | | | 2,269,561 | | | | 2,257,562 | |
Santander Drive Auto Receivables Trust, | |
Series 2020-4, Class D | |
1.48% | | 01/15/27 | | | 3,835,000 | | | | 3,693,318 | |
Santander Drive Auto Receivables Trust, | |
Series 2021-3, Class C | |
0.95% | | 09/15/27 | | | 2,010,000 | | | | 1,952,337 | |
Santander Drive Auto Receivables Trust, | |
Series 2021-3, Class D | |
1.33% | | 09/15/27 | | | 6,260,000 | | | | 5,908,005 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | 05/10/374,5,6 | | | 6,007,339 | | | | 5,422,797 | |
SLC Student Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 3-Month plus 0.06%) | |
4.92% | | 05/15/292 | | | 1,519,314 | | | | 1,501,315 | |
SLM Student Loan Trust, | |
Series 2008-4, Class A4 | |
(LIBOR USD 3-Month plus 1.65%) | |
6.47% | | 07/25/222 | | | 2,754,206 | | | | 2,735,661 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(LIBOR USD 3-Month plus 1.10%) | |
5.92% | | 07/25/232 | | | 1,994,474 | | | | 1,942,782 | |
See accompanying Notes to Financial Statements.
|
| 125 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| 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%) | |
5.55% | | 01/25/292 | | $ | 1,796,224 | | | $ | 1,732,870 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
5.40% | | 06/25/432 | | | 2,042,399 | | | | 1,975,881 | |
SLM Student Loan Trust, | |
Series 2014-1, Class A3 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 02/26/292 | | | 3,262,205 | | | | 3,137,595 | |
Stack Infrastructure Issuer LLC, | |
Series 2019-2A, Class A2 | |
3.08% | | 10/25/441 | | | 5,000,000 | | | | 4,755,825 | |
Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | |
(28 Day Auction Rate plus 0.00%) | |
1.61% | | 07/01/421,2 | | | 2,900,000 | | | | 2,679,179 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class A | |
2.93% | | 01/17/361 | | | 9,959,247 | | | | 9,732,903 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class B | |
3.28% | | 01/17/361 | | | 9,017,000 | | | | 8,825,021 | |
Vantage Data Centers Issuer LLC, | |
Series 2019-1A, Class A2 | |
3.19% | | 07/15/441 | | | 5,389,691 | | | | 5,200,515 | |
Voya CLO, | |
Series 2017-2A, Class A1R | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.98%) | |
5.77% | | 06/07/301,2,3 | | | 8,001,584 | | | | 7,932,642 | |
World Omni Auto Receivables Trust, | |
Series 2021-D, Class B | |
1.52% | | 11/15/27 | | | 5,325,000 | | | | 4,804,386 | |
| | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $237,081,352) | | | | 232,758,223 | |
| | | | | | | | | | |
|
| BANK LOANS — 2.21%* | |
Automotive — 0.03% | |
Clarios Global LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | 04/30/262 | | | 507,125 | | | | 505,433 | |
| | | | | | | | | | |
Communications — 0.15% | |
Charter Communications Operating LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 1.75%) | |
6.46% | | 02/01/272 | | | 241,855 | | | | 240,003 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
7.18% | | 04/15/272 | | | 244,333 | | | | 216,617 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
Communications (continued) | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.32% | | 01/17/282 | | $ | 241,201 | | | $ | 224,016 | |
Frontier Communications Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.62% | | 05/01/282 | | | 110,444 | | | | 105,198 | |
Intelsat Jackson Holdings SA, | |
Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 4.50%) | |
9.08% | | 02/01/292,3 | | | 719,579 | | | | 713,581 | |
Zayo Group Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | 03/09/272 | | | 1,462,632 | | | | 1,196,367 | |
| | | | | | | | | | |
| | | | 2,695,782 | |
| | | | | | | | | | |
|
| Consumer Discretionary — 0.27% | |
Naked Juice, LLC, | |
Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 3.35%) | |
8.09% | | 01/24/292,3 | | | 1,238,138 | | | | 1,097,299 | |
Term Loan, 2nd Lien | |
(SOFR plus 6.00%) | |
11.00% | | 01/24/302 | | | 38,558 | | | | 29,561 | |
Osmosis Buyer Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.48% | | 07/31/282 | | | 2,227,508 | | | | 2,156,518 | |
Sunshine Luxembourg VII SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.91% | | 10/01/262 | | | 1,551,256 | | | | 1,538,776 | |
| | | | | | | | | | |
| | | | 4,822,154 | |
| | | | | | | | | | |
|
| Entertainment — 0.04% | |
Alpha Topco Ltd. - Delta 2 (Lux) Sarl, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.05% | | 01/15/302 | | | 29,788 | | | | 29,838 | |
Crown Finance U.S., Inc., | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
| (SOFR plus 10.10%) | | | | | | | | | | |
14.66% -14.80% | | 09/07/232,3 | | | 43,577 | | | | 44,266 | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
6.41% | | 08/01/272 | | | 610,223 | | | | 597,967 | |
William Morris Endeavor Entertainment LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 2.75%) | |
7.60% | | 05/16/252 | | | 46,479 | | | | 46,169 | |
| | | | | | | | | | |
| | | | 718,240 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 126 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
Finance — 0.13% | |
Deerfield Dakota Holding LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.46% | | | 04/09/272 | | | $ | 440,259 | | | $ | 427,419 | |
Jane Street Group LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
7.59% | | | 01/26/282 | | | | 738,665 | | | | 728,324 | |
Mozart Borrower, LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | | 10/23/282 | | | | 732,980 | | | | 715,631 | |
Setanta Aircraft Leasing DAC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
7.16% | | | 11/06/282 | | | | 515,000 | | | | 515,579 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,386,953 | |
| | | | | | | | | | | | |
|
| Food — 0.05% | |
Chobani LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.61%) | |
8.42% | | | 10/25/272 | | | | 830,344 | | | | 825,155 | |
| | | | | | | | | | | | |
Gaming — 0.06% | |
Golden Nugget, LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.81% | | | 01/26/292 | | | | 454,702 | | | | 448,709 | |
J&J Ventures Gaming LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | | 04/26/282 | | | | 55,602 | | | | 54,015 | |
Scientific Games International, Inc., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 3.10%) | |
7.96% | | | 04/13/292,3 | | | | 471,478 | | | | 468,627 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 971,351 | |
| | | | | | | | | | | | |
|
| Health Care — 0.23% | |
Bausch & Lomb Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.36% | | | 05/10/272 | | | | 41,921 | | | | 40,815 | |
Genesee & Wyoming, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 2.10%) | |
6.86% | | | 12/30/262 | | | | 160,828 | | | | 160,024 | |
Grifols Worldwide Operations USA, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | |
6.74% | | | 11/15/272 | | | | 231,389 | | | | 227,099 | |
Horizon Therapeutics USA, Inc., | |
Term Loan B1, 1st Lien | |
(LIBOR plus 2.00%) | |
7.06% | | | 05/22/262 | | | | 1,000,000 | | | | 1,000,190 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
Health Care (continued) | |
Jazz Financing Lux SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | | 05/05/282 | | | $ | 471,321 | | | $ | 470,093 | |
Organon & Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.75% | | | 06/02/282 | | | | 910,474 | | | | 911,230 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.49% | | | 02/01/282 | | | | 818,305 | | | | 809,783 | |
Perrigo Investments LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.35%) | |
7.15% | | | 04/20/292 | | | | 496,250 | | | | 493,769 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,113,003 | |
| | | | | | | | | | | | |
|
| Industrials — 0.29% | |
AZZ, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.06% | | | 05/14/292 | | | | 524,925 | | | | 525,471 | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
6.51% | | | 07/01/262 | | | | 2,869,457 | | | | 2,863,187 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
9.84% | | | 08/02/272 | | | | 985,138 | | | | 950,323 | |
II-VI, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.38% - 7.67% | | | 07/02/292 | | | | 142,923 | | | | 141,851 | |
Transdigm, Inc., | |
Term Loan I, 1st Lien | |
(SOFR plus 3.25%) | |
8.15% | | | 08/24/282 | | | | 642,700 | | | | 641,736 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,122,568 | |
| | | | | | | | | | | | |
|
| Information Technology — 0.56% | |
Arches Buyer, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 3.25%) | |
8.06% | | | 12/06/272 | | | | 125,662 | | | | 118,711 | |
AthenaHealth Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.25% | | | 02/15/292,3,7 | | | | 2,498,639 | | | | 2,345,597 | |
Azalea Topco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.47% | | | 07/24/262 | | | | 487,519 | | | | 458,268 | |
See accompanying Notes to Financial Statements.
|
| 127 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
|
Information Technology (continued) | |
Central Parent, Inc., | |
Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
9.14% - 9.18% | | | 07/06/292,3 | | | $ | 346,965 | | | $ | 346,433 | |
Entegris, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.37% - 7.64% | | | 07/06/292 | | | | 151,271 | | | | 149,758 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.72% - 8.99% | | | 10/01/272 | | | | 643,418 | | | | 616,072 | |
NCR Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 2.50%) | |
7.33% | | | 08/28/262 | | | | 443,840 | | | | 438,661 | |
NortonLifeLock, Inc., | |
Term Loan A, 1st Lien | |
(SOFR plus 2.00%) | |
6.58% | | | 09/10/272 | | | | 593,619 | | | | 581,747 | |
Term Loan B, 1st Lien | |
(SOFR plus 2.10%) | |
6.91% | | | 09/12/292 | | | | 611,378 | | | | 606,105 | |
Open Text Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.30% | | | 08/24/292 | | | | 102,646 | | | | 102,507 | |
Oracle Corp., | |
Term Loan 1, 1st Lien | |
(SOFR plus 1.60%) | |
6.46% | | | 08/16/272 | | | | 2,595,268 | | | | 2,582,292 | |
Prime Security Services Borrower LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 2.75%) | |
7.52% | | | 09/23/262 | | | | 248,693 | | | | 248,240 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | | 04/24/282 | | | | 606,644 | | | | 589,861 | |
Renaissance Holding Corp., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.22% | | | 03/14/302 | | | | 79,972 | | | | 77,916 | |
Sophia LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.66% | | | 10/07/272 | | | | 584,500 | | | | 578,658 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.99% | | | 03/03/282 | | | | 168,092 | | | | 141,798 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,982,624 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Insurance — 0.08% | |
Acrisure LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 3.50%) | |
8.24% | | | 02/15/272 | | | $ | 459,454 | | | $ | 445,861 | |
Asurion LLC, | |
Term Loan B10, 1st Lien | |
(SOFR plus 4.10%) | |
8.91% | | | 08/19/282 | | | | 497,500 | | | | 460,501 | |
HUB International Ltd., | |
Term Loan B3, 1st Lien | |
(LIBOR plus 3.25%) | |
8.06% | | | 04/25/252 | | | | 497,455 | | | | 496,923 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,403,285 | |
| | | | | | | | | | | | |
Retail — 0.09% | |
American Airlines, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
9.56% | | | 04/20/282 | | | | 113,328 | | | | 115,248 | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
6.99% | | | 02/19/282 | | | | 294,066 | | | | 291,024 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
6.51% | | | 03/15/282 | | | | 196,760 | | | | 196,186 | |
Whatabrands LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | | 08/03/282 | | | | 987,500 | | | | 978,588 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,581,046 | |
| | | | | | | | | | | | |
Services — 0.22% | |
Amentum Government Services Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.63% | | | 01/29/272 | | | | 155,854 | | | | 153,321 | |
Amentum Government Services Holdings, LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.82% - 9.03% | | | 02/15/292 | | | | 1,481,269 | | | | 1,451,644 | |
Corp. Service Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.16% | | | 11/02/292 | | | | 478,750 | | | | 478,527 | |
Element Materials Technology Group U.S. Holdings, Inc., | | | | | |
Delayed-Draw Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.25% | | | 06/22/292 | | | | 266,607 | | | | 264,108 | |
Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.25% | | | 06/22/292 | | | | 577,649 | | | | 572,234 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 128 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
Services (continued) | |
Pre-Paid Legal Services, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | | 12/15/282 | | | $ | 542,345 | | | $ | 534,605 | |
Safe Fleet Holdings, LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.85%) | |
8.61% | | | 02/23/292 | | | | 229,659 | | | | 225,543 | |
Trans Union LLC, | |
Term Loan B6, 1st Lien (Luxembourg) | |
(LIBOR plus 2.25%) | |
6.99% | | | 12/01/282,3 | | | | 140,512 | | | | 139,693 | |
TruGreen LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | | 11/02/272 | | | | 169,540 | | | | 156,984 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,976,659 | |
| | | | | | | | | | | | |
Transportation — 0.01% | |
United Airlines, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.56% | | | 04/21/282 | | | | 127,977 | | | | 127,353 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $39,440,102) | | | | 39,231,606 | |
| | | | | | | | | | | | |
|
CORPORATES — 29.55%* | |
|
Banking — 9.27% | |
Bank of America Corp. | |
1.73% | | | 07/22/275 | | | | 1,549,000 | | | | 1,389,441 | |
3.42% | | | 12/20/285 | | | | 5,370,000 | | | | 4,996,511 | |
Bank of America Corp. | |
(GMTN) | |
3.59% | | | 07/21/285 | | | | 2,680,000 | | | | 2,521,568 | |
Bank of America Corp. | |
(MTN) | |
0.98% | | | 09/25/255 | | | | 15,840,000 | | | | 14,800,865 | |
1.32% | | | 06/19/265 | | | | 7,263,000 | | | | 6,654,345 | |
2.55% | | | 02/04/285 | | | | 4,275,000 | | | | 3,897,026 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | | 02/02/271,3,5 | | | | 5,545,000 | | | | 4,713,250 | |
2.13% | | | 10/13/263,5 | | | | 2,000,000 | | | | 1,990,367 | |
2.59% | | | 09/11/251,3,5 | | | | 9,715,000 | | | | 9,028,733 | |
3.80% | | | 06/09/233 | | | | 1,170,000 | | | | 1,150,004 | |
3.87% | | | 01/12/291,3,5 | | | | 2,605,000 | | | | 2,321,384 | |
4.28% | | | 01/09/281,3 | | | | 5,375,000 | | | | 4,877,812 | |
7.75% | | | 03/01/293,5 | | | | 1,160,000 | | | | 1,382,733 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | | 09/30/251,3,5 | | | | 8,340,000 | | | | 7,789,156 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.01% | | | 09/22/283,5 | | | | 20,105,000 | | | | 17,302,358 | |
2.63% | | | 11/07/253,5 | | | | 2,530,000 | | | | 2,393,642 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Banking (continued) | |
ING Groep NV | |
(Netherlands) | |
3.87% | | 03/28/263,5 | | $ | 645,000 | | | $ | 624,174 | |
JPMorgan Chase & Co. | |
2.18% | | 06/01/285 | | | 879,000 | | | | 788,066 | |
4.02% | | 12/05/245 | | | 19,520,000 | | | | 19,335,188 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | 05/11/273,5 | | | 2,175,000 | | | | 1,931,664 | |
4.72% | | 08/11/263,5 | | | 381,000 | | | | 372,826 | |
Macquarie Group Ltd. | |
(Australia) | |
1.20% | | 10/14/251,3,5 | | | 5,880,000 | | | | 5,482,772 | |
1.34% | | 01/12/271,3,5 | | | 3,425,000 | | | | 3,058,807 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
4.80% | | 11/15/243,5 | | | 13,000,000 | | | | 12,822,996 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | 11/07/231,3 | | | 1,000,000 | | | | 988,818 | |
Wells Fargo & Co. | |
(MTN) | |
2.39% | | 06/02/285 | | | 2,000,000 | | | | 1,802,255 | |
3.53% | | 03/24/285 | | | 32,200,000 | | | | 30,423,058 | |
| | | | | | | | | | |
| | | | | | | | | 164,839,819 | |
| | | | | | | | | | |
Communications — 1.61% | |
AT&T, Inc. | |
2.30% | | 06/01/27 | | | 1,600,000 | | | | 1,466,421 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
4.91% | | 07/23/25 | | | 1,720,000 | | | | 1,702,549 | |
Cox Communications, Inc. | |
3.15% | | 08/15/241 | | | 1,199,000 | | | | 1,168,667 | |
7.63% | | 06/15/25 | | | 900,000 | | | | 939,204 | |
Frontier Communications Holdings LLC | |
8.63% | | 03/15/311 | | | 12,000 | | | | 11,760 | |
Qwest Corp. | |
7.25% | | 09/15/25 | | | 4,665,000 | | | | 4,338,450 | |
SES SA | |
(Luxembourg) | |
3.60% | | 04/04/231,3 | | | 4,820,000 | | | | 4,820,000 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
5.15% | | 03/20/281 | | | 1,035,000 | | | | 1,028,912 | |
T-Mobile USA, Inc. | |
2.25% | | 02/15/26 | | | 3,766,000 | | | | 3,514,935 | |
3.75% | | 04/15/27 | | | 6,325,000 | | | | 6,083,911 | |
3.88% | | 04/15/30 | | | 3,810,000 | | | | 3,577,978 | |
| | | | | | | | | | |
| | | | | | | | | 28,652,787 | |
| | | | | | | | | | |
Consumer Discretionary — 1.70% | |
BAT Capital Corp. | |
3.22% | | 08/15/24 | | | 2,140,000 | | | | 2,079,747 | |
3.56% | | 08/15/27 | | | 9,265,000 | | | | 8,625,160 | |
See accompanying Notes to Financial Statements.
|
| 129 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Consumer Discretionary (continued) | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.13% | | | 07/26/241,3 | | | $ | 1,106,000 | | | $ | 1,071,357 | |
3.50% | | | 07/26/261,3 | | | | 5,205,000 | | | | 4,887,744 | |
WarnerMedia Holdings, Inc. | |
3.76% | | | 03/15/271 | | | | 14,400,000 | | | | 13,571,794 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,235,802 | |
| | | | | | | | | | | | |
Diversified REITs — 1.14% | |
Digital Euro Finco LLC | |
2.63% | | | 04/15/24 | | | | 7,715,000 | | | | 8,192,592 | |
GLP Capital LP/GLP Financing II, Inc. | |
3.35% | | | 09/01/24 | | | | 1,197,000 | | | | 1,141,639 | |
4.00% | | | 01/15/30 | | | | 1,750,000 | | | | 1,556,152 | |
5.30% | | | 01/15/29 | | | | 2,179,000 | | | | 2,076,151 | |
VICI Properties LP/VICI Note Co., Inc. | |
3.88% | | | 02/15/291 | | | | 285,000 | | | | 253,691 | |
4.63% | | | 06/15/251 | | | | 4,640,000 | | | | 4,488,622 | |
5.75% | | | 02/01/271 | | | | 2,590,000 | | | | 2,552,480 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,261,327 | |
| | | | | | | | | | | | |
Electric — 2.52% | |
Alliant Energy Finance LLC | |
1.40% | | | 03/15/261 | | | | 6,540,000 | | | | 5,801,840 | |
American Electric Power Co., Inc. | |
2.03% | | | 03/15/24 | | | | 6,880,000 | | | | 6,673,754 | |
5.75% | | | 11/01/27 | | | | 865,000 | | | | 900,206 | |
Black Hills Corp. | |
5.95% | | | 03/15/28 | | | | 4,540,000 | | | | 4,710,571 | |
Duke Energy Corp. | |
4.30% | | | 03/15/28 | | | | 3,295,000 | | | | 3,235,419 | |
Eversource Energy | |
2.90% | | | 03/01/27 | | | | 6,425,000 | | | | 6,007,666 | |
ITC Holdings Corp. | |
4.95% | | | 09/22/271 | | | | 5,460,000 | | | | 5,501,204 | |
Jersey Central Power & Light Co. | |
4.30% | | | 01/15/261 | | | | 1,868,000 | | | | 1,834,875 | |
4.70% | | | 04/01/241 | | | | 8,348,000 | | | | 8,295,947 | |
Metropolitan Edison Co. | |
4.00% | | | 04/15/251 | | | | 1,467,000 | | | | 1,400,944 | |
Pennsylvania Electric Co. | |
4.15% | | | 04/15/251 | | | | 500,000 | | | | 484,384 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 44,846,810 | |
| | | | | | | | | | | | |
Energy — 0.76% | |
Energy Transfer LP | |
4.95% | | | 05/15/28 | | | | 1,150,000 | | | | 1,140,262 | |
5.95% | | | 12/01/25 | | | | 2,520,000 | | | | 2,562,057 | |
Petroleos Mexicanos | |
(Mexico) | |
6.70% | | | 02/16/323 | | | | 6,259,000 | | | | 4,986,936 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
4.50% | | | 12/15/26 | | | | 3,017,000 | | | | 2,955,793 | |
Southern Co. Gas Capital Corp. | |
3.88% | | | 11/15/25 | | | | 1,950,000 | | | | 1,899,003 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,544,051 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Finance — 3.99% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
2.45% | | 10/29/263 | | $ | 500,000 | | | $ | 448,950 | |
Air Lease Corp. | |
3.38% | | 07/01/25 | | | 1,250,000 | | | | 1,191,899 | |
3.63% | | 04/01/27 | | | 4,835,000 | | | | 4,481,217 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/271,3 | | | 5,905,000 | | | | 5,002,019 | |
2.75% | | 02/21/281,3 | | | 1,350,000 | | | | 1,127,930 | |
3.25% | | 02/15/271,3 | | | 2,350,000 | | | | 2,096,990 | |
Capital One Financial Corp. | |
2.64% | | 03/03/265 | | | 2,685,000 | | | | 2,489,948 | |
Citigroup, Inc. | |
0.78% | | 10/30/245 | | | 16,523,000 | | | | 16,063,542 | |
3.52% | | 10/27/285 | | | 6,987,000 | | | | 6,536,522 | |
3.67% | | 07/24/285 | | | 5,365,000 | | | | 5,090,907 | |
JPMorgan Chase & Co. | |
0.56% | | 02/16/255 | | | 1,000,000 | | | | 959,259 | |
0.82% | | 06/01/255 | | | 2,535,000 | | | | 2,404,280 | |
1.04% | | 02/04/275 | | | 4,244,000 | | | | 3,789,294 | |
3.54% | | 05/01/285 | | | 1,621,000 | | | | 1,534,223 | |
Morgan Stanley | |
0.73% | | 04/05/245 | | | 7,760,000 | | | | 7,756,141 | |
0.99% | | 12/10/265 | | | 5,000,000 | | | | 4,459,986 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | 07/20/275 | | | 4,685,000 | | | | 4,160,950 | |
UBS Group AG | |
(Switzerland) | |
1.36% | | 01/30/271,3,5 | | | 730,000 | | | | 641,708 | |
4.70% | | 08/05/271,3,5 | | | 685,000 | | | | 657,820 | |
| | | | | | | | | | |
| | | | 70,893,585 | |
| | | | | | | | | | |
Food — 0.39% | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
(Canada) | |
3.00% | | 02/02/291,3 | | | 5,590,000 | | | | 4,798,293 | |
5.13% | | 02/01/281,3 | | | 2,205,000 | | | | 2,136,557 | |
| | | | | | | | | | |
| | | | 6,934,850 | |
| | | | | | | | | | |
Health Care — 2.21% | |
Amgen, Inc. | |
5.15% | | 03/02/28 | | | 8,405,000 | | | | 8,588,199 | |
Bayer U.S. Finance II LLC | |
2.85% | | 04/15/251 | | | 4,665,000 | | | | 4,419,237 | |
HCA, Inc. | |
3.13% | | 03/15/271 | | | 2,510,000 | | | | 2,335,068 | |
5.38% | | 02/01/25 | | | 2,345,000 | | | | 2,346,195 | |
5.38% | | 09/01/26 | | | 2,520,000 | | | | 2,536,960 | |
5.88% | | 02/15/26 | | | 3,980,000 | | | | 4,042,884 | |
HCA, Inc. | |
(MTN) | |
7.58% | | 09/15/25 | | | 1,100,000 | | | | 1,144,216 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 130 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Health Care (continued) | |
Humana, Inc. | |
5.70% | | | 03/13/26 | | | $ | 6,020,000 | | | $ | 6,055,647 | |
Illumina, Inc. | |
5.75% | | | 12/13/27 | | | | 2,275,000 | | | | 2,332,366 | |
Premier Health Partners, | |
Series G | |
2.91% | | | 11/15/26 | | | | 3,500,000 | | | | 3,200,187 | |
Tenet Healthcare Corp. | |
4.63% | | | 09/01/24 | | | | 2,321,000 | | | | 2,296,540 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,297,499 | |
| | | | | | | | | | | | |
Health Care REITs — 0.22% | |
Physicians Realty LP | |
4.30% | | | 03/15/27 | | | | 3,995,000 | | | | 3,861,885 | |
| | | | | | | | | | | | |
Industrials — 1.30% | |
Amcor Flexibles North America, Inc. | |
4.00% | | | 05/17/25 | | | | 6,125,000 | | | | 6,010,998 | |
Artera Services LLC | |
9.03% | | | 12/04/251 | | | | 2,500,000 | | | | 2,164,485 | |
BAE Systems Holdings, Inc. | |
3.85% | | | 12/15/251 | | | | 2,910,000 | | | | 2,824,036 | |
Berry Global, Inc. | |
1.65% | | | 01/15/27 | | | | 2,000,000 | | | | 1,752,857 | |
4.88% | | | 07/15/261 | | | | 1,365,000 | | | | 1,331,844 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.38%) | |
5.19% | | | 05/05/262 | | | | 7,235,000 | | | | 7,146,796 | |
(LIBOR USD 3-Month plus 0.48%) | |
5.34% | | | 08/15/362 | | | | 2,182,000 | | | | 1,842,699 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,073,715 | |
| | | | | | | | | | | | |
Information Technology — 1.02% | |
Netflix, Inc. | |
3.63% | | | 06/15/251 | | | | 3,207,000 | | | | 3,116,803 | |
Oracle Corp. | |
2.80% | | | 04/01/27 | | | | 9,385,000 | | | | 8,727,021 | |
VMware, Inc. | |
1.00% | | | 08/15/24 | | | | 6,690,000 | | | | 6,307,322 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,151,146 | |
| | | | | | | | | | | | |
Insurance — 1.88% | |
Aon Corp. | |
4.50% | | | 12/15/28 | | | | 2,442,000 | | | | 2,406,775 | |
Athene Global Funding | |
2.51% | | | 03/08/241 | | | | 2,935,000 | | | | 2,850,234 | |
(SOFR Index plus 0.70%) | |
5.46% | | | 05/24/241,2 | | | | 5,005,000 | | | | 4,959,803 | |
Farmers Insurance Exchange | |
8.63% | | | 05/01/241 | | | | 5,000,000 | | | | 5,121,608 | |
MMI Capital Trust I, | |
Series B | |
7.63% | | | 12/15/27 | | | | 2,000,000 | | | | 2,131,565 | |
Nationwide Mutual Insurance Co. | |
7.16% | | | 12/15/241,5 | | | | 5,550,000 | | | | 5,528,715 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Insurance (continued) | |
Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | | 09/15/541,5 | | | $ | 2,800,000 | | | $ | 2,729,212 | |
Trinity Acquisition PLC | |
(United Kingdom) | |
4.63% | | | 08/15/233 | | | | 3,410,000 | | | | 3,398,720 | |
Willis North America, Inc. | |
4.65% | | | 06/15/27 | | | | 4,345,000 | | | | 4,281,940 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 33,408,572 | |
| | | | | | | | | | | | |
Materials — 0.20% | |
International Flavors & Fragrances, Inc. | |
1.83% | | | 10/15/271 | | | | 4,215,000 | | | | 3,575,583 | |
| | | | | | | | | | | | |
Office REITs — 0.07% | |
Hudson Pacific Properties LP | |
5.95% | | | 02/15/28 | | | | 1,530,000 | | | | 1,183,931 | |
| | | | | | | | | | | | |
Retail — 0.07% | |
Alimentation Couche-Tard, Inc. | |
(Canada) | |
3.55% | | | 07/26/271,3 | | | | 1,425,000 | | | | 1,344,035 | |
| | | | | | | | | | | | |
Retail REITs — 0.11% | |
Federal Realty Investment Trust | |
7.48% | | | 08/15/26 | | | | 1,850,000 | | | | 1,954,209 | |
| | | | | | | | | | | | |
Services — 0.46% | |
Global Payments, Inc. | |
2.15% | | | 01/15/27 | | | | 9,201,000 | | | | 8,152,490 | |
| | | | | | | | | | | | |
Specialized REITs — 0.57% | |
Extra Space Storage LP | |
5.70% | | | 04/01/28 | | | | 3,745,000 | | | | 3,772,622 | |
Life Storage LP | |
3.88% | | | 12/15/27 | | | | 6,745,000 | | | | 6,387,715 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,160,337 | |
| | | | | | | | | | | | |
Transportation — 0.06% | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | | 1,335,309 | | | | 1,176,932 | |
| | | | | | | | | | | | |
Total Corporates | |
(Cost $542,347,674) | | | | 525,549,365 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 53.02%** | |
Non-Agency Commercial Mortgage-Backed — 9.70% | |
Arbor Realty Commercial Real Estate Notes Ltd., | |
Series 2021-FL3, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.07%) | |
5.75% | | | 08/15/341,2,3 | | | | 5,000,000 | | | | 4,904,034 | |
Ashford Hospitality Trust, | |
Series 2018-KEYS, Class A | |
(LIBOR USD 1-Month plus 1.00%) | |
5.69% | | | 06/15/351,2 | | | | 2,575,000 | | | | 2,496,964 | |
BANK, | |
Series 2018-BN14, Class A2 | |
4.13% | | | 09/15/60 | | | | 4,387,787 | | | | 4,296,381 | |
See accompanying Notes to Financial Statements.
|
| 131 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Commercial Mortgage-Backed (continued) | |
Benchmark Mortgage Trust, | |
Series 2020-B17, Class A2 | |
2.21% | | | 03/15/53 | | | $ | 7,590,000 | | | $ | 6,893,972 | |
BX Commercial Mortgage Trust, | |
Series 2020-VKNG, Class A | |
(CME Term SOFR 1-Month plus 1.04%) | |
5.87% | | | 10/15/37 | 1,2 | | | 4,719,596 | | | | 4,607,655 | |
BX Commercial Mortgage Trust, | |
Series 2021-CIP, Class A | |
(LIBOR USD 1-Month plus 0.92%) | |
5.61% | | | 12/15/381,2 | | | | 4,245,000 | | | | 4,097,523 | |
BX Commercial Mortgage Trust, | |
Series 2021-VINO, Class A | |
(LIBOR USD 1-Month plus 0.65%) | |
5.34% | | | 05/15/381,2 | | | | 5,354,000 | | | | 5,143,266 | |
CFCRE Commercial Mortgage Trust, | |
Series 2016-C4, Class ASB | |
3.09% | | | 05/10/58 | | | | 1,452,851 | | | | 1,399,664 | |
Cold Storage Trust, | |
Series 2020-ICE5, Class A | |
(LIBOR USD 1-Month plus 0.90%) | |
5.58% | | | 11/15/371,2 | | | | 8,456,667 | | | | 8,248,743 | |
Commercial Mortgage Trust, | |
Series 2014-CR15, Class ASB | |
3.60% | | | 02/10/47 | | | | 1,258,674 | | | | 1,250,032 | |
Commercial Mortgage Trust, | |
Series 2014-CR20, Class A3 | |
3.33% | | | 11/10/47 | | | | 5,765,052 | | | | 5,566,835 | |
Commercial Mortgage Trust, | |
Series 2015-PC1, Class A4 | |
3.62% | | | 07/10/50 | | | | 4,323,875 | | | | 4,166,193 | |
Commercial Mortgage Trust, | |
Series 2016-DC2, Class ASB | |
3.55% | | | 02/10/49 | | | | 139,757 | | | | 135,384 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2019-ICE4, Class A | |
(LIBOR USD 1-Month plus 0.98%) | |
5.66% | | | 05/15/361,2 | | | | 11,067,266 | | | | 10,951,549 | |
DBGS Mortgage Trust, | |
Series 2018-BIOD, Class A | |
(LIBOR USD 1-Month plus 0.80%) | |
5.49% | | | 05/15/351,2 | | | | 9,082,801 | | | | 8,931,092 | |
Great Wolf Trust, | |
Series 2019-WOLF, Class A | |
(CME Term SOFR 1-Month plus 1.15%) | |
5.98% | | | 12/15/361,2 | | | | 9,584,000 | | | | 9,370,732 | |
GS Mortgage Securities Corp. Trust, | |
Series 2019-70P, Class A | |
(LIBOR USD 1-Month plus 1.00%) | |
5.68% | | | 10/15/361,2 | | | | 10,000,000 | | | | 9,486,239 | |
GS Mortgage Securities Corp. Trust, | |
Series 2022-SHIP, Class A | |
(CME Term SOFR 1-Month plus 0.73%) | |
5.56% | | | 08/15/361,2 | | | | 3,448,000 | | | | 3,407,133 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class AS | |
5.16% | | 08/10/441,5 | | $ | 2,950,215 | | | $ | 2,912,214 | |
GS Mortgage Securities Trust, | |
Series 2018-GS10, Class A1 | |
3.20% | | 07/10/51 | | | 361,077 | | | | 359,964 | |
GS Mortgage Securities Trust, | |
Series 2018-GS9, Class A2 | |
3.84% | | 03/10/51 | | | 825,232 | | | | 807,458 | |
Houston Galleria Mall Trust, | |
Series 2015-HGLR, Class A1A1 | |
3.09% | | 03/05/371 | | | 3,750,000 | | | | 3,479,404 | |
Independence Plaza Trust, | |
Series 2018-INDP, Class A | |
3.76% | | 07/10/351 | | | 3,294,364 | | | | 3,109,640 | |
Independence Plaza Trust, | |
Series 2018-INDP, Class B | |
3.91% | | 07/10/351 | | | 10,000,000 | | | | 9,403,902 | |
| Irvine Core Office Trust, | | | | | |
Series 2013-IRV, Class A1 | |
2.07% | | 05/15/481 | | | 296,534 | | | | 296,050 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | |
1.26% | | 04/15/465 | | | 10,073,366 | | | | 52,153 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C20, Class A4A2 | |
3.54% | | 07/15/471 | | | 3,036,825 | | | | 2,928,818 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2021-MHC, Class A | |
(LIBOR USD 1-Month plus 0.80%) | |
5.48% | | 04/15/381,2 | | | 4,932,362 | | | | 4,790,244 | |
KKR Industrial Portfolio Trust, | |
Series 2021-KDIP, Class A | |
(CME Term SOFR 1-Month plus 0.66%) | |
5.49% | | 12/15/371,2 | | | 2,556,338 | | | | 2,480,306 | |
MF1 Ltd., | |
Series 2020-FL4, Class A | |
(CME Term SOFR 1-Month plus 1.81%) | |
6.47% | | 11/15/351,2 | | | 7,661,373 | | | | 7,672,074 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2013-C12, Class XA (IO) | |
0.66% | | 10/15/465 | | | 30,762,479 | | | | 20,364 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C21, Class XA (IO) | |
0.85% | | 03/15/485 | | | 32,514,781 | | | | 379,264 | |
One Lincoln Street Commercial Mortgage, | |
Series 2004-C3, Class A1 | |
5.72% | | 10/15/301,5 | | | 4,915,887 | | | | 4,903,897 | |
One New York Plaza Trust, | |
Series 2020-1NYP, Class A | |
(LIBOR USD 1-Month plus 0.95%) | |
5.63% | | 01/15/361,2 | | | 3,240,000 | | | | 3,109,426 | |
SMRT, | |
Series 2022-MINI, Class A | |
(CME Term SOFR 1-Month plus 1.00%) | |
5.83% | | 01/15/391,2 | | | 2,885,000 | | | | 2,792,951 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 132 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Commercial Mortgage-Backed (continued) | |
SREIT Trust, | |
Series 2021-MFP2, Class A | |
(LIBOR USD 1-Month plus 0.82%) | |
5.51% | | | 11/15/361,2 | | | $ | 3,640,000 | | | $ | 3,499,803 | |
UBS Commercial Mortgage Trust, | |
Series 2018-C11, Class A2 | |
3.99% | | | 06/15/51 | | | | 159,496 | | | | 158,786 | |
UBS Commercial Mortgage Trust, | |
Series 2018-C12, Class A2 | |
4.15% | | | 08/15/51 | | | | 9,002,661 | | | | 8,958,750 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class A4 | |
3.55% | | | 08/15/50 | | | | 6,547,457 | | | | 6,404,658 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2017-SMP, Class A | |
(LIBOR USD 1-Month plus 0.88%) | |
5.56% | | | 12/15/341,2 | | | | 6,300,000 | | | | 5,939,486 | |
Westfield Galleria at Roseville | |
3.25% | | | 03/29/254,6 | | | | 2,700,000 | | | | 2,685,960 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 172,498,963 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 16.04% | |
Accredited Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | | 02/25/372 | | | | 1,292,460 | | | | 1,280,029 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-OP1, Class A2D | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | | 04/25/362 | | | | 6,535,075 | | | | 5,785,271 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-R1, Class M3 | |
(LIBOR USD 1-Month plus 0.80%) | |
5.64% | | | 03/25/352 | | | | 307,745 | | | | 307,493 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-R9, Class M1 | |
(LIBOR USD 1-Month plus 0.71%) | |
5.55% | | | 11/25/352 | | | | 7,911,547 | | | | 7,749,726 | |
| Amresco Residential Securities Corp. Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 05/25/23) | | | | | |
7.40% | | | 10/25/27 | | | | 594 | | | | 590 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W2, Class M1 | |
(LIBOR USD 1-Month plus 0.74%) | |
5.58% | | | 10/25/352 | | | | 5,295,715 | | | | 5,146,385 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE3, Class A5 | |
(LIBOR USD 1-Month plus 0.54%) | |
2.93% | | | 03/25/362 | | | | 2,392,071 | | | | 2,280,171 | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | | 10/25/33 | | | | 3,242,888 | | | | 3,114,104 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ALT-A Trust, | |
Series 2004-10, Class M1 | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | | 09/25/342 | | | $ | 1,543,080 | | | $ | 1,529,874 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 1M1 | |
(LIBOR USD 1-Month plus 0.75%) | |
5.60% | | | 03/25/352 | | | | 841,661 | | | | 834,340 | |
Bear Stearns ARM Trust, | |
Series 2004-3, Class 4A | |
3.88% | | | 07/25/345 | | | | 201,551 | | | | 187,146 | |
BNC Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
(LIBOR USD 1-Month plus 0.16%) | |
5.01% | | | 03/25/372 | | | | 4,455,061 | | | | 4,103,765 | |
Chase Funding Trust, | |
Series 2002-2, Class 2A1 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | | 05/25/322 | | | | 1,359,252 | | | | 1,328,220 | |
Chase Mortgage Finance Trust, | |
Series 2007-A1, Class 8A1 | |
4.12% | | | 02/25/375 | | | | 2,695,207 | | | | 2,535,539 | |
Chase Mortgage Finance Trust, | |
Series 2007-A2, Class 2A3 | |
4.14% | | | 06/25/355 | | | | 450,995 | | | | 427,907 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
Series 2005-2A, Class A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
5.03% | | | 05/25/361,2 | | | | 400,137 | | | | 337,266 | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | | 06/25/571,5 | | | | 7,389,571 | | | | 6,484,919 | |
CIM Trust, | |
Series 2022-I1, Class A1 | |
4.35% | | | 02/25/671,5 | | | | 5,590,862 | | | | 5,467,436 | |
CIT Mortgage Loan Trust, | |
Series 2007-1, Class 1A | |
(LIBOR USD 1-Month plus 1.35%) | |
6.20% | | | 10/25/371,2 | | | | 3,127,054 | | | | 3,115,605 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AMC1, Class A1 | |
(LIBOR USD 1-Month plus 0.29%) | |
5.14% | | | 09/25/361,2 | | | | 6,698,865 | | | | 6,408,450 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2006-14, Class 2A3 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | | 02/25/372 | | | | 2,598,608 | | | | 2,431,496 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2006-4, Class M1 | |
(LIBOR USD 1-Month plus 0.53%) | |
5.37% | | | 07/25/362 | | | | 3,948,710 | | | | 3,866,180 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2007-7, Class 1A | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | | 10/25/47 | 2 | | | 7,873,212 | | | | 7,505,106 | |
See accompanying Notes to Financial Statements.
|
| 133 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | |
3.91% | | 08/25/345 | | $ | 7,142 | | | $ | 6,242 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2004-AR1, Class 5A1 | |
4.08% | | 02/25/345 | | | 266,555 | | | | 249,829 | |
Credit Suisse Mortgage Capital Trust | |
Series 2022-RPL3, Class A1 | |
3.68% | | 03/25/611,5 | | | 8,138,834 | | | | 8,199,876 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB4, Class A1A | |
(LIBOR USD 1-Month plus 0.09%) | |
3.03% | | 04/25/372 | | | 938,059 | | | | 907,739 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A1 | |
(LIBOR USD 1-Month plus 0.06%) | |
3.40% | | 04/25/372 | | | 1,980,916 | | | | 1,372,576 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR2, Class 2A1A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.18% | | 03/19/452 | | | 249,927 | | | | 233,150 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2022-R03, Class 1M1 | |
(SOFR30A plus 2.10%) | |
6.66% | | 03/25/421,2 | | | 5,018,827 | | | | 5,009,290 | |
First Franklin Mortgage Loan Trust, | |
Series 2004-FF5, Class A3C | |
(LIBOR USD 1-Month plus 1.00%) | |
5.85% | | 08/25/342 | | | 409,610 | | | | 381,593 | |
First Franklin Mortgage Loan Trust, | |
Series 2005-FF8, Class M2 | |
(LIBOR USD 1-Month plus 0.78%) | |
5.63% | | 09/25/352 | | | 1,975,217 | | | | 1,953,383 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF11, Class 1A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 08/25/362 | | | 2,549,785 | | | | 2,541,228 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A1 | |
5.10% | | 09/25/345 | | | 1,339 | | | | 1,184 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2022-DNA6, Class M1A | |
(SOFR30A plus 2.15%) | |
6.71% | | 09/25/421,2 | | | 1,982,549 | | | | 1,992,445 | |
Fremont Home Loan Trust, | |
Series 2005-E, Class 2A4 | |
(LIBOR USD 1-Month plus 0.66%) | |
5.51% | | 01/25/362 | | | 13,152,103 | | | | 12,182,568 | |
GMACM Home Equity Loan Trust, | |
Series 2000-HE2, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
5.06% | | 06/25/302 | | | 58,461 | | | | 54,041 | |
GSAMP Trust, | |
Series 2005-HE4, Class M3 | |
(LIBOR USD 1-Month plus 0.78%) | |
5.63% | | 07/25/452 | | | 1,656,587 | | | | 1,608,505 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
GSAMP Trust, | |
Series 2006-HE2, Class M1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 03/25/462 | | | $ 4,084,798 | | | | $ 3,938,286 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR7, Class 2A1 | |
3.91% | | 11/25/355 | | | 90,715 | | | | 82,266 | |
Impac CMB Trust, | |
Series 2005-5, Class A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.49% | | 08/25/352 | | | 963,998 | | | | 859,470 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
(LIBOR USD 1-Month plus 0.78%) | |
5.63% | | 12/25/342 | | | 154,752 | | | | 119,488 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR8, Class 2A2A | |
(LIBOR USD 1-Month plus 0.80%) | |
5.65% | | 11/25/342 | | | 447,650 | | | | 381,874 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | |
6.49% | | 09/25/28 | | | 186,035 | | | | 187,983 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2005-FRE1, Class M1 | |
(LIBOR USD 1-Month plus 0.62%) | |
3.20% | | 10/25/352 | | | 4,216,179 | | | | 4,084,980 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-NC1, Class M1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 04/25/362 | | | 4,928,163 | | | | 4,701,946 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH4, Class M1 | |
(LIBOR USD 1-Month plus 0.23%) | |
5.08% | | 05/25/372 | | | 14,750,000 | | | | 14,086,839 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH5, Class A1 | |
(LIBOR USD 1-Month plus 0.16%) | |
5.01% | | 06/25/372 | | | 10,974,137 | | | | 10,857,836 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 1A1 | |
4.18% | | 07/25/355 | | | 194,917 | | | | 187,976 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 5A2 | |
4.00% | | 07/25/355 | | | 75,751 | | | | 72,443 | |
| Lehman ABS Manufactured Housing Contract Trust, | | | | | |
Series 2001-B, Class AIOC (IO) | |
0.55% | | 04/15/404,5,6 | | | 52,249,972 | | | | 673,716 | |
LHOME Mortgage Trust, | |
Series 2021-RTL1, Class A1 | |
2.09% | | 02/25/261,5 | | | 3,910,000 | | | | 3,822,840 | |
Long Beach Mortgage Loan Trust, | |
Series 2005-WL3, Class M1 | |
(LIBOR USD 1-Month plus 0.65%) | |
5.49% | | 11/25/352 | | | 1,113,649 | | | | 1,109,763 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 134 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
3.81% | | 01/25/345 | | $ | 2,009 | | | $ | 1,879 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
3.87% | | 11/21/345 | | | 319,106 | | | | 295,668 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
4.02% | | 04/25/345 | | | 48,865 | | | | 44,660 | |
MASTR Alternative Loan Trust, | |
Series 2003-1, Class 1A1 | |
6.25% | | 12/25/32 | | | 872,792 | | | | 852,520 | |
MASTR Alternative Loan Trust, | |
Series 2003-5, Class 4A1 | |
5.50% | | 07/25/33 | | | 1,555,647 | | | | 1,466,394 | |
MASTR Alternative Loan Trust, | |
Series 2003-9, Class 4A1 | |
5.25% | | 11/25/33 | | | 1,743,291 | | | | 1,682,182 | |
MASTR Alternative Loan Trust, | |
Series 2004-7, Class 1A1 | |
5.50% | | 07/25/34 | | | 1,562,293 | | | | 1,473,406 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE1, Class M1 | |
(LIBOR USD 1-Month plus 0.56%) | |
5.40% | | 01/25/362 | | | 5,485,955 | | | | 5,250,862 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
4.22% | | 10/25/325 | | | 86,315 | | | | 81,733 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-3, Class A2C | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 06/25/372 | | | 7,430,566 | | | | 6,754,311 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2004-A4, Class A1 | |
3.53% | | 08/25/345 | | | 486,293 | | | | 439,344 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2006-F1, Class 1A2 | |
6.00% | | 04/25/36 | | | 785,256 | | | | 406,698 | |
Mid-State Capital Corp. Trust, | |
Series 2006-1, Class A | |
5.79% | | 10/15/401 | | | 2,682,143 | | | | 2,618,272 | |
Mid-State Trust, | |
Series 10W, Class A2 | |
5.82% | | 02/15/36 | | | 280,102 | | | | 270,266 | |
Morgan Stanley ABS Capital I Trust, | |
Series 2004-NC7, Class M2 | |
(LIBOR USD 1-Month plus 0.93%) | |
5.78% | | 07/25/342 | | | 731,609 | | | | 689,459 | |
MortgageIT Trust, | |
Series 2005-3, Class A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 08/25/352 | | | 98,260 | | | | 90,453 | |
MortgageIT Trust, | |
Series 2005-4, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
5.41% | | 10/25/352 | | | 2,394,499 | | | | 2,345,023 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Nationstar Home Equity Loan Trust, | |
Series 2007-B, Class 1AV1 | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 04/25/372 | | $ | 2,917,842 | | | $ | 2,895,997 | |
New Century Home Equity Loan Trust, | |
Series 2005-3, Class M4 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.81% | | 07/25/352 | | | 689,987 | | | | 687,045 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
5.29% | | 02/25/362 | | | 234,417 | | | | 234,149 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class M1 | |
(LIBOR USD 1-Month plus 0.68%) | |
5.52% | | 02/25/362 | | | 5,000,000 | | | | 4,792,769 | |
NLT Trust, | |
Series 2021-INV2, Class A1 | |
1.16% | | 08/25/561,5 | | | 6,375,998 | | | | 5,310,179 | |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-5, Class 1APT | |
(LIBOR USD 1-Month plus 0.56%) | |
5.41% | | 12/25/352 | | | 3,008,235 | | | | 2,784,128 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-WCW3, Class M2 | |
(LIBOR USD 1-Month plus 0.74%) | |
5.58% | | 08/25/352 | | | 2,262,864 | | | | 2,141,731 | |
PHH Alternative Mortgage Trust, | |
Series 2007-3, Class A3 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 07/25/372 | | | 4,885,842 | | | | 4,554,833 | |
PRPM LLC, | |
| Series 2020-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.95% | | 10/25/251 | | | 6,313,208 | | | | 6,170,461 | |
PRPM LLC, | |
| Series 2021-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | 04/25/261 | | | 10,589,525 | | | | 9,879,149 | |
PRPM LLC, | |
| Series 2022-3, Class A1 (STEP-reset date 04/25/23) | | | | | |
5.56% | | 06/25/271 | | | 10,499,907 | | | | 10,358,661 | |
PRPM, LLC, | |
Series 2021-1, Class A1 | |
2.12% | | 01/25/261,5 | | | 4,705,534 | | | | 4,446,068 | |
PRPM, LLC, | |
| Series 2021-10, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.49% | | 10/25/261 | | | 10,455,878 | | | | 9,691,435 | |
PRPM, LLC, | |
| Series 2021-7, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | 08/25/261 | | | 11,172,923 | | | | 10,460,793 | |
Residential Accredit Loans Trust, | |
Series 2005-QA3, Class NB1 | |
3.61% | | 03/25/355 | | | 901,772 | | | | 457,651 | |
See accompanying Notes to Financial Statements.
|
| 135 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Asset Mortgage Products Trust, | |
Series 2005-EFC1, Class M5 | |
(LIBOR USD 1-Month plus 0.65%) | |
4.69% | | 05/25/352 | | $ | 2,464,958 | | | $ | 2,428,033 | |
Residential Asset Mortgage Products Trust, | |
Series 2006-NC2, Class A3 | |
(LIBOR USD 1-Month plus 0.58%) | |
5.43% | | 02/25/362 | | | 409,637 | | | | 406,990 | |
Residential Asset Securities Corp., | |
Series 2005-KS11, Class M2 | |
(LIBOR USD 1-Month plus 0.63%) | |
5.48% | | 12/25/352 | | | 2,005,272 | | | | 1,982,310 | |
Saxon Asset Securities Trust, | |
Series 2006-2, Class M1 | |
(LIBOR USD 1-Month plus 0.29%) | |
5.28% | | 09/25/362 | | | 11,000,000 | | | | 10,065,751 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/23) | | | | | |
2.86% | | 01/25/36 | | | 1,427,290 | | | | 1,122,753 | |
Soundview Home Loan Trust, | |
Series 2006-OPT4, Class 2A4 | |
(LIBOR USD 1-Month plus 0.46%) | |
5.31% | | 06/25/362 | | | 3,852,889 | | | | 3,677,440 | |
Specialty Underwriting & Residential Finance Trust, | |
Series 2005-BC2, Class M3 | |
(LIBOR USD 1-Month plus 0.98%) | |
5.82% | | 12/25/352 | | | 1,375,181 | | | | 1,337,131 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-BC6, Class A4 | |
(LIBOR USD 1-Month plus 0.17%) | |
5.02% | | 01/25/372 | | | 1,179,544 | | | | 1,154,284 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2003-26A, Class 3A5 | |
5.34% | | 09/25/335 | | | 210,609 | | | | 200,624 | |
Terwin Mortgage Trust, | |
Series 2004-7HE, Class A1 | |
(LIBOR USD 1-Month plus 1.10%) | |
5.95% | | 07/25/341,2 | | | 71,333 | | | | 61,800 | |
VOLT XCIV LLC, | |
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.24% | | 02/27/511 | | | 7,631,074 | | | | 7,176,493 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
4.09% | | 01/25/355 | | | 287,934 | | | | 257,066 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-CB2, Class 2A | |
5.50% | | 07/25/34 | | | 813,375 | | | | 768,059 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
(LIBOR USD 1-Month plus 0.58%) | |
5.43% | | 10/25/452 | | | 894,021 | | | | 820,398 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
|
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(LIBOR USD 1-Month plus 0.66%) | |
5.51% | | | 01/25/452 | | | $ | 118,588 | | | $ | 112,934 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 285,288,618 | |
| | | | | | | | | | | | |
U.S. Agency Commercial Mortgage-Backed — 1.30% | |
Fannie Mae-Aces, | |
Series 2021-M1, Class A1 | |
0.87% | | | 11/25/30 | | | | 2,060,458 | | | | 1,848,682 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K037, Class A1 | |
2.59% | | | 04/25/23 | | | | 7,050 | | | | 7,026 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, | |
Series KJ29, Class A1 | |
0.74% | | | 01/25/26 | | | | 2,466,403 | | | | 2,368,420 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ30, Class A1 | | | | | |
0.53% | | | 01/25/25 | | | | 722,410 | | | | 715,733 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ31, Class A1 | | | | | | | | | | | | |
0.57% | | | 05/25/26 | | | | 1,558,077 | | | | 1,492,232 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ34, Class A1 | |
0.68% | | | 06/25/26 | | | | 3,283,741 | | | | 3,039,286 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ37, Class A1 | |
1.68% | | | 12/25/27 | | | | 12,069,126 | | | | 11,095,175 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q004, Class AFL | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.74%) | | | | | |
4.20% | | | 05/25/442 | | | | 1,129,056 | | | | 1,122,170 | |
Ginnie Mae, | |
Series 2008-92, Class E | |
5.56% | | | 03/16/445 | | | | 1,379,849 | | | | 1,363,567 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,052,291 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 25.98% | |
Fannie Mae Pool 735861 | |
6.50% | | | 09/01/33 | | | | 4,942 | | | | 5,041 | |
Fannie Mae Pool 770900 | |
(LIBOR USD 12-Month plus 1.56%) | |
2.94% | | | 04/01/342 | | | | 81,590 | | | | 81,467 | |
Fannie Mae Pool AD0538 | |
6.00% | | | 05/01/24 | | | | 18,105 | | | | 18,096 | |
Fannie Mae Pool AE0083 | |
6.00% | | | 01/01/40 | | | | 459,200 | | | | 479,417 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 136 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AL0851 | |
6.00% | | 10/01/40 | | $ | 544,676 | | | $ | 576,944 | |
Fannie Mae REMICS, | |
Series 1997-76, Class FS | |
(LIBOR USD 1-Month plus 0.45%) | |
5.16% | | 09/17/272 | | | 4,233 | | | | 4,162 | |
Fannie Mae REMICS, | |
Series 2001-60, Class OF | |
(LIBOR USD 1-Month plus 0.95%) | |
5.80% | | 10/25/312 | | | 315,389 | | | | 318,814 | |
Fannie Mae REMICS, | |
Series 2007-64, Class FA | |
(LIBOR USD 1-Month plus 0.47%) | |
5.32% | | 07/25/372 | | | 148,613 | | | | 147,385 | |
Fannie Mae REMICS, | |
Series 2009-85, Class LF | |
(LIBOR USD 1-Month plus 1.20%) | |
6.05% | | 10/25/492 | | | 1,513,252 | | | | 1,548,282 | |
Fannie Mae REMICS, | |
Series 2009-96, Class FA | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | 11/25/492 | | | 1,079,568 | | | | 1,079,969 | |
Fannie Mae REMICS, | |
Series 2010-109, Class PF | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 10/25/402 | | | 543,064 | | | | 539,481 | |
Fannie Mae REMICS, | |
Series 2010-26, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | | | | | |
1.38% | | 11/25/362 | | | 3,617,595 | | | | 397,558 | |
Fannie Mae REMICS, | |
Series 2010-43, Class DP | |
5.00% | | 05/25/40 | | | 428,958 | | | | 436,914 | |
Fannie Mae REMICS, | |
Series 2010-6, Class BF | |
(LIBOR USD 1-Month plus 0.76%) | |
5.61% | | 02/25/402 | | | 863,509 | | | | 862,895 | |
Fannie Mae REMICS, | |
Series 2010-95, Class S (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
1.75% | | 09/25/402 | | | 2,744,915 | | | | 327,916 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 01/25/502 | | | 3,036,468 | | | | 2,975,634 | |
Fannie Mae REMICS, | |
Series 2020-10, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 03/25/502 | | | 5,663,295 | | | | 5,587,667 | |
Freddie Mac Gold Pool A45796 | |
7.00% | | 01/01/33 | | | 1,112 | | | | 1,124 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | 09/01/29 | | | 2,802 | | | | 2,901 | |
Freddie Mac Gold Pool G13475 | |
6.00% | | 01/01/24 | | | 295 | | | | 294 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Pool SD8189 | |
2.50% | | 01/01/52 | | $ | 12,746,565 | | | $ | 11,001,755 | |
Freddie Mac Pool SD8199 | |
2.00% | | 03/01/52 | | | 13,235,607 | | | | 10,937,212 | |
Freddie Mac REMICS, | |
Series 2174, Class PN | |
6.00% | | 07/15/29 | | | 176,677 | | | | 179,691 | |
Freddie Mac REMICS, | |
Series 2454, Class FQ | |
(LIBOR USD 1-Month plus 1.00%) | |
5.68% | | 06/15/312 | | | 2,816 | | | | 2,844 | |
Freddie Mac REMICS, | |
Series 2733, Class FB | |
(LIBOR USD 1-Month plus 0.60%) | |
5.28% | | 10/15/332 | | | 1,245,530 | | | | 1,254,636 | |
Freddie Mac REMICS, | |
Series 3071, Class TF | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 04/15/352 | | | 613,517 | | | | 611,569 | |
Freddie Mac REMICS, | |
Series 3294, Class CB | |
5.50% | | 03/15/37 | | | 190,580 | | | | 198,632 | |
Freddie Mac REMICS, | |
Series 3300, Class FA | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 08/15/352 | | | 334,502 | | | | 331,535 | |
Freddie Mac REMICS, | |
Series 3325, Class NF | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 08/15/352 | | | 862,629 | | | | 854,978 | |
Freddie Mac REMICS, | |
Series 3524, Class FC | |
(LIBOR USD 1-Month plus 0.94%) | |
5.62% | | 06/15/382 | | | 211,697 | | | | 214,418 | |
Freddie Mac REMICS, | |
Series 3531, Class FM | |
(LIBOR USD 1-Month plus 0.90%) | |
5.58% | | 05/15/392 | | | 136,138 | | | | 137,666 | |
Freddie Mac REMICS, | |
Series 3792, Class DF | |
(LIBOR USD 1-Month plus 0.40%) | |
5.08% | | 11/15/402 | | | 27,824 | | | | 27,800 | |
Freddie Mac REMICS, | |
Series 4060, Class FJ | |
(LIBOR USD 1-Month plus 0.35%) | |
5.03% | | 02/15/412 | | | 295,884 | | | | 295,884 | |
Freddie Mac REMICS, | |
Series 4959, Class JF | |
(LIBOR USD 1-Month plus 0.45%) | |
5.30% | | 03/25/502 | | | 4,965,116 | | | | 4,849,849 | |
Freddie Mac Strips, | |
Series 240, Class F30 | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 07/15/362 | | | 1,032,580 | | | | 1,021,365 | |
See accompanying Notes to Financial Statements.
|
| 137 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Strips, | |
Series 263, Class F5 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.18% | | | 06/15/422 | | | $ | 1,120,159 | | | $ | 1,105,960 | |
Freddie Mac Strips, | |
Series 319, Class F2 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.18% | | | 11/15/432 | | | | 5,182,931 | | | | 5,097,585 | |
Ginnie Mae (TBA) | | | | | | | | | | | | |
2.50% | | | 05/20/53 | | | | 52,000,000 | | | | 45,832,631 | |
4.50% | | | 04/20/53 | | | | 10,400,000 | | | | 10,247,726 | |
5.00% | | | 04/20/53 | | | | 4,600,000 | | | | 4,606,109 | |
Ginnie Mae II Pool 2020 | |
8.50% | | | 06/20/25 | | | | 114 | | | | 114 | |
Ginnie Mae II Pool 2286 | |
8.50% | | | 09/20/26 | | | | 37 | | | | 37 | |
Ginnie Mae II Pool 2487 | |
8.50% | | | 09/20/27 | | | | 1,460 | | | | 1,462 | |
Ginnie Mae II Pool 80059 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
2.88% | | | 04/20/272 | | | | 5,750 | | | | 5,642 | |
Ginnie Mae II Pool 80589 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
2.63% | | | 03/20/322 | | | | 8,469 | | | | 8,232 | |
Ginnie Mae II Pool 80610 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
2.88% | | | 06/20/322 | | | | 4,943 | | | | 4,885 | |
Ginnie Mae II Pool 80968 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
2.63% | | | 07/20/342 | | | | 134,819 | | | | 132,922 | |
Ginnie Mae II Pool 81201 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 2.00%) | |
3.13% | | | 01/20/352 | | | | 3,645 | | | | 3,516 | |
Ginnie Mae II Pool 8599 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | | | | | |
1-Year plus 1.50%) | |
3.00% | | | 02/20/252 | | | | 3,033 | | | | 2,988 | |
Ginnie Mae, | |
Series 2009-106, Class XI (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
2.04% | | | 05/20/372 | | | | 2,207,995 | | | | 103,778 | |
Ginnie Mae, | |
Series 2013-53, Class AD | |
1.50% | | | 12/20/26 | | | | 445,836 | | | | 427,912 | |
UMBS (TBA) | |
2.00% | | | 05/01/53 | | | | 55,600,000 | | | | 46,010,052 | |
2.50% | | | 05/01/53 | | | | 49,225,000 | | | | 42,483,514 | |
3.00% | | | 05/01/53 | | | | 43,025,000 | | | | 38,633,445 | |
3.50% | | | 05/01/53 | | | | 3,975,000 | | | | 3,694,924 | |
4.00% | | | 05/01/53 | | | | 33,300,000 | | | | 31,869,146 | |
4.50% | | | 04/15/53 | | | | 17,600,000 | | | | 17,244,080 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
4.50% | | 05/01/53 | | $ | 38,650,000 | | | $ | 37,881,187 | |
5.00% | | 05/01/53 | | | 89,125,000 | | | | 88,877,817 | |
5.50% | | 04/01/53 | | | 39,875,000 | | | | 40,280,759 | |
| | | | | | | | | | |
| | | | 461,868,218 | |
| | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $965,540,966) | | | | 942,708,090 | |
| | | | | | | | | | |
|
| MUNICIPAL BONDS — 1.47%* | |
California — 0.23% | |
| Campbell Union School District General Obligation, School | | | | | |
Improvements, Series B | |
5.41% | | 08/01/27 | | | 3,995,000 | | | | 4,092,185 | |
| | | | | | | | | | |
|
| Colorado — 0.05% | |
| City & County of Denver Airport System Revenue Bonds, | | | | | |
Series C | |
0.88% | | 11/15/23 | | | 895,000 | | | | 871,435 | |
| | | | | | | | | | |
|
| Florida — 0.07% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and | | | | | |
Marina Improvements, Series B | |
2.14% | | 10/01/28 | | | 445,000 | | | | 394,803 | |
2.29% | | 10/01/29 | | | 985,000 | | | | 862,611 | |
| | | | | | | | | | |
| | | | 1,257,414 | |
| | | | | | | | | | |
|
| Maryland — 0.09% | |
| City of Baltimore General Obligation, School Improvements, | | | | | |
Series C | |
5.00% | | 10/15/25 | | | 1,525,000 | | | | 1,534,391 | |
| | | | | | | | | | |
|
| Massachusetts — 0.29% | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | 07/15/31 | | | 5,235,000 | | | | 5,116,333 | |
| | | | | | | | | | |
|
| New York — 0.74% | |
| New York City Transitional Finance Authority Future Tax | | | | | |
Secured Revenue Bonds, Public Improvements | |
3.19% | | 08/01/25 | | | 1,110,000 | | | | 1,078,625 | |
| New York City Transitional Finance Authority Future Tax | | | | | |
| Secured Revenue Bonds, Public Improvements, Subseries | | | | | |
B2 | |
2.31% | | 11/01/26 | | | 4,060,000 | | | | 3,777,183 | |
| New York State Dormitory Authority Revenue Bonds, | | | | | |
| University & College Improvements, Series D | | | | | |
5.00% | | 03/15/24 | | | 4,040,000 | | | | 4,037,869 | |
| New York State Dormitory Authority Revenue Bonds, | | | | | |
| University & College Improvements, Series F | | | | | |
5.19% | | 03/15/24 | | | 4,360,000 | | | | 4,367,739 | |
| | | | | | | | | | |
| | | | 13,261,416 | |
| | | | | | | | | | |
| |
Total Municipal Bonds (Cost $27,568,287) | | | | 26,133,174 | |
| | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 13.64% | |
|
U.S. Treasury Bonds — 0.77% | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | 10/15/278 | | | 13,360,364 | | | | 13,626,212 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 138 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| U.S. TREASURY SECURITIES (continued) | |
|
| U.S. Treasury Notes — 12.87% | |
| U.S. Treasury Notes | | | | | |
3.63% | | | 03/31/28 | | | $ | 22,506,000 | | | $ | 22,547,320 | |
3.88% | | | 03/31/25 | | | | 101,405,000 | | | | 101,105,934 | |
4.00% | | | 02/29/28 | | | | 4,389,000 | | | | 4,469,237 | |
4.63% | | | 02/28/25 | | | | 47,251,000 | | | | 47,713,359 | |
4.63% | | | 03/15/26 | | | | 51,850,000 | | | | 53,034,853 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 228,870,703 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $241,099,888) | | | | 242,496,915 | |
| | | | | |
| |
Total Bonds — 112.98% | | | | | |
(Cost $2,053,078,269) | | | | 2,008,877,373 | |
| | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | | | | Shares | | | Value |
|
| COMMON STOCK — 0.00% | |
Electric — 0.00% | | | | | |
Homer City Holdings LLC†,4,6 | | | | 106,501 | | | | — | |
| | | | | |
| |
Total Common Stock | | | | | |
(Cost $6,078,660) | | | | | |
| |
Purchased Swaptions - 0.00% | | | | | |
(Cost $939,000) | | | | 1,476 | |
| | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount/Shares | | | Value |
|
| SHORT-TERM INVESTMENTS — 11.34% | |
Money Market Funds — 8.56% | |
| Dreyfus Government Cash Management Fund | | | | | |
4.71%9 | | | | | | | 63,684,000 | | | | 63,684,000 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%9 | | | | | | | 88,482,000 | | | | 88,482,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 152,166,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 1.39% | | | | | |
Federal Home Loan Bank | | | | | |
4.98%10 | | | 06/21/23 | | | | 25,000,000 | | | | 24,744,421 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 1.39% | | | | | |
U.S. Treasury Bills (WI) | | | | | |
4.76%10 | | | 07/18/23 | | | | 25,000,000 | | | | 24,657,524 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $201,538,512) | | | | 201,567,945 | |
| | | | | | | | | | | | |
| Total Investments Before Written Swaptions - 124.32% | | | | | |
(Cost $2,261,634,441) | | | | 2,210,446,794 | |
| | | | | | | | | | | | |
| |
Written Swaptions - 0.00% | | | | | |
(Cost $(540,000)) | | | | (3 | ) |
| | | | | | | | | | | | |
| |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | (14,800 | ) |
| |
Liabilities in Excess of Other Assets - (24.32)% | | | | (432,287,441 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 1,778,144,550 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 | 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. |
| 6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $8,782,473, which is 0.49% 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 $288,151, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum. |
| 8 | Inflation protected security. Principal amount reflects original security face amount. |
| 9 | Represents the current yield as of March 31, 2023. |
| 10 | 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 approved 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
(EUR): Euro
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| 139 / Annual Report March 2023 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
Currency to be Purchased | | Currency to
be Sold | | Counterparty | | Settlement
Date | | | Unrealized (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 9,282,276 | | EUR 8,587,000 | | Citibank N.A. | | | 04/13/23 | | | $ | (53,869) | |
USD 1,327,929 | | EUR 1,258,000 | | Goldman Sachs International | | | 04/13/23 | | | | (39,821) | |
USD 841,497 | | EUR 793,000 | | Barclays Bank PLC | | | 04/13/23 | | | | (20,686) | |
| | | | | | | | | | | | |
| | |
NET UNREALIZED DEPRECIATION | | | | | | $ | (114,376) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 6,159 | | | | 06/30/23 | | | $ | 1,271,544,803 | | | $ | 13,397,161 | | | $ | 13,397,161 | |
| | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 3,693 | | | | 06/30/23 | | | | (404,412,353) | | | | (6,412,488) | | | | (6,412,488) | |
U.S. Treasury Ten-Year Ultra Bond | | | 881 | | | | 06/21/23 | | | | (106,724,891) | | | | (3,061,276) | | | | (3,061,276) | |
U.S. Treasury Ultra Bond | | | 244 | | | | 06/21/23 | | | | (34,434,500) | | | | (1,519,394) | | | | (1,519,394) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | (545,571,744) | | | | (10,993,158) | | | | (10,993,158) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 725,973,059 | | | $ | 2,404,003 | | | $ | 2,404,003 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Reference Obligation/Index | | Financing Rate Paid by the Fund | | | Payment Frequency | | | Implied Credit Spread at 03/31/231 | | | Counterparty | | | Expiration Date | | | Notional Amount (000’s)2 | | | Value3 | | | Premiums Paid | | | Unrealized Appreciation | |
| | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4 | | | | | | | | | |
1011778 BC ULC/New Red | | | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
10/15/305 | | | 5.00% | | | | 3 Months | | | | 120 | | | | International | | | | 06/20/23 | | | $ | 6,695 | | | $ | 67,603 | | | $ | 48,325 | | | $ | 19,278 | |
| | | | | | | | | | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | | 5.00% | | | | 3 Months | | | | 175 | | | | International | | | | 12/20/23 | | | | 3,425 | | | | 84,632 | | | | 75,877 | | | | 8,755 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 152,235 | | | $ | 124,202 | | | $ | 28,033 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 140 |
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Received by the | | | | | | | | | | | | | | | | | | | |
| | | | | Fund | | | 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 | | | $ | 1,476 | | | $ | 939,000 | | | $ | (937,524) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Received by | | | | | | | | | | | | | | | | |
| | | | | | | | | the Fund | | Paid by the Fund | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | Notional | | | | | | | | | | |
| | | | | Purchase | | Maturity | | | | | | | | | | Amount | | | | | | Premiums | | | Unrealized | |
| Description | | Counterparty | | Date | | Date | | Rate | | Frequency | | Rate | | Frequency | | (000’s) | | | Value | | | (Received) | | | Appreciation | |
| | | | | | | | |
WRITTEN CALL SWAPTIONS | | | | | | | | | | | | | | | | | | | | | | | | |
| Option to enter into a 30-year Interest Rate Swap | | Goldman
Sachs
International | | 04/29/15 | | 12/24/23 | | 7.50% | | Quarterly | | 3-month
USD
LIBOR | | Quarterly | | $ | 300 | | | $ | (3 | ) | | $ | (540,000 | ) | | $ | 539,997 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 141 / Annual Report March 2023 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| BONDS – 81.43% | |
|
| BANK LOANS — 9.13%* | |
|
| Consumer Discretionary — 1.05% | |
City Brewing Co. LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.32% | | 04/05/281 | | $ | 7,481 | | | $ | 3,163 | |
Hanesbrands, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.55% | | 03/08/301 | | | 5,000 | | | | 4,988 | |
Naked Juice, LLC, | |
Term Loan, 2nd Lien | |
(SOFR plus 6.00%) | |
11.00% | | 01/24/301 | | | 12,000 | | | | 9,200 | |
New Trojan Parent, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
7.96% - 8.09% | | 01/06/281 | | | 6,484 | | | | 4,441 | |
| | | | | | | | | | |
| | | | 21,792 | |
| | | | | | | | | | |
|
| Entertainment — 0.50% | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.50%) | |
9.50% | | 02/28/251 | | | 15,802 | | | | 2,532 | |
Crown Finance U.S., Inc., | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 10.10%) | |
14.66% - 14.80% | | 09/07/231,2 | | | 7,747 | | | | 7,869 | |
| | | | | | | | | | |
| | | | 10,401 | |
| | | | | | | | | | |
|
| Food — 0.52% | |
Sovos Brands Intermediate, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.33% | | 06/08/281 | | | 10,777 | | | | 10,709 | |
| | | | | | | | | | |
|
| Health Care — 0.47% | |
Cano Health, LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.81% | | 11/23/271 | | | 12,773 | | | | 9,644 | |
| | | | | | | | | | |
|
| Industrials — 2.20% | |
Patriot Container Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.47% | | 03/20/251 | | | 4,488 | | | | 4,152 | |
Protective Industrial Products, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 12/29/271 | | | 12,804 | | | | 11,908 | |
SPX FLOW, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.60%) | |
9.41% - 9.58% | | 04/05/291 | | | 6,536 | | | | 6,254 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
Industrials (continued) | |
Transcendia Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 05/30/241 | | $ | 16,735 | | | $ | 12,718 | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 08/12/241 | | | 12,309 | | | | 10,661 | |
| | | | | | | | | | |
| | | | 45,693 | |
| | | | | | | | | | |
|
| Information Technology — 1.45% | |
Central Parent, Inc., | |
Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
9.14% - 9.18% | | 07/06/291,2 | | | 4,988 | | | | 4,980 | |
Logmein, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
9.38% | | 08/31/271 | | | 6,982 | | | | 4,024 | |
Magenta Buyer LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
9.58% | | 07/27/281 | | | 12,838 | | | | 10,632 | |
Open Text Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.30% | | 08/24/291 | | | 10,474 | | | | 10,460 | |
| | | | | | | | | | |
| | | | 30,096 | |
| | | | | | | | | | |
|
| Materials — 1.00% | |
Geon Performance Solutions, LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
9.44% | | 08/18/281 | | | 12,805 | | | | 12,640 | |
Iris Holding, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.75%) | |
9.53% | | 06/28/281 | | | 3,980 | | | | 3,436 | |
Polar U.S. Borrower LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.75%) | |
9.02% | | 10/15/251 | | | 5,500 | | | | 4,603 | |
| | | | | | | | | | |
| | | | 20,679 | |
| | | | | | | | | | |
|
| Retail — 0.69% | |
Tacala Investment Corp., | |
Term Loan B, 2nd Lien | |
(LIBOR plus 7.50%) | |
12.34% | | 02/04/281 | | | 15,500 | | | | 14,212 | |
| | | | | | | | | | |
|
| Services — 0.35% | |
Neptune Bidco U.S., Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 5.10%) | |
9.74% | | 04/11/291 | | | 8,000 | | | | 7,220 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 142 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| BANK LOANS (continued) | |
| Transportation — 0.90% | |
Kenan Advantage Group, Inc. (The), | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
12.09% | | 09/01/271 | | $ | 20,000 | | | $ | 18,692 | |
| | | | | | | | | | |
| | |
Total Bank Loans | | | | | | | | |
(Cost $215,525) | | | | 189,138 | |
| | | | | | | | | | |
|
| CORPORATES — 63.73%* | |
| Automobile Components — 0.25% | |
Allison Transmission, Inc. | |
3.75% | | 01/30/313 | | | 6,000 | | | | 5,132 | |
| | | | | | | | | | |
| Banking — 2.25% | |
Bank of America Corp., | |
Series RR | |
4.38%4,5 | | | | | 6,000 | | | | 5,123 | |
Bank of New York Mellon Corp. (The), | |
Series I | |
3.75%4,5 | | | | | 6,000 | | | | 5,000 | |
Credit Suisse Group AG | |
(Switzerland) | |
6.37% | | 07/15/262,3,4 | | | 5,000 | | | | 4,876 | |
6.54% | | 08/12/332,3,4 | | | 20,000 | | | | 20,500 | |
7.50%2,3,5 | | | | | 5,000 | | | | 213 | |
U.S. Bancorp | |
3.70%4,5 | | | | | 14,000 | | | | 10,930 | |
| | | | | | | | | | |
| | | | 46,642 | |
| | | | | | | | | | |
| Communications — 14.52% | |
Altice France SA | |
(France) | |
5.13% | | 01/15/292,3 | | | 13,000 | | | | 9,970 | |
5.50% | | 10/15/292,3 | | | 11,000 | | | | 8,456 | |
8.13% | | 02/01/272,3 | | | 6,000 | | | | 5,565 | |
Cable One, Inc. | |
4.00% | | 11/15/303 | | | 25,000 | | | | 20,500 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | |
4.50% | | 08/15/303 | | | 29,000 | | | | 24,477 | |
4.75% | | 03/01/303 | | | 6,000 | | | | 5,205 | |
Cogent Communications Group, Inc. | |
7.00% | | 06/15/273 | | | 7,000 | | | | 6,948 | |
CommScope, Inc. | |
4.75% | | 09/01/293 | | | 16,000 | | | | 13,452 | |
Consolidated Communications, Inc. | |
6.50% | | 10/01/283 | | | 7,000 | | | | 5,091 | |
CSC Holdings LLC | |
6.50% | | 02/01/293 | | | 30,000 | | | | 24,942 | |
7.50% | | 04/01/283 | | | 17,000 | | | | 10,853 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/263,6,7 | | | 26,000 | | | | 1,463 | |
DISH DBS Corp. | |
5.13% | | 06/01/29 | | | 9,000 | | | | 4,804 | |
5.25% | | 12/01/263 | | | 10,000 | | | | 7,998 | |
DISH Network Corp. | |
11.75% | | 11/15/273 | | | 3,000 | | | | 2,888 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Communications (continued) | |
Frontier Communications Holdings LLC | |
5.00% | | 05/01/283 | | $ | 8,000 | | | $ | 6,952 | |
6.75% | | 05/01/293 | | | 6,000 | | | | 4,761 | |
8.63% | | 03/15/313 | | | 6,000 | | | | 5,880 | |
Gray Escrow II, Inc. | |
5.38% | | 11/15/313 | | | 14,000 | | | | 9,218 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
6.50% | | 03/15/302,3 | | | 22,000 | | | | 20,256 | |
Level 3 Financing, Inc. | |
4.25% | | 07/01/283 | | | 13,000 | | | | 7,349 | |
10.50% | | 05/15/303 | | | 19,800 | | | | 18,934 | |
National CineMedia LLC | |
5.75% | | 08/15/26 | | | 9,000 | | | | 217 | |
Nexstar Media, Inc. | |
4.75% | | 11/01/283 | | | 4,000 | | | | 3,560 | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | |
4.75% | | 04/30/273 | | | 8,000 | | | | 6,840 | |
Scripps Escrow II, Inc. | |
5.38% | | 01/15/313 | | | 10,000 | | | | 6,900 | |
Scripps Escrow, Inc. | |
5.88% | | 07/15/273 | | | 6,000 | | | | 4,479 | |
Sinclair Television Group, Inc. | |
4.13% | | 12/01/303 | | | 4,000 | | | | 3,230 | |
Sirius XM Radio, Inc. | |
3.88% | | 09/01/313 | | | 17,000 | | | | 13,234 | |
Vmed O2 UK Financing I PLC | |
(United Kingdom) | |
4.75% | | 07/15/312,3 | | | 14,000 | | | | 12,071 | |
VZ Secured Financing BV | |
(Netherlands) | |
5.00% | | 01/15/322,3 | | | 16,000 | | | | 13,070 | |
Zayo Group Holdings, Inc. | |
4.00% | | 03/01/273 | | | 15,000 | | | | 11,414 | |
| | | | | | | | | | |
| | | | 300,977 | |
| | | | | | | | | | |
| Consumer Discretionary — 2.92% | |
Everi Holdings, Inc. | |
5.00% | | 07/15/293 | | | 5,000 | | | | 4,500 | |
Hilton Domestic Operating Co., Inc. | |
3.63% | | 02/15/323 | | | 15,000 | | | | 12,670 | |
Triton Water Holdings, Inc. | |
6.25% | | 04/01/293 | | | 19,000 | | | | 15,123 | |
WarnerMedia Holdings, Inc. | |
5.14% | | 03/15/523 | | | 20,000 | | | | 16,249 | |
Wyndham Hotels & Resorts, Inc. | |
4.38% | | 08/15/283 | | | 13,000 | | | | 11,994 | |
| | | | | | | | | | |
| | | | 60,536 | |
| | | | | | | | | | |
| Consumer Products — 0.24% | |
Newell Brands, Inc. | |
6.00% | | 04/01/46 | | | 6,000 | | | | 4,911 | |
| | | | | | | | | | |
| Diversified REITs — 0.48% | |
VICI Properties LP/VICI Note Co., Inc. | |
5.75% | | 02/01/273 | | | 10,000 | | | | 9,855 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 143 / Annual Report March 2023 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
|
| Electric — 0.21% | |
Pike Corp. | |
5.50% | | | 09/01/283 | | | $ | 5,000 | | | $ | 4,380 | |
| | | | | | | | | | | | |
| Energy — 5.61% | |
Energy Transfer LP, | |
Series B | | | | | | | | | | | | |
6.63%4,5 | | | | | | | 22,000 | | | | 16,469 | |
Global Partners LP/GLP Finance Corp. | |
6.88% | | | 01/15/29 | | | | 16,000 | | | | 14,890 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
7.50% | | | 02/01/263 | | | | 7,000 | | | | 6,764 | |
SM Energy Co. | |
6.50% | | | 07/15/28 | | | | 13,000 | | | | 12,467 | |
TransMontaigne Partners LP/TLP Finance Corp. | |
6.13% | | | 02/15/26 | | | | 15,000 | | | | 12,990 | |
Transocean Titan Financing Ltd. | |
(Cayman Islands) | |
8.38% | | | 02/01/282,3 | | | | 13,000 | | | | 13,292 | |
| USA Compression Partners LP/USA Compression Finance | | | | | |
Corp. | | | | | | | | | | | | |
6.88% | | | 09/01/27 | | | | 10,000 | | | | 9,566 | |
Venture Global Calcasieu Pass LLC | |
4.13% | | | 08/15/313 | | | | 34,000 | | | | 29,898 | |
| | | | | | | | | | | | |
| | | | 116,336 | |
| | | | | | | | | | | | |
| Entertainment — 0.51% | |
Cinemark USA, Inc. | |
5.25% | | | 07/15/283 | | | | 12,000 | | | | 10,503 | |
| | | | | | | | | | | | |
| Finance — 1.68% | |
American Express Co., | |
Series D | |
3.55%4,5 | | | | | | | 7,000 | | | | 5,854 | |
Charles Schwab Corp. (The) | |
Series K | |
5.00%4,5 | | | | | | | 9,000 | | | | 7,650 | |
Jane Street Group/JSG Finance, Inc. | |
4.50% | | | 11/15/293 | | | | 16,000 | | | | 14,364 | |
JPMorgan Chase & Co., | |
Series KK | |
3.65%4,5 | | | | | | | 8,000 | | | | 7,020 | |
| | | | | | | | | | | | |
| | | | 34,888 | |
| | | | | | | | | | | | |
| Food — 5.03% | |
B&G Foods, Inc. | |
5.25% | | | 04/01/25 | | | | 4,000 | | | | 3,745 | |
5.25% | | | 09/15/27 | | | | 2,000 | | | | 1,724 | |
Chobani LLC/Chobani Finance Corp, Inc. | |
4.63% | | | 11/15/283 | | | | 5,000 | | | | 4,562 | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | | 06/01/263 | | | | 6,000 | | | | 3,719 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | | | | | |
Inc. | |
(Canada) | |
3.75% | | | 12/01/312,3 | | | | 20,000 | | | | 16,583 | |
5.75% | | | 04/01/332,3 | | | | 15,000 | | | | 14,425 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Food (continued) | |
Pilgrim’s Pride Corp. | |
3.50% | | 03/01/32 | | $ | 30,000 | | | $ | 24,229 | |
5.88% | | 09/30/273 | | | 20,000 | | | | 19,891 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ | | | | | |
Simmons Pet Food, Inc./Simmons Feed | |
4.63% | | 03/01/293 | | | 19,000 | | | | 15,448 | |
| | | | | | | | | | |
| | | | 104,326 | |
| | | | | | | | | | |
| Gaming — 0.14% | |
Penn Entertainment, Inc. | |
5.63% | | 01/15/273 | | | 3,000 | | | | 2,821 | |
| | | | | | | | | | |
| Health Care — 12.17% | |
1375209 BC Ltd. | |
(Canada) | |
9.00% | | 01/30/282,3 | | | 13,000 | | | | 12,902 | |
180 Medical, Inc. | |
3.88% | | 10/15/293 | | | 11,000 | | | | 9,763 | |
Bausch Health Cos., Inc. | |
(Canada) | |
11.00% | | 09/30/282,3 | | | 3,000 | | | | 2,222 | |
14.00% | | 10/15/302,3 | | | 1,000 | | | | 568 | |
Cano Health LLC | |
6.25% | | 10/01/283 | | | 11,000 | | | | 6,077 | |
Catalent Pharma Solutions, Inc. | |
5.00% | | 07/15/273 | | | 20,000 | | | | 19,550 | |
Centene Corp. | |
2.63% | | 08/01/31 | | | 7,000 | | | | 5,674 | |
3.00% | | 10/15/30 | | | 5,000 | | | | 4,215 | |
4.25% | | 12/15/27 | | | 33,000 | | | | 31,827 | |
Embecta Corp. | |
6.75% | | 02/15/303 | | | 14,000 | | | | 12,762 | |
Grifols Escrow Issuer SA | |
(Spain) | |
4.75% | | 10/15/282,3 | | | 16,000 | | | | 13,137 | |
HCA, Inc. | |
3.50% | | 09/01/30 | | | 3,000 | | | | 2,674 | |
5.63% | | 09/01/28 | | | 10,000 | | | | 10,094 | |
5.88% | | 02/01/29 | | | 2,000 | | | | 2,044 | |
Medline Borrower LP | |
3.88% | | 04/01/293 | | | 8,000 | | | | 6,980 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | 10/01/293 | | | 9,000 | | | | 7,729 | |
ModivCare, Inc. | |
5.88% | | 11/15/253 | | | 8,000 | | | | 7,680 | |
Molina Healthcare, Inc. | |
3.88% | | 11/15/303 | | | 37,000 | | | | 32,363 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | 04/30/313 | | | 8,000 | | | | 7,119 | |
Prestige Brands, Inc. | |
3.75% | | 04/01/313 | | | 6,000 | | | | 5,091 | |
Prime Healthcare Services, Inc. | |
7.25% | | 11/01/253 | | | 14,000 | | | | 12,460 | |
Tenet Healthcare Corp. | |
4.25% | | 06/01/29 | | | 13,000 | | | | 11,773 | |
4.63% | | 07/15/24 | | | 15,000 | | | | 14,812 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 144 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Health Care (continued) | |
4.88% | | 01/01/26 | | $ | 13,000 | | | $ | 12,758 | |
| | | | | | | | | | |
| | | | 252,274 | |
| | | | | | | | | | |
| Industrials — 4.56% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
(Canada) | |
5.25% | | 08/15/272,3 | | | 18,000 | | | | 14,209 | |
Artera Services LLC | |
9.03% | | 12/04/253 | | | 5,000 | | | | 4,329 | |
Ball Corp. | |
3.13% | | 09/15/31 | | | 6,000 | | | | 4,972 | |
Energizer Holdings, Inc. | |
4.38% | | 03/31/293 | | | 8,000 | | | | 7,050 | |
General Electric Co., | |
Series D | |
8.20%4,5 | | | | | 7,000 | | | | 6,999 | |
Graham Packaging Co., Inc. | |
7.13% | | 08/15/283 | | | 8,000 | | | | 6,969 | |
II-VI, Inc. | |
5.00% | | 12/15/293 | | | 3,000 | | | | 2,725 | |
OT Merger Corp. | |
7.88% | | 10/15/293 | | | 18,000 | | | | 10,842 | |
| Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group | | | | | |
Issuer, Inc. | |
4.38% | | 10/15/283 | | | 11,000 | | | | 9,641 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC | |
(Canada) | |
7.75% | | 04/15/262,3 | | | 3,000 | | | | 2,520 | |
TransDigm, Inc. | |
4.63% | | 01/15/29 | | | 6,000 | | | | 5,340 | |
6.25% | | 03/15/263 | | | 5,000 | | | | 5,013 | |
6.75% | | 08/15/283 | | | 11,000 | | | | 11,117 | |
Trivium Packaging Finance BV | |
(Netherlands) | |
5.50% | | 08/15/262,3 | | | 3,000 | | | | 2,878 | |
| | | | | | | | | | |
| | | | 94,604 | |
| | | | | | | | | | |
| Information Technology — 2.88% | |
Alteryx, Inc. | |
8.75% | | 03/15/283 | | | 5,000 | | | | 5,057 | |
MSCI, Inc. | |
3.63% | | 11/01/313 | | | 29,000 | | | | 24,864 | |
NCR Corp. | |
5.25% | | 10/01/303 | | | 30,000 | | | | 24,519 | |
Open Text Corp. | |
(Canada) | |
6.90% | | 12/01/272,3 | | | 5,000 | | | | 5,156 | |
| | | | | | | | | | |
| | | | 59,596 | |
| | | | | | | | | | |
| Insurance — 1.79% | |
Acrisure LLC/Acrisure Finance, Inc. | |
6.00% | | 08/01/293 | | | 11,000 | | | | 9,157 | |
7.00% | | 11/15/253 | | | 3,000 | | | | 2,818 | |
Alliant Holdings Intermediate LLC/Alliant Holdings | |
Co.-Issuer | |
6.75% | | 10/15/273 | | | 13,000 | | | | 12,106 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Insurance (continued) | |
AssuredPartners, Inc. | |
5.63% | | 01/15/293 | | $ | 15,000 | | | $ | 12,980 | |
| | | | | | | | | | |
| | | | 37,061 | |
| | | | | | | | | | |
| Materials — 3.77% | |
ASP Unifrax Holdings, Inc. | |
7.50% | | 09/30/293 | | | 11,000 | | | | 7,490 | |
ATI, Inc. | |
5.13% | | 10/01/31 | | | 5,000 | | | | 4,575 | |
Axalta Coating Systems, LLC | |
3.38% | | 02/15/293 | | | 8,000 | | | | 6,939 | |
Herens Holdco SARL | |
(Luxembourg) | |
4.75% | | 05/15/282,3 | | | 13,000 | | | | 10,410 | |
International Flavors & Fragrances, Inc. | |
2.30% | | 11/01/303 | | | 9,000 | | | | 7,229 | |
SCIH Salt Holdings, Inc. | |
4.88% | | 05/01/283 | | | 4,000 | | | | 3,575 | |
SK Invictus Intermediate II SARL | |
(Luxembourg) | |
5.00% | | 10/30/292,3 | | | 16,000 | | | | 13,301 | |
Valvoline, Inc. | |
3.63% | | 06/15/313 | | | 20,000 | | | | 17,006 | |
WR Grace Holdings, LLC | |
5.63% | | 08/15/293 | | | 9,000 | | | | 7,650 | |
| | | | | | | | | | |
| | | | 78,175 | |
| | | | | | | | | | |
| Retail — 1.68% | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance | | | | | |
Co., Inc. | |
6.75% | | 01/15/303 | | | 18,000 | | | | 14,815 | |
FirstCash, Inc. | |
5.63% | | 01/01/303 | | | 3,000 | | | | 2,772 | |
Michaels Cos., Inc. (The) | |
7.88% | | 05/01/293 | | | 10,000 | | | | 7,009 | |
Papa John’s International, Inc. | |
3.88% | | 09/15/293 | | | 12,000 | | | | 10,328 | |
| | | | | | | | | | |
| | | | 34,924 | |
| | | | | | | | | | |
| Services — 2.29% | |
Global Payments, Inc. | |
5.30% | | 08/15/29 | | | 3,000 | | | | 2,968 | |
HealthEquity, Inc. | |
4.50% | | 10/01/293 | | | 5,000 | | | | 4,478 | |
Hertz Corp. (The) | |
5.00% | | 12/01/293 | | | 10,000 | | | | 8,332 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | | | | | |
3.38% | | 08/31/273 | | | 4,000 | | | | 3,589 | |
Upbound Group, Inc. | |
6.38% | | 02/15/293 | | | 6,000 | | | | 5,055 | |
WASH Multifamily Acquisition, Inc. | |
5.75% | | 04/15/263 | | | 3,000 | | | | 2,841 | |
Waste Pro USA, Inc. | |
5.50% | | 02/15/263 | | | 22,000 | | | | 20,255 | |
| | | | | | | | | | |
| | | | 47,518 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 145 / Annual Report March 2023 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| CORPORATES (continued) | |
Specialized REITs — 0.75% | |
Iron Mountain, Inc. | |
5.25% | | 07/15/303 | | $ | 5,000 | | | $ | 4,538 | |
5.63% | | 07/15/323 | | | 12,000 | | | | 10,989 | |
| | | | | | | | | | |
| | | | 15,527 | |
| | | | | | | | | | |
| |
Total Corporates (Cost $1,401,656) | | | | 1,320,986 | |
| | | | | | | | | | |
|
| MORTGAGE-BACKED — 8.57%** | |
| Non-Agency Commercial Mortgage-Backed — 1.31% | |
BCRR Trust, | |
Series 2016-FRR3, Class E | |
(-1.00 X LIBOR USD 1-Month plus 18.35%) | |
6.36% | | 05/26/261,3 | | | 13,295 | | | | 12,185 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class XA (IO) | |
1.23% | | 10/15/454 | | | 71,186 | | | | 151 | |
Commercial Mortgage Trust, | |
Series 2013-CR11, Class XA (IO) | |
0.89% | | 08/10/504 | | | 576,075 | | | | 550 | |
GS Mortgage Securities Trust, | |
Series 2013-GC14, Class XA (IO) | |
0.45% | | 08/10/464 | | | 433,241 | | | | 982 | |
| Impact Funding Affordable Multifamily Housing Mortgage | | | | | |
Loan Trust, | |
Series 2010-1, Class A1 | |
5.31% | | 01/25/513 | | | 5,409 | | | | 5,295 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2013-C17, Class XA (IO) | |
0.68% | | 01/15/474 | | | 644,179 | | | | 1,392 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C25, Class XA (IO) | |
0.81% | | 11/15/474 | | | 151,865 | | | | 1,504 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C10, Class XA (IO) | |
1.15% | | 12/15/453,4 | | | 59,778 | | | | 1 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C13, Class XA (IO) | |
1.05% | | 05/15/453,4 | | | 324,498 | | | | 1,036 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C14, Class XA (IO) | |
0.65% | | 06/15/464 | | | 830,002 | | | | 2,387 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C17, Class XA (IO) | |
1.03% | | 12/15/464 | | | 578,852 | | | | 1,740 | |
| | | | | | | | | | |
| | | | 27,223 | |
| | | | | | | | | | |
| Non-Agency Mortgage-Backed — 7.13% | |
American Home Mortgage Assets Trust, | |
Series 2007-1, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus | | | | | |
0.70%) | |
3.84% | | 02/25/471 | | | 25,269 | | | | 10,382 | |
CIM Trust, | |
| Series 2022-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
5.00% | | 07/25/623 | | | 30,731 | | | | 28,346 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR7, Class 1A1 | |
3.06% | | | 11/25/374 | | | $ | 8,541 | | | $ | 6,709 | |
JPMorgan Mortgage Trust, | |
Series 2006-A4, Class 1A1 | |
3.70% | | | 06/25/364 | | | | 21,763 | | | | 16,306 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
3.87% | | | 11/21/344 | | | | 35,102 | | | | 32,523 | |
MASTR Alternative Loan Trust, | |
Series 2006-2, Class 2A2 (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap) | | | | | |
2.25% | | | 03/25/361,8,9 | | | | 218,486 | | | | 16,821 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE2, Class 2A2 | |
(LIBOR USD 1-Month plus 0.19%) | |
5.04% | | | 04/25/371 | | | | 47,021 | | | | 17,985 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR9, Class A1A | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | | 07/25/451 | | | | 20,608 | | | | 18,672 | |
| | | | | | | | | | | | |
| | | | 147,744 | |
| | | | | | | | | | | | |
| U.S. Agency Commercial Mortgage-Backed — 0.13% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K028, Class X3 (IO) | |
2.92% | | | 06/25/414 | | | | 94,006 | | | | 198 | |
Ginnie Mae, | |
Series 2012-27, Class IO (IO) | |
0.27% | | | 04/16/534 | | | | 279,315 | | | | 887 | |
Ginnie Mae, | |
Series 2013-163, Class IO (IO) | |
1.02% | | | 02/16/464 | | | | 119,912 | | | | 1,551 | |
| | | | | | | | | | | | |
| | | | 2,636 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $296,783) | | | | 177,603 | |
| | | | | | | | | | | | |
| |
Total Bonds — 81.43% (Cost $1,913,964) | | | | 1,687,727 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | | | | Shares | | | Value |
|
| COMMON STOCK — 10.08% | |
|
| Communication Services — 2.34% | |
Altice USA, Inc.6 | | | | 1,736 | | | | 5,937 | |
AT&T, Inc. | | | | 372 | | | | 7,161 | |
Nexstar Media Group, Inc. | | | | 59 | | | | 10,187 | |
T-Mobile U.S., Inc.6 | | | | 138 | | | | 19,988 | |
Warner Bros Discovery, Inc.6 | | | | 340 | | | | 5,134 | |
| | | | | | | | | | | | |
| | | | 48,407 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 1.33% | |
Newell Brands, Inc. | | | | 416 | | | | 5,175 | |
Qurate Retail, Inc.6 | | | | 3,324 | | | | 3,283 | |
Spectrum Brands Holdings, Inc. | | | | 84 | | | | 5,563 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 146 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | | | Shares | | | Value |
|
| COMMON STOCK — 10.08% (continued) | |
| Consumer Discretionary — 1.33% (continued) | |
Upbound Group, Inc. | | | 553 | | | $ | 13,554 | |
| | | | | | | | | | |
| | | | 27,575 | |
| | | | | | | | | | |
|
| Diversified REITs — 0.85% | |
Gaming and Leisure Properties, Inc. | | | 340 | | | | 17,700 | |
| | | | | | | | | | |
|
| Financials — 1.53% | |
FirstCash Holdings, Inc. | | | 240 | | | | 22,889 | |
Wells Fargo & Co. | | | 237 | | | | 8,859 | |
| | | | | | | | | | |
| | | | 31,748 | |
| | | | | | | | | | |
|
| Gaming — 0.51% | |
Penn Entertainment, Inc.6 | | | 354 | | | | 10,500 | |
| | | | | | | | | | |
|
| Health Care — 1.14% | |
Bausch + Lomb Corp.2,6 | | | | | | | | |
(Canada) | | | 365 | | | | 6,355 | |
Bausch Health Cos., Inc.2,6 | | | | | | | | |
(Canada) | | | 940 | | | | 7,614 | |
Centene Corp.6 | | | 154 | | | | 9,734 | |
| | | | | | | | | | |
| | | | 23,703 | |
| | | | | | | | | | |
|
| Industrials — 0.36% | |
TransDigm Group, Inc. | | | 10 | | | | 7,370 | |
| | | | | | | | | | |
|
| Information Technology — 0.72% | |
CommScope Holding Co., Inc.6 | | | 818 | | | | 5,210 | |
NCR Corp.6 | | | 239 | | | | 5,638 | |
SS&C Technologies Holdings, Inc. | | | 72 | | | | 4,066 | |
| | | | | | | | | | |
| | | | 14,914 | |
| | | | | | | | | | |
|
| Office REITs — 0.16% | |
Hudson Pacific Properties, Inc. | | | 492 | | | | 3,272 | |
| | | | | | | | | | |
|
| Transportation — 0.90% | |
Hertz Global Holdings, Inc.6 | | | 1,149 | | | | 18,717 | |
| | | | | | | | | | |
|
| Utilities — 0.24% | |
FirstEnergy Corp. | | | 127 | | | | 5,088 | |
| | | | | | | | | | |
| |
Total Common Stock (Cost $318,794) | | | | 208,994 | |
| | | | | | | | | | |
|
| MASTER LIMITED PARTNERSHIPS — 2.22% | |
|
| Energy — 2.22% | |
Enterprise Products Partners LP | | | 664 | | | | 17,198 | |
NGL Energy Partners LP6 | | | 2,525 | | | | 7,322 | |
Sunoco LP | | | 164 | | | | 7,198 | |
USA Compression Partners LP | | | 676 | | | | 14,284 | |
| | | | | | | | | | |
| | | | 46,002 | |
| | | | | | | | | | |
| |
Total Master Limited Partnerships (Cost $29,549) | | | | 46,002 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount/Shares | | | Value |
|
| SHORT-TERM INVESTMENTS — 48.31% | |
| Money Market Funds — 47.59% | |
| Dreyfus Government Cash Management Fund | | | | | |
4.71%10 | | | 100,000 | | | $ | 100,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.72%10 | | | 818,491 | | | | 818,491 | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%10 | | | 68,000 | | | | 68,000 | |
| | | | | | | | | | |
| | | | 986,491 | |
| | | | | | | | | | |
| U.S. Treasury Bills — 0.72% | |
| U.S. Treasury Bills | | | | | |
4.62%11 | | 07/20/23 | | $ | 15,000 | | | | 14,795 | |
| | | | | | | | | | |
| |
Total Short-Term Investments (Cost $1,001,284) | | | | 1,001,286 | |
| | | | | | | | | | |
| |
Total Investments - 142.04% (Cost $3,263,591) | | | | 2,944,009 | |
| | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets - (42.04)% | | | | (871,319 | ) |
| | | | | | | | | | |
Net Assets - 100.00% | | | $ | 2,072,690 | |
| | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 2 | Foreign denominated security issued by foreign domiciled entity. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | 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 | Perpetual security with no stated maturity date. |
| 6 | Non-income producing security. |
| 7 | Security is currently in default with regard to scheduled interest or principal payments. |
| 8 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 9 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $16,821, which is 0.81% of total net assets. |
| 10 | Represents the current yield as of March 31, 2023. |
| 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
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(USD): U.S. Dollar
See accompanying Notes to Financial Statements.
|
| 147 / Annual Report March 2023 |
Opportunistic High Income Credit Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 6 | | | | 06/30/23 | | | $ | 657,047 | | | $ | 5,961 | | | $ | 5,961 | |
U.S. Treasury Two-Year Note | | | 4 | | | | 06/30/23 | | | | 825,813 | | | | 5,038 | | | | 5,038 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 1,482,860 | | | $ | 10,999 | | | $ | 10,999 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 148 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| BONDS – 92.43% | | | | | |
| |
| ASSET-BACKED SECURITIES — 10.96%** | | | | | |
| AGL CLO 12 Ltd., | | | | | |
| Series 2021-12A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
6.41% | | 07/20/341,2,3 | | $ | 125,000 | | | $ | 120,337 | |
| Aimco CLO, | | | | | |
| Series 2015-AA, Class BR2 | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
6.39% | | 10/17/341,2,3 | | | 70,000 | | | | 68,056 | |
| Allegro CLO XII Ltd., | | | | | |
| Series 2020-1A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.70%) | | | | | |
6.52% | | 01/21/321,2,3 | | | 45,000 | | | | 43,848 | |
| AMSR Trust, | | | | | |
| Series 2020-SFR1, Class I | | | | | |
8.19% | | 04/17/372 | | | 100,000 | | | | 96,012 | |
| Carvana Auto Receivables Trust, | | | | | |
| Series 2022-P3, Class R | | | | | |
0.00% | | 09/10/292 | | | 1,750 | | | | 332,347 | |
| Cedar Funding II CLO Ltd., | | | | | |
| Series 2013-1A, Class BRR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.35%) | | | | | |
6.16% | | 04/20/341,2,3 | | | 75,000 | | | | 71,291 | |
| Cedar Funding XII CLO Ltd., | | | | | |
| Series 2020-12A, Class A1R | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.13%) | | | | | |
5.95% | | 10/25/341,2,3 | | | 180,000 | | | | 174,911 | |
| CoreVest American Finance Trust, | | | | | |
| Series 2019-1, Class XA (IO) | | | | | |
2.28% | | 03/15/522,4 | | | 59,161 | | | | 1,907 | |
| CoreVest American Finance Trust, | | | | | |
| Series 2020-1, Class A2 | | | | | |
2.30% | | 03/15/502 | | | 140,000 | | | | 125,491 | |
| Crystal River CDO, | | | | | |
| Series 2005-1A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.36%) | | | | | |
5.33% | | 03/02/461,2,3,5,6 | | | 419,900 | | | | 44,953 | |
| Diamond Infrastructure Funding LLC, | | | | | |
| Series 2021-1A, Class C | | | | | |
3.48% | | 04/15/492 | | | 215,000 | | | | 172,335 | |
| Dryden 85 CLO Ltd., | | | | | |
| Series 2020-85A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.15%) | | | | | |
5.94% | | 10/15/351,2,3 | | | 150,000 | | | | 145,785 | |
| Eaton Vance CLO Ltd., | | | | | |
| Series 2020-1A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.17%) | | | | | |
5.96% | | 10/15/341,2,3 | | | 90,000 | | | | 87,988 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| FirstKey Homes Trust, | | | | | |
| Series 2020-SFR1, Class F2 | | | | | |
4.28% | | 08/17/372 | | $ | 162,000 | | | $ | 150,539 | |
| FirstKey Homes Trust, | | | | | |
| Series 2020-SFR1, Class G | | | | | |
4.78% | | 08/17/372 | | | 265,000 | | | | 243,742 | |
| Flatiron RR CLO 22 LLC, | | | | | |
| Series 2021-2A, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
6.39% | | 10/15/341,2 | | | 350,000 | | | | 336,707 | |
| FRTKL, | | | | | |
| Series 2021-SFR1, Class G | | | | | |
4.11% | | 09/17/382 | | | 300,000 | | | | 253,885 | |
| Global SC Finance II SRL, | | | | | |
| Series 2014-1A, Class A2 | | | | | |
| (Barbados) | | | | | |
3.09% | | 07/17/292,3 | | | 40,626 | | | | 39,272 | |
| GoldenTree Loan Management U.S. CLO 1 Ltd., | | | | | |
| Series 2021-9A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.50%) | | | | | |
6.31% | | 01/20/331,2,3 | | | 325,000 | | | | 313,755 | |
| Golub Capital Partners CLO 54M L.P, | | | | | |
| Series 2021-54A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.53%) | | | | | |
6.34% | | 08/05/331,2,3 | | | 90,000 | | | | 87,445 | |
| Harvest Commercial Capital Loan Trust, | | | | | |
| Series 2019-1, Class A | | | | | |
3.29% | | 09/25/462,4 | | | 29,016 | | | | 27,573 | |
| HPS Loan Management Ltd. | | | | | |
| Series 10A-16, Class A1RR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.14%) | | | | | |
5.95% | | 04/20/341,2,3 | | | 85,000 | | | | 83,021 | |
| KGS-Alpha SBA COOF Trust, | | | | | |
| Series 2015-1, Class A (IO) | | | | | |
1.48% | | 10/25/352,4 | | | 980,768 | | | | 30,194 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, | | | | | |
| Series 2007-1A, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
5.10% | | 03/25/371,2 | | | 23,824 | | | | 23,796 | |
| Neuberger Berman Loan Advisers CLO 43 Ltd., | | | | | |
| Series 2021-43A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | 07/17/351,2,3 | | | 85,000 | | | | 83,242 | |
| OCP CLO Ltd., | | | | | |
| Series 2021-21A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.70%) | | | | | |
6.51% | | 07/20/341,2,3 | | | 50,000 | | | | 48,040 | |
See accompanying Notes to Financial Statements.
|
| 149 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| Octagon Investment Partners 46 Ltd., | | | | | |
| Series 2020-2A, Class BR | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | 07/15/361,2,3 | | $ | 125,000 | | | $ | 120,352 | |
| OHA Credit Funding 7 Ltd., | | | | | |
| Series 2020-7A, Class AR | | | | | |
| (Cayman Islands) | | | | | |
| (CME Term SOFR 3-Month plus 1.30%) | | | | | |
5.93% | | 02/24/371,2,3 | | | 150,000 | | | | 147,257 | |
| Park Avenue Institutional Advisers CLO Ltd., | | | | | |
| Series 2021-1A, Class A2 | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.75%) | | | | | |
6.56% | | 01/20/341,2,3 | | | 40,000 | | | | 38,364 | |
| Progress Residential Trust, | | | | | |
| Series 2019-SFR4, Class F | | | | | |
3.68% | | 10/17/362 | | | 161,000 | | | | 154,073 | |
| Progress Residential, | | | | | |
| Series 2021-SFR1, Class F | | | | | |
2.76% | | 04/17/382 | | | 170,000 | | | | 145,993 | |
| Rockford Tower CLO Ltd., | | | | | |
| Series 2017-3A, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.19%) | | | | | |
6.00% | | 10/20/301,2,3 | | | 120,000 | | | | 118,878 | |
| Rockford Tower CLO Ltd., | | | | | |
| Series 2021-1A, Class B | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | 07/20/341,2,3 | | | 75,000 | | | | 71,662 | |
| Skyline Aircraft Finance LLC, | | | | | |
| Series 2021-1, Class A | | | | | |
3.23% | | 05/10/374,5,6 | | | 66,257 | | | | 59,810 | |
| SLC Student Loan Trust, | | | | | |
| Series 2004-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
5.15% | | 08/15/311 | | | 102,048 | | | | 89,259 | |
| SLM Student Loan Trust, | | | | | |
| Series 2007-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
5.57% | | 10/27/701 | | | 215,000 | | | | 183,359 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | 01/25/831 | | | 340,000 | | | | 300,283 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | 04/26/831 | | | 340,000 | | | | 316,275 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-4, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 04/25/731 | | | 340,000 | | | | 326,431 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-5, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/25/731 | | $ | 235,000 | | | $ | 219,700 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/831 | | | 340,000 | | | | 315,530 | |
| Stratus CLO Ltd., | | | | | |
| Series 2021-3A, Class SUB | | | | | |
| (Cayman Islands) | | | | | |
0.00% | | 12/29/292,3,4 | | | 250,000 | | | | 180,466 | |
| Structured Receivables Finance LLC, | | | | | |
| Series 2010-A, Class B | | | | | |
7.61% | | 01/16/462 | | | 247,489 | | | | 249,831 | |
| Structured Receivables Finance LLC, | | | | | |
| Series 2010-B, Class B | | | | | |
7.97% | | 08/15/362 | | | 279,338 | | | | 289,166 | |
| Textainer Marine Containers VII Ltd., | | | | | |
| Series 2021-2A, Class A | | | | | |
| (Bermuda) | | | | | |
2.23% | | 04/20/462,3 | | | 211,667 | | | | 183,716 | |
| TIF Funding II LLC, | | | | | |
| Series 2021-1A, Class A | | | | | |
1.65% | | 02/20/462 | | | 220,281 | | | | 185,984 | |
| TRESTLES CLO V Ltd., | | | | | |
| Series 2021-5A, Class A1 | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.17%) | | | | | |
5.98% | | 10/20/341,2,3 | | | 90,000 | | | | 87,653 | |
| Tricon American Homes Trust, | | | | | |
| Series 2017-SFR2, Class E | | | | | |
4.22% | | 01/17/362 | | | 150,000 | | | | 147,178 | |
| Tricon American Homes, | | | | | |
| Series 2020-SFR1, Class D | | | | | |
2.55% | | 07/17/382 | | | 133,000 | | | | 119,968 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $7,768,445) | | | | 7,257,660 | |
| | | | | | | | | | | | |
| |
| CORPORATES — 29.35%* | | | | | |
| |
| Banking — 5.49% | | | | | |
| Bank of America Corp. | | | | | |
2.30% | | 07/21/324 | | | 150,000 | | | | 120,960 | |
3.42% | | 12/20/284 | | | 35,000 | | | | 32,566 | |
| Bank of America Corp. | | | | | |
| (MTN) | | | | | |
1.90% | | 07/23/314 | | | 25,000 | | | | 20,038 | |
1.92% | | 10/24/314 | | | 415,000 | | | | 331,881 | |
3.19% | | 07/23/304 | | | 50,000 | | | | 44,463 | |
3.82% | | 01/20/284 | | | 110,000 | | | | 105,202 | |
| Bank of America Corp., | | | | | |
| Series N | | | | | |
1.66% | | 03/11/274 | | | 60,000 | | | | 54,134 | |
| Bank of America Corp., | | | | | |
| Series RR | | | | | |
4.38%4,7 | | | | | 15,000 | | | | 12,808 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 150 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
| Comerica, Inc. | | | | | |
5.63%4,7 | | | | $ | 45,000 | | | $ | 37,836 | |
| Credit Suisse Group AG | | | | | |
| (Switzerland) | | | | | |
1.31% | | 02/02/272,3,4 | | | 30,000 | | | | 25,500 | |
3.09% | | 05/14/322,3,4 | | | 15,000 | | | | 12,072 | |
4.19% | | 04/01/312,3,4 | | | 540,000 | | | | 480,762 | |
6.37% | | 07/15/262,3,4 | | | 25,000 | | | | 24,381 | |
6.54% | | 08/12/332,3,4 | | | 200,000 | | | | 205,000 | |
| Credit Suisse Group AG | | | | | |
| (EMTN) | | | | | |
| (Switzerland) | | | | | |
0.63% | | 01/18/333 | | | 100,000 | | | | 71,097 | |
| DNB Bank ASA | | | | | |
| (Norway) | | | | | |
1.13% | | 09/16/262,3,4 | | | 45,000 | | | | 40,414 | |
| HSBC Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
1.59% | | 05/24/273,4 | | | 25,000 | | | | 22,060 | |
1.65% | | 04/18/263,4 | | | 10,000 | | | | 9,140 | |
2.01% | | 09/22/283,4 | | | 115,000 | | | | 98,969 | |
2.36% | | 08/18/313,4 | | | 90,000 | | | | 72,671 | |
2.80% | | 05/24/323,4 | | | 50,000 | | | | 40,919 | |
6.33% | | 03/09/443,4 | | | 145,000 | | | | 153,405 | |
| JPMorgan Chase & Co. | | | | | |
1.58% | | 04/22/274 | | | 55,000 | | | | 49,436 | |
2.07% | | 06/01/294 | | | 5,000 | | | | 4,318 | |
2.58% | | 04/22/324 | | | 330,000 | | | | 278,158 | |
| Lloyds Banking Group PLC | | | | | |
| (United Kingdom) | | | | | |
4.98% | | 08/11/333,4 | | | 250,000 | | | | 241,719 | |
| Macquarie Group Ltd. | | | | | |
| (Australia) | | | | | |
2.69% | | 06/23/322,3,4 | | | 30,000 | | | | 24,030 | |
2.87% | | 01/14/332,3,4 | | | 95,000 | | | | 77,030 | |
| NatWest Group PLC | | | | | |
| (United Kingdom) | | | | | |
4.27% | | 03/22/253,4 | | | 55,000 | | | | 53,919 | |
| PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/344 | | | 40,000 | | | | 39,526 | |
6.04% | | 10/28/334 | | | 35,000 | | | | 36,955 | |
| Santander UK Group Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
1.53% | | 08/21/263,4 | | | 35,000 | | | | 31,256 | |
1.67% | | 06/14/273,4 | | | 50,000 | | | | 43,571 | |
4.80% | | 11/15/243,4 | | | 65,000 | | | | 64,115 | |
| U.S. Bancorp | | | | | |
3.70%4,7 | | | | | 15,000 | | | | 11,711 | |
4.84% | | 02/01/344 | | | 150,000 | | | | 145,594 | |
5.85% | | 10/21/334 | | | 35,000 | | | | 36,643 | |
| Wells Fargo & Co. | | | | | |
| (MTN) | | | | | |
2.39% | | 06/02/284 | | | 75,000 | | | | 67,585 | |
3.35% | | 03/02/334 | | | 420,000 | | | | 364,585 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
3.53% | | 03/24/284 | | $ | 50,000 | | | $ | 47,230 | |
| | | | | | | | | | |
| | | | 3,633,659 | |
| | | | | | | | | | |
| |
| Communications — 3.04% | | | | | |
| AT&T, Inc. | | | | | |
3.80% | | 12/01/57 | | | 121,000 | | | | 90,288 | |
4.75% | | 05/15/46 | | | 15,000 | | | | 13,557 | |
| Cable One, Inc. | | | | | |
4.00% | | 11/15/302 | | | 115,000 | | | | 94,300 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
4.25% | | 02/01/312 | | | 80,000 | | | | 65,600 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. | | | | | |
4.50% | | 06/01/332 | | | 75,000 | | | | 59,905 | |
| Charter Communications Operating LLC/Charter | | | | | |
| Communications Operating Capital | | | | | |
4.80% | | 03/01/50 | | | 50,000 | | | | 38,063 | |
| Charter Communications Operating, LLC/Charter | | | | | |
| Communications Operating Capital | | | | | |
5.25% | | 04/01/53 | | | 165,000 | | | | 133,899 | |
| Cogent Communications Group, Inc. | | | | | |
7.00% | | 06/15/272 | | | 65,000 | | | | 64,520 | |
| CommScope, Inc. | | | | | |
4.75% | | 09/01/292 | | | 95,000 | | | | 79,871 | |
| CSC Holdings LLC | | | | | |
6.50% | | 02/01/292 | | | 117,000 | | | | 97,276 | |
7.50% | | 04/01/282 | | | 48,000 | | | | 30,643 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/262,8,9 | | | 85,000 | | | | 4,781 | |
| DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc. | | | | | |
5.88% | | 08/15/272 | | | 30,000 | | | | 27,200 | |
| Frontier Communications Holdings LLC | | | | | |
6.75% | | 05/01/292 | | | 40,000 | | | | 31,739 | |
8.63% | | 03/15/312 | | | 111,000 | | | | 108,779 | |
| Gray Escrow II, Inc. | | | | | |
5.38% | | 11/15/312 | | | 41,000 | | | | 26,997 | |
| Intelsat Jackson Holdings SA | | | | | |
| (Luxembourg) | | | | | |
6.50% | | 03/15/302,3 | | | 48,000 | | | | 44,195 | |
| Intelsat Jackson Holdings SA, | | | | | |
| Class B | | | | | |
| (Luxembourg) | | | | | |
8.50% | | 10/15/24†,2,3,5,6,8,9 | | | 38,000 | | | | — | |
9.75% | | 07/15/25†,2,3,5,6,8,9 | | | 71,000 | | | | — | |
| Meta Platforms, Inc. | | | | | |
4.45% | | 08/15/52 | | | 75,000 | | | | 66,116 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/272 | | | 40,000 | | | | 34,200 | |
| Qwest Corp. | | | | | |
7.25% | | 09/15/25 | | | 70,000 | | | | 65,100 | |
| Scripps Escrow, Inc. | | | | | |
5.88% | | 07/15/272 | | | 66,000 | | | | 49,273 | |
| SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/442 | | | 200,000 | | | | 157,523 | |
| Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/312 | | | 85,000 | | | | 66,171 | |
See accompanying Notes to Financial Statements.
|
| 151 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| 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 | | $ | 95,000 | | | $ | 94,315 | |
| Tencent Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
3.98% | | 04/11/292,3 | | | 25,000 | | | | 23,680 | |
| Time Warner Cable LLC | | | | | |
5.50% | | 09/01/41 | | | 100,000 | | | | 86,502 | |
5.88% | | 11/15/40 | | | 10,000 | | | | 9,020 | |
| T-Mobile USA, Inc. | | | | | |
2.25% | | 02/15/26 | | | 66,000 | | | | 61,600 | |
2.55% | | 02/15/31 | | | 110,000 | | | | 93,282 | |
2.63% | | 04/15/26 | | | 38,000 | | | | 35,602 | |
3.88% | | 04/15/30 | | | 35,000 | | | | 32,869 | |
| Vodafone Group PLC | | | | | |
| (United Kingdom) | | | | | |
4.88% | | 06/19/493 | | | 48,000 | | | | 43,405 | |
| VZ Secured Financing BV | | | | | |
| (Netherlands) | | | | | |
5.00% | | 01/15/322,3 | | | 105,000 | | | | 85,772 | |
| | | | | | | | | | | | |
| | | | 2,016,043 | |
| | | | | | | | | | | | |
| |
| Consumer Discretionary — 1.59% | | | | | |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.70% | | 02/01/36 | | | 15,000 | | | | 14,929 | |
| BAT Capital Corp. | | | | | |
2.73% | | 03/25/31 | | | 25,000 | | | | 20,295 | |
4.39% | | 08/15/37 | | | 20,000 | | | | 16,336 | |
4.54% | | 08/15/47 | | | 175,000 | | | | 130,555 | |
5.65% | | 03/16/52 | | | 125,000 | | | | 110,011 | |
| Edgewell Personal Care Co. | | | | | |
5.50% | | 06/01/282 | | | 32,000 | | | | 30,816 | |
| Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/292 | | | 73,000 | | | | 65,700 | |
| Imperial Brands Finance PLC | | | | | |
| (United Kingdom) | | | | | |
3.13% | | 07/26/242,3 | | | 25,000 | | | | 24,217 | |
6.13% | | 07/27/272,3 | | | 70,000 | | | | 71,860 | |
| JDE Peet’s NV | | | | | |
| (Netherlands) | | | | | |
2.25% | | 09/24/312,3 | | | 200,000 | | | | 158,040 | |
| Spectrum Brands, Inc. | | | | | |
5.50% | | 07/15/302 | | | 10,000 | | | | 8,875 | |
| Triton Water Holdings, Inc. | | | | | |
6.25% | | 04/01/292 | | | 79,000 | | | | 62,881 | |
| WarnerMedia Holdings, Inc. | | | | | |
4.28% | | 03/15/322 | | | 40,000 | | | | 35,715 | |
5.05% | | 03/15/422 | | | 70,000 | | | | 58,613 | |
5.14% | | 03/15/522 | | | 300,000 | | | | 243,738 | |
| | | | | | | | | | | | |
| | | | 1,052,581 | |
| | | | | | | | | | | | |
| |
| Consumer Products — 0.14% | | | | | |
| Newell Brands, Inc. | | | | | |
6.00% | | 04/01/46 | | | 112,000 | | | | 91,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Diversified REITs — 0.82% | | | | | |
| American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | $ | 30,000 | | | $ | 24,116 | |
| American Tower Corp. | | | | | |
1.00% | | 01/15/32 | | | 100,000 | | | | 80,390 | |
5.65% | | 03/15/33 | | | 35,000 | | | | 36,047 | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | 01/15/32 | | | 4,000 | | | | 3,265 | |
4.00% | | 01/15/31 | | | 20,000 | | | | 17,476 | |
5.30% | | 01/15/29 | | | 75,000 | | | | 71,460 | |
5.38% | | 04/15/26 | | | 65,000 | | | | 63,141 | |
5.75% | | 06/01/28 | | | 25,000 | | | | 24,418 | |
| LXP Industrial Trust | | | | | |
2.70% | | 09/15/30 | | | 35,000 | | | | 28,473 | |
| VICI Properties LP | | | | | |
5.13% | | 05/15/32 | | | 171,000 | | | | 162,103 | |
| VICI Properties LP/VICI Note Co., Inc. | | | | | |
3.88% | | 02/15/292 | | | 5,000 | | | | 4,451 | |
4.13% | | 08/15/302 | | | 12,000 | | | | 10,545 | |
4.50% | | 09/01/262 | | | 5,000 | | | | 4,784 | |
4.50% | | 01/15/282 | | | 9,000 | | | | 8,346 | |
4.63% | | 06/15/252 | | | 5,000 | | | | 4,837 | |
| | | | | | | | | | | | |
| | | | 543,852 | |
| | | | | | | | | | | | |
| |
| Electric — 1.91% | | | | | |
| Alliant Energy Finance, LLC | | | | | |
3.60% | | 03/01/322 | | | 55,000 | | | | 49,018 | |
| American Electric Power Co., Inc. | | | | | |
5.63% | | 03/01/33 | | | 160,000 | | | | 165,968 | |
| Arizona Public Service Co. | | | | | |
6.35% | | 12/15/32 | | | 145,000 | | | | 158,135 | |
| Commonwealth Edison Co. | | | | | |
5.30% | | 02/01/53 | | | 130,000 | | | | 134,330 | |
| Duke Energy Carolinas LLC | | | | | |
5.35% | | 01/15/53 | | | 30,000 | | | | 31,354 | |
| Duke Energy Corp. | | | | | |
3.85% | | 06/15/34 | | | 100,000 | | | | 102,011 | |
| Entergy Texas, Inc. | | | | | |
3.45% | | 12/01/27 | | | 150,000 | | | | 139,317 | |
| FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/282 | | | 39,000 | | | | 35,232 | |
| Jersey Central Power & Light Co. | | | | | |
4.70% | | 04/01/242 | | | 55,000 | | | | 54,657 | |
| Metropolitan Edison Co. | | | | | |
4.00% | | 04/15/252 | | | 75,000 | | | | 71,623 | |
| Niagara Mohawk Power Corp. | | | | | |
5.78% | | 09/16/522 | | | 60,000 | | | | 62,461 | |
| Oklahoma Gas and Electric Co. | | | | | |
5.40% | | 01/15/33 | | | 190,000 | | | | 196,975 | |
| Tucson Electric Power Co. | | | | | |
5.50% | | 04/15/53 | | | 65,000 | | | | 66,437 | |
| | | | | | | | | | | | |
| | | | 1,267,518 | |
| | | | | | | | | | | | |
| |
| Energy — 1.48% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | 04/01/282 | | | 35,000 | | | | 33,775 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 152 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
| Enbridge, Inc. | | | | | |
| (Canada) | | | | | |
5.70% | | 03/08/333 | | $ | 20,000 | | | $ | 20,813 | |
| Energy Transfer LP | | | | | |
5.00% | | 05/15/50 | | | 90,000 | | | | 76,668 | |
5.40% | | 10/01/47 | | | 159,000 | | | | 141,813 | |
5.50% | | 06/01/27 | | | 3,000 | | | | 3,035 | |
| Global Partners LP/GLP Finance Corp. | | | | | |
6.88% | | 01/15/29 | | | 41,000 | | | | 38,157 | |
| KeySpan Gas East Corp. | | | | | |
5.99% | | 03/06/332 | | | 65,000 | | | | 67,176 | |
| Kinder Morgan Energy Partners LP | | | | | |
5.00% | | 08/15/42 | | | 45,000 | | | | 40,147 | |
| Petroleos Mexicanos | | | | | |
| (Mexico) | | | | | |
5.95% | | 01/28/313 | | | 13,000 | | | | 9,959 | |
6.35% | | 02/12/483 | | | 5,000 | | | | 3,120 | |
6.75% | | 09/21/473 | | | 50,000 | | | | 32,540 | |
6.95% | | 01/28/603 | | | 35,000 | | | | 22,645 | |
| Rockies Express Pipeline LLC | | | | | |
4.80% | | 05/15/302 | | | 100,000 | | | | 88,000 | |
| Sabine Pass Liquefaction LLC | | | | | |
4.50% | | 05/15/30 | | | 35,000 | | | | 33,778 | |
| Southern Co. Gas Capital Corp. | | | | | |
3.88% | | 11/15/25 | | | 70,000 | | | | 68,169 | |
| Sunoco LP/Sunoco Finance Corp. | | | | | |
4.50% | | 05/15/29 | | | 56,000 | | | | 51,549 | |
4.50% | | 04/30/30 | | | 9,000 | | | | 8,149 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | 02/15/26 | | | 73,000 | | | | 63,219 | |
| Transocean Poseidon Ltd. | | | | | |
| (Cayman Islands) | | | | | |
6.88% | | 02/01/272,3 | | | 16,250 | | | | 15,945 | |
| Transocean Titan Financing Ltd. | | | | | |
| (Cayman Islands) | | | | | |
8.38% | | 02/01/282,3 | | | 32,000 | | | | 32,720 | |
| Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | 08/15/292 | | | 145,000 | | | | 130,861 | |
| | | | | | | | | | | | |
| | | | 982,238 | |
| | | | | | | | | | | | |
| |
| Entertainment — 0.11% | | | | | |
| Cinemark USA, Inc. | | | | | |
5.25% | | 07/15/282 | | | 82,000 | | | | 71,771 | |
| | | | | | | | | | | | |
| |
| Finance — 3.67% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
| (Ireland) | | | | | |
2.45% | | 10/29/263 | | | 75,000 | | | | 67,342 | |
3.30% | | 01/30/323 | | | 155,000 | | | | 128,094 | |
| Air Lease Corp. | | | | | |
| (MTN) | | | | | |
2.30% | | 02/01/25 | | | 75,000 | | | | 71,046 | |
| American Express Co., | | | | | |
| Series D | | | | | |
3.55%4,7 | | | | | 15,000 | | | | 12,544 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Finance (continued) | | | | | |
| Avolon Holdings Funding Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.53% | | | | 11/18/272,3 | | | $ | 185,000 | | | $ | 156,710 | |
3.25% | | | | 02/15/272,3 | | | | 15,000 | | | | 13,385 | |
| Capital One Financial Corp. | | | | | |
3.27% | | | | 03/01/304 | | | | 40,000 | | | | 34,521 | |
| Charles Schwab Corp. (The) | | | | | |
| Series K | | | | | |
5.00%4,7 | | | | | | | | 15,000 | | | | 12,750 | |
| Citigroup, Inc. | | | | | |
1.46% | | | | 06/09/274 | | | | 20,000 | | | | 17,781 | |
2.57% | | | | 06/03/314 | | | | 45,000 | | | | 37,993 | |
2.67% | | | | 01/29/314 | | | | 200,000 | | | | 171,201 | |
2.98% | | | | 11/05/304 | | | | 20,000 | | | | 17,542 | |
3.06% | | | | 01/25/334 | | | | 180,000 | | | | 153,136 | |
3.52% | | | | 10/27/284 | | | | 5,000 | | | | 4,678 | |
| Citigroup, Inc., | | | | | |
| Series VAR | | | | | |
3.07% | | | | 02/24/284 | | | | 40,000 | | | | 37,248 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
0.93% | | | | 10/21/244 | | | | 30,000 | | | | 29,198 | |
1.22% | | | | 12/06/23 | | | | 75,000 | | | | 72,908 | |
1.43% | | | | 03/09/274 | | | | 10,000 | | | | 8,945 | |
1.54% | | | | 09/10/274 | | | | 225,000 | | | | 198,153 | |
1.95% | | | | 10/21/274 | | | | 10,000 | | | | 8,935 | |
2.38% | | | | 07/21/324 | | | | 265,000 | | | | 216,097 | |
2.65% | | | | 10/21/324 | | | | 65,000 | | | | 53,751 | |
| Jane Street Group/JSG Finance, Inc. | | | | | |
4.50% | | | | 11/15/292 | | | | 74,000 | | | | 66,436 | |
| JPMorgan Chase & Co. | | | | | |
1.04% | | | | 02/04/274 | | | | 175,000 | | | | 156,251 | |
2.55% | | | | 11/08/324 | | | | 125,000 | | | | 103,889 | |
2.95% | | | | 02/24/284 | | | | 20,000 | | | | 18,586 | |
| Morgan Stanley | | | | | |
0.73% | | | | 04/05/244 | | | | 40,000 | | | | 39,980 | |
2.48% | | | | 09/16/364 | | | | 110,000 | | | | 83,218 | |
| Morgan Stanley | | | | | |
| (GMTN) | | | | | |
2.24% | | | | 07/21/324 | | | | 20,000 | | | | 16,138 | |
| Morgan Stanley | | | | | |
(MTN) | | | | | | | | | | | | | | | | |
1.16% | | | | 10/21/254 | | | | 120,000 | | | | 112,130 | |
1.93% | | | | 04/28/324 | | | | 305,000 | | | | 241,687 | |
| Nationwide Building Society | | | | | |
| (United Kingdom) | | | | | |
2.97% | | | | 02/16/282,3,4 | | | | 50,000 | | | | 45,501 | |
4.36% | | | | 08/01/242,3,4 | | | | 20,000 | | | | 19,836 | |
| | | | | | | | | | | | | | | | |
| | | | 2,427,610 | |
| | | | | | | | | | | | | | | | |
| |
| Food — 0.77% | | | | | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | | | 06/01/262 | | | | 51,000 | | | | 31,612 | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
| (Canada) | | | | | |
3.75% | | | | 12/01/312,3 | | | | 52,000 | | | | 43,116 | |
See accompanying Notes to Financial Statements.
|
| 153 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Food (continued) | | | | | |
5.50% | | 01/15/302,3 | | $ | 25,000 | | | $ | 23,888 | |
5.75% | | 04/01/332,3 | | | 40,000 | | | | 38,466 | |
6.50% | | 12/01/522,3 | | | 10,000 | | | | 9,598 | |
| Kraft Heinz Foods Co. | | | | | |
5.00% | | 06/04/42 | | | 74,000 | | | | 71,036 | |
5.20% | | 07/15/45 | | | 25,000 | | | | 24,263 | |
| Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 30,000 | | | | 24,230 | |
4.25% | | 04/15/31 | | | 25,000 | | | | 21,866 | |
| Post Holdings, Inc. | | | | | |
5.75% | | 03/01/272 | | | 98,000 | | | | 96,040 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed | | | | | |
4.63% | | 03/01/292 | | | 115,000 | | | | 93,498 | |
| Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/312 | | | 45,000 | | | | 34,026 | |
| | | | | | | | | | | | |
| | | | 511,639 | |
| | | | | | | | | | | | |
| |
| Gaming — 0.15% | | | | | |
| Penn Entertainment, Inc. | | | | | |
4.13% | | 07/01/292 | | | 79,000 | | | | 66,031 | |
5.63% | | 01/15/272 | | | 36,000 | | | | 33,845 | |
| | | | | | | | | | | | |
| | | | 99,876 | |
| | | | | | | | | | | | |
| |
| Health Care — 3.69% | | | | | |
| 1375209 BC Ltd. | | | | | |
| (Canada) | | | | | |
9.00% | | 01/30/282,3 | | | 62,000 | | | | 61,535 | |
| AbbVie, Inc. | | | | | |
3.60% | | 05/14/25 | | | 50,000 | | | | 49,066 | |
| Amgen, Inc. | | | | | |
4.88% | | 03/01/53 | | | 20,000 | | | | 18,775 | |
5.25% | | 03/02/33 | | | 65,000 | | | | 66,802 | |
5.60% | | 03/02/43 | | | 65,000 | | | | 67,107 | |
5.65% | | 03/02/53 | | | 65,000 | | | | 67,699 | |
| Bayer U.S. Finance II LLC | | | | | |
2.85% | | 04/15/252 | | | 20,000 | | | | 18,946 | |
4.38% | | 12/15/282 | | | 70,000 | | | | 67,712 | |
4.63% | | 06/25/382 | | | 156,000 | | | | 142,951 | |
4.88% | | 06/25/482 | | | 50,000 | | | | 44,894 | |
| Cano Health LLC | | | | | |
6.25% | | 10/01/282 | | | 42,000 | | | | 23,205 | |
| Catalent Pharma Solutions, Inc. | | | | | |
3.13% | | 02/15/292 | | | 115,000 | | | | 101,201 | |
| Centene Corp. | | | | | |
2.45% | | 07/15/28 | | | 46,000 | | | | 40,042 | |
3.00% | | 10/15/30 | | | 134,000 | | | | 112,959 | |
4.25% | | 12/15/27 | | | 49,000 | | | | 47,259 | |
| CommonSpirit Health | | | | | |
2.78% | | 10/01/30 | | | 40,000 | | | | 34,171 | |
| CVS Health Corp. | | | | | |
5.05% | | 03/25/48 | | | 95,000 | | | | 88,995 | |
| DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | 06/01/30 | | | 45,000 | | | | 39,803 | |
| Embecta Corp. | | | | | |
5.00% | | 02/15/302 | | | 28,000 | | | | 24,124 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
6.75% | | 02/15/302 | | $ | 53,000 | | | $ | 48,312 | |
| Encompass Health Corp. | | | | | |
4.50% | | 02/01/28 | | | 20,000 | | | | 18,700 | |
| Fresenius Medical Care U.S. Finance III, Inc. | | | | | |
1.88% | | 12/01/262 | | | 30,000 | | | | 26,077 | |
| Grifols Escrow Issuer SA | | | | | |
| (Spain) | | | | | |
4.75% | | 10/15/282,3 | | | 109,000 | | | | 89,495 | |
| HCA, Inc. | | | | | |
3.50% | | 09/01/30 | | | 69,000 | | | | 61,504 | |
3.63% | | 03/15/322 | | | 195,000 | | | | 171,654 | |
5.25% | | 04/15/25 | | | 12,000 | | | | 12,000 | |
5.25% | | 06/15/49 | | | 110,000 | | | | 99,366 | |
5.50% | | 06/15/47 | | | 15,000 | | | | 14,230 | |
5.63% | | 09/01/28 | | | 14,000 | | | | 14,132 | |
| Medline Borrower LP | | | | | |
3.88% | | 04/01/292 | | | 115,000 | | | | 100,337 | |
| ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/292 | | | 35,000 | | | | 30,058 | |
| ModivCare, Inc. | | | | | |
5.88% | | 11/15/252 | | | 48,000 | | | | 46,082 | |
| Molina Healthcare, Inc. | | | | | |
3.88% | | 11/15/302 | | | 35,000 | | | | 30,613 | |
3.88% | | 05/15/322 | | | 161,000 | | | | 136,945 | |
| Option Care Health, Inc. | | | | | |
4.38% | | 10/31/292 | | | 72,000 | | | | 64,103 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | 04/30/312 | | | 104,000 | | | | 92,542 | |
| Prestige Brands, Inc. | | | | | |
3.75% | | 04/01/312 | | | 116,000 | | | | 98,425 | |
| Prime Healthcare Services, Inc. | | | | | |
7.25% | | 11/01/252 | | | 108,000 | | | | 96,120 | |
| Tenet Healthcare Corp. | | | | | |
4.88% | | 01/01/26 | | | 65,000 | | | | 63,789 | |
| Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | | 15,000 | | | | 13,170 | |
| | | | | | | | | | | | |
| | | | 2,444,900 | |
| | | | | | | | | | | | |
| |
| Health Care REITs — 0.19% | | | | | |
| Healthcare Reality Holdings LP | | | | | |
2.00% | | 03/15/31 | | | 40,000 | | | | 31,259 | |
3.10% | | 02/15/30 | | | 30,000 | | | | 26,006 | |
| Healthcare Realty Holdings LP | | | | | |
2.05% | | 03/15/31 | | | 5,000 | | | | 3,803 | |
3.63% | | 01/15/28 | | | 70,000 | | | | 63,685 | |
| | | | | | | | | | | | |
| | | | 124,753 | |
| | | | | | | | | | | | |
| |
| Industrials — 1.51% | | | | | |
| Advanced Drainage Systems, Inc. | | | | | |
6.38% | | 06/15/302 | | | 14,000 | | | | 13,734 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
| (Canada) | | | | | |
5.25% | | 08/15/272,3 | | | 90,000 | | | | 71,047 | |
| Artera Services LLC | | | | | |
9.03% | | 12/04/252 | | | 38,000 | | | | 32,900 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 154 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Industrials (continued) | | | | | |
| Ball Corp. | | | | | |
4.00% | | 11/15/23 | | $ | 38,000 | | | $ | 37,620 | |
6.88% | | 03/15/28 | | | 91,000 | | | | 94,413 | |
| Berry Global, Inc. | | | | | |
1.65% | | 01/15/27 | | | 5,000 | | | | 4,382 | |
4.88% | | 07/15/262 | | | 50,000 | | | | 48,786 | |
5.50% | | 04/15/282 | | | 115,000 | | | | 114,710 | |
| Boeing Co. (The) | | | | | |
1.43% | | 02/04/24 | | | 60,000 | | | | 58,004 | |
4.88% | | 05/01/25 | | | 10,000 | | | | 9,985 | |
| Energizer Holdings, Inc. | | | | | |
4.38% | | 03/31/292 | | | 46,000 | | | | 40,538 | |
| General Electric Co. | | | | | |
| (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
5.34% | | 08/15/361 | | | 325,000 | | | | 274,462 | |
| OT Merger Corp. | | | | | |
7.88% | | 10/15/292 | | | 123,000 | | | | 74,086 | |
| TransDigm, Inc. | | | | | |
6.75% | | 08/15/282 | | | 97,000 | | | | 98,031 | |
| Trivium Packaging Finance BV | | | | | |
| (Netherlands) | | | | | |
5.50% | | 08/15/262,3 | | | 30,000 | | | | 28,776 | |
| | | | | | | | | | | | |
| | | | 1,001,474 | |
| | | | | | | | | | | | |
| |
| Information Technology — 1.14% | | | | | |
| Broadcom, Inc. | | | | | |
2.60% | | 02/15/332 | | | 101,000 | | | | 79,287 | |
| Fiserv, Inc. | | | | | |
5.60% | | 03/02/33 | | | 130,000 | | | | 135,040 | |
| Gen Digital, Inc. | | | | | |
6.75% | | 09/30/272 | | | 65,000 | | | | 65,422 | |
| NCR Corp. | | | | | |
5.13% | | 04/15/292 | | | 42,000 | | | | 36,499 | |
5.25% | | 10/01/302 | | | 72,000 | | | | 58,844 | |
| Netflix, Inc. | | | | | |
5.88% | | 02/15/25 | | | 50,000 | | | | 51,075 | |
| Open Text Corp. | | | | | |
| (Canada) | | | | | |
6.90% | | 12/01/272,3 | | | 18,000 | | | | 18,563 | |
| Oracle Corp. | | | | | |
2.88% | | 03/25/31 | | | 15,000 | | | | 12,841 | |
3.80% | | 11/15/37 | | | 10,000 | | | | 8,310 | |
3.95% | | 03/25/51 | | | 124,000 | | | | 93,307 | |
5.55% | | 02/06/53 | | | 90,000 | | | | 85,724 | |
6.90% | | 11/09/52 | | | 95,000 | | | | 106,686 | |
| | | | | | | | | | | | |
| | | | 751,598 | |
| | | | | | | | | | | | |
| |
| Insurance — 1.13% | | | | | |
| Acrisure LLC/Acrisure Finance, Inc. | | | | | |
6.00% | | 08/01/292 | | | 77,000 | | | | 64,102 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | | | | | |
6.75% | | 10/15/272 | | | 66,000 | | | | 61,463 | |
| Aon Corp./Aon Global Holdings PLC | | | | | |
3.90% | | 02/28/52 | | | 55,000 | | | | 44,516 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Insurance (continued) | | | | | |
| Athene Global Funding | | | | | |
1.61% | | 06/29/262 | | $ | 30,000 | | | $ | 26,093 | |
1.99% | | 08/19/282 | | | 100,000 | | | | 81,183 | |
3.21% | | 03/08/272 | | | 25,000 | | | | 23,005 | |
| (SOFR Index plus 0.70%) | | | | | |
5.46% | | 05/24/241,2 | | | 30,000 | | | | 29,729 | |
| Brown & Brown, Inc. | | | | | |
4.95% | | 03/17/52 | | | 45,000 | | | | 38,187 | |
| Farmers Exchange Capital II | | | | | |
6.15% | | 11/01/532,4 | | | 50,000 | | | | 49,684 | |
| Farmers Insurance Exchange | | | | | |
4.75% | | 11/01/572,4 | | | 25,000 | | | | 19,615 | |
| HUB International Ltd. | | | | | |
7.00% | | 05/01/262 | | | 15,000 | | | | 14,813 | |
| Metropolitan Life Global Funding I | | | | | |
4.30% | | 08/25/292 | | | 150,000 | | | | 145,967 | |
| Nationwide Mutual Insurance Co. | | | | | |
7.16% | | 12/15/242,4 | | | 75,000 | | | | 74,712 | |
| Teachers Insurance & Annuity Association of America | | | | | |
4.27% | | 05/15/472 | | | 65,000 | | | | 55,168 | |
| Willis North America, Inc. | | | | | |
2.95% | | 09/15/29 | | | 25,000 | | | | 22,054 | |
| | | | | | | | | | | | |
| | | | 750,291 | |
| | | | | | | | | | | | |
| |
| Materials — 0.59% | | | | | |
| ASP Unifrax Holdings, Inc. | | | | | |
5.25% | | 09/30/282 | | | 30,000 | | | | 24,009 | |
| Axalta Coating Systems, LLC | | | | | |
3.38% | | 02/15/292 | | | 76,000 | | | | 65,918 | |
| Clearwater Paper Corp. | | | | | |
4.75% | | 08/15/282 | | | 72,000 | | | | 64,742 | |
| International Flavors & Fragrances, Inc. | | | | | |
2.30% | | 11/01/302 | | | 161,000 | | | | 129,320 | |
| SK Invictus Intermediate II SARL | | | | | |
| (Luxembourg) | | | | | |
5.00% | | 10/30/292,3 | | | 45,000 | | | | 37,410 | |
| Valvoline, Inc. | | | | | |
3.63% | | 06/15/312 | | | 80,000 | | | | 68,023 | |
| | | | | | | | | | | | |
| | | | 389,422 | |
| | | | | | | | | | | | |
| |
| Office REITs — 0.05% | | | | | |
| Hudson Pacific Properties LP | | | | | |
3.25% | | 01/15/30 | | | 45,000 | | | | 28,904 | |
5.95% | | 02/15/28 | | | 5,000 | | | | 3,869 | |
| | | | | | | | | | | | |
| | | | 32,773 | |
| | | | | | | | | | | | |
| |
| Residential REITs — 0.30% | | | | | |
| American Homes 4 Rent LP | | | | | |
3.63% | | 04/15/32 | | | 75,000 | | | | 65,071 | |
| Invitation Homes Operating Partnership LP | | | | | |
2.00% | | 08/15/31 | | | 65,000 | | | | 49,973 | |
2.70% | | 01/15/34 | | | 105,000 | | | | 80,770 | |
| | | | | | | | | | | | |
| | | | 195,814 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 155 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Retail — 0.37% | | | | | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | 01/15/302 | | $ | 92,000 | | | $ | 75,719 | |
| FirstCash, Inc. | | | | | |
5.63% | | 01/01/302 | | | 51,000 | | | | 47,115 | |
| Michaels Cos., Inc. (The) | | | | | |
7.88% | | 05/01/292 | | | 93,000 | | | | 65,188 | |
| Papa John’s International, Inc. | | | | | |
3.88% | | 09/15/292 | | | 70,000 | | | | 60,247 | |
| | | | | | | | | | | | |
| | | | 248,269 | |
| | | | | | | | | | | | |
| |
| Retail REITs — 0.04% | | | | | |
| Brixmor Operating Partnership LP | | | | | |
4.05% | | 07/01/30 | | | 30,000 | | | | 26,710 | |
| | | | | | | | | | | | |
| |
| Services — 0.64% | | | | | |
| Adtalem Global Education, Inc. | | | | | |
5.50% | | 03/01/282 | | | 41,000 | | | | 38,926 | |
| Global Payments, Inc. | | | | | |
5.40% | | 08/15/32 | | | 40,000 | | | | 39,204 | |
5.95% | | 08/15/52 | | | 8,000 | | | | 7,653 | |
| HealthEquity, Inc. | | | | | |
4.50% | | 10/01/292 | | | 75,000 | | | | 67,166 | |
| Hertz Corp. (The) | | | | | |
4.63% | | 12/01/262 | | | 3,000 | | | | 2,731 | |
5.00% | | 12/01/292 | | | 99,000 | | | | 82,489 | |
| Upbound Group, Inc. | | | | | |
6.38% | | 02/15/292 | | | 74,000 | | | | 62,345 | |
| WASH Multifamily Acquisition, Inc. | | | | | |
5.75% | | 04/15/262 | | | 30,000 | | | | 28,414 | |
| Waste Pro USA, Inc. | | | | | |
5.50% | | 02/15/262 | | | 102,000 | | | | 93,910 | |
| | | | | | | | | | | | |
| | | | 422,838 | |
| | | | | | | | | | | | |
| |
| Specialized REITs — 0.41% | | | | | |
| Blackstone Property Partners Europe Holdings SARL (EMTN) | | | | | |
| (Luxembourg) | | | | | |
1.63% | | 04/20/303 | | | 100,000 | | | | 75,823 | |
| CubeSmart LP | | | | | |
2.50% | | 02/15/32 | | | 80,000 | | | | 64,499 | |
| Extra Space Storage LP | | | | | |
2.35% | | 03/15/32 | | | 105,000 | | | | 82,640 | |
2.55% | | 06/01/31 | | | 15,000 | | | | 12,193 | |
| Life Storage LP | | | | | |
2.40% | | 10/15/31 | | | 45,000 | | | | 36,450 | |
| | | | | | | | | | | | |
| | | | 271,605 | |
| | | | | | | | | | | | |
| |
| Transportation — 0.12% | | | | | |
| JetBlue Airways Pass-Through Trust, | | | | | |
| Series 2020-1, Class A | | | | | |
4.00% | | 11/15/32 | | | 86,913 | | | | 80,072 | |
| | | | | | | | | | | | |
| |
Total Corporates (Cost $20,166,241) | | | | 19,438,981 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED — 50.98%** | | | | | |
| |
Non-Agency Commercial Mortgage-Backed — 2.84% | | | | | |
| Banc of America Commercial Mortgage Trust, | | | | | |
| Series 2015-UBS7, Class XE (IO) | | | | | |
1.25% | | 09/15/482,4 | | $ | 1,500,000 | | | $ | 34,582 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
| Series 2019-BPR, Class AMP | | | | | |
3.29% | | 11/05/322 | | | 100,000 | | | | 91,336 | |
| BCRR Trust, | | | | | |
| Series 2016-FRR3, Class E | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 18.35%) | | | | | |
6.36% | | 05/26/261,2 | | | 88,636 | | | | 81,234 | |
| BX Commercial Mortgage Trust, | | | | | |
| Series 2021-VOLT, Class F | | | | | |
| (LIBOR USD 1-Month plus 2.40%) | | | | | |
7.08% | | 09/15/361,2 | | | 100,000 | | | | 92,350 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2014-GC25, Class XA (IO) | | | | | |
0.94% | | 10/10/474 | | | 3,951,973 | | | | 40,193 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2016-P4, Class XA (IO) | | | | | |
1.89% | | 07/10/494 | | | 1,961,103 | | | | 89,180 | |
| COBALT CMBS Commercial Mortgage Trust, | | | | | |
| Series 2007-C2, Class X (IO) | | | | | |
0.45% | | 04/15/472,4 | | | 213,551 | | | | 861 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2012-CR3, Class XA (IO) | | | | | |
1.23% | | 10/15/454 | | | 2,233,129 | | | | 4,751 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-CR12, Class XA (IO) | | | | | |
1.13% | | 10/10/464 | | | 1,584,370 | | | | 3,982 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2020-CBM, Class XCP (IO) | | | | | |
0.60% | | 02/10/372,4 | | | 1,667,987 | | | | 15,671 | |
| Credit Suisse Mortgage Capital Trust, | | | | | |
| Series 2014-USA, Class X1 (IO) | | | | | |
0.54% | | 09/15/372,4 | | | 9,783,817 | | | | 99,131 | |
| CSAIL Commercial Mortgage Trust, | | | | | |
| Series 2015-C1, Class XA (IO) | | | | | |
0.81% | | 04/15/504 | | | 1,638,557 | | | | 16,901 | |
| CSMC, | | | | | |
| Series 2018-SITE, Class B | | | | | |
4.53% | | 04/15/362 | | | 100,000 | | | | 96,133 | |
| European Loan Conduit No. 36 DAC, | | | | | |
| Series 36A, Class E | | | | | |
| (Ireland) | | | | | |
| (3 month Euribor plus 3.35%) | | | | | |
6.03% | | 02/17/301,2,3 | | | 97,119 | | | | 98,494 | |
| GS Mortgage Securities Corp. Trust, | | | | | |
| Series 2020-UPTN, Class XA (IO) | | | | | |
0.35% | | 02/10/372,4 | | | 940,000 | | | | 5,296 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2013-GC16, Class XB (IO) | | | | | |
0.15% | | 11/10/464 | | | 45,024,000 | | | | 49,324 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2014-GC24, Class XA (IO) | | | | | |
0.70% | | 09/10/474 | | | 2,654,825 | | | | 21,018 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 156 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2015-GC32, Class XA (IO) | | | | | |
0.71% | | 07/10/484 | | $ | 4,633,928 | | | $ | 60,962 | |
| Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, | | | | | |
| Series 2010-1, Class A1 | | | | | |
5.31% | | 01/25/512 | | | 53,709 | | | | 52,584 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2013-C15, Class XA (IO) | | | | | |
0.98% | | 11/15/454 | | | 6,741,453 | | | | 12,368 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2014-C19, Class A3 | | | | | |
3.67% | | 04/15/47 | | | 27,282 | | | | 26,891 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2014-C22, Class XA (IO) | | | | | |
0.80% | | 09/15/474 | | | 7,381,439 | | | | 54,285 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2014-C25, Class XA (IO) | | | | | |
0.81% | | 11/15/474 | | | 4,523,493 | | | | 44,797 | |
| JPMBB Commercial Mortgage Securities Trust, | | | | | |
| Series 2014-C26, Class XA (IO) | | | | | |
0.93% | | 01/15/484 | | | 2,453,086 | | | | 27,483 | |
| JPMDB Commercial Mortgage Securities Trust, | | | | | |
| Series 2018-C8, Class XEF (IO) | | | | | |
1.81% | | 06/15/512,4 | | | 1,157,000 | | | | 85,282 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2013-C13, Class XA (IO) | | | | | |
0.11% | | 01/15/464 | | | 3,177,000 | | | | 124 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2013-C16, Class XA (IO) | | | | | |
0.83% | | 12/15/464 | | | 4,808,076 | | | | 8,083 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
| Series 2019-ICON, Class C | | | | | |
4.54% | | 01/05/342 | | | 72,000 | | | | 69,510 | |
| Ladder Capital Commercial Mortgage Mortgage Trust, | | | | | |
| Series 2013-GCP, Class XA (IO) | | | | | |
1.16% | | 02/15/362,4 | | | 1,417,012 | | | | 63,122 | |
| Med Trust, | | | | | |
| Series 2021-MDLN, Class G | | | | | |
| (LIBOR USD 1-Month plus 5.25%) | | | | | |
9.94% | | 11/15/381,2 | | | 99,704 | | | | 91,430 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2013-C9, Class XB (IO) | | | | | |
0.28% | | 05/15/462,4 | | | 12,532,749 | | | | 12,198 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
| Series 2014-C19, Class XA (IO) | | | | | |
0.95% | | 12/15/474 | | | 2,664,285 | | | | 29,198 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class A1 | | | | | |
3.87% | | 01/05/432,4 | | | 220,000 | | | | 158,029 | |
| SMRT, | | | | | |
| Series 2022-MINI, Class E | | | | | |
| (CME Term SOFR 1-Month plus 2.70%) | | | | | |
7.53% | | 01/15/391,2 | | | 100,000 | | | | 90,379 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2015-NXS2, Class XA (IO) | | | | | |
0.60% | | 07/15/584 | | $ | 3,114,445 | | | $ | 32,814 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2016-NXS6, Class XA (IO) | | | | | |
1.58% | | 11/15/494 | | | 1,177,169 | | | | 46,724 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2013-C13, Class XB (IO) | | | | | |
0.54% | | 05/15/452,4 | | | 10,000,000 | | | | 23,750 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2013-C14, Class XA (IO) | | | | | |
0.65% | | 06/15/464 | | | 1,936,670 | | | | 5,571 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2013-C17, Class XA (IO) | | | | | |
1.03% | | 12/15/464 | | | 5,249,030 | | | | 15,848 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2014-C21, Class XA (IO) | | | | | |
1.00% | | 08/15/474 | | | 3,177,123 | | | | 30,003 | |
| | | | | | | | | | | | |
| | | | 1,881,872 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 32.32% | | | | | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2007-ASP1, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.76%) | | | | | |
5.61% | | 03/25/371 | | | 372,133 | | | | 179,086 | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2007-HE1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
5.15% | | 01/25/371 | | | 593,208 | | | | 324,017 | |
| Ajax Mortgage Loan Trust, | | | | | |
| Series 2021-C, Class A (STEP-reset date 04/25/23) | | | | | |
2.12% | | 01/25/612 | | | 329,096 | | | | 309,205 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-10CB, Class 1A8 | | | | | |
5.50% | | 05/25/35 | | | 338,439 | | | | 287,214 | |
| Alternative Loan Trust, | | | | | |
| Series 2005-59, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.44% | | 11/20/351 | | | 341,311 | | | | 305,208 | |
| Alternative Loan Trust, | | | | | |
| Series 2007-15CB, Class A7 | | | | | |
6.00% | | 07/25/37 | | | 326,209 | | | | 208,632 | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2007-1, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
3.84% | | 02/25/471 | | | 720,158 | | | | 295,873 | |
| APS Resecuritization Trust, | | | | | |
| Series 2016-3, Class 3MZ | | | | | |
2.33% | | 09/27/462,4 | | | 386,852 | | | | 205,703 | |
| Banc of America Funding Trust, | | | | | |
| Series 2006-7, Class T2A3 | | | | | |
5.69% | | 10/25/364 | | | 234,010 | | | | 199,276 | |
| Banc of America Funding Trust, | | | | | |
| Series 2015-R3, Class 1A2 | | | | | |
3.95% | | 03/27/362,4 | | | 413,201 | | | | 329,317 | |
See accompanying Notes to Financial Statements.
|
| 157 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| BRAVO Residential Funding Trust, | |
| Series 2021-A, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.99% | | | | 10/25/592 | | $ | 303,900 | | | $ | 288,821 | |
| Carrington Mortgage Loan Trust, | |
| Series 2006-NC4, Class A4 | |
| (LIBOR USD 1-Month plus 0.24%) | |
5.09% | | | | 10/25/361 | | | 175,000 | | | | 150,163 | |
| Carrington Mortgage Loan Trust, | |
| Series 2007-RFC1, Class A3 | |
| (LIBOR USD 1-Month plus 0.14%) | |
4.99% | | | | 12/25/361 | | | 114,091 | | | | 108,662 | |
| CIM Trust, | |
| Series 2020-R6, Class A1 | |
2.25% | | | | 12/25/602,4 | | | 338,914 | | | | 285,550 | |
| CIM Trust, | |
| Series 2021-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
2.57% | | | | 07/25/552 | | | 249,435 | | | | 239,575 | |
| CIM Trust, | |
| Series 2021-NR2, Class A1 (STEP-reset date 05/25/23) | | | | | |
2.57% | | | | 07/25/592 | | | 125,745 | | | | 120,321 | |
| CIM Trust, | |
| Series 2021-R1, Class A2 | |
2.40% | | | | 08/25/562,4 | | | 405,809 | | | | 352,827 | |
| CIM Trust, | |
| Series 2021-R3, Class A1A | |
1.95% | | | | 06/25/572,4 | | | 71,570 | | | | 62,808 | |
| CIM Trust, | |
| Series 2021-R5, Class A1B | |
2.00% | | | | 08/25/612,4 | | | 115,000 | | | | 70,081 | |
| CIM Trust, | |
| Series 2022-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
5.00% | | | | 07/25/622 | | | 93,125 | | | | 85,896 | |
| CIM Trust, | |
| Series 2023-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
6.00% | | | | 06/25/622 | | | 340,928 | | | | 329,899 | |
| CIT Mortgage Loan Trust, | |
| Series 2007-1, Class 1M2 | |
| (LIBOR USD 1-Month plus 1.75%) | |
6.60% | | | | 10/25/371,2 | | | 240,000 | | | | 212,418 | |
| Citigroup Mortgage Loan Trust, Inc., | |
| Series 2005-WF2, Class AF6A (STEP-reset date 05/25/23) | | | | | |
6.13% | | | | 08/25/35 | | | 345,474 | | | | 294,521 | |
| COLT Mortgage Loan Trust, | |
| Series 2021-2, Class A1 | |
0.92% | | | | 08/25/662,4 | | | 108,185 | | | | 86,659 | |
| COLT Mortgage Loan Trust, | |
| Series 2021-HX1, Class A1 | |
1.11% | | | | 10/25/662,4 | | | 347,586 | | | | 278,257 | |
| Conseco Finance Corp., | |
| Series 1999-5, Class A5 | |
7.86% | | | | 03/01/304 | | | 72,995 | | | | 30,581 | |
| Credit Suisse Mortgage Capital Trust, | |
| Series 2015-12R, Class 2A2 | |
3.19% | | | | 11/30/372,4 | | | 99,879 | | | | 91,027 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Credit Suisse Mortgage Capital Trust, | |
| Series 2021-RPL4, Class A1 | |
1.80% | | | | 12/27/602,4 | | $ | 223,808 | | | $ | 205,585 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2C (STEP-reset date 05/25/23) | | | | | |
3.53% | | | | 02/25/37 | | | 238,664 | | | | 145,031 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB3, Class A3 (STEP-reset date 05/25/23) | | | | | |
3.29% | | | | 03/25/37 | | | 837,488 | | | | 320,776 | |
| CSMC Mortgage-Backed Trust, | |
| Series 2007-5, Class 1A9 | |
7.00% | | | | 08/25/374 | | | 440,928 | | | | 290,860 | |
| CSMC Trust, | |
| Series 2021-RPL7, Class A1 | |
1.93% | | | | 07/27/612,4 | | | 302,213 | | | | 278,635 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
| Series 2007-AR3, Class 2A5 | |
| (LIBOR USD 1-Month plus 0.40%) | |
5.25% | | | | 06/25/371 | | | 327,340 | | | | 279,923 | |
| Ellington Financial Mortgage Trust, | |
| Series 2021-3, Class A1 | |
1.24% | | | | 09/25/662,4 | | | 89,131 | | | | 69,759 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2019-R04, Class 2B1 | |
| (LIBOR USD 1-Month plus 5.25%) | |
10.10% | | | | 06/25/391,2 | | | 187,531 | | | | 190,650 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2019-R06, Class 2B1 | |
| (LIBOR USD 1-Month plus 3.75%) | |
8.60% | | | | 09/25/391,2 | | | 74,721 | | | | 72,814 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2021-R03, Class 1B1 | |
| (SOFR30A plus 2.75%) | |
7.31% | | | | 12/25/411,2 | | | 150,000 | | | | 137,164 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
| Series 2021-R03, Class 1B2 | |
| (SOFR30A plus 5.50%) | |
10.06% | | | | 12/25/411,2 | | | 215,000 | | | | 190,303 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF18, Class A2B | |
| (LIBOR USD 1-Month plus 0.11%) | |
4.96% | | | | 12/25/371 | | | 288,961 | | | | 251,878 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2007-FF1, Class A2D | |
| (LIBOR USD 1-Month plus 0.22%) | |
5.29% | | | | 01/25/381 | | | 749,483 | | | | 402,119 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2007-FF2, Class A2B | |
| (LIBOR USD 1-Month plus 0.10%) | |
4.95% | | | | 03/25/371 | | | 543,926 | | | | 266,005 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2021-HQA2, Class M2 | |
| (SOFR30A plus 2.05%) | |
6.61% | | | | 12/25/331,2 | | | 120,000 | | | | 113,477 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 158 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2022-DNA1, Class M1B | |
| (SOFR30A plus 1.85%) | |
6.41% | | | | 01/25/421,2 | | $ | 150,000 | | | $ | 142,150 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
| Series 2022-DNA1, Class M2 | |
| (SOFR30A plus 2.50%) | |
7.06% | | | | 01/25/421,2 | | | 200,000 | | | | 184,695 | |
| GMACM Mortgage Corp. Loan Trust, | | | | | |
| Series 2006-AR1, Class 1A1 | |
3.28% | | | | 04/19/364 | | | 182,640 | | | | 138,144 | |
| GreenPoint Mortgage Funding Trust, | | | | | |
| Series 2005-AR1, Class A2 | |
| (LIBOR USD 1-Month plus 0.44%) | |
5.29% | | | | 06/25/451 | | | 105,220 | | | | 95,694 | |
| GSAA HOME EQUITY TRUST | |
| Series 2007-4, Class A2 | |
5.25% | | | | 03/25/371 | | | 1,039,752 | | | | 310,837 | |
| GSAA Home Equity Trust, | |
| Series 2006-1, Class A3 | |
| (LIBOR USD 1-Month plus 0.66%) | |
5.51% | | | | 01/25/361 | | | 251,701 | | | | 111,056 | |
| GSAA Home Equity Trust, | |
| Series 2006-10, Class AF3 | |
5.98% | | | | 06/25/364 | | | 588,777 | | | | 159,899 | |
| GSAA Home Equity Trust, | |
| Series 2006-6, Class AF3 | |
5.73% | | | | 03/25/364 | | | 543,339 | | | | 163,747 | |
| GSAA Home Equity Trust, | |
| Series 2007-5, Class 2A1B | |
| (LIBOR USD 1-Month plus 0.28%) | |
5.13% | | | | 04/25/471 | | | 1,739,354 | | | | 311,541 | |
| GSAA Trust, | |
| Series 2006-7, Class AF3 (STEP-reset date 05/25/23) | | | | | |
6.72% | | | | 03/25/46 | | | 706,278 | | | | 290,891 | |
| GSAMP Trust, | |
| Series 2007-NC1, Class A2C | |
| (LIBOR USD 1-Month plus 0.15%) | |
5.00% | | | | 12/25/461 | | | 256,373 | | | | 125,013 | |
| GSR Mortgage Loan Trust, | |
| Series 2007-AR2, Class 5A1A | |
4.31% | | | | 05/25/374 | | | 174,415 | | | | 148,436 | |
| HarborView Mortgage Loan Trust, | |
| Series 2005-3, Class 1A | |
| (LIBOR USD 1-Month plus 0.52%) | |
5.28% | | | | 06/19/351 | | | 314,702 | | | | 179,192 | |
| HarborView Mortgage Loan Trust, | |
| Series 2006-4, Class 1A1A | |
| (LIBOR USD 1-Month plus 0.36%) | |
5.12% | | | | 05/19/461 | | | 333,764 | | | | 173,857 | |
| HarborView Mortgage Loan Trust, | |
| Series 2006-5, Class 1A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.91%) | | | | | |
4.05% | | | | 07/19/471 | | | 317,428 | | | | 125,257 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| HSI Asset Loan Obligation Trust, | |
| Series 2007-2, Class 2A12 | |
6.00% | | | | 09/25/37 | | $ | 235,276 | | | $ | 182,077 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2007-OPT1, Class 1A | |
| (LIBOR USD 1-Month plus 0.14%) | |
4.99% | | | | 12/25/361 | | | 207,841 | | | | 174,351 | |
| Impac CMB Trust, | |
| Series 2004-4, Class 1A2 | |
| (LIBOR USD 1-Month plus 0.62%) | |
5.47% | | | | 09/25/341 | | | 45,844 | | | | 45,312 | |
| Impac CMB Trust, | |
| Series 2004-6, Class 1A2 | |
| (LIBOR USD 1-Month plus 0.78%) | |
5.63% | | | | 10/25/341 | | | 86,358 | | | | 83,497 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2005-AR25, Class 2A1 | |
3.35% | | | | 12/25/354 | | | 222,368 | | | | 193,359 | |
IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1997-1, Class A3 | |
6.61% | | | | 02/25/28 | | | 31,873 | | | | 31,519 | |
IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1997-1, Class A4 | |
6.75% | | | | 02/25/28 | | | 13,418 | | | | 13,273 | |
IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1998-1, Class A4 | |
6.49% | | | | 09/25/28 | | | 31,767 | | | | 32,100 | |
IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
| Series 1998-1, Class A5 | |
6.96% | | | | 09/25/284 | | | 76,570 | | | | 75,131 | |
| JPMorgan Alternative Loan Trust, | |
| Series 2006-S1, Class 1A19 | |
6.50% | | | | 03/25/36 | | | 210,384 | | | | 119,935 | |
| JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-HE1, Class AF6 (STEP-reset date 05/25/23) | | | | | |
4.22% | | | | 03/25/47 | | | 621,652 | | | | 435,792 | |
| Long Beach Mortgage Loan Trust, | |
| Series 2006-9, Class 2A3 | |
| (LIBOR USD 1-Month plus 0.32%) | |
5.17% | | | | 10/25/361 | | | 399,047 | | | | 119,492 | |
| Luminent Mortgage Trust, | |
| Series 2006-5, Class A1A | |
| (LIBOR USD 1-Month plus 0.38%) | |
5.23% | | | | 07/25/361 | | | 263,192 | | | | 172,960 | |
| MASTR Adjustable Rate Mortgages Trust, | |
| Series 2007-1, Class I1A | |
| (LIBOR USD 1-Month plus 0.39%) | |
5.24% | | | | 01/25/471 | | | 446,423 | | | | 190,645 | |
| MASTR Adjustable Rate Mortgages Trust, | |
| Series 2007-2, Class A1 | |
| (LIBOR USD 1-Month plus 0.30%) | |
5.15% | | | | 03/25/471 | | | 233,738 | | | | 201,255 | |
See accompanying Notes to Financial Statements.
|
| 159 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| MASTR Alternative Loan Trust, | |
| Series 2006-2, Class 2A1 | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
5.25% | | | | 03/25/361,5,6 | | $ | 2,403,348 | | | $ | 251,595 | |
| MASTR Asset-Backed Securities Trust, | | | | | |
| Series 2007-HE1, Class A3 | |
| (LIBOR USD 1-Month plus 0.21%) | |
5.06% | | | | 05/25/371 | | | 153,478 | | | | 144,551 | |
| MASTR Asset-Backed Securities Trust, | | | | | |
| Series 2007-HE1, Class A4 | |
| (LIBOR USD 1-Month plus 0.28%) | |
5.13% | | | | 05/25/371 | | | 300,000 | | | | 231,380 | |
| Merrill Lynch Alternative Note Asset Trust, | | | | | |
| Series 2007-A3, Class A2D | |
| (LIBOR USD 1-Month plus 0.66%) | |
5.51% | | | | 04/25/371,5,6 | | | 1,696,107 | | | | 74,870 | |
| Merrill Lynch Mortgage Investors Trust, | | | | | |
| Series 2004-HE2, Class A2C | |
| (LIBOR USD 1-Month plus 1.16%) | |
6.01% | | | | 08/25/351 | | | 629,458 | | | | 612,588 | |
| Merrill Lynch Mortgage Investors Trust, | | | | | |
| Series 2006-RM2, Class A1A | |
| (LIBOR USD 1-Month plus 0.37%) | |
5.22% | | | | 05/25/371 | | | 444,871 | | | | 129,612 | |
| Mid-State Capital Corp. Trust, | |
| Series 2005-1, Class A | |
5.75% | | | | 01/15/40 | | | 68,563 | | | | 67,417 | |
| Mid-State Trust XI, | |
| Series 11, Class B | |
8.22% | | | | 07/15/38 | | | 4,057 | | | | 4,038 | |
| Morgan Stanley ABS Capital I, Inc., Trust, | | | | | |
| Series 2006-HE4, Class A3 | |
| (LIBOR USD 1-Month plus 0.30%) | |
5.15% | | | | 06/25/361 | | | 626,139 | | | | 322,417 | |
| Morgan Stanley Home Equity Loan Trust, | | | | | |
| Series 2007-1, Class A3 | |
| (LIBOR USD 1-Month plus 0.14%) | |
4.99% | | | | 12/25/361 | | | 622,628 | | | | 308,866 | |
| Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2004-7AR, Class 2A4 | |
4.19% | | | | 09/25/344 | | | 110,024 | | | | 104,546 | |
| Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2006-15XS, Class A4A (STEP-reset date 05/25/23) | | | | | |
6.70% | | | | 11/25/36 | | | 427,783 | | | | 100,427 | |
| Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2006-7, Class 5A2 | |
5.96% | | | | 06/25/364 | | | 919,302 | | | | 283,599 | |
| Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2007-11AR, Class 2A3 | |
2.72% | | | | 06/25/374 | | | 132,948 | | | | 75,465 | |
| New Residential Mortgage Loan Trust, | | | | | |
| Series 2022-NQM2, Class A2 | |
3.70% | | | | 03/27/622,4 | | | 250,000 | | | | 199,871 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Nomura Resecuritization Trust, | |
| Series 2015-4R, Class 2A2 | |
| (LIBOR USD 1-Month plus 0.31%) | |
2.13% | | | | 10/26/361,2 | | $ | 369,373 | | | $ | 310,228 | |
| Oakwood Mortgage Investors, Inc., | |
| Series 2002-A, Class A3 | |
6.03% | | | | 05/15/244 | | | 24,460 | | | | 24,444 | |
| OBX Trust, | |
| Series 2022-NQM1, Class A1 | |
2.31% | | | | 11/25/612,4 | | | 253,164 | | | | 217,814 | |
| Option One Mortgage Loan Trust, | |
| Series 2006-3, Class 1A1 | |
| (LIBOR USD 1-Month plus 0.14%) | |
4.99% | | | | 02/25/371 | | | 188,274 | | | | 126,185 | |
| PRET LLC, | |
| Series 2022-RN2, Class A2 (STEP-reset date 04/25/23) | | | | | |
6.50% | | | | 06/25/522 | | | 197,000 | | | | 181,401 | |
| Pretium Mortgage Credit Partners LLC, | | | | | |
| Series 2022-RN3, Class A2 | |
6.50% | | | | 08/25/522,4 | | | 180,000 | | | | 166,242 | |
| PRPM LLC, | |
| Series 2020-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.95% | | | | 10/25/252 | | | 74,273 | | | | 72,594 | |
| PRPM LLC, | |
| Series 2021-4, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.87% | | | | 04/25/262 | | | 195,060 | | | | 186,506 | |
| PRPM LLC, | |
| Series 2021-5, Class A1 (STEP-reset date 04/25/23) | | | | | |
1.79% | | | | 06/25/262 | | | 96,407 | | | | 90,881 | |
| PRPM LLC, | |
| Series 2021-9, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.36% | | | | 10/25/262 | | | 134,851 | | | | 127,936 | |
| PRPM LLC, | |
| Series 2022-1, Class A1 (STEP-reset date 04/25/23) | | | | | |
3.72% | | | | 02/25/272 | | | 192,989 | | | | 184,437 | |
| PRPM LLC, | |
| Series 2022-4, Class A2 (STEP-reset date 04/25/23) | | | | | |
5.00% | | | | 08/25/272 | | | 170,000 | | | | 155,270 | |
| PRPM, LLC, | |
| Series 2021-8, Class A1 | |
1.74% | | | | 09/25/262,4 | | | 81,340 | | | | 76,366 | |
| Residential Accredit Loans Trust, | |
| Series 2005-QA3, Class NB1 | |
3.61% | | | | 03/25/354 | | | 115,651 | | | | 58,693 | |
| Residential Accredit Loans Trust, | |
| Series 2006-QS5, Class A6 | |
6.00% | | | | 05/25/36 | | | 285,746 | | | | 230,502 | |
| Residential Accredit Loans Trust, | |
| Series 2007-QS1, Class 1A5 | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
5.40% | | | | 01/25/371 | | | 323,983 | | | | 225,698 | |
| Residential Asset Securities Corp., | |
| Series 2005-KS11, Class M3 | |
| (LIBOR USD 1-Month plus 0.66%) | |
5.51% | | | | 12/25/351 | | | 164,736 | | | | 154,901 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 160 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Residential Asset Securitization Trust, | | | | | |
| Series 2005-A5, Class A8 | |
5.50% | | | | 05/25/35 | | $ | 379,313 | | | $ | 275,259 | |
| SG Mortgage Securities Trust, | |
| Series 2006-OPT2, Class A3D | |
| (LIBOR USD 1-Month plus 0.21%) | |
5.06% | | | | 10/25/361 | | | 250,000 | | | | 179,346 | |
| Starwood Mortgage Residential Trust, | | | | | |
| Series 2021-6, Class A1 | |
1.92% | | | | 11/25/662,4 | | | 214,351 | | | | 177,605 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
| Series 2004-12, Class 2A | |
4.82% | | | | 09/25/344 | | | 88,123 | | | | 84,451 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2005-AR8, Class A1B | |
| (LIBOR USD 1-Month plus 0.17%) | |
5.02% | | | | 02/25/361 | | | 330,515 | | | | 273,110 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
| Series 2006-AR7, Class A1A | |
| (LIBOR USD 1-Month plus 0.42%) | |
5.27% | | | | 08/25/361 | | | 389,593 | | | | 304,400 | |
| Terwin Mortgage Trust, | |
| Series 2004-7HE, Class A1 | |
| (LIBOR USD 1-Month plus 1.10%) | |
5.95% | | | | 07/25/341,2 | | | 61,142 | | | | 52,971 | |
| Towd Point Mortgage Trust, | |
| Series 2017-4, Class A2 | |
3.00% | | | | 06/25/572,4 | | | 350,000 | | | | 310,638 | |
| TRK Trust, | |
| Series 2021-INV2, Class A1 | |
1.97% | | | | 11/25/562,4 | | | 275,119 | | | | 227,486 | |
| VOLT XCIV LLC, | |
| Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.24% | | | | 02/27/512 | | | 100,665 | | | | 94,669 | |
| WaMu Asset-Backed Certificates, | |
| Series 2007-HE1, Class 2A4 | |
| (LIBOR USD 1-Month plus 0.23%) | |
5.08% | | | | 01/25/371 | | | 540,127 | | | | 245,680 | |
| | | | | |
| | | | 21,404,638 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.95% | |
| Fannie Mae-Aces, | |
| Series 2016-M11, Class X2 (IO) | |
3.04% | | | | 07/25/394 | | | 257,021 | | | | 5,136 | |
| Freddie Mac Multifamily PC REMIC Trust, | | | | | |
| Series 2019-P002, Class X (IO) | |
0.77% | | | | 07/25/334 | | | 535,000 | | | | 44,600 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K028, Class X3 (IO) | |
2.92% | | | | 06/25/414 | | | 919,460 | | | | 1,937 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K031, Class X3 (IO) | |
1.66% | | | | 07/25/414 | | | 5,999,569 | | | | 2,602 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K034, Class X1 (IO) | |
0.04% | | | | 07/25/234 | | $ | 5,399,448 | | | $ | 879 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K040, Class X3 (IO) | |
2.04% | | | | 11/25/424 | | | 1,100,000 | | | | 30,994 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K047, Class X3 (IO) | |
1.49% | | | | 06/25/434 | | | 1,676,868 | | | | 49,041 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series K724, Class X1 (IO) | |
0.24% | | | | 11/25/234 | | | 12,275,770 | | | | 14,148 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series KC04, Class X1 (IO) | |
1.25% | | | | 12/25/264 | | | 2,244,724 | | | | 56,665 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series KC05, Class X1 (IO) | |
1.21% | | | | 06/25/274 | | | 1,926,433 | | | | 57,741 | |
| Freddie Mac Multifamily Structured Pass-Through | | | | | |
| Certificates, | |
| Series Q010, Class XPT2 (IO) | |
0.36% | | | | 08/25/24 | | | 961,349 | | | | 2,996 | |
| FREMF Mortgage Trust, | |
| Series 2017-K66, Class X2A (IO) | |
0.10% | | | | 06/25/272 | | | 26,399,463 | | | | 83,265 | |
| FREMF Mortgage Trust, | |
| Series 2017-K726, Class X2B (IO) | |
0.10% | | | | 07/25/492 | | | 25,000,000 | | | | 24,560 | |
| Ginnie Mae, | |
| Series 2009-114, Class IO (IO) | |
0.02% | | | | 10/16/494 | | | 4,380,818 | | | | 126 | |
| Ginnie Mae, | |
| Series 2010-148, Class IO (IO) | |
0.29% | | | | 09/16/504 | | | 1,394,985 | | | | 13,704 | |
| Ginnie Mae, | |
| Series 2012-123, Class IO (IO) | |
0.63% | | | | 12/16/514 | | | 2,088,578 | | | | 32,612 | |
| Ginnie Mae, | |
| Series 2012-125, Class IO (IO) | |
0.17% | | | | 02/16/534 | | | 6,895,554 | | | | 40,655 | |
| Ginnie Mae, | |
| Series 2012-27, Class IO (IO) | |
0.27% | | | | 04/16/534 | | | 3,091,730 | | | | 9,825 | |
| Ginnie Mae, | |
| Series 2013-156, Class IO (IO) | |
0.25% | | | | 06/16/554 | | | 3,594,590 | | | | 19,639 | |
| Ginnie Mae, | |
| Series 2013-163, Class IO (IO) | |
1.02% | | | | 02/16/464 | | | 1,341,284 | | | | 17,351 | |
See accompanying Notes to Financial Statements.
|
| 161 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Ginnie Mae, | |
| Series 2013-63, Class IO (IO) | |
0.74% | | | | 09/16/514 | | $ | 4,364,723 | | | $ | 81,791 | |
| Ginnie Mae, | |
| Series 2013-74, Class IO (IO) | |
0.45% | | | | 12/16/534 | | | 937,354 | | | | 9,686 | |
| Ginnie Mae, | |
| Series 2014-103, Class IO (IO) | |
0.19% | | | | 05/16/554 | | | 865,998 | | | | 6,237 | |
| Ginnie Mae, | |
| Series 2014-125, Class IO (IO) | |
0.91% | | | | 11/16/544 | | | 517,470 | | | | 12,814 | |
| Ginnie Mae, | |
| Series 2015-47, Class IO (IO) | |
0.37% | | | | 10/16/564 | | | 533,227 | | | | 7,642 | |
| | | | | |
| | | | 626,646 | |
| | | | | |
|
| U.S. Agency Mortgage-Backed — 14.87% | |
| Fannie Mae REMICS, | |
| Series 1993-80, Class S | |
| (-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) | | | | | |
4.96% | | | | 05/25/231 | | | 3 | | | | 3 | |
| Fannie Mae REMICS, | |
| Series 2000-45, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap) | | | | | |
3.19% | | | | 12/18/301 | | | 29,350 | | | | 1,095 | |
| 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 | | | 226 | | | | 224 | |
| 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 | | | 2,396 | | | | 2,430 | |
| Fannie Mae REMICS, | |
| Series 2005-92, Class US (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) | | | | | |
1.25% | | | | 10/25/251 | | | 131,311 | | | | 1,174 | |
| Fannie Mae REMICS, | |
| Series 2006-125, Class SM (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
2.35% | | | | 01/25/371 | | | 438,023 | | | | 54,195 | |
| Fannie Mae REMICS, | |
| Series 2008-50, Class SA (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
1.20% | | | | 11/25/361 | | | 532,016 | | | | 45,244 | |
| Fannie Mae REMICS, | |
| Series 2010-43, Class KS (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
1.57% | | | | 05/25/401 | | | 510,718 | | | | 56,585 | |
| Freddie Mac REMICS, | |
| Series 1602, Class SN | |
| (-4.25 X PRIME plus 46.22%, 10.09% Cap) | | | | | |
10.09% | | | | 10/15/231 | | | 616 | | | | 616 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac REMICS, | |
| Series 1673, Class SD | |
| (-2.16 X US Treasury Yield Curve Rate T Note Constant Maturity 10-Year plus 19.39%, 18.31% Cap) | | | | | |
11.20% | | | | 02/15/241 | | $ | 4,058 | | | $ | 4,130 | |
| Freddie Mac REMICS, | |
| Series 3247, Class SI (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap) | | | | | |
0.15% | | | | 08/15/361 | | | 6,995,886 | | | | 22,469 | |
| Freddie Mac REMICS, | |
| Series 3289, Class SD (IO) | |
| (-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap) | | | | | |
1.44% | | | | 03/15/371 | | | 486,738 | | | | 40,674 | |
| Ginnie Mae (TBA) | |
4.50% | | | | 04/20/53 | | | 300,000 | | | | 295,608 | |
5.00% | | | | 04/20/53 | | | 175,000 | | | | 175,232 | |
| Ginnie Mae, | |
| Series 2004-8, Class SE | |
| (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
5.07% | | | | 11/26/231 | | | 1,749 | | | | 1,745 | |
| UMBS (TBA) | |
2.00% | | | | 05/01/53 | | | 1,650,000 | | | | 1,365,406 | |
2.50% | | | | 05/01/53 | | | 1,400,000 | | | | 1,208,267 | |
3.00% | | | | 05/01/53 | | | 425,000 | | | | 381,620 | |
4.00% | | | | 05/01/53 | | | 1,375,000 | | | | 1,315,918 | |
4.50% | | | | 04/15/53 | | | 1,525,000 | | | | 1,494,160 | |
4.50% | | | | 05/01/53 | | | 400,000 | | | | 392,043 | |
5.00% | | | | 04/01/53 | | | 625,000 | | | | 623,389 | |
5.00% | | | | 05/01/53 | | | 925,000 | | | | 922,435 | |
5.50% | | | | 04/01/53 | | | 1,425,000 | | | | 1,439,501 | |
| | | | | |
| | | | 9,844,163 | |
| | | | | |
|
| Total Mortgage-Backed | |
| (Cost $40,082,933) | | | | | | | 33,757,319 | |
| | | | | |
|
| MUNICIPAL BONDS — 0.18%* | |
|
| California — 0.06% | |
| California Health Facilities Financing Authority Revenue Bonds, Series A | | | | | |
3.00% | | | | 08/15/51 | | | 20,000 | | | | 15,477 | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.37% | | | | 11/01/35 | | | 15,000 | | | | 11,608 | |
| City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E | | | | | |
2.83% | | | | 11/01/41 | | | 20,000 | | | | 15,490 | |
| | | | | |
| | | | 42,575 | |
| | | | | |
|
| Florida — 0.02% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.86% | | | | 10/01/35 | | | 15,000 | | | | 12,360 | |
| | | | | |
|
| New York — 0.10% | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | | | 11/15/49 | | | 5,000 | | | | 4,496 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 162 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
|
| MUNICIPAL BONDS (continued) | |
|
| New York (continued) | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3 | | | | | |
1.85% | | | | | | | 08/01/32 | | | $ | 75,000 | | | $ | 58,356 | |
| | | | | |
| | | | | | | | | | | | | | | 62,852 | |
| | | | | |
|
| Total Municipal Bonds | |
(Cost $144,608) | | | | | | | | 117,787 | |
| | | | | |
|
| U.S. TREASURY SECURITIES — 0.96% | |
|
| U.S. Treasury Bonds — 0.73% | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | | | | | | 10/15/2710 | | | | 473,657 | | | | 483,082 | |
| | | | | |
|
| U.S. Treasury Notes — 0.23% | |
| U.S. Treasury Notes | |
3.63% | | | | | | | 03/31/28 | | | | 155,000 | | | | 155,285 | |
| | | | | |
|
| Total U.S. Treasury Securities | |
(Cost $636,835) | | | | | | | | 638,367 | |
| | | | | |
|
| Total Bonds — 92.43% | |
(Cost $68,799,062) | | | | 61,210,114 | |
| | | | | |
| | | | | | | | | | | | | | | | |
| | |
| Issues | | | Shares | | | Value |
| |
| COMMON STOCK — 0.11% | | | | | |
| |
| Communications — 0.04% | | | | | |
| Intelsat Emergence SA3,5,6 | | | | | |
| (Luxembourg) | | | | 1,041 | | | | 27,066 | |
| | | | | |
| |
| Financials — 0.07% | | | | | |
| AGNC Investment Corp. | | | | 4,500 | | | | 45,360 | |
| | | | | |
| |
| Total Common Stock | | | | | |
| (Cost $90,024) | | | | 72,426 | |
| | | | | |
| |
| RIGHTS — 0.00% | | | | | |
| |
| Communications — 0.00% | | | | | |
Intelsat Jackson Holdings SA,
Series A†,3,5,6,8 | | | | | |
| (Luxembourg) | | | | 108 | | | | — | |
Intelsat Jackson Holdings SA,
Series B†,3,5,6,8 | | | | | |
| (Luxembourg) | | | | 108 | | | | — | |
| | | | | |
| | | | — | |
| | | | | |
| |
| Total Rights | | | | | |
| (Cost $–) | | | | — | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value | |
| |
| SHORT-TERM INVESTMENTS — 21.24% | | | | | |
| |
| Money Market Funds — 1.62% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
| 4.72%11 | | | 20,064 | | | | 20,064 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| SHORT-TERM INVESTMENTS (continued) | | | | | |
|
| Money Market Funds (continued) | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%11 | | | 1,054,000 | | | $ | 1,054,000 | |
| | | | | |
| | | | | | | 1,074,064 | |
| | | | | |
|
| U.S. Treasury Bills — 19.62% | |
| U.S. Treasury Bills | |
4.58%12 | | | | 06/01/23 | | $ | 10,000,000 | | | | 9,925,508 | |
4.76%12 | | | | 08/03/23 | | | 1,000,000 | | | | 984,055 | |
4.59%12 | | | | 05/11/23 | | | 2,090,000 | | | | 2,080,062 | |
| | | | | |
| | | | | | | 12,989,625 | |
| | | | | |
| |
| Total Short-Term Investments | | | | | |
| (Cost $14,061,455) | | | | 14,063,689 | |
| | | | | |
| |
| Total Investments - 113.78% | | | | | |
| (Cost $82,950,541) | | | | 75,346,229 | |
| | | | | |
| |
| Liabilities in Excess of Other Assets - (13.78)% | | | | (9,125,568 | ) |
| | | | | |
| |
| Net Assets - 100.00% | | | $ | 66,220,661 | |
| | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 | 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 $458,294, which is 0.69% of total net assets. |
| 7 | Perpetual security with no stated maturity date. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents the current yield as of March 31, 2023. |
| 12 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines approved 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.
|
| 163 / Annual Report March 2023 |
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2023
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
(EMTN): Euro Medium-Term Note
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(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 78,601 | | | EUR 72,000 | | | | Goldman Sachs International | | | | 04/13/23 | | | $ | 319 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
USD 341,930 | | | EUR 317,000 | | | | Citibank N.A. | | | | 04/13/23 | | | | (2,725) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | | | | | | $ | (2,406) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 74 | | | | 06/30/23 | | | $ | 8,103,578 | | | $ | 164,005 | | | $ | 164,005 | |
U.S. Treasury Two-Year Note | | | 34 | | | | 06/30/23 | | | | 7,019,406 | | | | 63,090 | | | | 63,090 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 15,122,984 | | | | 227,095 | | | | 227,095 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | | 44 | | | | 06/21/23 | | | | (5,330,188) | | | | (148,812) | | | | (148,812) | |
U.S. Treasury Ultra Bond | | | 13 | | | | 06/21/23 | | | | (1,834,625) | | | | (79,105) | | | | (79,105) | |
Euro-Bobl Future 1 | | | | | | | 06/08/23 | | | | (128,071) | | | | 650 | | | | 650 | |
Euro-Bund Future 1 | | | | | | | 06/08/23 | | | | (147,583) | | | | (5,351) | | | | (5,351) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (7,440,467) | | | | (232,618) | | | | (232,618) | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 7,682,517 | | | $ | (5,523) | | | $ | (5,523) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | Received by the Fund | | | Paid by the Fund | | | | | | | | | | | | | |
| Description | | Maturity Date | | Rate | | | Frequency | | | Rate | | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums Paid | | | Unrealized Appreciation (Depreciation) | |
| | | | | | | | |
| SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swap1 | | 09/20/53 | |
| USD-SOFR-
COMPOUND |
| | | Annual | | | | 3.00% | | | | Annual | | | $ | 80 | | | $ | (1,805) | | | $ | — | | | $ | (1,805) | |
Interest Rate Swap1 | | 09/20/53 | |
| USD-SOFR-
COMPOUND |
| | | Annual | | | | 3.00% | | | | Annual | | | | 76 | | | | (1,714) | | | | — | | | | (1,714) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| TOTAL SWAPS CONTRACTS | | | | | | | | | | | | | | | $ | 156 | | | $ | (3,519) | | | $ | — | | | $ | (3,519) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements
|
| Annual Report March 2023 / 164 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| BONDS – 113.37% | | | | | |
| |
| ASSET-BACKED SECURITIES — 4.98%** | | | | | |
Academic Loan Funding Trust, | | | | | |
Series 2012-1A, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
5.95% | | | | 12/27/441,2 | | $ | 13,969,419 | | | $ | 13,754,237 | |
AGL CLO 1 Ltd., | | | | | |
Series 2019-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | | | 10/20/341,2,3 | | | 24,800,000 | | | | 24,007,466 | |
AGL CLO 17 Ltd., | | | | | |
Series 2022-17A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.33%) | | | | | |
5.98% | | | | 01/21/351,2,3 | | | 30,520,000 | | | | 29,904,473 | |
AIG CLO LLC, | | | | | |
Series 2020-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.16%) | | | | | |
5.95% | | | | 04/15/341,2,3 | | | 38,800,000 | | | | 37,961,338 | |
Aimco CLO 11 Ltd., | | | | | |
Series 2020-11A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.13%) | | | | | |
5.92% | | | | 10/17/341,2,3 | | | 7,050,000 | | | | 6,878,882 | |
Allegro CLO XIII Ltd., | | | | | |
Series 2021-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.51% | | | | 07/20/341,2,3 | | | 9,250,000 | | | | 8,946,600 | |
AMMC CLO 15 Ltd., | | | | | |
Series 2014-15A, Class AR3 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.12%) | | | | | |
5.91% | | | | 01/15/321,2,3 | | | 27,800,000 | | | | 27,366,125 | |
AMMC CLO 22 Ltd., | | | | | |
Series 2018-22A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.45%) | | | | | |
6.27% | | | | 04/25/311,2,3 | | | 19,750,000 | | | | 19,163,721 | |
AMMC CLO 26 Ltd., | | | | | |
Series 2023-26A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.95%) | | | | | |
7.09% | | | | 04/15/361,2,3 | | | 8,250,000 | | | | 8,191,177 | |
AMSR Trust, | | | | | |
Series 2020-SFR1, Class A | | | | | |
1.82% | | | | 04/17/371 | | | 13,986,580 | | | | 13,124,130 | |
AMSR Trust, | | | | | |
Series 2021-SFR1, Class G | | | | | |
4.61% | | | | 06/17/381,4 | | | 15,250,000 | | | | 12,777,185 | |
Apidos CLO XVIII, | | | | | |
Series 2018-18A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.47% | | | | 10/22/301,2,3 | | | 6,700,000 | | | | 6,530,892 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
Apidos CLO XXII, | | | | | |
Series 2015-22A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.06%) | | | | | |
5.87% | | | | 04/20/311,2,3 | | $ | 21,345,000 | | | $ | 21,130,568 | |
Barings CLO Ltd., | | | | | |
Series 2018-3A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.95%) | | | | | |
5.76% | | | | 07/20/291,2,3 | | | 17,662,794 | | | | 17,545,337 | |
Barings CLO Ltd., | | | | | |
Series 2020-4A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.22%) | | | | | |
6.03% | | | | 01/20/321,2,3 | | | 19,110,000 | | | | 18,894,076 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2005-1A, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.45%) | | | | | |
5.30% | | | | 04/25/351,2 | | | 1,395,826 | | �� | | 1,326,980 | |
BCRED MML CLO, LLC, | | | | | |
Series 2022-1A, Class A1 | | | | | |
(CME Term SOFR 3-Month plus 1.65%) | | | | | |
6.29% | | | | 04/20/351,2 | | | 48,400,000 | | | | 46,631,464 | |
BlueMountain CLO Ltd., | | | | | |
Series 2014-2A, Class BR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.75%) | | | | | |
6.56% | | | | 10/20/301,2,3 | | | 1,830,000 | | | | 1,782,347 | |
BlueMountain CLO XXXII Ltd., | | | | | |
Series 2021-32A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.49% | | | | 10/15/341,2,3 | | | 25,000,000 | | | | 24,067,500 | |
BlueMountain Fuji U.S. CLO I Ltd., | | | | | |
Series 2017-1A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.98%) | | | | | |
5.79% | | | | 07/20/291,2,3 | | | 12,711,842 | | | | 12,549,766 | |
Brazos Education Loan Authority, Inc., | | | | | |
Series 2012-1, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
5.55% | | | | 12/26/352 | | | 17,599 | | | | 17,376 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2010-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.16% | | | | 02/25/352 | | | 9,696,234 | | | | 9,624,361 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-2, Class A3 | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
5.82% | | | | 10/27/362 | | | 19,913,776 | | | | 19,656,648 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-N1, Class R | | | | | |
0.00% | | | | 01/10/281 | | | 40,871 | | | | 5,390,161 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-P4, Class R | | | | | |
0.00% | | | | 09/11/281 | | | 43,250 | | | | 18,082,202 | |
See accompanying Notes to Financial Statements.
|
| 165 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
Catskill Park CLO Ltd., | | | | | |
Series 2017-1A, Class A2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.51% | | | | 04/20/291,2,3 | | $ | 6,000,000 | | | $ | 5,884,260 | |
Cedar Funding II CLO Ltd., | | | | | |
Series 2013-1A, Class BRR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.35%) | | | | | |
6.16% | | | | 04/20/341,2,3 | | | 4,950,000 | | | | 4,705,198 | |
Cedar Funding V CLO Ltd., | | | | | |
Series 2016-5A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.75%) | | | | | |
6.54% | | | | 07/17/311,2,3 | | | 7,000,000 | | | | 6,821,500 | |
Cedar Funding VIII CLO Ltd., | | | | | |
Series 2017-8A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | | | 10/17/341,2,3 | | | 9,350,000 | | | | 9,040,739 | |
CIFC Funding Ltd., | | | | | |
Series 2017-4A, Class A2R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.55%) | | | | | |
6.37% | | | | 10/24/301,2,3 | | | 3,475,000 | | | | 3,393,244 | |
CIFC Funding Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.41% | | | | 10/20/341,2,3 | | | 9,000,000 | | | | 8,631,900 | |
CIFC Funding Ltd., | | | | | |
Series 2021-6A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | | | 10/15/341,2,3 | | | 20,000,000 | | | | 19,226,000 | |
CIFC Funding Ltd., | | | | | |
Series 2022-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.32%) | | | | | |
5.98% | | | | 04/17/351,2,3 | | | 25,000,000 | | | | 24,427,750 | |
CIT Education Loan Trust, | | | | | |
Series 2007-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.30%) | | | | | |
5.43% | | | | 06/25/421,2 | | | 8,495,085 | | | | 7,369,749 | |
Clear Creek CLO, | | | | | |
Series 2015-1A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.01% | | | | 10/20/301,2,3 | | | 25,516,769 | | | | 25,289,925 | |
College Loan Corp. Trust, | | | | | |
Series 2005-2, Class B | | | | | |
(LIBOR USD 3-Month plus 0.49%) | | | | | |
5.32% | | | | 01/15/372 | | | 1,478,023 | | | | 1,349,308 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.82%) | | | | | |
5.68% | | | | 11/15/281,2,3 | | $ | 6,817,705 | | | $ | 6,733,165 | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
6.11% | | | | 11/15/281,2,3 | | | 1,500,000 | | | | 1,455,510 | |
Dryden 65 CLO Ltd., | | | | | |
Series 2018-65A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.39% | | | | 07/18/301,2,3 | | | 3,500,000 | | | | 3,387,650 | |
Dryden 83 CLO Ltd., | | | | | |
Series 2020-83A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.22%) | | | | | |
6.01% | | | | 01/18/321,2,3 | | | 29,220,000 | | | | 28,890,282 | |
Dryden 92 CLO Ltd., | | | | | |
Series 2021-92A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.57% | | | | 11/20/341,2,3 | | | 22,500,000 | | | | 21,402,000 | |
Dryden XXVI Senior Loan Fund, | | | | | |
Series 2013-26A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
5.69% | | | | 04/15/291,2,3 | | | 19,973,912 | | | | 19,749,405 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2013-1A, Class A13R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
6.04% | | | | 01/15/341,2,3 | | | 23,850,000 | | | | 23,372,284 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2018-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.75%) | | | | | |
6.54% | | | | 10/15/301,2,3 | | | 5,000,000 | | | | 4,870,500 | |
Eaton Vance CLO Ltd., | | | | | |
Series 2020-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | | | 10/15/341,2,3 | | | 25,000,000 | | | | 24,098,750 | |
ECMC Group Student Loan Trust, | | | | | |
Series 2016-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
6.20% | | | | 07/26/661,2 | | | 30,878,320 | | | | 30,553,117 | |
Education Loan Asset-Backed Trust I, | | | | | |
Series 2013-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
5.65% | | | | 04/26/321,2 | | | 5,625,919 | | | | 5,561,619 | |
Educational Funding of the South, Inc., | | | | | |
Series 2012-1, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
5.90% | | | | 03/25/362 | | | 4,527,744 | | | | 4,523,327 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 166 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
EFS Volunteer No. 2 LLC, | | | | | |
Series 2012-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
6.20% | | | | 03/25/361,2 | | $ | 6,086,873 | | | $ | 6,075,933 | |
Elmwood CLO XI Ltd., | | | | | |
Series 2021-4A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.41% | | | | 10/20/341,2,3 | | | 16,000,000 | | | | 15,377,120 | |
FirstKey Homes Trust, | | | | | |
Series 2021-SFR1, Class F1 | | | | | |
3.24% | | | | 08/17/381 | | | 12,416,000 | | | | 10,732,624 | |
FirstKey Homes Trust, | | | | | |
Series 2021-SFR2, Class F1 | | | | | |
2.91% | | | | 09/17/381 | | | 12,677,000 | | | | 10,910,161 | |
Flatiron CLO 21 Ltd., | | | | | |
Series 2021-1A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.11%) | | | | | |
5.91% | | | | 07/19/341,2,3 | | | 52,500,000 | | | | 51,270,450 | |
Global SC Finance II SRL, | | | | | |
Series 2014-1A, Class A2 | | | | | |
(Barbados) | | | | | |
3.09% | | | | 07/17/291,3 | | | 11,860,794 | | | | 11,465,575 | |
Goal Capital Funding Trust, | | | | | |
Series 2006-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
5.41% | | | | 08/25/422 | | | 1,393,613 | | | | 1,276,815 | |
Goal Structured Solutions Trust, | | | | | |
Series 2015-1, Class A | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
5.50% | | | | 09/25/411,2 | | | 11,779,432 | | | | 11,402,582 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | | | | | |
Series 2020-8A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
5.96% | | | | 10/20/341,2,3 | | | 36,180,000 | | | | 35,331,181 | |
GoldenTree Loan Opportunities IX Ltd., | | | | | |
Series 2014-9A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.11%) | | | | | |
5.91% | | | | 10/29/291,2,3 | | | 3,835,224 | | | | 3,807,725 | |
Golub Capital Partners CLO 64B Ltd., | | | | | |
Series 2022-64A, Class B | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 3.30%) | | | | | |
7.29% | | | | 10/25/351,2,3 | | | 8,800,000 | | | | 8,820,222 | |
Golub Capital Partners CLO 66B Ltd., | | | | | |
Series 2023-66A, Class A | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.95%) | | | | | |
0.00% | | | | 04/25/361,2,3 | | | 20,000,000 | | | | 19,915,000 | |
HPS Loan Management Ltd. | | | | | |
Series 15A-19, Class A1R | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.32%) | | | | | |
5.97% | | | | 01/22/351,2,3 | | | 35,720,000 | | | | 34,798,174 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
HPS Loan Management Ltd., | | | | | |
Series 2021-16A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.52% | | | | 01/23/351,2,3 | | $ | 19,250,000 | | | $ | 18,510,800 | |
HPS Loan Management Ltd., | | | | | |
Series 2023-17A, Class A | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.90%) | | | | | |
6.52% | | | | 04/23/361,2,3 | | | 17,400,000 | | | | 17,358,188 | |
Invesco U.S. CLO Ltd., | | | | | |
Series 2023-2A, Class A | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.80%) | | | | | |
6.66% | | | | 04/21/361,2,3 | | | 12,600,000 | | | | 12,566,194 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | | | 01/17/731 | | | 524,199 | | | | 488,151 | |
J.G. Wentworth XXXII LLC, | | | | | |
Series 2014-2A, Class A | | | | | |
3.61% | | | | 01/17/731 | | | 32,745,309 | | | | 29,287,672 | |
LCM XVIII LP, | | | | | |
Series 19A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.24%) | | | | | |
6.03% | | | | 07/15/271,2,3 | | | 2,793,353 | | | | 2,792,124 | |
LCM XX LP, | | | | | |
Series 20A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.04%) | | | | | |
5.85% | | | | 10/20/271,2,3 | | | 1,568,137 | | | | 1,563,957 | |
LCM XXI LP, | | | | | |
Series 21A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.88%) | | | | | |
5.69% | | | | 04/20/281,2,3 | | | 5,538,292 | | | | 5,527,044 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, | | | | | |
Series 2007-1A, Class 2A3 | | | | | |
5.62% | | | | 03/25/371,4 | | | 223,575 | | | | 222,056 | |
Lucali CLO Ltd., | | | | | |
Series 2020-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.21%) | | | | | |
6.00% | | | | 01/15/331,2,3 | | | 11,550,000 | | | | 11,410,072 | |
Madison Park Funding XLVIII Ltd., | | | | | |
Series 2021-48A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
5.95% | | | | 04/19/331,2,3 | | | 30,635,000 | | | | 30,349,390 | |
Madison Park Funding XVII Ltd., | | | | | |
Series 2015-17A, Class BR2 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
6.32% | | | | 07/21/301,2,3 | | | 10,000,000 | | | | 9,734,000 | |
See accompanying Notes to Financial Statements.
|
| 167 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | |
Madison Park Funding XXXVIII Ltd., | | | | | |
Series 2021-38A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.12%) | | | | | |
5.91% | | 07/17/341,2,3 | | $ | 10,500,000 | | | $ | 10,254,856 | |
Magnetite XXIII Ltd., | | | | | |
Series 2019-23A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.47% | | 01/25/351,2,3 | | | 20,000,000 | | | | 19,236,000 | |
Magnetite XXV Ltd., | | | | | |
Series 2020-25A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | 01/25/321,2,3 | | | 27,025,000 | | | | 26,750,642 | |
Navient Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.51%) | | | | | |
5.36% | | 06/25/312 | | | 523,859 | | | | 506,285 | |
Navient Student Loan Trust, | | | | | |
Series 2014-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
5.49% | | 03/25/832 | | | 26,733,190 | | | | 25,810,705 | |
Navient Student Loan Trust, | | | | | |
Series 2014-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
5.47% | | 03/25/832 | | | 48,152,797 | | | | 46,790,771 | |
Navient Student Loan Trust, | | | | | |
Series 2014-4, Class A | | | | | |
(LIBOR USD 1-Month plus 0.62%) | | | | | |
5.47% | | 03/25/832 | | | 71,240,736 | | | | 69,262,123 | |
Navient Student Loan Trust, | | | | | |
Series 2014-6, Class A | | | | | |
(LIBOR USD 1-Month plus 0.61%) | | | | | |
5.46% | | 03/25/832 | | | 30,190,968 | | | | 29,142,961 | |
Navient Student Loan Trust, | | | | | |
Series 2014-7, Class A | | | | | |
(LIBOR USD 1-Month plus 0.61%) | | | | | |
5.46% | | 03/25/832 | | | 63,341,341 | | | | 61,214,925 | |
Navient Student Loan Trust, | | | | | |
Series 2015-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | 04/25/402 | | | 47,426,929 | | | | 45,736,851 | |
Navient Student Loan Trust, | | | | | |
Series 2015-2, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.57%) | | | | | |
5.42% | | 11/26/402 | | | 91,989,319 | | | | 89,095,212 | |
Navient Student Loan Trust, | | | | | |
Series 2016-7A, Class A | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
6.00% | | 03/25/661,2 | | | 49,812,956 | | | | 49,417,128 | |
Nelnet Student Loan Trust, | | | | | |
Series 2006-1, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
5.37% | | 08/23/361,2 | | | 7,348,908 | | | | 7,172,287 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Nelnet Student Loan Trust, | | | | | |
Series 2012-5A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | 10/27/361,2 | | $ | 6,298,310 | | | $ | 6,114,634 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-4A, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
5.80% | | 11/25/481,2 | | | 11,630,000 | | | | 11,384,708 | |
Nelnet Student Loan Trust, | | | | | |
Series 2014-5A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
5.40% | | 07/25/461,2 | | | 37,037,131 | | | | 35,725,689 | |
Nelnet Student Loan Trust, | | | | | |
Series 2015-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
5.44% | | 04/25/461,2 | | | 70,307,157 | | | | 67,791,928 | |
Nelnet Student Loan Trust, | | | | | |
Series 2015-3A, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
5.75% | | 06/25/541,2 | | | 8,890,000 | | | | 8,565,742 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., | | | | | |
Series 2019-33A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.39% | | 10/16/331,2,3 | | | 23,000,000 | | | | 22,362,900 | |
Neuberger Berman Loan Advisers CLO 36 Ltd., | | | | | |
Series 2020-36A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.25%) | | | | | |
6.06% | | 04/20/331,2,3 | | | 25,455,000 | | | | 25,081,804 | |
Neuberger Berman Loan Advisers CLO 47 Ltd., | | | | | |
Series 2022-47A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.30%) | | | | | |
5.93% | | 04/14/351,2,3 | | | 32,185,000 | | | | 31,595,950 | |
NYACK Park CLO Ltd., | | | | | |
Series 2021-1A, Class B1 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.41% | | 10/20/341,2,3 | | | 20,000,000 | | | | 19,315,340 | |
OCP CLO Ltd., | | | | | |
Series 2020-19A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.51% | | 10/20/341,2,3 | | | 15,500,000 | | | | 14,980,750 | |
Octagon 66 Ltd., | | | | | |
Series 2022-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.94%) | | | | | |
6.71% | | 08/16/331,2,3 | | | 45,000,000 | | | | 44,946,900 | |
Octagon 67 Ltd., | | | | | |
Series 2023-1A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.80%) | | | | | |
6.57% | | 04/25/361,2,3 | | | 21,210,000 | | | | 21,153,836 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 168 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | |
Octagon Investment Partners 20-R Ltd., | | | | | |
Series 2019-4A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.57% | | 05/12/311,2,3 | | $ | 17,500,000 | | | $ | 17,093,947 | |
Octagon Investment Partners 44 Ltd., | | | | | |
Series 2019-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.49% | | 10/15/341,2,3 | | | 18,800,000 | | | | 18,105,114 | |
Octagon Investment Partners 46 Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | 07/15/361,2,3 | | | 7,250,000 | | | | 6,980,445 | |
Octagon Investment Partners XXI Ltd., | | | | | |
Series 2014-1A, Class A2R3 | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.40%) | | | | | |
6.27% | | 02/14/311,2,3 | | | 1,470,000 | | | | 1,423,913 | |
OHA Credit Funding 3 Ltd., | | | | | |
Series 2019-3A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.14%) | | | | | |
5.95% | | 07/02/351,2,3 | | | 33,250,000 | | | | 32,585,332 | |
OHA Credit Funding 7 Ltd., | | | | | |
Series 2020-7A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.30%) | | | | | |
5.93% | | 02/24/371,2,3 | | | 6,960,000 | | | | 6,832,702 | |
Palmer Square CLO Ltd., | | | | | |
Series 2020-3A, Class A1AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
5.94% | | 11/15/311,2,3 | | | 8,400,000 | | | | 8,300,250 | |
Palmer Square CLO Ltd., | | | | | |
Series 2021-4A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | 10/15/341,2,3 | | | 19,500,000 | | | | 18,769,920 | |
Park Avenue Institutional Advisers CLO Ltd., | | | | | |
Series 2021-1A, Class A1A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.39%) | | | | | |
6.20% | | 01/20/341,2,3 | | | 61,000,000 | | | | 59,862,350 | |
PHEAA Student Loan Trust, | | | | | |
Series 2015-1A, Class A | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | 10/25/411,2 | | | 70,029,627 | | | | 67,834,254 | |
Progress Residential Trust, | | | | | |
Series 2019-SFR3, Class F | | | | | |
3.87% | | 09/17/361 | | | 4,000,000 | | | | 3,818,144 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR2, Class H | | | | | |
5.00% | | 04/19/381 | | | 21,439,000 | | | | 18,731,426 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | |
Progress Residential Trust, | | | | | |
Series 2021-SFR6, Class E2 | | | | | |
2.53% | | 07/17/381 | | $ | 3,973,000 | | | $ | 3,431,338 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR6, Class F | | | | | |
3.42% | | 07/17/381 | | | 10,437,000 | | | | 9,159,209 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR6, Class G | | | | | |
4.00% | | 07/17/381 | | | 8,896,000 | | | | 7,800,621 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR7, Class F | | | | | |
3.83% | | 08/17/401 | | | 23,777,000 | | | | 20,025,014 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR8, Class E1 | | | | | |
2.38% | | 10/17/381 | | | 10,400,000 | | | | 8,835,376 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR8, Class E2 | | | | | |
2.53% | | 10/17/381 | | | 11,375,000 | | | | 9,643,744 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR8, Class F | | | | | |
3.18% | | 10/17/381 | | | 61,665,000 | | | | 52,449,002 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR8, Class G | | | | | |
4.01% | | 10/17/381 | | | 19,482,000 | | | | 16,036,834 | |
Progress Residential, | | | | | |
Series 2021-SFR1, Class E | | | | | |
2.11% | | 04/17/381 | | | 3,000,000 | | | | 2,576,133 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class E1 | | | | | |
2.54% | | 05/17/261 | | | 3,055,000 | | | | 2,665,355 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class G | | | | | |
4.25% | | 05/17/261 | | | 3,190,000 | | | | 2,824,522 | |
Rad CLO 18 Ltd., | | | | | |
Series 2023-18A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.95%) | | | | | |
6.67% | | 04/15/361,2,3 | | | 29,590,000 | | | | 29,461,224 | |
Recette CLO Ltd., | | | | | |
Series 2015-1A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
5.89% | | 04/20/341,2,3 | | | 32,680,000 | | | | 31,775,418 | |
Regatta XIV Funding Ltd., | | | | | |
Series 2018-3A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 10/25/311,2,3 | | | 1,900,000 | | | | 1,865,021 | |
Regatta XX Funding Ltd., | | | | | |
Series 2021-2A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.49% | | 10/15/341,2,3 | | | 17,000,000 | | | | 16,424,550 | |
|
| See accompanying Notes to Financial Statements. |
|
| 169 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| 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%) | | | | | |
5.81% | | | | | | 10/15/291,2,3 | | $ | 25,168,228 | | | $ | 24,937,788 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-3A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.19%) | | | | | |
6.00% | | | | | | 10/20/301,2,3 | | | 4,610,000 | | | | 4,566,887 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2019-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.57% | | | | | | 08/20/321,2,3 | | | 20,000,000 | | | | 19,401,640 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2020-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.28%) | | | | | |
6.09% | | | | | | 01/20/321,2,3 | | | 23,840,000 | | | | 23,597,905 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2020-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.80%) | | | | | |
6.61% | | | | | | 01/20/321,2,3 | | | 4,200,000 | | | | 4,083,887 | |
Scholar Funding Trust, | | | | | |
Series 2012-B, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
5.93% | | | | | | 03/28/461,2 | | | 15,898,823 | | | | 15,564,080 | |
Sixth Street CLO XVII Ltd., | | | | | |
Series 2021-17A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.24%) | | | | | |
6.05% | | | | | | 01/20/341,2,3 | | | 40,840,000 | | | | 39,984,810 | |
Sixth Street CLO XX Ltd., | | | | | |
Series 2021-20A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.46% | | | | | | 10/20/341,2,3 | | | 25,000,000 | | | | 24,091,250 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | | | | | 05/10/374,5,6 | | | 28,437,682 | | | | 25,670,562 | |
SLC Student Loan Trust, | | | | | |
Series 2004-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.29%) | | | | | |
5.15% | | | | | | 08/15/312 | | | 196,170 | | | | 171,585 | |
SLC Student Loan Trust, | | | | | |
Series 2008-1, Class A4A | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
6.47% | | | | | | 12/15/322 | | | 7,315,109 | | | | 7,320,437 | |
SLM Student Loan Trust, | | | | | |
Series 2003-12, Class B | | | | | |
(LIBOR USD 3-Month plus 0.59%) | | | | | |
5.46% | | | | | | 12/15/682 | | | 36,743 | | | | 34,941 | |
| | | | | | | | | | | | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2003-4, Class A5E | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
5.62% | | | | | | 03/15/331,2 | | $ | 3,252,130 | | | $ | 3,107,825 | |
SLM Student Loan Trust, | | | | | |
Series 2005-9, Class A7A | | | | | |
(LIBOR USD 3-Month plus 0.60%) | | | | | |
5.42% | | | | | | 01/25/412 | | | 41,128,714 | | | | 39,734,020 | |
SLM Student Loan Trust, | | | | | |
Series 2006-2, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.17%) | | | | | |
4.99% | | | | | | 01/25/412 | | | 22,583,476 | | | | 21,601,280 | |
SLM Student Loan Trust, | | | | | |
Series 2006-8, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
4.98% | | | | | | 01/25/412 | | | 25,103,645 | | | | 23,881,540 | |
SLM Student Loan Trust, | | | | | |
Series 2007-1, Class A6 | | | | | |
(LIBOR USD 3-Month plus 0.14%) | | | | | |
4.96% | | | | | | 01/27/422 | | | 24,425,141 | | | | 23,145,921 | |
SLM Student Loan Trust, | | | | | |
Series 2007-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.22%) | | | | | |
5.04% | | | | | | 01/27/422 | | | 2,855,061 | | | | 2,553,852 | |
SLM Student Loan Trust, | | | | | |
Series 2007-6, Class B | | | | | |
(LIBOR USD 3-Month plus 0.85%) | | | | | |
5.67% | | | | | | 04/27/432 | | | 3,582,461 | | | | 3,323,510 | |
SLM Student Loan Trust, | | | | | |
Series 2007-7, Class A4 | | | | | |
(LIBOR USD 3-Month plus 0.33%) | | | | | |
5.15% | | | | | | 01/25/222 | | | 195,251 | | | | 188,020 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | | | | | 01/25/832 | | | 38,874,000 | | | | 34,332,992 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class A3 | | | | | |
(LIBOR USD 3-Month plus 1.00%) | | | | | |
5.82% | | | | | | 10/25/212 | | | 12,448 | | | | 12,092 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class B | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | | | | | 04/26/832 | | | 2,260,000 | | | | 2,102,296 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.47% | | | | | | 07/25/222 | | | 1,422,454 | | | | 1,412,876 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | | | | | 04/25/732 | | | 8,849,000 | | | | 8,495,839 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.52% | | | | | | 07/25/232 | | | 20,813,296 | | | | 20,715,207 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 170 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/25/732 | | $ | 37,199,000 | | | $ | 34,777,170 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
5.92% | | 07/25/232 | | | 9,388,854 | | | | 9,145,520 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/832 | | | 31,424,000 | | | | 29,162,383 | |
SLM Student Loan Trust, | | | | | |
Series 2008-7, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/832 | | | 17,206,000 | | | | 15,977,683 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
6.32% | | 04/25/232 | | | 1,916,774 | | | | 1,899,278 | |
SLM Student Loan Trust, | | | | | |
Series 2008-8, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
7.07% | | 10/25/752 | | | 625,000 | | | | 609,023 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
6.32% | | 04/25/232 | | | 42,682,545 | | | | 42,455,608 | |
SLM Student Loan Trust, | | | | | |
Series 2008-9, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
7.07% | | 10/25/832 | | | 45,100,000 | | | | 44,532,834 | |
SLM Student Loan Trust, | | | | | |
Series 2009-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
5.60% | | 01/25/451,2 | | | 111,588,743 | | | | 107,208,629 | |
SLM Student Loan Trust, | | | | | |
Series 2011-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
6.00% | | 10/25/342 | | | 1,538,922 | | | | 1,532,724 | |
SLM Student Loan Trust, | | | | | |
Series 2012-1, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
5.80% | | 09/25/282 | | | 477,095 | | | | 455,046 | |
SLM Student Loan Trust, | | | | | |
Series 2012-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
5.55% | | 01/25/292 | | | 10,082,818 | | | | 9,727,191 | |
SLM Student Loan Trust, | | | | | |
Series 2012-3, Class A | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
5.50% | | 12/27/382 | | | 11,661,121 | | | | 11,347,327 | |
SLM Student Loan Trust, | | | | | |
Series 2012-7, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
5.50% | | 05/26/262 | | | 17,538,572 | | | | 16,852,698 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | | | | | |
(28 Day Auction Rate plus 0.00%) | | | | | |
1.61% | | 07/01/421,2 | | $ | 17,450,000 | | | $ | 16,121,270 | |
Symphony CLO XXIX Ltd., | | | | | |
Series 2021-29A, Class B | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
6.44% | | 01/15/341,2,3 | | | 14,500,000 | | | | 14,202,358 | |
Trestles CLO IV Ltd., | | | | | |
Series 2021-4A, Class A | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.17%) | | | | | |
5.99% | | 07/21/341,2,3 | | | 40,000,000 | | | | 39,103,600 | |
U.S. Small Business Administration, | | | | | |
Series 2022-25F, Class 1 | | | | | |
4.01% | | 06/01/47 | | | 69,173,721 | | | | 67,467,344 | |
United Auto Credit Securitization Trust, | | | | | |
Series 2022-2, Class R1 | | | | | |
0.00% | | 04/10/291 | | | 33,600 | | | | 3,800,517 | |
Voya CLO Ltd., | | | | | |
Series 2019-4A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.75%) | | | | | |
6.54% | | 01/15/351,2,3 | | | 17,500,000 | | | | 16,789,150 | |
Voya CLO Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
6.50% | | 07/19/341,2,3 | | | 11,825,000 | | | | 11,411,125 | |
| | | | | |
| |
| Total Asset-Backed Securities | | | | | |
(Cost $3,249,325,217) | | | | 3,190,369,009 | |
| | | | | |
| |
| BANK LOANS — 1.54%* | | | | | |
| |
| Automotive — 0.01% | | | | | |
Clarios Global LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.09% | | 04/30/262 | | | 7,529,354 | | | | 7,504,244 | |
| | | | | |
| |
| Communications — 0.18% | | | | | |
CenturyLink, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.36%) | | | | | |
7.17% | | 03/15/272 | | | 11,695,472 | | | | 7,770,179 | |
CSC Holdings LLC, | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
7.18% | | 04/15/272 | | | 5,877,841 | | | | 5,211,088 | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.32% | | 01/17/282 | | | 9,301,681 | | | | 8,638,936 | |
Diamond Sports Group, LLC, | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 3.40%) | | | | | |
8.03% | | 08/24/262 | | | 66,032,174 | | | | 3,782,983 | |
|
| See accompanying Notes to Financial Statements. |
|
| 171 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications (continued) | | | | | |
EW Scripps Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.78% | | 10/02/242 | | $ | 3,927,506 | | | $ | 3,912,287 | |
Frontier Communications Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.62% | | 05/01/282 | | | 18,434,411 | | | | 17,558,777 | |
Intelsat Jackson Holdings SA, | | | | | |
Term Loan, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 4.50%) | | | | | |
9.08% | | 02/01/292,3 | | | 5,038,997 | | | | 4,996,997 | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.60% | | 04/11/252 | | | 26,200,492 | | | | 26,218,309 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
7.84% | | 03/09/272 | | | 42,781,678 | | | | 34,993,487 | |
(SOFR plus 4.25%) | | | | | |
9.06% | | 03/09/272 | | | 4,202,397 | | | | 3,345,108 | |
| | | | | | | | | | | | |
| | | | | | | | | 116,428,151 | |
| | | | | | | | | | | | |
| |
| Consumer Discretionary — 0.08% | | | | | |
Naked Juice, LLC, | | | | | |
Term Loan, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 3.35%) | | | | | |
8.09% | | 01/24/292,3 | | | 44,517,497 | | | | 39,453,631 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.00%) | | | | | |
11.00% | | 01/24/302 | | | 1,212,526 | | | | 929,602 | |
Osmosis Buyer Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.48% | | 07/31/282 | | | 1,343,491 | | | | 1,300,674 | |
Sunshine Luxembourg VII SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.91% | | 10/01/262 | | | 7,569,238 | | | | 7,508,343 | |
| | | | | | | | | | | | |
| | | | 49,192,250 | |
| | | | | | | | | | | | |
| |
| Electric — 0.07% | | | | | |
CommScope, Inc., | | | | | |
Term Loan B2, 1st Lien (France) | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.09% | | 04/06/262,3 | | | 41,089,934 | | | | 39,632,474 | |
Homer City Generation LP, | | | | | |
Term Loan, 1st Lien (France) | | | | | |
(LIBOR plus 11.00%) | | | | | |
15.00% | | 04/05/232,5,6 | | | 6,509,147 | | | | 4,371,966 | |
| | | | | | | | | | | | |
| | | | 44,004,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Entertainment — 0.08% | | | | | |
Alpha Topco Ltd. - Delta 2 (Lux) Sarl, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.05% | | 01/15/302 | | $ | 1,243,525 | | | $ | 1,245,602 | |
Cineworld Finance U.S., Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.50%) | | | | | |
9.50% | | 02/28/252 | | | 6,702,692 | | | | 1,057,785 | |
Crown Finance U.S., Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 10.10%) | | | | | |
14.66% - 14.80% | | 09/07/232,3 | | | 8,564,918 | | | | 8,700,201 | |
Elanco Animal Health, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.41% | | 08/01/272 | | | 37,765,956 | | | | 37,007,427 | |
William Morris Endeavor Entertainment LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
7.60% | | 05/16/252 | | | 2,104,128 | | | | 2,090,104 | |
| | | | | | | | | | | | |
| | | | 50,101,119 | |
| | | | | | | | | | | | |
| |
| Finance — 0.10% | | | | | |
Auris Lux III SA, | | | | | |
Term Loan B2, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.68% | | 02/27/262,3 | | | 1,443,618 | | | | 1,311,526 | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
7.01% | | 12/01/272 | | | 8,801,026 | | | | 8,821,181 | |
Deerfield Dakota Holding LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.46% | | 04/09/272 | | | 8,413,608 | | | | 8,168,225 | |
Mozart Borrower, LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.09% | | 10/23/282 | | | 20,863,602 | | | | 20,369,760 | |
Setanta Aircraft Leasing DAC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
7.16% | | 11/06/282 | | | 16,790,000 | | | | 16,808,889 | |
Telenet Financing USD LLC, | | | | | |
Term Loan AR, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
6.68% | | 04/28/282 | | | 10,080,899 | | | | 9,910,784 | |
| | | | | | | | | | | | |
| | | | 65,390,365 | |
| | | | | | | | | | | | |
| |
| Food — 0.04% | | | | | |
Hostess Brands LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
7.08% | | 08/03/252 | | | 22,849,834 | | | | 22,891,306 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 172 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
| Gaming — 0.04% | | | | | |
Churchill Downs, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
6.85% | | 03/17/282 | | $ | 12,740,000 | | | $ | 12,686,938 | |
Golden Nugget, LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.81% | | 01/26/292 | | | 3,278,788 | | | | 3,235,573 | |
J&J Ventures Gaming LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
9.16% | | 04/26/282 | | | 964,955 | | | | 937,415 | |
Penn National Gaming, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.66% | | 05/03/292 | | | 3,442,659 | | | | 3,439,870 | |
Scientific Games International, Inc., | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(SOFR plus 3.10%) | | | | | |
7.96% | | 04/13/292,3 | | | 5,300,383 | | | | 5,268,342 | |
| | | | | | | | | | | | |
| | | | 25,568,138 | |
| | | | | | | | | | | | |
| |
| Health Care — 0.23% | | | | | |
Avantor Funding, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
6.98% | | 11/08/272 | | | 21,304,784 | | | | 21,316,502 | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.51% | | 01/15/252 | | | 6,520,459 | | | | 6,531,348 | |
Bausch & Lomb Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.36% | | 05/10/272 | | | 7,342,837 | | | | 7,149,060 | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
6.74% | | 11/15/272 | | | 25,921,440 | | | | 25,440,856 | |
Horizon Therapeutics USA, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
7.06% | | 05/22/262 | | | 628,170 | | | | 628,289 | |
Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.56% | | 03/15/282 | | | 29,098,117 | | | | 29,077,603 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
8.34% | | 05/05/282 | | | 39,742,668 | | | | 39,639,138 | |
Organon & Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
7.75% | | 06/02/282 | | | 9,492,323 | | | | 9,500,202 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
Peraton Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.49% | | 02/01/282 | | $ | 9,666,913 | | | $ | 9,566,232 | |
Perrigo Investments LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.35%) | | | | | |
7.15% | | 04/20/292 | | | 744,375 | | | | 740,653 | |
Prestige Brands, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
6.86% | | 07/03/282 | | | 354,545 | | | | 354,030 | |
| | | | | |
| | | | 149,943,913 | |
| | | | | |
| |
| Industrials — 0.25% | | | | | |
ASP Blade Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
8.94% | | 10/16/282 | | | 1,097,387 | | | | 919,978 | |
AZZ, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.35%) | | | | | |
9.06% | | 05/14/292 | | | 2,003,078 | | | | 2,005,162 | |
Berry Global, Inc., | | | | | |
Term Loan Z, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.51% | | 07/01/262 | | | 69,960,448 | | | | 69,807,584 | |
DIRECTV Financing LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
9.84% | | 08/02/272 | | | 30,886,989 | | | | 29,795,442 | |
II-VI, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.86%) | | | | | |
7.38% - 7.67% | | 07/02/292 | | | 2,377,449 | | | | 2,359,618 | |
Michaels Cos., Inc. (The), | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
9.41% | | 04/15/282 | | | 27,745,800 | | | | 25,545,142 | |
Transdigm, Inc., | | | | | |
Term Loan I, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.15% | | 08/24/282 | | | 19,429,295 | | | | 19,400,151 | |
Zep, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
9.16% | | 08/12/242 | | | 10,138,389 | | | | 8,780,554 | |
| | | | | |
| | | | 158,613,631 | |
| | | | | |
| |
| Information Technology — 0.25% | | | | | |
Arches Buyer, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.06% | | 12/06/272 | | | 5,539,264 | | | | 5,232,860 | |
|
| See accompanying Notes to Financial Statements. |
|
| 173 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
AthenaHealth Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.25% | | 02/15/292,3,7 | | $ | 7,109,611 | | | $ | 6,674,148 | |
Central Parent, Inc., | | | | | |
Term Loan, 1st Lien (Canada) | | | | | |
(SOFR plus 4.25%) | | | | | |
9.14% - 9.18% | | 07/06/292,3 | | | 10,569,932 | | | | 10,553,707 | |
Entegris, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.37% - 7.64% | | 07/06/292 | | | 4,689,326 | | | | 4,642,433 | |
Gainwell Acquisition Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
8.72% - 8.99% | | 10/01/272 | | | 17,945,518 | | | | 17,182,833 | |
NortonLifeLock, Inc., | | | | | |
Term Loan A, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.58% | | 09/10/272 | | | 20,023,349 | | | | 19,622,882 | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.10%) | | | | | |
6.91% | | 09/12/292 | | | 21,195,618 | | | | 21,012,806 | |
Open Text Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
8.30% | | 08/24/292 | | | 4,284,999 | | | | 4,279,193 | |
Oracle Corp., | | | | | |
Term Loan 1, 1st Lien | | | | | |
(SOFR plus 1.60%) | | | | | |
6.46% | | 08/16/272 | | | 59,289,814 | | | | 58,993,365 | |
Prime Security Services Borrower LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
7.52% | | 09/23/262 | | | 3,988,685 | | | | 3,981,426 | |
Proofpoint, Inc., | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(LIBOR plus 3.25%) | | | | | |
7.99% | | 08/31/282,3 | | | 935,488 | | | | 916,516 | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
7.84% | | 04/24/282 | | | 3,121,234 | | | | 3,034,885 | |
Renaissance Holding Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.22% | | 03/14/302 | | | 2,426,084 | | | | 2,363,722 | |
Sophia LP, | | | | | |
Term Loan B, 1st Lien | �� | | | | |
(LIBOR plus 3.50%) | | | | | |
8.66% | | 10/07/272 | | | 1,386,256 | | | | 1,372,401 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Spin Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
8.99% | | 03/03/282 | | $ | 3,200,343 | | | $ | 2,699,713 | |
| | | | | |
| | | | 162,562,890 | |
| | | | | |
| |
| Insurance — 0.03% | | | | | |
Acrisure LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
8.24% | | 02/15/272 | | | 19,822,602 | | | | 19,236,150 | |
Asurion LLC, | | | | | |
Term Loan B8, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
7.99% | | 12/23/262 | | | 1,259,690 | | | | 1,171,966 | |
HUB International Ltd., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.06% | | 04/25/252 | | | 569,846 | | | | 569,236 | |
| | | | | |
| | | | | | | | | 20,977,352 | |
| | | | | |
| |
| Retail — 0.13% | | | | | |
American Airlines, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.75%) | | | | | |
9.56% | | 04/20/282 | | | 4,340,781 | | | | 4,414,335 | |
AmWINS Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
6.99% | | 02/19/282 | | | 47,936,324 | | | | 47,440,423 | |
BC ULC, | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.59% | | 11/19/262,3 | | | 20,265,115 | | | | 20,104,717 | |
KFC Holding Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.51% | | 03/15/282 | | | 8,673,309 | | | | 8,648,027 | |
| | | | | |
| | | | 80,607,502 | |
| | | | | |
| |
| Services — 0.04% | | | | | |
Amentum Government Services Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
8.63% | | 01/29/272 | | | 3,354,665 | | | | 3,300,152 | |
Aramark Services, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
6.49% | | 03/11/252 | | | 2,287,785 | | | | 2,285,646 | |
Element Materials Technology Group U.S. Holdings, Inc., | | | | | |
Delayed-Draw Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.35%) | | | | | |
9.25% | | 06/22/292 | | | 2,077,315 | | | | 2,057,840 | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.35%) | | | | | |
9.25% | | 06/22/292 | | | 4,500,849 | | | | 4,458,653 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 174 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Services (continued) | | | | | |
PowerTeam Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
8.19% | | 03/06/252 | | $ | 2,476,546 | | | $ | 2,110,735 | |
Pre-Paid Legal Services, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.59% | | 12/15/282 | | | 4,990,528 | | | | 4,919,313 | |
Safe Fleet Holdings, LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.85%) | | | | | |
8.61% | | 02/23/292 | | | 2,860,666 | | | | 2,809,403 | |
Trans Union LLC, | | | | | |
Term Loan B6, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 2.25%) | | | | | |
6.99% | | 12/01/282,3 | | | 3,158,177 | | | | 3,139,749 | |
TruGreen LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
8.84% | | 11/02/272 | | | 4,097,239 | | | | 3,793,797 | |
| | | | | |
| | | | 28,875,288 | |
| | | | | |
| |
| Transportation — 0.01% | | | | | |
United Airlines, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
8.56% | | 04/21/282 | | | 4,949,495 | | | | 4,925,366 | |
| | | | | |
| |
| Total Bank Loans | | | | | |
(Cost $1,060,038,246) | | | | 987,585,955 | |
| | | | | |
| |
| CORPORATES — 30.08%* | | | | | |
| |
| Automobile Components — 0.00% | | | | | |
Ford Motor Credit Co. LLC | | | | | |
3.37% | | 11/17/23 | | | 1,144,000 | | | | 1,123,980 | |
| | | | | |
| |
| Banking — 7.92% | | | | | |
ABN AMRO Bank NV | | | | | |
(Netherlands) | | | | | |
2.47% | | 12/13/291,3,4 | | | 7,000,000 | | | | 5,904,797 | |
Bank of America Corp. | | | | | |
0.98% | | 04/22/254 | | | 2,330,000 | | | | 2,220,332 | |
1.73% | | 07/22/274 | | | 250,485,000 | | | | 224,683,061 | |
2.30% | | 07/21/324 | | | 16,018,000 | | | | 12,916,992 | |
2.57% | | 10/20/324 | | | 8,676,000 | | | | 7,096,943 | |
2.59% | | 04/29/314 | | | 39,817,000 | | | | 33,748,662 | |
2.69% | | 04/22/324 | | | 30,574,000 | | | | 25,557,005 | |
2.97% | | 02/04/334 | | | 10,007,000 | | | | 8,439,991 | |
3.42% | | 12/20/284 | | | 12,681,000 | | | | 11,799,024 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
0.81% | | 10/24/244 | | | 6,000,000 | | | | 5,833,948 | |
1.90% | | 07/23/314 | | | 29,920,000 | | | | 23,981,428 | |
1.92% | | 10/24/314 | | | 21,386,000 | | | | 17,102,658 | |
2.02% | | 02/13/264 | | | 1,898,000 | | | | 1,779,679 | |
2.09% | | 06/14/294 | | | 275,019,000 | | | | 236,817,731 | |
2.50% | | 02/13/314 | | | 19,900,000 | | | | 16,868,902 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
2.55% | | 02/04/284 | | $ | 33,035,000 | | | $ | 30,114,211 | |
3.97% | | 03/05/294 | | | 353,000 | | | | 334,947 | |
(LIBOR USD 3-Month plus 0.65%) | | | | | |
5.61% | | 12/01/262 | | | 50,000,000 | | | | 47,027,670 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
1.66% | | 03/11/274 | | | 317,702,000 | | | | 286,640,879 | |
2.65% | | 03/11/324 | | | 5,640,000 | | | | 4,715,497 | |
Credit Suisse Group AG | | | | | |
(Switzerland) | | | | | |
1.31% | | 02/02/271,3,4 | | | 150,785,000 | | | | 128,167,250 | |
2.13% | | 10/13/263,4 | | | 10,150,000 | | | | 10,101,114 | |
2.19% | | 06/05/261,3,4 | | | 32,674,000 | | | | 29,079,860 | |
2.59% | | 09/11/251,3,4 | | | 21,389,000 | | | | 19,878,082 | |
2.88% | | 04/02/323,4 | | | 223,214,000 | | | | 202,568,108 | |
3.09% | | 05/14/321,3,4 | | | 164,312,000 | | | | 132,238,436 | |
3.87% | | 01/12/291,3,4 | | | 17,646,000 | | | | 15,724,814 | |
4.19% | | 04/01/311,3,4 | | | 32,176,000 | | | | 28,646,293 | |
4.28% | | 01/09/281,3 | | | 16,207,000 | | | | 14,707,852 | |
6.37% | | 07/15/261,3,4 | | | 40,805,000 | | | | 39,795,272 | |
6.44% | | 08/11/281,3,4 | | | 3,392,000 | | | | 3,358,080 | |
6.54% | | 08/12/331,3,4 | | | 162,059,000 | | | | 166,110,475 | |
7.75% | | 03/01/293,4 | | | 13,350,000 | | | | 15,913,344 | |
9.02% | | 11/15/331,3,4 | | | 102,474,000 | | | | 121,944,060 | |
Credit Suisse Group AG | | | | | |
(EMTN) | | | | | |
(Switzerland) | | | | | |
0.63% | | 01/18/333 | | | 22,735,000 | | | | 16,163,903 | |
Discover Bank | | | | | |
(BKNT) | | | | | |
4.20% | | 08/08/23 | | | 15,255,000 | | | | 15,167,744 | |
DNB Bank ASA | | | | | |
(Norway) | | | | | |
0.86% | | 09/30/251,3,4 | | | 122,145,000 | | | | 114,077,516 | |
1.13% | | 09/16/261,3,4 | | | 7,581,000 | | | | 6,808,364 | |
1.61% | | 03/30/281,3,4 | | | 5,940,000 | | | | 5,173,468 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.59% | | 05/24/273,4 | | | 22,349,000 | | | | 19,720,737 | |
1.75% | | 07/24/273,4 | | | 15,500,000 | | | | 16,837,272 | |
2.01% | | 09/22/283,4 | | | 185,957,000 | | | | 160,034,551 | |
2.21% | | 08/17/293,4 | | | 203,805,000 | | | | 171,813,701 | |
2.63% | | 11/07/253,4 | | | 17,045,000 | | | | 16,126,335 | |
2.80% | | 05/24/323,4 | | | 56,564,000 | | | | 46,290,640 | |
3.97% | | 05/22/303,4 | | | 2,650,000 | | | | 2,401,307 | |
4.29% | | 09/12/263,4 | | | 5,000,000 | | | | 4,796,624 | |
4.76% | | 06/09/283,4 | | | 3,116,000 | | | | 3,018,869 | |
6.25% | | 03/09/343,4 | | | 7,000,000 | | | | 7,324,178 | |
6.33% | | 03/09/443,4 | | | 38,998,000 | | | | 41,258,598 | |
ING Groep NV | | | | | |
(Netherlands) | | | | | |
4.02% | | 03/28/283,4 | | | 31,185,000 | | | | 29,784,451 | |
JPMorgan Chase & Co. | | | | | |
0.77% | | 08/09/254 | | | 41,694,000 | | | | 39,193,412 | |
0.97% | | 06/23/254 | | | 136,630,000 | | | | 129,451,837 | |
1.47% | | 09/22/274 | | | 33,219,000 | | | | 29,391,559 | |
|
| See accompanying Notes to Financial Statements. |
|
| 175 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
1.58% | | 04/22/274 | | $ | 120,391,000 | | | $ | 108,210,871 | |
2.01% | | 03/13/264 | | | 41,645,000 | | | | 39,270,948 | |
2.58% | | 04/22/324 | | | 35,604,000 | | | | 30,010,725 | |
3.70% | | 05/06/304 | | | 8,100,000 | | | | 7,538,173 | |
4.02% | | 12/05/244 | | | 162,035,000 | | | | 160,500,880 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | | 21,375,000 | | | | 18,983,594 | |
3.57% | | 11/07/283,4 | | | 2,073,000 | | | | 1,899,398 | |
3.75% | | 03/18/283,4 | | | 19,130,000 | | | | 17,829,362 | |
3.87% | | 07/09/253,4 | | | 27,225,000 | | | | 26,477,287 | |
3.90% | | 03/12/243 | | | 27,591,000 | | | | 27,059,395 | |
4.05% | | 08/16/233 | | | 10,510,000 | | | | 10,435,619 | |
4.98% | | 08/11/333,4 | | | 59,300,000 | | | | 57,335,735 | |
Macquarie Group Ltd. | | | | | |
(Australia) | | | | | |
1.20% | | 10/14/251,3,4 | | | 70,515,000 | | | | 65,751,305 | |
1.34% | | 01/12/271,3,4 | | | 25,515,000 | | | | 22,786,998 | |
1.63% | | 09/23/271,3,4 | | | 35,840,000 | | | | 31,511,619 | |
2.69% | | 06/23/321,3,4 | | | 2,100,000 | | | | 1,682,068 | |
2.87% | | 01/14/331,3,4 | | | 112,140,000 | | | | 90,928,119 | |
4.44% | | 06/21/331,3,4 | | | 19,355,000 | | | | 17,610,411 | |
NatWest Group PLC | | | | | |
(United Kingdom) | | | | | |
4.27% | | 03/22/253,4 | | | 114,332,000 | | | | 112,085,748 | |
4.52% | | 06/25/243,4 | | | 21,305,000 | | | | 21,204,158 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/344 | | | 136,758,000 | | | | 135,136,471 | |
6.04% | | 10/28/334 | | | 6,665,000 | | | | 7,037,346 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.09% | | 03/15/253,4 | | | 176,904,000 | | | | 167,285,834 | |
1.53% | | 08/21/263,4 | | | 39,934,000 | | | | 35,661,599 | |
1.67% | | 06/14/273,4 | | | 33,865,000 | | | | 29,510,864 | |
2.47% | | 01/11/283,4 | | | 23,406,000 | | | | 20,620,555 | |
2.90% | | 03/15/323,4 | | | 5,941,000 | | | | 4,802,155 | |
3.82% | | 11/03/283,4 | | | 2,200,000 | | | | 2,013,234 | |
4.80% | | 11/15/243,4 | | | 114,250,000 | | | | 112,694,409 | |
Santander UK PLC | | | | | |
(United Kingdom) | | | | | |
5.00% | | 11/07/231,3 | | | 27,746,000 | | | | 27,435,744 | |
U.S. Bancorp | | | | | |
4.84% | | 02/01/344 | | | 141,678,000 | | | | 137,516,121 | |
5.85% | | 10/21/334 | | | 34,035,000 | | | | 35,632,870 | |
Wells Fargo & Co. | | | | | |
2.19% | | 04/30/264 | | | 9,129,000 | | | | 8,561,726 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | 02/11/264 | | | 49,673,000 | | | | 46,759,931 | |
2.39% | | 06/02/284 | | | 133,700,000 | | | | 120,480,759 | |
2.88% | | 10/30/304 | | | 168,638,000 | | | | 146,526,727 | |
3.35% | | 03/02/334 | | | 277,057,000 | | | | 240,501,775 | |
3.53% | | 03/24/284 | | | 117,849,000 | | | | 111,321,123 | |
3.58% | | 05/22/284 | | | 10,285,000 | | | | 9,697,555 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
5.01% | | 04/04/514 | | $ | 6,515,000 | | | $ | 6,143,390 | |
| | | | | |
| | | | | | | | | 5,081,105,064 | |
| | | | | |
| |
| Communications — 3.45% | | | | | |
AT&T, Inc. | | | | | |
4.30% | | 12/15/42 | | | 30,960,000 | | | | 26,970,115 | |
4.75% | | 05/15/46 | | | 49,060,000 | | | | 44,339,338 | |
4.85% | | 03/01/39 | | | 4,620,000 | | | | 4,341,260 | |
5.25% | | 03/01/37 | | | 109,923,000 | | | | 110,069,694 | |
C&W Senior Financing DAC | | | | | |
(Ireland) | | | | | |
6.88% | | 09/15/271,3 | | | 2,200,000 | | | | 1,970,043 | |
Cable One, Inc. | | | | | |
4.00% | | 11/15/301 | | | 49,155,000 | | | | 40,307,100 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
4.25% | | 02/01/311 | | | 3,725,000 | | | | 3,054,500 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. | | | | | |
4.50% | | 06/01/331 | | | 21,796,000 | | | | 17,409,119 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
2.30% | | 02/01/32 | | | 10,000,000 | | | | 7,627,557 | |
2.80% | | 04/01/31 | | | 15,987,000 | | | | 12,888,525 | |
4.80% | | 03/01/50 | | | 127,389,000 | | | | 96,977,424 | |
5.38% | | 04/01/38 | | | 2,030,000 | | | | 1,775,271 | |
5.38% | | 05/01/47 | | | 116,802,000 | | | | 96,121,460 | |
5.75% | | 04/01/48 | | | 33,533,000 | | | | 29,292,752 | |
Charter Communications Operating, LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
5.13% | | 07/01/49 | | | 14,837,000 | | | | 11,737,847 | |
5.25% | | 04/01/53 | | | 33,378,000 | | | | 27,086,497 | |
CommScope, Inc. | | | | | |
4.75% | | 09/01/291 | | | 56,180,000 | | | | 47,233,335 | |
Cox Communications, Inc. | | | | | |
2.60% | | 06/15/311 | | | 9,790,000 | | | | 8,093,560 | |
CSC Holdings LLC | | | | | |
4.50% | | 11/15/311 | | | 10,835,000 | | | | 7,802,611 | |
4.63% | | 12/01/301 | | | 4,879,000 | | | | 2,427,302 | |
5.38% | | 02/01/281 | | | 22,749,000 | | | | 18,658,873 | |
5.75% | | 01/15/301 | | | 8,315,000 | | | | 4,386,163 | |
6.50% | | 02/01/291 | | | 77,712,000 | | | | 64,611,117 | |
7.50% | | 04/01/281 | | | 5,318,000 | | | | 3,395,011 | |
Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | 08/15/261,8,9 | | | 117,716,000 | | | | 6,621,525 | |
Frontier Communications Holdings LLC | | | | | |
5.00% | | 05/01/281 | | | 12,696,000 | | | | 11,033,757 | |
6.75% | | 05/01/291 | | | 2,406,000 | | | | 1,909,089 | |
8.63% | | 03/15/311 | | | 46,794,000 | | | | 45,857,618 | |
8.75% | | 05/15/301 | | | 5,000,000 | | | | 4,985,425 | |
Global Switch Finance BV | | | | | |
(EMTN) | | | | | |
(Netherlands) | | | | | |
1.38% | | 10/07/303 | | | 63,777,000 | | | | 56,964,299 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
6.50% | | 03/15/301,3 | | | 123,530,000 | | | | 113,736,721 | |
|
| See accompanying Notes to Financial Statements. |
|
| Annual Report March 2023 / 176 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
Intelsat Jackson Holdings SA, | | | | | |
Class B | | | | | |
(Luxembourg) | | | | | |
5.50% | | 08/01/23†,3,5,6,8,9 | | $ | 54,920,000 | | | $ | — | |
8.50% | | 10/15/24†,1,3,5,6,8,9 | | | 149,759,000 | | | | — | |
9.75% | | 07/15/25†,1,3,5,6,8,9 | | | 45,708,000 | | | | — | |
Level 3 Financing, Inc. | | | | | |
3.63% | | 01/15/291 | | | 7,205,000 | | | | 3,985,227 | |
3.75% | | 07/15/291 | | | 26,801,000 | | | | 14,324,330 | |
4.25% | | 07/01/281 | | | 20,145,000 | | | | 11,388,972 | |
10.50% | | 05/15/301 | | | 12,664,300 | | | | 12,110,237 | |
Meta Platforms, Inc. | | | | | |
4.45% | | 08/15/52 | | | 51,470,000 | | | | 45,373,423 | |
Netflix, Inc. | | | | | |
4.63% | | 05/15/29 | | | 61,440,000 | | | | 68,236,158 | |
Netflix, Inc., | | | | | |
Series REGS | | | | | |
3.63% | | 06/15/30 | | | 3,000,000 | | | | 3,147,865 | |
| Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | | | | | |
4.75% | | 04/30/271 | | | 1,820,000 | | | | 1,556,100 | |
Qwest Corp. | | | | | |
7.25% | | 09/15/25 | | | 4,044,000 | | | | 3,760,920 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/441 | | | 55,170,000 | | | | 43,452,876 | |
SES SA | | | | | |
(Luxembourg) | | | | | |
3.60% | | 04/04/231,3 | | | 16,882,000 | | | | 16,882,000 | |
Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/311 | | | 2,215,000 | | | | 1,724,344 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
4.74% | | 03/20/251 | | | 93,533,000 | | | | 92,858,186 | |
5.15% | | 03/20/281 | | | 310,120,000 | | | | 308,295,976 | |
Tencent Holdings Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.88% | | 04/22/311,3 | | | 5,535,000 | | | | 4,805,029 | |
3.68% | | 04/22/411,3 | | | 22,760,000 | | | | 17,422,082 | |
3.84% | | 04/22/511,3 | | | 64,516,000 | | | | 47,621,803 | |
3.98% | | 04/11/291,3 | | | 9,225,000 | | | | 8,737,920 | |
Time Warner Cable LLC | | | | | |
4.50% | | 09/15/42 | | | 18,977,000 | | | | 14,591,546 | |
5.50% | | 09/01/41 | | | 32,811,000 | | | | 28,382,134 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | 02/15/26 | | | 11,701,000 | | | | 10,920,938 | |
2.55% | | 02/15/31 | | | 11,038,000 | | | | 9,360,414 | |
2.63% | | 04/15/26 | | | 61,941,000 | | | | 58,032,839 | |
2.63% | | 02/15/29 | | | 5,073,000 | | | | 4,483,403 | |
3.50% | | 04/15/31 | | | 10,613,000 | | | | 9,547,253 | |
3.75% | | 04/15/27 | | | 10,637,000 | | | | 10,231,551 | |
3.88% | | 04/15/30 | | | 294,115,000 | | | | 276,203,958 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 09/17/503 | | | 5,000,000 | | | | 4,091,426 | |
4.88% | | 06/19/493 | | | 116,422,500 | | | | 105,276,625 | |
| | | | | | | | | | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
VZ Secured Financing BV | | | | | |
(Netherlands) | | | | | |
5.00% | | 01/15/321,3 | | $ | 18,626,000 | | | $ | 15,215,114 | |
VZ Secured Financing BV, | | | | | |
Series REGS | | | | | |
(Netherlands) | | | | | |
3.50% | | 01/15/323 | | | 24,625,000 | | | | 21,416,926 | |
Zayo Group Holdings, Inc. | | | | | |
4.00% | | 03/01/271 | | | 3,817,000 | | | | 2,904,355 | |
Ziggo BV | | | | | |
(Netherlands) | | | | | |
4.88% | | 01/15/301,3 | | | 8,693,000 | | | | 7,432,515 | |
| | | | | |
| | | | 2,213,459,353 | |
| | | | | |
| |
| Consumer Discretionary — 1.40% | | | | | |
Altria Group, Inc. | | | | | |
3.70% | | 02/04/51 | | | 995,000 | | | | 671,231 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | 05/15/251,3 | | | 24,780,000 | | | | 24,414,455 | |
5.15% | | 05/15/381,3 | | | 12,881,000 | | | | 12,527,390 | |
5.30% | | 05/15/481,3 | | | 18,831,000 | | | | 17,614,029 | |
BAT Capital Corp. | | | | | |
2.73% | | 03/25/31 | | | 6,395,000 | | | | 5,191,549 | |
3.56% | | 08/15/27 | | | 3,000 | | | | 2,793 | |
3.73% | | 09/25/40 | | | 3,182,000 | | | | 2,277,797 | |
4.39% | | 08/15/37 | | | 73,160,000 | | | | 59,757,765 | |
4.54% | | 08/15/47 | | | 138,420,000 | | | | 103,264,924 | |
4.76% | | 09/06/49 | | | 30,502,000 | | | | 23,441,093 | |
5.28% | | 04/02/50 | | | 5,356,000 | | | | 4,408,243 | |
BAT International Finance PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
2.25% | | 09/09/523 | | | 100,765,000 | | | | 50,491,932 | |
4.00% | | 11/23/553 | | | 8,700,000 | | | | 6,218,121 | |
Imperial Brands Finance Netherlands BV | | | | | |
(EMTN) | | | | | |
(Netherlands) | | | | | |
1.75% | | 03/18/333 | | | 25,150,000 | | | | 19,791,334 | |
5.25% | | 02/15/313 | | | 15,000,000 | | | | 16,090,330 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
3.13% | | 07/26/241,3 | | | 15,312,000 | | | | 14,832,389 | |
3.50% | | 07/26/261,3 | | | 53,505,000 | | | | 50,243,751 | |
3.88% | | 07/26/291,3 | | | 4,545,000 | | | | 4,082,612 | |
4.25% | | 07/21/251,3 | | | 15,566,000 | | | | 15,111,328 | |
6.13% | | 07/27/271,3 | | | 1,580,000 | | | | 1,621,983 | �� |
Imperial Brands Finance PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
8.13% | | 03/15/243 | | | 1,758,000 | | | | 2,219,966 | |
Reynolds American, Inc. | | | | | |
5.70% | | 08/15/35 | | | 34,320,000 | | | | 32,554,941 | |
5.85% | | 08/15/45 | | | 68,022,000 | | | | 61,366,218 | |
Spectrum Brands, Inc. | | | | | |
5.50% | | 07/15/301 | | | 770,000 | | | | 683,375 | |
|
| See accompanying Notes to Financial Statements. |
|
| 177 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Consumer Discretionary (continued) | | | | | |
| Triton Water Holdings, Inc. | | | | | |
6.25% | | | | | 04/01/291 | | | $ | 41,088,000 | | | $ | 32,704,404 | |
| WarnerMedia Holdings, Inc. | | | | | |
3.43% | | | | | 03/15/241 | | | | 3,000,000 | | | | 2,933,218 | |
5.05% | | | | | 03/15/421 | | | | 16,935,000 | | | | 14,180,077 | |
5.14% | | | | | 03/15/521 | | | | 339,615,000 | | | | 275,923,630 | |
5.39% | | | | | 03/15/621 | | | | 52,245,000 | | | | 42,291,559 | |
| | | | | |
| | | | 896,912,437 | |
| | | | | |
| |
| Consumer Products — 0.02% | | | | | |
| Newell Brands, Inc. | |
6.00% | | | | | 04/01/46 | | | | 3,935,000 | | | | 3,220,916 | |
6.38% | | | | | 09/15/27 | | | | 6,500,000 | | | | 6,567,659 | |
| Spectrum Brands, Inc. | |
5.00% | | | | | 10/01/291 | | | | 4,639,000 | | | | 4,070,722 | |
| | | | | |
| | | | 13,859,297 | |
| | | | | |
Diversified REITs — 0.96% | | | | | |
| American Tower Corp. | | | | | |
0.88% | | | | | 05/21/29 | | | | 8,755,000 | | | | 7,662,781 | |
0.95% | | | | | 10/05/30 | | | | 5,571,000 | | | | 4,654,774 | |
1.00% | | | | | 01/15/32 | | | | 15,023,000 | | | | 12,076,993 | |
1.88% | | | | | 10/15/30 | | | | 13,336,000 | | | | 10,606,197 | |
2.30% | | | | | 09/15/31 | | | | 11,598,000 | | | | 9,306,295 | |
2.70% | | | | | 04/15/31 | | | | 39,498,000 | | | | 33,151,981 | |
5.65% | | | | | 03/15/33 | | | | 50,302,000 | | | | 51,806,370 | |
| CapitaLand Ascendas REIT | | | | | |
| (EMTN) | | | | | |
| (Slovenia) | | | | | |
0.75% | | | | | 06/23/283 | | | | 15,838,000 | | | | 13,677,320 | |
| Crown Castle, Inc. | | | | | |
2.50% | | | | | 07/15/31 | | | | 3,287,000 | | | | 2,760,832 | |
| Digital Dutch Finco BV | | | | | |
(Netherlands) | | | | | | | | | | | | | | |
1.00% | | | | | 01/15/323 | | | | 5,000,000 | | | | 3,829,148 | |
1.25% | | | | | 02/01/313 | | | | 26,308,000 | | | | 21,340,881 | |
1.50% | | | | | 03/15/303 | | | | 25,000,000 | | | | 21,241,852 | |
| Digital Intrepid Holding BV | | | | | |
| (Netherlands) | | | | | |
0.63% | | | | | 07/15/313 | | | | 22,260,000 | | | | 16,677,589 | |
1.38% | | | | | 07/18/323 | | | | 36,145,000 | | | | 27,669,628 | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | | | | 01/15/32 | | | | 3,244,000 | | | | 2,648,272 | |
4.00% | | | | | 01/15/30 | | | | 29,995,000 | | | | 26,672,454 | |
4.00% | | | | | 01/15/31 | | | | 7,310,000 | | | | 6,387,490 | |
5.25% | | | | | 06/01/25 | | | | 6,644,000 | | | | 6,509,791 | |
5.30% | | | | | 01/15/29 | | | | 34,755,000 | | | | 33,114,564 | |
5.38% | | | | | 04/15/26 | | | | 78,873,000 | | | | 76,617,585 | |
5.75% | | | | | 06/01/28 | | | | 24,498,000 | | | | 23,927,577 | |
| VICI Properties LP | | | | | |
5.13% | | | | | 05/15/32 | | | | 68,493,000 | | | | 64,929,220 | |
5.63% | | | | | 05/15/52 | | | | 39,592,000 | | | | 35,696,959 | |
| VICI Properties LP/VICI Note Co., Inc. | | | | | |
3.75% | | | | | 02/15/271 | | | | 5,422,000 | | | | 5,009,982 | |
3.88% | | | | | 02/15/291 | | | | 45,791,000 | | | | 40,760,630 | |
4.13% | | | | | 08/15/301 | | | | 10,930,000 | | | | 9,604,737 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Diversified REITs (continued) | | | | | |
4.50% | | | | | 09/01/261 | | | $ | 8,763,000 | | | $ | 8,385,639 | |
4.50% | | | | | 01/15/281 | | | | 21,816,000 | | | | 20,231,020 | |
4.63% | | | | | 06/15/251 | | | | 16,415,000 | | | | 15,879,468 | |
5.75% | | | | | 02/01/271 | | | | 3,328,000 | | | | 3,279,788 | |
| | | | | |
| | | | | | | | | | | | | 616,117,817 | |
| | | | | |
| |
| Electric — 1.22% | | | | | |
| AEP Transmission Co. LLC, | | | | | |
| Series M | | | | | |
3.65% | | | | | 04/01/50 | | | | 1,460,000 | | | | 1,160,655 | |
| Alliant Energy Finance LLC | | | | | |
3.75% | | | | | 06/15/231 | | | | 31,081,000 | | | | 30,978,652 | |
| Alliant Energy Finance, LLC | | | | | |
3.60% | | | | | 03/01/321 | | | | 4,515,000 | | | | 4,023,956 | |
| American Electric Power Co., Inc. | | | | | |
2.03% | | | | | 03/15/24 | | | | 4,935,000 | | | | 4,787,060 | |
5.63% | | | | | 03/01/33 | | | | 4,610,000 | | | | 4,781,965 | |
5.75% | | | | | 11/01/27 | | | | 17,065,000 | | | | 17,759,563 | |
| American Electric Power Co., Inc., | | | | | |
| Series J | | | | | |
4.30% | | | | | 12/01/28 | | | | 3,480,000 | | | | 3,396,342 | |
| American Transmission Systems, Inc. | | | | | |
2.65% | | | | | 01/15/321 | | | | 3,115,000 | | | | 2,623,454 | |
| Appalachian Power Co. | | | | | |
4.45% | | | | | 06/01/45 | | | | 100,000 | | | | 85,773 | |
| Appalachian Power Co., | | | | | |
| Series Z | | | | | |
3.70% | | | | | 05/01/50 | | | | 9,450,000 | | | | 7,282,922 | |
| Arizona Public Service Co. | | | | | |
6.35% | | | | | 12/15/32 | | | | 14,689,000 | | | | 16,019,585 | |
| Black Hills Corp. | | | | | |
4.35% | | | | | 05/01/33 | | | | 1,285,000 | | | | 1,184,287 | |
| Consolidated Edison Co. of New York, Inc. | | | | | |
3.70% | | | | | 11/15/59 | | | | 1,740,000 | | | | 1,307,408 | |
| Consolidated Edison Co. of New York, Inc., | | | | | |
| Series C | | | | | |
3.00% | | | | | 12/01/60 | | | | 1,854,000 | | | | 1,223,582 | |
| Duke Energy Carolinas LLC | | | | | |
4.00% | | | | | 09/30/42 | | | | 11,040,000 | | | | 9,478,124 | |
4.25% | | | | | 12/15/41 | | | | 14,683,000 | | | | 13,053,269 | |
5.35% | | | | | 01/15/53 | | | | 18,611,000 | | | | 19,450,723 | |
| Duke Energy Corp. | | | | | |
3.75% | | | | | 09/01/46 | | | | 9,965,000 | | | | 7,743,047 | |
3.85% | | | | | 06/15/34 | | | | 96,657,000 | | | | 98,600,232 | |
| Duke Energy Progress LLC | | | | | |
5.35% | | | | | 03/15/53 | | | | 5,000,000 | | | | 5,172,665 | |
| Empresas Publicas de Medellin ESP, | | | | | |
| Series REGS | | | | | |
| (Colombia) | | | | | |
4.38% | | | | | 02/15/313 | | | | 1,000,000 | | | | 723,895 | |
| Exelon Corp. | | | | | |
5.30% | | | | | 03/15/33 | | | | 5,000,000 | | | | 5,091,687 | |
| FirstEnergy Corp. | | | | | |
2.65% | | | | | 03/01/30 | | | | 5,831,000 | | | | 4,965,825 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 178 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Electric (continued) | | | | | |
| FirstEnergy Corp., | | | | | |
| Series B | | | | | |
2.25% | | | | 09/01/30 | | $ | 3,775,000 | | | $ | 3,126,983 | |
| FirstEnergy Corp., | | | | | |
| Series C | | | | | |
3.40% | | | | 03/01/50 | | | 27,555,000 | | | | 18,933,925 | |
| FirstEnergy Transmission LLC | | | | | |
2.87% | | | | 09/15/281 | | | 50,514,000 | | | | 45,633,819 | |
4.35% | | | | 01/15/251 | | | 23,330,000 | | | | 22,982,433 | |
4.55% | | | | 04/01/491 | | | 13,175,000 | | | | 11,156,021 | |
5.45% | | | | 07/15/441 | | | 24,625,000 | | | | 23,575,003 | |
| Indiana Michigan Power Co. | | | | | |
5.63% | | | | 04/01/53 | | | 4,595,000 | | | | 4,793,654 | |
| Jersey Central Power & Light Co. | | | | | |
2.75% | | | | 03/01/321 | | | 820,000 | | | | 693,435 | |
4.30% | | | | 01/15/261 | | | 8,645,000 | | | | 8,491,698 | |
4.70% | | | | 04/01/241 | | | 49,765,000 | | | | 49,454,697 | |
6.40% | | | | 05/15/36 | | | 11,630,000 | | | | 11,705,048 | |
| Metropolitan Edison Co. | | | | | |
4.00% | | | | 04/15/251 | | | 35,719,000 | | | | 34,110,645 | |
4.30% | | | | 01/15/291 | | | 18,381,000 | | | | 17,666,763 | |
| Mong Duong Finance Holdings BV, | | | | | |
| Series REGS | | | | | |
| (Netherlands) | | | | | |
5.13% | | | | 05/07/293 | | | 1,825,000 | | | | 1,553,308 | |
| New England Power Co. | | | | | |
5.94% | | | | 11/25/521 | | | 20,670,000 | | | | 22,945,591 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
4.63% | | | | 07/15/27 | | | 29,195,000 | | | | 29,133,027 | |
| Niagara Mohawk Power Corp. | | | | | |
3.03% | | | | 06/27/501 | | | 3,543,000 | | | | 2,443,370 | |
5.78% | | | | 09/16/521 | | | 3,250,000 | | | | 3,383,322 | |
| Oklahoma Gas and Electric Co. | | | | | |
5.40% | | | | 01/15/33 | | | 3,200,000 | | | | 3,317,478 | |
| Pennsylvania Electric Co. | | | | | |
3.25% | | | | 03/15/281 | | | 125,000 | | | | 116,180 | |
4.15% | | | | 04/15/251 | | | 28,335,000 | | | | 27,450,007 | |
5.15% | | | | 03/30/261 | | | 3,000,000 | | | | 3,015,050 | |
| Public Service Co. of New Mexico | | | | | |
3.85% | | | | 08/01/25 | | | 14,390,000 | | | | 13,980,585 | |
| Southwestern Electric Power Co. | | | | | |
3.25% | | | | 11/01/51 | | | 6,519,000 | | | | 4,542,619 | |
5.30% | | | | 04/01/33 | | | 25,000,000 | | | | 25,208,181 | |
| Southwestern Electric Power Co., | | | | | |
| Series K | | | | | |
2.75% | | | | 10/01/26 | | | 26,488,000 | | | | 24,614,443 | |
| Southwestern Electric Power Co., | | | | | |
| Series L | | | | | |
3.85% | | | | 02/01/48 | | | 19,395,000 | | | | 15,129,259 | |
| TenneT Holding BV | | | | | |
| (EMTN) | | | | | |
| (Netherlands) | | | | | |
2.75% | | | | 05/17/423 | | | 24,850,000 | | | | 23,824,317 | |
4.50% | | | | 10/28/343 | | | 5,000,000 | | | | 5,840,556 | |
4.75% | | | | 10/28/423 | | | 44,446,000 | | | | 52,384,549 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Electric (continued) | | | | | |
| Tucson Electric Power Co. | | | | | |
4.85% | | | | | 12/01/48 | | | $ | 8,755,000 | | | $ | 8,033,583 | |
| | | | | |
| | | | | | | | | | | | | 780,134,220 | |
| | | | | |
| |
| Energy — 1.36% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.25% | | | | | 04/01/281 | | | | 6,901,000 | | | | 6,659,465 | |
| Boston Gas Co. | | | | | |
3.76% | | | | | 03/16/321 | | | | 6,440,000 | | | | 5,826,491 | |
| Ecopetrol SA | | | | | |
| (Colombia) | | | | | |
8.88% | | | | | 01/13/333 | | | | 5,000,000 | | | | 5,050,000 | |
| Enbridge, Inc. | | | | | |
| (Canada) | | | | | |
5.70% | | | | | 03/08/333 | | | | 19,790,000 | | | | 20,594,152 | |
| Energy Transfer LP | | | | | |
4.90% | | | | | 03/15/35 | | | | 5,160,000 | | | | 4,833,407 | |
5.00% | | | | | 05/15/50 | | | | 38,970,000 | | | | 33,197,374 | |
5.15% | | | | | 03/15/45 | | | | 48,691,000 | | | | 42,251,773 | |
5.35% | | | | | 05/15/45 | | | | 4,421,000 | | | | 3,924,988 | |
5.40% | | | | | 10/01/47 | | | | 127,860,000 | | | | 114,038,508 | |
6.13% | | | | | 12/15/45 | | | | 16,239,000 | | | | 15,706,470 | |
| Energy Transfer Operating LP | | | | | |
5.25% | | | | | 04/15/29 | | | | 1,700,000 | | | | 1,697,281 | |
| Galaxy Pipeline Assets Bidco Ltd. | | | | | |
| (United Kingdom) | | | | | |
2.16% | | | | | 03/31/341,3 | | | | 17,558,370 | | | | 15,142,668 | |
| Hess Corp. | | | | | |
5.60% | | | | | 02/15/41 | | | | 20,424,000 | | | | 19,709,602 | |
| KazMunayGas National Co. JSC | | | | | |
| (Kazakhstan) | | | | | |
3.50% | | | | | 04/14/331,3 | | | | 1,800,000 | | | | 1,354,214 | |
| KazMunayGas National Co. JSC, | | | | | |
| Series REGS | | | | | |
| (Kazakhstan) | | | | | |
3.50% | | | | | 04/14/333 | | | | 15,883,000 | | | | 11,949,432 | |
4.75% | | | | | 04/19/273 | | | | 3,195,000 | | | | 2,949,305 | |
| KazMunayGas National Co. JSC, | | | | | |
| Series REGS (EMTN) | | | | | |
| (Kazakhstan) | | | | | |
5.38% | | | | | 04/24/303 | | | | 6,856,000 | | | | 6,131,644 | |
| KazTransGas JSC, | | | | | |
| Series REGS | | | | | |
| (Kazakhstan) | | | | | |
4.38% | | | | | 09/26/273 | | | | 6,350,000 | | | | 5,708,745 | |
| KeySpan Gas East Corp. | | | | | |
5.99% | | | | | 03/06/331 | | | | 5,530,000 | | | | 5,715,149 | |
| Kinder Morgan Energy Partners LP | | | | | |
4.70% | | | | | 11/01/42 | | | | 2,171,000 | | | | 1,863,665 | |
5.00% | | | | | 08/15/42 | | | | 5,775,000 | | | | 5,152,209 | |
5.40% | | | | | 09/01/44 | | | | 5,000,000 | | | | 4,636,995 | |
| Kinder Morgan, Inc. | | | | | |
5.55% | | | | | 06/01/45 | | | | 2,306,000 | | | | 2,186,308 | |
| Kinder Morgan, Inc. | | | | | |
| (GMTN) | | | | | |
7.80% | | | | | 08/01/31 | | | | 150,000 | | | | 172,390 | |
See accompanying Notes to Financial Statements.
|
| 179 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
| Occidental Petroleum Corp. | | | | | |
0.00% | | | | | 10/10/3610 | | | $ | 6,011,000 | | | $ | 3,110,692 | |
4.50% | | | | | 07/15/44 | | | | 2,139,000 | | | | 1,722,748 | |
| Pertamina Persero PT | | | | | |
| (Indonesia) | | | | | |
3.10% | | | | | 08/27/301,3 | | | | 44,071,000 | | | | 38,903,618 | |
| Petroleos Mexicanos | | | | | |
| (Mexico) | | | | | |
6.35% | | | | | 02/12/483 | | | | 7,570,000 | | | | 4,723,882 | |
6.75% | | | | | 09/21/473 | | | | 132,414,000 | | | | 86,176,474 | |
6.95% | | | | | 01/28/603 | | | | 50,590,000 | | | | 32,731,730 | |
7.69% | | | | | 01/23/503 | | | | 32,409,000 | | | | 22,894,961 | |
| Piedmont Natural Gas Co., Inc. | | | | | |
2.50% | | | | | 03/15/31 | | | | 7,272,000 | | | | 6,075,623 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.55% | | | | | 12/15/29 | | | | 31,332,000 | | | | 28,077,617 | |
3.80% | | | | | 09/15/30 | | | | 8,920,000 | | | | 7,957,543 | |
| QatarEnergy, | | | | | |
| Series REGS | | | | | |
| (Qatar) | | | | | |
2.25% | | | | | 07/12/313 | | | | 21,710,000 | | | | 18,474,233 | |
| Rockies Express Pipeline LLC | | | | | |
4.80% | | | | | 05/15/301 | | | | 5,125,000 | | | | 4,510,000 | |
4.95% | | | | | 07/15/291 | | | | 84,805,000 | | | | 76,073,811 | |
6.88% | | | | | 04/15/401 | | | | 44,867,000 | | | | 37,463,945 | |
| Sabine Pass Liquefaction LLC | | | | | |
4.50% | | | | | 05/15/30 | | | | 21,162,000 | | | | 20,423,092 | |
5.90% | | | | | 09/15/371 | | | | 11,363,000 | | | | 11,598,376 | |
| Southern Co. Gas Capital Corp. | | | | | |
4.40% | | | | | 05/30/47 | | | | 50,000 | | | | 42,807 | |
5.15% | | | | | 09/15/32 | | | | 18,420,000 | | | | 18,619,587 | |
| Southern Gas Corridor CJSC, | | | | | |
| Series REGS | | | | | |
| (Azerbaijan) | | | | | |
6.88% | | | | | 03/24/263 | | | | 16,442,000 | | | | 16,787,282 | |
| TC PipeLines LP | | | | | |
4.38% | | | | | 03/13/25 | | | | 2,198,000 | | | | 2,165,467 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | | | 02/15/26 | | | | 35,025,000 | | | | 30,332,350 | |
| Transocean Poseidon Ltd. | | | | | |
| (Cayman Islands) | | | | | |
6.88% | | | | | 02/01/271,3 | | | | 13,291,688 | | | | 13,041,804 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
6.88% | | | | | 09/01/27 | | | | 4,612,000 | | | | 4,411,632 | |
| Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | | | | 11/01/331 | | | | 15,032,000 | | | | 12,648,389 | |
4.13% | | | | | 08/15/311 | | | | 9,000,000 | | | | 7,914,063 | |
6.25% | | | | | 01/15/301 | | | | 25,837,000 | | | | 26,127,666 | |
| Williams Cos., Inc. (The) | | | | | |
5.40% | | | | | 03/04/44 | | | | 5,000,000 | | | | 4,691,097 | |
| | | | | |
| | | | | | | | | | | | | 874,152,724 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
| Finance — 5.43% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
| (Ireland) | | | | | |
2.45% | | | | 10/29/263 | | $ | 21,203,000 | | | $ | 19,038,162 | |
3.00% | | | | 10/29/283 | | | 56,990,000 | | | | 49,741,748 | |
3.30% | | | | 01/30/323 | | | 141,856,000 | | | | 117,231,250 | |
3.88% | | | | 01/23/283 | | | 5,015,000 | | | | 4,648,504 | |
| Air Lease Corp. | | | | | |
2.20% | | | | 01/15/27 | | | 43,695,000 | | | | 38,856,139 | |
3.00% | | | | 09/15/23 | | | 28,655,000 | | | | 28,244,808 | |
3.25% | | | | 03/01/25 | | | 19,930,000 | | | | 19,127,118 | |
3.25% | | | | 10/01/29 | | | 5,000,000 | | | | 4,387,454 | |
3.63% | | | | 04/01/27 | | | 4,570,000 | | | | 4,235,607 | |
4.25% | | | | 09/15/24 | | | 5,554,000 | | | | 5,442,657 | |
4.63% | | | | 10/01/28 | | | 2,000,000 | | | | 1,904,180 | |
| Air Lease Corp. | | | | | |
| (MTN) | | | | | |
2.30% | | | | 02/01/25 | | | 35,195,000 | | | | 33,339,622 | |
2.88% | | | | 01/15/26 | | | 10,055,000 | | | | 9,382,204 | |
3.00% | | | | 02/01/30 | | | 2,000,000 | | | | 1,712,849 | |
| Alta Wind Holdings LLC | | | | | |
7.00% | | | | 06/30/351,5,6 | | | 3,062,778 | | | | 2,954,705 | |
| Avolon Holdings Funding Ltd. | | | | | |
| (Cayman Islands) | | | | | |
2.53% | | | | 11/18/271,3 | | | 171,755,000 | | | | 145,490,566 | |
2.88% | | | | 02/15/251,3 | | | 35,755,000 | | | | 33,521,259 | |
3.25% | | | | 02/15/271,3 | | | 17,880,000 | | | | 15,954,972 | |
3.95% | | | | 07/01/241,3 | | | 35,499,000 | | | | 34,531,154 | |
4.38% | | | | 05/01/261,3 | | | 7,405,000 | | | | 6,956,669 | |
| Capital One Financial Corp. | | | | | |
1.34% | | | | 12/06/244 | | | 114,655,000 | | | | 110,624,588 | |
2.64% | | | | 03/03/264 | | | 2,265,000 | | | | 2,100,459 | |
| Citigroup, Inc. | | | | | |
0.78% | | | | 10/30/244 | | | 672,000 | | | | 653,314 | |
0.98% | | | | 05/01/254 | | | 603,000 | | | | 573,698 | |
1.46% | | | | 06/09/274 | | | 151,458,000 | | | | 134,655,534 | |
2.52% | | | | 11/03/324 | | | 59,557,000 | | | | 48,622,510 | |
2.56% | | | | 05/01/324 | | | 33,384,000 | | | | 27,719,162 | |
2.57% | | | | 06/03/314 | | | 80,705,000 | | | | 68,138,565 | |
2.67% | | | | 01/29/314 | | | 31,479,000 | | | | 26,946,230 | |
2.98% | | | | 11/05/304 | | | 8,329,000 | | | | 7,305,200 | |
3.06% | | | | 01/25/334 | | | 195,620,000 | | | | 166,424,834 | |
3.52% | | | | 10/27/284 | | | 22,030,000 | | | | 20,609,642 | |
3.67% | | | | 07/24/284 | | | 19,020,000 | | | | 18,048,285 | |
3.79% | | | | 03/17/334 | | | 32,544,000 | | | | 29,175,185 | |
4.41% | | | | 03/31/314 | | | 34,787,000 | | | | 33,050,364 | |
| Citigroup, Inc., | | | | | |
| Series VAR | | | | | |
3.07% | | | | 02/24/284 | | | 46,480,000 | | | | 43,282,655 | |
| Gaci First Investment Co. | | | | | |
| (Cayman Islands) | | | | | |
5.25% | | | | 10/13/323 | | | 6,400,000 | | | | 6,664,000 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
0.93% | | | | 10/21/244 | | | 77,465,000 | | | | 75,392,991 | |
1.22% | | | | 12/06/23 | | | 192,325,000 | | | | 186,960,242 | |
1.43% | | | | 03/09/274 | | | 190,495,000 | | | | 170,402,073 | |
1.54% | | | | 09/10/274 | | | 109,860,000 | | | | 96,751,314 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 180 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Finance (continued) | | | | | |
1.76% | | 01/24/254 | | $ | 7,000,000 | | | $ | 6,786,669 | |
1.95% | | 10/21/274 | | | 43,982,000 | | | | 39,298,022 | |
1.99% | | 01/27/324 | | | 1,047,000 | | | | 836,081 | |
2.38% | | 07/21/324 | | | 106,909,000 | | | | 87,180,091 | |
2.62% | | 04/22/324 | | | 23,920,000 | | | | 19,940,063 | |
2.65% | | 10/21/324 | | | 22,022,000 | | | | 18,210,953 | |
3.27% | | 09/29/254 | | | 84,987,000 | | | | 82,319,789 | |
3.50% | | 04/01/25 | | | 36,914,000 | | | | 35,820,085 | |
| Jane Street Group/JSG Finance, Inc. | | | | | |
4.50% | | 11/15/291 | | | 6,295,000 | | | | 5,651,510 | |
| JPMorgan Chase & Co. | | | | | |
0.56% | | 02/16/254 | | | 7,895,000 | | | | 7,573,347 | |
0.65% | | 09/16/244 | | | 9,861,000 | | | | 9,642,091 | |
0.82% | | 06/01/254 | | | 30,872,000 | | | | 29,280,050 | |
1.04% | | 02/04/274 | | | 14,461,000 | | | | 12,911,637 | |
1.56% | | 12/10/254 | | | 163,875,000 | | | | 153,853,401 | |
1.76% | | 11/19/314 | | | 16,624,000 | | | | 13,204,958 | |
1.95% | | 02/04/324 | | | 38,991,000 | | | | 31,393,060 | |
2.55% | | 11/08/324 | | | 42,989,000 | | | | 35,728,781 | |
2.74% | | 10/15/304 | | | 10,809,000 | | | | 9,443,302 | |
2.95% | | 02/24/284 | | | 45,925,000 | | | | 42,677,685 | |
2.96% | | 01/25/334 | | | 47,277,000 | | | | 40,498,088 | |
3.54% | | 05/01/284 | | | 3,944,000 | | | | 3,732,866 | |
| Morgan Stanley | | | | | |
0.73% | | 04/05/244 | | | 21,175,000 | | | | 21,164,469 | |
0.79% | | 05/30/254 | | | 62,230,000 | | | | 58,934,331 | |
0.99% | | 12/10/264 | | | 24,551,000 | | | | 21,899,425 | |
1.59% | | 05/04/274 | | | 81,011,000 | | | | 72,991,972 | |
2.48% | | 01/21/284 | | | 955,000 | | | | 873,373 | |
2.48% | | 09/16/364 | | | 51,475,000 | | | | 38,942,397 | |
2.94% | | 01/21/334 | | | 10,096,000 | | | | 8,560,924 | |
2.95% | | 05/07/324 | | | 25,820,000 | | | | 25,602,357 | |
4.66% | | 03/02/294 | | | 29,000,000 | | | | 32,138,783 | |
5.30% | | 04/20/374 | | | 10,183,000 | | | | 9,628,729 | |
| Morgan Stanley | | | | | |
| (GMTN) | | | | | |
2.24% | | 07/21/324 | | | 115,232,000 | | | | 92,979,366 | |
2.70% | | 01/22/314 | | | 6,815,000 | | | | 5,871,037 | |
| Morgan Stanley | | | | | |
| (MTN) | | | | | |
1.16% | | 10/21/254 | | | 178,926,000 | | | | 167,191,854 | |
1.79% | | 02/13/324 | | | 29,771,000 | | | | 23,390,537 | |
1.93% | | 04/28/324 | | | 85,817,000 | | | | 68,002,786 | |
2.51% | | 10/20/324 | | | 11,880,000 | | | | 9,740,568 | |
| Nationwide Building Society | | | | | |
| (United Kingdom) | | | | | |
2.97% | | 02/16/281,3,4 | | | 107,650,000 | | | | 97,963,226 | |
4.30% | | 03/08/291,3,4 | | | 13,000,000 | | | | 12,033,793 | |
4.36% | | 08/01/241,3,4 | | | 104,478,000 | | | | 103,620,957 | |
| ORIX Corp. | | | | | |
| (Japan) | | | | | |
5.00% | | 09/13/273 | | | 9,800,000 | | | | 9,804,903 | |
| Park Aerospace Holdings Ltd. | | | | | |
| (Cayman Islands) | | | | | |
5.50% | | 02/15/241,3 | | | 26,855,000 | | | | 26,616,153 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Finance (continued) | | | | | |
| TIAA FSB Holdings, Inc. | | | | | |
5.75% | | 07/02/25 | | $ | 4,045,000 | | | $ | 3,864,622 | |
| UBS Group AG | | | | | |
| (Switzerland) | | | | | |
1.49% | | 08/10/271,3,4 | | | 4,000,000 | | | | 3,451,453 | |
4.70% | | 08/05/271,3,4 | | | 4,285,000 | | | | 4,114,975 | |
5.71% | | 01/12/271,3,4 | | | 11,574,000 | | | | 11,475,656 | |
| Vonovia SE | | | | | |
| (Georgia) | | | | | |
1.00% | | 06/16/333 | | | 1,900,000 | | | | 1,296,810 | |
1.50% | | 06/14/413 | | | 6,600,000 | | | | 3,771,278 | |
| Vonovia SE | | | | | |
| (EMTN) | | | | | |
| (Georgia) | | | | | |
1.63% | | 09/01/513 | | | 12,900,000 | | | | 6,419,876 | |
| | | | | |
| | | | 3,479,131,611 | |
| | | | | |
| |
Food — 0.66% | | | | | |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | | | |
| (Canada) | | | | | |
3.75% | | 12/01/311,3 | | | 22,699,000 | | | | 18,820,748 | |
4.38% | | 02/02/521,3 | | | 63,603,000 | | | | 46,113,748 | |
5.50% | | 01/15/301,3 | | | 26,622,000 | | | | 25,437,853 | |
5.75% | | 04/01/331,3 | | | 62,800,000 | | | | 60,391,996 | |
6.50% | | 12/01/521,3 | | | 34,350,000 | | | | 32,968,807 | |
| Kraft Heinz Foods Co. | | | | | |
5.00% | | 07/15/35 | | | 14,791,000 | | | | 14,743,077 | |
5.00% | | 06/04/42 | | | 5,357,000 | | | | 5,142,470 | |
5.20% | | 07/15/45 | | | 44,342,000 | | | | 43,034,301 | |
6.50% | | 02/09/40 | | | 6,240,000 | | | | 6,865,740 | |
| Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 76,497,000 | | | | 61,782,335 | |
4.25% | | 04/15/31 | | | 1,429,000 | | | | 1,249,865 | |
5.88% | | 09/30/271 | | | 34,697,000 | | | | 34,507,887 | |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed | | | | | |
4.63% | | 03/01/291 | | | 38,167,000 | | | | 31,030,864 | |
| Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/311 | | | 14,435,000 | | | | 10,914,638 | |
3.00% | | 10/15/301 | | | 8,890,000 | | | | 7,081,408 | |
4.25% | | 02/01/271 | | | 24,855,000 | | | | 23,440,348 | |
| | | | | |
| | | | 423,526,085 | |
| | | | | |
| |
Health Care — 3.07% | | | | | |
| 1375209 BC Ltd. | | | | | |
| (Canada) | | | | | |
9.00% | | 01/30/281,3 | | | 4,545,000 | | | | 4,510,912 | |
| Amgen, Inc. | | | | | |
4.88% | | 03/01/53 | | | 25,720,000 | | | | 24,144,012 | |
5.25% | | 03/02/33 | | | 5,341,000 | | | | 5,489,089 | |
5.60% | | 03/02/43 | | | 35,575,000 | | | | 36,728,032 | |
5.65% | | 03/02/53 | | | 59,960,000 | | | | 62,450,054 | |
5.75% | | 03/02/63 | | | 76,770,000 | | | | 79,733,085 | |
| Bayer U.S. Finance II LLC | | | | | |
2.85% | | 04/15/251 | | | 2,805,000 | | | | 2,657,226 | |
See accompanying Notes to Financial Statements.
|
| 181 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
3.95% | | 04/15/451 | | $ | 17,489,000 | | | $ | 13,317,607 | |
4.25% | | 12/15/251 | | | 17,152,000 | | | | 16,792,581 | |
4.38% | | 12/15/281 | | | 119,521,000 | | | | 115,614,766 | |
4.40% | | 07/15/441 | | | 69,196,000 | | | | 57,192,231 | |
4.63% | | 06/25/381 | | | 46,534,000 | | | | 42,641,407 | |
4.88% | | 06/25/481 | | | 76,416,000 | | | | 68,612,694 | |
5.50% | | 08/15/251 | | | 13,932,000 | | | | 13,840,406 | |
5.50% | | 07/30/351 | | | 3,820,000 | | | | 3,875,438 | |
| Becton Dickinson & Co. | | | | | |
3.36% | | 06/06/24 | | | 1,013,000 | | | | 994,643 | |
| Cedars-Sinai Health System, | | | | | |
| Series 2021 | | | | | |
2.29% | | 08/15/31 | | | 12,870,000 | | | | 10,876,094 | |
| Centene Corp. | | | | | |
2.45% | | 07/15/28 | | | 31,858,000 | | | | 27,731,560 | |
2.50% | | 03/01/31 | | | 13,855,000 | | | | 11,210,081 | |
3.00% | | 10/15/30 | | | 138,275,000 | | | | 116,563,202 | |
4.25% | | 12/15/27 | | | 74,814,000 | | | | 72,155,110 | |
| Cigna Group (The) | | | | | |
5.40% | | 03/15/33 | | | 31,257,000 | | | | 32,474,072 | |
| CommonSpirit Health | | | | | |
2.76% | | 10/01/24 | | | 6,598,000 | | | | 6,395,108 | |
2.78% | | 10/01/30 | | | 19,835,000 | | | | 16,944,710 | |
3.35% | | 10/01/29 | | | 52,523,000 | | | | 47,332,994 | |
4.35% | | 11/01/42 | | | 2,860,000 | | | | 2,451,667 | |
| CVS Health Corp. | | | | | |
4.78% | | 03/25/38 | | | 23,581,000 | | | | 22,496,145 | |
4.88% | | 07/20/35 | | | 22,450,000 | | | | 21,997,063 | |
5.05% | | 03/25/48 | | | 111,799,000 | | | | 104,732,430 | |
5.13% | | 07/20/45 | | | 60,105,000 | | | | 57,071,252 | |
| DENTSPLY SIRONA, Inc. | | | | | |
3.25% | | 06/01/30 | | | 16,506,000 | | | | 14,599,834 | |
| Embecta Corp. | | | | | |
6.75% | | 02/15/301 | | | 21,244,000 | | | | 19,364,670 | |
| Fresenius Finance Ireland PLC | | | | | |
| (EMTN) | | | | | |
| (Ireland) | | | | | |
0.88% | | 10/01/313 | | | 7,910,000 | | | | 6,366,598 | |
| Fresenius Medical Care U.S. Finance III, Inc. | | | | | |
1.88% | | 12/01/261 | | | 67,592,000 | | | | 58,752,933 | |
| Fresenius SE & Co. KGaA | | | | | |
| (EMTN) | | | | | |
| (Georgia) | | | | | |
2.88% | | 05/24/303 | | | 8,000,000 | | | | 7,871,732 | |
| Grifols Escrow Issuer SA | | | | | |
| (Spain) | | | | | |
4.75% | | 10/15/281,3 | | | 29,197,000 | | | | 23,972,290 | |
| Grifols Escrow Issuer SA, | | | | | |
| Series REGS | | | | | |
| (Spain) | | | | | |
3.88% | | 10/15/283 | | | 20,825,000 | | | | 17,692,648 | |
| HCA, Inc. | | | | | |
2.38% | | 07/15/31 | | | 563,000 | | | | 454,956 | |
3.13% | | 03/15/271 | | | 4,356,000 | | | | 4,052,413 | |
3.50% | | 09/01/30 | | | 52,030,000 | | | | 46,377,550 | |
3.63% | | 03/15/321 | | | 89,143,000 | | | | 78,470,574 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
4.13% | | 06/15/29 | | $ | 10,936,000 | | | $ | 10,277,869 | |
4.38% | | 03/15/421 | | | 15,000,000 | | | | 12,596,356 | |
4.63% | | 03/15/521 | | | 13,589,000 | | | | 11,302,543 | |
5.25% | | 06/15/26 | | | 30,209,000 | | | | 30,258,988 | |
5.25% | | 06/15/49 | | | 183,662,000 | | | | 165,907,595 | |
5.50% | | 06/15/47 | | | 41,777,000 | | | | 39,633,422 | |
5.63% | | 09/01/28 | | | 24,411,000 | | | | 24,640,463 | |
5.88% | | 02/15/26 | | | 8,915,000 | | | | 9,055,857 | |
5.88% | | 02/01/29 | | | 29,822,000 | | | | 30,475,996 | |
| Illumina, Inc. | | | | | |
5.75% | | 12/13/27 | | | 4,480,000 | | | | 4,592,968 | |
| Medline Borrower LP | | | | | |
3.88% | | 04/01/291 | | | 2,627,000 | | | | 2,292,058 | |
| Medtronic Global Holdings SCA | | | | | |
| (Luxembourg) | | | | | |
1.50% | | 07/02/393 | | | 7,850,000 | | | | 6,089,085 | |
| ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/291 | | | 1,700,000 | | | | 1,459,944 | |
| ModivCare, Inc. | | | | | |
5.88% | | 11/15/251 | | | 13,721,000 | | | | 13,172,640 | |
| Molina Healthcare, Inc. | | | | | |
3.88% | | 11/15/301 | | | 58,448,000 | | | | 51,122,566 | |
3.88% | | 05/15/321 | | | 27,560,000 | | | | 23,442,168 | |
4.38% | | 06/15/281 | | | 28,558,000 | | | | 26,584,785 | |
| NYU Langone Hospitals, | | | | | |
| Series 2020 | | | | | |
3.38% | | 07/01/55 | | | 4,300,000 | | | | 3,150,617 | |
| Organon & Co./Organon Foreign Debt Co.-Issuer BV | | | | | |
5.13% | | 04/30/311 | | | 13,245,000 | | | | 11,785,765 | |
| PerkinElmer, Inc. | | | | | |
0.55% | | 09/15/23 | | | 35,000,000 | | | | 34,296,688 | |
0.85% | | 09/15/24 | | | 12,935,000 | | | | 12,130,607 | |
| Premier Health Partners, | | | | | |
| Series G | | | | | |
2.91% | | 11/15/26 | | | 2,229,000 | | | | 2,038,062 | |
| Royalty Pharma PLC | | | | | |
| (United Kingdom) | | | | | |
0.75% | | 09/02/233 | | | 11,885,000 | | | | 11,651,762 | |
1.75% | | 09/02/273 | | | 11,295,000 | | | | 9,894,281 | |
| Teleflex, Inc. | | | | | |
4.25% | | 06/01/281 | | | 75,000 | | | | 71,411 | |
| Tenet Healthcare Corp. | | | | | |
4.63% | | 06/15/28 | | | 1,465,000 | | | | 1,369,775 | |
4.88% | | 01/01/26 | | | 972,000 | | | | 953,888 | |
| Teva Pharmaceutical Finance Netherlands II BV | | | | | |
| (Netherlands) | | | | | |
7.88% | | 09/15/313 | | | 3,840,000 | | | | 4,319,871 | |
| Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | | 45,000,000 | | | | 39,510,308 | |
| | | | | |
| | | | 1,971,080,207 | |
| | | | | |
| |
Health Care REITs — 0.17% | | | | | |
| Healthcare Reality Holdings LP | | | | | |
2.00% | | 03/15/31 | | | 22,883,000 | | | | 17,882,603 | |
3.10% | | 02/15/30 | | | 35,467,000 | | | | 30,744,471 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 182 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Health Care REITs (continued) | | | | | |
| Healthcare Realty Holdings LP | | | | | |
2.05% | | | 03/15/31 | | | $ | 6,640,000 | | | $ | 5,050,191 | |
2.40% | | | 03/15/30 | | | | 23,244,000 | | | | 18,612,935 | |
3.63% | | | 01/15/28 | | | | 18,119,000 | | | | 16,484,482 | |
3.88% | | | 05/01/25 | | | | 9,381,000 | | | | 9,061,297 | |
| Physicians Realty LP | | | | | |
2.63% | | | 11/01/31 | | | | 4,632,000 | | | | 3,653,974 | |
3.95% | | | 01/15/28 | | | | 1,245,000 | | | | 1,169,676 | |
4.30% | | | 03/15/27 | | | | 8,717,000 | | | | 8,426,545 | |
| | | | | |
| | | | 111,086,174 | |
| | | | | |
| |
Hotel & Resort REITs — 0.00% | | | | | |
| Host Hotels & Resorts LP, | | | | | |
| Series H | | | | | |
3.38% | | | 12/15/29 | | | | 1,342,000 | | | | 1,142,348 | |
| | | | | |
| |
Industrial REITs — 0.17% | | | | | |
| Prologis Euro Finance LLC | | | | | |
0.50% | | | 02/16/32 | | | | 14,021,000 | | | | 10,696,413 | |
0.63% | | | 09/10/31 | | | | 11,898,000 | | | | 9,331,545 | |
1.00% | | | 02/06/35 | | | | 8,648,000 | | | | 6,196,826 | |
1.00% | | | 02/16/41 | | | | 8,348,000 | | | | 4,938,720 | |
1.50% | | | 02/08/34 | | | | 5,000,000 | | | | 3,914,255 | |
| Prologis Euro Finance LLC | | | | | |
| (EMTN) | | | | | |
1.00% | | | 02/08/29 | | | | 2,720,000 | | | | 2,411,772 | |
| Prologis Euro Finance LLC, | | | | | |
| (EMTN) | | | | | |
4.25% | | | 01/31/43 | | | | 30,458,000 | | | | 29,838,124 | |
| SELP Finance SARL | | | | | |
| (Luxembourg) | | | | | |
0.88% | | | 05/27/293 | | | | 46,714,000 | | | | 38,727,884 | |
| | | | | |
| | | | 106,055,539 | |
| | | | | |
| |
Industrials — 0.89% | | | | | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
| (Canada) | | | | | |
5.25% | | | 08/15/271,3 | | | | 61,214,000 | | | | 48,322,118 | |
| Artera Services LLC | | | | | |
9.03% | | | 12/04/251 | | | | 50,815,000 | | | | 43,995,316 | |
| Berry Global, Inc. | | | | | |
1.50% | | | 01/15/271 | | | | 8,110,000 | | | | 7,876,916 | |
1.57% | | | 01/15/26 | | | | 46,115,000 | | | | 41,922,990 | |
1.65% | | | 01/15/27 | | | | 14,576,000 | | | | 12,774,822 | |
4.88% | | | 07/15/261 | | | | 82,131,000 | | | | 80,136,038 | |
| Boeing Co. (The) | | | | | |
1.43% | | | 02/04/24 | | | | 151,800,000 | | | | 146,751,680 | |
4.88% | | | 05/01/25 | | | | 19,940,000 | | | | 19,909,541 | |
| Cellnex Finance Co. SA | | | | | |
| (EMTN) | | | | | |
(Spain) | | | | | | | | | | | | | | |
2.00% | | | 09/15/323 | | | | 41,000,000 | | | | 34,628,214 | |
2.00% | | | 02/15/333 | | | | 7,100,000 | | | | 5,938,885 | |
| Energizer Holdings, Inc. | | | | | |
4.38% | | | 03/31/291 | | | | 3,353,000 | | | | 2,954,831 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Industrials (continued) | | | | | |
| General Electric Co. | | | | | |
| (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
5.19% | | 05/05/262 | | $ | 1,785,000 | | | $ | 1,763,239 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
5.34% | | 08/15/362 | | | 11,550,000 | | | | 9,753,971 | |
| Heathrow Funding Ltd. | | | | | |
| (EMTN) | | | | | |
| (United Kingdom) | | | | | |
1.88% | | 03/14/343 | | | 65,024,000 | | | | 55,689,473 | |
| L3Harris Technologies, Inc. | | | | | |
3.95% | | 05/28/24 | | | 12,890,000 | | | | 12,697,697 | |
| OT Merger Corp. | | | | | |
7.88% | | 10/15/291 | | | 33,842,000 | | | | 20,383,983 | |
| TransDigm, Inc. | | | | | |
6.75% | | 08/15/281 | | | 11,680,000 | | | | 11,804,181 | |
| Trivium Packaging Finance BV | | | | | |
| (Netherlands) | | | | | |
8.50% | | 08/15/271,3 | | | 11,980,000 | | | | 10,897,224 | |
| | | | | |
| | | | 568,201,119 | |
| | | | | |
| |
Information Technology — 0.81% | | | | | |
| Broadcom, Inc. | | | | | |
2.60% | | 02/15/331 | | | 46,272,000 | | | | 36,324,405 | |
3.14% | | 11/15/351 | | | 19,662,000 | | | | 15,189,319 | |
3.42% | | 04/15/331 | | | 51,741,000 | | | | 43,334,542 | |
3.50% | | 02/15/411 | | | 3,445,000 | | | | 2,600,423 | |
| Fidelity National Information Services, Inc. | | | | | |
4.50% | | 08/15/46 | | | 4,055,000 | | | | 3,355,012 | |
5.63% | | 07/15/52 | | | 1,700,000 | | | | 1,635,342 | |
| Fiserv, Inc. | | | | | |
3.20% | | 07/01/26 | | | 5,905,000 | | | | 5,608,358 | |
5.60% | | 03/02/33 | | | 5,000,000 | | | | 5,193,844 | |
| NCR Corp. | | | | | |
5.00% | | 10/01/281 | | | 19,027,000 | | | | 16,767,544 | |
5.13% | | 04/15/291 | | | 22,258,000 | | | | 19,342,746 | |
5.25% | | 10/01/301 | | | 19,987,000 | | | | 16,334,969 | |
| Open Text Corp. | | | | | |
| (Canada) | | | | | |
6.90% | | 12/01/271,3 | | | 4,194,000 | | | | 4,325,063 | |
| Oracle Corp. | | | | | |
2.88% | | 03/25/31 | | | 86,459,000 | | | | 74,016,973 | |
3.60% | | 04/01/40 | | | 35,483,000 | | | | 27,571,829 | |
3.60% | | 04/01/50 | | | 37,887,000 | | | | 26,911,810 | |
3.65% | | 03/25/41 | | | 88,945,000 | | | | 68,990,705 | |
3.85% | | 07/15/36 | | | 35,336,000 | | | | 30,240,392 | |
3.95% | | 03/25/51 | | | 23,892,000 | | | | 17,978,059 | |
4.00% | | 11/15/47 | | | 20,255,000 | | | | 15,478,073 | |
4.13% | | 05/15/45 | | | 26,924,000 | | | | 21,237,560 | |
5.55% | | 02/06/53 | | | 2,492,000 | | | | 2,373,598 | |
6.25% | | 11/09/32 | | | 29,846,000 | | | | 32,083,722 | |
6.90% | | 11/09/52 | | | 26,240,000 | | | | 29,467,809 | |
| | | | | |
| | | | 516,362,097 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| 183 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Insurance — 1.18% | | | | | |
| Acrisure LLC/Acrisure Finance, Inc. | | | | | |
4.25% | | 02/15/291 | | $ | 1,953,000 | | | $ | 1,668,610 | |
6.00% | | 08/01/291 | | | 2,000,000 | | | | 1,665,000 | |
7.00% | | 11/15/251 | | | 2,012,000 | | | | 1,889,610 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | | | | | |
6.75% | | 10/15/271 | | | 10,790,000 | | | | 10,048,187 | |
| Aon Corp. | | | | | |
2.80% | | 05/15/30 | | | 5,650,000 | | | | 4,997,321 | |
| Aon Corp./Aon Global Holdings PLC | | | | | |
2.60% | | 12/02/31 | | | 1,745,000 | | | | 1,467,256 | |
3.90% | | 02/28/52 | | | 56,250,000 | | | | 45,527,458 | |
| AssuredPartners, Inc. | | | | | |
5.63% | | 01/15/291 | | | 3,724,000 | | | | 3,222,508 | |
| Athene Global Funding | | | | | |
1.61% | | 06/29/261 | | | 61,330,000 | | | | 53,341,513 | |
1.99% | | 08/19/281 | | | 11,040,000 | | | | 8,962,615 | |
3.21% | | 03/08/271 | | | 26,060,000 | | | | 23,980,441 | |
| (SOFR Index plus 0.70%) | | | | | |
5.46% | | 05/24/241,2 | | | 146,955,000 | | | | 145,627,937 | |
| Farmers Exchange Capital | | | | | |
7.05% | | 07/15/281 | | | 13,283,000 | | | | 13,866,870 | |
7.20% | | 07/15/481 | | | 18,415,000 | | | | 19,766,282 | |
| Farmers Exchange Capital II | | | | | |
6.15% | | 11/01/531,4 | | | 59,331,000 | | | | 58,956,464 | |
| Farmers Exchange Capital III | | | | | |
5.45% | | 10/15/541,4 | | | 80,605,000 | | | | 73,708,945 | |
| Farmers Insurance Exchange | | | | | |
4.75% | | 11/01/571,4 | | | 23,060,000 | | | | 18,093,082 | |
| Metropolitan Life Global Funding I | | | | | |
3.30% | | 03/21/291 | | | 16,005,000 | | | | 14,873,762 | |
4.30% | | 08/25/291 | | | 6,940,000 | | | | 6,753,418 | |
5.15% | | 03/28/331 | | | 20,875,000 | | | | 21,105,477 | |
| Nationwide Mutual Insurance Co. | | | | | |
7.16% | | 12/15/241,4 | | | 42,571,000 | | | | 42,407,733 | |
| New York Life Insurance Co. | | | | | |
3.75% | | 05/15/501 | | | 572,000 | | | | 462,984 | |
| Protective Life Global Funding | | | | | |
1.90% | | 07/06/281 | | | 56,210,000 | | | | 48,411,841 | |
| Teachers Insurance & Annuity Association of America | | | | | |
3.30% | | 05/15/501 | | | 102,665,000 | | | | 74,231,576 | |
4.27% | | 05/15/471 | | | 13,496,000 | | | | 11,454,651 | |
4.38% | | 09/15/541,4 | | | 35,635,000 | | | | 34,734,094 | |
| Willis North America, Inc. | | | | | |
2.95% | | 09/15/29 | | | 11,025,000 | | | | 9,725,636 | |
4.50% | | 09/15/28 | | | 5,079,000 | | | | 4,929,292 | |
| | | | | |
| | | | 755,880,563 | |
| | | | | |
| |
Materials — 0.23% | | | | | |
| Corp. Nacional del Cobre de Chile, | | | | | |
| Series REGS | | | | | |
| (Chile) | | | | | |
5.13% | | 02/02/333 | | | 5,000,000 | | | | 5,054,667 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Materials (continued) | | | | | |
| Indonesia Asahan Aluminium Persero PT, | | | | | |
| Series REGS | | | | | |
| (Indonesia) | | | | | |
5.45% | | 05/15/303 | | $ | 3,000,000 | | | $ | 2,964,600 | |
| International Flavors & Fragrances, Inc. | | | | | |
2.30% | | 11/01/301 | | | 48,955,000 | | | | 39,322,214 | |
3.27% | | 11/15/401 | | | 1,746,000 | | | | 1,245,022 | |
3.47% | | 12/01/501 | | | 2,722,000 | | | | 1,854,000 | |
5.00% | | 09/26/48 | | | 100,134,000 | | | | 85,591,672 | |
| SK Invictus Intermediate II SARL | | | | | |
| (Luxembourg) | | | | | |
5.00% | | 10/30/291,3 | | | 9,122,000 | | | | 7,583,301 | |
| Valvoline, Inc. | | | | | |
3.63% | | 06/15/311 | | | 4,000,000 | | | | 3,401,160 | |
| | | | | |
| | | | 147,016,636 | |
| | | | | |
| |
Office REITs — 0.13% | | | | | |
| Hudson Pacific Properties LP | | | | | |
3.25% | | 01/15/30 | | | 26,562,000 | | | | 17,061,043 | |
3.95% | | 11/01/27 | | | 13,630,000 | | | | 9,367,448 | |
4.65% | | 04/01/29 | | | 9,585,000 | | | | 6,736,135 | |
5.95% | | 02/15/28 | | | 32,935,000 | | | | 25,485,474 | |
| Kilroy Realty LP | | | | | |
2.50% | | 11/15/32 | | | 3,705,000 | | | | 2,354,013 | |
2.65% | | 11/15/33 | | | 35,363,000 | | | | 22,003,798 | |
| | | | | |
| | | | 83,007,911 | |
| | | | | |
| |
Residential REITs — 0.06% | | | | | |
| American Homes 4 Rent LP | | | | | |
2.38% | | 07/15/31 | | | 1,394,000 | | | | 1,112,571 | |
3.63% | | 04/15/32 | | | 1,293,000 | | | | 1,121,825 | |
4.30% | | 04/15/52 | | | 6,960,000 | | | | 5,478,769 | |
| Invitation Homes Operating Partnership LP | | | | | |
2.00% | | 08/15/31 | | | 30,593,000 | | | | 23,520,567 | |
2.30% | | 11/15/28 | | | 3,438,000 | | | | 2,887,621 | |
2.70% | | 01/15/34 | | | 1,923,000 | | | | 1,479,245 | |
| | | | | |
| | | | 35,600,598 | |
| | | | | |
| |
Retail — 0.15% | | | | | |
| Alimentation Couche-Tard, Inc. | | | | | |
| (Canada) | | | | | |
3.80% | | 01/25/501,3 | | | 18,032,000 | | | | 13,459,569 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | 01/15/301 | | | 14,385,000 | | | | 11,839,301 | |
| FirstCash, Inc. | | | | | |
5.63% | | 01/01/301 | | | 13,320,000 | | | | 12,305,501 | |
| Michaels Cos., Inc. (The) | | | | | |
7.88% | | 05/01/291 | | | 83,531,000 | | | | 58,550,637 | |
| | | | | |
| | | | 96,155,008 | |
| | | | | |
| |
Retail REITs — 0.03% | | | | | |
| Federal Realty Investment Trust | | | | | |
7.48% | | 08/15/26 | | | 18,825,000 | | | | 19,885,398 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 184 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Services — 0.21% | | | | | |
| Global Payments, Inc. | | | | | |
5.40% | | 08/15/32 | | $ | 39,855,000 | | | $ | 39,061,732 | |
5.95% | | 08/15/52 | | | 43,315,000 | | | | 41,435,018 | |
| Upbound Group, Inc. | | | | | |
6.38% | | 02/15/291 | | | 5,128,000 | | | | 4,320,340 | |
| WASH Multifamily Acquisition, Inc. | | | | | |
5.75% | | 04/15/261 | | | 1,057,000 | | | | 1,001,121 | |
| Waste Pro USA, Inc. | | | | | |
5.50% | | 02/15/261 | | | 49,598,000 | | | | 45,664,259 | |
| | | | | |
| | | | 131,482,470 | |
| | | | | |
| |
| Specialized REITs — 0.30% | | | | | |
| Annington Funding PLC | | | | | |
| (EMTN) | | | | | |
| (United Kingdom) | | | | | |
2.31% | | 10/06/323 | | | 45,583,000 | | | | 41,367,200 | |
2.92% | | 10/06/513 | | | 3,500,000 | | | | 2,404,996 | |
3.94% | | 07/12/473 | | | 6,700,000 | | | | 5,831,358 | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
| (EMTN) | | | | | |
| (Luxembourg) | | | | | |
1.00% | | 05/04/283 | | | 17,291,000 | | | | 14,046,786 | |
1.63% | | 04/20/303 | | | 13,650,000 | | | | 10,349,838 | |
1.75% | | 03/12/293 | | | 23,355,000 | | | | 18,809,384 | |
| CubeSmart LP | | | | | |
2.50% | | 02/15/32 | | | 23,755,000 | | | | 19,152,175 | |
| Extra Space Storage LP | | | | | |
2.35% | | 03/15/32 | | | 50,579,000 | | | | 39,808,030 | |
2.55% | | 06/01/31 | | | 9,740,000 | | | | 7,917,420 | |
3.90% | | 04/01/29 | | | 1,430,000 | | | | 1,319,989 | |
Life Storage LP | | | | | |
2.20% | | 10/15/30 | | | 1,090,000 | | | | 896,706 | |
2.40% | | 10/15/31 | | | 9,825,000 | | | | 7,958,210 | |
3.88% | | 12/15/27 | | | 10,980,000 | | | | 10,398,386 | |
Public Storage | | | | | |
0.50% | | 09/09/30 | | | 18,680,000 | | | | 14,961,117 | |
| | | | | |
| | | | 195,221,595 | |
| | | | | |
| |
| Transportation — 0.26% | | | | | |
American Airlines Pass-Through Trust, | | | | | |
Series 2017-2, Class AA | | | | | |
3.35% | | 10/15/29 | | | 15,087,393 | | | | 13,522,076 | |
Delta Air Lines Pass-Through Trust, | | | | | |
Series 2020-1, Class AA | | | | | |
2.00% | | 06/10/28 | | | 76,670,541 | | | | 67,576,879 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2020-1, Class A | | | | | |
4.00% | | 11/15/32 | | | 9,256,192 | | | | 8,527,632 | |
Transnet SOC Ltd. | | | | | |
(South Africa) | | | | | |
8.25% | | 02/06/281,3 | | | 5,700,000 | | | | 5,693,160 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2010-1, Class A | | | | | |
6.25% | | 04/22/23 | | | 8,774,086 | | | | 8,776,064 | |
| | | | | | | | | | | | |
| | | | |
| 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 | | $ | 1,875,483 | | | $ | 1,904,639 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | 10/01/24 | | | 24,704,478 | | | | 24,532,051 | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-2, Class A | | | | | |
4.63% | | 06/03/25 | | | 6,440 | | | | 6,071 | |
United Airlines Pass-Through Trust, | | | | | |
Series 2013-1, Class A | | | | | |
4.30% | | 08/15/25 | | | 10,892,916 | | | | 10,465,296 | |
United Airlines Pass-Through Trust, | | | | | |
Series 2018-1, Class AA | | | | | |
3.50% | | 03/01/30 | | | 27,392,760 | | | | 24,468,498 | |
| | | | | | | | | | | | |
| | | | 165,472,366 | |
| | | | | | | | | | | | |
| |
| Total Corporates | | | | | |
(Cost $20,959,460,589) | | | | 19,283,172,617 | |
| | | | | |
| |
FOREIGN GOVERNMENT OBLIGATIONS — 0.66% | | | | | |
| |
| Foreign Government Obligations — 0.66% | | | | | |
| Brazilian Government International Bond | | | | | |
| (Brazil) | | | | | |
3.88% | | | | 06/12/303 | | | 22,393,000 | | | | 20,067,823 | |
4.63% | | | | 01/13/283 | | | 11,020,000 | | | | 10,798,365 | |
| Chile Government International Bond | | | | | |
| (Chile) | | | | | |
2.45% | | | | 01/31/313 | | | 25,469,000 | | | | 22,013,785 | |
2.55% | | | | 01/27/323 | | | 15,429,000 | | | | 13,209,426 | |
2.55% | | | | 07/27/333 | | | 6,810,000 | | | | 5,615,774 | |
| Colombia Government International Bond | | | | | |
| (Colombia) | | | | | |
3.00% | | | | 01/30/303 | | | 13,071,000 | | | | 10,283,609 | |
3.13% | | | | 04/15/313 | | | 8,270,000 | | | | 6,329,065 | |
4.50% | | | | 01/28/263 | | | 7,459,000 | | | | 7,178,542 | |
8.00% | | | | 04/20/333 | | | 1,670,000 | | | | 1,713,395 | |
| Dominican Republic International Bond | | | | | |
| (Dominican Republic) | | | | | |
4.50% | | | | 01/30/301,3 | | | 25,047,000 | | | | 21,901,097 | |
| Dominican Republic International Bond, | | | | | |
| Series REGS | | | | | |
| (Dominican Republic) | | | | | |
4.88% | | | | 09/23/323 | | | 10,915,000 | | | | 9,322,501 | |
| Egypt Government International Bond | | | | | |
| (Egypt) | | | | | |
7.60% | | | | 03/01/291,3 | | | 3,550,000 | | | | 2,486,069 | |
| Egypt Government International Bond, | | | | | |
| Series REGS | | | | | |
| (Egypt) | | | | | |
5.25% | | | | 10/06/253 | | | 4,765,000 | | | | 3,792,463 | |
| Finance Department Government of Sharjah | | | | | |
| (United Arab Emirates) | | | | | |
6.50% | | | | 11/23/321,3 | | | 6,705,000 | | | | 6,847,039 | |
See accompanying Notes to Financial Statements.
|
| 185 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value �� |
|
| FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
| |
| Foreign Government Obligations (continued) | | | | | |
| Hungary Government International Bond | | | | | |
| (Hungary) | | | | | |
2.13% | | 09/22/311,3 | | $ | 17,300,000 | | | $ | 13,374,630 | |
| Hungary Government International Bond, | | | | | |
| Series REGS | | | | | |
| (Hungary) | | | | | |
5.25% | | 06/16/293 | | | 5,900,000 | | | | 5,781,410 | |
| Indonesia Government International Bond | | | | | |
| (Indonesia) | | | | | |
2.85% | | 02/14/303 | | | 11,861,000 | | | | 10,740,076 | |
| Mexico Government International Bond | | | | | |
| (Mexico) | | | | | |
2.66% | | 05/24/313 | | | 36,789,000 | | | | 30,794,268 | |
3.50% | | 02/12/343 | | | 14,767,000 | | | | 12,588,867 | |
3.75% | | 01/11/283 | | | 6,200,000 | | | | 5,966,880 | |
4.75% | | 04/27/323 | | | 2,350,000 | | | | 2,259,842 | |
4.88% | | 05/19/333 | | | 8,400,000 | | | | 8,052,525 | |
| Oman Government International Bond, | | | | | |
| Series REGS | | | | | |
| (Oman) | | | | | |
5.63% | | 01/17/283 | | | 10,500,000 | | | | 10,515,960 | |
6.75% | | 10/28/273 | | | 7,800,000 | | | | 8,170,500 | |
| Panama Government International Bond | | | | | |
| (Panama) | | | | | |
2.25% | | 09/29/323 | | | 20,627,000 | | | | 15,866,288 | |
3.16% | | 01/23/303 | | | 28,854,000 | | | | 25,417,489 | |
6.40% | | 02/14/353 | | | 2,690,000 | | | | 2,810,870 | |
| Perusahaan Penerbit SBSN Indonesia III | | | | | |
| (Indonesia) | | | | | |
2.80% | | 06/23/301,3 | | | 17,340,000 | | | | 15,490,906 | |
| Peruvian Government International Bond | | | | | |
| (Peru) | | | | | |
1.86% | | 12/01/323 | | | 1,000,000 | | | | 757,635 | |
2.78% | | 01/23/313 | | | 5,270,000 | | | | 4,511,568 | |
2.84% | | 06/20/303 | | | 27,321,000 | | | | 23,941,657 | |
| Republic of Poland Government International Bond | | | | | |
| (Poland) | | | | | |
5.75% | | 11/16/323 | | | 3,793,000 | | | | 4,054,717 | |
| Republic of South Africa Government International Bond | | | | | |
| (South Africa) | | | | | |
4.30% | | 10/12/283 | | | 15,307,000 | | | | 13,796,199 | |
4.85% | | 09/30/293 | | | 19,945,000 | | | | 17,947,508 | |
5.88% | | 04/20/323 | | | 10,600,000 | | | | 9,673,560 | |
| Romanian Government International Bond, | | | | | |
| Series REGS | | | | | |
| (Romania) | | | | | |
3.00% | | 02/14/313 | | | 26,000,000 | | | | 21,466,250 | |
| Saudi Government International Bond, | | | | | |
| Series REGS (EMTN) | | | | | |
| (Saudi Arabia) | | | | | |
3.25% | | 10/22/303 | | | 16,040,000 | | | | 14,807,198 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
| FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
| |
| Foreign Government Obligations (continued) | | | | | |
| Serbia International Bond | | | | | |
| (Serbia) | | | | | |
6.50% | | 09/26/331,3 | | $ | 2,840,000 | | | $ | 2,829,350 | |
| | | | | | | | | | | | |
| |
| Total Foreign Government Obligations | | | | | |
| (Cost $472,124,441) | | | | 423,175,106 | |
| | | | | | | | | | | | |
| |
| MORTGAGE-BACKED — 51.32%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 3.52% | |
| 1301 Properties Owner LP | | | | | |
2.08% | | 09/07/255,6 | | | 47,327,027 | | | | 47,208,709 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
| Series 2018-PARK, Class A | | | | | |
4.09% | | 08/10/381,4 | | | 122,930,000 | | | | 110,449,709 | |
| Barclays Commercial Mortgage Securities Mortgage Trust, | | | | | |
| Series 2018-TALL, Class C | | | | | |
| (LIBOR USD 1-Month plus 1.12%) | | | | | |
5.96% | | 03/15/371,2 | | | 18,000,000 | | | | 14,225,603 | |
| BFLD Trust, | | | | | |
| Series 2020-OBRK, Class A | | | | | |
| (CME Term SOFR 1-Month plus 2.16%) | | | | | |
6.99% | | 11/15/281,2 | | | 65,000,000 | | | | 64,557,230 | |
| BGME Trust, | | | | | |
| Series 2021-VR, Class A | | | | | |
2.99% | | 01/10/431,4 | | | 20,000,000 | | | | 16,224,762 | |
| BGME Trust, | | | | | |
| Series 2021-VR, Class B | | | | | |
2.99% | | 01/10/431,4 | | | 32,137,000 | | | | 24,910,083 | |
| Blackstone Industrial Portfolio - Proj Foxtrot | | | | | |
2.23% | | 04/09/244,5,6 | | | 94,283,317 | | | | 88,682,888 | |
| BMO Mortgage Trust, | | | | | |
| Series 2022-C2, Class A5 | | | | | |
4.81% | | 07/15/544 | | | 21,624,000 | | | | 21,342,352 | |
| BX Commercial Mortgage Trust, | | | | | |
| Series 2019-XL, Class A | | | | | |
| (CME Term SOFR 1-Month plus 1.03%) | | | | | |
5.86% | | 10/15/361,2 | | | 164,612,610 | | | | 162,793,763 | |
| BX Commercial Mortgage Trust, | | | | | |
| Series 2020-VIV4, Class A | | | | | |
2.84% | | 03/09/441 | | | 180,165,000 | | | | 147,049,779 | |
| BX Commercial Mortgage Trust, | | | | | |
| Series 2022-CSMO, Class A | | | | | |
| (CME Term SOFR 1-Month plus 2.11%) | | | | | |
6.94% | | 06/15/271,2 | | | 152,924,000 | | | | 150,959,554 | |
| BX Commercial Mortgage Trust, | | | | | |
| Series 2022-CSMO, Class B | | | | | |
| (CME Term SOFR 1-Month plus 3.14%) | | | | | |
7.97% | | 06/15/271,2 | | | 90,170,000 | | | | 88,477,284 | |
| BX Trust, | | | | | |
| Series 2019-OC11, Class A | | | | | |
3.20% | | 12/09/411 | | | 42,270,000 | | | | 36,208,017 | |
| CALI Mortgage Trust, | | | | | |
| Series 2019-101C, Class A | | | | | |
3.96% | | 03/10/391 | | | 80,255,000 | | | | 70,415,853 | |
| CALI Mortgage Trust, | | | | | |
| Series 2019-101C, Class XA (IO) | | | | | |
0.30% | | 03/10/391,4 | | | 272,551,000 | | | | 4,534,404 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 186 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
| Capital Funding Mortgage Trust, | | | | | |
| Series 2021-M01, Class A | | | | | |
| (LIBOR USD 1-Month plus 2.25%) | | | | | |
6.91% | | 12/19/241,2 | | $ | 90,174,649 | | | $ | 77,053,602 | |
| Century Plaza Towers, | | | | | |
| Series 2019-CPT, Class A | | | | | |
2.87% | | 11/13/391 | | | 27,645,000 | | | | 22,354,034 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2022-GC48, Class A5 | | | | | |
4.58% | | 05/15/544 | | | 26,458,000 | | | | 25,719,867 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-CR12, Class A4 | | | | | |
4.05% | | 10/10/46 | | | 440,000 | | | | 434,175 | |
| Credit Suisse Mortgage Capital Certificates, | | | | | |
| Series 2019-ICE4, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.98%) | | | | | |
5.66% | | 05/15/361,2 | | | 31,322,075 | | | | 30,994,577 | |
| CSMC 2022-MDR A | | | | | |
7.12% | | 08/15/254 | | | 85,000,000 | | | | 83,994,012 | |
| DC Office Trust, | | | | | |
| Series 2019-MTC, Class A | | | | | |
2.97% | | 09/15/451 | | | 31,135,000 | | | | 25,577,219 | |
| Fontainebleau Miami Beach Trust, | | | | | |
| Series 2019-FBLU, Class A | | | | | |
3.14% | | 12/10/361 | | | 35,000,000 | | | | 33,272,817 | |
| GS Mortgage-Backed Securities Trust, | | | | | |
| Series 2022-SROA, Class A | | | | | |
| (-1.00 X CME Term SOFR 1-Month plus 2.70%) | | | | | |
7.22% | | 07/12/241,2 | | | 12,792,297 | | | | 12,727,111 | |
| Hudson Yards Mortgage Trust, | | | | | |
| Series 2019-30HY, Class A | | | | | |
3.23% | | 07/10/391 | | | 84,915,000 | | | | 73,236,725 | |
| Hudson Yards Mortgage Trust, | | | | | |
| Series 2019-55HY, Class A | | | | | |
2.94% | | 12/10/411,4 | | | 81,025,000 | | | | 68,643,983 | |
| KNDL Mortgage Trust, | | | | | |
| Series 2019-KNSQ, Class E | | | | | |
| (LIBOR USD 1-Month plus 1.80%) | | | | | |
6.48% | | 05/15/361,2 | | | 26,449,000 | | | | 25,783,117 | |
| LoanCore Issuer Ltd., | | | | | |
| Series 2021-CRE5, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (LIBOR USD 1-Month plus 1.30%) | | | | | |
5.98% | | 07/15/361,2,3 | | | 44,185,000 | | | | 43,710,058 | |
| MF1 Ltd., | | | | | |
| Series 2022-FL8, Class A | | | | | |
| (Cayman Islands) | | | | | |
| (SOFR30A plus 1.35%) | | | | | |
5.91% | | 02/19/371,2,3 | | | 25,000,000 | | | | 24,415,190 | |
| NCMF Trust, | | | | | |
| Series 2022-MFP, Class A | | | | | |
| (CME Term SOFR 1-Month plus 1.74%) | | | | | |
6.57% | | 03/15/391,2 | | | 115,900,000 | | | | 114,951,857 | |
| One Bryant Park Trust, | | | | | |
| Series 2019-OBP, Class A | | | | | |
2.52% | | 09/15/541 | | | 147,667,000 | | | | 121,684,858 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
Project Colt (Acquired 03/08/2022, cost $100,000,000) | | | | | |
1.95% | | 03/10/274,5,6 | | $ | 100,000,000 | | | $ | 96,040,000 | |
| Queens Center Mortgage Trust, | | | | | |
| Series 2013-QCA, Class A | | | | | |
3.28% | | 01/11/371 | | | 9,170,000 | | | | 8,543,925 | |
| RBS Commercial Funding, Inc., Trust, | | | | | |
| Series 2013-GSP, Class A | | | | | |
3.83% | | 01/15/321,4 | | | 48,830,000 | | | | 47,268,642 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class A1 | | | | | |
3.87% | | 01/05/431,4 | | | 56,465,000 | | | | 40,559,560 | |
| SFAVE Commercial Mortgage Securities Trust, | | | | | |
| Series 2015-5AVE, Class A2B | | | | | |
4.14% | | 01/05/431,4 | | | 8,710,000 | | | | 6,154,779 | |
| SHOW 2022-BIZ A | | | | | |
| Series 2022-BIZ, Class A | | | | | |
7.38% | | 01/15/244 | | | 68,000,000 | | | | 66,886,626 | |
| Taurus UK DAC, | | | | | |
| Series 2021-UK4A, Class A | | | | | |
| (Ireland) | | | | | |
| (SONIA plus 0.95%) | | | | | |
5.03% | | 08/17/311,2,3 | | | 15,246,438 | | | | 18,232,819 | |
| Westfield Galleria at Roseville | | | | | |
3.25% | | 03/29/255,6 | | | 141,900,000 | | | | 141,168,435 | |
| | | | | | | | | | | | |
| | | | 2,257,447,978 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 9.31% | | | | | |
| Aames Mortgage Trust, | | | | | |
| Series 2002-1, Class A3 (STEP-reset date 05/25/23) | | | | | |
7.40% | | 06/25/32 | | | 21,960 | | | | 21,319 | |
| Accredited Mortgage Loan Trust, | | | | | |
| Series 2007-1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 02/25/372 | | | 5,010,975 | | | | 4,962,777 | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2004-IN1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
5.49% | | 05/25/342 | | | 124,934 | | | | 116,503 | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2006-HE3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
5.15% | | 06/25/362 | | | 2,400,542 | | | | 1,691,847 | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2006-OP2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
5.29% | | 08/25/362 | | | 27,724,000 | | | | 25,003,635 | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
| Series 2007-ASP2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
5.23% | | 06/25/372 | | | 26,645,544 | | | | 19,545,620 | |
| Adjustable Rate Mortgage Trust, | | | | | |
| Series 2005-10, Class 6A1 | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
5.39% | | 01/25/362 | | | 139,530 | | | | 123,820 | |
See accompanying Notes to Financial Statements.
|
| 187 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
Adjustable Rate Mortgage Trust, | |
Series 2007-3, Class 2A1 | |
5.83% | | 11/25/371,4 | | $ | 26,366,053 | | | $ | 18,833,071 | |
Ajax Mortgage Loan Trust, | |
| Series 2019-F, Class A1 (STEP-reset date 04/25/23) | | | | | |
2.86% | | 07/25/591 | | | 116,927 | | | | 111,015 | |
Alternative Loan Trust, | |
Series 2004-30CB, Class 1A6 | |
5.50% | | 02/25/35 | | | 26,636,395 | | | | 24,418,758 | |
Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 2,040 | | | | 2,004 | |
Alternative Loan Trust, | |
Series 2005-38, Class A1 | |
(Federal Reserve US 12-Month Cumulative Average plus 1.50%) | | | | | |
4.64% | | 09/25/352 | | | 283,147 | | | | 242,899 | |
Alternative Loan Trust, | |
Series 2005-76, Class 2A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
4.14% | | 02/25/362 | | | 31,420,587 | | | | 26,679,833 | |
Alternative Loan Trust, | |
Series 2005-84, Class 1A1 | |
3.38% | | 02/25/364 | | | 26,198 | | | | 23,577 | |
Alternative Loan Trust, | |
Series 2006-HY13, Class 4A1 | |
3.97% | | 02/25/374 | | | 752,386 | | | | 624,917 | |
Alternative Loan Trust, | |
Series 2007-J1, Class 2A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 03/25/372 | | | 550,523 | | | | 154,968 | |
American Home Mortgage Assets Trust, | |
Series 2006-3, Class 2A12 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.15%) | | | | | |
4.29% | | 10/25/462 | | | 32,294,391 | | | | 22,827,074 | |
American Home Mortgage Assets Trust, | |
Series 2007-1, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
3.84% | | 02/25/472 | | | 44,653,359 | | | | 18,345,600 | |
American Home Mortgage Assets Trust, | |
Series 2007-2, Class A1 | |
(LIBOR USD 1-Month plus 0.13%) | |
4.97% | | 03/25/472 | | | 25,557,216 | | | | 22,352,162 | |
American Home Mortgage Investment Trust, | |
Series 2004-3, Class 2A | |
(LIBOR USD 6-Month plus 1.50%) | |
3.95% | | 10/25/342 | | | 3,326,701 | | | | 3,202,767 | |
Ameriquest Mortgage Securities Trust, | |
Series 2006-R1, Class M1 | |
(LIBOR USD 1-Month plus 0.59%) | |
5.43% | | 03/25/362 | | | 845,077 | | | | 842,986 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
Amresco Residential Securities Corp. Mortgage Loan Trust, | | | | | |
Series 1998-1, Class A5 (STEP-reset date 05/25/23) | | | | | |
7.40% | | 10/25/27 | | $ | 2,638 | | | $ | 2,623 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W2, Class M1 | |
(LIBOR USD 1-Month plus 0.74%) | |
5.58% | | 10/25/352 | | | 99,919 | | | | 97,102 | |
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W3, Class M1 | |
(LIBOR USD 1-Month plus 0.66%) | |
5.51% | | 11/25/352 | | | 14,144,498 | | | | 13,575,151 | |
Asset-Backed Funding Certificates, | |
Series 2006-OPT3, Class A3B | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 11/25/362 | | | 40,288,542 | | | | 17,475,425 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2A | |
(LIBOR USD 1-Month plus 0.75%) | |
5.60% | | 06/25/372 | | | 21,181,689 | | | | 16,310,695 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
(LIBOR USD 1-Month plus 1.00%) | |
5.85% | | 06/25/372 | | | 15,473,966 | | | | 12,262,917 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE6, Class A5 | |
(LIBOR USD 1-Month plus 0.46%) | |
5.31% | | 11/25/362 | | | 14,748,510 | | | | 14,091,333 | |
Banc of America Funding Trust, | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | | 10,700 | | | | 10,619 | |
Banc of America Funding Trust, | |
Series 2006-D, Class 3A1 | |
3.56% | | 05/20/364 | | | 2,521,740 | | | | 2,200,192 | |
Banc of America Funding Trust, | |
Series 2006-E, Class 2A1 | |
3.56% | | 06/20/364 | | | 30,679 | | | | 27,261 | |
Banc of America Funding Trust, | |
Series 2006-H, Class 3A1 | |
3.88% | | 09/20/464 | | | 636,383 | | | | 517,396 | |
Banc of America Funding Trust, | |
Series 2015-R5, Class 1A2 | |
(LIBOR USD 1-Month plus 0.13%) | |
4.98% | | 10/26/361,2 | | | 3,163,466 | | | | 3,161,145 | |
Banc of America Mortgage Trust, | |
Series 2004-F, Class 1A1 | |
3.68% | | 07/25/344 | | | 18,466 | | | | 16,515 | |
Banc of America Mortgage Trust, | |
Series 2005-C, Class 2A2 | |
3.26% | | 04/25/354 | | | 110,737 | | | | 101,680 | |
Banc of America Mortgage Trust, | |
Series 2007-1, Class 1A24 | |
6.00% | | 03/25/37 | | | 340,497 | | | | 277,450 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 188 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| Banc of America Mortgage Trust, | | | | | |
| Series 2007-3, Class 1A1 | | | | | |
6.00% | | 09/25/37 | | $ | 148,373 | | | $ | 129,639 | |
| BCAP LLC Trust, | | | | | |
| Series 2007-AA2, Class 2A5 | | | | | |
6.00% | | 04/25/37 | | | 215,083 | | | | 111,323 | |
| BCAP LLC Trust, | | | | | |
| Series 2007-AA5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 1.30%) | | | | | |
6.15% | | 09/25/472 | | | 12,638,995 | | | | 10,816,601 | |
| Bear Stearns ALT-A Trust, | | | | | |
| Series 2005-4, Class 22A2 | | | | | |
3.77% | | 05/25/354 | | | 7,454 | | | | 6,807 | |
| Bear Stearns ALT-A Trust, | | | | | |
| Series 2006-4, Class 32A1 | | | | | |
3.60% | | 07/25/364 | | | 1,341,890 | | | | 688,807 | |
| Bear Stearns ARM Trust, | | | | | |
| Series 2004-1, Class 13A2 | | | | | |
4.03% | | 04/25/344 | | | 4,101 | | | | 3,786 | |
| Bear Stearns ARM Trust, | | | | | |
| Series 2004-10, Class 14A1 | | | | | |
3.74% | | 01/25/354 | | | 1,678,234 | | | | 1,512,118 | |
| Bear Stearns ARM Trust, | | | | | |
| Series 2006-4, Class 2A1 | | | | | |
3.86% | | 10/25/364 | | | 198,027 | | | | 171,248 | |
| Bear Stearns Asset-Backed Securities I Trust, | | | | | |
| Series 2005-AC5, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
5.10% | | 08/25/202 | | | 1,177,900 | | | | 627,153 | |
| Bear Stearns Asset-Backed Securities I Trust, | | | | | |
| Series 2006-AC2, Class 21A3 | | | | | |
6.00% | | 03/25/36 | | | 124,867 | | | | 122,640 | |
| Bear Stearns Asset-Backed Securities I Trust, | | | | | |
| Series 2006-HE9, Class 3A | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
5.13% | | 11/25/362 | | | 3,436,018 | | | | 3,327,045 | |
| Bear Stearns Asset-Backed Securities I Trust, | | | | | |
| Series 2007-AC1, Class A3 (STEP-reset date 05/25/23) | | | | | |
6.55% | | 02/25/37 | | | 23,903,379 | | | | 20,776,626 | |
| Bear Stearns Asset-Backed Securities Trust, | | | | | |
| Series 2003-AC7, Class A1 (STEP-reset date 05/25/23) | | | | | |
5.50% | | 01/25/34 | | | 430,990 | | | | 366,728 | |
| Bear Stearns Asset-Backed Securities Trust, | | | | | |
| Series 2003-AC7, Class A2 (STEP-reset date 05/25/23) | | | | | |
5.75% | | 01/25/34 | | | 388,567 | | | | 330,549 | |
| Bear Stearns Mortgage Funding Trust, | | | | | |
| Series 2006-AR3, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
5.03% | | 10/25/362 | | | 992,508 | | | | 838,297 | |
| Bear Stearns Mortgage Funding Trust, | | | | | |
| Series 2006-AR5, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
5.01% | | 12/25/462 | | | 13,332,889 | | | | 11,047,298 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| Bear Stearns Mortgage Funding Trust, | | | | | |
| Series 2007-AR5, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
5.02% | | 06/25/472 | | $ | 2,130,076 | | | $ | 1,695,816 | |
| Carrington Mortgage Loan Trust, | | | | | |
| Series 2006-NC3, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
5.09% | | 08/25/362 | | | 46,429,000 | | | | 37,278,759 | |
| Carrington Mortgage Loan Trust, | | | | | |
| Series 2006-OPT1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.53%) | | | | | |
5.37% | | 02/25/362 | | | 54,876 | | | | 53,006 | |
| Carrington Mortgage Loan Trust, | | | | | |
| Series 2007-RFC1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
5.07% | | 10/25/362 | | | 22,415,000 | | | | 18,387,336 | |
| Chase Funding Trust, | | | | | |
| Series 2003-5, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | 07/25/332 | | | 3,059 | | | | 2,835 | |
| Chase Funding Trust, | | | | | |
| Series 2004-2, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 02/26/352 | | | 5,199 | | | | 5,043 | |
| Chase Mortgage Finance Trust, | | | | | |
| Series 2006-A1, Class 1A2 | | | | | |
3.80% | | 09/25/364 | | | 386,630 | | | | 319,734 | |
| Chase Mortgage Finance Trust, | | | | | |
| Series 2006-S3, Class 2A1 | | | | | |
5.50% | | 11/25/21 | | | 1,314,437 | | | | 415,612 | |
| Chase Mortgage Finance Trust, | | | | | |
| Series 2007-A2, Class 2A3 | | | | | |
4.14% | | 06/25/354 | | | 684,442 | | | | 649,402 | |
| ChaseFlex Trust, | | | | | |
| Series 2005-2, Class 4A2 | | | | | |
5.50% | | 06/25/36 | | | 290,121 | | | | 168,424 | |
| ChaseFlex Trust, | | | | | |
| Series 2006-2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
4.74% | | 09/25/362 | | | 4,637,804 | | | | 3,751,039 | |
| CIM Trust, | | | | | |
| Series 2019-R1, Class A | | | | | |
3.25% | | 10/25/581,4 | | | 153,737,769 | | | | 134,490,846 | |
| CIM Trust, | | | | | |
| Series 2019-R3, Class A | | | | | |
2.63% | | 06/25/581,4 | | | 97,423,407 | | | | 89,268,069 | |
| CIM Trust, | | | | | |
| Series 2019-R4, Class A1 | | | | | |
3.00% | | 10/25/591,4 | | | 92,631,697 | | | | 85,196,206 | |
| CIM Trust, | | | | | |
| Series 2020-R1, Class A1 | | | | | |
2.85% | | 10/27/591,4 | | | 138,451,225 | | | | 116,706,173 | |
| CIM Trust, | | | | | |
| Series 2020-R3, Class A1A | | | | | |
4.00% | | 01/26/601,4 | | | 113,468,487 | | | | 106,915,296 | |
See accompanying Notes to Financial Statements.
|
| 189 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| CIM Trust, | | | | | |
| Series 2020-R6, Class A1A | | | | | |
2.25% | | 12/25/601,4 | | $ | 125,504,969 | | | $ | 108,614,109 | |
| CIM Trust, | | | | | |
| Series 2020-R7, Class A1A | | | | | |
2.25% | | 12/27/611,4 | | | 220,290,747 | | | | 192,905,963 | |
| CIM Trust, | | | | | |
| Series 2021-R1, Class A2 | | | | | |
2.40% | | 08/25/561,4 | | | 82,830,813 | | | | 72,016,464 | |
| CIM Trust, | | | | | |
| Series 2021-R2, Class A2 | | | | | |
2.50% | | 01/25/571,4 | | | 77,500,360 | | | | 68,780,074 | |
| CIM Trust, | | | | | |
| Series 2021-R3, Class A1A | | | | | |
1.95% | | 06/25/571,4 | | | 268,743,020 | | | | 235,842,747 | |
| CIM Trust, | | | | | |
| Series 2021-R4, Class A1A | | | | | |
2.00% | | 05/01/611,4 | | | 202,969,445 | | | | 175,956,079 | |
| CIM Trust, | | | | | |
| Series 2021-R5, Class A1 | | | | | |
2.00% | | 08/25/611,4 | | | 42,147,580 | | | | 34,063,674 | |
| CIM Trust, | | | | | |
| Series 2021-R5, Class A1A | | | | | |
2.00% | | 08/25/611,4 | | | 170,289,101 | | | | 140,301,190 | |
| CIM Trust, | | | | | |
| Series 2022-I1, Class A1 | | | | | |
4.35% | | 02/25/671,4 | | | 42,142,989 | | | | 41,212,619 | |
| CIM Trust, | | | | | |
| Series 2022-NR1, Class A1 (STEP-reset date 05/25/23) | | | | | |
5.00% | | 07/25/621 | | | 92,096,938 | | | | 84,947,536 | |
| CIM Trust, | | | | | |
| Series 2023-R1, Class A1A | | | | | |
5.40% | | 04/25/621,4 | | | 314,039,552 | | | | 305,183,636 | |
| CIT Mortgage Loan Trust, | | | | | |
| Series 2007-1, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 1.35%) | | | | | |
6.20% | | 10/25/371,2 | | | 7,420,235 | | | | 7,393,067 | |
| Citicorp Mortgage Securities, Inc., | | | | | |
| Series 2005-1, Class 1A12 | | | | | |
5.00% | | 02/25/35 | | | 84,390 | | | | 79,814 | |
| Citicorp Residential Mortgage Trust, | | | | | |
| Series 2006-2, Class A5 (STEP-reset date 05/25/23) | | | | | |
4.91% | | 09/25/36 | | | 12,341 | | | | 12,283 | |
| Citicorp Residential Mortgage Trust, | | | | | |
| Series 2007-1, Class A5 (STEP-reset date 05/25/23) | | | | | |
4.93% | | 03/25/37 | | | 205,188 | | | | 203,276 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
5.11% | | 11/25/352 | | | 101,880 | | | | 82,008 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-AR2, Class 1A1 | | | | | |
4.29% | | 03/25/364 | | | 6,841,224 | | | | 4,770,465 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-AR3, Class 1A2A | | | | | |
3.53% | | 06/25/364 | | | 993,970 | | | | 905,699 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-HE2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
5.28% | | 08/25/362 | | $ | 40,379 | | | $ | 40,163 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2006-WF2, Class A1 (STEP-reset date 05/25/23) | | | | | |
7.25% | | 05/25/36 | | | 30,660,101 | | | | 16,209,177 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2007-6, Class 1A4A | | | | | |
3.15% | | 03/25/374 | | | 157,223 | | | | 132,471 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2007-AR5, Class 1A1A | | | | | |
4.15% | | 04/25/374 | | | 52,199 | | | | 44,036 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2014-5, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
4.13% | | 02/20/361,2 | | | 6,087,254 | | | | 4,964,301 | |
| Citigroup Mortgage Loan Trust, | | | | | |
| Series 2015-2, Class 4A1 | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
3.15% | | 03/25/471,2 | | | 130,061 | | | | 129,705 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
| Series 2005-5, Class 3A2A | | | | | |
4.22% | | 10/25/354 | | | 335,290 | | | | 272,442 | |
| Countrywide Asset-Backed Certificates Trust, | | | | | |
| Series 2005-13, Class AF4 | | | | | |
5.81% | | 04/25/364 | | | 134,027 | | | | 124,557 | |
| Countrywide Asset-Backed Certificates Trust, | | | | | |
| Series 2007-13, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
5.65% | | 10/25/472 | | | 6,882,586 | | | | 6,204,139 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2001-HYB1, Class 1A1 | | | | | |
3.25% | | 06/19/314 | | | 6,275 | | | | 5,920 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2003-J8, Class 1A4 | | | | | |
5.25% | | 09/25/23 | | | 31,049 | | | | 30,120 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-14, Class 4A1 | | | | | |
3.91% | | 08/25/344 | | | 577,381 | | | | 504,558 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-25, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.51% | | 02/25/352 | | | 67,008 | | | | 62,635 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-7, Class 2A1 | | | | | |
6.34% | | 06/25/344 | | | 42,255 | | | | 38,455 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-HYB3, Class 1A | | | | | |
3.32% | | 06/20/344 | | | 8,913 | | | | 8,345 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2004-HYB4, Class 2A1 | | | | | |
4.15% | | 09/20/344 | | | 534,362 | | | | 495,723 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
| Series 2005-11, Class 1A2 | | | | | |
4.49% | | 04/25/354 | | | 469,690 | | | | 406,592 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 190 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| 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%) | |
5.45% | | | 05/25/352 | | | $ | 2,294,343 | | | $ | 1,877,173 | |
Countrywide Home Loan Mortgage
Pass-Through Trust, | | | | | |
Series 2007-HY5, Class 1A1 | |
4.02% | | | 09/25/474 | | | | 481,783 | | | | 347,895 | |
Countrywide Home Loan Mortgage
Pass-Through Trust, | | | | | |
Series 2007-HYB1, Class 1A1 | |
3.59% | | | 03/25/374 | | | | 926,097 | | | | 694,929 | |
Credit Suisse First Boston Mortgage
Securities Corp., | | | | | |
Series 2003-AR20, Class 2A4 | |
3.68% | | | 08/25/334 | | | | 5,591 | | | | 5,248 | |
Credit Suisse First Boston Mortgage
Securities Corp., | | | | | |
Series 2005-6, Class 8A1 | |
4.50% | | | 07/25/20 | | | | 2,724 | | | | 2,410 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through | | | | | |
Certificates, | |
Series 2004-1, Class 2A1 | |
6.50% | | | 02/25/34 | | | | 14,510 | | | | 14,412 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through | | | | | |
Certificates, | |
Series 2004-AR5, Class 6A1 | |
3.55% | | | 06/25/344 | | | | 51,286 | | | | 48,850 | |
Credit Suisse Mortgage Capital Certificates, | | | | | |
Series 2021-RP11, Class CERT | |
3.78% | | | 10/27/611 | | | | 9,821,652 | | | | 7,491,001 | |
Credit Suisse Mortgage Capital Certificates, | | | | | |
Series 2022-RPL1, Class CERT | |
4.23% | | | 04/25/611 | | | | 10,181,587 | | | | 8,800,269 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-2, Class 5A1 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | | 03/25/362 | | | | 3,071,435 | | | | 1,028,416 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2007-2, Class 3A4 | |
5.50% | | | 03/25/37 | | | | 1,099,713 | | | | 618,267 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2015-6R, Class 2A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
4.01% | | | 11/27/461,2 | | | | 1,858,207 | | | | 1,812,153 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2020-RPL2, Class A12 | |
3.46% | | | 02/25/601,4 | | | | 16,779,863 | | | | 16,898,726 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-NQM6, Class A1 | |
1.17% | | | 07/25/661,4 | | | | 7,451,321 | | | | 5,955,809 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-RP11, Class PT | |
3.78% | | | 10/25/611,4 | | | | 232,661,444 | | | | 172,777,878 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-RP11, Class SA (IO) | |
0.00% | | | 10/25/61 | 1,4,5,6 | | | 219,754 | | | | 217,299 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class PT | |
4.45% | | | 04/25/611,4 | | | | 243,158,698 | | | | 212,058,239 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class SA (IO) | |
0.00% | | 04/25/611,4,5,6 | | $ | 883,337 | | | $ | 863,670 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2003-CB1, Class AF (STEP-reset date 05/25/23) | | | | | |
3.95% | | 01/25/33 | | | 5,918 | | | | 5,454 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB7, Class A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 10/25/362 | | | 35,808,057 | | | | 25,311,888 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB8, Class A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 10/25/362 | | | 9,412,377 | | | | 8,551,518 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2006-CB9, Class A3 | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 11/25/362 | | | 23,032,942 | | | | 10,725,050 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/23) | | | | | |
3.13% | | 01/25/37 | | | 6,160,186 | | | | 1,860,438 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/23) | | | | | |
3.13% | | 01/25/37 | | | 11,566,242 | | | | 3,495,555 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A2 | |
(LIBOR USD 1-Month plus 0.17%) | |
3.40% | | 04/25/372 | | | 20,601,587 | | | | 12,793,458 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2C (STEP-reset date 05/25/23) | | | | | |
3.53% | | 02/25/37 | | | 24,739,486 | | | | 15,033,678 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2D (STEP-reset date 05/25/23) | | | | | |
3.53% | | 02/25/37 | | | 18,112,987 | | | | 11,018,789 | |
Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2E (STEP-reset date 05/25/23) | | | | | |
3.53% | | 02/25/37 | | | 3,293,819 | | | | 2,002,085 | |
CSAB Mortgage-Backed Trust, | |
Series 2006-4, Class A6B (STEP-reset date 05/25/23) | | | | | |
6.28% | | 12/25/36 | | | 5,268,016 | | | | 290,674 | |
Deephaven Residential Mortgage Trust, | |
Series 2021-4, Class A1 | |
1.93% | | 11/25/661,4 | | | 24,518,974 | | | | 21,291,954 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR3, Class A1 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 08/25/362 | | | 1,947,483 | | | | 1,801,330 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR4, Class A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 12/25/362 | | | 1,438,522 | | | | 504,988 | |
See accompanying Notes to Financial Statements.
|
| 191 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2006-AR4, Class A2 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 12/25/362 | | $ | 26,403,857 | | | $ | 9,024,627 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2006-AR6, Class A6 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 02/25/372 | | | 366,784 | | | | 307,934 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-3, Class 1A1 | |
(LIBOR USD 1-Month plus 1.70%) | |
6.36% | | 10/25/472 | | | 19,368,878 | | | | 15,117,621 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-AR3, Class 2A4 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | 06/25/372 | | | 18,141,061 | | | | 15,703,702 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-OA3, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
4.99% | | 07/25/472 | | | 27,800,963 | | | | 24,079,312 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | | | | | |
Series 2005-6, Class 1A7 | |
5.50% | | 12/25/35 | | | 241,017 | | | | 208,319 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | | | | | |
Series 2006-AR1, Class 2A1 | |
3.29% | | 02/25/364 | | | 504,001 | | | | 350,293 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
(LIBOR USD 1-Month plus 0.72%) | |
5.48% | | 01/19/452 | | | 1,101,298 | | | | 892,701 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.50%) | |
5.26% | | 02/19/452 | | | 62,804 | | | | 59,942 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR3, Class 2A1A | |
(LIBOR USD 1-Month plus 0.48%) | |
5.24% | | 07/19/452 | | | 69,254 | | | | 61,796 | |
DSLA Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
4.96% | | 10/19/362 | | | 13,519,161 | | | | 9,071,871 | |
DSLA Mortgage Loan Trust, | |
Series 2007-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.14%) | |
4.90% | | 03/19/372 | | | 5,525,006 | | | | 4,433,165 | |
Equity One Mortgage Pass-Through Trust, | |
Series 2002-4, Class M1 | |
5.22% | | 02/25/334 | | | 6,672 | | | | 6,275 | |
Equity One Mortgage Pass-Through Trust, | |
Series 2002-5, Class M1 (STEP-reset date
05/25/23) | |
5.80% | | 11/25/32 | | | 32,506 | | | | 30,990 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2019-R07, Class 1B1 | |
(LIBOR USD 1-Month plus 3.40%) | |
8.25% | | 10/25/391,2 | | | 12,100,000 | | | | 11,915,974 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2020-R01, Class 1B1 | |
(LIBOR USD 1-Month plus 3.25%) | |
8.10% | | 01/25/401,2 | | $ | 13,389,636 | | | $ | 12,696,864 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2020-R02, Class 2B1 | |
(LIBOR USD 1-Month plus 3.00%) | |
7.85% | | 01/25/401,2 | | | 22,901,543 | | | | 21,483,408 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R01, Class 1B1 | |
(SOFR30A plus 3.10%) | |
7.66% | | 10/25/411,2 | | | 29,460,000 | | | | 27,843,212 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R01, Class 1B2 | |
(SOFR30A plus 6.00%) | |
10.56% | | 10/25/411,2 | | | 2,060,000 | | | | 1,883,842 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2022-R01, Class 1B1 | |
(SOFR30A plus 3.15%) | |
7.71% | | 12/25/411,2 | | | 27,469,000 | | | | 25,481,870 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2022-R01, Class 1M2 | |
(SOFR30A plus 1.90%) | |
6.46% | | 12/25/411,2 | | | 20,563,862 | | | | 19,711,508 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 10/25/362 | | | 9,608,275 | | | | 6,447,914 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2D | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 10/25/362 | | | 605,874 | | | | 408,856 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2B | |
(LIBOR USD 1-Month plus 0.11%) | |
4.96% | | 12/25/372 | | | 5,042,733 | | | | 4,395,594 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2C | |
(LIBOR USD 1-Month plus 0.16%) | |
5.01% | | 12/25/372 | | | 13,867,969 | | | | 12,144,495 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2D | |
(LIBOR USD 1-Month plus 0.21%) | |
5.06% | | 12/25/372 | | | 10,051,052 | | | | 8,837,175 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF5, Class 1A | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 04/25/362 | | | 6,533,493 | | | | 6,446,322 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF8, Class IIA4 | |
(LIBOR USD 1-Month plus 0.46%) | |
5.31% | | 07/25/362 | | | 19,573,639 | | | | 18,745,274 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF1, Class A2C | |
(LIBOR USD 1-Month plus 0.14%) | |
5.13% | | 01/25/382 | | | 52,227,143 | | | | 27,882,160 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 192 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
4.99% | | 03/25/372 | | $ | 47,518,655 | | | $ | 25,484,406 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2B | |
(LIBOR USD 1-Month plus 0.10%) | |
4.95% | | 03/25/372 | | | 21,019,713 | | | | 10,279,602 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2C | |
(LIBOR USD 1-Month plus 0.15%) | |
5.00% | | 03/25/372 | | | 12,050,265 | | | | 5,920,595 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2D | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 03/25/372 | | | 22,437,275 | | | | 11,092,701 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2004-AA2, Class 1A1 | |
5.01% | | 08/25/344 | | | 2,815,065 | | | | 2,698,174 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2004-AA3, Class A1 | |
5.10% | | 09/25/344 | | | 8,525 | | | | 7,539 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2004-AA4, Class A1 | |
4.47% | | 10/25/344 | | | 445,567 | | | | 435,713 | |
First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2005-AA10, Class 1A1 | |
4.23% | | 12/25/354 | | | 7,452,082 | | | | 6,085,262 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2005-AA12, Class 2A1 | |
4.71% | | 02/25/364 | | | 7,622,914 | | | | 5,047,965 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2005-AA4, Class 2A1 | |
4.01% | | 06/25/354 | | | 7,578,029 | | | | 6,631,434 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2005-AA7, Class 2A1 | |
5.08% | | 09/25/354 | | | 5,906,805 | | | | 5,020,777 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2005-AA8, Class 2A1 | |
5.23% | | 10/25/354 | | | 8,524,346 | | | | 5,659,926 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2005-AA9, Class 2A1 | |
4.30% | | 11/25/354 | | | 7,881,346 | | | | 6,741,914 | |
First Horizon Alternative Mortgage Securities
Trust, | | | | | |
Series 2006-AA1, Class 1A1 | |
5.26% | | 03/25/364 | | | 8,576,815 | | | | 6,617,514 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2004-AR6, Class 2A1 | |
4.24% | | 12/25/344 | | | 90,227 | | | | 82,909 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2006-AR4, Class 1A2 | |
4.19% | | 01/25/374 | | | 46,863 | | | | 29,124 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2007-AR3, Class 1A1 | |
3.84% | | 11/25/374 | | | 78,696 | | | | 40,616 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2020-DNA1, Class B1 | |
(LIBOR USD 1-Month plus 2.30%) | |
7.15% | | 01/25/501,2 | | $ | 8,000,000 | | | $ | 7,739,846 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2020-DNA2, Class B1 | |
(LIBOR USD 1-Month plus 2.50%) | |
7.35% | | 02/25/501,2 | | | 31,102,000 | | | | 29,635,519 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-DNA3, Class M2 | |
(SOFR30A plus 2.10%) | |
6.66% | | 10/25/331,2 | | | 30,022,000 | | | | 29,014,960 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-DNA5, Class B1 | |
(SOFR30A plus 3.05%) | |
7.61% | | 01/25/341,2 | | | 12,005,000 | | | | 10,867,525 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-DNA6, Class B1 | |
(SOFR30A plus 3.40%) | |
7.96% | | 10/25/411,2 | | | 30,000,000 | | | | 28,056,782 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-HQA1, Class M2 | |
(SOFR30A plus 2.25%) | |
6.81% | | 08/25/331,2 | | | 12,742,000 | | | | 12,271,721 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-HQA3, Class M2 | |
(SOFR30A plus 2.10%) | |
6.66% | | 09/25/411,2 | | | 22,095,000 | | | | 19,916,775 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2021-HQA4, Class M2 | |
(SOFR30A plus 2.35%) | |
6.91% | | 12/25/411,2 | | | 10,000,000 | | | | 9,040,591 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2022-DNA2, Class M1B | |
(SOFR30A plus 2.40%) | |
6.96% | | 02/25/421,2 | | | 22,000,000 | | | | 21,267,822 | |
Freddie Mac Structured Agency Credit Risk
Debt Notes, | | | | | |
Series 2022-DNA3, Class M1B | |
(SOFR30A plus 2.90%) | |
7.46% | | 04/25/421,2 | | | 7,000,000 | | | | 6,972,276 | |
GMACM Home Equity Loan Trust, | |
Series 2000-HE2, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
5.06% | | 06/25/302 | | | 8,836 | | | | 8,168 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR6, Class 3A1 | |
3.60% | | 11/19/354 | | | 185,686 | | | | 157,658 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR2, Class 1A1 | |
0.00% | | 05/19/364 | | | 1,544,373 | | | | 1,159,798 | |
GreenPoint Mortgage Funding Trust, | |
Series 2005-AR3, Class 1A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 08/25/452 | | | 700,004 | | | | 526,325 | |
See accompanying Notes to Financial Statements.
|
| 193 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
GreenPoint Mortgage Funding Trust, | |
Series 2005-AR4, Class G41B | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 10/25/452 | | $ | 10,551,700 | | | $ | 9,816,947 | |
GreenPoint Mortgage Funding Trust, | |
Series 2006-OH1, Class A1 | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 01/25/372 | | | 9,904,746 | | | | 8,241,734 | |
GS Mortgage-Backed Securities Corp. Trust, | |
Series 2022-PJ2, Class A4 | |
2.50% | | 06/25/521,4 | | | 59,875,403 | | | | 48,768,049 | |
GS Mortgage-Backed Securities Corp. Trust, | |
Series 2022-PJ4, Class A4 | |
2.50% | | 09/25/521,4 | | | 68,715,272 | | | | 55,968,053 | |
GS Mortgage-Backed Securities Trust, | |
Series 2018-RPL1, Class A1A | |
3.75% | | 10/25/571 | | | 19,452,957 | | | | 18,496,200 | |
GS Mortgage-Backed Securities Trust, | |
Series 2021-PJ9, Class A2 | |
2.50% | | 02/26/521,4 | | | 8,844,489 | | | | 7,203,767 | |
GS Mortgage-Backed Securities Trust, | |
Series 2022-PJ5, Class A4 | |
2.50% | | 10/25/521,4 | | | 76,181,581 | | | | 62,239,757 | |
GS Mortgage-Backed Securities Trust, | |
Series 2022-PJ6, Class A3 | |
2.50% | | 01/25/531,4 | | | 102,359,184 | | | | 83,370,757 | |
GS Mortgage-Backed Securities Trust, | |
Series 2023-PJ1, Class A3 | |
3.00% | | 02/25/531,4 | | | 99,443,558 | | | | 85,061,832 | |
GSAA Home Equity Trust, | |
Series 2005-11, Class 2A2 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 10/25/352 | | | 75,427 | | | | 72,196 | |
GSAA Home Equity Trust, | |
Series 2005-11, Class 3A2 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 10/25/352 | | | 24,949 | | | | 24,449 | |
GSAA Home Equity Trust, | |
Series 2005-6, Class M1 | |
(LIBOR USD 1-Month plus 0.65%) | |
5.49% | | 06/25/352 | | | 47,597 | | | | 46,127 | |
GSAMP Trust, | |
Series 2005-AHL2, Class A2D | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | 12/25/352 | | | 18,671,646 | | | | 17,072,933 | |
GSAMP Trust, | |
Series 2007-HE2, Class A1 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.08% | | 03/25/472 | | | 64,857,371 | | | | 54,311,063 | |
GSMSC Resecuritization Trust, | |
Series 2015-3R, Class 1B | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 01/26/371,2 | | | 15,423,948 | | | | 14,098,961 | |
GSR Mortgage Loan Trust, | |
Series 2004-9, Class 3A1 | |
3.50% | | 08/25/344 | | | 1,820 | | | | 1,657 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
GSR Mortgage Loan Trust, | |
Series 2004-9, Class 5A7 | |
3.35% | | 08/25/344 | | $ | 43,260 | | | $ | 42,795 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR5, Class 2A3 | |
3.77% | | 10/25/354 | | | 1,765,401 | | | | 984,674 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR6, Class 4A5 | |
4.16% | | 09/25/354 | | | 43,110 | | | | 40,879 | |
GSR Mortgage Loan Trust, | |
Series 2007-AR2, Class 2A1 | |
3.93% | | 05/25/374 | | | 1,216,048 | | | | 725,081 | |
HarborView Mortgage Loan Trust, | |
Series 2004-1, Class 2A | |
4.50% | | 04/19/344 | | | 3,419 | | | | 3,216 | |
HarborView Mortgage Loan Trust, | |
Series 2004-11, Class 3A2A | |
(LIBOR USD 1-Month plus 0.68%) | |
5.44% | | 01/19/352 | | | 163,020 | | | | 148,517 | |
HarborView Mortgage Loan Trust, | |
Series 2004-3, Class 1A | |
4.19% | | 05/19/344 | | | 32,066 | | | | 30,176 | |
HarborView Mortgage Loan Trust, | |
Series 2004-5, Class 2A6 | |
3.47% | | 06/19/344 | | | 1,248 | | | | 1,158 | |
HarborView Mortgage Loan Trust, | |
Series 2005-3, Class 2A1A | |
(LIBOR USD 1-Month plus 0.48%) | |
5.24% | | 06/19/352 | | | 160,756 | | | | 150,067 | |
HarborView Mortgage Loan Trust, | |
Series 2005-4, Class 2A | |
4.21% | | 07/19/354 | | | 23,689 | | | | 20,739 | |
HarborView Mortgage Loan Trust, | |
Series 2006-1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.48%) | |
5.24% | | 03/19/362 | | | 10,418,984 | | | | 9,032,965 | |
HarborView Mortgage Loan Trust, | |
Series 2006-10, Class 1A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
4.80% | | 11/19/362 | | | 50,356,059 | | | | 36,669,307 | |
HarborView Mortgage Loan Trust, | |
Series 2006-4, Class 1A1A | |
(LIBOR USD 1-Month plus 0.36%) | |
5.12% | | 05/19/462 | | | 29,520,252 | | | | 15,377,070 | |
HarborView Mortgage Loan Trust, | |
Series 2006-5, Class 1A1A | |
(Federal Reserve US 12-Month Cumulative
Average plus 0.91%) | | | | | |
4.05% | | 07/19/472 | | | 34,121,913 | | | | 13,464,468 | |
HarborView Mortgage Loan Trust, | |
Series 2006-7, Class 1A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.18% | | 09/19/462 | | | 52,213,430 | | | | 44,246,125 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 194 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
HarborView Mortgage Loan Trust, | |
Series 2007-7, Class 1A1 | |
(LIBOR USD 1-Month plus 2.00%) | |
5.85% | | 10/25/372 | | $ | 17,256,335 | | | $ | 13,763,505 | |
HarborView Mortgage Loan Trust, | |
Series 2007-7, Class 2A1A | |
(LIBOR USD 1-Month plus 2.00%) | |
5.85% | | 10/25/372 | | | 13,280,414 | | | | 12,294,780 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-HE1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 10/25/362 | | | 52,270,547 | | | | 17,387,520 | |
Impac CMB Trust, | |
Series 2004-8, Class 2A1 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | 10/25/342 | | | 74,557 | | | | 73,517 | |
Impac CMB Trust, | |
Series 2005-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.52%) | |
5.37% | | 04/25/352 | | | 1,822,704 | | | | 1,687,460 | |
Impac Secured Assets Trust, | |
Series 2006-3, Class A1 | |
(LIBOR USD 1-Month plus 0.34%) | |
5.19% | | 11/25/362 | | | 4,232,404 | | | | 3,707,867 | |
Impac Secured Assets Trust, | |
Series 2006-5, Class 1A1C | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 02/25/372 | | | 6,884,021 | | | | 6,113,728 | |
Impac Secured Assets Trust, | |
Series 2007-2, Class 1A1A | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 05/25/372 | | | 2,600,663 | | | | 2,158,749 | |
Impac Secured Assets Trust, | |
Series 2007-2, Class 1A1B | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 05/25/372 | | | 32,414,455 | | | | 27,178,493 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR4, Class 1A | |
3.74% | | 08/25/344 | | | 632,099 | | | | 539,400 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR7, Class A2 | |
(LIBOR USD 1-Month plus 0.86%) | |
5.71% | | 09/25/342 | | | 35,327 | | | | 29,707 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR1, Class 4A1 | |
3.63% | | 03/25/354 | | | 40,112 | | | | 39,390 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR17, Class 3A1 | |
3.54% | | 09/25/354 | | | 2,852,571 | | | | 1,925,926 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR19, Class A1 | |
3.29% | | 10/25/354 | | | 17,939,079 | | | | 13,918,733 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 04/25/352 | | | 357,919 | | | | 292,492 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR19, Class 1A2 | |
3.47% | | 08/25/364 | | $ | 10,586,029 | | | $ | 7,716,655 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR27, Class 2A2 | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 10/25/362 | | | 12,039,529 | | | | 10,244,916 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR35, Class 2A3A | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 01/25/372 | | | 27,401,632 | | | | 22,458,057 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 1A1 | |
3.32% | | 05/25/364 | | | 2,726,281 | | | | 2,238,058 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 2A1 | |
3.33% | | 05/25/364 | | | 18,196,066 | | | | 11,897,296 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR1, Class 1A2 | |
3.55% | | 03/25/374 | | | 308,301 | | | | 248,250 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR11, Class 1A1 | |
2.92% | | 06/25/374 | | | 2,317,296 | | | | 1,816,285 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR7, Class 1A1 | |
3.06% | | 11/25/374 | | | 1,487,146 | | | | 1,168,277 | |
IndyMac Manufactured Housing Contract
Pass-Through | | | | | |
Certificates, | |
Series 1997-1, Class A3 | |
6.61% | | 02/25/28 | | | 19,739 | | | | 19,519 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-A2, Class 5A1 | |
3.59% | | 05/25/364 | | | 4,075,891 | | | | 2,402,438 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-WF1, Class A3A (STEP-reset date
05/25/23) | | | | | |
6.33% | | 07/25/36 | | | 28,677,872 | | | | 8,355,867 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-WF1, Class A6 (STEP-reset date
05/25/23) | | | | | |
6.50% | | 07/25/36 | | | 3,999,060 | | | | 1,164,670 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH5, Class A5 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 06/25/372 | | | 35,414 | | | | 35,170 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AF1 | |
(LIBOR USD 1-Month plus 0.10%) | |
4.52% | | 03/25/472 | | | 105,262 | | | | 68,054 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AF2 (STEP-reset date
05/25/23) | | | | | |
4.22% | | 03/25/47 | | | 6,886,054 | | | | 4,827,498 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AF3 (STEP-reset date
05/25/23) | | | | | |
4.22% | | 05/25/35 | | | 5,795,454 | | | | 4,062,862 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AF4 (STEP-reset date
05/25/23) | | | | | |
4.22% | | 03/25/47 | | | 2,634,297 | | | | 1,833,633 | |
See accompanying Notes to Financial Statements.
|
| 195 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AV4 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 03/25/472 | | $ | 240,000 | | | $ | 219,108 | |
JPMorgan Mortgage Trust, | |
Series 2003-A2, Class 2A3 | |
3.03% | | 11/25/334 | | | 43,132 | | | | 40,355 | |
JPMorgan Mortgage Trust, | |
Series 2004-A4, Class 1A3 | |
3.93% | | 09/25/344 | | | 118,354 | | | | 106,864 | |
JPMorgan Mortgage Trust, | |
Series 2005-A5, Class TA1 | |
4.16% | | 08/25/354 | | | 56,737 | | | | 51,809 | |
JPMorgan Mortgage Trust, | |
Series 2005-S2, Class 4A3 | |
5.50% | | 09/25/20 | | | 1,603,738 | | | | 1,101,043 | |
JPMorgan Mortgage Trust, | |
Series 2006-A2, Class 5A3 | |
4.18% | | 11/25/334 | | | 1,502 | | | | 1,445 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 2A1 | |
3.78% | | 05/25/364 | | | 479,628 | | | | 394,785 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 3A3 | |
3.68% | | 05/25/364 | | | 317,317 | | | | 253,362 | |
JPMorgan Mortgage Trust, | |
Series 2006-A4, Class 1A1 | |
3.70% | | 06/25/364 | | | 280,965 | | | | 210,513 | |
JPMorgan Mortgage Trust, | |
Series 2006-A4, Class 1A4 | |
3.70% | | 06/25/364 | | | 905,742 | | | | 678,625 | |
JPMorgan Mortgage Trust, | |
Series 2006-A5, Class 2A4 | |
3.84% | | 08/25/364 | | | 252,070 | | | | 198,323 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 5A2 | |
4.00% | | 07/25/354 | | | 583,453 | | | | 557,979 | |
JPMorgan Mortgage Trust, | |
Series 2007-A3, Class 2A3 | |
3.73% | | 05/25/374 | | | 1,284,205 | | | | 1,009,238 | |
JPMorgan Mortgage Trust, | |
Series 2007-A3, Class 3A2 | |
3.63% | | 05/25/374 | | | 219,500 | | | | 189,974 | |
JPMorgan Mortgage Trust, | |
Series 2007-A4, Class 1A1 | |
3.79% | | 06/25/374 | | | 1,822,180 | | | | 1,418,037 | |
JPMorgan Mortgage Trust, | |
Series 2007-A4, Class 2A3 | |
3.78% | | 06/25/374 | | | 257,493 | | | | 201,748 | |
JPMorgan Mortgage Trust, | |
Series 2021-13, Class A3A | |
2.00% | | 04/25/521,4 | | | 49,180,148 | | | | 38,544,159 | |
JPMorgan Mortgage Trust, | |
Series 2021-14, Class A3A | |
2.00% | | 05/25/521,4 | | | 37,725,473 | | | | 29,538,506 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Trust, | |
Series 2021-INV8, Class A2 | |
3.00% | | 05/25/521,4 | | $ | 44,227,156 | | | $ | 37,752,026 | |
Lehman ABS Mortgage Loan Trust, | |
Series 2007-1, Class 2A2 | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 06/25/371,2 | | | 175,472 | | | | 123,793 | |
Lehman XS Trust, | |
Series 2005-5N, Class 3A1A | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 11/25/352 | | | 1,714,938 | | | | 1,663,475 | |
Lehman XS Trust, | |
Series 2005-7N, Class 1A1A | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 12/25/352 | | | 263,489 | | | | 225,924 | |
Lehman XS Trust, | |
Series 2006-12N, Class A31A | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 08/25/462 | | | 7,728,869 | | | | 7,349,255 | |
Lehman XS Trust, | |
Series 2006-14N, Class 3A2 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 08/25/362 | | | 24,033 | | | | 24,065 | |
Lehman XS Trust, | |
Series 2006-5, Class 1A1A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 04/25/362 | | | 18,774,384 | | | | 15,859,351 | |
Lehman XS Trust, | |
Series 2006-8, Class 1A1A | |
(LIBOR USD 1-Month plus 0.16%) | |
5.17% | | 06/25/362 | | | 24,543,809 | | | | 22,017,061 | |
Lehman XS Trust, | |
Series 2007-4N, Class 1A3 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 03/25/472 | | | 15,649,391 | | | | 13,676,447 | |
Long Beach Mortgage Loan Trust, | |
Series 2004-4, Class M1 | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | 10/25/342 | | | 66,745 | | | | 61,648 | |
Luminent Mortgage Trust, | |
Series 2006-5, Class A1A | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 07/25/362 | | | 27,286,014 | | | | 17,931,348 | |
Luminent Mortgage Trust, | |
Series 2006-6, Class A1 | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 10/25/462 | | | 9,744,125 | | | | 8,322,823 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
3.81% | | 01/25/344 | | | 10,648 | | | | 9,962 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
3.88% | | 11/25/334 | | | 355,271 | | | | 331,885 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
3.87% | | 11/21/344 | | | 1,666,290 | | | | 1,543,904 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 196 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-8, Class 2A1 | |
3.78% | | 09/25/344 | | $ | 1,237,155 | | | $ | 1,139,723 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2006-2, Class 5A1 | |
3.52% | | 05/25/364 | | | 5,342,939 | | | | 2,295,093 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-1, Class I1A | |
(LIBOR USD 1-Month plus 0.39%) | |
5.24% | | 01/25/472 | | | 82,622,168 | | | | 35,283,797 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A3 | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 11/25/362 | | | 12,550,750 | | | | 4,121,534 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A4 | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 11/25/362 | | | 3,486,319 | | | | 1,141,087 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A3 | |
(LIBOR USD 1-Month plus 0.21%) | |
5.06% | | 05/25/372 | | | 15,408,075 | | | | 14,511,891 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
4.22% | | 10/25/324 | | | 7,569 | | | | 7,167 | |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2001-TBC1, Class A1 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.38% | | 11/15/312 | | | 538,016 | | | | 505,285 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 04/25/372 | | | 131,598,297 | | | | 57,843,176 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A2B | |
(LIBOR USD 1-Month plus 0.34%) | |
5.19% | | 04/25/372 | | | 26,549,485 | | | | 10,350,160 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A2C | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 04/25/372 | | | 55,616,974 | | | | 21,920,190 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2C | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 05/25/372 | | | 27,055,328 | | | | 21,304,713 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2D | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 05/25/372 | | | 13,361,096 | | | | 10,655,818 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2C | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 06/25/372 | | | 10,139,456 | | | | 9,216,666 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2D | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 06/25/372 | | $ | 13,542,305 | | | $ | 12,244,108 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-4, Class 2A2 | |
(LIBOR USD 1-Month plus 0.12%) | |
4.97% | | 07/25/372 | | | 22,855,590 | | | | 19,399,503 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-4, Class 2A3 | |
(LIBOR USD 1-Month plus 0.16%) | |
5.01% | | 07/25/372 | | | 16,753,715 | | | | 14,387,320 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A6, Class 2A | |
4.30% | | 10/25/334 | | | 141,091 | | | | 136,170 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2004-A4, Class A1 | |
3.53% | | 08/25/344 | | | 706,705 | | | | 638,477 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2005-A10, Class A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 02/25/362 | | | 4,853 | | | | 4,427 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2006-WMC2, Class A2B (STEP-reset
date 05/25/23) | | | | | |
3.95% | | 03/25/37 | | | 27,399,710 | | | | 6,471,635 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2006-WMC2, Class A2D (STEP-reset
date 05/25/23) | | | | | |
3.95% | | 03/25/37 | | | 21,444,811 | | | | 5,064,612 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2007-2, Class 1A1 | |
(US Treasury Yield Curve Rate T Note Constant
Maturity | | | | | |
1-Year plus 2.40%) | |
7.43% | | 08/25/362 | | | 1,778,861 | | | | 1,541,069 | |
Mid-State Capital Corp. Trust, | |
Series 2005-1, Class A | |
5.75% | | 01/15/40 | | | 6,221,318 | | | | 6,117,321 | |
Mid-State Capital Corp. Trust, | |
Series 2006-1, Class A | |
5.79% | | 10/15/401 | | | 6,274,471 | | | | 6,125,055 | |
Mid-State Trust XI, | |
Series 11, Class A1 | |
4.86% | | 07/15/38 | | | 109,098 | | | | 105,896 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-11AR, Class 1A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 01/25/352 | | | 66,115 | | | | 59,826 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
4.19% | | 09/25/344 | | | 371,332 | | | | 352,843 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2005-2AR, Class A | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 04/25/352 | | | 699,543 | | | | 671,128 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-7, Class 5A2 | |
5.96% | | 06/25/364 | | | 677,552 | | | | 209,020 | |
See accompanying Notes to Financial Statements.
|
| 197 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-7AX, Class 2A1 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 04/25/372 | | $ | 4,187,145 | | | $ | 1,208,699 | |
MortgageIT Trust, | |
Series 2005-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 02/25/352 | | | 1,854,714 | | | | 1,747,526 | |
MortgageIT Trust, | |
Series 2005-4, Class A1 | |
(LIBOR USD 1-Month plus 0.56%) | |
5.41% | | 10/25/352 | | | 1,943,145 | | | | 1,902,994 | |
MortgageIT Trust, | |
Series 2005-5, Class A1 | |
(LIBOR USD 1-Month plus 0.52%) | |
5.37% | | 12/25/352 | | | 375,745 | | | | 350,058 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-A, Class AV4 | |
(LIBOR USD 1-Month plus 0.23%) | |
5.08% | | 03/25/372 | | | 21,813 | | | | 21,440 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-C, Class 2AV4 | |
(LIBOR USD 1-Month plus 0.25%) | |
5.10% | | 06/25/372 | | | 4,662,454 | | | | 4,408,541 | |
New Century Home Equity Loan Trust, | |
Series 2003-6, Class M1 | |
(LIBOR USD 1-Month plus 1.08%) | |
5.93% | | 01/25/342 | | | 67,747 | | | | 67,784 | |
New Century Home Equity Loan Trust, | |
Series 2005-1, Class M1 | |
(LIBOR USD 1-Month plus 0.68%) | |
5.52% | | 03/25/352 | | | 138,626 | | | | 136,064 | |
New Century Home Equity Loan Trust, | |
Series 2005-D, Class A1 | |
(LIBOR USD 1-Month plus 0.44%) | |
5.29% | | 02/25/362 | | | 7,971 | | | | 7,961 | |
NLT Trust, | |
Series 2021-INV3, Class PT | |
0.00% | | 11/25/561,4 | | | 171,678,676 | | | | 157,973,516 | |
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, | | | | | |
Series 2006-HE2, Class A4 | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 03/25/362 | | | 1,317,609 | | | | 1,312,122 | |
NRPL, | |
| Series 2019-3A, Class A1 (STEP-reset date 05/25/23) | | | | | |
6.00% | | 07/25/591 | | | 43,575,561 | | | | 43,282,342 | |
Oakwood Mortgage Investors, Inc., | |
Series 2000-A, Class A5 | |
8.16% | | 09/15/294 | | | 20,577,665 | | | | 5,249,751 | |
Onslow Bay Mortgage Loan Trust, | |
Series 2021-NQM4, Class A1 | |
1.96% | | 10/25/611,4 | | | 5,255,391 | | | | 4,289,754 | |
Ownit Mortgage Loan Trust, | |
Series 2006-4, Class A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
4.90% | | 05/25/372 | | | 6,378,795 | | | | 6,209,119 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Ownit Mortgage Loan Trust, | |
Series 2006-4, Class A2D | |
(LIBOR USD 1-Month plus 0.48%) | |
5.10% | | 05/25/372 | | $ | 15,422,692 | | | $ | 11,507,925 | |
Popular ABS Mortgage Pass-Through Trust, | | | | | |
Series 2005-6, Class A5 (STEP-reset date
05/25/23) | | | | | |
3.36% | | 01/25/36 | | | 19,739,221 | | | | 18,378,170 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2006-D, Class A3 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 11/25/362 | | | 10,160 | | | | 10,014 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
(LIBOR USD 1-Month plus 0.31%) | |
5.16% | | 06/25/472 | | | 21,148,763 | | | | 19,190,690 | |
Popular ABS, Inc., | |
Series 1998-1, Class A2 (STEP-reset date
05/25/23) | | | | | |
7.48% | | 11/25/29 | | | 45,684 | | | | 42,782 | |
PRET LLC, | |
Series 2022-RN2, Class A1 (STEP-reset date
04/25/23) | | | | | |
5.00% | | 06/25/521 | | | 209,541,539 | | | | 197,189,422 | |
Pretium Mortgage Credit Partners LLC, | |
Series 2022-RN3, Class A1 | |
5.00% | | 08/25/521,4 | | | 243,421,702 | | | | 227,702,599 | |
PRPM LLC, | |
Series 2022-3, Class A1 (STEP-reset date
04/25/23) | | | | | |
5.56% | | 06/25/271 | | | 32,987,207 | | | | 32,543,460 | |
PRPM LLC, | |
Series 2022-4, Class A1 (STEP-reset date
04/25/23) | | | | | |
5.00% | | 08/25/271 | | | 79,267,316 | | | | 77,014,531 | |
Residential Accredit Loans Trust, | |
Series 2005-QA12, Class CB1 | |
4.76% | | 12/25/354 | | | 3,475,497 | | | | 1,623,921 | |
Residential Accredit Loans Trust, | |
Series 2005-QA4, Class A41 | |
3.91% | | 04/25/354 | | | 89,446 | | | | 86,574 | |
Residential Accredit Loans Trust, | |
Series 2005-QA7, Class A1 | |
3.88% | | 07/25/354 | | | 2,220,578 | | | | 1,678,032 | |
Residential Accredit Loans Trust, | |
Series 2005-QO5, Class A1 | |
(Federal Reserve US 12-Month Cumulative
Average plus 1.00%) | | | | | |
4.14% | | 01/25/462 | | | 3,544,140 | | | | 2,744,854 | |
Residential Accredit Loans Trust, | |
Series 2006-QA1, Class A11 | |
4.84% | | 01/25/364 | | | 99,299 | | | | 72,084 | |
Residential Accredit Loans Trust, | |
Series 2006-QA1, Class A21 | |
4.93% | | 01/25/364 | | | 8,154,421 | | | | 6,191,408 | |
Residential Accredit Loans Trust, | |
Series 2006-QA7, Class 2A1 | |
(LIBOR USD 1-Month plus 0.37%) | |
5.22% | | 08/25/362 | | | 13,773,668 | | | | 11,962,813 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 198 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans Trust, | |
Series 2006-QS10, Class AV (IO) | |
0.57% | | 08/25/364,5,6 | | $ | 13,544,423 | | | $ | 249,931 | |
Residential Accredit Loans Trust, | |
Series 2006-QS12, Class 2A9 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 09/25/362 | | | 132,300 | | | | 93,038 | |
Residential Accredit Loans Trust, | |
Series 2006-QS2, Class 1AV (IO) | |
0.47% | | 02/25/364,5,6 | | | 49,528,955 | | | | 653,376 | |
Residential Accredit Loans Trust, | |
Series 2006-QS7, Class AV (IO) | |
0.72% | | 06/25/364,5,6 | | | 22,421,719 | | | | 383,000 | |
Residential Accredit Loans Trust, | |
Series 2006-QS8, Class AV (IO) | |
0.79% | | 08/25/364,5,6 | | | 54,422,580 | | | | 1,210,459 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 2A4 | |
(LIBOR USD 1-Month plus 0.55%) | |
5.40% | | 01/25/372 | | | 10,153,475 | | | | 6,822,264 | |
Residential Accredit Loans Trust, | |
Series 2007-QS10, Class AV (IO) | |
0.48% | | 09/25/374,5,6 | | | 41,936,101 | | | | 755,491 | |
Residential Accredit Loans Trust, | |
Series 2007-QS4, Class 3AV (IO) | |
0.36% | | 03/25/374,5,6 | | | 26,182,597 | | | | 294,219 | |
Residential Accredit Loans Trust, | |
Series 2007-QS5, Class AV (IO) | |
0.29% | | 03/25/374,5,6 | | | 28,314,150 | | | | 245,155 | |
Residential Accredit Loans Trust, | |
Series 2007-QS6, Class AV (IO) | |
0.33% | | 04/25/374,5,6 | | | 61,644,944 | | | | 527,188 | |
Residential Accredit Loans Trust, | |
Series 2007-QS7, Class 2AV (IO) | |
0.38% | | 06/25/374,5,6 | | | 22,673,303 | | | | 244,110 | |
Residential Accredit Loans Trust, | |
Series 2007-QS8, Class AV (IO) | |
0.43% | | 06/25/374,5,6 | | | 54,493,815 | | | | 828,799 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL3, Class A4 | |
8.50% | | 12/25/31 | | | 13,570 | | | | 6,728 | |
Residential Asset Securities Corp., | |
Series 2006-KS3, Class M1 | |
(LIBOR USD 1-Month plus 0.33%) | |
5.34% | | 04/25/362 | | | 323,172 | | | | 315,123 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 1A1 | |
4.40% | | 12/25/344 | | | 158,051 | | | | 151,496 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 2A1 | |
3.53% | | 12/25/344 | | | 10,833 | | | | 8,898 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 3A1 | |
4.47% | | 12/25/344 | | | 257,033 | | | | 237,308 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Residential Asset Securitization Trust, | |
Series 2006-A7CB, Class 1A3 | |
6.25% | | 07/25/36 | | $ | 1,605,165 | | | $ | 1,258,560 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2005-SA5, Class 1A | |
3.58% | | 11/25/354 | | | 2,095,272 | | | | 1,236,784 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2006-SA3, Class 3A1 | |
4.90% | | 09/25/364 | | | 138,357 | | | | 116,955 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2006-SA4, Class 2A1 | |
5.16% | | 11/25/364 | | | 36,306 | | | | 29,556 | |
Residential Funding Mortgage Securities Trust, | | | | | |
Series 2007-SA2, Class 2A2 | |
4.53% | | 04/25/374 | | | 797,060 | | | | 589,817 | |
Saxon Asset Securities Trust, | |
Series 2001-2, Class AF6 (STEP-reset date
05/25/23) | | | | | |
6.81% | | 06/25/16 | | | 8 | | | | 11 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2C | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 05/25/472 | | | 160,320 | | | | 111,156 | |
Saxon Asset Securities Trust, | |
Series 2007-3, Class 2A3 | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 09/25/472 | | | 23,735,443 | | | | 21,867,787 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2006-CB1, Class AF2 (STEP-reset date
05/25/23) | | | | | |
2.86% | | 01/25/36 | | | 5,627,247 | | | | 4,426,576 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2006-CB5, Class A3 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 06/25/362 | | | 202,283 | | | | 126,838 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR1, Class A2A | |
(LIBOR USD 1-Month plus 0.11%) | |
5.07% | | 02/25/372 | | | 5,272,156 | | | | 2,217,398 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR1, Class A2B | |
(LIBOR USD 1-Month plus 0.27%) | |
5.39% | | 02/25/372 | | | 26,098,822 | | | | 11,010,781 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR2, Class A2 | |
(LIBOR USD 1-Month plus 0.23%) | |
5.08% | | 02/25/372 | | | 34,577,829 | | | | 15,141,462 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR5, Class A2A | |
(LIBOR USD 1-Month plus 0.13%) | |
4.98% | | 05/25/372 | | | 12,002,526 | | | | 8,949,994 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-BR5, Class A2C | |
(LIBOR USD 1-Month plus 0.35%) | |
5.20% | | 05/25/372 | | | 9,052,201 | | | | 6,750,893 | |
See accompanying Notes to Financial Statements.
|
| 199 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-NC1, Class A2B | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 12/25/362 | | $ | 26,114,908 | | | $ | 15,080,305 | |
Securitized Asset-Backed Receivables LLC Trust, | | | | | |
Series 2007-NC2, Class A2B | |
(LIBOR USD 1-Month plus 0.14%) | |
4.99% | | 01/25/372 | | | 13,448,876 | | | | 11,397,188 | |
Sequoia Mortgage Trust, | |
Series 2003-2, Class A1 | |
(LIBOR USD 1-Month plus 0.66%) | |
5.42% | | 06/20/332 | | | 20,055 | | | | 19,128 | |
Sequoia Mortgage Trust, | |
Series 2003-8, Class A1 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.40% | | 01/20/342 | | | 679 | | | | 641 | |
Sequoia Mortgage Trust, | |
Series 2004-3, Class A | |
(LIBOR USD 6-Month plus 0.50%) | |
5.22% | | 05/20/342 | | | 62,071 | | | | 61,647 | |
Sequoia Mortgage Trust, | |
Series 2004-4, Class A | |
(LIBOR USD 6-Month plus 0.52%) | |
5.24% | | 05/20/342 | | | 58,433 | | | | 54,431 | |
SG Mortgage Securities Trust, | |
Series 2007-NC1, Class A2 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 12/25/361,2 | | | 12,083,971 | | | | 7,393,383 | |
Soundview Home Loan Trust, | |
Series 2005-OPT1, Class M2 | |
(LIBOR USD 1-Month plus 0.68%) | |
5.52% | | 06/25/352 | | | 6,969,168 | | | | 6,705,264 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-1, Class 3A3 | |
4.72% | | 02/25/344 | | | 13,634 | | | | 12,554 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-12, Class 2A | |
4.82% | | 09/25/344 | | | 1,998,964 | | | | 1,915,673 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-14, Class 1A | |
4.09% | | 10/25/344 | | | 30,853 | | | | 29,805 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-14, Class 2A | |
4.73% | | 10/25/344 | | | 2,818,604 | | | | 2,684,532 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-15, Class A | |
4.14% | | 10/25/344 | | | 1,374,161 | | | | 1,272,181 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-17, Class A1 | |
3.13% | | 11/25/344 | | | 25,104 | | | | 21,166 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-20, Class 1A2 | |
4.43% | | 01/25/354 | | | 282,669 | | | | 266,222 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2005-12, Class 3A1 | |
4.12% | | 06/25/354 | | | 398,358 | | | | 349,680 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2005-18, Class 7A3 | |
3.70% | | 09/25/354 | | $ | 9,457,895 | | | $ | 5,887,156 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2006-12, Class 1A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 01/25/372 | | | 14,721,244 | | | | 12,220,482 | |
Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2007-9, Class 2A1 | |
3.82% | | 10/25/474 | | | 445,991 | | | | 273,065 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A1A | |
(LIBOR USD 1-Month plus 0.56%) | |
5.41% | | 02/25/362 | | | 254,592 | | | | 209,271 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A3 | |
(Federal Reserve US 12-Month Cumulative
Average plus 2.00%) | | | | | |
4.43% | | 02/25/362 | | | 8,212,660 | | | | 6,904,055 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR7, Class A1A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 08/25/362 | | | 9,996,138 | | | | 7,810,267 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR8, Class A1BG | |
(LIBOR USD 1-Month plus 0.12%) | |
4.97% | | 10/25/362 | | | 8,585,041 | | | | 7,319,271 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2007-AR6, Class A1 | |
(Federal Reserve US 12-Month Cumulative
Average plus 1.50%) | | | | | |
4.64% | | 08/25/472 | | | 87,409,895 | | | | 71,734,713 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 1997-2, Class 2A4 | |
7.25% | | 03/28/30 | | | 287 | | | | 278 | |
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates, | | | | | |
Series 2003-26A, Class 3A5 | |
5.34% | | 09/25/334 | | | 84,739 | | | | 80,721 | |
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates, | | | | | |
Series 2003-34A, Class 5A4 | |
4.44% | | 11/25/334 | | | 656,181 | | | | 587,560 | |
Structured Asset Securities Corp. Trust, | |
Series 2005-5, Class 2A4 | |
5.50% | | 04/25/35 | | | 831,131 | | | | 775,988 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-3, Class 1A1 | |
3.10% | | 06/25/374 | | | 1,440,407 | | | | 970,143 | |
Thornburg Mortgage Securities Trust, | |
Series 2004-4, Class 2A | |
3.52% | | 12/25/444 | | | 61,050 | | | | 54,667 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 200 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Wachovia Mortgage Loan Trust, | | | | | |
| Series 2006-ALT1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
1.76% | | 01/25/372 | | $ | 9,908,025 | | | $ | 3,885,003 | |
| Wachovia Mortgage Loan Trust, | | | | | |
| Series 2006-AMN1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
1.70% | | 08/25/362 | | | 13,755,433 | | | | 5,266,965 | |
| WaMu Asset-Backed Certificates, | | | | | |
| Series 2007-HE1, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
4.96% | | 01/25/372 | | | 2,949,788 | | | | 1,331,330 | |
| WaMu Asset-Backed Certificates, | | | | | |
| Series 2007-HE1, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
5.00% | | 01/25/372 | | | 36,288,614 | | | | 16,396,849 | |
| WaMu Asset-Backed Certificates, | | | | | |
| Series 2007-HE1, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
5.08% | | 01/25/372 | | | 9,140,604 | | | | 4,157,664 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2003-AR6, Class A1 | | | | | |
3.43% | | 06/25/334 | | | 1,424,656 | | | | 1,303,128 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2004-AR3, Class A2 | | | | | |
3.25% | | 06/25/344 | | | 14,404 | | | | 13,020 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2004-AR6, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.84%) | | | | | |
5.69% | | 05/25/442 | | | 70,137 | | | | 69,803 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-3, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
5.40% | | 05/25/352 | | | 1,337,087 | | | | 997,593 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-4, Class CB13 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 06/25/352 | | | 2,782,811 | | | | 2,332,600 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR1, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
5.49% | | 01/25/452 | | | 331,827 | | | | 300,249 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR11, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
5.49% | | 08/25/452 | | | 14,766,121 | | | | 14,232,686 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR12, Class 1A6 | | | | | |
3.81% | | 10/25/354 | | | 530,459 | | | | 475,023 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR13, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
5.43% | | 10/25/452 | | | 2,296,344 | | | | 2,107,239 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR14, Class 2A1 | | | | | |
3.77% | | 12/25/354 | | | 2,003,193 | | | | 1,783,742 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR15, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
5.37% | | 11/25/452 | | $ | 15,024,112 | | | $ | 12,941,569 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR17, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
5.39% | | 12/25/452 | | | 7,086,157 | | | | 6,121,717 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR19, Class A1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
5.43% | | 12/25/452 | | | 7,060,092 | | | | 6,518,404 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR2, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.51% | | 01/25/452 | | | 8,053,129 | | | | 7,234,244 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR2, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
5.47% | | 01/25/452 | | | 393,522 | | | | 374,445 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR2, Class 2A21 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
5.51% | | 01/25/452 | | | 33,466 | | | | 31,871 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR2, Class 2A23 | | | | | |
| (LIBOR USD 1-Month plus 0.76%) | | | | | |
5.61% | | 01/25/452 | | | 1,397,393 | | | | 1,335,000 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR6, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
5.31% | | 04/25/452 | | | 60,942 | | | | 58,169 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2005-AR8, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
5.39% | | 07/25/452 | | | 64,700 | | | | 58,538 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR1, Class 2A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.07%) | | | | | |
4.21% | | 01/25/462 | | | 12,572,534 | | | | 11,360,439 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR10, Class 1A4 | | | | | |
3.75% | | 09/25/364 | | | 6,879,877 | | | | 5,879,368 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR16, Class 3A1 | | | | | |
3.60% | | 12/25/364 | | | 394,767 | | | | 331,967 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR3, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
4.14% | | 02/25/462 | | | 8,067,060 | | | | 6,971,186 | |
See accompanying Notes to Financial Statements.
|
| 201 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR4, Class 1A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.94%) | | | | | |
3.65% | | 05/25/462 | | $ | 2,868,733 | | | $ | 2,441,248 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2006-AR7, Class 2A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
4.12% | | 07/25/462 | | | 5,462,396 | | | | 4,599,196 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2007-HY7, Class 4A2 | | | | | |
3.88% | | 07/25/374 | | | 147,565 | | | | 133,071 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2007-OA1, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
3.84% | | 02/25/472 | | | 7,860,532 | | | | 6,441,203 | |
| WaMu MSC Mortgage Pass-Through Certificates, | | | | | |
| Series 2002-AR1, Class 1A1 | | | | | |
4.39% | | 11/25/304 | | | 73,705 | | | | 72,072 | |
| Wells Fargo Alternative Loan Trust, | | | | | |
| Series 2007-PA5, Class 1A1 | | | | | |
6.25% | | 11/25/37 | | | 75,712 | | | | 64,369 | |
| Wells Fargo Mortgage-Backed Securities Trust, | | | | | |
| Series 2006-AR1, Class 1A1 | | | | | |
4.65% | | 03/25/364 | | | 1,277,033 | | | | 1,166,940 | |
| | | | | |
| | | | | | | | | 5,972,444,904 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.59% | |
| Fannie Mae Pool AM4869 | | | | | |
4.07% | | 12/01/25 | | | 1,669,828 | | | | 1,642,348 | |
| Fannie Mae Pool AM6770 | | | | | |
3.77% | | 09/01/29 | | | 154,298 | | | | 151,636 | |
| Fannie Mae Pool AN7981 | | | | | |
2.95% | | 01/01/28 | | | 99,690 | | | | 94,493 | |
| Fannie Mae Pool BL6060 | | | | | |
2.46% | | 04/01/40 | | | 126,370,000 | | | | 92,457,202 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K154, Class A2 | | | | | |
3.42% | | 04/25/32 | | | 750,000 | | | | 713,654 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
| Series K157, Class A3 | | | | | |
3.99% | | 08/25/334 | | | 300,000 | | | | 297,493 | |
| Ginnie Mae, | | | | | |
| Series 2020-193, Class AC | | | | | |
1.25% | | 09/16/62 | | | 34,039,491 | | | | 26,248,030 | |
| Ginnie Mae, | | | | | |
| Series 2021-10, Class IO (IO) | | | | | |
0.99% | | 05/16/634 | | | 61,697,180 | | | | 4,477,765 | |
| Ginnie Mae, | | | | | |
| Series 2021-14, Class AB | | | | | |
1.34% | | 06/16/63 | | | 43,056,349 | | | | 34,153,928 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Ginnie Mae, | | | | | |
| Series 2021-150, Class IO (IO) | | | | | |
1.03% | | 11/16/634 | | $ | 34,029,235 | | | $ | 2,588,880 | |
| Ginnie Mae, | | | | | |
| Series 2021-17, Class IO (IO) | | | | | |
1.05% | | 01/16/614 | | | 138,092,321 | | | | 10,239,670 | |
| Ginnie Mae, | | | | | |
| Series 2021-2, Class AH | | | | | |
1.50% | | 06/16/63 | | | 100,038,059 | | | | 81,462,209 | |
| Ginnie Mae, | | | | | |
| Series 2021-21, Class AH | | | | | |
1.40% | | 06/16/63 | | | 69,155,200 | | | | 54,553,100 | |
| Ginnie Mae, | | | | | |
| Series 2021-31, Class B | | | | | |
1.25% | | 01/16/61 | | | 75,123,861 | | | | 58,381,975 | |
| Ginnie Mae, | | | | | |
| Series 2021-31, Class IO (IO) | | | | | |
0.94% | | 01/16/614 | | | 114,882,928 | | | | 7,961,352 | |
| | | | | |
| | | | | | | | | 375,423,735 | |
| | | | | |
| |
U.S. Agency Mortgage-Backed — 37.90% | | | | | |
| Fannie Mae Pool 190375 | | | | | |
5.50% | | 11/01/36 | | | 339,346 | | | | 352,444 | |
| Fannie Mae Pool 190396 | | | | | |
4.50% | | 06/01/39 | | | 4,803 | | | | 4,835 | |
| Fannie Mae Pool 313182 | | | | | |
7.50% | | 10/01/26 | | | 470 | | | | 477 | |
| Fannie Mae Pool 394854 | | | | | |
6.50% | | 05/01/27 | | | 231 | | | | 239 | |
| Fannie Mae Pool 545191 | | | | | |
7.00% | | 09/01/31 | | | 1,358 | | | | 1,393 | |
| Fannie Mae Pool 545756 | | | | | |
7.00% | | 06/01/32 | | | 304 | | | | 325 | |
| Fannie Mae Pool 613142 | | | | | |
7.00% | | 11/01/31 | | | 5,937 | | | | 6,250 | |
| Fannie Mae Pool 625666 | | | | | |
7.00% | | 01/01/32 | | | 4,489 | | | | 4,622 | |
| Fannie Mae Pool 633698 | | | | | |
7.50% | | 02/01/31 | | | 20,126 | | | | 21,248 | |
| Fannie Mae Pool 655928 | | | | | |
7.00% | | 08/01/32 | | | 69,293 | | | | 73,836 | |
| Fannie Mae Pool 725257 | | | | | |
5.50% | | 02/01/34 | | | 485,765 | | | | 501,749 | |
| Fannie Mae Pool 734830 | | | | | |
4.50% | | 08/01/33 | | | 6,530 | | | | 6,549 | |
| Fannie Mae Pool 734922 | | | | | |
4.50% | | 09/01/33 | | | 809,000 | | | | 812,336 | |
| Fannie Mae Pool 735207 | | | | | |
7.00% | | 04/01/34 | | | 10,316 | | | | 10,656 | |
| Fannie Mae Pool 735224 | | | | | |
5.50% | | 02/01/35 | | | 1,638,225 | | | | 1,692,141 | |
| Fannie Mae Pool 735651 | | | | | |
4.50% | | 06/01/35 | | | 1,884,646 | | | | 1,893,219 | |
| Fannie Mae Pool 740297 | | | | | |
5.50% | | 10/01/33 | | | 929 | | | | 960 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 202 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool 745147 | | | | | |
4.50% | | 12/01/35 | | $ | 11,419 | | | $ | 11,474 | |
| Fannie Mae Pool 753168 | | | | | |
4.50% | | 12/01/33 | | | 4,256 | | | | 4,274 | |
| Fannie Mae Pool 815422 | | | | | |
4.50% | | 02/01/35 | | | 18,950 | | | | 18,893 | |
| Fannie Mae Pool 839109 | | | | | |
| (LIBOR USD 12-Month plus 1.91%) | | | | | |
4.16% | | 11/01/352 | | | 3,277 | | | | 3,211 | |
| Fannie Mae Pool 844773 | | | | | |
| (LIBOR USD 12-Month plus 1.56%) | | | | | |
3.81% | | 12/01/352 | | | 1,548 | | | | 1,516 | |
| Fannie Mae Pool 888412 | | | | | |
7.00% | | 04/01/37 | | | 73,094 | | | | 75,979 | |
| Fannie Mae Pool 889184 | | | | | |
5.50% | | 09/01/36 | | | 1,717,874 | | | | 1,774,413 | |
| Fannie Mae Pool AB1613 | | | | | |
4.00% | | 10/01/40 | | | 15,785,293 | | | | 15,553,902 | |
| Fannie Mae Pool AB1803 | | | | | |
4.00% | | 11/01/40 | | | 19,023,475 | | | | 18,815,441 | |
| Fannie Mae Pool AB2127 | | | | | |
3.50% | | 01/01/26 | | | 3,708,650 | | | | 3,645,381 | |
| Fannie Mae Pool AB3679 | | | | | |
3.50% | | 10/01/41 | | | 6,449,674 | | | | 6,159,302 | |
| Fannie Mae Pool AB3864 | | | | | |
3.50% | | 11/01/41 | | | 4,914,004 | | | | 4,692,775 | |
| Fannie Mae Pool AB4045 | | | | | |
3.50% | | 12/01/41 | | | 6,359,886 | | | | 6,109,020 | |
| Fannie Mae Pool AB4262 | | | | | |
3.50% | | 01/01/32 | | | 3,192,331 | | | | 3,114,475 | |
| Fannie Mae Pool AB6385 | | | | | |
3.00% | | 10/01/42 | | | 214,636 | | | | 197,970 | |
| Fannie Mae Pool AB9703 | | | | | |
3.50% | | 06/01/43 | | | 11,422,813 | | | | 10,843,063 | |
| Fannie Mae Pool AC8279 | | | | | |
4.50% | | 08/01/39 | | | 6,551 | | | | 6,594 | |
| Fannie Mae Pool AE0138 | | | | | |
4.50% | | 03/01/40 | | | 28,150 | | | | 28,336 | |
| Fannie Mae Pool AE0482 | | | | | |
5.50% | | 01/01/38 | | | 4,002,242 | | | | 4,158,264 | |
| Fannie Mae Pool AH3780 | | | | | |
4.00% | | 02/01/41 | | | 7,549,624 | | | | 7,502,309 | |
| Fannie Mae Pool AJ1404 | | | | | |
4.00% | | 09/01/41 | | | 9,860,235 | | | | 9,685,085 | |
| Fannie Mae Pool AL0209 | | | | | |
4.50% | | 05/01/41 | | | 11,452,773 | | | | 11,560,260 | |
| Fannie Mae Pool AL0851 | | | | | |
6.00% | | 10/01/40 | | | 6,580,438 | | | | 6,970,278 | |
| Fannie Mae Pool AL2521 | | | | | |
3.50% | | 09/01/42 | | | 71,969 | | | | 68,891 | |
| Fannie Mae Pool AL4597 | | | | | |
4.00% | | 01/01/44 | | | 30,096,424 | | | | 29,767,154 | |
| Fannie Mae Pool AL6348 | | | | | |
3.50% | | 02/01/45 | | | 25,006 | | | | 23,702 | |
| Fannie Mae Pool AL7092 | | | | | |
3.00% | | 07/01/45 | | | 40,192 | | | | 37,075 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AL8037 | | | | | |
4.50% | | 07/01/34 | | $ | 97,795 | | | $ | 97,837 | |
| Fannie Mae Pool AL8256 | | | | | |
3.00% | | 08/01/43 | | | 370,988 | | | | 343,304 | |
| Fannie Mae Pool AL8356 | | | | | |
4.50% | | 07/01/34 | | | 229,291 | | | | 229,388 | |
| Fannie Mae Pool AL8960 | | | | | |
4.50% | | 05/01/46 | | | 17,446,921 | | | | 17,493,478 | |
| Fannie Mae Pool AL9106 | | | | | |
4.50% | | 02/01/46 | | | 22,349,461 | | | | 22,409,101 | |
| Fannie Mae Pool AL9217 | | | | | |
3.50% | | 10/01/46 | | | 15,499,621 | | | | 14,729,815 | |
| Fannie Mae Pool AL9472 | | | | | |
4.00% | | 10/01/43 | | | 3,791,289 | | | | 3,714,056 | |
| Fannie Mae Pool AL9722 | | | | | |
4.50% | | 08/01/46 | | | 71,413,350 | | | | 71,603,917 | |
| Fannie Mae Pool AL9846 | | | | | |
4.50% | | 02/01/47 | | | 75,552,194 | | | | 75,753,805 | |
| Fannie Mae Pool AS8605 | | | | | |
3.00% | | 01/01/32 | | | 112,799 | | | | 107,982 | |
| Fannie Mae Pool AS8663 | | | | | |
4.50% | | 01/01/47 | | | 14,229,761 | | | | 14,203,579 | |
| Fannie Mae Pool AS9830 | | | | | |
4.00% | | 06/01/47 | | | 23,376,650 | | | | 22,772,110 | |
| Fannie Mae Pool AS9972 | | | | | |
4.00% | | 07/01/47 | | | 22,123,432 | | | | 21,503,893 | |
| Fannie Mae Pool AT9649 | | | | | |
4.00% | | 07/01/43 | | | 129,788 | | | | 129,366 | |
| Fannie Mae Pool AU3739 | | | | | |
3.50% | | 08/01/43 | | | 22,049,872 | | | | 21,049,997 | |
| Fannie Mae Pool BD2450 | | | | | |
3.50% | | 01/01/47 | | | 42,551 | | | | 40,279 | |
| Fannie Mae Pool BM4299 | | | | | |
3.00% | | 03/01/30 | | | 17,829,064 | | | | 17,363,969 | |
| Fannie Mae Pool BM4304 | | | | | |
3.00% | | 02/01/30 | | | 22,590,096 | | | | 22,019,051 | |
| Fannie Mae Pool BM5164 | | | | | |
4.00% | | 11/01/48 | | | 27,366,608 | | | | 26,825,386 | |
| Fannie Mae Pool BM5507 | | | | | |
3.00% | | 09/01/48 | | | 5,736,780 | | | | 5,253,355 | |
| Fannie Mae Pool BN4316 | | | | | |
4.00% | | 01/01/49 | | | 17,835 | | | | 17,550 | |
| Fannie Mae Pool BQ6913 | | | | | |
2.00% | | 12/01/51 | | | 452,714,869 | | | | 374,678,913 | |
| Fannie Mae Pool BQ7006 | | | | | |
2.00% | | 01/01/52 | | | 107,174,432 | | | | 88,666,930 | |
| Fannie Mae Pool BT6823 | | | | | |
2.50% | | 10/01/51 | | | 110,194,180 | | | | 95,164,946 | |
| Fannie Mae Pool BU1450 | | | | | |
2.00% | | 01/01/52 | | | 182,344,403 | | | | 150,856,114 | |
| Fannie Mae Pool BU1452 | | | | | |
2.00% | | 01/01/52 | | | 271,717,452 | | | | 224,827,785 | |
| Fannie Mae Pool BV2994 | | | | | |
2.50% | | 04/01/52 | | | 2,738,938 | | | | 2,364,020 | |
| Fannie Mae Pool BV7773 | | | | | |
2.50% | | 04/01/52 | | | 98,889,875 | | | | 85,384,267 | |
See accompanying Notes to Financial Statements.
|
| 203 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool BV8459 | | | | | |
3.00% | | 04/01/52 | | $ | 143,235,939 | | | $ | 128,472,727 | |
| Fannie Mae Pool CA0862 | | | | | |
3.50% | | 09/01/47 | | | 2,252,743 | | | | 2,121,146 | |
| Fannie Mae Pool CA0996 | | | | | |
3.50% | | 01/01/48 | | | 31,559 | | | | 29,873 | |
| Fannie Mae Pool CA1187 | | | | | |
3.50% | | 02/01/48 | | | 36,263,803 | | | | 34,164,549 | |
| Fannie Mae Pool CA1191 | | | | | |
3.50% | | 11/01/47 | | | 2,622,401 | | | | 2,468,391 | |
| Fannie Mae Pool CA1710 | | | | | |
4.50% | | 05/01/48 | | | 79,873 | | | | 79,448 | |
| Fannie Mae Pool CA1711 | | | | | |
4.50% | | 05/01/48 | | | 8,061,167 | | | | 8,018,246 | |
| Fannie Mae Pool CA2208 | | | | | |
4.50% | | 08/01/48 | | | 17,625,957 | | | | 17,532,109 | |
| Fannie Mae Pool CA2327 | | | | | |
4.00% | | 09/01/48 | | | 24,521,579 | | | | 24,035,048 | |
| Fannie Mae Pool CA2493 | | | | | |
4.50% | | 10/01/48 | | | 4,673,135 | | | | 4,638,250 | |
| Fannie Mae Pool CA3633 | | | | | |
3.50% | | 06/01/49 | | | 17,723,580 | | | | 16,808,143 | |
| Fannie Mae Pool CA4011 | | | | | |
3.50% | | 08/01/49 | | | 15,643,394 | | | | 14,441,143 | |
| Fannie Mae Pool CA5689 | | | | | |
3.00% | | 05/01/50 | | | 59,630,459 | | | | 54,207,933 | |
| Fannie Mae Pool CB2313 | | | | | |
2.50% | | 12/01/51 | | | 156,357,342 | | | | 135,212,898 | |
| Fannie Mae Pool CB2365 | | | | | |
2.00% | | 09/01/51 | | | 162,696,359 | | | | 134,979,934 | |
| Fannie Mae Pool CB2767 | | | | | |
2.00% | | 01/01/52 | | | 72,150,335 | | | | 59,767,972 | |
| Fannie Mae Pool FM2310 | | | | | |
3.00% | | 01/01/48 | | | 8,983,098 | | | | 8,223,300 | |
| Fannie Mae Pool FM2318 | | | | | |
3.50% | | 09/01/49 | | | 153,663,311 | | | | 144,551,108 | |
| Fannie Mae Pool FM2388 | | | | | |
3.50% | | 04/01/48 | | | 15,888,785 | | | | 15,099,651 | |
| Fannie Mae Pool FM9672 | | | | | |
2.50% | | 12/01/51 | | | 123,743,625 | | | | 106,782,215 | |
| Fannie Mae Pool FS1598 | | | | | |
2.00% | | 04/01/52 | | | 101,369,390 | | | | 83,774,247 | |
| Fannie Mae Pool FS1622 | | | | | |
2.00% | | 03/01/52 | | | 201,159,723 | | | | 166,485,158 | |
| Fannie Mae Pool FS2536 | | | | | |
2.50% | | 02/01/52 | | | 3,800,226 | | | | 3,282,837 | |
| Fannie Mae Pool FS2943 | | | | | |
2.00% | | 02/01/51 | | | 42,246,120 | | | | 35,082,834 | |
| Fannie Mae Pool MA1146 | | | | | |
4.00% | | 08/01/42 | | | 18,275,332 | | | | 17,876,870 | |
| Fannie Mae Pool MA1177 | | | | | |
3.50% | | 09/01/42 | | | 24,220,716 | | | | 23,030,755 | |
| Fannie Mae Pool MA1404 | | | | | |
3.50% | | 04/01/43 | | | 50,100 | | | | 47,565 | |
| Fannie Mae Pool MA1432 | | | | | |
3.00% | | 05/01/33 | | | 39,442 | | | | 37,660 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool MA1459 | | | | | |
3.00% | | 06/01/33 | | $ | 18,757 | | | $ | 17,910 | |
| Fannie Mae Pool MA1527 | | | | | |
3.00% | | 08/01/33 | | | 27,264,606 | | | | 26,033,239 | |
| Fannie Mae Pool MA1561 | | | | | |
3.00% | | 09/01/33 | | | 17,363,930 | | | | 16,579,713 | |
| Fannie Mae Pool MA1582 | | | | | |
3.50% | | 09/01/43 | | | 8,377,348 | | | | 7,952,187 | |
| Fannie Mae Pool MA1584 | | | | | |
3.50% | | 09/01/33 | | | 26,348,027 | | | | 25,653,763 | |
| Fannie Mae Pool MA1608 | | | | | |
3.50% | | 10/01/33 | | | 18,248,656 | | | | 17,767,808 | |
| Fannie Mae Pool MA1982 | | | | | |
3.50% | | 08/01/34 | | | 36,444 | | | | 35,528 | |
| Fannie Mae Pool MA2895 | | | | | |
3.00% | | 02/01/47 | | | 40,675 | | | | 37,248 | |
| Fannie Mae Pool MA2960 | | | | | |
4.00% | | 04/01/47 | | | 20,445,095 | | | | 19,872,556 | |
| Fannie Mae Pool MA3027 | | | | | |
4.00% | | 06/01/47 | | | 15,147,830 | | | | 14,723,634 | |
| Fannie Mae Pool MA3029 | | | | | |
3.00% | | 06/01/32 | | | 17,360,965 | | | | 16,628,886 | |
| Fannie Mae Pool MA3060 | | | | | |
3.00% | | 07/01/32 | | | 7,715 | | | | 7,392 | |
| Fannie Mae Pool MA3120 | | | | | |
3.50% | | 09/01/47 | | | 1,168,440 | | | | 1,100,184 | |
| Fannie Mae Pool MA3182 | | | | | |
3.50% | | 11/01/47 | | | 24,719,512 | | | | 23,288,539 | |
| Fannie Mae Pool MA3210 | | | | | |
3.50% | | 12/01/47 | | | 43,071,866 | | | | 40,731,502 | |
| Fannie Mae Pool MA3238 | | | | | |
3.50% | | 01/01/48 | | | 37,048,733 | | | | 34,904,041 | |
| Fannie Mae Pool MA3276 | | | | | |
3.50% | | 02/01/48 | | | 14,545,933 | | | | 13,703,893 | |
| Fannie Mae Pool MA3305 | | | | | |
3.50% | | 03/01/48 | | | 19,505,987 | | | | 18,371,657 | |
| Fannie Mae Pool MA3332 | | | | | |
3.50% | | 04/01/48 | | | 53,353,112 | | | | 50,250,474 | |
| Fannie Mae Pool MA3364 | | | | | |
3.50% | | 05/01/33 | | | 6,460,275 | | | | 6,288,725 | |
| Fannie Mae Pool MA3537 | | | | | |
4.50% | | 12/01/48 | | | 10,439,511 | | | | 10,383,927 | |
| Fannie Mae Pool MA3811 | | | | | |
3.00% | | 10/01/49 | | | 5,767,623 | | | | 5,115,378 | |
| Fannie Mae Pool MA3846 | | | | | |
3.00% | | 11/01/49 | | | 32,227 | | | | 28,582 | |
| Fannie Mae Pool MA3942 | | | | | |
3.00% | | 02/01/50 | | | 11,560,768 | | | | 10,160,784 | |
| Fannie Mae Pool MA3997 | | | | | |
3.00% | | 04/01/50 | | | 14,150,244 | | | | 12,588,219 | |
| Fannie Mae Pool MA4093 | | | | | |
2.00% | | 08/01/40 | | | 154,071,221 | | | | 131,812,526 | |
| Fannie Mae Pool MA4128 | | | | | |
2.00% | | 09/01/40 | | | 127,452,260 | | | | 109,017,218 | |
| Fannie Mae Pool MA4152 | | | | | |
2.00% | | 10/01/40 | | | 159,623,012 | | | | 136,519,728 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 204 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool MA4176 | | | | | |
2.00% | | 11/01/40 | | $ | 39,568,431 | | | $ | 33,831,907 | |
| Fannie Mae Pool MA4333 | | | | | |
2.00% | | 05/01/41 | | | 73,536,464 | | | | 62,869,433 | |
| Fannie Mae Pool MA4492 | | | | | |
2.00% | | 12/01/51 | | | 95,491,523 | | | | 79,189,998 | |
| Fannie Mae Pool MA4493 | | | | | |
2.50% | | 12/01/51 | | | 156,117,601 | | | | 134,768,227 | |
| Fannie Mae Pool MA4547 | | | | | |
2.00% | | 02/01/52 | | | 18,879,564 | | | | 15,603,645 | |
| Fannie Mae Pool MA4548 | | | | | |
2.50% | | 02/01/52 | | | 182,753,567 | | | | 157,536,435 | |
| Fannie Mae Pool MA4563 | | | | | |
2.50% | | 03/01/52 | | | 223,303,111 | | | | 192,479,118 | |
| Fannie Mae Pool MA4578 | | | | | |
2.50% | | 04/01/52 | | | 359,960,659 | | | | 310,272,928 | |
| Fannie Mae REMICS, | | | | | |
| Series 1994-55, Class H | | | | | |
7.00% | | 03/25/24 | | | 863 | | | | 863 | |
| Fannie Mae REMICS, | | | | | |
| Series 1997-34, Class SA | | | | | |
| (Cost of Funds for the 11th District of San Francisco plus 0.00%) | | | | | |
29.51% | | 10/25/232 | | | 125 | | | | 131 | |
| Fannie Mae REMICS, | | | | | |
| Series 1998-37, Class VZ | | | | | |
6.00% | | 06/17/28 | | | 274 | | | | 274 | |
| Fannie Mae REMICS, | | | | | |
| Series 1999-11, Class Z | | | | | |
5.50% | | 03/25/29 | | | 14,923 | | | | 14,501 | |
| Fannie Mae REMICS, | | | | | |
| Series 2001-52, Class YZ | | | | | |
6.50% | | 10/25/31 | | | 58,725 | | | | 61,109 | |
| Fannie Mae REMICS, | | | | | |
| Series 2005-122, Class SG (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
1.75% | | 11/25/352 | | | 19,730 | | | | 666 | |
| Fannie Mae REMICS, | | | | | |
| Series 2005-92, Class US (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) | | | | | |
1.25% | | 10/25/252 | | | 625,134 | | | | 5,591 | |
| Fannie Mae REMICS, | | | | | |
| Series 2006-4, Class WE | | | | | |
4.50% | | 02/25/36 | | | 22,546 | | | | 22,465 | |
| Fannie Mae REMICS, | | | | | |
| Series 2006-49, Class SE | | | | | |
| (-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap) | | | | | |
9.62% | | 04/25/362 | | | 773,425 | | | | 877,564 | |
| Fannie Mae REMICS, | | | | | |
| Series 2007-17, Class SI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | | | | | |
1.55% | | 03/25/372 | | | 673,265 | | | | 63,369 | |
| Fannie Mae REMICS, | | | | | |
| Series 2007-34, Class SB (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap) | | | | | |
1.26% | | 04/25/372 | | | 1,532,358 | | | | 129,817 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, | | | | | |
| Series 2007-64, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.47%) | | | | | |
5.32% | | 07/25/372 | | $ | 1,972 | | | $ | 1,955 | |
| Fannie Mae REMICS, | | | | | |
| Series 2008-24, Class NA | | | | | |
6.75% | | 06/25/37 | | | 144,024 | | | | 151,412 | |
| Fannie Mae REMICS, | | | | | |
| Series 2010-116, Class SE (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
1.75% | | 10/25/402 | | | 2,005,463 | | | | 203,644 | |
| Fannie Mae REMICS, | | | | | |
| Series 2010-17, Class SB (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) | | | | | |
1.50% | | 03/25/402 | | | 4,081,131 | | | | 459,581 | |
| Fannie Mae REMICS, | | | | | |
| Series 2010-43, Class KS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
1.57% | | 05/25/402 | | | 7,198,496 | | | | 797,555 | |
| Fannie Mae REMICS, | | | | | |
| Series 2011-101, Class HE | | | | | |
4.00% | | 10/25/41 | | | 8,638,747 | | | | 8,536,360 | |
| Fannie Mae REMICS, | | | | | |
| Series 2011-111, Class DB | | | | | |
4.00% | | 11/25/41 | | | 7,259,670 | | | | 7,077,798 | |
| Fannie Mae REMICS, | | | | | |
| Series 2012-84, Class VZ | | | | | |
3.50% | | 08/25/42 | | | 6,269,047 | | | | 5,961,732 | |
| Fannie Mae REMICS, | | | | | |
| Series 2013-101, Class BO (PO) | | | | | |
0.00% | | 10/25/4310 | | | 9,623,509 | | | | 7,330,575 | |
| Fannie Mae REMICS, | | | | | |
| Series 2013-101, Class CO (PO) | | | | | |
0.00% | | 10/25/4310 | | | 5,552,272 | | | | 4,325,349 | |
| Fannie Mae REMICS, | | | | | |
| Series 2016-45, Class AF | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 07/25/462 | | | 7,237,929 | | | | 7,094,031 | |
| Fannie Mae REMICS, | | | | | |
| Series 2016-72, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 10/25/462 | | | 14,671,474 | | | | 14,405,879 | |
| Fannie Mae REMICS, | | | | | |
| Series 2016-74, Class GF | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 10/25/462 | | | 11,809,330 | | | | 11,505,915 | |
| Fannie Mae REMICS, | | | | | |
| Series 2016-75, Class FL | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 10/25/462 | | | 11,743,807 | | | | 11,443,801 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-29, Class AP | | | | | |
3.50% | | 11/25/46 | | | 25,208,742 | | | | 24,616,528 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-38, Class LA | | | | | |
3.00% | | 06/25/48 | | | 14,169,451 | | | | 13,134,949 | |
See accompanying Notes to Financial Statements.
|
| 205 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-38, Class PA | | | | | |
3.50% | | 06/25/47 | | $ | 19,100 | | | $ | 18,518 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-45, Class GA | | | | | |
3.00% | | 06/25/48 | | | 15,966,278 | | | | 14,801,638 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-55, Class PA | | | | | |
3.50% | | 01/25/47 | | | 8,248,657 | | | | 8,042,948 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-57, Class QA | | | | | |
3.50% | | 05/25/46 | | | 18,099 | | | | 17,660 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-86, Class JA | | | | | |
4.00% | | 05/25/47 | | | 651,017 | | | | 637,907 | |
| Fannie Mae REMICS, | | | | | |
| Series 2018-94, Class KD | | | | | |
3.50% | | 12/25/48 | | | 3,615,780 | | | | 3,427,720 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-1, Class AB | | | | | |
3.50% | | 02/25/49 | | | 1,356,816 | | | | 1,282,938 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-1, Class KP | | | | | |
3.25% | | 02/25/49 | | | 1,393,567 | | | | 1,301,147 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-26, Class JE | | | | | |
3.00% | | 06/25/49 | | | 4,370,629 | | | | 4,134,743 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-45, Class PA | | | | | |
3.00% | | 08/25/49 | | | 15,307,757 | | | | 14,051,382 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-52, Class PA | | | | | |
3.00% | | 09/25/49 | | | 4,446,818 | | | | 4,024,771 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-67, Class FE | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
5.30% | | 11/25/492 | | | 28,473,138 | | | | 27,809,290 | |
| Fannie Mae REMICS, | | | | | |
| Series 2019-79, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.35% | | 01/25/502 | | | 77,407 | | | | 75,856 | |
| Fannie Mae REMICS, | | | | | |
| Series G93-21, Class Z | | | | | |
7.20% | | 05/25/23 | | | 8 | | | | 8 | |
| Fannie Mae Trust, | | | | | |
| Series 2003-W2, Class 2A9 | | | | | |
5.90% | | 07/25/42 | | | 16,795 | | | | 17,066 | |
| Freddie Mac Gold Pool A24156 | | | | | |
6.50% | | 10/01/31 | | | 63,259 | | | | 65,394 | |
| Freddie Mac Gold Pool A25162 | | | | | |
5.50% | | 05/01/34 | | | 877,907 | | | | 911,346 | |
| Freddie Mac Gold Pool A39012 | | | | | |
5.50% | | 06/01/35 | | | 20,022 | | | | 20,856 | |
| Freddie Mac Gold Pool A54856 | | | | | |
5.00% | | 01/01/34 | | | 1,834,764 | | | | 1,877,424 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Freddie Mac Gold Pool A61164 | | | | | |
5.00% | | 04/01/36 | | $ | 5,659 | | | $ | 5,761 | |
| Freddie Mac Gold Pool A97038 | | | | | |
4.00% | | 02/01/41 | | | 5,974,991 | | | | 5,869,258 | |
| Freddie Mac Gold Pool C01492 | | | | | |
5.00% | | 02/01/33 | | | 216,450 | | | | 219,854 | |
| Freddie Mac Gold Pool C04546 | | | | | |
3.00% | | 02/01/43 | | | 10,564,350 | | | | 9,764,842 | |
| Freddie Mac Gold Pool C04573 | | | | | |
3.00% | | 03/01/43 | | | 13,013,459 | | | | 12,028,553 | |
| Freddie Mac Gold Pool C46104 | | | | | |
6.50% | | 09/01/29 | | | 6,065 | | | | 6,279 | |
| Freddie Mac Gold Pool C55789 | | | | | |
7.50% | | 10/01/27 | | | 1,280 | | | | 1,280 | |
| Freddie Mac Gold Pool G00992 | | | | | |
7.00% | | 11/01/28 | | | 315 | | | | 324 | |
| Freddie Mac Gold Pool G01515 | | | | | |
5.00% | | 02/01/33 | | | 311,153 | | | | 315,802 | |
| Freddie Mac Gold Pool G02579 | | | | | |
5.00% | | 12/01/34 | | | 403,103 | | | | 412,487 | |
| Freddie Mac Gold Pool G02884 | | | | | |
6.00% | | 04/01/37 | | | 1,166,575 | | | | 1,235,776 | |
| Freddie Mac Gold Pool G02955 | | | | | |
5.50% | | 03/01/37 | | | 1,801,972 | | | | 1,891,585 | |
| Freddie Mac Gold Pool G03357 | | | | | |
5.50% | | 08/01/37 | | | 606,588 | | | | 634,215 | |
| Freddie Mac Gold Pool G03676 | | | | | |
5.50% | | 12/01/37 | | | 1,064,678 | | | | 1,117,737 | |
| Freddie Mac Gold Pool G03783 | | | | | |
5.50% | | 01/01/38 | | | 970,452 | | | | 1,018,814 | |
| Freddie Mac Gold Pool G03985 | | | | | |
6.00% | | 03/01/38 | | | 7,243 | | | | 7,652 | |
| Freddie Mac Gold Pool G04438 | | | | | |
5.50% | | 05/01/38 | | | 2,729,450 | | | | 2,862,640 | |
| Freddie Mac Gold Pool G04703 | | | | | |
5.50% | | 08/01/38 | | | 2,020,108 | | | | 2,118,684 | |
| Freddie Mac Gold Pool G04706 | | | | | |
5.50% | | 09/01/38 | | | 84,607 | | | | 88,735 | |
| Freddie Mac Gold Pool G05866 | | | | | |
4.50% | | 02/01/40 | | | 8,702,546 | | | | 8,769,655 | |
| Freddie Mac Gold Pool G06361 | | | | | |
4.00% | | 03/01/41 | | | 11,985 | | | | 11,914 | |
| Freddie Mac Gold Pool G06498 | | | | | |
4.00% | | 04/01/41 | | | 11,389,575 | | | | 11,234,570 | |
| Freddie Mac Gold Pool G06499 | | | | | |
4.00% | | 03/01/41 | | | 5,015,107 | | | | 4,940,387 | |
| Freddie Mac Gold Pool G07408 | | | | | |
3.50% | | 06/01/43 | | | 12,490,682 | | | | 12,000,095 | |
| Freddie Mac Gold Pool G07786 | | | | | |
4.00% | | 08/01/44 | | | 94,695,364 | | | | 93,106,442 | |
| Freddie Mac Gold Pool G07848 | | | | | |
3.50% | | 04/01/44 | | | 59,018,335 | | | | 56,275,965 | |
| Freddie Mac Gold Pool G07849 | | | | | |
3.50% | | 05/01/44 | | | 7,733,393 | | | | 7,354,717 | |
| Freddie Mac Gold Pool G07924 | | | | | |
3.50% | | 01/01/45 | | | 8,618,305 | | | | 8,204,377 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 206 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G07925 | | | | | |
4.00% | | 02/01/45 | | $ | 6,202,362 | | | $ | 6,121,849 | |
| Freddie Mac Gold Pool G08676 | | | | | |
3.50% | | 11/01/45 | | | 20,683,068 | | | | 19,583,170 | |
| Freddie Mac Gold Pool G08681 | | | | | |
3.50% | | 12/01/45 | | | 13,886,424 | | | | 13,147,962 | |
| Freddie Mac Gold Pool G08698 | | | | | |
3.50% | | 03/01/46 | | | 713 | | | | 674 | |
| Freddie Mac Gold Pool G08710 | | | | | |
3.00% | | 06/01/46 | | | 83,361,148 | | | | 76,412,916 | |
| Freddie Mac Gold Pool G08711 | | | | | |
3.50% | | 06/01/46 | | | 5,874,083 | | | | 5,544,059 | |
| Freddie Mac Gold Pool G08715 | | | | | |
3.00% | | 08/01/46 | | | 113,691,751 | | | | 104,215,434 | |
| Freddie Mac Gold Pool G08721 | | | | | |
3.00% | | 09/01/46 | | | 11,545,470 | | | | 10,578,379 | |
| Freddie Mac Gold Pool G08722 | | | | | |
3.50% | | 09/01/46 | | | 26,426,405 | | | | 24,941,689 | |
| Freddie Mac Gold Pool G08726 | | | | | |
3.00% | | 10/01/46 | | | 123,091,064 | | | | 112,780,514 | |
| Freddie Mac Gold Pool G08727 | | | | | |
3.50% | | 10/01/46 | | | 23,147,440 | | | | 21,846,947 | |
| Freddie Mac Gold Pool G08732 | | | | | |
3.00% | | 11/01/46 | | | 76,035,650 | | | | 69,666,630 | |
| Freddie Mac Gold Pool G08741 | | | | | |
3.00% | | 01/01/47 | | | 48,333,888 | | | | 44,239,954 | |
| Freddie Mac Gold Pool G08742 | | | | | |
3.50% | | 01/01/47 | | | 36,982,968 | | | | 34,905,153 | |
| Freddie Mac Gold Pool G08747 | | | | | |
3.00% | | 02/01/47 | | | 17,046,989 | | | | 15,603,090 | |
| Freddie Mac Gold Pool G08757 | | | | | |
3.50% | | 04/01/47 | | | 13,600,134 | | | | 12,825,735 | |
| Freddie Mac Gold Pool G08758 | | | | | |
4.00% | | 04/01/47 | | | 10,512 | | | | 10,257 | |
| Freddie Mac Gold Pool G08762 | | | | | |
4.00% | | 05/01/47 | | | 10,502,311 | | | | 10,240,898 | |
| Freddie Mac Gold Pool G08779 | | | | | |
3.50% | | 09/01/47 | | | 52,553 | | | | 49,536 | |
| Freddie Mac Gold Pool G08784 | | | | | |
3.50% | | 10/01/47 | | | 46,334 | | | | 43,695 | |
| Freddie Mac Gold Pool G08792 | | | | | |
3.50% | | 12/01/47 | | | 39,804 | | | | 37,538 | |
| Freddie Mac Gold Pool G08826 | | | | | |
5.00% | | 06/01/48 | | | 7,165,960 | | | | 7,258,898 | |
| Freddie Mac Gold Pool G08833 | | | | | |
5.00% | | 07/01/48 | | | 4,582,569 | | | | 4,642,003 | |
| Freddie Mac Gold Pool G08838 | | | | | |
5.00% | | 09/01/48 | | | 2,401,310 | | | | 2,437,355 | |
| Freddie Mac Gold Pool G08840 | | | | | |
5.00% | | 08/01/48 | | | 699,350 | | | | 709,369 | |
| Freddie Mac Gold Pool G08843 | | | | | |
4.50% | | 10/01/48 | | | 5,465,069 | | | | 5,430,091 | |
| Freddie Mac Gold Pool G08844 | | | | | |
5.00% | | 10/01/48 | | | 6,125,293 | | | | 6,204,734 | |
| Freddie Mac Gold Pool G08848 | | | | | |
4.50% | | 11/01/48 | | | 980,106 | | | | 978,313 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G08849 | | | | | |
5.00% | | 11/01/48 | | $ | 2,439,953 | | | $ | 2,474,524 | |
| Freddie Mac Gold Pool G16085 | | | | | |
2.50% | | 02/01/32 | | | 2,495,448 | | | | 2,358,638 | |
| Freddie Mac Gold Pool G16502 | | | | | |
3.50% | | 05/01/33 | | | 44,130 | | | | 43,004 | |
| Freddie Mac Gold Pool G16524 | | | | | |
3.50% | | 05/01/33 | | | 17,384,732 | | | | 16,963,014 | |
| Freddie Mac Gold Pool G16584 | | | | | |
3.50% | | 08/01/33 | | | 2,527,435 | | | | 2,462,866 | |
| Freddie Mac Gold Pool G16607 | | | | | |
3.50% | | 09/01/33 | | | 25,175,025 | | | | 24,570,312 | |
| Freddie Mac Gold Pool G16623 | | | | | |
2.50% | | 09/01/32 | | | 19,377,629 | | | | 18,315,380 | |
| Freddie Mac Gold Pool G16755 | | | | | |
3.50% | | 02/01/34 | | | 24,483,970 | | | | 23,892,281 | |
| Freddie Mac Gold Pool G16756 | | | | | |
3.50% | | 01/01/34 | | | 2,305,408 | | | | 2,250,031 | |
| Freddie Mac Gold Pool G18592 | | | | | |
3.00% | | 03/01/31 | | | 17,299 | | | | 16,641 | |
| Freddie Mac Gold Pool G18596 | | | | | |
3.00% | | 04/01/31 | | | 20,111,906 | | | | 19,285,340 | |
| Freddie Mac Gold Pool G18691 | | | | | |
3.00% | | 06/01/33 | | | 7,347,904 | | | | 7,034,558 | |
| Freddie Mac Gold Pool G18692 | | | | | |
3.50% | | 06/01/33 | | | 10,029,230 | | | | 9,787,084 | |
| Freddie Mac Gold Pool G18713 | | | | | |
3.50% | | 11/01/33 | | | 11,681,588 | | | | 11,379,506 | |
| Freddie Mac Gold Pool G18716 | | | | | |
3.50% | | 12/01/33 | | | 34,190 | | | | 33,369 | |
| Freddie Mac Gold Pool G60023 | | | | | |
3.50% | | 04/01/45 | | | 9,401,745 | | | | 8,970,756 | |
| Freddie Mac Gold Pool G60080 | | | | | |
3.50% | | 06/01/45 | | | 96,276,693 | | | | 91,652,629 | |
| Freddie Mac Gold Pool G60138 | | | | | |
3.50% | | 08/01/45 | | | 77,570,065 | | | | 74,014,145 | |
| Freddie Mac Gold Pool G60238 | | | | | |
3.50% | | 10/01/45 | | | 29,673,857 | | | | 28,119,713 | |
| Freddie Mac Gold Pool G60344 | | | | | |
4.00% | | 12/01/45 | | | 71,501 | | | | 69,899 | |
| Freddie Mac Gold Pool G67700 | | | | | |
3.50% | | 08/01/46 | | | 22,598,126 | | | | 21,386,477 | |
| Freddie Mac Gold Pool G67703 | | | | | |
3.50% | | 04/01/47 | | | 162,634,600 | | | | 153,913,614 | |
| Freddie Mac Gold Pool G67706 | | | | | |
3.50% | | 12/01/47 | | | 94,906,618 | | | | 89,817,121 | |
| Freddie Mac Gold Pool G67707 | | | | | |
3.50% | | 01/01/48 | | | 296,083,092 | | | | 281,006,627 | |
| Freddie Mac Gold Pool G67708 | | | | | |
3.50% | | 03/01/48 | | | 262,267,576 | | | | 248,080,044 | |
| Freddie Mac Gold Pool G67709 | | | | | |
3.50% | | 03/01/48 | | | 194,741,283 | | | | 184,840,363 | |
| Freddie Mac Gold Pool G67711 | | | | | |
4.00% | | 03/01/48 | | | 48,272,916 | | | | 47,161,225 | |
| Freddie Mac Gold Pool G67713 | | | | | |
4.00% | | 06/01/48 | | | 430,222 | | | | 420,045 | |
See accompanying Notes to Financial Statements.
|
| 207 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G67714 | | | | | |
4.00% | | 07/01/48 | | $ | 71,245 | | | $ | 69,582 | |
| Freddie Mac Gold Pool G67717 | | | | | |
4.00% | | 11/01/48 | | | 59,525,916 | | | | 58,117,872 | |
| Freddie Mac Gold Pool H00790 | | | | | |
5.50% | | 05/01/37 | | | 4,060 | | | | 4,204 | |
| Freddie Mac Gold Pool H05069 | | | | | |
5.50% | | 05/01/37 | | | 64,046 | | | | 66,305 | |
| Freddie Mac Gold Pool Q05804 | | | | | |
4.00% | | 01/01/42 | | | 20,067,597 | | | | 19,867,033 | |
| Freddie Mac Gold Pool U99097 | | | | | |
3.50% | | 07/01/43 | | | 28,078,397 | | | | 26,663,199 | |
| Freddie Mac Gold Pool V62078 | | | | | |
3.50% | | 08/01/33 | | | 2,737,104 | | | | 2,671,199 | |
| Freddie Mac Gold Pool V62129 | | | | | |
3.50% | | 08/01/33 | | | 5,863,834 | | | | 5,722,647 | |
| Freddie Mac Gold Pool V80356 | | | | | |
3.50% | | 08/01/43 | | | 20,045,355 | | | | 19,152,831 | |
| Freddie Mac Pool QD3162 | | | | | |
2.00% | | 12/01/51 | | | 142,244,405 | | | | 117,973,431 | |
| Freddie Mac Pool QE0312 | | | | | |
2.00% | | 04/01/52 | | | 6,688,457 | | | | 5,526,990 | |
| Freddie Mac Pool QE0521 | | | | | |
2.50% | | 04/01/52 | | | 3,072,544 | | | | 2,651,128 | |
| Freddie Mac Pool RA4201 | | | | | |
2.00% | | 12/01/50 | | | 8,919,628 | | | | 7,407,209 | |
| Freddie Mac Pool RA6507 | | | | | |
2.00% | | 12/01/51 | | | 128,982,945 | | | | 106,997,312 | |
| Freddie Mac Pool RB5077 | | | | | |
2.00% | | 10/01/40 | | | 95,931,475 | | | | 82,051,603 | |
| Freddie Mac Pool RE6029 | | | | | |
3.00% | | 02/01/50 | | | 3,901,962 | | | | 3,471,230 | |
| Freddie Mac Pool SD1178 | | | | | |
2.00% | | 03/01/52 | | | 16,781,753 | | | | 13,885,870 | |
| Freddie Mac Pool SD7502 | | | | | |
3.50% | | 07/01/49 | | | 7,129,911 | | | | 6,744,313 | |
| Freddie Mac Pool SD7503 | | | | | |
3.50% | | 08/01/49 | | | 15,768,557 | | | | 14,902,855 | |
| Freddie Mac Pool SD7511 | | | | | |
3.50% | | 01/01/50 | | | 15,766,233 | | | | 14,892,037 | |
| Freddie Mac Pool SD8182 | | | | | |
2.00% | | 12/01/51 | | | 27,300,715 | | | | 22,580,658 | |
| Freddie Mac Pool SD8188 | | | | | |
2.00% | | 01/01/52 | | | 49,617,337 | | | | 41,094,404 | |
| Freddie Mac Pool SD8189 | | | | | |
2.50% | | 01/01/52 | | | 367,714,193 | | | | 317,379,746 | |
| Freddie Mac Pool SD8193 | | | | | |
2.00% | | 02/01/52 | | | 20,586,776 | | | | 17,034,293 | |
| Freddie Mac Pool SD8199 | | | | | |
2.00% | | 03/01/52 | | | 185,757,753 | | | | 153,500,473 | |
| Freddie Mac Pool SD8205 | | | | | |
2.50% | | 04/01/52 | | | 431,614,633 | | | | 372,004,910 | |
| Freddie Mac Pool ZA5103 | | | | | |
3.50% | | 12/01/47 | | | 121,774 | | | | 114,727 | |
| Freddie Mac Pool ZA5128 | | | | | |
3.50% | | 12/01/47 | | | 388,018 | | | | 365,230 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Pool ZM1779 | | | | | |
3.00% | | 09/01/46 | | $ | 12,681,371 | | | $ | 11,606,452 | |
| Freddie Mac Pool ZM2285 | | | | | |
3.00% | | 12/01/46 | | | 14,788,357 | | | | 13,542,229 | |
| Freddie Mac Pool ZS4693 | | | | | |
3.00% | | 12/01/46 | | | 14,694,290 | | | | 13,456,088 | |
| Freddie Mac Pool ZS4768 | | | | | |
3.50% | | 05/01/48 | | | 1,019,581 | | | | 959,384 | |
| Freddie Mac Pool ZT0277 | | | | | |
3.50% | | 10/01/46 | | | 1,559,098 | | | | 1,473,868 | |
| Freddie Mac Pool ZT1403 | | | | | |
3.50% | | 11/01/33 | | | 13,451,387 | | | | 13,094,191 | |
| Freddie Mac REMICS, | | | | | |
| Series 1980, Class Z | | | | | |
7.00% | | 07/15/27 | | | 25,980 | | | | 26,472 | |
| Freddie Mac REMICS, | | | | | |
| Series 1983, Class Z | | | | | |
6.50% | | 12/15/23 | | | 1,902 | | | | 1,905 | |
| Freddie Mac REMICS, | | | | | |
| Series 2098, Class TZ | | | | | |
6.00% | | 01/15/28 | | | 119,146 | | | | 120,471 | |
| Freddie Mac REMICS, | | | | | |
| Series 2174, Class PN | | | | | |
6.00% | | 07/15/29 | | | 7,264 | | | | 7,388 | |
| Freddie Mac REMICS, | | | | | |
| Series 2313, Class LA | | | | | |
6.50% | | 05/15/31 | | | 2,733 | | | | 2,828 | |
| Freddie Mac REMICS, | | | | | |
| Series 2433, Class SA | | | | | |
| (-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap) | | | | | |
8.75% | | 02/15/322 | | | 4,337 | | | | 5,248 | |
| Freddie Mac REMICS, | | | | | |
| Series 2481, Class AW | | | | | |
6.50% | | 08/15/32 | | | 10,116 | | | | 10,301 | |
| Freddie Mac REMICS, | | | | | |
| Series 3019, Class SW (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
2.52% | | 08/15/352 | | | 622,971 | | | | 92,774 | |
| Freddie Mac REMICS, | | | | | |
| Series 3063, Class YG | | | | | |
5.50% | | 11/15/35 | | | 1,627,327 | | | | 1,679,256 | |
| Freddie Mac REMICS, | | | | | |
| Series 3300, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
2.52% | | 08/15/352 | | | 275,429 | | | | 26,959 | |
| Freddie Mac REMICS, | | | | | |
| Series 3752, Class XL | | | | | |
4.50% | | 11/15/40 | | | 26,658,333 | | | | 26,716,702 | |
| Freddie Mac REMICS, | | | | | |
| Series 3891, Class HS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap) | | | | | |
1.27% | | 07/15/412 | | | 3,424,819 | | | | 113,730 | |
| Freddie Mac REMICS, | | | | | |
| Series 3904, Class JB | | | | | |
4.50% | | 08/15/41 | | | 6,286,535 | | | | 6,258,158 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 208 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac REMICS, | | | | | |
| Series 3925, Class LB | | | | | |
4.50% | | 09/15/41 | | $ | 9,215,000 | | | $ | 9,330,364 | |
| Freddie Mac REMICS, | | | | | |
| Series 3928, Class JD | | | | | |
4.00% | | 09/15/41 | | | 18,687,924 | | | | 18,167,661 | |
| Freddie Mac REMICS, | | | | | |
| Series 4102, Class TC | | | | | |
2.50% | | 09/15/41 | | | 6,359,649 | | | | 6,142,436 | |
| Freddie Mac REMICS, | | | | | |
| Series 4161, Class BA | | | | | |
2.50% | | 12/15/41 | | | 10,070,561 | | | | 9,664,552 | |
| Freddie Mac REMICS, | | | | | |
| Series 4656, Class EZ | | | | | |
4.00% | | 02/15/47 | | | 197,622 | | | | 190,312 | |
| Freddie Mac REMICS, | | | | | |
| Series 4818, Class CA | | | | | |
3.00% | | 04/15/48 | | | 1,191,292 | | | | 1,077,974 | |
| Freddie Mac REMICS, | | | | | |
| Series 4846, Class PA | | | | | |
4.00% | | 06/15/47 | | | 156,391 | | | | 154,416 | |
| Freddie Mac REMICS, | | | | | |
| Series 4852, Class CA | | | | | |
4.00% | | 11/15/47 | | | 8,108,762 | | | | 7,864,081 | |
| Freddie Mac REMICS, | | | | | |
| Series 4860, Class BH | | | | | |
3.50% | | 10/15/48 | | | 2,722,366 | | | | 2,630,701 | |
| Freddie Mac REMICS, | | | | | |
| Series 4860, Class PA | | | | | |
3.50% | | 02/15/49 | | | 2,023,526 | | | | 1,912,766 | |
| Freddie Mac REMICS, | | | | | |
| Series 4879, Class BC | | | | | |
3.00% | | 04/15/49 | | | 708,680 | | | | 662,032 | |
| Freddie Mac REMICS, | | | | | |
| Series 4896, Class DA | | | | | |
3.00% | | 01/15/49 | | | 877,669 | | | | 816,612 | |
| Freddie Mac REMICS, | | | | | |
| Series 4937, Class MF | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
5.30% | | 12/25/492 | | | 5,663,201 | | | | 5,603,975 | |
| Freddie Mac Strips, | | | | | |
| Series 309, Class PO (PO) | | | | | |
0.00% | | 08/15/4310 | | | 12,139,760 | | | | 9,289,070 | |
| Freddie Mac Strips, | | | | | |
| Series 319, Class F2 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
5.18% | | 11/15/432 | | | 2,047,612 | | | | 2,013,894 | |
| Ginnie Mae (TBA) | | | | | |
2.50% | | 04/20/53 | | | 686,350,000 | | | | 604,068,433 | |
2.50% | | 05/20/53 | | | 433,050,000 | | | | 381,688,863 | |
4.50% | | 04/20/53 | | | 343,875,000 | | | | 338,840,061 | |
5.00% | | 04/20/53 | | | 159,750,000 | | | | 159,962,169 | |
| Ginnie Mae I Pool 782817 | | | | | |
4.50% | | 11/15/39 | | | 9,252,194 | | | | 9,332,462 | |
| Ginnie Mae I Pool AA5452 | | | | | |
3.50% | | 07/15/42 | | | 76,585 | | | | 74,497 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae II Pool 2631 | | | | | |
7.00% | | 08/20/28 | | $ | 829 | | | $ | 857 | |
| Ginnie Mae II Pool 3388 | | | | | |
4.50% | | 05/20/33 | | | 1,650 | | | | 1,648 | |
| Ginnie Mae II Pool 3427 | | | | | |
4.50% | | 08/20/33 | | | 854 | | | | 865 | |
| Ginnie Mae II Pool 3554 | | | | | |
4.50% | | 05/20/34 | | | 736 | | | | 746 | |
| Ginnie Mae II Pool 4058 | | | | | |
5.00% | | 12/20/37 | | | 423 | | | | 437 | |
| Ginnie Mae II Pool 4342 | | | | | |
5.00% | | 01/20/39 | | | 638 | | | | 659 | |
| Ginnie Mae II Pool 4520 | | | | | |
5.00% | | 08/20/39 | | | 11,927 | | | | 12,298 | |
| Ginnie Mae II Pool 5140 | | | | | |
4.50% | | 08/20/41 | | | 26,096 | | | | 26,451 | |
| Ginnie Mae II Pool 5175 | | | | | |
4.50% | | 09/20/41 | | | 28,390 | | | | 28,776 | |
| Ginnie Mae II Pool 5281 | | | | | |
4.50% | | 01/20/42 | | | 8,171 | | | | 8,282 | |
| Ginnie Mae II Pool 783591 | | | | | |
4.50% | | 07/20/41 | | | 10,100 | | | | 10,237 | |
| Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.63% | | 07/20/342 | | | 6,541 | | | | 6,449 | |
| Ginnie Mae II Pool 81267 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.63% | | 03/20/352 | | | 7,601 | | | | 7,385 | |
| Ginnie Mae II Pool 81432 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.63% | | 08/20/352 | | | 9,754 | | | | 9,602 | |
| Ginnie Mae II Pool 81497 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
2.75% | | 10/20/352 | | | 9,287 | | | | 9,133 | |
| Ginnie Mae II Pool 8631 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.00% | | 05/20/252 | | | 947 | | | | 939 | |
| Ginnie Mae II Pool 8644 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.50% | | 06/20/252 | | | 1,042 | | | | 1,028 | |
| Ginnie Mae II Pool MA0627 | | | | | |
4.50% | | 12/20/42 | | | 33,276 | | | | 33,712 | |
| Ginnie Mae II Pool MA0701 | | | | | |
4.50% | | 01/20/43 | | | 32,372 | | | | 32,811 | |
| Ginnie Mae II Pool MA1157 | | | | | |
3.50% | | 07/20/43 | | | 30,984 | | | | 29,787 | |
| Ginnie Mae II Pool MA1997 | | | | | |
4.50% | | 06/20/44 | | | 8,222 | | | | 8,319 | |
| Ginnie Mae II Pool MA2374 | | | | | |
5.00% | | 11/20/44 | | | 173,855 | | | | 179,082 | |
See accompanying Notes to Financial Statements.
|
| 209 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae II Pool MA2756 | | | | | |
4.50% | | 04/20/45 | | $ | 17,235 | | | $ | 17,437 | |
| Ginnie Mae II Pool MA2828 | | | | | |
4.50% | | 05/20/45 | | | 718,228 | | | | 726,672 | |
| Ginnie Mae II Pool MA2894 | | | | | |
4.50% | | 06/20/45 | | | 281,065 | | | | 284,367 | |
| Ginnie Mae II Pool MA3036 | | | | | |
4.50% | | 08/20/45 | | | 27,302 | | | | 27,623 | |
| Ginnie Mae II Pool MA3309 | | | | | |
3.00% | | 12/20/45 | | | 5,602 | | | | 5,187 | |
| Ginnie Mae II Pool MA3456 | | | | | |
4.50% | | 02/20/46 | | | 180,041 | | | | 182,147 | |
| Ginnie Mae II Pool MA3521 | | | | | |
3.50% | | 03/20/46 | | | 20,875,039 | | | | 19,926,051 | |
| Ginnie Mae II Pool MA3524 | | | | | |
5.00% | | 03/20/46 | | | 9,127 | | | | 9,383 | |
| Ginnie Mae II Pool MA3597 | | | | | |
3.50% | | 04/20/46 | | | 52,548,152 | | | | 50,142,870 | |
| Ginnie Mae II Pool MA3600 | | | | | |
5.00% | | 04/20/46 | | | 5,087,506 | | | | 5,229,322 | |
| Ginnie Mae II Pool MA3662 | | | | | |
3.00% | | 05/20/46 | | | 2,036,532 | | | | 1,883,468 | |
| Ginnie Mae II Pool MA3663 | | | | | |
3.50% | | 05/20/46 | | | 14,979,811 | | | | 14,294,141 | |
| Ginnie Mae II Pool MA3665 | | | | | |
4.50% | | 05/20/46 | | | 76,689 | | | | 77,267 | |
| Ginnie Mae II Pool MA3666 | | | | | |
5.00% | | 05/20/46 | | | 2,834,312 | | | | 2,913,939 | |
| Ginnie Mae II Pool MA3738 | | | | | |
4.50% | | 06/20/46 | | | 320,306 | | | | 322,720 | |
| Ginnie Mae II Pool MA3739 | | | | | |
5.00% | | 06/20/46 | | | 1,721,256 | | | | 1,769,529 | |
| Ginnie Mae II Pool MA3805 | | | | | |
4.50% | | 07/20/46 | | | 2,490,956 | | | | 2,509,727 | |
| Ginnie Mae II Pool MA3806 | | | | | |
5.00% | | 07/20/46 | | | 132,525 | | | | 136,246 | |
| Ginnie Mae II Pool MA3873 | | | | | |
3.00% | | 08/20/46 | | | 15,622,730 | | | | 14,429,008 | |
| Ginnie Mae II Pool MA3876 | | | | | |
4.50% | | 08/20/46 | | | 2,767,354 | | | | 2,788,209 | |
| Ginnie Mae II Pool MA3877 | | | | | |
5.00% | | 08/20/46 | | | 571,324 | | | | 588,011 | |
| Ginnie Mae II Pool MA3937 | | | | | |
3.50% | | 09/20/46 | | | 12,057,837 | | | | 11,494,610 | |
| Ginnie Mae II Pool MA3939 | | | | | |
4.50% | | 09/20/46 | | | 1,551,158 | | | | 1,573,857 | |
| Ginnie Mae II Pool MA4003 | | | | | |
3.00% | | 10/20/46 | | | 6,277,354 | | | | 5,797,706 | |
| Ginnie Mae II Pool MA4006 | | | | | |
4.50% | | 10/20/46 | | | 1,629,484 | | | | 1,641,764 | |
| Ginnie Mae II Pool MA4007 | | | | | |
5.00% | | 10/20/46 | | | 3,108,083 | | | | 3,195,171 | |
| Ginnie Mae II Pool MA4069 | | | | | |
3.50% | | 11/20/46 | | | 37,565,204 | | | | 35,810,519 | |
| Ginnie Mae II Pool MA4071 | | | | | |
4.50% | | 11/20/46 | | | 4,429,546 | | | | 4,475,599 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae II Pool MA4072 | | | | | |
5.00% | | 11/20/46 | | $ | 983,182 | | | $ | 1,010,785 | |
| Ginnie Mae II Pool MA4126 | | | | | |
3.00% | | 12/20/46 | | | 107,919,049 | | | | 99,639,305 | |
| Ginnie Mae II Pool MA4127 | | | | | |
3.50% | | 12/20/46 | | | 42,414,667 | | | | 40,433,461 | |
| Ginnie Mae II Pool MA4129 | | | | | |
4.50% | | 12/20/46 | | | 15,308,415 | | | | 15,477,010 | |
| Ginnie Mae II Pool MA4196 | | | | | |
3.50% | | 01/20/47 | | | 9,799 | | | | 9,335 | |
| Ginnie Mae II Pool MA4198 | | | | | |
4.50% | | 01/20/47 | | | 121,557 | | | | 122,473 | |
| Ginnie Mae II Pool MA4199 | | | | | |
5.00% | | 01/20/47 | | | 2,779,500 | | | | 2,857,592 | |
| Ginnie Mae II Pool MA4264 | | | | | |
4.50% | | 02/20/47 | | | 34,668,101 | | | | 34,982,358 | |
| Ginnie Mae II Pool MA4265 | | | | | |
5.00% | | 02/20/47 | | | 639,315 | | | | 657,270 | |
| Ginnie Mae II Pool MA4324 | | | | | |
5.00% | | 03/20/47 | | | 3,559,911 | | | | 3,669,100 | |
| Ginnie Mae II Pool MA4382 | | | | | |
3.50% | | 04/20/47 | | | 24,002,090 | | | | 22,865,941 | |
| Ginnie Mae II Pool MA4384 | | | | | |
4.50% | | 04/20/47 | | | 1,465,317 | | | | 1,474,528 | |
| Ginnie Mae II Pool MA4385 | | | | | |
5.00% | | 04/20/47 | | | 6,005,043 | | | | 6,160,568 | |
| Ginnie Mae II Pool MA4453 | | | | | |
4.50% | | 05/20/47 | | | 76,965,458 | | | | 76,958,463 | |
| Ginnie Mae II Pool MA4454 | | | | | |
5.00% | | 05/20/47 | | | 13,237,708 | | | | 13,501,025 | |
| Ginnie Mae II Pool MA4510 | | | | | |
3.50% | | 06/20/47 | | | 32,987 | | | | 31,395 | |
| Ginnie Mae II Pool MA4511 | | | | | |
4.00% | | 06/20/47 | | | 4,703,985 | | | | 4,596,721 | |
| Ginnie Mae II Pool MA4512 | | | | | |
4.50% | | 06/20/47 | | | 267,704 | | | | 267,679 | |
| Ginnie Mae II Pool MA4513 | | | | | |
5.00% | | 06/20/47 | | | 250,619 | | | | 255,108 | |
| Ginnie Mae II Pool MA4586 | | | | | |
3.50% | | 07/20/47 | | | 39,342,685 | | | | 37,455,794 | |
| Ginnie Mae II Pool MA4588 | | | | | |
4.50% | | 07/20/47 | | | 42,463 | | | | 42,677 | |
| Ginnie Mae II Pool MA4589 | | | | | |
5.00% | | 07/20/47 | | | 11,369,325 | | | | 11,656,673 | |
| Ginnie Mae II Pool MA4652 | | | | | |
3.50% | | 08/20/47 | | | 2,977,418 | | | | 2,834,620 | |
| Ginnie Mae II Pool MA4655 | | | | | |
5.00% | | 08/20/47 | | | 13,639,814 | | | | 13,911,129 | |
| Ginnie Mae II Pool MA4719 | | | | | |
3.50% | | 09/20/47 | | | 37,196,130 | | | | 35,412,189 | |
| Ginnie Mae II Pool MA4720 | | | | | |
4.00% | | 09/20/47 | | | 92,268 | | | | 90,392 | |
| Ginnie Mae II Pool MA4722 | | | | | |
5.00% | | 09/20/47 | | | 264,900 | | | | 271,347 | |
| Ginnie Mae II Pool MA4781 | | | | | |
5.00% | | 10/20/47 | | | 3,157,647 | | | | 3,237,453 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 210 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool MA4836 | |
3.00% | | 11/20/47 | | $ | 84,094,726 | | | $ | 77,590,268 | |
Ginnie Mae II Pool MA4837 | |
3.50% | | 11/20/47 | | | 92,530,819 | | | | 88,035,172 | |
Ginnie Mae II Pool MA4838 | |
4.00% | | 11/20/47 | | | 30,953,895 | | | | 30,245,159 | |
Ginnie Mae II Pool MA4840 | |
5.00% | | 11/20/47 | | | 1,008,282 | | | | 1,026,301 | |
Ginnie Mae II Pool MA4900 | |
3.50% | | 12/20/47 | | | 5,954,647 | | | | 5,665,338 | |
Ginnie Mae II Pool MA4901 | |
4.00% | | 12/20/47 | | | 20,629,287 | | | | 20,156,949 | |
Ginnie Mae II Pool MA4961 | |
3.00% | | 01/20/48 | | | 287,985 | | | | 266,582 | |
Ginnie Mae II Pool MA4963 | |
4.00% | | 01/20/48 | | | 34,378,926 | | | | 33,591,770 | |
Ginnie Mae II Pool MA5078 | |
4.00% | | 03/20/48 | | | 52,154 | | | | 50,964 | |
Ginnie Mae II Pool MA5137 | |
4.00% | | 04/20/48 | | | 11,095,406 | | | | 10,827,435 | |
Ginnie Mae II Pool MA5399 | |
4.50% | | 08/20/48 | | | 2,516,914 | | | | 2,514,403 | |
Ginnie Mae II Pool MA5466 | |
4.00% | | 09/20/48 | | | 4,547,436 | | | | 4,434,767 | |
Ginnie Mae II Pool MA5467 | |
4.50% | | 09/20/48 | | | 23,345 | | | | 23,280 | |
Ginnie Mae II Pool MA5528 | |
4.00% | | 10/20/48 | | | 20,857,777 | | | | 20,337,157 | |
Ginnie Mae II Pool MA5530 | |
5.00% | | 10/20/48 | | | 3,782,874 | | | | 3,840,654 | |
Ginnie Mae II Pool MA5651 | |
4.00% | | 12/20/48 | | | 7,498 | | | | 7,272 | |
Ginnie Mae II Pool MA6030 | |
3.50% | | 07/20/49 | | | 8,552,399 | | | | 7,904,359 | |
Ginnie Mae II Pool MA6080 | |
3.00% | | 08/20/49 | | | 1,732 | | | | 1,538 | |
Ginnie Mae II Pool MA6081 | |
3.50% | | 08/20/49 | | | 3,476,112 | | | | 3,212,717 | |
Ginnie Mae II Pool MA6209 | |
3.00% | | 10/20/49 | | | 3,318,439 | | | | 2,947,697 | |
Ginnie Mae II Pool MA6210 | |
3.50% | | 10/20/49 | | | 1,613,151 | | | | 1,490,917 | |
Ginnie Mae, | |
Series 2003-86, Class ZK | |
5.00% | | 10/20/33 | | | 3,336,240 | | | | 3,402,489 | |
Ginnie Mae, | |
Series 2007-35, Class PY (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap) | |
2.02% | | 06/16/372 | | | 6,467,193 | | | | 825,294 | |
Ginnie Mae, | |
Series 2009-106, Class SD (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap) | |
1.49% | | 03/20/362 | | | 5,642,205 | | | | 201,722 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, | |
Series 2009-106, Class XI (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | |
2.04% | | 05/20/372 | | $ | 14,031,908 | | | $ | 659,514 | |
Ginnie Mae, | |
Series 2009-124, Class SC (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap) | |
1.72% | | 12/20/392 | | | 2,222,313 | | | | 259,123 | |
Ginnie Mae, | |
Series 2009-66, Class XS (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | |
2.07% | | 07/16/392 | | | 15,493 | | | | 692 | |
Ginnie Mae, | |
Series 2009-8, Class PS (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap) | |
1.57% | | 08/16/382 | | | 14,482 | | | | 167 | |
Ginnie Mae, | |
Series 2010-4, Class SL (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | |
1.67% | | 01/16/402 | | | 29,120 | | | | 3,212 | |
Ginnie Mae, | |
Series 2010-4, Class SM (IO) | |
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap) | |
1.07% | | 01/16/402 | | | 5,294,524 | | | | 519,649 | |
Ginnie Mae, | |
Series 2010-6, Class BS (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap) | |
1.77% | | 09/16/392 | | | 312,490 | | | | 2,555 | |
Ginnie Mae, | |
Series 2011-146, Class EI (IO) | |
5.00% | | 11/16/41 | | | 72,036 | | | | 13,000 | |
Ginnie Mae, | |
Series 2014-108, Class PA | |
2.63% | | 12/20/39 | | | 4,983,756 | | | | 4,746,997 | |
Ginnie Mae, | |
Series 2018-124, Class NW | |
3.50% | | 09/20/48 | | | 703,164 | | | | 669,112 | |
Ginnie Mae, | |
Series 2019-1, Class NP | |
3.50% | | 01/20/49 | | | 6,366,298 | | | | 6,142,622 | |
Ginnie Mae, | |
Series 2019-119, Class JE | |
3.00% | | 09/20/49 | | | 4,672,450 | | | | 4,291,016 | |
Ginnie Mae, | |
Series 2019-15, Class GT | |
3.50% | | 02/20/49 | | | 7,501,056 | | | | 7,044,212 | |
Ginnie Mae, | |
Series 2019-44, Class CA | |
3.50% | | 12/20/48 | | | 587,294 | | | | 571,095 | |
Ginnie Mae, | |
Series 2019-71, Class PT | |
3.00% | | 06/20/49 | | | 774,939 | | | | 720,070 | |
Ginnie Mae, | |
Series 2019-86, Class C | |
2.50% | | 03/20/49 | | | 10,162,681 | | | | 8,842,725 | |
See accompanying Notes to Financial Statements.
|
| 211 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, | |
Series 2019-90, Class HE | |
3.00% | | | 07/20/49 | | | $ | 6,819,595 | | | $ | 6,188,219 | |
UMBS (TBA) | |
2.00% | | | 05/01/53 | | | | 3,182,750,000 | | | | 2,633,785,874 | |
2.50% | | | 05/01/53 | | | | 2,390,750,000 | | | | 2,063,330,835 | |
3.00% | | | 05/01/53 | | | | 1,435,900,000 | | | | 1,289,337,902 | |
3.50% | | | 05/01/53 | | | | 770,625,000 | | | | 716,327,356 | |
4.00% | | | 05/01/53 | | | | 1,404,500,000 | | | | 1,344,150,601 | |
4.50% | | | 04/15/53 | | | | 1,184,650,000 | | | | 1,160,693,143 | |
4.50% | | | 05/01/53 | | | | 606,325,000 | | | | 594,264,177 | |
5.00% | | | 04/01/53 | | | | 2,010,550,000 | | | | 2,005,366,561 | |
5.00% | | | 05/01/53 | | | | 83,275,000 | | | | 83,044,042 | |
5.50% | | | 04/01/53 | | | | 1,404,350,000 | | | | 1,418,640,343 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,298,566,413 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $34,576,119,513) | | | | 32,903,883,030 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.57%* | |
|
| California — 0.21% | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.14% | | | 11/01/33 | | | | 14,500,000 | | | | 11,414,700 | |
2.27% | | | 11/01/34 | | | | 23,510,000 | | | | 18,892,233 | |
| City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E | | | | | |
2.83% | | | 11/01/41 | | | | 4,285,000 | | | | 3,318,596 | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
5.00% | | | 05/15/44 | | | | 185,000 | | | | 192,957 | |
| Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C | | | | | |
5.52% | | | 07/01/27 | | | | 12,625,000 | | | | 13,174,061 | |
| Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N | | | | | |
3.01% | | | 05/15/50 | | | | 47,945,000 | | | | 33,748,397 | |
3.26% | | | 05/15/60 | | | | 34,700,000 | | | | 24,047,694 | |
| University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP | | | | | |
3.93% | | | 05/15/45 | | | | 28,565,000 | | | | 26,346,057 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 131,134,695 | |
| | | | | | | | | | | | |
|
| Colorado — 0.04% | |
| City & County of Denver Airport System Revenue Bonds, Series C | | | | | |
2.39% | | | 11/15/31 | | | | 6,010,000 | | | | 5,059,828 | |
2.52% | | | 11/15/32 | | | | 8,450,000 | | | | 7,067,127 | |
2.62% | | | 11/15/33 | | | | 9,000,000 | | | | 7,473,335 | |
2.72% | | | 11/15/34 | | | | 5,000,000 | | | | 4,130,306 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,730,596 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| MUNICIPAL BONDS (continued) | |
|
| New Jersey — 0.00% | |
| Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B | | | | | |
5.47% | | | 05/15/27 | | | $ | 295,000 | | | $ | 301,453 | |
New Jersey Turnpike Authority Revenue Bonds,
Highway Revenue, Series F | | | | | |
3.73% | | | 01/01/36 | | | | 300,000 | | | | 272,923 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 574,376 | |
| | | | | | | | | | | | |
|
| New York — 0.30% | |
| City of New York General Obligation Bonds, Public Improvements | | | | | |
4.77% | | | 10/01/23 | | | | 4,420,000 | | | | 4,414,105 | |
5.21% | | | 10/01/31 | | | | 6,420,000 | | | | 6,645,240 | |
| City of New York General Obligation Bonds, Public Improvements, Series A | | | | | |
3.00% | | | 08/01/34 | | | | 15,185,000 | | | | 12,964,824 | |
| City of New York General Obligation Bonds, Public Improvements, Series F | | | | | |
3.62% | | | 04/01/31 | | | | 3,145,000 | | | | 2,952,613 | |
| Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | | | | | |
5.18% | | | 11/15/49 | | | | 13,145,000 | | | | 11,819,788 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
5.51% | | | 08/01/37 | | | | 23,125,000 | | | | 24,075,463 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2 | | | | | |
2.15% | | | 05/01/25 | | | | 430,000 | | | | 409,098 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3 | | | | | |
2.00% | | | 08/01/35 | | | | 4,055,000 | | | | 2,967,983 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.40% | | | 11/01/32 | | | | 12,135,000 | | | | 9,882,793 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | | 02/01/33 | | | | 3,090,000 | | | | 2,398,987 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5 | | | | | |
3.90% | | | 05/01/31 | | | | 15,000,000 | | | | 14,196,752 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI | | | | | |
4.00% | | | 08/01/33 | | | | 6,450,000 | | | | 5,997,768 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU | | | | | |
3.88% | | | 08/01/31 | | | | 3,135,000 | | | | 2,956,618 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | | 05/01/27 | | | | 13,135,000 | | | | 13,495,934 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3 | | | | | |
5.13% | | | 02/01/35 | | | | 1,250,000 | | | | 1,268,901 | |
5.15% | | | 02/01/36 | | | | 1,250,000 | | | | 1,266,423 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 212 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
|
| MUNICIPAL BONDS (continued) | |
|
New York (continued) | |
New York City Transitional Finance Authority
Future Tax Secured Revenue Bonds, Series G | | | | | |
2.45% | | 11/01/34 | | $ | 3,000,000 | | | $ | 2,276,979 | |
New York State Dormitory Authority Revenue
Bonds, Series C | | | | | |
1.95% | | 03/15/29 | | | 7,895,000 | | | | 6,834,273 | |
New York State Dormitory Authority Revenue
Bonds, University & College Improvements | | | | | |
5.29% | | 03/15/33 | | | 44,990,000 | | | | 46,113,252 | |
5.43% | | 03/15/39 | | | 21,300,000 | | | | 21,894,543 | |
New York State Dormitory Authority Revenue
Bonds, University & College Improvements, Series A | | | | | |
4.00% | | 03/15/47 | | | 155,000 | | | | 150,263 | |
New York State Urban Development Corp.
Revenue Bonds, Public Improvements | | | | | |
5.77% | | 03/15/39 | | | 150,000 | | | | 158,224 | |
| | | | | | | | | | |
| | | | 195,140,824 | |
| | | | | | | | | | |
|
| Texas — 0.02% | |
North Texas Tollway Authority Revenue Bonds | |
2.33% | | 01/01/33 | | | 765,000 | | | | 630,571 | |
2.43% | | 01/01/34 | | | 10,000,000 | | | | 8,157,108 | |
2.53% | | 01/01/35 | | | 8,000,000 | | | | 6,473,409 | |
Texas A&M University Revenue Bonds,
University & College Improvements, Series B | | | | | |
2.69% | | 05/15/25 | | | 350,000 | | | | 338,420 | |
| | | | | | | | | | |
| | | | 15,599,508 | |
| | | | | | | | | | |
| |
Total Municipal Bonds (Cost $435,502,105) | | | | 366,179,999 | |
| | | | | | | | | | |
|
| U.S. TREASURY SECURITIES — 24.22% | |
|
| U.S. Treasury Bonds — 9.82% | |
U.S. Treasury Bonds | |
2.00% | | 11/15/41 | | | 2,595,308,000 | | | | 1,960,196,943 | |
2.38% | | 02/15/42 | | | 1,858,804,000 | | | | 1,495,320,696 | |
3.63% | | 02/15/53 | | | 1,476,231,000 | | | | 1,465,620,590 | |
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds | | | | | |
1.63% | | 10/15/2711 | | | 451,483,955 | | | | 460,467,709 | |
U.S. Treasury Bonds - Treasury Inflation
Indexed Bonds (WI) | | | | | |
1.13% | | 01/15/3311 | | | 488,487,876 | | | | 487,659,992 | |
U.S. Treasury Bonds (WI) | | | | | |
3.88% | | 02/15/43 | | | 423,487,000 | | | | 427,233,166 | |
| | | | | | | | | | |
| | | | | | | | | 6,296,499,096 | |
| | | | | | | | | | |
|
| U.S. Treasury Notes — 14.40% | |
U.S. Treasury Notes | |
3.50% | | 02/15/33 | | | 250,069,000 | | | | 250,479,268 | |
3.63% | | 03/31/28 | | | 2,881,148,000 | | | | 2,886,437,615 | |
3.88% | | 03/31/25 | | | 1,420,416,000 | | | | 1,416,226,881 | |
4.00% | | 02/29/28 | | | 2,133,984,000 | | | | 2,172,995,895 | |
4.63% | | 02/28/25 | | | 1,023,421,000 | | | | 1,033,435,338 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| U.S. TREASURY SECURITIES (continued) | |
|
| U.S. Treasury Notes (continued) | |
4.63% | | | 03/15/26 | | | $ | 1,442,527,000 | | | $ | 1,475,490,992 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,235,065,989 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $15,974,135,921) | | | | 15,531,565,085 | |
| | | | | | | | | | | | |
| |
Total Bonds — 113.37% (Cost $76,726,706,032) | | | | 72,685,930,801 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | | | | Shares | | | Value |
|
| COMMON STOCK — 0.10% | |
|
| Communications — 0.10% | |
Intelsat Emergence SA3,5,6 (Luxembourg) | | | | 2,394,859 | | | | 62,266,334 | |
| | | | | | | | | | | | |
|
| Electric — 0.00% | |
Homer City Holdings LLC†,5,6,12 | | | | 1,180,703 | | | | — | |
| | | | | | | | | | | | |
| |
Total Common Stock
(Cost $145,415,216) | | | | 62,266,334 | |
| | | | | | | | | | | | |
|
| RIGHTS — 0.00% | |
|
| Communications — 0.00% | |
Intelsat Jackson Holdings SA,
Series A†,3,5,6,9 | | | | | |
| (Luxembourg) | | | | | | | 250,803 | | | | — | |
Intelsat Jackson Holdings SA,
Series B†,3,5,6,9 | | | | | |
| (Luxembourg) | | | | | | | 250,803 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | — | |
| | | | | | | | | | | | |
| |
Total Rights (Cost $–) | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount/Shares | | | Value |
|
| SHORT-TERM INVESTMENTS — 8.63% | |
|
| Money Market Funds — 2.05% | |
Dreyfus Government Cash Management Fund | |
4.71%13 | | | | | | | 210,000 | | | | 210,000 | |
Fidelity Investments Money Market Funds -
Government Portfolio | | | | | |
4.72%13,14 | | | | | | | 14,490,974 | | | | 14,490,974 | |
Morgan Stanley Institutional Liquidity Funds -
Government Portfolio | | | | | |
4.73%13 | | | | | | | 1,300,338,000 | | | | 1,300,338,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,315,038,974 | |
| | | | | | | | | | | | |
|
| U.S. Agency Discount Notes — 1.15% | |
Federal Home Loan Bank | |
4.66%15 | | | 04/26/23 | | | | 250,000,000 | | | | 249,255,138 | |
5.05%15 | | | 07/25/23 | | | | 500,000,000 | | | | 492,681,005 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 741,936,143 | |
| | | | | | | | | | | | |
|
| U.S. Treasury Bills — 5.43% | |
U.S. Treasury Bills | |
4.53%15 | | | 05/18/23 | | | | 260,000,000 | | | | 258,505,910 | |
See accompanying Notes to Financial Statements.
|
| 213 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount/Shares | | Value |
|
| SHORT-TERM INVESTMENTS (continued) | |
|
| U.S. Treasury Bills (continued) | |
4.58%15 | | 06/01/23 | | $ | 250,000,000 | | | $ | 248,137,700 | |
4.71%15 | | 07/20/23 | | | 750,000,000 | | | | 739,717,237 | |
4.75%15 | | 08/03/23 | | | 796,717,000 | | | | 784,013,571 | |
5.17%15 | | 08/24/23 | | | 16,275,000 | | | | 15,971,963 | |
5.07%15 | | 08/31/23 | | | 707,590,000 | | | | 693,933,195 | |
U.S. Treasury Bills (WI) | | | | | |
4.73%15 | | 07/18/23 | | | 750,000,000 | | | | 739,725,727 | |
| | | | | | | | | | |
| | | | | | | | | 3,480,005,303 | |
| | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $5,534,633,966) | | | | 5,536,980,420 | |
| | | | | | | | | | |
| |
Total Investments - 122.10% | | | | | |
(Cost $82,406,755,214) | | | | 78,285,177,555 | |
| | | | | | | | | | |
| |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | (4,746 | ) |
| |
Liabilities in Excess of Other
Assets - (22.10)% | | | | (14,168,626,346 | ) |
| | | | | | | | | | |
| |
| Net Assets - 100.00% | | | $ | 64,116,546,463 | |
| | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 $474,836,296, which is 0.74% 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 $819,903, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is not accruing an unused commitment fee. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Non-income producing security. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2023. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Affiliated investment. |
| 13 | Represents the current yield as of March 31, 2023. |
| 14 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $11,647,846. |
| 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 approved 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
(EUR): Euro
(GBP): British Pound
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 214 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | | | | Settlement Date | | | | | | Unrealized Appreciation (Depreciation) | |
| | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | |
EUR 5,519,000 | | | USD 5,995,929 | | | | Citibank N.A. | | | | | | | | 04/13/23 | | | | | | | $ | 4,559 | |
EUR 1,860,000 | | | USD 2,010,119 | | | | State Street Global Markets LLC | | | | | | | | 04/13/23 | | | | | | | | 12,150 | |
EUR 920,000 | | | USD 986,445 | | | | Barclays Bank PLC | | | | | | | | 04/13/23 | | | | | | | | 13,818 | |
EUR 1,360,000 | | | USD 1,466,529 | | | | The Bank of New York Mellon | | | | | | | | 04/13/23 | | | | | | | | 12,120 | |
GBP 35,728,000 | | | USD 42,946,510 | | | | Goldman Sachs International | | | | | | | | 04/13/23 | | | | | | | | 1,241,262 | |
USD 2,226,657 | | | EUR 2,038,000 | | | | Bank of America N.A. | | | | | | | | 04/13/23 | | | | | | | | 10,858 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | �� | | | | | | 1,294,767 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
USD 843,058,604 | | | EUR 780,062,000 | | | | Citibank N.A. | | | | | | | | 04/13/23 | | | | | | | | (5,057,418) | |
USD 50,582,295 | | | EUR 47,572,000 | | | | Goldman Sachs International | | | | | | | | 04/13/23 | | | | | | | | (1,139,973) | |
USD 58,497,926 | | | EUR 55,194,000 | | | | The Bank of New York Mellon | | | | | | | | 04/13/23 | | | | | | | | (1,511,298) | |
USD 71,540,910 | | | EUR 66,850,000 | | | | Barclays Bank PLC | | | | | | | | 04/13/23 | | | | | | | | (1,141,205) | |
USD 65,869,002 | | | EUR 61,238,000 | | | | State Street Global Markets LLC | | | | | | | | 04/13/23 | | | | | | | | (711,512) | |
USD 177,289,470 | | | GBP 145,220,000 | | | | Goldman Sachs International | | | | | | | | 04/13/23 | | | | | | | | (2,316,111) | |
USD 7,792,624 | | | GBP 6,345,000 | | | | Barclays Bank PLC | | | | | | | | 04/13/23 | | | | | | | | (54,762) | |
USD 2,956,444 | | | GBP 2,464,000 | | | | Citibank N.A. | | | | | | | | 04/13/23 | | | | | | | | (90,988) | |
USD 2,375,391 | | | GBP 1,987,000 | | | | State Street Global Markets LLC | | | | | | | | 04/13/23 | | | | | | | | (82,096) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (12,105,363) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| NET UNREALIZED DEPRECIATION | | | | | | | | | | | | | | | | | | | | | | $ | (10,810,596) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | |
| U.S. Treasury Two-Year Note | | | 85,334 | | | | 06/30/23 | | | $ | 17,617,471,054 | | | $ | 137,980,585 | | | $ | 137,980,585 | |
| U.S. Treasury Ultra Bond | | | 4,928 | | | | 06/21/23 | | | | 695,464,000 | | | | 28,019,879 | | | | 28,019,879 | |
| U.S. Treasury Five-Year Note | | | 3,158 | | | | 06/30/23 | | | | 345,825,673 | | | | 3,643,111 | | | | 3,643,111 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 18,658,760,727 | | | | 169,643,575 | | | | 169,643,575 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | |
| Euro-Bobl Future | | | 3,568 | | | | 06/08/23 | | | | (456,956,350) | | | | (5,985,731) | | | | (5,985,731) | |
| Euro-Bund Future | | | 2,716 | | | | 06/08/23 | | | | (400,836,427) | | | | (13,917,018) | | | | (13,917,018) | |
| U.S. Treasury Ten-Year Ultra Bond | | | 2,233 | | | | 06/21/23 | | | | (270,507,016) | | | | 3,940,844 | | | | 3,940,844 | |
| Euro-Buxl 30 Year | | | 621 | | | | 06/08/23 | | | | (95,036,192) | | | | (1,728,099) | | | | (1,728,099) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (1,223,335,985) | | | | (17,690,004) | | | | (17,690,004) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 17,435,424,742 | | | $ | 151,953,571 | | | $ | 151,953,571 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 215 / Annual Report March 2023 |
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate Paid by the Fund | | | Payment
Frequency | | | Implied
Credit Spread
at 03/31/231 | | | Counterparty | | | Expiration
Date | | | Notional
Amount
(000’s)2 | | | Value3 | | | Premiums
Paid | | | Unrealized
Appreciation | |
| | | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES | | | | | | | | | | | | | |
OTC4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1011778 BC ULC/New Red | | | | | | |
| Credit
Suisse |
| | | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
10/15/305 | | | 5.00 | % | | | 3 Months | | | | 120 | | | | International | | | | 06/20/23 | | | $ | 20,000 | | | $ | 201,952 | | | $ | 144,841 | | | $ | 57,111 | |
| | | | | | | | | | | | | |
| Credit
Suisse |
| | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | | 5.00 | % | | | 3 Months | | | | 175 | | | | International | | | | 12/20/23 | | | | 60,665 | | | | 1,499,030 | | | | 1,343,969 | | | | 155,061 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 1,700,982 | | | | $1,488,810 | | | $ | 212,172 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | | |
| Description | | Maturity Date | | | Rate | | | Frequency | | Rate | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums (Received) | | | Unrealized (Depreciation) | |
| | | | | | | |
| SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swap1 | | | 09/20/53 | | |
| USD-SOFR-
COMPOUND |
| | Annual | | 3.00% | | | Annual | | | $ | 220,666 | | | $ | (4,977,387) | | | $ | — | | | $ | (4,977,387) | |
Interest Rate Swap1 | | | 09/20/53 | | |
| USD-SOFR-
COMPOUND |
| | Annual | | 3.00% | | | Annual | | | | 236,956 | | | | (5,344,827) | | | | — | | | | (5,344,827) | |
Interest Rate Swap1 | | | 06/16/53 | | | | GBP-SONIA-OIS | | | Annual | | 3.25% | | | Annual | | | | 38,960 | | | | (694,839) | | | | (614,998) | | | | (79,841) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | | $ | 496,582 | | | $ | (11,017,053) | | | $ | (614,998) | | | $ | (10,402,055) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
1 Centrally cleared. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 216 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
| |
| BONDS – 106.72% | | | | | |
| |
| ASSET-BACKED SECURITIES — 6.72%** | | | | | |
AmeriCredit Automobile Receivables Trust, | |
Series 2022-2, Class C | |
5.32% | | 04/18/28 | | $ | 630,000 | | | $ | 628,841 | |
AMMC CLO XI Ltd., | |
Series 2012-11A, Class A1R2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.01%) | |
5.81% | | 04/30/311,2,3 | | | 250,000 | | | | 246,532 | |
Canyon Capital CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.59% | | 04/15/341,2,3 | | | 175,000 | | | | 174,662 | |
Educational Funding of the South, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.65%) | |
5.47% | | 04/25/352 | | | 214,269 | | | | 213,457 | |
Higher Education Funding I, | |
Series 2014-1, Class A | |
(LIBOR USD 3-Month plus 1.05%) | |
6.01% | | 05/25/341,2 | | | 14,969 | | | | 14,960 | |
JPMorgan Chase Bank N.A. - CACLN, | |
Series 2021-3, Class D | |
1.01% | | 02/26/291 | | | 301,734 | | | | 284,490 | |
LCM 29 Ltd., | |
Series 29A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.59% | | 04/15/311,2,3 | | | 340,909 | | | | 338,782 | |
Navient Private Education Refi Loan Trust, | |
Series 2021-CA, Class A | |
1.06% | | 10/15/691 | | | 1,021,106 | | | | 892,272 | |
Nelnet Student Loan Trust, | |
Series 2012-5A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 10/27/361,2 | | | 190,805 | | | | 185,240 | |
Octagon Investment Partners XIV Ltd., | |
Series 2012-1A, Class AARR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.95%) | |
5.74% | | 07/15/291,2,3 | | | 646,535 | | | | 641,834 | |
OHA Credit Funding 2 Ltd., | |
Series 2019-2A, Class XR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.62% | | 04/21/341,2,3 | | | 31,250 | | | | 31,233 | |
Palmer Square Loan Funding Ltd., | |
Series 2020-1A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.48% | | 02/20/281,2,3 | | | 248,351 | | | | 246,824 | |
Palmer Square Loan Funding Ltd., | |
Series 2021-2A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | |
5.72% | | 05/20/291,2,3 | | | 476,235 | | | | 469,820 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
Progress Residential Trust, | |
Series 2019-SFR3, Class E | |
3.37% | | 09/17/361 | | $ | 325,000 | | | $ | 309,622 | |
Progress Residential Trust, | |
Series 2019-SFR4, Class G | |
3.93% | | 10/17/361 | | | 755,000 | | | | 723,278 | |
Progress Residential Trust, | |
Series 2020-SFR2, Class A | |
2.08% | | 06/17/371 | | | 882,909 | | | | 822,974 | |
Santander Drive Auto Receivables Trust, | |
Series 2021-1, Class D | |
1.13% | | 11/16/26 | | | 990,000 | | | | 941,623 | |
SLM Student Loan Trust, | |
Series 2013-4, Class A | |
(LIBOR USD 1-Month plus 0.55%) | |
5.40% | | 06/25/432 | | | 89,724 | | | | 86,802 | |
Tricon American Homes Trust, | |
Series 2017-SFR2, Class A | |
2.93% | | 01/17/361 | | | 954,050 | | | | 932,367 | |
| | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $8,449,645) | | | | 8,185,613 | |
| | | | | | | | | | |
| |
| CORPORATES — 23.18%* | | | | | |
| |
| Banking — 6.09% | | | | | |
Bank of America Corp. | |
1.73% | | 07/22/274 | | | 150,000 | | | | 134,549 | |
Bank of America Corp. | |
(MTN) | |
1.32% | | 06/19/264 | | | 770,000 | | | | 705,472 | |
3.82% | | 01/20/284 | | | 985,000 | | | | 942,035 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | 02/02/271,3,4 | | | 485,000 | | | | 412,250 | |
2.13% | | 10/13/263,4 | | | 100,000 | | | | 99,518 | |
2.59% | | 09/11/251,3,4 | | | 365,000 | | | | 339,217 | |
3.80% | | 06/09/233 | | | 580,000 | | | | 570,087 | |
6.37% | | 07/15/261,3,4 | | | 140,000 | | | | 136,536 | |
DNB Bank ASA | |
(Norway) | |
0.86% | | 09/30/251,3,4 | | | 390,000 | | | | 364,241 | |
HSBC Holdings PLC | |
(United Kingdom) | |
(LIBOR USD 3-Month plus 1.00%) | |
5.92% | | 05/18/242,3 | | | 795,000 | | | | 792,087 | |
ING Groep NV | |
(Netherlands) | |
3.87% | | 03/28/263,4 | | | 510,000 | | | | 493,533 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | 05/11/273,4 | | | 125,000 | | | | 111,015 | |
Macquarie Group Ltd. | |
(Australia) | |
1.20% | | 10/14/251,3,4 | | | 850,000 | | | | 792,578 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
4.80% | | 11/15/243,4 | | | 425,000 | | | | 419,213 | |
See accompanying Notes to Financial Statements.
|
| 217 / Annual Report March 2023 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Banking (continued) | | | | | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | | 02/11/264 | | | $ | 1,180,000 | | | $ | 1,110,799 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,423,130 | |
| | | | | | | | | | | | |
|
| Communications — 1.50% | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 400,000 | | | | 372,000 | |
SES SA | |
(Luxembourg) | |
3.60% | | | 04/04/231,3 | | | | 600,000 | | | | 600,000 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/Sprint Spectrum Co. III LLC | |
5.15% | | | 03/20/281 | | | | 200,000 | | | | 198,824 | |
T-Mobile USA, Inc. | |
2.25% | | | 02/15/26 | | | | 700,000 | | | | 653,333 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,824,157 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 0.91% | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
6.13% | | | 07/27/271,3 | | | | 135,000 | | | | 138,587 | |
Reynolds American, Inc. | |
4.85% | | | 09/15/23 | | | | 600,000 | | | | 599,471 | |
WarnerMedia Holdings, Inc. | |
3.76% | | | 03/15/271 | | | | 400,000 | | | | 376,995 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,115,053 | |
| | | | | | | | | | | | |
|
| Diversified REITs — 0.75% | |
Digital Euro Finco LLC | |
2.63% | | | 04/15/24 | | | | 385,000 | | | | 408,833 | |
VICI Properties LP/VICI Note Co., Inc. | |
4.63% | | | 06/15/251 | | | | 230,000 | | | | 222,497 | |
5.75% | | | 02/01/271 | | | | 285,000 | | | | 280,871 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 912,201 | |
| | | | | | | | | | | | |
|
| Electric — 1.87% | |
Alliant Energy Finance LLC | |
3.75% | | | 06/15/231 | | | | 725,000 | | | | 722,612 | |
American Electric Power Co., Inc. | |
2.03% | | | 03/15/24 | | | | 620,000 | | | | 601,414 | |
Eversource Energy | |
2.90% | | | 03/01/27 | | | | 350,000 | | | | 327,266 | |
Metropolitan Edison Co. | |
4.00% | | | 04/15/251 | | | | 500,000 | | | | 477,486 | |
Pennsylvania Electric Co. | |
4.15% | | | 04/15/251 | | | | 150,000 | | | | 145,315 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,274,093 | |
| | | | | | | | | | | | |
|
| Energy — 1.83% | |
Energy Transfer LP | |
5.95% | | | 12/01/25 | | | | 900,000 | | | | 915,021 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
4.50% | | | 12/15/26 | | | | 350,000 | | | | 342,899 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Energy (continued) | | | | | |
Southern Co. Gas Capital Corp. | |
3.88% | | | 11/15/25 | | | $ | 1,000,000 | | | $ | 973,848 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,231,768 | |
| | | | | | | | | | | | |
|
| Finance — 4.97% | |
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust (Ireland) | |
2.45% | | | 10/29/263 | | | | 400,000 | | | | 359,160 | |
Air Lease Corp. | |
3.63% | | | 04/01/27 | | | | 400,000 | | | | 370,731 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/271,3 | | | | 383,000 | | | | 324,432 | |
Capital One Financial Corp. | |
1.34% | | | 12/06/244 | | | | 610,000 | | | | 588,557 | |
Citigroup, Inc. | |
3.67% | | | 07/24/284 | | | | 1,490,000 | | | | 1,413,877 | |
Goldman Sachs Group, Inc. (The) | |
1.22% | | | 12/06/23 | | | | 545,000 | | | | 529,798 | |
JPMorgan Chase & Co. | |
0.82% | | | 06/01/254 | | | | 125,000 | | | | 118,554 | |
1.04% | | | 02/04/274 | | | | 150,000 | | | | 133,929 | |
2.95% | | | 02/24/284 | | | | 1,085,000 | | | | 1,008,281 | |
Morgan Stanley | |
0.99% | | | 12/10/264 | | | | 855,000 | | | | 762,658 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | | 07/20/274 | | | | 300,000 | | | | 266,443 | |
UBS Group AG | |
(Switzerland) | |
1.36% | | | 01/30/271,3,4 | | | | 200,000 | | | | 175,810 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,052,230 | |
| | | | | | | | | | | | |
|
| Health Care — 0.95% | |
Amgen, Inc. | |
5.15% | | | 03/02/28 | | | | 390,000 | | | | 398,500 | |
HCA, Inc. | | | | | | | | | | | | |
5.38% | | | 02/01/25 | | | | 500,000 | | | | 500,255 | |
5.88% | | | 02/15/26 | | | | 250,000 | | | | 253,950 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,152,705 | |
| | | | | | | | | | | | |
|
| Industrials — 0.78% | |
Amcor Flexibles North America, Inc. | |
4.00% | | | 05/17/25 | | | | 400,000 | | | | 392,555 | |
Berry Global, Inc. | |
5.50% | | | 04/15/281 | | | | 300,000 | | | | 299,243 | |
Boeing Co. (The) | |
1.43% | | | 02/04/24 | | | | 125,000 | | | | 120,843 | |
General Electric Co. | | | | | | | | | | | | |
(MTN) | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.38%) | | | | | |
5.19% | | | 05/05/262 | | | | 142,000 | | | | 140,269 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 952,910 | |
| | | | | | | | | | | | |
Information Technology — 1.11% | | | | | |
Netflix, Inc. | | | | | | | | | | | | |
3.63% | | | 06/15/251 | | | | 490,000 | | | | 476,219 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 218 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | Value |
| |
| CORPORATES (continued) | | | | | |
| |
| Information Technology (continued) | | | | | |
Oracle Corp. | |
5.80% | | | 11/10/25 | | | $ | 300,000 | | | $ | 307,617 | |
VMware, Inc. | |
1.00% | | | 08/15/24 | | | | 610,000 | | | | 575,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,358,943 | |
| | | | | | | | | | | | |
|
| Insurance — 1.53% | |
Athene Global Funding | |
2.51% | | | 03/08/241 | | | | 135,000 | | | | 131,101 | |
|
| (SOFR Index plus 0.70%) | |
5.46% | | | 05/24/241,2 | | | | 500,000 | | | | 495,485 | |
Nationwide Mutual Insurance Co. | |
7.16% | | | 12/15/241,4 | | | | 670,000 | | | | 667,430 | |
Trinity Acquisition PLC | |
(United Kingdom) | |
4.63% | | | 08/15/233 | | | | 570,000 | | | | 568,115 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,862,131 | |
| | | | | | | | | | | | |
|
| Materials — 0.20% | |
International Flavors & Fragrances, Inc. | |
1.83% | | | 10/15/271 | | | | 290,000 | | | | 246,007 | |
| | | | | | | | | | | | |
|
| Services — 0.33% | |
Global Payments, Inc. | |
2.15% | | | 01/15/27 | | | | 455,000 | | | | 403,150 | |
| | | | | | | | | | | | |
|
| Specialized REITs — 0.36% | |
Extra Space Storage LP | |
5.70% | | | 04/01/28 | | | | 245,000 | | | | 246,807 | |
Life Storage LP | |
3.88% | | | 12/15/27 | | | | 205,000 | | | | 194,141 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 440,948 | |
| | | | | | | | | | | | |
Total Corporates | |
(Cost $28,721,007) | | | | 28,249,426 | |
| | | | | | | | | | | | |
|
| MORTGAGE-BACKED — 39.52%** | |
|
| Non-Agency Commercial Mortgage-Backed — 3.76% | |
Commercial Mortgage Trust, | |
Series 2013-CR9, Class ASB | |
3.83% | | | 07/10/45 | | | | 11,249 | | | | 11,212 | |
FS Rialto, | |
Series 2019-FL1, Class A | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.20%) | |
5.93% | | | 12/16/361,2,3 | | | | 378,813 | | | | 375,931 | |
Great Wolf Trust, | |
Series 2019-WOLF, Class A | |
(CME Term SOFR 1-Month plus 1.15%) | |
5.98% | | | 12/15/361,2 | | | | 850,000 | | | | 831,085 | |
Irvine Core Office Trust, | |
Series 2013-IRV, Class A1 | |
2.07% | | | 05/15/481 | | | | 21,181 | | | | 21,147 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2014-C26, Class A3 | |
3.23% | | | 01/15/48 | | | | 244,921 | | | | 234,988 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
KKR Industrial Portfolio Trust, | |
Series 2021-KDIP, Class A | |
(CME Term SOFR 1-Month plus 0.66%) | |
5.49% | | | 12/15/371,2 | | | $ | 568,075 | | | $ | 551,179 | |
MF1 Ltd., | |
Series 2020-FL4, Class A | |
(CME Term SOFR 1-Month plus 1.81%) | |
6.47% | | | 11/15/351,2 | | | | 319,005 | | | | 319,450 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2013-C12, Class XA (IO) | |
0.66% | | | 10/15/464 | | | | 1,791,636 | | | | 1,186 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2014-C15, Class A3 | |
3.77% | | | 04/15/47 | | | | 32,726 | | | | 32,613 | |
MSCG Trust, | |
Series 2018-SELF, Class A | |
(LIBOR USD 1-Month plus 0.90%) | |
5.59% | | | 10/15/371,2 | | | | 1,188,033 | | | | 1,163,269 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2017-SMP, Class A | |
(LIBOR USD 1-Month plus 0.88%) | |
5.56% | | | 12/15/341,2 | | | | 1,100,000 | | | | 1,037,321 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,579,381 | |
| | | | | | | | | | | | |
|
| Non-Agency Mortgage-Backed — 11.01% | |
Aames Mortgage Trust, | |
Series 2002-1, Class A3 (STEP-reset date 05/25/23) | |
7.40% | | | 06/25/32 | | | | 10,980 | | | | 10,659 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-1, Class 1A1 | |
4.11% | | | 05/25/354 | | | | 19,288 | | | | 18,609 | |
Ajax Mortgage Loan Trust, | |
Series 2019-F, Class A1 (STEP-reset date 04/25/23) | |
2.86% | | | 07/25/591 | | | | 151,572 | | | | 143,909 | |
Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | | 11/25/31 | | | | 16,696 | | | | 16,404 | |
Ameriquest Mortgage Securities, Inc., Asset-Backed
Pass- Through Certificates, | |
Series 2005-R10, Class M3 | |
(LIBOR USD 1-Month plus 0.68%) | |
5.52% | | | 01/25/362 | | | | 504,713 | | | | 491,797 | |
Ameriquest Mortgage Securities, Inc., Asset-Backed | |
Pass - Through Certificates, | |
Series 2005-R9, Class M1 | |
(LIBOR USD 1-Month plus 0.71%) | |
5.55% | | | 11/25/352 | | | | 652,876 | | | | 639,522 | |
Banc of America Funding Trust, | |
Series 2003-2, Class 1A1 | |
6.50% | | | 06/25/32 | | | | 2,552 | | | | 2,533 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 1M1 | |
(LIBOR USD 1-Month plus 0.75%) | |
5.60% | | | 03/25/352 | | | | 85,149 | | | | 84,409 | |
See accompanying Notes to Financial Statements.
|
| 219 / Annual Report March 2023 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2006-2, Class M5 | |
(LIBOR USD 1-Month plus 2.03%) | |
6.87% | | 07/25/362 | | $ | 452,666 | | | $ | 450,470 | |
CIT Mortgage Loan Trust, | |
Series 2007-1, Class 1A | |
(LIBOR USD 1-Month plus 1.35%) | |
6.20% | | 10/25/371,2 | | | 410,411 | | | | 408,909 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-AMC4, Class A2D | |
(LIBOR USD 1-Month plus 0.27%) | |
5.12% | | 05/25/372 | | | 172,920 | | | | 168,268 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH4, Class M2 | |
(LIBOR USD 1-Month plus 0.44%) | |
5.28% | | 11/25/362 | | | 552,247 | | | | 539,032 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-4, Class MV5 | |
(LIBOR USD 1-Month plus 1.01%) | |
5.85% | | 10/25/352 | | | 611,081 | | | | 601,029 | |
Credit Suisse First Boston Mortgage Securities | |
Corp., Series 2002-AR31, Class 4A2 | |
4.25% | | 11/25/324 | | | 15,709 | | | | 15,102 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR3, Class 2A2A | |
(LIBOR USD 1-Month plus 0.74%) | |
5.50% | | 07/19/442 | | | 71,885 | | | | 62,983 | |
Encore Credit Receivables Trust, | |
Series 2005-3, Class M4 | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | 10/25/352 | | | 886,163 | | | | 855,412 | |
First Franklin Mortgage Loan Trust, | |
Series 2005-FF8, Class M2 | |
(LIBOR USD 1-Month plus 0.78%) | |
5.63% | | 09/25/352 | | | 535,580 | | | | 529,659 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF11, Class 1A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 08/25/362 | | | 284,564 | | | | 283,609 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FFH1, Class M1 | |
(LIBOR USD 1-Month plus 0.56%) | |
5.40% | | 01/25/362 | | | 643,420 | | | | 608,045 | |
GE Mortgage Services LLC, | |
Series 1998-HE1, Class A7 | |
6.47% | | 06/25/28 | | | 1 | | | | 1 | |
GSAMP Trust, | |
Series 2005-HE5, Class M3 | |
(LIBOR USD 1-Month plus 0.69%) | |
5.54% | | 11/25/352 | | | 214,382 | | | | 210,259 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 12/25/352 | | | 55,959 | | | | 55,300 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
| |
| MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-OPT2, Class M2 | |
(LIBOR USD 1-Month plus 0.59%) | |
5.43% | | 01/25/362 | | $ | 393,753 | | | $ | 382,131 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
(LIBOR USD 1-Month plus 0.78%) | |
5.63% | | 12/25/342 | | | 240,650 | | | | 185,812 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR6, Class 6A1 | |
4.14% | | 10/25/344 | | | 71,466 | | | | 63,436 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-CH4, Class A5 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 05/25/372 | | | 1,242,741 | | | | 1,230,819 | |
JPMorgan Mortgage Trust, | |
Series 2005-A2, Class 9A1 | |
4.13% | | 04/25/354 | | | 66,691 | | | | 62,462 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-12, Class 5A1 | |
4.06% | | 10/25/344 | | | 24,068 | | | | 22,607 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-1, Class I2A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 01/25/472 | | | 286,345 | | | | 278,033 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
4.22% | | 10/25/324 | | | 16,760 | | | | 15,871 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A1, Class 2A | |
(LIBOR USD 12-Month plus 1.63%) | |
7.32% | | 12/25/322 | | | 127,793 | | | | 119,115 | |
MortgageIT Trust, | |
Series 2005-1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 02/25/352 | | | 406,136 | | | | 382,665 | |
Nomura Resecuritization Trust, | |
Series 2014-8R, Class 2A1 | |
3.00% | | 09/26/351,4 | | | 26,190 | | | | 26,146 | |
Nomura Resecuritization Trust, | |
Series 2015-9R, Class 2A1 (STEP-reset date
05/26/23) | |
3.00% | | 05/25/361 | | | 57,301 | | | | 56,835 | |
Ownit Mortgage Loan Trust, | |
Series 2006-3, Class A2D | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 03/25/372 | | | 560,790 | | | | 521,399 | |
Park Place Securities, Inc., Asset-Backed | |
Pass-Through Certificates, | |
Series 2004-WHQ2, Class M4 | |
(LIBOR USD 1-Month plus 1.58%) | |
6.42% | | 02/25/352 | | | 346,981 | | | | 332,408 | |
Park Place Securities, Inc., Asset-Backed | |
Pass-Through Certificates, | |
Series 2005-WHQ3, Class M4 | |
(LIBOR USD 1-Month plus 0.95%) | |
5.79% | | 06/25/352 | | | 78,049 | | | | 77,316 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 220 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
PRPM LLC, | |
Series 2021-3, Class A1 (STEP-reset date
04/25/23) | |
1.87% | | | 04/25/261 | | | $ | 265,485 | | | $ | 247,675 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL1, Class A2 | |
8.50% | | | 11/25/31 | | | | 34,570 | | | | 11,593 | |
Residential Asset Securities Corp., | |
Series 2006-KS3, Class M1 | |
(LIBOR USD 1-Month plus 0.33%) | |
5.34% | | | 04/25/362 | | | | 309,294 | | | | 301,590 | |
Residential Asset Securities Corp., | |
Series 2006-KS5, Class A4 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | | 07/25/362 | | | | 627,453 | | | | 620,285 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 2A1 | |
3.53% | | | 12/25/344 | | | | 53,760 | | | | 44,155 | |
Soundview Home Loan Trust, | |
Series 2005-4, Class M2 | |
(LIBOR USD 1-Month plus 0.71%) | |
5.55% | | | 03/25/362 | | | | 24,519 | | | | 24,524 | |
Soundview Home Loan Trust, | |
Series 2005-OPT1, Class M2 | |
(LIBOR USD 1-Month plus 0.68%) | |
5.52% | | | 06/25/352 | | | | 619,364 | | | | 595,911 | |
Structured Asset Investment Loan Trust, | |
Series 2005-HE3, Class M1 | |
(LIBOR USD 1-Month plus 0.72%) | |
5.57% | | | 09/25/352 | | | | 162,807 | | | | 158,987 | |
Structured Asset Securities Corp. Mortgage Loan | |
Trust, Series 2006-EQ1A, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
4.98% | | | 07/25/361,2 | | | | 108,348 | | | | 107,556 | |
Structured Asset Securities Corp. Mortgage Loan | |
Trust, Series 2006-OPT1, Class A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
5.03% | | | 04/25/362 | | | | 293,656 | | | | 287,967 | |
Terwin Mortgage Trust, | |
Series 2006-5, Class 1A2B | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | | 07/25/371,2 | | | | 511,348 | | | | 496,044 | |
Terwin NIMs Trust, | |
Series 2004-13AL, Class 2PX (IO) | |
0.34% | | | 08/25/341,5,6 | | | | 998,421 | | | | 11,884 | |
Towd Point Mortgage Trust, | |
Series 2019-MH1, Class A1 | |
3.00% | | | 11/25/581,4 | | | | 464,862 | | | | 457,520 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR6, Class A | |
(Federal Reserve US 12-Month Cumulative | |
Average plus 1.40%) | | | | | | | | | | | | |
4.54% | | | 06/25/422 | | | | 8,870 | | | | 7,911 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-AR6, Class A1 | |
3.43% | | | 06/25/334 | | | | 25,309 | | | | 23,150 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
5.35% | | | 06/25/352 | | | $ | 84,211 | | | $ | 70,587 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,420,314 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial
Mortgage-Backed — 2.15% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ28, Class A1 | |
1.77% | | | 02/25/25 | | | | 2,890 | | | | 2,890 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series KJ29, Class A1 | |
0.74% | | | 01/25/26 | | | | 214,369 | | | | 205,852 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series KJ31, Class A1 | |
0.57% | | | 05/25/26 | | | | 135,115 | | | | 129,406 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series KJ32, Class A1 | |
0.52% | | | 06/25/25 | | | | 247,636 | | | | 235,877 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series KJ34, Class A1 | |
0.68% | | | 06/25/26 | | | | 299,735 | | | | 277,421 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series KS07, Class X (IO) | |
0.62% | | | 09/25/254 | | | | 3,352,373 | | | | 46,946 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series Q004, Class AFL | |
(Federal Reserve US 12-Month Cumulative
Average plus 0.74%) | |
4.20% | | | 05/25/442 | | | | 108,389 | | | | 107,728 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, | |
Series Q010, Class APT1 | |
4.34% | | | 04/25/464 | | | | 55,563 | | | | 55,317 | |
Ginnie Mae, | |
Series 2008-92, Class E | |
5.56% | | | 03/16/444 | | | | 95,812 | | | | 94,681 | |
Ginnie Mae, | |
Series 2010-159, Class D | |
4.56% | | | 09/16/444 | | | | 119,689 | | | | 117,398 | |
Ginnie Mae, | |
Series 2011-165, Class IO (IO) | |
0.00% | | | 10/16/514 | | | | 2,121,567 | | | | 21 | |
Ginnie Mae, | |
Series 2011-92, Class C | |
3.73% | | | 04/16/524 | | | | 912,533 | | | | 873,360 | |
Ginnie Mae, | |
Series 2012-135, Class IO (IO) | |
0.34% | | | 01/16/534 | | | | 1,632,715 | | | �� | 14,977 | |
See accompanying Notes to Financial Statements.
|
| 221 / Annual Report March 2023 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
Ginnie Mae, | |
Series 2014-157, Class C | |
3.15% | | | 10/16/544 | | | $ | 470,080 | | | $ | 456,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,618,624 | |
| | | | | | | | | | | | |
|
| U.S. Agency Mortgage-Backed — 22.60% | |
Fannie Mae Pool 254548 | |
5.50% | | | 12/01/32 | | | | 48,645 | | | | 50,244 | |
Fannie Mae Pool 555098 | |
(LIBOR USD 12-Month plus 1.61%) | |
3.86% | | | 11/01/322 | | | | 5,525 | | | | 5,407 | |
Fannie Mae Pool 555424 | |
5.50% | | | 05/01/33 | | | | 32,530 | | | | 33,634 | |
Fannie Mae Pool 655133 | |
7.00% | | | 08/01/32 | | | | 5,325 | | | | 5,365 | |
Fannie Mae Pool 655151 | |
7.00% | | | 08/01/32 | | | | 4,245 | | | | 4,236 | |
Fannie Mae Pool 762525 | |
6.50% | | | 11/01/33 | | | | 8,579 | | | | 8,530 | |
Fannie Mae Pool 770900 | |
(LIBOR USD 12-Month plus 1.56%) | |
2.94% | | | 04/01/342 | | | | 54,733 | | | | 54,651 | |
Fannie Mae Pool AD0538 | |
6.00% | | | 05/01/24 | | | | 2,469 | | | | 2,468 | |
Fannie Mae Pool AE0443 | |
6.50% | | | 10/01/39 | | | | 38,273 | | | | 40,329 | |
Fannie Mae Pool AL0851 | |
6.00% | | | 10/01/40 | | | | 33,837 | | | | 35,842 | |
Fannie Mae REMICS, | |
Series 1993-80, Class S | |
(-1.22 X LIBOR USD 1-Month plus 10.88%,
10.88% Cap) | |
4.96% | | | 05/25/232 | | | | 2 | | | | 2 | |
Fannie Mae REMICS, | |
Series 2001-42, Class SB | |
(-16.00 X LIBOR USD 1-Month plus 128.00%,
8.50% Cap) | |
8.50% | | | 09/25/312 | | | | 612 | | | | 608 | |
Fannie Mae REMICS, | |
Series 2001-60, Class OF | |
(LIBOR USD 1-Month plus 0.95%) | |
5.80% | | | 10/25/312 | | | | 45,917 | | | | 46,415 | |
Fannie Mae REMICS, | |
Series 2002-30, Class FB | |
(LIBOR USD 1-Month plus 1.00%) | |
5.85% | | | 08/25/312 | | | | 46,494 | | | | 46,875 | |
Fannie Mae REMICS, | |
Series 2003-124, Class TS | |
(-14.00 X LIBOR USD 1-Month plus 100.80%,
9.80% Cap) | |
9.80% | | | 01/25/342 | | | | 7,000 | | | | 7,100 | |
Fannie Mae REMICS, | |
Series 2004-60, Class FW | |
(LIBOR USD 1-Month plus 0.45%) | |
5.30% | | | 04/25/342 | | | | 117,942 | | | | 117,921 | |
Fannie Mae REMICS, | |
Series 2004-96, Class MT | |
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap) | |
7.00% | | | 12/25/342 | | | | 10,049 | | | | 9,433 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2005-73, Class DF | |
(LIBOR USD 1-Month plus 0.25%) | |
5.10% | | 08/25/352 | | $ | 71,350 | | | $ | 70,576 | |
Fannie Mae REMICS, | |
Series 2007-68, Class SC (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) | |
1.85% | | 07/25/372 | | | 52,744 | | | | 5,830 | |
Fannie Mae REMICS, | |
Series 2010-109, Class PF | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 10/25/402 | | | 33,008 | | | | 32,791 | |
Fannie Mae REMICS, | |
Series 2010-26, Class S (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | |
1.38% | | 11/25/362 | | | 200,254 | | | | 22,007 | |
Fannie Mae REMICS, | |
Series 2010-95, Class FB | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 09/25/402 | | | 41,893 | | | | 41,861 | |
Fannie Mae REMICS, | |
Series 2011-47, Class GF | |
(LIBOR USD 1-Month plus 0.57%) | |
5.42% | | 06/25/412 | | | 651,439 | | | | 646,404 | |
Fannie Mae REMICS, | |
Series 2018-79, Class FA | |
(LIBOR USD 1-Month plus 0.25%) | |
5.10% | | 11/25/482 | | | 43,153 | | | | 42,323 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 01/25/502 | | | 96,759 | | | | 94,820 | |
Fannie Mae REMICS, | |
Series 2020-10, Class FA | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 03/25/502 | | | 286,409 | | | | 282,584 | |
Freddie Mac Pool SD8189 | |
2.50% | | 01/01/52 | | | 668,446 | | | | 576,946 | |
Freddie Mac Pool SD8199 | |
2.00% | | 03/01/52 | | | 759,031 | | | | 627,224 | |
Freddie Mac REMICS, | |
Series 1526, Class L | |
6.50% | | 06/15/23 | | | 20 | | | | 20 | |
Freddie Mac REMICS, | |
Series 2368, Class AF | |
(LIBOR USD 1-Month plus 0.95%) | |
5.63% | | 10/15/312 | | | 36,803 | | | | 37,109 | |
Freddie Mac REMICS, | |
Series 2733, Class FB | |
(LIBOR USD 1-Month plus 0.60%) | |
5.28% | | 10/15/332 | | | 317,511 | | | | 319,832 | |
Freddie Mac REMICS, | |
Series 2990, Class LE | |
(LIBOR USD 1-Month plus 0.32%) | |
5.00% | | 10/15/342 | | | 1,401 | | | | 1,401 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 222 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 3085, Class FW | |
(LIBOR USD 1-Month plus 0.70%) | |
5.38% | | 08/15/352 | | $ | 205,373 | | | $ | 206,054 | |
Freddie Mac REMICS, | |
Series 3300, Class FA | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 08/15/352 | | | 191,133 | | | | 189,438 | |
Freddie Mac REMICS, | |
Series 3325, Class NF | |
(LIBOR USD 1-Month plus 0.30%) | |
4.98% | | 08/15/352 | | | 38,396 | | | | 38,055 | |
Freddie Mac REMICS, | |
Series 3792, Class DF | |
(LIBOR USD 1-Month plus 0.40%) | |
5.08% | | 11/15/402 | | | 8,413 | | | | 8,405 | |
Freddie Mac REMICS, | |
Series 3895, Class BF | |
(LIBOR USD 1-Month plus 0.50%) | |
5.18% | | 07/15/412 | | | 130,248 | | | | 129,675 | |
Freddie Mac REMICS, | |
Series 3907, Class FM | |
(LIBOR USD 1-Month plus 0.35%) | |
5.03% | | 05/15/262 | | | 10,106 | | | | 10,106 | |
Freddie Mac REMICS, | |
Series 3946, Class FD | |
(LIBOR USD 1-Month plus 0.35%) | |
5.03% | | 04/15/412 | | | 17,638 | | | | 17,625 | |
Freddie Mac Strips, | |
Series 263, Class F5 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.18% | | 06/15/422 | | | 150,588 | | | | 148,679 | |
Ginnie Mae (TBA) | |
2.50% | | 05/20/53 | | | 4,225,000 | | | | 3,723,901 | |
4.50% | | 04/20/53 | | | 525,000 | | | | 517,313 | |
5.00% | | 04/20/53 | | | 225,000 | | | | 225,299 | |
Ginnie Mae II Pool 80546 | |
(US Treasury Yield Curve Rate T Note Constant | |
Maturity 1-Year plus 1.50%) | |
2.75% | | 10/20/312 | | | 4,444 | | | | 4,339 | |
Ginnie Mae II Pool 80610 | |
(US Treasury Yield Curve Rate T Note Constant | |
Maturity 1-Year plus 1.50%) | |
2.88% | | 06/20/322 | | | 58,726 | | | | 58,034 | |
Ginnie Mae II Pool 80614 | |
(US Treasury Yield Curve Rate T Note Constant | |
Maturity 1-Year plus 1.50%) | |
2.63% | | 07/20/322 | | | 5,300 | | | | 5,189 | |
Ginnie Mae II Pool 80687 | |
(US Treasury Yield Curve Rate T Note Constant | |
Maturity 1-Year plus 1.50%) | |
2.88% | | 04/20/332 | | | 44,384 | | | | 43,599 | |
Ginnie Mae II Pool 8339 | |
(US Treasury Yield Curve Rate T Note Constant | |
Maturity 1-Year plus 1.50%) | |
2.75% | | 12/20/232 | | | 893 | | | | 888 | |
| | | | | | | | | | | | |
| | | |
| 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%) | |
2.63% | | | 08/20/252 | | | $ | 6,477 | | | $ | 6,380 | |
Ginnie Mae II Pool MA0331 | |
(US Treasury Yield Curve Rate T Note | |
Constant Maturity 1-Year plus 1.50%) | |
2.63% | | | 08/20/422 | | | | 39,218 | | | | 38,645 | |
Ginnie Mae, | |
Series 2002-72, Class FB | |
(LIBOR USD 1-Month plus 0.40%) | |
5.16% | | | 10/20/322 | | | | 35,379 | | | | 35,348 | |
Ginnie Mae, | |
Series 2002-72, Class FC | |
(LIBOR USD 1-Month plus 0.40%) | |
5.16% | | | 10/20/322 | | | | 52,188 | | | | 52,142 | |
Ginnie Mae, | |
Series 2004-2, Class FW | |
(LIBOR USD 1-Month plus 1.40%) | |
6.06% | | | 01/16/342 | | | | 272,897 | | | | 275,382 | |
Ginnie Mae, | |
Series 2009-92, Class FC | |
(LIBOR USD 1-Month plus 0.80%) | |
5.53% | | | 10/16/392 | | | | 64,494 | | | | 65,040 | |
Ginnie Mae, | |
Series 2010-19, Class FD | |
(LIBOR USD 1-Month plus 0.45%) | |
5.18% | | | 07/16/392 | | | | 17,571 | | �� | | 17,630 | |
Ginnie Mae, | |
Series 2011-70, Class IL (IO) | |
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) | |
0.60% | | | 06/16/372 | | | | 989,619 | | | | 5,984 | |
UMBS (TBA) | |
2.00% | | | 05/01/53 | | | | 1,725,000 | | | | 1,427,470 | |
2.50% | | | 05/01/53 | | | | 3,575,000 | | | | 3,085,395 | |
3.00% | | | 05/01/53 | | | | 2,550,000 | | | | 2,289,722 | |
3.50% | | | 05/01/53 | | | | 200,000 | | | | 185,908 | |
4.00% | | | 05/01/53 | | | | 1,675,000 | | | | 1,603,027 | |
4.50% | | | 04/15/53 | | | | 400,000 | | | | 391,911 | |
4.50% | | | 05/01/53 | | | | 2,475,000 | | | | 2,425,768 | |
5.00% | | | 04/01/53 | | | | 1,225,000 | | | | 1,221,842 | |
5.00% | | | 05/01/53 | | | | 3,525,000 | | | | 3,515,224 | |
5.50% | | | 04/01/53 | | | | 2,275,000 | | | | 2,298,150 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 27,538,355 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $48,903,837) | | | | 48,156,674 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.77%* | |
Colorado — 0.77% | |
| City & County of Denver Airport System Revenue Bonds, Series C | | | | | |
0.88% | | | 11/15/23 | | | | 965,000 | | | | 939,591 | |
| | | | | | | | | | | | |
|
| Total Municipal Bonds | |
(Cost $965,000) | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 223 / Annual Report March 2023 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
|
| U.S. TREASURY SECURITIES — 36.53% | |
|
U.S. Agency Discount Notes — 1.81% | |
U.S. International Development Finance Corp., Series 2 | |
1.49% | | | 08/15/31 | | | $ | 2,462,703 | | | $ | 2,202,023 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bonds — 0.75% | |
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | |
1.63% | | | 10/15/277 | | | | 901,867 | | | | 919,813 | |
| | | | | | | | | | | | |
|
U.S. Treasury Notes — 33.97% | |
U.S. Treasury Notes | |
3.63% | | | 03/31/28 | | | | 600,000 | | | | 601,102 | |
3.88% | | | 03/31/25 | | | | 21,945,000 | | | | 21,880,279 | |
4.00% | | | 02/29/28 | | | | 75,000 | | | | 76,371 | |
4.63% | | | 02/28/25 | | | | 12,894,000 | | | | 13,020,170 | |
4.63% | | | 03/15/26 | | | | 5,680,000 | | | | 5,809,797 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,387,719 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $44,703,518) | | | | 44,509,555 | |
| | | | | | | | | | | | |
|
Total Bonds — 106.72% | |
(Cost $131,743,007) | | | | | | | | 130,040,859 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount/Shares | | | Value | |
|
| SHORT-TERM INVESTMENTS — 15.33% | |
|
Money Market Funds — 9.02% | |
Dreyfus Government Cash Management Fund | |
4.71%8 | | | | | | | 5,050,000 | | | | 5,050,000 | |
Fidelity Investments Money Market Funds - Government Portfolio | |
4.72%8 | | | | | | | 20,636 | | | | 20,636 | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio | |
4.73%8 | | | | | | | 5,919,000 | | | | 5,919,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,989,636 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 6.31% | |
U.S. Treasury Bills | |
4.75%9 | | | 08/03/23 | | | | 2,803,000 | | | | 2,758,307 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount/Shares | | | Value | |
|
| SHORT-TERM INVESTMENTS (continued) | |
|
U.S. Treasury Bills (continued) | |
U.S. Treasury Bills (WI) | |
4.76%9 | | | 07/18/23 | | | $ | 5,000,000 | | | $ | 4,931,505 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,689,812 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $18,677,523) | | | | 18,679,448 | |
| | | | | | | | | | | | |
| |
Total Investments - 122.05% | | | | | |
(Cost $150,420,530) | | | | 148,720,307 | |
| | | | | | | | | | | | |
| |
| Liabilities in Excess of Other Assets - (22.05)% | | | | (26,873,119 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 121,847,188 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 $11,884, which is 0.01% of total net assets. |
| 7 | Inflation protected security. Principal amount reflects original security face amount. |
| 8 | Represents the current yield as of March 31, 2023. |
| 9 | Represents annualized yield at date of purchase. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EUR): Euro
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 224 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to
be Sold | | | Counterparty | | | Settlement
Date | | | Unrealized
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | | | | | | | |
USD 64,391 | | | EUR 61,000 | | | | Goldman Sachs International | | | | 04/13/23 | | | $ | (1,931) | |
USD 448,668 | | | EUR 415,000 | | | | Citibank N.A. | | | | 04/13/23 | | | | (2,537) | |
| | | | | | | | | | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | | | | | | $ | (4,468) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 131 | | | | 06/30/23 | | | $ | 27,045,360 | | | $ | 291,511 | | | $ | 291,511 | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | | 165 | | | | 06/30/23 | | | | (18,068,789) | | | | (286,504) | | | | (286,504) | |
U.S. Treasury Ten-Year Ultra Bond | | | 47 | | | | 06/21/23 | | | | (5,693,609) | | | | (101,223) | | | | (101,223) | |
U.S. Treasury Ultra Bond | | | 13 | | | | 06/21/23 | | | | (1,834,625) | | | | (44,021) | | | | (44,021) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (25,597,023) | | | | (431,748) | | | | (431,748) | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 1,448,337 | | | $ | (140,237) | | | $ | (140,237) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Reference Obligation/Index | | Financing Rate Paid by the Fund | | Payment Frequency | | Implied Credit Spread
at 03/31/231 | | Counterparty | | Expiration Date | | | Notional Amount (000’s)2 | | | Value3 | | | Premiums Paid | | | Unrealized Appreciation | |
| | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4 | | | | | | | | | |
| | Credit Suisse | | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | First Boston | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | 5.00% | | 3 Months | | 175 | | International | | | 12/20/23 | | | $ | 390 | | | $ | 9,637 | | | $ | 8,640 | | | $ | 997 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
See accompanying Notes to Financial Statements.
|
| 225 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
BONDS – 114.57% | |
|
| ASSET-BACKED SECURITIES — 12.67%** | |
321 Henderson Receivables VI LLC, | |
Series 2010-1A, Class B | |
9.31% | | 07/15/611 | | $ | 176,990 | | | $ | 185,513 | |
AIG CLO Ltd., | |
Series 2018-1A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
6.51% | | 04/20/321,2,3 | | | 15,800,000 | | | | 15,420,800 | |
Allegro CLO XII Ltd., | |
Series 2020-1A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
6.52% | | 01/21/321,2,3 | | | 5,270,000 | | | | 5,135,088 | |
AMSR Trust, | |
Series 2020-SFR1, Class G | |
4.31% | | 04/17/371 | | | 10,503,000 | | | | 9,817,467 | |
AMSR Trust, | |
Series 2020-SFR3, Class H | |
6.50% | | 09/17/371 | | | 6,000,000 | | | | 5,760,919 | |
AMSR Trust, | |
Series 2022-SFR3, Class E1 | |
4.00% | | 10/17/391 | | | 10,000,000 | | | | 8,685,542 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
(LIBOR USD 1-Month plus 0.45%) | |
5.30% | | 04/25/351,2 | | | 450,419 | | | | 428,204 | |
Blackrock Rainier CLO VI Ltd., | |
Series 2021-6A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.70%) | |
6.51% | | 04/20/331,2,3 | | | 10,000,000 | | | | 9,788,700 | |
BlueMountain Fuji U.S. CLO I Ltd., | |
Series 2017-1A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.50%) | |
6.31% | | 07/20/291,2,3 | | | 5,500,000 | | | | 5,340,082 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
(LIBOR USD 3-Month plus 0.80%) | |
5.76% | | 02/25/302 | | | 185 | | | | 184 | |
Carvana Auto Receivables Trust, | |
Series 2021-N3, Class R | |
0.00% | | 06/12/281 | | | 19,250 | | | | 4,514,941 | |
Carvana Auto Receivables Trust, | |
Series 2021-N4, Class R | |
0.00% | | 09/12/281 | | | 19,100 | | | | 4,326,054 | |
Carvana Auto Receivables Trust, | |
Series 2021-P4, Class R | |
0.00% | | 09/11/281 | | | 14,200 | | | | 5,936,816 | |
Carvana Auto Receivables Trust, | |
Series 2022-N1, Class R | |
0.00% | | 12/11/281 | | | 71,000 | | | | 13,427,406 | |
Carvana Auto Receivables Trust, | |
Series 2022-P2, Class R | |
1.00% | | 05/10/291 | | | 54,850 | | | | 10,965,352 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| ASSET-BACKED SECURITIES (continued) | |
Cedar Funding XII CLO Ltd., | |
Series 2020-12A, Class A1R | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.13%) | |
5.95% | | 10/25/341,2,3 | | $ | 1,000,000 | | | $ | 971,728 | |
CF Hippolyta Issuer, LLC, | |
Series 2020-1, Class B1 | |
2.28% | | 07/15/601 | | | 7,220,052 | | | | 6,529,417 | |
CIT Education Loan Trust, | |
Series 2007-1, Class B | |
(LIBOR USD 3-Month plus 0.30%) | |
5.43% | | 06/25/421,2 | | | 1,482,563 | | | | 1,286,169 | |
CoreVest American Finance Trust, | |
Series 2019-1, Class XA (IO) | |
2.28% | | 03/15/521,4 | | | 2,485,282 | | | | 80,112 | |
CoreVest American Finance Trust, | |
Series 2019-3, Class XA (IO) | |
2.04% | | 10/15/521,4 | | | 4,575,095 | | | | 188,547 | |
CoreVest American Finance Trust, | |
Series 2020-1, Class A2 | |
2.30% | | 03/15/501 | | | 5,197,000 | | | | 4,658,406 | |
CoreVest American Finance Trust, | |
Series 2020-4, Class XA (IO) | |
3.84% | | 12/15/521,4 | | | 22,301,538 | | | | 1,898,389 | |
CoreVest American Finance Trust, | |
Series 2020-4, Class XB (IO) | |
2.79% | | 12/15/521,4 | | | 12,500,000 | | | | 1,096,883 | |
CoreVest American Finance Trust, | |
Series 2021-3, Class XA (IO) | |
2.39% | | 10/15/541,4 | | | 69,941,591 | | | | 4,821,291 | |
DataBank Issuer, | |
Series 2021-1A, Class A2 | |
2.06% | | 02/27/511 | | | 6,047,860 | | | | 5,437,556 | |
Edsouth Indenture No. 3 LLC, | |
Series 2012-2, Class A | |
(LIBOR USD 1-Month plus 0.73%) | |
5.58% | | 04/25/391,2 | | | 42,794 | | | | 42,313 | |
Educational Funding of the South, Inc., | |
Series 2012-1, Class A | |
(LIBOR USD 1-Month plus 1.05%) | |
5.90% | | 03/25/362 | | | 27,444 | | | | 27,417 | |
EFS Volunteer No. 2 LLC, | |
Series 2012-1, Class A2 | |
(LIBOR USD 1-Month plus 1.35%) | |
6.20% | | 03/25/361,2 | | | 1,167,423 | | | | 1,165,325 | |
Flexential Issuer, | |
Series 2021-1A, Class C | |
6.93% | | 11/27/511 | | | 9,755,000 | | | | 8,315,010 | |
FRTKL, | |
Series 2021-SFR1, Class G | |
4.11% | | 09/17/381 | | | 9,435,000 | | | | 7,984,696 | |
GBX Leasing, | |
Series 2022-1, Class A | |
2.87% | | 02/20/521 | | | 9,625,611 | | | | 8,384,185 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 226 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | Value |
|
| ASSET-BACKED SECURITIES (continued) | |
Global SC Finance II SRL, | |
Series 2014-1A, Class A2 (Barbados) | |
3.09% | | 07/17/291,3 | | $ | 338,328 | | | $ | 327,054 | |
Goal Capital Funding Trust, | |
Series 2006-1, Class B | |
(LIBOR USD 3-Month plus 0.45%) | |
5.41% | | 08/25/422 | | | 244,493 | | | | 224,003 | |
GoldenTree Loan Management U.S. CLO 1 Ltd., | |
Series 2021-9A, Class B | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.50%) | |
6.31% | | 01/20/331,2,3 | | | 3,905,000 | | | | 3,769,887 | |
Golub Capital Partners CLO 54M L.P, | |
Series 2021-54A, Class A | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.53%) | |
6.34% | | 08/05/331,2,3 | | | 9,600,000 | | | | 9,327,437 | |
J.G. Wentworth XXXVII LLC, | |
Series 2016-1A, Class A | |
3.41% | | 06/15/671 | | | 5,122,932 | | | | 4,588,190 | |
J.G. Wentworth XXXVIII LLC, | |
Series 2017-1A, Class A | |
3.99% | | 08/16/601 | | | 2,977,683 | | | | 2,713,047 | |
LCM XXI LP, | |
Series 21A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 0.88%) | |
5.69% | | 04/20/281,2,3 | | | 611,281 | | | | 610,040 | |
Magnetite XXI Ltd., | |
Series 2019-21A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.35%) | |
6.16% | | 04/20/341,2,3 | | | 8,000,000 | | | | 7,593,760 | |
Nelnet Student Loan Trust, | |
Series 2006-2, Class B | |
(LIBOR USD 3-Month plus 0.20%) | |
5.02% | | 01/25/382 | | | 2,083,625 | | | | 1,757,889 | |
Nelnet Student Loan Trust, | |
Series 2012-5A, Class A | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 10/27/361,2 | | | 56,891 | | | | 55,232 | |
Nelnet Student Loan Trust, | |
Series 2014-4A, Class A2 | |
(LIBOR USD 1-Month plus 0.95%) | |
5.80% | | 11/25/481,2 | | | 1,865,000 | | | | 1,825,665 | |
Nelnet Student Loan Trust, | |
Series 2015-1A, Class A | |
(LIBOR USD 1-Month plus 0.59%) | |
5.44% | | 04/25/461,2 | | | 1,227,926 | | | | 1,183,997 | |
Nelnet Student Loan Trust, | |
Series 2015-3A, Class A3 | |
(LIBOR USD 1-Month plus 0.90%) | |
5.75% | | 06/25/541,2 | | | 11,000,000 | | | | 10,598,781 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | Value |
|
| ASSET-BACKED SECURITIES (continued) | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class AR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.16%) | |
5.95% | | 07/15/361,2,3 | | $ | 6,610,000 | | | $ | 6,441,372 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.30%) | |
5.93% | | 02/24/371,2,3 | | | 5,000,000 | | | | 4,908,550 | |
OHA Credit Funding 8 Ltd., | |
Series 2021-8A, Class B1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.50%) | |
6.29% | | 01/18/341,2,3 | | | 6,650,000 | | | | 6,390,650 | |
Park Avenue Institutional Advisers CLO Ltd., | |
Series 2021-1A, Class A2 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.75%) | |
6.56% | | 01/20/341,2,3 | | | 4,850,000 | | | | 4,651,591 | |
Progress Residential Trust, | |
Series 2019-SFR3, Class F | |
3.87% | | 09/17/361 | | | 8,200,000 | | | | 7,827,195 | |
Progress Residential Trust, | |
Series 2020-SFR1, Class H | |
5.27% | | 04/17/371 | | | 7,100,000 | | | | 6,585,464 | |
Progress Residential Trust, | |
Series 2021-SFR2, Class G | |
4.25% | | 04/19/381 | | | 7,956,000 | | | | 6,938,367 | |
Progress Residential, | |
Series 2021-SFR3, Class F | |
3.44% | | 05/17/261 | | | 3,700,000 | | | | 3,288,224 | |
Progress Residential, | |
Series 2021-SFR3, Class G | |
4.25% | | 05/17/261 | | | 15,752,000 | | | | 13,947,297 | |
Regata XII Funding Ltd., | |
Series 2019-1A, Class BR | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.60%) | |
6.39% | | 10/15/321,2,3 | | | 3,890,000 | | | | 3,770,577 | |
Sabey Data Center Issuer LLC, | |
Series 2020-1, Class A2 | |
3.81% | | 04/20/451 | | | 7,905,000 | | | | 7,564,037 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | 05/10/374,5,6 | | | 9,099,352 | | | | 8,213,942 | |
SLC Student Loan Trust, | |
Series 2004-1, Class B | |
(LIBOR USD 3-Month plus 0.29%) | |
5.15% | | 08/15/312 | | | 317,042 | | | | 277,309 | |
SLM Student Loan EDC Repackaging Trust, | |
Series 2013-M1, Class M1R | |
0.00% | | 10/28/291 | | | 6,250 | | | | 3,397,328 | |
SLM Student Loan Trust, | |
Series 2003-12, Class B | |
(LIBOR USD 3-Month plus 0.59%) | |
5.46% | | 12/15/682 | | | 2,891,851 | | | | 2,750,040 | |
See accompanying Notes to Financial Statements.
|
| 227 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, | | | | | |
| Series 2003-4, Class A5D | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
5.62% | | 03/15/331,2 | | $ | 1,385,811 | | | $ | 1,324,344 | |
| SLM Student Loan Trust, | | | | | |
| Series 2003-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.57%) | | | | | |
5.44% | | 09/15/392 | | | 2,063,782 | | | | 1,900,486 | |
| SLM Student Loan Trust, | | | | | |
| Series 2004-10, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.37%) | | | | | |
5.19% | | 01/25/402 | | | 6,642,853 | | | | 5,865,317 | |
| SLM Student Loan Trust, | | | | | |
| Series 2004-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
5.29% | | 07/25/392 | | | 354,786 | | | | 331,171 | |
| SLM Student Loan Trust, | | | | | |
| Series 2005-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.15%) | | | | | |
4.97% | | 04/25/402 | | | 2,254,497 | | | | 2,074,404 | |
| SLM Student Loan Trust, | | | | | |
| Series 2006-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.23%) | | | | | |
5.05% | | 01/25/412 | | | 2,406,780 | | | | 2,208,648 | |
| SLM Student Loan Trust, | | | | | |
| Series 2007-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
5.57% | | 10/27/702 | | | 2,195,000 | | | | 1,871,971 | |
| SLM Student Loan Trust, | | | | | |
| Series 2007-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
5.82% | | 04/27/832 | | | 3,816,297 | | | | 3,518,903 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | 01/25/832 | | | 1,000,000 | | | | 883,187 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
6.02% | | 04/26/832 | | | 710,000 | | | | 660,456 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-4, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
6.47% | | 07/25/222 | | | 744,563 | | | | 739,550 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-4, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 04/25/732 | | | 710,000 | | | | 681,664 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-5, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/25/732 | | | 7,315,000 | | | | 6,838,759 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-6, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
5.92% | | 07/25/232 | | | 8,480,101 | | | | 8,260,319 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value | |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/832 | | $ | 710,000 | | | $ | 658,901 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
6.67% | | 07/26/832 | | | 820,000 | | | | 761,461 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
7.07% | | 10/25/752 | | | 735,000 | | | | 716,211 | |
| SLM Student Loan Trust, | | | | | |
| Series 2008-9, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
7.07% | | 10/25/832 | | | 7,235,000 | | | | 7,144,014 | |
| SLM Student Loan Trust, | | | | | |
| Series 2012-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
5.80% | | 09/25/282 | | | 626,488 | | | | 597,536 | |
| SLM Student Loan Trust, | | | | | |
| Series 2012-2, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
5.55% | | 01/25/292 | | | 926,032 | | | | 893,371 | |
| SLM Student Loan Trust, | | | | | |
| Series 2012-7, Class B | | | | | |
| (LIBOR USD 1-Month plus 1.80%) | | | | | |
6.65% | | 09/25/432 | | | 2,200,000 | | | | 2,048,772 | |
| SLM Student Loan Trust, | | | | | |
| Series 2013-4, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
5.40% | | 06/25/432 | | | 802,793 | | | | 776,647 | |
| SLM Student Loan Trust, | | | | | |
| Series 2014-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
5.45% | | 02/26/292 | | | 793,574 | | | | 763,261 | |
| Stack Infrastructure Issuer LLC, | | | | | |
| Series 2019-2A, Class A2 | | | | | |
3.08% | | 10/25/441 | | | 5,000,000 | | | | 4,755,825 | |
| Structured Receivables Finance LLC, | | | | | |
| Series 2010-A, Class B | | | | | |
7.61% | | 01/16/461 | | | 1,353,458 | | | | 1,366,263 | |
| Structured Receivables Finance LLC, | | | | | |
| Series 2010-B, Class B | | | | | |
7.97% | | 08/15/361 | | | 1,005,616 | | | | 1,040,998 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
| Series 2002-2, Class B2 | | | | | |
| (28 Day Auction Rate plus 0.00%) | | | | | |
1.61% | | 07/01/421,2 | | | 150,000 | | | | 138,578 | |
| Textainer Marine Containers VII Ltd., | | | | | |
| Series 2020-3A, Class A | | | | | |
| (Bermuda) | | | | | |
2.11% | | 09/20/451,3 | | | 6,720,750 | | | | 5,954,996 | |
| TIF Funding II LLC, | | | | | |
| Series 2020-1A, Class A | | | | | |
2.09% | | 08/20/451 | | | 2,897,950 | | | | 2,555,917 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 228 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| ASSET-BACKED SECURITIES (continued) | | | | | |
TIF Funding II, LLC, | |
Series 2021-1A, Class B | |
2.54% | | | 02/20/461 | | | $ | 3,283,438 | | | $ | 2,717,109 | |
TRESTLES CLO V Ltd., | |
Series 2021-5A, Class A1 | |
(Cayman Islands) | |
(LIBOR USD 3-Month plus 1.17%) | |
5.98% | | | 10/20/341,2,3 | | | | 7,025,000 | | | | 6,841,788 | |
Triton Container Finance VIII, LLC, | |
Series 2021-1A, Class B | |
2.58% | | | 03/20/461 | | | | 2,543,950 | | | | 2,127,986 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | | | | | |
(Cost $391,153,305) | | | | 363,166,250 | |
| | | | | | | | | | | | |
|
BANK LOANS — 3.82%* | |
| Automotive — 0.02% | |
Clarios Global LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | | 04/30/262 | | | | 507,125 | | | | 505,434 | |
| | | | | | | | | | | | |
|
| Communications — 0.19% | |
CCI Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.74% | | | 12/17/272 | | | | 1,481,108 | | | | 1,464,446 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
7.18% | | | 04/15/272 | | | | 526,196 | | | | 466,507 | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.32% | | | 01/17/282 | | | | 529,558 | | | | 491,827 | |
Frontier Communications Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.62% | | | 05/01/282 | | | | 516,130 | | | | 491,614 | |
SBA Senior Finance II LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
6.60% | | | 04/11/252 | | | | 1,184,275 | | | | 1,185,080 | |
Zayo Group Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | | 03/09/272 | | | | 563,487 | | | | 460,907 | |
(SOFR plus 4.25%) | |
9.06% | | | 03/09/272 | | | | 1,047,674 | | | | 833,948 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,394,329 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 0.26% | |
ADMI Corp., | |
Term Loan B2, 1st Lien | |
(LIBOR plus 3.38%) | |
8.11% | | | 12/23/272 | | | | 1,470,000 | | | | 1,365,564 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Consumer Discretionary (continued) | | | | | |
Naked Juice, LLC, | |
Term Loan, 2nd Lien | |
(SOFR plus 6.00%) | |
11.00% | | | 01/24/302 | | | $ | 374,515 | | | $ | 287,128 | |
Sunshine Luxembourg VII SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.91% | | | 10/01/262 | | | | 587,252 | | | | 582,528 | |
Triton Water Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.23% | | | 03/31/282 | | | | 5,723,072 | | | | 5,159,721 | |
Waystar technologies, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | | 10/22/262 | | | | 3,882 | | | | 3,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,398,816 | |
| | | | | | | | | | | | |
|
| Electric — 0.02% | |
CommScope, Inc., | |
Term Loan B2, 1st Lien (France) | |
(LIBOR plus 3.25%) | |
8.09% | | | 04/06/262,3 | | | | 329,062 | | | | 317,390 | |
Homer City Generation LP, | |
Term Loan, 1st Lien (France) | |
(LIBOR plus 11.00%) | |
15.00% | | | 04/05/232,5,6 | | | | 575,805 | | | | 386,748 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 704,138 | |
| | | | | | | | | | | | |
|
| Entertainment — 0.11% | |
Alpha Topco Ltd. - Delta 2 (Lux) Sarl, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.05% | | | 01/15/302 | | | | 141,635 | | | | 141,872 | |
Cineworld Finance U.S., Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.50%) | |
9.50% | | | 02/28/252 | | | | 1,924,096 | | | | 303,651 | |
Crown Finance U.S., Inc., | |
Delayed-Draw Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 10.10%) | |
14.66% - 14.80% | | | 09/07/232,3 | | | | 1,455,631 | | | | 1,478,623 | |
Elanco Animal Health, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
6.41% | | | 08/01/272 | | | | 1,224,214 | | | | 1,199,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,123,771 | |
| | | | | | | | | | | | |
|
| Finance — 0.10% | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.25%) | |
7.01% | | | 12/01/272 | | | | 1,964,824 | | | | 1,969,324 | |
DCG Acquisition Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.60%) | |
9.41% | | | 09/30/262 | | | | 366,570 | | | | 356,489 | |
See accompanying Notes to Financial Statements.
|
| 229 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Finance (continued) | | | | | |
Deerfield Dakota Holding LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.46% | | | 04/09/272 | | | $ | 200,199 | | | $ | 194,360 | |
Mozart Borrower, LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.09% | | | 10/23/282 | | | | 495,000 | | | | 483,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,003,456 | |
| | | | | | | | | | | | |
|
| Food — 0.02% | |
Hostess Brands LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
7.08% | | | 08/03/252 | | | | 701,035 | | | | 702,307 | |
| | | | | | | | | | | | |
|
| Gaming — 0.08% | |
Golden Nugget, LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.81% | | | 01/26/292 | | | | 689,460 | | | | 680,373 | |
J&J Ventures Gaming LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | | 04/26/282 | | | | 517,792 | | | | 503,015 | |
Penn National Gaming, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.66% | | | 05/03/292 | | | | 609,308 | | | | 608,814 | |
Scientific Games International, Inc., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 3.10%) | |
7.96% | | | 04/13/292,3 | | | | 584,557 | | | | 581,024 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,373,226 | |
| | | | | | | | | | | | |
|
| Health Care — 0.25% | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | |
6.51% | | | 01/15/252 | | | | 175,812 | | | | 176,106 | |
Bausch & Lomb Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.36% | | | 05/10/272 | | | | 312,312 | | | | 304,070 | |
Curia Global, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.53% | | | 08/28/262 | | | | 1,097,215 | | | | 940,522 | |
Genesee & Wyoming, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 2.10%) | |
6.86% | | | 12/30/262 | | | | 771,078 | | | | 767,223 | |
Jazz Financing Lux SARL, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | | 05/05/282 | | | | 566,551 | | | | 565,075 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value |
| |
| BANK LOANS (continued) | | | | | |
| |
| Health Care (continued) | | | | | |
Organon & Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.75% | | | 06/02/282 | | | $ | 393,480 | | | $ | 393,806 | |
Pathway Vet Alliance LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.49% | | | 03/31/272 | | | | 1,122,529 | | | | 988,757 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.49% | | | 02/01/282 | | | | 423,497 | | | | 419,087 | |
Phoenix Newco, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
7.88% | | | 11/15/282 | | | | 2,500,740 | | | | 2,476,208 | |
U.S. Renal Care, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 5.50%) | |
10.38% | | | 06/26/262 | | | | 246,250 | | | | 168,373 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,199,227 | |
| | | | | | | | | | | | |
|
| Health Care REITs — 0.10% | |
Aveanna Healthcare LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.70% | | | 07/17/282 | | | | 3,207,494 | | | | 2,738,959 | |
| | | | | | | | | | | | |
|
| Industrials — 0.83% | |
Arterrsa Services LLC, | |
Term Loan, 1st Lien (Luxembourg) | |
(LIBOR plus 3.50%) | |
8.44% | | | 03/06/252,3 | | | | 1,965,000 | | | | 1,674,465 | |
ASP Blade Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.94% | | | 10/16/282 | | | | 518,765 | | | | 434,899 | |
AZZ, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
8.91% - 9.33% | | | 05/14/292 | | | | 237,456 | | | | 237,703 | |
Berry Global, Inc., | |
Term Loan Z, 1st Lien | |
(LIBOR plus 1.75%) | |
6.51% | | | 07/01/262 | | | | 4,737,697 | | | | 4,727,345 | |
DIRECTV Financing LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
9.84% | | | 08/02/272 | | | | 1,945,032 | | | | 1,876,294 | |
DTI Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.43% | | | 04/26/292 | | | | 243,756 | | | | 227,028 | |
II-VI, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.38% - 7.67% | | | 07/02/292 | | | | 436,928 | | | | 433,651 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 230 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Industrials (continued) | |
Michaels Cos., Inc. (The), | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.41% | | | 04/15/282 | | | $ | 3,438,750 | | | $ | 3,166,006 | |
Plaze, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.49% | | | 08/03/262 | | | | 3,421,250 | | | | 3,153,263 | |
Term Loan B, 1st Lien (Luxembourg) | |
(LIBOR plus 3.50%) | |
8.24% | | | 08/03/262,3 | | | | 1,693,957 | | | | 1,561,270 | |
Proampac PG Borrower LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
7.96% - 8.65% | | | 11/03/252 | | | | 3,185,244 | | | | 3,123,131 | |
Transdigm, Inc., | |
Term Loan I, 1st Lien | |
(SOFR plus 3.25%) | |
8.15% | | | 08/24/282 | | | | 1,248,527 | | | | 1,246,654 | |
Zep, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | | 08/12/242 | | | | 2,160,548 | | | | 1,871,186 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,732,895 | |
| | | | | | | | | | | | |
| Information Technology — 0.88% | |
AppLovin Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.16% | | | 08/15/252 | | | | 3,717,640 | | | | 3,714,146 | |
Arches Buyer, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 3.25%) | |
8.06% | | | 12/06/272 | | | | 591,282 | | | | 558,575 | |
AthenaHealth Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.25% | | | 02/15/292,3,7 | | | | 443,047 | | | | 415,910 | |
Central Parent, Inc., | |
Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
9.14% - 9.18% | | | 07/06/292,3 | | | | 751,845 | | | | 750,691 | |
CT Technologies Intermediate Holdings, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.25%) | |
9.09% | | | 12/16/252 | | | | 931,000 | | | | 890,050 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.66% | | | 08/14/252 | | | | 5,105,038 | | | | 4,398,986 | |
Entegris, Inc., | | | | | | | | | | | | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.37% - 7.64% | | | 07/06/292 | | | | 303,803 | | | | 300,765 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Information Technology (continued) | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.72% - 8.99% | | 10/01/272 | | $ | 2,214,687 | | | $ | 2,120,563 | |
NortonLifeLock, Inc., | |
Term Loan A, 1st Lien | |
(SOFR plus 2.00%) | |
6.58% | | 09/10/272 | | | 1,294,443 | | | | 1,268,554 | |
Open Text Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.30% | | 08/24/292 | | | 488,054 | | | | 487,392 | |
Oracle Corp., | |
Term Loan 1, 1st Lien | |
(SOFR plus 1.60%) | |
6.46% | | 08/16/272 | | | 6,220,827 | | | | 6,189,723 | |
Prime Security Services Borrower LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 2.75%) | |
7.52% | | 09/23/262 | | | 605,364 | | | | 604,262 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | |
7.84% | | 04/24/282 | | | 158,791 | | | | 154,398 | |
Sophia LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.66% | | 10/07/272 | | | 194,930 | | | | 192,982 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.99% | | 03/03/282 | | | 3,694,501 | | | | 3,116,570 | |
| | | | | | | | | | |
| | | | | | | | | 25,163,567 | |
| | | | | | | | | | |
| Insurance — 0.09% | |
Acrisure LLC, | |
Term Loan B1, 1st Lien | |
(LIBOR plus 3.50%) | |
8.24% | | 02/15/272 | | | 1,123,929 | | | | 1,090,678 | |
Asurion LLC, | |
Term Loan B10, 1st Lien | |
(SOFR plus 4.10%) | |
8.91% | | 08/19/282 | | | 995,000 | | | | 921,002 | |
Term Loan B8, 1st Lien | |
(LIBOR plus 3.25%) | |
7.99% | | 12/23/262 | | | 779,020 | | | | 724,769 | |
| | | | | | | | | | |
| | | | | | | | | 2,736,449 | |
| | | | | | | | | | |
| Materials — 0.21% | |
Herens U.S. Holdco Corp., | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
9.16% | | 07/03/282 | | | 2,800,480 | | | | 2,608,213 | |
See accompanying Notes to Financial Statements.
|
| 231 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Materials (continued) | |
Mativ Holdings, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
8.62% | | 04/20/282 | | $ | 3,561,563 | | | $ | 3,448,038 | |
| | | | | | | | | | |
| | | | | | | | | 6,056,251 | |
| | | | | | | | | | |
| Office REITs — 0.13% | |
Rent-A-Center, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.25%) | |
8.12% | | 02/17/282 | | | 3,701,344 | | | | 3,673,584 | |
| | | | | | | | | | |
| Retail — 0.36% | |
American Airlines, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 4.75%) | |
9.56% | | 04/20/282 | | | 2,899,029 | | | | 2,948,153 | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
6.99% | | 02/19/282 | | | 2,742,402 | | | | 2,714,032 | |
BC ULC, | |
Term Loan B, 1st Lien (Canada) | |
(LIBOR plus 1.75%) | |
6.59% | | 11/19/262,3 | | | 695,919 | | | | 690,411 | |
BW Gas & Convenience Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | |
8.34% | | 03/31/282 | | | 3,537,000 | | | | 3,466,260 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | |
6.51% | | 03/15/282 | | | 462,911 | | | | 461,562 | |
| | | | | | | | | | |
| | | | | | | | | 10,280,418 | |
| | | | | | | | | | |
| Services — 0.10% | |
Amentum Government Services Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.63% | | 01/29/272 | | | 1,304,662 | | | | 1,283,461 | |
Element Materials Technology Group U.S. Holdings, Inc., | |
Delayed-Draw Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.25% | | 06/22/292 | | | 124,069 | | | | 122,906 | |
Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.25% | | 06/22/292 | | | 268,817 | | | | 266,297 | |
Pre-Paid Legal Services, Inc., | |
Term Loan, 1st Lien | |
(LIBOR plus 3.75%) | |
8.59% | | 12/15/282 | | | 584,116 | | | | 575,781 | |
Safe Fleet Holdings, LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.85%) | |
8.61% | | 02/23/292 | | | 354,976 | | | | 348,615 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value |
|
| BANK LOANS (continued) | |
|
| Services (continued) | |
TruGreen LP, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
8.84% | | 11/02/272 | | $ | 171,694 | | | $ | 158,978 | |
| | | | | | | | | | |
| | | | | | | | | 2,756,038 | |
| | | | | | | | | | |
| Transportation — 0.07% | |
Kenan Advantage Group, Inc. (The), | |
Term Loan, 2nd Lien | |
(LIBOR plus 7.25%) | |
12.09% | | 09/01/272 | | | 2,155,000 | | | | 2,014,031 | |
| | | | | | | | | | |
| Total Bank Loans | |
(Cost $115,524,570) | | | | 109,556,896 | |
| | | | | | | | | | |
|
| CORPORATES — 30.75%* | |
|
| Banking — 7.30% | |
Bank of America Corp. | |
2.30% | | 07/21/324 | | | 2,875,000 | | | | 2,318,413 | |
3.42% | | 12/20/284 | | | 1,389,000 | | | | 1,292,394 | |
Bank of America Corp. | |
(GMTN) | |
3.59% | | 07/21/284 | | | 395,000 | | | | 371,649 | |
Bank of America Corp. | |
(MTN) | |
1.92% | | 10/24/314 | | | 7,570,000 | | | | 6,053,826 | |
2.09% | | 06/14/294 | | | 9,525,000 | | | | 8,201,938 | |
3.97% | | 03/05/294 | | | 790,000 | | | | 749,599 | |
(LIBOR USD 3-Month plus 0.65%) | |
5.61% | | 12/01/262 | | | 4,400,000 | | | | 4,138,435 | |
Bank of America Corp., | |
Series N | |
1.66% | | 03/11/274 | | | 11,725,000 | | | | 10,578,669 | |
Bank of America Corp., | |
Series RR | |
4.38%4,8 | | | | | 2,340,000 | | | | 1,998,039 | |
Comerica, Inc. | |
5.63%4,8 | | | | | 2,145,000 | | | | 1,803,516 | |
Credit Suisse Group AG | |
(Switzerland) | |
1.31% | | 02/02/271,3,4 | | | 6,855,000 | | | | 5,826,750 | |
2.88% | | 04/02/323,4 | | | 1,500,000 | | | | 1,361,260 | |
3.09% | | 05/14/321,3,4 | | | 8,025,000 | | | | 6,458,527 | |
3.75% | | 03/26/253 | | | 2,090,000 | | | | 1,927,962 | |
3.87% | | 01/12/291,3,4 | | | 785,000 | | | | 699,534 | |
6.37% | | 07/15/261,3,4 | | | 1,065,000 | | | | 1,038,646 | |
6.54% | | 08/12/331,3,4 | | | 9,904,000 | | | | 10,151,600 | |
7.75% | | 03/01/293,4 | | | 635,000 | | | | 756,927 | |
9.02% | | 11/15/331,3,4 | | | 10,515,000 | | | | 12,512,850 | |
Credit Suisse Group AG | |
(EMTN) | |
(Switzerland) | |
0.63% | | 01/18/333 | | | 1,920,000 | | | | 1,365,062 | |
Discover Bank | |
(BKNT) | |
3.45% | | 07/27/26 | | | 2,811,000 | | | | 2,598,430 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 232 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Banking (continued) | |
DNB Bank ASA | |
(Norway) | |
1.13% | | 09/16/261,3,4 | | $ | 165,000 | | | $ | 148,184 | |
1.61% | | 03/30/281,3,4 | | | 6,000,000 | | | | 5,225,725 | |
Global Bank Corp., | |
Series REGS | |
(Panama) | |
5.25% | | 04/16/293,4 | | | 200,000 | | | | 180,460 | |
HSBC Holdings PLC | |
(United Kingdom) | |
1.59% | | 05/24/273,4 | | | 2,340,000 | | | | 2,064,814 | |
1.65% | | 04/18/263,4 | | | 390,000 | | | | 356,452 | |
2.01% | | 09/22/283,4 | | | 290,000 | | | | 249,574 | |
2.21% | | 08/17/293,4 | | | 16,115,000 | | | | 13,585,426 | |
2.80% | | 05/24/323,4 | | | 2,955,000 | | | | 2,418,302 | |
4.76% | | 06/09/283,4 | | | 2,260,000 | | | | 2,189,552 | |
6.33% | | 03/09/443,4 | | | 1,115,000 | | | | 1,179,633 | |
JPMorgan Chase & Co. | |
1.58% | | 04/22/274 | | | 10,020,000 | | | | 9,006,262 | |
2.58% | | 04/22/324 | | | 1,020,000 | | | | 859,761 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
1.63% | | 05/11/273,4 | | | 2,000,000 | | | | 1,776,243 | |
3.57% | | 11/07/283,4 | | | 3,240,000 | | | | 2,968,669 | |
3.87% | | 07/09/253,4 | | | 8,725,000 | | | | 8,485,375 | |
4.98% | | 08/11/333,4 | | | 685,000 | | | | 662,310 | |
Macquarie Group Ltd. | |
(Australia) | |
1.20% | | 10/14/251,3,4 | | | 1,000,000 | | | | 932,444 | |
2.69% | | 06/23/321,3,4 | | | 2,290,000 | | | | 1,834,255 | |
2.87% | | 01/14/331,3,4 | | | 7,960,000 | | | | 6,454,324 | |
NatWest Group PLC | |
(United Kingdom) | |
4.27% | | 03/22/253,4 | | | 7,587,000 | | | | 7,437,940 | |
PNC Financial Services Group, Inc. (The) | |
5.07% | | 01/24/344 | | | 5,840,000 | | | | 5,770,756 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.09% | | 03/15/253,4 | | | 7,075,000 | | | | 6,690,337 | |
1.53% | | 08/21/263,4 | | | 1,210,000 | | | | 1,080,546 | |
1.67% | | 06/14/273,4 | | | 2,620,000 | | | | 2,283,138 | |
4.80% | | 11/15/243,4 | | | 6,211,000 | | | | 6,126,433 | |
Santander UK PLC | |
(United Kingdom) | |
5.00% | | 11/07/231,3 | | | 3,415,000 | | | | 3,376,813 | |
U.S. Bancorp | |
3.70%4,8 | | | | | 1,980,000 | | | | 1,545,870 | |
4.84% | | 02/01/344 | | | 6,710,000 | | | | 6,512,889 | |
5.85% | | 10/21/334 | | | 1,320,000 | | | | 1,381,971 | |
Wells Fargo & Co. | |
(MTN) | |
2.88% | | 10/30/304 | | | 3,848,000 | | | | 3,343,463 | |
3.35% | | 03/02/334 | | | 23,935,000 | | | | 20,776,988 | |
| | | | | | | | | | |
| | | | | | | | | 209,108,935 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
|
| Communications — 2.99% | |
AT&T, Inc. | |
3.80% | | | 12/01/57 | | | $ | 1,681,000 | | | $ | 1,254,337 | |
4.30% | | | 12/15/42 | | | | 2,300,000 | | | | 2,003,594 | |
4.75% | | | 05/15/46 | | | | 1,875,000 | | | | 1,694,583 | |
C&W Senior Financing DAC | |
(Ireland) | |
6.88% | | | 09/15/27 | 1,3 | | | 300,000 | | | | 268,642 | |
Cable One, Inc. | |
4.00% | | | 11/15/30 | 1 | | | 4,456,000 | | | | 3,653,920 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | |
4.80% | | | 03/01/50 | | | | 4,765,000 | | | | 3,627,452 | |
5.38% | | | 05/01/47 | | | | 3,050,000 | | | | 2,509,978 | |
5.75% | | | 04/01/48 | | | | 2,347,000 | | | | 2,050,222 | |
Charter Communications Operating, LLC/Charter | |
Communications Operating Capital | |
5.25% | | | 04/01/53 | | | | 1,885,000 | | | | 1,529,692 | |
Cogent Communications Group, Inc. | |
7.00% | | | 06/15/27 | 1 | | | 1,625,000 | | | | 1,613,013 | |
CommScope, Inc. | |
4.75% | | | 09/01/29 | 1 | | | 3,350,000 | | | | 2,816,513 | |
CSC Holdings LLC | |
4.63% | | | 12/01/30 | 1 | | | 500,000 | | | | 248,750 | |
5.38% | | | 02/01/28 | 1 | | | 650,000 | | | | 533,134 | |
6.50% | | | 02/01/29 | 1 | | | 2,650,000 | | | | 2,203,256 | |
7.50% | | | 04/01/28 | 1 | | | 2,522,000 | | | | 1,610,045 | |
| Diamond Sports Group, LLC/Diamond Sports Finance Co. | | | | | |
5.38% | | | 08/15/26 | 1,9,10 | | | 8,511,000 | | | | 478,744 | |
Frontier Communications Holdings LLC | |
5.00% | | | 05/01/28 | 1 | | | 3,000,000 | | | | 2,607,221 | |
6.75% | | | 05/01/29 | 1 | | | 1,640,000 | | | | 1,301,291 | |
8.63% | | | 03/15/31 | 1 | | | 1,924,000 | | | | 1,885,499 | |
Global Switch Finance BV | |
(EMTN) | |
(Netherlands) | |
1.38% | | | 10/07/30 | 3 | | | 4,505,000 | | | | 4,023,773 | |
Gray Escrow II, Inc. | | | | | |
5.38% | | | 11/15/31 | 1 | | | 1,329,000 | | | | 875,091 | |
Gray Television, Inc. | | | | | |
7.00% | | | 05/15/27 | 1 | | | 1,100,000 | | | | 921,988 | |
Intelsat Jackson Holdings SA | |
(Luxembourg) | |
6.50% | | | 03/15/30 | 1,3 | | | 4,214,000 | | | | 3,879,920 | |
Intelsat Jackson Holdings SA, | |
Class B | |
(Luxembourg) | |
8.50% | | | 10/15/24 | †,1,3,5,6,9,10 | | | 7,892,000 | | | | — | |
9.75% | | | 07/15/25 | †,1,3,5,6,9,10 | | | 6,820,000 | | | | — | |
Level 3 Financing, Inc. | |
3.75% | | | 07/15/29 | 1 | | | 1,750,000 | | | | 935,323 | |
Meta Platforms, Inc. | |
4.45% | | | 08/15/52 | | | | 1,640,000 | | | | 1,445,743 | |
National CineMedia LLC | |
5.88% | | | 04/15/28 | 1 | | | 786,000 | | | | 230,750 | |
Netflix, Inc. | |
4.63% | | | 05/15/29 | | | | 3,910,000 | | | | 4,342,503 | |
See accompanying Notes to Financial Statements.
|
| 233 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Communications (continued) | |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | |
4.75% | | 04/30/271 | | $ | 1,815,000 | | | $ | 1,551,825 | |
Scripps Escrow, Inc. | |
5.88% | | 07/15/271 | | | 2,082,000 | | | | 1,554,338 | |
SES GLOBAL Americas Holdings, Inc. | |
5.30% | | 03/25/441 | | | 8,494,000 | | | | 6,690,026 | |
Sirius XM Radio, Inc. | |
3.88% | | 09/01/311 | | | 3,190,000 | | | | 2,483,367 | |
Tencent Holdings Ltd. | |
(Cayman Islands) | |
3.84% | | 04/22/511,3 | | | 1,585,000 | | | | 1,169,951 | |
Time Warner Cable LLC | |
5.50% | | 09/01/41 | | | 4,443,000 | | | | 3,843,279 | |
T-Mobile USA, Inc. | |
2.55% | | 02/15/31 | | | 2,190,000 | | | | 1,857,158 | |
2.63% | | 02/15/29 | | | 565,000 | | | | 499,334 | |
3.88% | | 04/15/30 | | | 8,237,000 | | | | 7,735,382 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
4.50% | | 08/15/301,3 | | | 2,200,000 | | | | 1,892,803 | |
Vodafone Group PLC | |
(United Kingdom) | |
4.25% | | 09/17/503 | | | 50,000 | | | | 40,914 | |
4.88% | | 06/19/493 | | | 1,328,000 | | | | 1,200,862 | |
VZ Secured Financing BV | |
(Netherlands) | |
5.00% | | 01/15/321,3 | | | 2,495,000 | | | | 2,038,103 | |
VZ Secured Financing BV, | |
Series REGS | |
(Netherlands) | |
3.50% | | 01/15/323 | | | 2,800,000 | | | | 2,435,224 | |
| | | | | | | | | | |
| | | | | | | | | 85,537,543 | |
| | | | | | | | | | |
| Consumer Discretionary — 1.67% | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | 05/15/251,3 | | | 3,585,000 | | | | 3,532,115 | |
5.15% | | 05/15/381,3 | | | 1,500,000 | | | | 1,458,822 | |
BAT Capital Corp. | |
2.73% | | 03/25/31 | | | 915,000 | | | | 742,810 | |
4.54% | | 08/15/47 | | | 500,000 | | | | 373,013 | |
4.76% | | 09/06/49 | | | 8,059,000 | | | | 6,193,422 | |
5.65% | | 03/16/52 | | | 1,625,000 | | | | 1,430,149 | |
Becle, SAB de CV | |
(Mexico) | |
2.50% | | 10/14/311,3 | | | 4,450,000 | | | | 3,619,401 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
3.13% | | 07/26/241,3 | | | 1,500,000 | | | | 1,453,016 | |
3.50% | | 07/26/261,3 | | | 2,520,000 | | | | 2,366,400 | |
4.25% | | 07/21/251,3 | | | 1,880,000 | | | | 1,825,087 | |
Reynolds American, Inc. | |
5.85% | | 08/15/45 | | | 7,245,000 | | | | 6,536,095 | |
Triton Water Holdings, Inc. | |
6.25% | | 04/01/291 | | | 3,238,000 | | | | 2,577,319 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Consumer Discretionary (continued) | |
WarnerMedia Holdings, Inc. | |
4.28% | | 03/15/321 | | $ | 5,000 | | | $ | 4,464 | |
5.05% | | 03/15/421 | | | 7,970,000 | | | | 6,673,470 | |
5.14% | | 03/15/521 | | | 11,287,000 | | | | 9,170,237 | |
| | | | | | | | | | |
| | | | | | | | | 47,955,820 | |
| | | | | | | | | | |
| Diversified REITs — 1.25% | |
American Assets Trust LP | |
3.38% | | 02/01/31 | | | 4,005,000 | | | | 3,219,483 | |
American Tower Corp. | |
0.88% | | 05/21/29 | | | 1,765,000 | | | | 1,544,810 | |
1.00% | | 01/15/32 | | | 1,000,000 | | | | 803,900 | |
2.70% | | 04/15/31 | | | 3,045,000 | | | | 2,555,769 | |
CapitaLand Ascendas REIT | |
(EMTN) | |
(Slovenia) | |
0.75% | | 06/23/283 | | | 525,000 | | | | 453,377 | |
Digital Dutch Finco BV | |
(Netherlands) | |
1.00% | | 01/15/323 | | | 2,600,000 | | | | 1,991,157 | |
1.50% | | 03/15/303 | | | 2,140,000 | | | | 1,818,303 | |
Digital Intrepid Holding BV | |
(Netherlands) | |
1.38% | | 07/18/323 | | | 1,000,000 | | | | 765,517 | |
GLP Capital LP/GLP Financing II, Inc. | |
5.30% | | 01/15/29 | | | 2,280,000 | | | | 2,172,384 | |
5.38% | | 04/15/26 | | | 3,068,000 | | | | 2,980,269 | |
5.75% | | 06/01/28 | | | 6,241,000 | | | | 6,095,682 | |
LXP Industrial Trust | |
2.70% | | 09/15/30 | | | 2,000,000 | | | | 1,627,022 | |
VICI Properties LP | |
5.13% | | 05/15/32 | | | 4,753,000 | | | | 4,505,695 | |
5.63% | | 05/15/52 | | | 713,000 | | | | 642,856 | |
VICI Properties LP/VICI Note Co., Inc. | |
3.75% | | 02/15/271 | | | 120,000 | | | | 110,881 | |
3.88% | | 02/15/291 | | | 1,925,000 | | | | 1,713,529 | |
4.13% | | 08/15/301 | | | 493,000 | | | | 433,224 | |
4.50% | | 09/01/261 | | | 1,150,000 | | | | 1,100,478 | |
4.50% | | 01/15/281 | | | 861,000 | | | | 798,446 | |
4.63% | | 06/15/251 | | | 320,000 | | | | 309,560 | |
| | | | | | | | | | |
| | | | | | | | | 35,642,342 | |
| | | | | | | | | | |
| Electric — 0.94% | |
Alliant Energy Finance, LLC | |
3.60% | | 03/01/321 | | | 8,130,000 | | | | 7,245,795 | |
Cleco Power LLC | |
6.00% | | 12/01/40 | | | 825,000 | | | | 845,129 | |
Dominion Energy, Inc. | |
5.75% | | 10/01/544 | | | 2,515,000 | | | | 2,377,829 | |
Duke Energy Carolinas LLC | |
3.70% | | 12/01/47 | | | 1,810,000 | | | | 1,451,572 | |
Duke Energy Corp. | |
3.85% | | 06/15/34 | | | 3,840,000 | | | | 3,917,201 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 234 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Electric (continued) | |
Eskom Holdings SOC Ltd., | |
Series REGS | |
(South Africa) | |
7.13% | | 02/11/253 | | $ | 800,000 | | | $ | 788,400 | |
FirstEnergy Transmission LLC | |
2.87% | | 09/15/281 | | | 3,153,000 | | | | 2,848,387 | |
Metropolitan Edison Co. | | | | | |
4.00% | | 04/15/251 | | | 2,625,000 | | | | 2,506,801 | |
Mong Duong Finance Holdings BV, | |
Series REGS | |
(Netherlands) | |
5.13% | | 05/07/293 | | | 350,000 | | | | 297,895 | |
Southwestern Electric Power Co., | |
Series M | |
4.10% | | 09/15/28 | | | 2,190,000 | | | | 2,121,461 | |
TenneT Holding BV | |
(EMTN) | |
(Netherlands) | |
4.75% | | 10/28/423 | | | 2,230,000 | | | | 2,628,303 | |
| | | | | | | | | | |
| | | | | | | | | 27,028,773 | |
| | | | | | | | | | |
| Energy — 2.31% | |
Ecopetrol SA | |
(Colombia) | |
8.88% | | 01/13/333 | | | 780,000 | | | | 787,800 | |
Energy Transfer LP | |
4.40% | | 03/15/27 | | | 1,448,000 | | | | 1,408,028 | |
5.00% | | 05/15/50 | | | 202,000 | | | | 172,078 | |
5.15% | | 03/15/45 | | | 1,901,000 | | | | 1,649,599 | |
5.40% | | 10/01/47 | | | 4,131,000 | | | | 3,684,444 | |
6.13% | | 12/15/45 | | | 500,000 | | | | 483,603 | |
Energy Transfer LP, | |
Series B | |
6.63%4,8 | | | | | 3,889,000 | | | | 2,911,202 | |
Energy Transfer Operating LP | |
5.30% | | 04/15/47 | | | 1,765,000 | | | | 1,553,894 | |
6.25% | | 04/15/49 | | | 5,000 | | | | 4,968 | |
Galaxy Pipeline Assets Bidco Ltd. | |
(United Kingdom) | |
2.16% | | 03/31/341,3 | | | 1,774,200 | | | | 1,530,103 | |
Global Partners LP/GLP Finance Corp. | |
6.88% | | 01/15/29 | | | 4,137,000 | | | | 3,850,099 | |
KazMunayGas National Co. JSC, | |
Series REGS | |
(Kazakhstan) | |
3.50% | | 04/14/333 | | | 1,586,000 | | | | 1,193,213 | |
4.75% | | 04/19/273 | | | 205,000 | | | | 189,235 | |
KazMunayGas National Co. JSC, | |
Series REGS (EMTN) | |
(Kazakhstan) | |
5.38% | | 04/24/303 | | | 2,424,000 | | | | 2,167,898 | |
KazTransGas JSC, | |
Series REGS | |
(Kazakhstan) | |
4.38% | | 09/26/273 | | | 650,000 | | | | 584,360 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Energy (continued) | |
Kinder Morgan Energy Partners LP | |
5.00% | | 08/15/42 | | $ | 1,090,000 | | | $ | 972,452 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. | |
7.50% | | 02/01/261 | | | 1,929,000 | | | | 1,863,890 | |
Pertamina Persero PT | |
(Indonesia) | |
3.10% | | 08/27/301,3 | | | 4,579,000 | | | | 4,042,106 | |
Petroleos Mexicanos | |
(Mexico) | |
6.35% | | 02/12/483 | | | 557,000 | | | | 347,583 | |
6.75% | | 09/21/473 | | | 3,815,000 | | | | 2,482,843 | |
6.95% | | 01/28/603 | | | 1,595,000 | | | | 1,031,965 | |
7.69% | | 01/23/503 | | | 3,948,000 | | | | 2,789,019 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
3.80% | | 09/15/30 | | | 2,000,000 | | | | 1,784,203 | |
4.50% | | 12/15/26 | | | 1,505,000 | | | | 1,474,467 | |
QatarEnergy, | |
Series REGS | |
(Qatar) | |
2.25% | | 07/12/313 | | | 1,000,000 | | | | 850,955 | |
Rockies Express Pipeline LLC | |
4.80% | | 05/15/301 | | | 2,000,000 | | | | 1,760,000 | |
4.95% | | 07/15/291 | | | 1,000,000 | | | | 897,044 | |
6.88% | | 04/15/401 | | | 3,175,000 | | | | 2,651,125 | |
Sabine Pass Liquefaction LLC | |
4.50% | | 05/15/30 | | | 1,488,000 | | | | 1,436,044 | |
Southern Co. Gas Capital Corp. | |
3.25% | | 06/15/26 | | | 2,935,000 | | | | 2,814,644 | |
3.88% | | 11/15/25 | | | 2,410,000 | | | | 2,346,973 | |
Southern Gas Corridor CJSC, | |
Series REGS | |
(Azerbaijan) | |
6.88% | | 03/24/263 | | | 2,776,000 | | | | 2,834,296 | |
TransMontaigne Partners LP/TLP Finance Corp. | |
6.13% | | 02/15/26 | | | 3,846,000 | | | | 3,330,713 | |
Transocean Poseidon Ltd. | |
(Cayman Islands) | |
6.88% | | 02/01/271,3 | | | 3,370,250 | | | | 3,306,889 | |
Venture Global Calcasieu Pass LLC | |
3.88% | | 11/01/331 | | | 2,000,000 | | | | 1,682,862 | |
4.13% | | 08/15/311 | | | 3,891,000 | | | | 3,421,513 | |
| | | | | | | | | | |
| | | | | | | | | 66,292,110 | |
| | | | | | | | | | |
| Entertainment — 0.03% | |
Cinemark USA, Inc. | |
5.25% | | 07/15/281 | | | 1,018,000 | | | | 891,005 | |
| | | | | | | | | | |
| Finance — 4.40% | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | |
(Ireland) | |
3.00% | | 10/29/283 | | | 11,100,000 | | | | 9,688,250 | |
3.30% | | 01/30/323 | | | 2,649,000 | | | | 2,189,161 | |
3.88% | | 01/23/283 | | | 1,090,000 | | | | 1,010,343 | |
American Express Co., | |
Series D | |
3.55%4,8 | | | | | 2,350,000 | | | | 1,965,188 | |
See accompanying Notes to Financial Statements.
|
| 235 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
|
| Finance (continued) | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/271,3 | | $ | 5,278,000 | | | $ | 4,470,899 | |
2.88% | | 02/15/251,3 | | | 4,555,000 | | | | 4,270,433 | |
3.95% | | 07/01/241,3 | | | 1,035,000 | | | | 1,006,782 | |
Capital One Financial Corp. | |
3.27% | | 03/01/304 | | | 2,675,000 | | | | 2,308,620 | |
Charles Schwab Corp. (The) | |
Series K | |
5.00%4,8 | | | | | 2,020,000 | | | | 1,717,000 | |
Citigroup, Inc. | |
1.46% | | 06/09/274 | | | 2,575,000 | | | | 2,289,334 | |
2.57% | | 06/03/314 | | | 6,390,000 | | | | 5,395,024 | |
2.67% | | 01/29/314 | | | 1,500,000 | | | | 1,284,010 | |
2.98% | | 11/05/304 | | | 2,380,000 | | | | 2,087,451 | |
3.06% | | 01/25/334 | | | 17,748,000 | | | | 15,099,212 | |
Citigroup, Inc., | |
Series VAR | |
3.07% | | 02/24/284 | | | 2,020,000 | | | | 1,881,045 | |
Gaci First Investment Co. | |
(Cayman Islands) | |
5.25% | | 10/13/323 | | | 650,000 | | | | 676,812 | |
Goldman Sachs Group, Inc. (The) | |
0.93% | | 10/21/244 | | | 5,565,000 | | | | 5,416,149 | |
1.95% | | 10/21/274 | | | 6,295,000 | | | | 5,624,598 | |
2.38% | | 07/21/324 | | | 6,585,000 | | | | 5,369,809 | |
2.62% | | 04/22/324 | | | 3,225,000 | | | | 2,688,407 | |
2.65% | | 10/21/324 | | | 13,548,000 | | | | 11,203,432 | |
Jane Street Group/JSG Finance, Inc. | |
4.50% | | 11/15/291 | | | 2,249,000 | | | | 2,019,102 | |
JPMorgan Chase & Co. | |
1.56% | | 12/10/254 | | | 2,290,000 | | | | 2,149,957 | |
2.55% | | 11/08/324 | | | 6,250,000 | | | | 5,194,466 | |
2.95% | | 02/24/284 | | | 2,625,000 | | | | 2,439,389 | |
Morgan Stanley | |
0.79% | | 05/30/254 | | | 1,395,000 | | | | 1,321,122 | |
2.48% | | 09/16/364 | | | 7,080,000 | | | | 5,356,234 | |
2.95% | | 05/07/324 | | | 3,250,000 | | | | 3,222,605 | |
Morgan Stanley | |
(GMTN) | |
2.24% | | 07/21/324 | | | 5,580,000 | | | | 4,502,437 | |
Morgan Stanley | |
(MTN) | |
1.93% | | 04/28/324 | | | 3,360,000 | | | | 2,662,519 | |
Nationwide Building Society | |
(United Kingdom) | |
2.97% | | 02/16/281,3,4 | | | 3,890,000 | | | | 3,539,963 | |
4.36% | | 08/01/241,3,4 | | | 2,490,000 | �� | | | 2,469,574 | |
Park Aerospace Holdings Ltd. | |
(Cayman Islands) | |
5.50% | | 02/15/241,3 | | | 861,000 | | | | 853,342 | |
UBS Group AG | |
(Switzerland) | |
1.36% | | 01/30/271,3,4 | | | 1,935,000 | | | | 1,700,967 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Finance (continued) | |
Vonovia SE | |
(Georgia) | |
1.00% | | | 06/16/333 | | | $ | 300,000 | | | $ | 204,760 | |
1.50% | | | 06/14/413 | | | | 1,100,000 | | | | 628,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 125,906,942 | |
| | | | | | | | | | | | |
| Food — 0.70% | |
H-Food Holdings LLC/Hearthside Finance Co., Inc. | |
8.50% | | | 06/01/261 | | | | 2,412,000 | | | | 1,495,078 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, | |
Inc. | |
(Canada) | |
3.75% | | | 12/01/311,3 | | | | 796,000 | | | | 659,999 | |
5.75% | | | 04/01/331,3 | | | | 6,200,000 | | | | 5,962,267 | |
6.50% | | | 12/01/521,3 | | | | 1,555,000 | | | | 1,492,474 | |
Pilgrim's Pride Corp. | |
4.25% | | | 04/15/31 | | | | 4,000,000 | | | | 3,498,572 | |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ | |
Simmons Pet Food, Inc./Simmons Feed | |
4.63% | | | 03/01/291 | | | | 4,209,000 | | | | 3,422,038 | |
Smithfield Foods, Inc. | |
2.63% | | | 09/13/311 | | | | 4,690,000 | | | | 3,546,218 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,076,646 | |
| | | | | | | | | | | | |
| Health Care — 3.13% | |
1375209 BC Ltd. | |
(Canada) | |
9.00% | | | 01/30/281,3 | | | | 2,770,000 | | | | 2,749,225 | |
Amgen, Inc. | |
4.88% | | | 03/01/53 | | | | 1,595,000 | | | | 1,497,267 | |
5.60% | | | 03/02/43 | | | | 2,890,000 | | | | 2,983,669 | |
5.65% | | | 03/02/53 | | | | 2,890,000 | | | | 3,010,017 | |
Bayer U.S. Finance II LLC | |
4.38% | | | 12/15/281 | | | | 9,281,000 | | | | 8,977,675 | |
4.63% | | | 06/25/381 | | | | 2,775,000 | | | | 2,542,870 | |
4.88% | | | 06/25/481 | | | | 4,415,000 | | | | 3,964,157 | |
5.50% | | | 08/15/251 | | | | 2,000,000 | | | | 1,986,851 | |
Cano Health LLC | |
6.25% | | | 10/01/281 | | | | 1,757,000 | | | | 970,742 | |
Centene Corp. | |
2.45% | | | 07/15/28 | | | | 10,338,000 | | | | 8,998,960 | |
4.25% | | | 12/15/27 | | | | 2,830,000 | | | | 2,729,422 | |
CommonSpirit Health | |
2.78% | | | 10/01/30 | | | | 3,680,000 | | | | 3,143,763 | |
3.91% | | | 10/01/50 | | | | 1,220,000 | | | | 947,856 | |
CVS Health Corp. | | | | | | | | | | | | |
5.05% | | | 03/25/48 | | | | 3,417,000 | | | | 3,201,019 | |
DENTSPLY SIRONA, Inc. | |
3.25% | | | 06/01/30 | | | | 3,979,000 | | | | 3,519,492 | |
Fresenius Finance Ireland PLC | |
(EMTN) | |
(Ireland) | |
0.88% | | | 10/01/313 | | | | 1,000,000 | | | | 804,880 | |
Grifols Escrow Issuer SA | |
(Spain) | |
4.75% | | | 10/15/281,3 | | | | 2,788,000 | | | | 2,289,096 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 236 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Health Care (continued) | |
Grifols Escrow Issuer SA, | |
Series REGS | |
(Spain) | |
3.88% | | 10/15/283 | | $ | 1,800,000 | | | $ | 1,529,257 | |
HCA, Inc. | |
3.50% | | 07/15/51 | | | 1,743,000 | | | | 1,202,862 | |
3.63% | | 03/15/321 | | | 7,627,000 | | | | 6,713,876 | |
4.13% | | 06/15/29 | | | 2,400,000 | | | | 2,255,568 | |
5.25% | | 06/15/49 | | | 4,670,000 | | | | 4,218,556 | |
5.38% | | 09/01/26 | | | 1,600,000 | | | | 1,610,768 | |
5.50% | | 06/15/47 | | | 2,255,000 | | | | 2,139,296 | |
ModivCare, Inc. | |
5.88% | | 11/15/251 | | | 1,311,000 | | | | 1,258,606 | |
Molina Healthcare, Inc. | |
3.88% | | 11/15/301 | | | 1,378,000 | | | | 1,205,292 | |
3.88% | | 05/15/321 | | | 2,000,000 | | | | 1,701,173 | |
Prestige Brands, Inc. | |
3.75% | | 04/01/311 | | | 3,359,000 | | | | 2,850,076 | |
Prime Healthcare Services, Inc. | |
7.25% | | 11/01/251 | | | 4,031,000 | | | | 3,587,590 | |
Tenet Healthcare Corp. | |
4.25% | | 06/01/29 | | | 1,183,000 | | | | 1,071,337 | |
Teva Pharmaceutical Finance Netherlands II BV | |
(Netherlands) | |
7.88% | | 09/15/313 | | | 2,000,000 | | | | 2,249,933 | |
Universal Health Services, Inc. | |
1.65% | | 09/01/26 | | | 1,500,000 | | | | 1,317,010 | |
2.65% | | 01/15/32 | | | 590,000 | | | | 460,813 | |
| | | | | | | | | | |
| | | | | | | | | 89,688,974 | |
| | | | | | | | | | |
Health Care REITs — 0.20% | |
Healthcare Reality Holdings LP | |
2.00% | | 03/15/31 | | | 1,465,000 | | | | 1,144,868 | |
3.50% | | 08/01/26 | | | 2,257,000 | | | | 2,110,675 | |
Healthcare Realty Holdings LP | |
2.05% | | 03/15/31 | | | 261,000 | | | | 198,509 | |
3.63% | | 01/15/28 | | | 625,000 | | | | 568,618 | |
3.88% | | 05/01/25 | | | 1,695,000 | | | | 1,637,235 | |
| | | | | | | | | | |
| | | | | | | | | 5,659,905 | |
| | | | | | | | | | |
Industrial REITs — 0.16% | |
Prologis Euro Finance LLC | |
0.50% | | 02/16/32 | | | 1,415,000 | | | | 1,079,483 | |
1.00% | | 02/06/35 | | | 930,000 | | | | 666,402 | |
1.00% | | 02/16/41 | | | 850,000 | | | | 502,864 | |
Prologis Euro Finance LLC, | |
(EMTN) | |
4.25% | | 01/31/43 | | | 610,000 | | | | 597,585 | |
SELP Finance SARL | |
(Luxembourg) | |
0.88% | | 05/27/293 | | | 2,095,000 | | | | 1,736,844 | |
| | | | | | | | | | |
| | | | | | | | | 4,583,178 | |
| | | | | | | | | | |
Industrials — 1.52% | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |
(Canada) | |
5.25% | | 08/15/271,3 | | | 3,441,000 | | | | 2,716,263 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Industrials (continued) | |
Artera Services LLC | |
9.03% | | | 12/04/251 | | | $ | 4,010,000 | | | $ | 3,471,833 | |
Berry Global, Inc. | |
1.50% | | | 01/15/271 | | | | 1,595,000 | | | | 1,549,159 | |
1.57% | | | 01/15/26 | | | | 1,740,000 | | | | 1,581,828 | |
4.88% | | | 07/15/261 | | | | 1,195,000 | | | | 1,165,974 | |
Boeing Co. (The) | |
1.43% | | | 02/04/24 | | | | 8,790,000 | | | | 8,497,676 | |
Cellnex Finance Co. SA | |
(EMTN) | |
(Spain) | |
2.00% | | | 09/15/323 | | | | 2,100,000 | | | | 1,773,640 | |
2.00% | | | 02/15/333 | | | | 300,000 | | | | 250,939 | |
Energizer Holdings, Inc. | |
4.38% | | | 03/31/291 | | | | 3,146,000 | | | | 2,772,412 | |
General Electric Co. | |
(MTN) | |
(LIBOR USD 3-Month plus 0.48%) | |
5.34% | | | 08/15/362 | | | | 10,370,000 | | | | 8,757,462 | |
Heathrow Funding Ltd. | |
(EMTN) | |
(United Kingdom) | |
1.88% | | | 03/14/343 | | | | 4,170,000 | | | | 3,571,375 | |
OT Merger Corp. | |
7.88% | | | 10/15/291 | | | | 7,500,000 | | | | 4,517,460 | |
Rolls-Royce PLC | |
(EMTN) | |
(United Kingdom) | |
1.63% | | | 05/09/283 | | | | 1,055,000 | | | | 955,238 | |
TransDigm, Inc. | |
6.75% | | | 08/15/281 | | | | 1,881,000 | | | | 1,900,999 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,482,258 | |
| | | | | | | | | | | | |
Information Technology — 0.63% | |
Broadcom, Inc. | |
3.42% | | | 04/15/331 | | | | 2,350,000 | | | | 1,968,191 | |
NCR Corp. | |
5.13% | | | 04/15/291 | | | | 4,863,000 | | | | 4,226,066 | |
Open Text Corp. | |
(Canada) | |
6.90% | | | 12/01/271,3 | | | | 1,510,000 | | | | 1,557,188 | |
Oracle Corp. | |
2.88% | | | 03/25/31 | | | | 1,245,000 | | | | 1,065,836 | |
3.60% | | | 04/01/40 | | | | 2,400,000 | | | | 1,864,904 | |
3.60% | | | 04/01/50 | | | | 2,000,000 | | | | 1,420,636 | |
3.80% | | | 11/15/37 | | | | 1,490,000 | | | | 1,238,223 | |
3.95% | | | 03/25/51 | | | | 1,901,000 | | | | 1,430,449 | |
4.00% | | | 11/15/47 | | | | 2,050,000 | | | | 1,566,529 | |
6.90% | | | 11/09/52 | | | | 1,520,000 | | | | 1,706,977 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,044,999 | |
| | | | | | | | | | | | |
Insurance — 1.27% | |
Acrisure LLC/Acrisure Finance, Inc. | |
6.00% | | | 08/01/291 | | | | 2,272,000 | | | | 1,891,440 | |
See accompanying Notes to Financial Statements.
|
| 237/ Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Insurance (continued) | |
Alliant Holdings Intermediate LLC/Alliant Holdings | |
Co.-Issuer | |
6.75% | | 10/15/271 | | $ | 3,412,000 | | | $ | 3,177,425 | |
AssuredPartners, Inc. | |
5.63% | | 01/15/291 | | | 1,795,000 | | | | 1,553,276 | |
Athene Global Funding | |
1.99% | | 08/19/281 | | | 8,980,000 | | | | 7,290,243 | |
2.72% | | 01/07/291 | | | 1,535,000 | | | | 1,289,904 | |
3.21% | | 03/08/271 | | | 2,225,000 | | | | 2,047,448 | |
Brown & Brown, Inc. | |
4.95% | | 03/17/52 | | | 2,980,000 | | | | 2,528,833 | |
Farmers Exchange Capital | |
7.20% | | 07/15/481 | | | 150,000 | | | | 161,007 | |
Farmers Exchange Capital II | |
6.15% | | 11/01/531,4 | | | 2,500,000 | | | | 2,484,218 | |
Farmers Insurance Exchange | |
4.75% | | 11/01/571,4 | | | 3,800,000 | | | | 2,981,514 | |
8.63% | | 05/01/241 | | | 942,000 | | | | 964,911 | |
Nationwide Mutual Insurance Co. | |
7.16% | | 12/15/241,4 | | | 3,825,000 | | | | 3,810,330 | |
Teachers Insurance & Annuity Association of America | |
4.38% | | 09/15/541,4 | | | 6,470,000 | | | | 6,306,429 | |
| | | | | | | | | | |
| | | | | | | | | 36,486,978 | |
| | | | | | | | | | |
| Materials — 0.48% | |
ASP Unifrax Holdings, Inc. | |
5.25% | | 09/30/281 | | | 2,460,000 | | | | 1,968,738 | |
7.50% | | 09/30/291 | | | 1,020,000 | | | | 694,497 | |
International Flavors & Fragrances, Inc. | |
2.30% | | 11/01/301 | | | 7,065,000 | | | | 5,674,833 | |
SK Invictus Intermediate II SARL | |
(Luxembourg) | |
5.00% | | 10/30/291,3 | | | 5,432,000 | | | | 4,515,730 | |
Valvoline, Inc. | |
3.63% | | 06/15/311 | | | 1,000,000 | | | | 850,290 | |
| | | | | | | | | | |
| | | | | | | | | 13,704,088 | |
| | | | | | | | | | |
| Office REITs — 0.10% | |
Hudson Pacific Properties LP | |
3.25% | | 01/15/30 | | | 675,000 | | | | 433,559 | |
3.95% | | 11/01/27 | | | 2,500,000 | | | | 1,718,167 | |
5.95% | | 02/15/28 | | | 955,000 | | | | 738,990 | |
| | | | | | | | | | |
| | | | | | | | | 2,890,716 | |
| | | | | | | | | | |
| Residential REITs — 0.04% | |
Invitation Homes Operating Partnership LP | |
2.70% | | 01/15/34 | | | 1,585,000 | | | | 1,219,243 | |
| | | | | | | | | | |
| Retail — 0.31% | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance | |
Co., Inc. | |
6.75% | | 01/15/301 | | | 5,028,000 | | | | 4,138,200 | |
FirstCash, Inc. | |
5.63% | | 01/01/301 | | | 840,000 | | | | 776,023 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
|
| Retail (continued) | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/29 | 1 | | $ | 5,775,000 | | | $ | 4,047,957 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,962,180 | |
| | | | | | | | | | | | |
Services — 0.69% | |
Adtalem Global Education, Inc. | |
5.50% | | | 03/01/28 | 1 | | | 1,000,000 | | | | 949,402 | |
DP World Crescent Ltd. | |
(Cayman Islands) | |
4.85% | | | 09/26/28 | 1,3 | | | 2,236,000 | | | | 2,227,304 | |
Global Payments, Inc. | |
5.40% | | | 08/15/32 | | | | 1,420,000 | | | | 1,391,736 | |
5.95% | | | 08/15/52 | | | | 2,390,000 | | | | 2,286,268 | |
HealthEquity, Inc. | |
4.50% | | | 10/01/29 | 1 | | | 1,675,000 | | | | 1,500,045 | |
Hertz Corp. (The) | |
5.00% | | | 12/01/29 | 1 | | | 6,852,000 | | | | 5,709,224 | |
Waste Pro USA, Inc. | |
5.50% | | | 02/15/26 | 1 | | | 6,169,000 | | | | 5,679,721 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,743,700 | |
| | | | | | | | | | | | |
| Specialized REITs — 0.52% | |
Annington Funding PLC | |
(EMTN) | |
(United Kingdom) | |
2.31% | | | 10/06/32 | 3 | | | 1,800,000 | | | | 1,633,525 | |
Blackstone Property Partners Europe Holdings SARL | |
(EMTN) | |
(Luxembourg) | |
1.00% | | | 05/04/28 | 3 | | | 1,030,000 | | | | 836,747 | |
1.63% | | | 04/20/30 | 3 | | | 800,000 | | | | 606,584 | |
1.75% | | | 03/12/29 | 3 | | | 675,000 | | | | 543,624 | |
China Aoyuan Group Ltd. | |
(Cayman Islands) | |
6.35% | | | 02/08/24 | 3,5,6 | | | 2,660,000 | | | | 253,378 | |
China SCE Group Holdings Ltd. | |
(Cayman Islands) | |
7.00% | | | 05/02/25 | 3 | | | 1,070,000 | | | | 482,442 | |
CubeSmart LP | |
2.50% | | | 02/15/32 | | | | 4,075,000 | | | | 3,285,418 | |
Extra Space Storage LP | |
2.35% | | | 03/15/32 | | | | 2,990,000 | | | | 2,353,269 | |
3.90% | | | 04/01/29 | | | | 593,000 | | | | 547,380 | |
Iron Mountain, Inc. | |
5.63% | | | 07/15/32 | 1 | | | 3,200,000 | | | | 2,930,400 | |
Life Storage LP | |
2.40% | | | 10/15/31 | | | | 450,000 | | | | 364,498 | |
Sunac China Holdings Ltd. | |
(Cayman Islands) | |
6.50% | | | 01/10/25 | 3,5,6 | | | 2,515,000 | | | | 607,724 | |
6.80% | | | 10/20/24 | 3,5,6,9,10 | | | 720,000 | | | | 175,318 | |
Times China Holdings Ltd. | |
(Cayman Islands) | |
6.75% | | | 07/08/25 | 3,5,6 | | | 1,040,000 | | | | 162,667 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 238 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| CORPORATES (continued) | |
| Specialized REITs (continued) | |
Zhenro Properties Group Ltd. | |
(Cayman Islands) | |
6.63% | | 01/07/263,5,6 | | $ | 1,810,000 | | | $ | 155,906 | |
| | | | | | | | | | |
| | | | | | | | | 14,938,880 | |
| | | | | | | | | | |
Transportation — 0.11% | |
American Airlines Pass-Through Trust, | |
Series 2015-2, Class AA | |
3.60% | | 09/22/27 | | | 1,895,585 | | | | 1,739,976 | |
Transnet SOC Ltd. | |
(South Africa) | |
8.25% | | 02/06/281,3 | | | 900,000 | | | | 898,920 | |
U.S. Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | 04/22/23 | | | 437,867 | | | | 437,966 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | 10/01/24 | | | 49,491 | | | | 49,145 | |
| | | | | | | | | | |
| | | | | | | | | 3,126,007 | |
| | | | | | | | | | |
| Total Corporates | |
(Cost $962,841,055) | | | | 880,971,222 | |
| | | | | | | | | | |
| FOREIGN GOVERNMENT OBLIGATIONS — 2.45% | |
| Foreign Government Obligations — 2.45% | |
Bahrain Government International Bond, | |
Series REGS | |
(Bahrain) | |
7.00% | | 01/26/263 | | | 500,000 | | | | 516,084 | |
Brazilian Government International Bond | |
(Brazil) | |
3.88% | | 06/12/303 | | | 3,010,000 | | | | 2,697,457 | |
4.63% | | 01/13/283 | | | 830,000 | | | | 813,307 | |
Chile Government International Bond | |
(Chile) | |
2.45% | | 01/31/313 | | | 3,764,000 | | | | 3,253,362 | |
2.55% | | 01/27/323 | | | 1,257,000 | | | | 1,076,172 | |
Colombia Government International Bond | |
(Colombia) | |
3.00% | | 01/30/303 | | | 2,798,000 | | | | 2,201,326 | |
3.13% | | 04/15/313 | | | 1,020,000 | | | | 780,610 | |
4.50% | | 01/28/263 | | | 1,007,000 | | | | 969,137 | |
8.00% | | 04/20/333 | | | 200,000 | | | | 205,197 | |
Dominican Republic International Bond | |
(Dominican Republic) | |
4.50% | | 01/30/301,3 | | | 3,900,000 | | | | 3,410,160 | |
Dominican Republic International Bond, | |
Series REGS | |
(Dominican Republic) | |
4.88% | | 09/23/323 | | | 1,530,000 | | | | 1,306,773 | |
Egypt Government International Bond | |
(Egypt) | |
7.60% | | 03/01/291,3 | | | 700,000 | | | | 490,211 | |
Egypt Government International Bond, | |
Series REGS | |
(Egypt) | |
5.25% | | 10/06/253 | | | 1,700,000 | | | | 1,353,030 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
| FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
| Foreign Government Obligations (continued) | |
Finance Department Government of Sharjah | |
(United Arab Emirates) | |
6.50% | | 11/23/321,3 | | $ | 1,629,000 | | | $ | 1,663,509 | |
Hungary Government International Bond | |
(Hungary) | |
2.13% | | 09/22/311,3 | | | 4,200,000 | | | | 3,247,020 | |
Indonesia Government International Bond | |
(Indonesia) | |
2.85% | | 02/14/303 | | | 3,600,000 | | | | 3,259,782 | |
Mexico Government International Bond | |
(Mexico) | |
2.66% | | 05/24/313 | | | 6,531,000 | | | | 5,466,780 | |
3.75% | | 01/11/283 | | | 5,025,000 | | | | 4,836,060 | |
Oman Government International Bond, | |
Series REGS | |
(Oman) | |
5.63% | | 01/17/283 | | | 4,640,000 | | | | 4,647,053 | |
Panama Government International Bond | |
(Panama) | |
2.25% | | 09/29/323 | | | 3,000,000 | | | | 2,307,600 | |
3.16% | | 01/23/303 | | | 5,251,000 | | | | 4,625,606 | |
Perusahaan Penerbit SBSN Indonesia III | |
(Indonesia) | |
2.80% | | 06/23/301,3 | | | 2,100,000 | | | | 1,876,061 | |
Peruvian Government International Bond | |
(Peru) | |
1.86% | | 12/01/323 | | | 1,000,000 | | | | 757,635 | |
2.78% | | 01/23/313 | | | 1,160,000 | | | | 993,059 | |
2.84% | | 06/20/303 | | | 2,625,000 | | | | 2,300,313 | |
4.13% | | 08/25/273 | | | 525,000 | | | | 515,287 | |
Republic of Poland Government International Bond | |
(Poland) | |
5.75% | | 11/16/323 | | | 560,000 | | | | 598,640 | |
Republic of South Africa Government International Bond | |
(South Africa) | |
4.30% | | 10/12/283 | | | 1,627,000 | | | | 1,466,415 | |
4.85% | | 09/30/293 | | | 2,955,000 | | | | 2,659,057 | |
5.88% | | 04/20/323 | | | 1,064,000 | | | | 971,006 | |
Romanian Government International Bond, | |
Series REGS | |
(Romania) | |
3.00% | | 02/14/313 | | | 4,400,000 | | | | 3,632,750 | |
Saudi Government International Bond, | |
Series REGS (EMTN) | |
(Saudi Arabia) | |
3.25% | | 10/22/303 | | | 2,220,000 | | | | 2,049,375 | |
Serbia International Bond | |
(Serbia) | |
6.50% | | 09/26/331,3 | | | 450,000 | | | | 448,312 | |
Uruguay Government International Bond | |
(Uruguay) | |
4.38% | | 01/23/313 | | | 2,788,717 | | | | 2,784,813 | |
| | | | | | | | | | |
| Total Foreign Government Obligations | |
(Cost $79,021,928) | | | | | | | | | 70,178,959 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 239 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED — 63.48%** | |
|
| Non-Agency Commercial Mortgage-Backed — 8.53% | |
1345 Avenue of the Americas & Park Avenue Plaza Trust, | |
Series 2005-1, Class A3 | |
5.28% | | 08/10/351 | | $ | 7,801,704 | | | $ | 7,554,293 | |
A10 Bridge Asset Financing, | |
Series 2021-D, Class A1FL | |
(SOFR30A plus 1.45%) | |
6.01% | | 10/01/381,2 | | | 4,230,232 | | | | 4,025,719 | |
ACRES Commercial Realty Ltd., | |
Series 2021-FL1, Class AS | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.60%) | |
6.31% | | 06/15/361,2,3 | | | 9,831,000 | | | | 9,504,831 | |
AREIT Trust, | |
Series 2020-CRE4, Class B | |
(Cayman Islands) | |
(SOFR30A plus 4.26%) | |
8.82% | | 04/15/371,2,3 | | | 6,063,440 | | | | 6,021,609 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2018-PARK, Class A | |
4.09% | | 08/10/381,4 | | | 7,985,000 | | | | 7,174,334 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2020-BHP3, Class A | |
(LIBOR USD 1-Month plus 1.90%) | |
6.58% | | 03/15/371,2 | | | 8,585,000 | | | | 8,455,581 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2020-BOC, Class A | |
2.63% | | 01/15/321 | | | 5,000,000 | | | | 4,374,256 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2020-BOC, Class X (IO) | |
0.47% | | 01/15/321,4 | | | 98,610,000 | | | | 1,475,413 | |
Blackstone Industrial Portfolio - Proj Foxtrot | |
2.23% | | 04/09/244,5,6 | | | 3,175,016 | | | | 2,986,420 | |
BX Commercial Mortgage Trust, | |
Series 2021-XL2, Class J | |
(LIBOR USD 1-Month plus 3.89%) | |
8.57% | | 10/15/381,2 | | | 10,564,552 | | | | 9,558,726 | |
BX Trust, | |
Series 2019-OC11, Class A | |
3.20% | | 12/09/411 | | | 7,060,000 | | | | 6,047,518 | |
CALI Mortgage Trust, | |
Series 2019-101C, Class A | |
3.96% | | 03/10/391 | | | 2,020,000 | | | | 1,772,351 | |
CAMB Commercial Mortgage Trust, | |
Series 2019-LIFE, Class F | |
(LIBOR USD 1-Month plus 2.55%) | |
7.23% | | 12/15/371,2 | | | 9,700,000 | | | | 9,309,933 | |
CAMB Commercial Mortgage Trust, | |
Series 2019-LIFE, Class G | |
(LIBOR USD 1-Month plus 3.25%) | |
7.93% | | 12/15/371,2 | | | 8,503,000 | | | | 8,156,016 | |
CD Mortgage Trust, | |
Series 2016-CD1, Class XA (IO) | |
1.37% | | 08/10/494 | | | 59,754,592 | | | | 1,977,985 | |
Citigroup Commercial Mortgage Trust, | |
Series 2015-GC27, Class XA (IO) | |
1.31% | | 02/10/484 | | | 57,654,058 | | | | 1,004,337 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
Commercial Mortgage Trust, | |
Series 2012-CR4, Class XA (IO) | |
1.19% | | 10/15/454 | | $ | 9,795,832 | | | $ | 98 | |
Commercial Mortgage Trust, | |
Series 2013-CR13, Class XA (IO) | |
0.72% | | 11/10/464 | | | 58,467,016 | | | | 149,050 | |
Commercial Mortgage Trust, | |
Series 2014-CR16, Class XA (IO) | |
0.92% | | 04/10/474 | | | 98,401,840 | | | | 587,523 | |
Commercial Mortgage Trust, | |
Series 2020-CBM, Class XCP (IO) | |
0.60% | | 02/10/371,4 | | | 68,872,262 | | | | 647,082 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2020-TMIC, Class A | |
(LIBOR USD 1-Month plus 3.50%) | |
8.18% | | 12/15/351,2 | | | 11,515,000 | | | | 11,415,076 | |
CSAIL Commercial Mortgage Trust, | |
Series 2019-C16, Class XA (IO) | |
1.55% | | 06/15/524 | | | 90,620,962 | | | | 6,270,295 | |
CSMC, | |
Series 2021-BPNY, Class A | |
(LIBOR USD 1-Month plus 3.71%) | |
8.40% | | 08/15/231,2 | | | 12,734,000 | | | | 12,158,629 | |
DBJPM Mortgage Trust, | |
Series 2016-SFC, Class A | |
2.83% | | 08/10/361 | | | 2,812,500 | | | | 2,348,084 | |
Grace Trust, | |
Series 2020-GRCE, Class A | |
2.35% | | 12/10/401 | | | 8,000,000 | | | | 6,261,577 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class XA (IO) | |
0.35% | | 02/10/371,4 | | | 40,999,000 | | | | 230,992 | |
GS Mortgage Securities Trust, | |
Series 2014-GC20, Class XA (IO) | |
1.01% | | 04/10/474 | | | 54,852,826 | | | | 319,238 | |
GSCG Trust, | |
Series 2019-600C, Class G | |
3.99% | | 09/06/341,4 | | | 9,212,000 | | | | 6,750,562 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class A | |
2.94% | | 12/10/411,4 | | | 6,555,000 | | | | 5,553,364 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class F | |
2.94% | | 12/10/411,4 | | | 3,131,000 | | | | 1,985,617 | |
ILPT Commercial Mortgage Trust, | |
Series 2022-LPFX, Class A | |
3.38% | | 03/15/321 | | | 11,770,000 | | | | 9,970,964 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |
Series 2022-NLP, Class H | |
(CME Term SOFR 1-Month plus 5.01%) | |
9.84% | | 04/15/371,2 | | | 5,424,749 | | | | 4,482,012 | |
KKR Industrial Portfolio Trust, | |
Series 2021-KDIP, Class E | |
(CME Term SOFR 1-Month plus 1.66%) | |
6.49% | | 12/15/371,2 | | | 5,187,750 | | | | 4,839,702 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 240 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
KREF Ltd., | |
Series 2021-FL2, Class AS | |
(Cayman Islands) | |
(LIBOR USD 1-Month plus 1.30%) | |
6.01% | | 02/15/391,2,3 | | $ | 6,900,000 | | | $ | 6,545,833 | |
Life Mortgage Trust, | |
Series 2021-BMR, Class G | |
(CME Term SOFR 1-Month plus 3.06%) | |
7.89% | | 03/15/381,2 | | | 10,535,474 | | | | 9,657,872 | |
Med Trust, | |
Series 2021-MDLN, Class F | |
(LIBOR USD 1-Month plus 4.00%) | |
8.69% | | 11/15/381,2 | | | 3,988,152 | | | | 3,696,937 | |
MF1 Ltd., | |
Series 2020-FL4, Class B | |
(CME Term SOFR 1-Month plus 2.86%) | |
7.52% | | 11/15/351,2 | | | 11,579,000 | | | | 11,586,089 | |
MF1 Ltd., | |
Series 2020-FL4, Class D | |
(CME Term SOFR 1-Month plus 4.21%) | |
8.87% | | 11/15/351,2 | | | 4,850,000 | | | | 4,739,554 | |
MKT Mortgage Trust, | |
Series 2020-525M, Class XA (IO) | |
0.21% | | 02/12/401,4 | | | 147,585,000 | | | | 1,892,556 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C22, Class XA (IO) | |
1.00% | | 04/15/484 | | | 67,708,840 | | | | 914,658 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C24, Class XA (IO) | |
0.69% | | 05/15/484 | | | 102,102,948 | | | | 1,277,393 | |
Morgan Stanley Capital I Trust, | |
Series 2018-MP, Class A | |
4.28% | | 07/11/401,4 | | | 4,000,000 | | | | 3,610,818 | |
MSCG Trust, | |
Series 2018-SELF, Class E | |
(LIBOR USD 1-Month plus 2.15%) | |
6.84% | | 10/15/371,2 | | | 4,625,104 | | | | 4,317,104 | |
Natixis Commercial Mortgage Securities Trust, | |
Series 2018-ALXA, Class E | |
4.32% | | 01/15/431,4 | | | 1,095,000 | | | | 830,287 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2B | |
4.14% | | 01/05/431,4 | | | 1,840,000 | | | | 1,300,206 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class C | |
4.39% | | 01/05/431,4 | | | 10,000,000 | | | | 5,998,824 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class D | |
4.39% | | 01/05/431,4 | | | 13,330,000 | | | | 7,253,160 | |
VMC Finance LLC, | |
Series 2021-HT1, Class B | |
(LIBOR USD 1-Month plus 4.50%) | |
9.26% | | 01/18/371,2 | | | 10,000,000 | | | | 9,443,716 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC16, Class XA (IO) | |
1.07% | | 08/15/504 | | | 35,415,369 | | | | 276,690 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Commercial Mortgage-Backed (continued) | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-C33, Class XA (IO) | |
1.57% | | 03/15/594 | | $ | 75,931,994 | | | $ | 2,721,372 | |
Westfield Galleria at Roseville | |
3.25% | | 03/29/255,6 | | | 4,300,000 | | | | 4,277,640 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C10, Class XA (IO) | |
1.15% | | 12/15/451,4 | | | 3,105,998 | | | | 31 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2013-C14, Class XA (IO) | |
0.65% | | 06/15/464 | | | 48,203,979 | | | | 138,654 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2014-C23, Class XA (IO) | |
0.55% | | 10/15/574 | | | 73,801,106 | | | | 432,010 | |
| | | | | | | | | | |
| | | | 244,280,591 | |
| | | | | | | | | | |
Non-Agency Mortgage-Backed — 32.40% | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE3, Class A2C | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 06/25/362 | | | 4,637,175 | | | | 3,268,176 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-NC3, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 12/25/362 | | | 52,866,775 | | | | 15,152,976 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-OP2, Class A2C | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 08/25/362 | | | 20,352 | | | | 20,279 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP1, Class A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 03/25/372 | | | 28,161,892 | | | | 13,728,846 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP1, Class A2D | |
(LIBOR USD 1-Month plus 0.76%) | |
5.61% | | 03/25/372 | | | 2,232,801 | | | | 1,074,516 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-4, Class 5A1 | |
3.33% | | 08/25/354 | | | 1,232,320 | | | | 954,720 | |
Adjustable Rate Mortgage Trust, | |
Series 2007-1, Class 1A1 | |
4.40% | | 03/25/374 | | | 1,472,227 | | | | 1,288,705 | |
Alternative Loan Trust, | |
Series 2005-74T1, Class A1 | |
6.00% | | 01/25/36 | | | 5,323,090 | | | | 3,387,732 | |
Alternative Loan Trust, | |
Series 2005-76, Class 1A1 | |
(Federal Reserve US 12-Month Cumulative Average plus | |
1.48%) | |
4.62% | | 01/25/362 | | | 2,549,822 | | | | 2,308,643 | |
Alternative Loan Trust, | |
Series 2006-HY12, Class A5 | |
3.56% | | 08/25/364 | | | 2,128,739 | | | | 1,935,963 | |
See accompanying Notes to Financial Statements.
|
| 241 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
American Home Mortgage Investment Trust, | |
Series 2006-1, Class 11A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 03/25/462 | | $ | 8,478,005 | | | $ | 7,024,865 | |
American Home Mortgage Investment Trust, | |
Series 2006-1, Class 12A1 | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 03/25/462 | | | 2,628,181 | | | | 2,146,655 | |
Argent Securities, Inc., Asset-Backed Pass-Through | |
Certificates, | |
Series 2006-W3, Class A2C | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 04/25/362 | | | 38,748,926 | | | | 11,856,620 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A1A | |
(LIBOR USD 1-Month plus 1.25%) | |
6.10% | | 06/25/372 | | | 16,750,340 | | | | 11,722,940 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
(LIBOR USD 1-Month plus 1.00%) | |
5.85% | | 06/25/372 | | | 3,019,968 | | | | 2,393,285 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | |
Series 2004-HE9, Class M1 | |
(LIBOR USD 1-Month plus 0.98%) | |
5.82% | | 12/25/342 | | | 1,176,756 | | | | 1,068,994 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE5, Class A5 | |
(LIBOR USD 1-Month plus 0.48%) | |
3.25% | | 07/25/362 | | | 9,754,000 | | | | 9,248,758 | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | 10/25/33 | | | 420,080 | | | | 403,397 | |
Banc of America Funding Trust, | |
Series 2004-B, Class 5A1 | |
4.11% | | 11/20/344 | | | 150,320 | | | | 141,357 | |
Banc of America Funding Trust, | |
Series 2006-D, Class 3A1 | |
3.56% | | 05/20/364 | | | 605,663 | | | | 528,434 | |
Banc of America Funding Trust, | |
Series 2015-R3, Class 6A2 | |
4.96% | | 05/27/361,4 | | | 9,615,729 | | | | 8,966,946 | |
Banc of America Mortgage Trust, | |
Series 2005-K, Class 2A1 | |
3.92% | | 12/25/354 | | | 656,151 | | | | 569,984 | |
BCAP LLC Trust, | |
Series 2007-AA1, Class 2A1 | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 03/25/372 | | | 2,492,970 | | | | 2,256,998 | |
BCAP LLC Trust, | |
Series 2014-RR3, Class 4A1 | |
3.88% | | 03/26/361,4 | | | 805,892 | | | | 794,675 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 2A4 | |
3.57% | | 04/25/354 | | | 841,278 | | | | 750,145 | |
| | | | | | | | | | |
| | | |
Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ALT-A Trust, | |
Series 2005-8, Class 11A1 | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 10/25/352 | | $ | 5,249,950 | | | $ | 4,669,844 | |
Bear Stearns ARM Trust, | |
Series 2005-9, Class A1 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.30%) | |
5.23% | | 10/25/352 | | | 921,447 | | | | 857,135 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2005-AC6, Class 1A3 | |
5.50% | | 09/25/354 | | | 328,869 | | | | 295,759 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | 03/25/36 | | | 14,649 | | | | 14,388 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 1A1 | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 09/25/472 | | | 4,635,397 | | | | 4,150,886 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 2A1 | |
(LIBOR USD 1-Month plus 0.21%) | |
5.06% | | 06/25/372 | | | 3,510,777 | | | | 2,930,727 | |
Carrington Mortgage Loan Trust, | |
Series 2006-NC4, Class A4 | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 10/25/362 | | | 14,364,300 | | | | 12,325,615 | |
Carrington Mortgage Loan Trust, | |
Series 2006-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.53%) | |
5.37% | | 02/25/362 | | | 1,281,624 | | | | 1,237,948 | |
Cascade MH Asset Trust, | |
Series 2022-MH1, Class A (STEP-reset date 05/25/23) | |
4.25% | | 08/25/541 | | | 6,875,619 | | | | 6,120,167 | |
Chase Mortgage Finance Trust, | |
Series 2007-A1, Class 8A1 | |
4.12% | | 02/25/374 | | | 435,394 | | | | 409,601 | |
CIM Trust, | |
Series 2019-R3, Class A | |
2.63% | | 06/25/581,4 | | | 6,726,990 | | | | 6,163,872 | |
CIM Trust, | |
Series 2020-R1, Class A1 | |
2.85% | | 10/27/591,4 | | | 10,649,709 | | | | 8,977,073 | |
CIM Trust, | |
Series 2020-R3, Class A1A | |
4.00% | | 01/26/601,4 | | | 6,652,587 | | | | 6,268,377 | |
CIM Trust, | |
Series 2020-R6, Class A1A | |
2.25% | | 12/25/601,4 | | | 5,197,459 | | | | 4,497,968 | |
CIM Trust, | |
Series 2020-R7, Class A1A | |
2.25% | | 12/27/611,4 | | | 8,439,914 | | | | 7,390,731 | |
CIM Trust, | |
Series 2021-NR3, Class A1 (STEP-reset date 05/25/23) | |
2.57% | | 06/25/571 | | | 3,814,074 | | | | 3,622,920 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 242 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
CIM Trust, | |
Series 2021-NR4, Class A1 (STEP-reset date 05/25/23) | |
2.82% | | 10/25/611 | | $ | 13,243,692 | | | $ | 12,380,005 | |
CIM Trust, | |
Series 2021-R3, Class A1B | |
1.95% | | 06/25/571,4 | | | 18,287,000 | | | | 13,242,811 | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | 05/01/611,4 | | | 11,231,941 | | | | 9,737,073 | |
CIM Trust, | |
Series 2021-R4, Class A1B | |
2.00% | | 05/01/611,4 | | | 10,243,493 | | | | 7,137,478 | |
CIM Trust, | |
Series 2021-R5, Class A1A | |
2.00% | | 08/25/611,4 | | | 9,274,488 | | | | 7,641,251 | |
CIM Trust, | |
Series 2023-NR1, Class A1 (STEP-reset date 05/25/23) | |
6.00% | | 06/25/621 | | | 15,423,385 | | | | 14,924,425 | |
CIM Trust, | |
Series 2023-R1, Class A1A | |
5.40% | | 04/25/621,4 | | | 13,739,230 | | | | 13,351,784 | |
Citigroup Mortgage Loan Trust, | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 11/25/352 | | | 41,797 | | | | 33,644 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AR3, Class 1A2A | |
3.53% | | 06/25/364 | | | 70,886 | | | | 64,591 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 12/25/362 | | | 6,267,445 | | | | 4,005,026 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2D | |
(LIBOR USD 1-Month plus 0.46%) | |
5.31% | | 12/25/362 | | | 6,698,033 | | | | 4,288,026 | |
Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2005-3, Class 1A2 | |
(LIBOR USD 1-Month plus 0.58%) | |
5.43% | | 04/25/352 | | | 2,580,564 | | | | 2,310,038 | |
Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2005-9, Class 1A1 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 05/25/352 | | | 62,947 | | | | 51,501 | |
Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2003-AR26, Class 3A1 | |
4.47% | | 11/25/334 | | | 333,964 | | | | 311,495 | |
Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2005-11, Class 1A1 | |
6.50% | | 12/25/35 | | | 521,291 | | | | 275,658 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through | |
Certificates, | |
Series 2004-AR5, Class 9A1 | |
3.02% | | 06/25/344 | | | 28,735 | | | | 27,402 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2022-RPL1, Class CERT | |
4.23% | | 04/25/611 | | $ | 508,087 | | | $ | 439,155 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-8, Class 3A1 | |
6.00% | | 10/25/21 | | | 24,960 | | | | 12,372 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2020-RPL2, Class A12 | |
3.46% | | 02/25/601,4 | | | 9,858,169 | | | | 9,928,002 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class PT | |
4.45% | | 04/25/611,4 | | | 11,954,550 | | | | 10,425,540 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/23) | |
3.04% | | 12/25/36 | | | 659,086 | | | | 506,705 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB9, Class A2 | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 11/25/362 | | | 7,140,077 | | | | 3,323,164 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/23) | |
3.13% | | 01/25/37 | | | 2,497,070 | | | | 753,222 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB4, Class A1A | |
(LIBOR USD 1-Month plus 0.09%) | |
3.03% | | 04/25/372 | | | 699,708 | | | | 677,091 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB5, Class A1 | |
(LIBOR USD 1-Month plus 0.06%) | |
3.40% | | 04/25/372 | | | 1,308,732 | | | | 906,820 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2B (STEP-reset date 05/25/23) | |
3.53% | | 02/25/37 | | | 4,312,750 | | | | 2,645,812 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2C (STEP-reset date 05/25/23) | |
3.53% | | 02/25/37 | | | 1,032,221 | | | | 627,259 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB3, Class A3 (STEP-reset date 05/25/23) | |
3.29% | | 03/25/37 | | | 5,499,502 | | | | 2,106,427 | |
CSMC Mortgage-Backed Trust, | |
Series 2006-1, Class 1A4 | |
5.50% | | 02/25/36 | | | 2,839,964 | | | | 2,520,653 | |
CSMC Trust, | |
Series 2021-RPL7, Class A1 | |
1.93% | | 07/27/611,4 | | | 8,314,500 | | | | 7,665,825 | |
CSMCM Trust, | |
Series 2018-SP3, Class CERT | |
5.23% | | 10/25/581,4 | | | 13,463,295 | | | | 11,300,253 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
(LIBOR USD 1-Month plus 0.72%) | |
5.48% | | 01/19/452 | | | 437,348 | | | | 354,510 | |
See accompanying Notes to Financial Statements.
|
| 243 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1A | |
(LIBOR USD 1-Month plus 0.58%) | |
5.34% | | 10/19/452 | | $ | 3,403,568 | | | $ | 2,909,874 | |
DSLA Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
4.96% | | 10/19/362 | | | 5,385,592 | | | | 3,613,937 | |
DSLA Mortgage Loan Trust, | |
Series 2007-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.14%) | |
4.90% | | 03/19/372 | | | 1,203,823 | | | | 965,926 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2019-R06, Class 2B1 | |
(LIBOR USD 1-Month plus 3.75%) | |
8.60% | | 09/25/391,2 | | | 6,276,594 | | | | 6,116,423 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R01, Class 1B1 | |
(SOFR30A plus 3.10%) | |
7.66% | | 10/25/411,2 | | | 2,500,000 | | | | 2,362,798 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R02, Class 2B1 | |
(SOFR30A plus 3.30%) | |
7.86% | | 11/25/411,2 | | | 10,000,000 | | | | 9,390,406 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R03, Class 1B2 | |
(SOFR30A plus 5.50%) | |
10.06% | | 12/25/411,2 | | | 3,950,000 | | | | 3,496,273 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2C | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 10/25/362 | | | 12,246,590 | | | | 8,218,433 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2D | |
(LIBOR USD 1-Month plus 0.21%) | |
5.06% | | 12/25/372 | | | 732,483 | | | | 644,020 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF4, Class A3 | |
(LIBOR USD 1-Month plus 0.56%) | |
4.83% | | 03/25/362 | | | 2,509,146 | | | | 2,476,529 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF5, Class M1 | |
(LIBOR USD 1-Month plus 0.41%) | |
5.25% | | 04/25/362 | | | 3,860,000 | | | | 2,918,983 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF9, Class 2A4 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 06/25/362 | | | 8,650,000 | | | | 7,551,268 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF1, Class A2D | |
(LIBOR USD 1-Month plus 0.22%) | |
5.29% | | 01/25/382 | | | 3,944,648 | | | | 2,116,417 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2B | |
(LIBOR USD 1-Month plus 0.10%) | |
4.95% | | 03/25/372 | | | 543,926 | | | | 266,005 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A1 | |
5.10% | | 09/25/344 | | $ | 133,234 | | | $ | 117,825 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A3 | |
5.10% | | 09/25/344 | | | 204,873 | | | | 181,178 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA10, Class 1A1 | |
4.23% | | 12/25/354 | | | 773,147 | | | | 631,341 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA12, Class 2A1 | |
4.71% | | 02/25/364 | | | 1,021,523 | | | | 676,462 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA2, Class 2A1 | |
5.02% | | 04/25/354 | | | 1,344,170 | | | | 1,291,917 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA3, Class 3A1 | |
4.46% | | 05/25/354 | | | 982,297 | | | | 873,523 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA7, Class 2A1 | |
5.08% | | 09/25/354 | | | 1,346,226 | | | | 1,144,291 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA8, Class 2A1 | |
5.23% | | 10/25/354 | | | 1,694,519 | | | | 1,125,113 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA9, Class 2A1 | |
4.30% | | 11/25/354 | | | 988,708 | | | | 845,767 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2006-AA1, Class 1A1 | |
5.26% | | 03/25/364 | | | 1,162,044 | | | | 896,585 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2006-AA7, Class A1 | |
4.21% | | 01/25/374 | | | 1,928,499 | | | | 1,417,547 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR4, Class 1A1 | |
3.28% | | 09/25/354 | | | 1,224,177 | | | | 779,519 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR4, Class 2A1 | |
3.98% | | 10/25/354 | | | 42,491 | | | | 39,460 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR5, Class 2A1 | |
4.31% | | 11/25/354 | | | 567,794 | | | | 457,633 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2007-AR2, Class 1A2 | |
3.80% | | 08/25/374 | | | 53,343 | | | | 18,007 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2021-DNA2, Class M2 | |
(SOFR30A plus 2.30%) | |
6.86% | | 08/25/331,2 | | | 9,435,000 | | | | 9,286,903 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2021-DNA3, Class M2 | |
(SOFR30A plus 2.10%) | |
6.66% | | 10/25/331,2 | | | 5,245,000 | | | | 5,069,065 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 244 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2021-HQA1, Class M2 | |
(SOFR30A plus 2.25%) | |
6.81% | | 08/25/331,2 | | $ | 9,450,000 | | | $ | 9,101,221 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2021-HQA2, Class M2 | |
(SOFR30A plus 2.05%) | |
6.61% | | 12/25/331,2 | | | 5,000,000 | | | | 4,728,228 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2022-DNA1, Class M1B | |
(SOFR30A plus 1.85%) | |
6.41% | | 01/25/421,2 | | | 3,485,000 | | | | 3,302,611 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR5, Class 2A1 | |
4.15% | | 09/19/354 | | | 1,256,653 | | | | 881,263 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR5, Class 3A1 | |
3.88% | | 09/19/354 | | | 1,005,965 | | | | 841,124 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
3.28% | | 04/19/364 | | | 2,677,960 | | | | 2,025,547 | |
Greenpoint Manufactured Housing, | |
Series 2000-1, Class A4 | |
8.14% | | 03/20/304 | | | 4,679,384 | | | | 3,487,417 | |
GreenPoint Mortgage Funding Trust, | |
Series 2007-AR1, Class 2A1A | |
(LIBOR USD 1-Month plus 0.40%) | |
5.25% | | 03/25/472 | | | 8,600,253 | | | | 7,583,273 | |
GSAMP Trust, | |
Series 2007-FM2, Class A1 | |
(LIBOR USD 1-Month plus 0.14%) | |
4.99% | | 01/25/372 | | | 17,857,153 | | | | 10,610,454 | |
GSR Mortgage Loan Trust, | |
Series 2005-7F, Class 3A3 (IO) | |
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap) | |
0.65% | | 09/25/352,5,6 | | | 10,858 | | | | 199 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR4, Class 5A1 | |
3.75% | | 07/25/354 | | | 356,208 | | | | 325,958 | |
GSR Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1 | |
3.55% | | 04/25/364 | | | 170,358 | | | | 113,019 | |
GSR Mortgage Loan Trust, | |
Series 2007-AR2, Class 5A1A | |
4.31% | | 05/25/374 | | | 451,074 | | | | 383,885 | |
HarborView Mortgage Loan Trust, | |
Series 2005-10, Class 2A1A | |
(LIBOR USD 1-Month plus 0.62%) | |
5.38% | | 11/19/352 | | | 928,637 | | | | 668,437 | |
HarborView Mortgage Loan Trust, | |
Series 2006-7, Class 1A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.18% | | 09/19/462 | | | 8,456,255 | | | | 7,165,906 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
HarborView Mortgage Loan Trust, | |
Series 2007-6, Class 1A1A | |
(LIBOR USD 1-Month plus 0.20%) | |
4.96% | | 08/19/372 | | $ | 9,634,073 | | | $ | 7,852,509 | |
Home Equity Mortgage Loan Asset-Backed Trust, | |
Series 2005-D, Class AII4 | |
(LIBOR USD 1-Month plus 0.70%) | |
5.55% | | 03/25/362 | | | 1,352,218 | | | | 1,333,762 | |
HSI Asset Securitization Corp. Trust, | |
Series 2005-OPT1, Class M1 | |
(LIBOR USD 1-Month plus 0.63%) | |
5.48% | | 11/25/352 | | | 1,433,550 | | | | 1,397,258 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-HE1, Class 1A1 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 10/25/362 | | | 10,976,815 | | | | 3,651,379 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-HE2, Class 1A | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 12/25/362 | | | 26,802,476 | | | | 11,236,788 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A1 | |
(LIBOR USD 1-Month plus 0.10%) | |
4.95% | | 07/25/362 | | | 10,197,950 | | | | 4,592,706 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A2 | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 07/25/362 | | | 11,287,166 | | | | 5,107,034 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-WMC1, Class A4 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 07/25/362 | | | 9,870,098 | | | | 4,526,652 | |
Impac CMB Trust, | |
Series 2005-2, Class 1A1 | |
(LIBOR USD 1-Month plus 0.52%) | |
5.37% | | 04/25/352 | | | 1,891,455 | | | | 1,748,511 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR14, Class 1A1A | |
(LIBOR USD 1-Month plus 0.56%) | |
5.41% | | 07/25/352 | | | 8,225,609 | | | | 5,772,469 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR19, Class A1 | |
3.29% | | 10/25/354 | | | 1,796,299 | | | | 1,393,729 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR27, Class 1A3 | |
(LIBOR USD 1-Month plus 0.54%) | |
5.39% | | 10/25/362 | | | 5,070,200 | | | | 2,118,360 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR4, Class A2A | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 05/25/462 | | | 10,663,809 | | | | 10,033,949 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 3A1 | |
3.34% | | 05/25/364 | | | 211,218 | | | | 169,763 | |
See accompanying Notes to Financial Statements.
|
| 245 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR9, Class 3A3 | |
3.16% | | 06/25/364 | | $ | 2,755,166 | | | $ | 2,247,042 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-FLX4, Class 2A1 | |
(LIBOR USD 1-Month plus 0.18%) | |
5.03% | | 07/25/372 | | | 12,012,297 | | | | 10,854,538 | |
IndyMac Manufactured Housing Contract Pass-Through | |
Certificates, | |
Series 1998-1, Class A4 | |
6.49% | | 09/25/28 | | | 20,419 | | | | 20,632 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-CH1, Class M2 | |
(LIBOR USD 1-Month plus 0.29%) | |
5.14% | | 07/25/362 | | | 2,684,272 | | | | 2,665,688 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-WMC4, Class A1A | |
(LIBOR USD 1-Month plus 0.13%) | |
4.98% | | 12/25/362 | | | 7,206,930 | | | | 4,237,738 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2006-WMC4, Class A4 | |
(LIBOR USD 1-Month plus 0.15%) | |
5.00% | | 12/25/362 | | | 9,067,635 | | | | 4,766,271 | |
JPMorgan Mortgage Trust, | |
Series 2005-A6, Class 7A1 | |
4.01% | | 08/25/354 | | | 16,457 | | | | 13,405 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 2A1 | |
3.78% | | 05/25/364 | | | 17,078 | | | | 14,057 | |
Legacy Mortgage Asset Trust, | |
Series 2017-RPL1, Class A | |
(LIBOR USD 1-Month plus 1.75%) | |
6.58% | | 01/28/701,2 | | | 2,321,576 | | | | 2,316,267 | |
Lehman XS Trust, | |
Series 2005-5N, Class 3A1A | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 11/25/352 | | | 786,144 | | | | 762,553 | |
Lehman XS Trust, | |
Series 2006-17, Class 1A3 | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 08/25/462 | | | 12,719,586 | | | | 10,917,062 | |
Lehman XS Trust, | |
Series 2006-GP2, Class 1A5A | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 06/25/462 | | | 3,529,961 | | | | 3,134,509 | |
Lehman XS Trust, | |
Series 2007-18N, Class 1A1 | |
(LIBOR USD 1-Month plus 1.70%) | |
6.55% | | 10/25/372 | | | 3,036,493 | | | | 2,717,522 | |
Long Beach Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 03/25/462 | | | 6,307,668 | | | | 5,169,175 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Long Beach Mortgage Loan Trust, | |
Series 2006-9, Class 2A2 | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 10/25/362 | | $ | 49,129,004 | | | $ | 15,185,974 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
3.88% | | 11/25/334 | | | 102,590 | | | | 95,838 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-15, Class 8A1 | |
4.95% | | 10/25/344 | | | 82,084 | | | | 78,564 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
4.02% | | 04/25/344 | | | 30,337 | | | | 27,726 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2006-OA2, Class 1A1 | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.80%) | |
3.94% | | 12/25/462 | | | 16,267,842 | | | | 11,998,866 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-2, Class A1 | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 03/25/472 | | | 2,186,149 | | | | 1,882,340 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-WMC1, Class A3 | |
(LIBOR USD 1-Month plus 0.36%) | |
5.21% | | 02/25/362 | | | 16,254,893 | | | | 6,303,642 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A4 | |
(LIBOR USD 1-Month plus 0.28%) | |
5.13% | | 05/25/372 | | | 3,150,000 | | | | 2,429,495 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-WMC1, Class A2 | |
(LIBOR USD 1-Month plus 0.05%) | |
4.90% | | 01/25/372 | | | 16,402,243 | | | | 4,608,804 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-A3, Class A2D | |
(LIBOR USD 1-Month plus 0.66%) | |
5.51% | | 04/25/372,5,6 | | | 883,581 | | | | 39,003 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-OAR2, Class A2 | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 04/25/372 | | | 7,567,206 | | | | 6,191,208 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A2C | |
(LIBOR USD 1-Month plus 0.50%) | |
5.35% | | 04/25/372 | | | 17,102,051 | | | | 6,740,392 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-4, Class 2A4 | |
(LIBOR USD 1-Month plus 0.25%) | |
5.10% | | 07/25/372 | | | 878,684 | | | | 759,041 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-5, Class 1A | |
(LIBOR USD 1-Month plus 0.85%) | |
5.70% | | 10/25/372 | | | 22,996,507 | | | | 13,337,622 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 246 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A6, Class 2A | |
4.30% | | 10/25/334 | | $ | 67,544 | | | $ | 65,188 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2007-2, Class 1A1 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.40%) | |
7.43% | | 08/25/362 | | | 667,470 | | | | 578,245 | |
Morgan Stanley ABS Capital I Trust, | |
Series 2006-NC2, Class A2D | |
(LIBOR USD 1-Month plus 0.58%) | |
5.43% | | 02/25/362 | | | 1,077,405 | | | | 1,053,738 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A3 | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 06/25/362 | | | 9,195,672 | | | | 4,735,112 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A4 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 06/25/362 | | | 9,809,706 | | | | 5,106,007 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2007-NC3, Class A2C | |
(LIBOR USD 1-Month plus 0.19%) | |
5.04% | | 05/25/372 | | | 22,061,496 | | | | 15,326,925 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2006-3, Class A4 | |
(LIBOR USD 1-Month plus 0.52%) | |
5.37% | | 04/25/362 | | | 11,798,844 | | | | 8,116,926 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
4.19% | | 09/25/344 | | | 192,543 | | | | 182,955 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
5.25% | | 02/25/21 | | | 44,300 | | | | 40,927 | |
MortgageIT Trust, | |
Series 2005-2, Class 2A | |
(LIBOR USD 1-Month plus 1.65%) | |
6.31% | | 05/25/352 | | | 526,386 | | | | 483,581 | |
New York Mortgage Trust, | |
Series 2005-3, Class A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 02/25/362 | | | 185,729 | | | | 180,824 | |
Nomura Asset Acceptance Corp., | |
Series 2005-AR4, Class 4A1 | |
4.40% | | 08/25/354 | | | 2,222,684 | | | | 1,560,396 | |
NRPL, | |
Series 2019-3A, Class A1 (STEP-reset date 05/25/23) | |
6.00% | | 07/25/591 | | | 8,953,515 | | | | 8,893,266 | |
Oakwood Mortgage Investors, Inc., | |
Series 2000-A, Class A5 | |
8.16% | | 09/15/294 | | | 10,215,029 | | | | 2,606,047 | |
Option One Mortgage Loan Trust, | |
Series 2007-4, Class 2A2 | |
(LIBOR USD 1-Month plus 0.18%) | |
5.03% | | 04/25/372 | | | 12,898,411 | | | | 7,297,228 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Option One Mortgage Loan Trust, | |
Series 2007-5, Class 2A2 | |
(LIBOR USD 1-Month plus 0.17%) | |
5.02% | | 05/25/372 | | $ | 18,889,097 | | | $ | 10,099,341 | |
Ownit Mortgage Loan Trust, | |
Series 2006-2, Class A1 | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 01/25/372 | | | 4,242,809 | | | | 4,042,440 | |
PHH Alternative Mortgage Trust, | |
Series 2007-2, Class 1A4 | |
(LIBOR USD 1-Month plus 0.60%) | |
5.45% | | 05/25/372 | | | 6,838,687 | | | | 6,157,929 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
(LIBOR USD 1-Month plus 0.31%) | |
5.16% | | 06/25/472 | | | 4,734,133 | | | | 4,295,820 | |
PRET LLC, | |
Series 2022-RN2, Class A2 (STEP-reset date 04/25/23) | |
6.50% | | 06/25/521 | | | 16,833,000 | | | | 15,500,145 | |
PRET, LLC, | |
Series 2022-RN1, Class A1 (STEP-reset date 04/25/23) | |
3.72% | | 07/25/511 | | | 15,221,012 | | | | 14,347,555 | |
Pretium Mortgage Credit Partners LLC, | |
Series 2022-RN3, Class A2 | |
6.50% | | 08/25/521,4 | | | 14,985,000 | | | | 13,839,613 | |
PRPM LLC, | |
Series 2021-9, Class A1 (STEP-reset date 04/25/23) | |
2.36% | | 10/25/261 | | | 16,116,085 | | | | 15,289,728 | |
PRPM, LLC, | |
Series 2021-8, Class A1 | |
1.74% | | 09/25/261,4 | | | 9,061,118 | | | | 8,507,011 | |
RAAC Trust, | |
Series 2005-SP1, Class 4A1 | |
7.00% | | 09/25/34 | | | 39,276 | | | | 31,276 | |
Residential Accredit Loans Trust, | |
Series 2005-QA13, Class 2A1 | |
4.65% | | 12/25/354 | | | 1,365,512 | | | | 1,079,652 | |
Residential Accredit Loans Trust, | |
Series 2005-QA4, Class A41 | |
3.91% | | 04/25/354 | | | 7,293 | | | | 7,059 | |
Residential Accredit Loans Trust, | |
Series 2005-QA7, Class A21 | |
3.94% | | 07/25/354 | | | 488,651 | | | | 439,782 | |
Residential Accredit Loans Trust, | |
Series 2005-QA8, Class CB21 | |
4.38% | | 07/25/354 | | | 548,988 | | | | 304,901 | |
Residential Accredit Loans Trust, | |
Series 2006-QS13, Class 2A1 | |
5.75% | | 09/25/21 | | | 3,380 | | | | 1,993 | |
Residential Accredit Loans Trust, | |
Series 2006-QS16, Class A6 | |
6.00% | | 11/25/36 | | | 335,688 | | | | 274,831 | |
Residential Accredit Loans Trust, | |
Series 2007-QA3, Class A1 | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 05/25/372 | | | 12,550,677 | | | | 11,042,482 | |
See accompanying Notes to Financial Statements.
|
| 247 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans Trust, | |
Series 2007-QH6, Class A1 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 07/25/372 | | $ | 7,798,105 | | | $ | 7,009,819 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 2AV (IO) | |
0.17% | | 01/25/374,5,6 | | | 1,500,899 | | | | 8,510 | |
Residential Asset Securitization Trust, | |
Series 2006-A9CB, Class A9 | |
6.00% | | 09/25/36 | | | 4,927,161 | | | | 1,629,379 | |
Residential Funding Mortgage Securities Trust, | |
Series 2007-SA2, Class 1A | |
4.11% | | 04/25/374 | | | 233,625 | | | | 136,159 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2C | |
(LIBOR USD 1-Month plus 0.24%) | |
5.09% | | 05/25/472 | | | 12,948,957 | | | | 8,978,009 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/23) | |
2.86% | | 01/25/36 | | | 3,610,203 | | | | 2,839,302 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-WM4, Class A1 | |
(LIBOR USD 1-Month plus 0.38%) | |
5.23% | | 11/25/361,2 | | | 8,804,929 | | | | 4,066,162 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR2, Class A2 | |
(LIBOR USD 1-Month plus 0.23%) | |
5.08% | | 02/25/372 | | | 5,923,809 | | | | 2,594,007 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR4, Class A2B | |
(LIBOR USD 1-Month plus 0.20%) | |
5.05% | | 05/25/372 | | | 9,707,534 | | | | 5,999,611 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC1, Class A2B | |
(LIBOR USD 1-Month plus 0.30%) | |
5.15% | | 12/25/362 | | | 5,575,585 | | | | 3,219,675 | |
Soundview Home Loan Trust, | |
Series 2007-OPT1, Class 2A3 | |
(LIBOR USD 1-Month plus 0.21%) | |
5.06% | | 06/25/372 | | | 18,649,406 | | | | 12,662,421 | |
Soundview Home Loan Trust, | |
Series 2007-WMC1, Class 3A3 | |
(LIBOR USD 1-Month plus 0.26%) | |
5.11% | | 02/25/372 | | | 983,414 | | | | 286,246 | |
Specialty Underwriting & Residential Finance Trust, | |
Series 2007-BC2, Class A1 | |
(LIBOR USD 1-Month plus 0.23%) | |
5.08% | | 04/25/372 | | | 19,872,050 | | | | 13,998,428 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-12, Class 2A | |
4.82% | | 09/25/344 | | | 322,329 | | | | 308,899 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-2, Class 4A2 | |
4.97% | | 03/25/344 | | | 696,908 | | | | 658,608 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-12, Class 3A1 | |
4.12% | | 06/25/354 | | $ | 263,973 | | | $ | 231,717 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-21, Class 2A | |
4.95% | | 11/25/354 | | | 686,762 | | | | 541,809 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-7, Class 1A3 | |
4.28% | | 04/25/354 | | | 1,955,852 | | | | 1,776,074 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2006-11, Class 1A1 | |
(LIBOR USD 1-Month plus 0.32%) | |
5.17% | | 12/25/362 | | | 958,834 | | | | 854,350 | |
Structured Asset Investment Loan Trust, | |
Series 2004-6, Class A3 | |
(LIBOR USD 1-Month plus 0.80%) | |
5.65% | | 07/25/342 | | | 8,163,629 | | | | 7,904,638 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR3, Class 22A1 | |
3.45% | | 05/25/364 | | | 442,242 | | | | 238,205 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR5, Class 1A1 | |
(LIBOR USD 1-Month plus 0.42%) | |
5.27% | | 05/25/362 | | | 186,323 | | | | 121,599 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR7, Class A1BG | |
(LIBOR USD 1-Month plus 0.12%) | |
4.97% | | 08/25/362 | | | 6,124,782 | | | | 5,124,864 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2007-AR6, Class A1 | |
(Federal Reserve US 12-Month Cumulative Average plus | |
1.50%) | |
4.64% | | 08/25/472 | | | 9,007,572 | | | | 7,392,248 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | |
Series 2005-2XS, Class 2A2 | |
(LIBOR USD 1-Month plus 1.50%) | |
6.16% | | 02/25/352 | | | 54,915 | | | | 54,285 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | |
Series 2005-4XS, Class 2A1A | |
(LIBOR USD 1-Month plus 1.75%) | |
6.41% | | 03/25/352 | | | 905,749 | | | | 856,959 | |
Structured Asset Securities Corp. Mortgage Pass-Through | |
Certificates, | |
Series 2003-34A, Class 3A3 | |
4.62% | | 11/25/334 | | | 16,022 | | | | 15,460 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-4, Class 3A1 | |
3.67% | | 10/25/374 | | | 823,625 | | | | 713,585 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-S1, Class 2A1 | |
4.40% | | 01/25/374 | | | 305,465 | | | | 290,086 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-S1, Class 5A1 | |
4.16% | | 01/25/374 | | | 71,837 | | | | 65,939 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 248 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
Towd Point Mortgage Trust, | |
Series 2017-4, Class B1 | |
3.50% | | 06/25/571,4 | | $ | 8,650,000 | | | $ | 7,205,717 | |
VOLT XCIV LLC, | |
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/23) | |
2.24% | | 02/27/511 | | | 12,063,592 | | | | 11,344,966 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
(LIBOR USD 1-Month plus 0.11%) | |
4.96% | | 01/25/372 | | | 5,219,218 | | | | 2,355,594 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE2, Class 2A2 | |
(LIBOR USD 1-Month plus 0.22%) | |
5.07% | | 02/25/372 | | | 28,356,460 | | | | 8,361,139 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR13, Class A1A | |
(LIBOR USD 1-Month plus 0.72%) | |
5.57% | | 11/25/342 | | | 105,656 | | | | 95,164 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
4.09% | | 01/25/354 | | | 333,658 | | | | 297,887 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR6, Class A | |
(LIBOR USD 1-Month plus 0.84%) | |
5.69% | | 05/25/442 | | | 5,954 | | | | 5,925 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR12, Class 1A6 | |
3.81% | | 10/25/354 | | | 724,476 | | | | 648,765 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
3.77% | | 12/25/354 | | | 16,783 | | | | 14,944 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR16, Class 1A3 | |
3.86% | | 12/25/354 | | | 911,280 | | | | 808,059 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(LIBOR USD 1-Month plus 0.66%) | |
5.51% | | 01/25/452 | | | 331,274 | | | | 315,482 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR9, Class A1A | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 07/25/452 | | | 415,517 | | | | 376,467 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class A1A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
1.00%) | |
4.14% | | 02/25/462 | | | 3,108,139 | | | | 2,685,912 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.94%) | |
3.65% | | 05/25/462 | | | 1,351,006 | | | | 1,149,686 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.98%) | |
4.12% | | 07/25/462 | | $ | 3,044,248 | | | $ | 2,563,178 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY3, Class 1A1 | |
3.46% | | 03/25/374 | | | 1,547,882 | | | | 1,196,508 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OA5, Class 1A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.75%) | |
3.89% | | 06/25/472 | | | 1,251,054 | | | | 971,466 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OC1, Class A1 | |
(LIBOR USD 1-Month plus 0.48%) | |
5.33% | | 01/25/472 | | | 4,459,463 | | | | 4,133,027 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | 11/25/37 | | | 1,280,272 | | | | 1,088,452 | |
Wells Fargo Home Equity Asset-Backed Securities Trust, | |
Series 2007-1, Class A3 | |
(LIBOR USD 1-Month plus 0.64%) | |
5.49% | | 03/25/372 | | | 4,690,000 | | | | 4,053,560 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR14, Class 2A1 | |
4.51% | | 10/25/364 | | | 308,918 | | | | 284,534 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR4, Class 1A1 | |
4.39% | | 04/25/364 | | | 70,259 | | | | 63,647 | |
| | | | | | | | | | |
| | | | | | | | | 928,556,506 | |
| | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 1.15% | |
Fannie Mae-Aces, | |
Series 2016-M11, Class X2 (IO) | |
3.04% | | 07/25/394 | | | 10,444,015 | | | | 208,679 | |
Fannie Mae-Aces, | |
Series 2016-M2, Class X3 (IO) | |
2.05% | | 04/25/364 | | | 5,583,214 | | | | 48,965 | |
Fannie Mae-Aces, | |
Series 2016-M4, Class X2 (IO) | |
2.67% | | 01/25/394 | | | 20,834,639 | | | | 303,523 | |
Fannie Mae-Aces, | |
Series 2019-M29, Class X4 (IO) | |
0.70% | | 03/25/294 | | | 117,375,779 | | | | 3,618,766 | |
Freddie Mac Multifamily PC REMIC Trust, | |
Series 2019-P002, Class X (IO) | |
0.77% | | 07/25/334 | | | 14,520,699 | | | | 1,210,519 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K031, Class X1 (IO) | |
0.17% | | 04/25/234 | | | 176,676,135 | | | | 857 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K043, Class X3 (IO) | |
1.63% | | 02/25/434 | | | 58,000,000 | | | | 1,570,472 | |
See accompanying Notes to Financial Statements.
|
| 249 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K051, Class X3 (IO) | |
1.61% | | 10/25/434 | | $ | 44,865,280 | | | $ | 1,655,457 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K054, Class X1 (IO) | |
1.16% | | 01/25/264 | | | 52,039,593 | | | | 1,386,405 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K055, Class X3 (IO) | |
1.65% | | 04/25/444 | | | 32,000,000 | | | | 1,394,262 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K056, Class X1 (IO) | |
1.24% | | 05/25/264 | | | 54,440,659 | | | | 1,702,101 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K057, Class X1 (IO) | |
1.17% | | 07/25/264 | | | 119,523,669 | | | | 3,592,081 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K726, Class X1 (IO) | |
0.90% | | 04/25/244 | | | 101,708,936 | | | | 638,132 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.21% | | 06/25/274 | | | 85,870,771 | | | | 2,573,800 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC07, Class X1 (IO) | |
0.72% | | 09/25/264 | | | 82,853,534 | | | | 1,433,702 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF31, Class A | |
(LIBOR USD 1-Month plus 0.37%) | |
5.04% | | 04/25/242 | | | 820,981 | | | | 820,215 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR1, Class X (IO) | |
1.04% | | 03/25/264 | | | 112,403,507 | | | | 2,915,994 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KL05, Class X1HG (IO) | |
1.22% | | 12/25/274 | | | 49,531,000 | | | | 2,130,451 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS06, Class X (IO) | |
1.05% | | 08/25/264 | | | 65,140,327 | | | | 1,532,270 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.62% | | 09/25/254 | | | 100,092,281 | | | | 1,401,672 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
| U.S. Agency Commercial Mortgage-Backed (continued) | |
FREMF Mortgage Trust, | |
Series 2019-KF71, Class B | |
(LIBOR USD 1-Month plus 2.30%) | |
6.97% | | 10/25/291,2 | | $ | 745,185 | | | $ | 703,805 | |
FREMF Mortgage Trust, | |
Series 2020-KF75, Class B | |
(LIBOR USD 1-Month plus 2.25%) | |
6.92% | | 12/25/291,2 | | | 1,736,776 | | | | 1,632,507 | |
Ginnie Mae, | |
Series 2011-152, Class IO (IO) | |
0.00% | | 08/16/514 | | | 4,701,816 | | | | 5 | |
Ginnie Mae, | |
Series 2012-112, Class IO (IO) | |
0.13% | | 02/16/534 | | | 23,090,913 | | | | 68,716 | |
Ginnie Mae, | |
Series 2012-78, Class IO (IO) | |
0.09% | | 06/16/524 | | | 31,268,558 | | | | 22,699 | |
Ginnie Mae, | |
Series 2014-103, Class IO (IO) | |
0.19% | | 05/16/554 | | | 14,253,826 | | | | 102,655 | |
Ginnie Mae, | |
Series 2014-125, Class IO (IO) | |
0.91% | | 11/16/544 | | | 8,739,210 | | | | 216,414 | |
| | | | | | | | | | |
| | | | 32,885,124 | |
| | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 21.40% | |
Fannie Mae REMICS, | |
Series 2006-11, Class PS | |
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap) | |
6.80% | | 03/25/362 | | | 11,063 | | | | 13,377 | |
Fannie Mae REMICS, | |
Series 2006-8, Class HJ (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | |
1.75% | | 03/25/362 | | | 466,037 | | | | 44,867 | |
Fannie Mae REMICS, | |
Series 2007-52, Class LS (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | |
1.20% | | 06/25/372 | | | 25,360 | | | | 1,372 | |
Fannie Mae REMICS, | |
Series 2007-77, Class SK (IO) | |
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap) | |
1.02% | | 08/25/372 | | | 50,351 | | | | 4,302 | |
Fannie Mae REMICS, | |
Series 2007-88, Class JI (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap) | |
1.60% | | 04/25/372 | | | 529,564 | | | | 49,794 | |
Fannie Mae REMICS, | |
Series 2008-18, Class SM (IO) | |
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap) | |
2.15% | | 03/25/382 | | | 34,633 | | | | 1,855 | |
Fannie Mae REMICS, | |
Series 2008-62, Class SN (IO) | |
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | |
1.35% | | 07/25/382 | | | 64,332 | | | | 4,405 | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 250 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | | | | | |
Series 2010-116, Class SE (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | |
1.75% | | 10/25/402 | | $ | 28,483 | | | $ | 2,892 | |
Fannie Mae REMICS, | | | | | |
Series 2013-5, Class GF | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
5.00% | | 10/25/422 | | | 140,870 | | | | 136,410 | |
Fannie Mae REMICS, | | | | | |
Series 2014-49, Class CF | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
5.66% | | 07/25/432 | | | 4,570,881 | | | | 4,540,480 | |
Freddie Mac REMICS, | | | | | |
Series 3339, Class JS | | | | | |
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap) | |
12.39% | | 07/15/372 | | | 7,407 | | | | 10,671 | |
Freddie Mac REMICS, | | | | | |
Series 3404, Class AS (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) | |
1.21% | | 01/15/382 | | | 34,696 | | | | 3,021 | |
Freddie Mac REMICS, | | | | | |
Series 3439, Class SC (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) | |
1.22% | | 04/15/382 | | | 27,331 | | | | 1,724 | |
Freddie Mac REMICS, | | | | | |
Series 3885, Class PO (PO) | | | | | |
0.00% | | 11/15/3311 | | | 10,278 | | | | 8,683 | |
Freddie Mac REMICS, | | | | | |
Series 4030, Class HS (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) | |
1.93% | | 04/15/422 | | | 65,891 | | | | 7,243 | |
Freddie Mac REMICS, | | | | | |
Series 4993, Class OP (PO) | | | | | |
0.00% | | 10/25/5811 | | | 2,087,367 | | | | 1,866,654 | |
Ginnie Mae (TBA) | | | | | |
4.50% | | 04/20/53 | | | 15,050,000 | | | | 14,829,641 | |
5.00% | | 04/20/53 | | | 7,150,000 | | | | 7,159,496 | |
Ginnie Mae, | | | | | |
Series 2011-146, Class EI (IO) | | | | | |
5.00% | | 11/16/41 | | | 62,382 | | | | 11,258 | |
Ginnie Mae, | | | | | |
Series 2011-70, Class IL (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) | |
0.60% | | 06/16/372 | | | 362,130 | | | | 2,190 | |
Ginnie Mae, | | | | | |
Series 2011-81, Class IC (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap) | |
0.62% | | 07/20/352 | | | 430,956 | | | | 5,067 | |
Ginnie Mae, | | | | | |
Series 2013-135, Class CS (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) | |
1.47% | | 09/16/432 | | | 1,405,899 | | | | 152,725 | |
Ginnie Mae, | | | | | |
Series 2017-136, Class IO (IO) | | | | | |
5.00% | | 09/20/47 | | | 272,510 | | | | 60,466 | |
| | | | | | | | | | |
| | | |
| Issues | | Maturity Date | | Principal Amount | | | Value |
|
| MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
UMBS (TBA) | | | | | |
2.00% | | 05/01/53 | | $ | 103,550,000 | | | $ | 85,689,585 | |
2.50% | | 05/01/53 | | | 123,200,000 | | | | 106,327,453 | |
3.00% | | 05/01/53 | | | 102,150,000 | | | | 91,723,565 | |
3.50% | | 05/01/53 | | | 2,625,000 | | | | 2,440,044 | |
4.00% | | 05/01/53 | | | 46,500,000 | | | | 44,501,960 | |
4.50% | | 04/15/53 | | | 26,000,000 | | | | 25,474,209 | |
4.50% | | 05/01/53 | | | 56,700,000 | | | | 55,572,142 | |
5.00% | | 05/01/53 | | | 110,000,000 | | | | 109,694,922 | |
5.50% | | 04/01/53 | | | 62,375,000 | | | | 63,009,714 | |
| | | | | | | | | | |
| | | | 613,352,187 | |
| | | | | | | | | | |
Total Mortgage-Backed | | | | | |
(Cost $2,080,364,065) | | | | 1,819,074,408 | |
| | | | | | | | | | |
|
MUNICIPAL BONDS — 0.42%* | |
California — 0.10% | |
California State University Revenue Bonds, University & College Improvements, Series B | |
2.37% | | 11/01/35 | | | 1,995,000 | | | | 1,543,866 | |
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 | | | | 1,240,501 | |
| | | | | | | | | | |
| | | | 2,784,367 | |
| | | | | | | | | | |
Florida — 0.15% | |
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | |
2.81% | | 10/01/34 | | | 1,000,000 | | | | 832,070 | |
2.86% | | 10/01/35 | | | 1,750,000 | | | | 1,441,977 | |
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | |
3.35% | | 10/01/29 | | | 2,000,000 | | | | 1,865,333 | |
| | | | | | | | | | |
| | | | 4,139,380 | |
| | | | | | | | | | |
New York — 0.17% | |
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 | |
5.18% | | 11/15/49 | | | 975,000 | | | | 876,705 | |
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI | |
3.95% | | 08/01/32 | | | 1,000,000 | | | | 935,609 | |
New York State Dormitory Authority Revenue Bonds, University & College Improvements | |
5.29% | | 03/15/33 | | | 3,100,000 | | | | 3,177,397 | |
| | | | | | | | | | |
| | | | 4,989,711 | |
| | | | | | | | | | |
Total Municipal Bonds | |
(Cost $14,091,396) | | | | 11,913,458 | |
| | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 0.98% | |
U.S. Treasury Bonds — 0.74% | |
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.63% | | 10/15/2712 | | | 20,827,786 | | | | 21,242,224 | |
| | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 251 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value |
| |
| U.S. TREASURY SECURITIES (continued) | | | | | |
| |
| U.S. Treasury Notes — 0.24% | | | | | |
| U.S. Treasury Notes | | | | | |
3.63% | | | 03/31/28 | | | $ | 6,806,000 | | | $ | 6,818,495 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | |
| (Cost $27,993,372) | | | | 28,060,719 | |
| | | | | | | | | | | | |
Total Bonds — 114.57% | |
| (Cost $3,670,989,691) | | | | 3,282,921,912 | |
| | | | | | | | | | | | |
| | | |
| Issues | | | | | Shares | | | Value |
COMMON STOCK — 0.33% | |
Communications — 0.13% | |
| Intelsat Emergence SA3,5,6 | | | | | |
| (Luxembourg) | | | | 141,055 | | | | 3,667,430 | |
| | | | | | | | | | | | |
Electric — 0.00% | |
| Homer City Holdings LLC†,5,6 | | | | 112,222 | | | | — | |
| | | | | | | | | | | | |
Financials — 0.20% | |
| AGNC Investment Corp. | | | | 582,000 | | | | 5,866,560 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
| (Cost $17,377,911) | | | | 9,533,990 | |
| | | | | | | | | | | | |
|
RIGHTS — 0.00% | |
Communications — 0.00% | |
Intelsat Jackson Holdings SA,
Series A†,3,5,6,9 | | | | | |
| (Luxembourg) | | | | 14,771 | | | | — | |
Intelsat Jackson Holdings SA, Series B†,3,5,6,9 | | | | | |
| (Luxembourg) | | | | 14,771 | | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | — | |
| | | | | | | | | | | | |
Total Rights | |
(Cost $–) | | | | — | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount/Shares | | | Value |
SHORT-TERM INVESTMENTS — 4.66% | |
Money Market Funds — 1.98% | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio | | | | | |
4.73%13 | | | | | | | 56,651,000 | | | | 56,651,000 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 2.68% | |
U.S. Treasury Bills | |
4.58%14 | | | 06/01/23 | | | | 20,000,000 | | | | 19,851,016 | |
4.76%14 | | | 08/03/23 | | | | 30,000,000 | | | | 29,521,658 | |
5.06%14 | | | 08/31/23 | | | | 3,000,000 | | | | 2,942,099 | |
| | | | | | | | | | | | |
| | | |
| Issues | | Maturity
Date | | | Principal
Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS (continued) | |
U.S. Treasury Bills (continued) | |
| U.S. Treasury Bills (WI) | | | | | |
4.76%14 | | | 07/18/23 | | | $ | 25,000,000 | | | $ | 24,657,524 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 76,972,297 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
| (Cost $133,604,526) | | | | 133,623,297 | |
| | | | | | | | | | | | |
|
Total Investments - 119.56% | |
| (Cost $3,821,972,128) | | | | 3,426,079,199 | |
| | | | | | | | | | | | |
|
Net unrealized appreciation on unfunded commitments | |
- 0.00% | | | | 616 | |
Liabilities in Excess of Other Assets - (19.56)% | | | | (560,548,775 | ) |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 2,865,531,040 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at March 31, 2023. |
| 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 $20,934,885, which is 0.73% 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 $51,094, at an interest rate of 8.33% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 8.00% per annum. |
| 8 | Perpetual security with no stated maturity date. |
| 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 March 31, 2023. |
| 12 | Inflation protected security. Principal amount reflects original security face amount. |
| 13 | Represents the current yield as of March 31, 2023. |
| 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 approved by the Board of Trustees. See Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 252 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
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
(GBP): British Pound
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| 253 / Annual Report March 2023 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | | | | Settlement
Date | | | | | | Unrealized
Appreciation
(Depreciation) | |
| | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | |
EUR 1,724,000 | | | USD 1,869,912 | | | | Citibank N.A. | | | | | | | | 04/13/23 | | | | | | | $ | 4,493 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
USD 295,780 | | | EUR 274,000 | | | | Bank of America N.A. | | | | | | | | 04/13/23 | | | | | | | | (2,124) | |
USD 52,226,925 | | | EUR 48,344,000 | | | | Citibank N.A. | | | | | | | | 04/13/23 | | | | | | | | (334,693) | |
USD 1,332,081 | | | EUR 1,252,000 | | | | Goldman Sachs International | | | | | | | | 04/13/23 | | | | | | | | (29,146) | |
USD 1,668,880 | | | GBP 1,367,000 | | | | Goldman Sachs International | | | | | | | | 04/13/23 | | | | | | | | (21,802) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (387,765) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| NET UNREALIZED DEPRECIATION | | | | | | | | | | | | | | | | | | | | | | $ | (383,272) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | |
| U.S. Treasury Two-Year Note | | | 4,214 | | | | 06/30/23 | | | $ | 869,993,473 | | | $ | 8,326,546 | | | $ | 8,326,546 | |
| U.S. Treasury Five-Year Note | | | 3,514 | | | | 06/30/23 | | | | 384,810,455 | | | | 7,608,713 | | | | 7,608,713 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 1,254,803,928 | | | | 15,935,259 | | | | 15,935,259 | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | |
| U.S. Treasury Ten-Year Ultra Bond | | | 3,263 | | | | 06/21/23 | | | | (395,281,859) | | | | (11,583,791) | | | | (11,583,791) | |
| U.S. Treasury Ultra Bond | | | 859 | | | | 06/21/23 | | | | (121,226,375) | | | | (5,443,799) | | | | (5,443,799) | |
| Euro-Bobl Future | | | 156 | | | | 06/08/23 | | | | (19,979,033) | | | | (277,978) | | | | (277,978) | |
| Euro-Bund Future | | | 143 | | | | 06/08/23 | | | | (21,104,422) | | | | (765,255) | | | | (765,255) | |
| Euro-Buxl 30 Year | | | 16 | | | | 06/08/23 | | | | (2,448,598) | | | | (34,184) | | | | (34,184) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (560,040,287) | | | | (18,105,007) | | | | (18,105,007) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 694,763,641 | | | $ | (2,169,748) | | | $ | (2,169,748 | ) |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 254 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Reference Obligation/Index | | Financing
Rate Paid by
the Fund | | Payment
Frequency | | Implied
Credit Spread
at 03/31/231 | | | Counterparty | | Expiration
Date | | | Notional
Amount
(000's)2 | | | Value3 | | | Premiums Paid | | | Unrealized
Appreciation | |
| | | |
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES | | | | | | | | | | | | | |
| | | |
OTC4 | | | | | | | | | | | | | |
| | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | |
Berry Global, Inc., 5.63%, due | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | |
07/15/27 | | 5.00% | | 3 Months | | | 175 | | | International | | | 12/20/23 | | | | $ 10,370 | | | $ | 256,242 | | | $ | 229,737 | | | $ | 26,505 | |
1011778 BC ULC/New Red | | | | | | Credit Suisse | | | | | | | | | | | | | | | | | | | | |
Finance, Inc., 4.00%, due | | | | | | First Boston | | | | | | | | | | | | | | | | | | | | |
10/15/305 | | 5.00% | | 3 Months | | | 120 | | | International | | | 06/20/23 | | | | 9,250 | | | | 93,403 | | | | 66,973 | | | | 26,430 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | | $ | 349,645 | | | $ | 296,710 | | | $ | 52,935 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year-end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 2 | The maximum potential amount for the Fund could be required to pay 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 that particular swap agreement. |
| 3 | The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year-end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| 4 | If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | |
| Description | | Maturity
Date | | | Rate | | Frequency | | Rate | | Frequency | | Notional
Amount
(000's) | | | Value | | | Premiums
Paid | | | Unrealized (Depreciation) | |
| | | | | | | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | USD-SOFR- | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swap1 | | | 09/20/53 | | | COMPOUND | | Annual | | 3.00% | | Annual | | $ | 10,984 | | | $ | (247,757) | | | $ | — | | | $ | (247,757) | |
| | | | | | USD-SOFR- | | | | | | | | | | | | | | | | | | | | | | |
Interest Rate Swap1 | | | 09/20/53 | | | COMPOUND | | Annual | | 3.00% | | Annual | | | 10,038 | | | | (226,419) | | | | — | | | | (226,419) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | $ | 21,022 | | | $ | (474,176) | | | $ | — | | | $ | (474,176) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 255 / Annual Report March 2023 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | ALPHATRAK
500 FUND | | | | | CORPORATE BOND
FUND | | | | | | ESG SECURITIZED
FUND | | | | |
Investments, at value - Unaffiliated (Cost $30,053,970, $8,450,515 and $10,877,973, respectively) (Note 2) | | $ | 28,914,724 | | | | | $ | 7,220,241 | | | | | | | $ | 9,743,259 | | | | | |
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively) (Note 5) | | | — | | | | | | — | | | | | | | | — | | | | | |
Cash and cash equivalents (Note 2) | | | 117 | | | | | | — | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | — | | | | | | 8,901 | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 2,708,000 | | | | | | 42,000 | | | | | | | | 32,000 | | | | | |
Receivable for securities sold | | | 2,228,766 | | | | | | 69,106 | | | | | | | | 824,058 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 401,363 | | | | | | 3,594 | | | | | | | | 5,134 | | | | | |
Dividends and interest receivable | | | 122,597 | | | | | | 67,964 | | | | | | | | 29,381 | | | | | |
Due from Adviser (Note 6) | | | 49,544 | | | | | | 51,793 | | | | | | | | 81,047 | | | | | |
Receivable for capital stock sold | | | 18,919 | | | | | | 29 | | | | | | | | 17,500 | | | | | |
Unrealized appreciation on foreign currency transactions | | | — | | | | | | — | | | | | | | | 106 | | | | | |
Other assets | | | 12,592 | | | | | | 2,540 | | | | | | | | 41,863 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | 34,456,622 | | | | | | 7,466,168 | | | | | | | | 10,774,348 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | 63 | | | | | | | | — | | | | | |
Foreign bank overdraft (Cost $0, $0 and $3,816, respectively) | | | — | | | | | | — | | | | | | | | 3,887 | | | | | |
Payable for securities purchased | | | 5,336,346 | | | | | | 195,060 | | | | | | | | 2,288,707 | | | | | |
Payable for capital stock redeemed | | | 42,449 | | | | | | 3,465 | | | | | | | | 7,567 | | | | | |
Distributions payable | | | 78 | | | | | | 614 | | | | | | | | — | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | — | | | | | | — | | | | | | | | 3,724 | | | | | |
Unrealized depreciation on swap contracts | | | — | | | | | | 1,714 | | | | | | | | — | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | — | | | | | | 3,961 | | | | | | | | 1,588 | | | | | |
Advisory fees payable (Note 6) | | | 9,582 | | | | | | 2,453 | | | | | | | | 3,628 | | | | | |
Accrued trustees fees and expenses | | | 1 | | | | | | 4 | | | | | | | | — | | | | | |
Accrued distribution (12b-1) and service fees payable | | | — | | | | | | 911 | | | | | | | | 6 | | | | | |
Administrative fees payable | | | 33,258 | | | | | | 30,677 | | | | | | | | 18,169 | | | | | |
Custodian fees payable | | | 18,106 | | | | | | 26,485 | | | | | | | | 17,031 | | | | | |
Audit fees payable | | | 35,015 | | | | | | 23,692 | | | | | | | | 16,070 | | | | | |
Accrued other expenses | | | 20,334 | | | | | | 11,208 | | | | | | | | 3,123 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 5,495,169 | | | | | | 300,307 | | | | | | | | 2,363,500 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 28,961,453 | | | | | $ | 7,165,861 | | | | | | | $ | 8,410,848 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 2,934,340, 475,695 and 5,958, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 28,961,453 | | | | | $ | 4,296,133 | | | | | | | $ | 50,334 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 9.87 | | | | | $ | 9.03 | | | | | | | $ | 8.45 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 317,762 and 989,282, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | N/A | | | | | $ | 2,869,728 | | | | | | | $ | 8,360,514 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | N/A | | | | | $ | 9.03 | | | | | | | $ | 8.45 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 34,780,560 | | | | | $ | 9,621,971 | | | | | | | $ | 10,185,966 | | | | | |
Accumulated Earnings (Loss) | | | (5,819,107) | | | | | | (2,456,110) | | | | | | | | (1,775,118) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 28,961,453 | | | | | $ | 7,165,861 | | | | | | | $ | 8,410,848 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 257 |
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | FLEXIBLE INCOME
FUND | | | | | | FLOATING RATE
INCOME FUND | | | | | | HIGH YIELD
BOND FUND | | | | |
Investments, at value - Unaffiliated (Cost $435,293,087, | | | | | | | | | | | | | | | | | | | | | | | | |
$349,315,183 and $516,258,474, respectively) (Note 2) | | $ | 398,184,531 | | | | | | | $ | 335,135,582 | | | | | | | $ | 479,177,110 | | | | | |
Investments, at value - Affiliated (Cost $0, $0 and $27,171,821,respectively) (Note 5) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash and cash equivalents (Note 2) | | | 46,541 | | | | | | | | 495,450 | | | | | | | | 214,812 | | | | | |
Foreign Currency, at value (Cost $3, $0 and $20, respectively) | | | 3 | | | | | | | | — | | | | | | | | 20 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 1,435,000 | | | | | | | | — | | | | | | | | 2,780,000 | | | | | |
Receivable for securities sold | | | 62,394,851 | | | | | | | | 18,271,958 | | | | | | | | 8,969,261 | | | | | |
Dividends and interest receivable | | | 2,713,236 | | | | | | | | 1,634,817 | | | | | | | | 7,227,087 | | | | | |
Receivable for capital stock sold | | | 749,652 | | | | | | | | 372,649 | | | | | | | | 185,782 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 282,216 | | | | | | | | — | | | | | | | | 19,680 | | | | | |
Due from Adviser (Note 6) | | | 105,856 | | | | | | | | 5,204 | | | | | | | | 4,028 | | | | | |
Unrealized appreciation on foreign currency transactions | | | 1,243 | | | | | | | | 1,012 | | | | | | | | 3,141 | | | | | |
Premiums paid for swap contracts | | | — | | | | | | | | — | | | | | | | | 102,833 | | | | | |
Unrealized appreciation on swap contracts | | | — | | | | | | | | — | | | | | | | | 15,927 | | | | | |
Other assets | | | 195 | | | | | | | | 19,289 | | | | | | | | 1,539 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | 465,913,324 | | | | | | | | 355,935,961 | | | | | | | | 498,701,220 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for securities purchased | | | 133,107,248 | | | | | | | | 15,550,195 | | | | | | | | 1,235,081 | | | | | |
Payable for capital stock redeemed | | | 1,614,519 | | | | | | | | 116,927 | | | | | | | | 1,348,436 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | 300,139 | | | | | | | | — | | | | | | | | 72,524 | | | | | |
Distributions payable | | | 107,786 | | | | | | | | 513,767 | | | | | | | | 418,725 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | 42,677 | | | | | | | | — | | | | | | | | 34,026 | | | | | |
Net unrealized depreciation on unfunded commitments (Note 8) | | | 4,280 | | | | | | | | 12,328 | | | | | | | | — | | | | | |
Advisory fees payable (Note 6) | | | 119,912 | | | | | | | | 162,879 | | | | | | | | 208,923 | | | | | |
Accrued trustees fees and expenses | | | — | | | | | | | | 114 | | | | | | | | 78 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | 10,301 | | | | | | | | 2,265 | | | | | | | | 28,432 | | | | | |
Administrative fees payable | | | 72,517 | | | | | | | | 67,871 | | | | | | | | 34,300 | | | | | |
Accrued other expenses | | | 135,404 | | | | | | | | 91,239 | | | | | | | | 122,279 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 135,514,783 | | | | | | | | 16,517,585 | | | | | | | | 3,502,804 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 330,398,541 | | | | | | | $ | 339,418,376 | | | | | | | $ | 495,198,416 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 6,211,930, 1,184,024 and 14,711,106,shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01par value) | | $ | 49,026,844 | | | | | | | $ | 11,002,159 | | | | | | | $ | 134,177,857 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 7.89 | | | | | | | $ | 9.29 | | | | | | | $ | 9.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 35,657,009, 35,353,243 and 39,596,938,shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01par value) | | $ | 281,371,697 | | | | | | | $ | 328,416,114 | | | | | | | $ | 361,020,559 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 7.89 | | | | | | | $ | 9.29 | | | | | | | $ | 9.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 11 and 0, shares of beneficial interestissued and outstanding, respectively, unlimited number of sharesauthorized with a $0.01 par value) | | | N/A | | | | | | | $ | 103 | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Plan Classshare | | | N/A | | | | | | | $ | 9.27 | 1 | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 377,892,942 | | | | | | | $ | 371,370,690 | | | | | | | $ | 640,701,850 | | | | | |
Accumulated Earnings (Loss) | | | (47,494,401) | | | | | | | | (31,952,314) | | | | | | | | (145,503,434) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 330,398,541 | | | | | | | $ | 339,418,376 | | | | | | | $ | 495,198,416 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $103.06 divided by the unrounded shares outstanding of 11.12. |
See accompanying Notes to Financial Statements.
|
| 258 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | INTERMEDIATE
BOND FUND | | | | | | INVESTMENT GRADE
CREDIT FUND | | | | | | LOW DURATION
BOND FUND | | | | |
Investments, at value - Unaffiliated (Cost $1,024,963,348, | | | | | | | | | | | | | | | | | | | | | | | | |
$13,397,057 and $2,261,634,441, respectively) (Note 2) | | $ | 1,004,323,040 | | | | | | | $ | 11,332,818 | | | | | | | $ | 2,210,446,794 | | | | | |
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively) | | | | | | | | | | | | | | | | | | | | | | | | |
(Note 5) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash and cash equivalents (Note 2) | | | — | | | | | | | | 2,093 | | | | | | | | — | | | | | |
Foreign Currency, at value (Cost $32, $0 and $0, respectively) | | | 32 | | | | | | | | — | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | — | | | | | | | | 7,965 | | | | | | | | 1,441,249 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 4,044,000 | | | | | | | | 92,000 | | | | | | | | 16,673,000 | | | | | |
Receivable for securities sold | | | 65,856,278 | | | | | | | | 650,076 | | | | | | | | 342,572,791 | | | | | |
Dividends and interest receivable | | | 4,236,991 | | | | | | | | 105,410 | | | | | | | | 7,233,627 | | | | | |
Receivable for capital stock sold | | | 1,571,386 | | | | | | | | 3,369 | | | | | | | | 2,177,889 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 250,822 | | | | | | | | 1,586 | | | | | | | | 866,116 | | | | | |
Premiums paid for swap contracts | | | 40,575 | | | | | | | | — | | | | | | | | 124,202 | | | | | |
Due from Adviser (Note 6) | | | 20,661 | | | | | | | | 47,144 | | | | | | | | — | | | | | |
Unrealized appreciation on swap contracts | | | 8,867 | | | | | | | | — | | | | | | | | 28,033 | | | | | |
Unrealized appreciation on foreign currency transactions | | | 4,940 | | | | | | | | — | | | | | | | | 10,066 | | | | | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | 48 | | | | | | | | — | | | | | | | | — | | | | | |
Other assets | | | 7,507 | | | | | | | | 2,526 | | | | | | | | 11,677 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | 1,080,365,147 | | | | | | | | 12,244,987 | | | | | | | | 2,581,585,444 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Options written, at value (Premiums received $0, $0 and $540,000,respectively) (Note 3) | | | — | | | | | | | | — | | | | | | | | 3 | | | | | |
Bank overdraft | | | 604,762 | | | | | | | | — | | | | | | | | 944,354 | | | | | |
Payable for securities purchased | | | 178,769,576 | | | | | | | | 1,793,559 | | | | | | | | 792,844,376 | | | | | |
Payable for capital stock redeemed | | | 1,827,839 | | | | | | | | 20,383 | | | | | | | | 6,190,773 | | | | | |
Distributions payable | | | 402,307 | | | | | | | | 532 | | | | | | | | 678,392 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | 140,636 | | | | | | | | 7,359 | | | | | | | | 1,646,363 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | 114,454 | | | | | | | | — | | | | | | | | 114,376 | | | | | |
Unrealized depreciation on swap contracts | | | — | | | | | | | | 1,534 | | | | | | | | — | | | | | |
Net unrealized depreciation on unfunded commitments (Note 8) | | | — | | | | | | | | — | | | | | | | | 14,800 | | | | | |
Advisory fees payable (Note 6) | | | 261,447 | | | | | | | | 2,965 | | | | | | | | 465,107 | | | | | |
Accrued trustees fees and expenses | | | — | | | | | | | | — | | | | | | | | 818 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | 3,699 | | | | | | | | 632 | | | | | | | | 56,163 | | | | | |
Administrative fees payable | | | 47,003 | | | | | | | | 30,199 | | | | | | | | 87,229 | | | | | |
Accrued other expenses | | | 222,595 | | | | | | | | 62,278 | | | | | | | | 398,140 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 182,394,318 | | | | | | | | 1,919,441 | | | | | | | | 803,440,894 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 897,970,829 | | | | | | | $ | 10,325,546 | | | | | | | $ | 1,778,144,550 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 2,200,742, 386,999 and 35,993,593,shares of beneficial interest issued and outstanding, respectively,unlimited number of shares authorized with a $0.01 par value) | | $ | 21,053,214 | | | | | | | $ | 3,026,456 | | | | | | | $ | 298,832,709 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 9.57 | | | | | | | $ | 7.82 | | | | | | | $ | 8.30 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 91,699,168, 933,323 and 178,166,430,shares of beneficial interest issued and outstanding, respectively,unlimited number of shares authorized with a $0.01 par value) | | $ | 876,917,615 | | | | | | | $ | 7,299,090 | | | | | | | $ | 1,479,311,065 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 9.56 | | | | | | | $ | 7.82 | | | | | | | $ | 8.30 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 0 and 72, shares of beneficial interestissued and outstanding, respectively, unlimited number of sharesauthorized with a $0.01 par value) | | | N/A | | | | | | | | N/A | | | | | | | $ | 776 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | N/A | | | | | | | | N/A | | | | | | | $ | 10.73 | 1 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 982,299,884 | | | | | | | $ | 13,673,941 | | | | | | | $ | 1,983,290,626 | | | | | |
Accumulated Earnings (Loss) | | | (84,329,055) | | | | | | | | (3,348,395) | | | | | | | | (205,146,076) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 897,970,829 | | | | | | | $ | 10,325,546 | | | | | | | $ | 1,778,144,550 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | The net asset values of the Administrative Class Shares of the Low Duration Bond Fund were calculated using unrounded net assets of $776.10 divided by the unrounded shares outstanding of 72.36. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 259 |
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | | | | STRATEGIC
INCOME FUND | | | | | | TOTAL RETURN
BOND FUND | | | | |
Investments, at value - Unaffiliated (Cost $3,263,591, $82,950,541and $82,341,567,774, respectively) (Note 2) | | $ | 2,944,009 | | | | | | | $ | 75,346,229 | | | | | | | $ | 78,285,177,555 | | | | | |
Investments, at value - Affiliated (Cost $0, $0 and $65,187,440, respectively) (Note 5) | | | — | | | | | | | | — | | | | | | | | — | | | | | |
Cash and cash equivalents (Note 2) | | | 1,286 | | | | | | | | 22,522 | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | — | | | | | | | | 18,272 | | | | | | | | 213,378,929 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 21,000 | | | | | | | | 351,000 | | | | | | | | 447,955,000 | | | | | |
Due from Adviser (Note 6) | | | 64,210 | | | | | | | | 57,503 | | | | | | | | — | | | | | |
Dividends and interest receivable | | | 26,478 | | | | | | | | 481,143 | | | | | | | | 336,779,731 | | | | | |
Receivable for securities sold | | | 13,559 | | | | | | | | 5,885,635 | | | | | | | | 9,567,724,965 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 1,922 | | | | | | | | 16,765 | | | | | | | | 19,337,656 | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | — | | | | | | | | 319 | | | | | | | | 1,294,767 | | | | | |
Unrealized appreciation on foreign currency transactions | | | — | | | | | | | | 39 | | | | | | | | 775,192 | | | | | |
Receivable for capital stock sold | | | — | | | | | | | | 819,145 | | | | | | | | 126,911,445 | | | | | |
Premiums paid for swap contracts | | | — | | | | | | | | — | | | | | | | | 1,488,810 | | | | | |
Unrealized appreciation on swap contracts | | | — | | | | | | | | — | | | | | | | | 212,172 | | | | | |
Other assets | | | 41,705 | | | | | | | | 3,387 | | | | | | | | 26,656 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | 3,114,169 | | | | | | | | 83,001,959 | | | | | | | | 89,001,062,878 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | | | — | | | | | | | | 48,526,535 | | | | | |
Foreign bank overdraft (Cost $0, $0 and $272, respectively) | | | — | | | | | | | | — | | | | | | | | 272 | | | | | |
Payable for capital stock redeemed | | | 970,164 | | | | | | | | 911,736 | | | | | | | | 131,673,942 | | | | | |
Distributions payable | | | 5,428 | | | | | | | | 8,820 | | | | | | | | 16,168,689 | | | | | |
Payable for securities purchased | | | 4,129 | | | | | | | | 15,633,680 | | | | | | | | 24,630,146,967 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | — | | | | | | | | 2,725 | | | | | | | | 12,105,363 | | | | | |
Unrealized depreciation on swap contracts | | | — | | | | | | | | 3,519 | | | | | | | | 10,402,055 | | | | | |
Premiums received for swap contracts | | | — | | | | | | | | — | | | | | | | | 614,998 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | — | | | | | | | | 42,531 | | | | | | | | 4,955,768 | | | | | |
Net unrealized depreciation on unfunded commitments (Note 8) | | | — | | | | | | | | — | | | | | | | | 4,746 | | | | | |
Advisory fees payable (Note 6) | | | 1,277 | | | | | | | | 35,833 | | | | | | | | 18,884,003 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | 68 | | | | | | | | 10,546 | | | | | | | | 1,699,605 | | | | | |
Administrative fees payable | | | 21,589 | | | | | | | | 38,955 | | | | | | | | 1,165,212 | | | | | |
Accrued other expenses | | | 38,824 | | | | | | | | 92,953 | | | | | | | | 8,168,260 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 1,041,479 | | | | | | | | 16,781,298 | | | | | | | | 24,884,516,415 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 2,072,690 | | | | | | | $ | 66,220,661 | | | | | | | $ | 64,116,546,463 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 41,554, 8,125,761 and 694,341,407, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 313,915 | | | | | | | $ | 50,681,121 | | | | | | | $ | 6,442,439,850 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 7.55 | | | | | | | $ | 6.24 | | | | | | | $ | 9.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 232,805, 2,492,168 and 4,139,805,317, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 1,758,775 | | | | | | | $ | 15,539,540 | | | | | | | $ | 38,399,347,195 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 7.55 | | | | | | | $ | 6.24 | | | | | | | $ | 9.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class I-2 Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 0 and 11,005,199, shares of beneficialinterest issued and outstanding, respectively, unlimited numberof shares authorized with a $0.01 par value) | | | N/A | | | | | | | | N/A | | | | | | | $ | 102,076,497 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I-2 share | | | N/A | | | | | | | | N/A | | | | | | | $ | 9.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 0 and 166,912,987, shares ofbeneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | N/A | | | | | | | | N/A | | | | | | | $ | 1,549,861,894 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | N/A | | | | | | | | N/A | | | | | | | $ | 9.29 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 0 and 2,026,068,357, shares ofbeneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | N/A | | | | | | | | N/A | | | | | | | $ | 17,622,821,027 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | | N/A | | | | | | | | N/A | | | | | | | $ | 8.70 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 260 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | | | | STRATEGIC
INCOME FUND | | | | | | TOTAL RETURN
BOND FUND | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 2,896,701 | | | | | | | $ | 77,068,662 | | | | | | | $ | 75,955,733,621 | | | | | |
Accumulated Earnings (Loss) | | | (824,011) | | | | | | | | (10,848,001) | | | | | | | | (11,839,187,158) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 2,072,690 | | | | | | | $ | 66,220,661 | | | | | | | $ | 64,116,546,463 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 261 |
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | ULTRA SHORT
BOND FUND | | | | | | UNCONSTRAINED BOND FUND | | | | | | | |
Investments, at value - Unaffiliated (Cost $150,420,530 and $3,821,972,128, respectively) (Note 2) | | $ | 148,720,307 | | | | | | | | | | | | | | | $ | 3,426,079,199 | | | | | | | | | |
Investments, at value - Affiliated (Cost $0 and $0, respectively) (Note 5) | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Cash and cash equivalents (Note 2) | | | 1,919 | | | | | | | | | | | | | | | | — | | | | | | | | | |
Foreign Currency, at value (Cost $0 and $73, respectively) | | | — | | | | | | | | | | | | | | | | 73 | | | | | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | — | | | | | | | | | | | | | | | | 6,873,717 | | | | | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | 1,436,000 | | | | | | | | | | | | | | | | 20,359,000 | | | | | | | | | |
Receivable for securities sold | | | 18,666,379 | | | | | | | | | | | | | | | | 511,230,816 | | | | | | | | | |
Dividends and interest receivable | | | 413,635 | | | | | | | | | | | | | | | | 19,478,937 | | | | | | | | | |
Due from Adviser (Note 6) | | | 28,410 | | | | | | | | | | | | | | | | 9,491 | | | | | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 18,422 | | | | | | | | | | | | | | | | 796,132 | | | | | | | | | |
Premiums paid for swap contracts | | | 8,640 | | | | | | | | | | | | | | | | 296,710 | | | | | | | | | |
Receivable for capital stock sold | | | 2,166 | | | | | | | | | | | | | | | | 3,785,692 | | | | | | | | | |
Unrealized appreciation on swap contracts | | | 997 | | | | | | | | | | | | | | | | 52,935 | | | | | | | | | |
Unrealized appreciation on foreign currency transactions | | | 496 | | | | | | | | | | | | | | | | 24,148 | | | | | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | — | | | | | | | | | | | | | | | | 4,493 | | | | | | | | | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | — | | | | | | | | | | | | | | | | 616 | | | | | | | | | |
Other assets | | | 2,972 | | | | | | | | | | | | | | | | 28,111 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | 169,300,343 | | | | | | | | | | | | | | | | 3,989,020,070 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | — | | | | | | | | | | | | | | | | 108,394 | | | | | | | | | |
Payable for securities purchased | | | 46,705,156 | | | | | | | | | | | | | | | | 1,104,609,278 | | | | | | | | | |
Payable for capital stock redeemed | | | 507,625 | | | | | | | | | | | | | | | | 9,383,291 | | | | | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | 80,554 | | | | | | | | | | | | | | | | 3,105,043 | | | | | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | 4,468 | | | | | | | | | | | | | | | | 387,765 | | | | | | | | | |
Distributions payable | | | 2,134 | | | | | | | | | | | | | | | | 3,129,344 | | | | | | | | | |
Unrealized depreciation on swap contracts | | | — | | | | | | | | | | | | | | | | 474,176 | | | | | | | | | |
Advisory fees payable (Note 6) | | | 22,571 | | | | | | | | | | | | | | | | 1,569,268 | | | | | | | | | |
Accrued trustees fees and expenses | | | 112 | | | | | | | | | | | | | | | | 756 | | | | | | | | | |
Accrued distribution (12b-1) and service fees payable | | | 2,820 | | | | | | | | | | | | | | | | 34,008 | | | | | | | | | |
Administrative fees payable | | | 37,881 | | | | | | | | | | | | | | | | 159,612 | | | | | | | | | |
Accrued other expenses | | | 89,834 | | | | | | | | | | | | | | | | 528,095 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | 47,453,155 | | | | | | | | | | | | | | | | 1,123,489,030 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 121,847,188 | | | | | | | | | | | | | | | $ | 2,865,531,040 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 4,875,363 and 15,381,585, shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 19,995,044 | | | | | | | | | | | | | | | $ | 160,181,163 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 4.10 | | | | | | | | | | | | | | | $ | 10.41 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 24,795,459 and 226,158,098, shares of beneficial interest issued andoutstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 101,852,144 | | | | | | | | | | | | | | | $ | 2,353,053,002 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 4.11 | | | | | | | | | | | | | | | $ | 10.40 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0 and 33,873,600, shares of beneficial interest issued and outstanding,respectively, unlimited number of shares authorized with a $0.01 par value) | | | N/A | | | | | | | | | | | | | | | $ | 352,296,875 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | | N/A | | | | | | | | | | | | | | | $ | 10.40 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | $ | 134,242,987 | | | | | | | | | | | | | | | $ | 3,400,953,437 | | | | | | | | | |
Accumulated Earnings (Loss) | | | (12,395,799 | ) | | | | | | | | | | | | | | | (535,422,397 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | $ | 121,847,188 | | | | | | | | | | | | | | | $ | 2,865,531,040 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 262 / Annual Report March 2023 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | | | | CORPORATE BOND
FUND | | | | | ESG
SECURITIZED
FUND | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 939,196 | | | | | | | $ | 342,022 | | | | | | | $ | 319,592 | | | | | |
Dividends | | | 82,528 | | | | | | | | 4,726 | | | | | | | | 14,253 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | 1,021,724 | | | | | | | | 346,748 | | | | | | | | 333,845 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 129,784 | | | | | | | | 38,657 | | | | | | | | 43,020 | | | | | |
Administration fees | | | 93,071 | | | | | | | | 95,922 | | | | | | | | 72,501 | | | | | |
Distribution (12b-1) and service fees - classspecific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | — | | | | | | | | 12,528 | | | | | | | | 70 | | | | | |
Professional fees | | | 45,078 | | | | | | | | 46,979 | | | | | | | | 80,297 | | | | | |
Reports to shareholders | | | 41,164 | | | | | | | | 3,493 | | | | | | | | 1,166 | | | | | |
Transfer agent fees | | | 33,091 | | | | | | | | 36,400 | | | | | | | | 32,957 | | | | | |
Registration and filing fees | | | 28,115 | | | | | | | | 63,296 | | | | | | | | 46,773 | | | | | |
Custodian fees | | | 27,376 | | | | | | | | 39,672 | | | | | | | | 29,283 | | | | | |
Commitment fee | | | 1,013 | | | | | | | | 188 | | | | | | | | 87 | | | | | |
Trustees' fees and expenses | | | 579 | | | | | | | | 174 | | | | | | | | 190 | | | | | |
Miscellaneous expenses | | | 16,982 | | | | | | | | 17,252 | | | | | | | | 8,981 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | 416,253 | | | | | | | | 354,561 | | | | | | | | 315,325 | | | | | |
Expenses waived and reimbursed (Note 6) | | | (270,246 | ) | | | | | | | (293,711 | ) | | | | | | | (262,567 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 146,007 | | | | | | | | 60,850 | | | | | | | | 52,758 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 875,717 | | | | | | | | 285,898 | | | | | | | | 281,087 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | (797,424 | ) | | | | | | | (1,186,234 | ) | | | | | | | (491,703 | ) | | | | |
Futures contracts | | | (3,404,554 | ) | | | | | | | 65,332 | | | | | | | | (19,349 | ) | | | | |
Foreign currency exchange contracts | | | (1,530 | ) | | | | | | | (1,189 | ) | | | | | | | 36,857 | | | | | |
Foreign currency transactions | | | 45 | | | | | | | | — | | | | | | | | (4,409 | ) | | | | |
Options and swaptions written | | | — | | | | | | | | 1,848 | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | (53,523 | ) | | | | | | | — | | | | | |
| | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | (820,315 | ) | | | | | | | (74,878 | ) | | | | | | | (544,191 | ) | | | | |
Futures contracts | | | (501,369 | ) | | | | | | | (9,256 | ) | | | | | | | (3,997 | ) | | | | |
Foreign currency exchange contracts | | | — | | | | | | | | 1,189 | | | | | | | | (9,854 | ) | | | | |
Foreign currency transactions | | | — | | | | | | | | — | | | | | | | | 38 | | | | | |
Options and swaptions written | | | — | | | | | | | | 8,358 | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | 26,363 | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (5,525,147 | ) | | | | | | | (1,221,990 | ) | | | | | | | (1,036,608 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net (Decrease) in Net Assets from Operations | | $ | (4,649,430 | ) | | | | | | $ | (936,092 | ) | | | | | | $ | (755,521 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 264 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME
FUND | | | | | FLOATING RATE
INCOME FUND | | | | | HIGH YIELD
BOND FUND | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 22,527,469 | | | | | | | $ | 27,941,507 | | | | | | | $ | 35,085,661 | | | | | |
Dividends | | | 465,653 | | | | | | | | 498,110 | | | | | | | | 619,726 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | 22,993,122 | | | | | | | | 28,439,617 | | | | | | | | 35,705,387 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 1,108,750 | | | | | | | | 2,261,257 | | | | | | | | 2,843,021 | | | | | |
Administration fees | | | 191,623 | | | | | | | | 207,804 | | | | | | | | 116,499 | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | 93,727 | | | | | | | | 33,777 | | | | | | | | 364,872 | | | | | |
Transfer agent fees | | | 228,770 | | | | | | | | 171,785 | | | | | | | | 322,269 | | | | | |
Registration and filing fees | | | 102,593 | | | | | | | | 93,012 | | | | | | | | 82,462 | | | | | |
Professional fees | | | 80,290 | | | | | | | | 70,748 | | | | | | | | 47,115 | | | | | |
Custodian fees | | | 75,009 | | | | | | | | 35,510 | | | | | | | | 43,194 | | | | | |
Trustees' fees and expenses | | | 4,312 | | | | | | | | 7,355 | | | | | | | | 10,142 | | | | | |
Commitment fee | | | 1,993 | | | | | | | | 3,094 | | | | | | | | 12,766 | | | | | |
Miscellaneous expenses | | | 34,136 | | | | | | | | 39,839 | | | | | | | | 64,610 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | 1,921,203 | | | | | | | | 2,924,181 | | | | | | | | 3,906,950 | | | | | |
Expenses waived and reimbursed (Note 6) | | | (471,234 | ) | | | | | | | (19,197 | ) | | | | | | | (130,452 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 1,449,969 | | | | | | | | 2,904,984 | | | | | | | | 3,776,498 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 21,543,153 | | | | | | | | 25,534,633 | | | | | | | | 31,928,889 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | (9,155,600 | ) | | | | | | | (16,313,982 | ) | | | | | | | (57,819,428 | ) | | | | |
Futures contracts | | | 1,433,725 | | | | | | | | — | | | | | | | | 6,098,752 | | | | | |
Foreign currency exchange contracts | | | 135,386 | | | | | | | | 52,503 | | | | | | | | 71,759 | | | | | |
Foreign currency transactions | | | 15,597 | | | | | | | | 40,848 | | | | | | | | 69,425 | | | | | |
Options and swaptions written | | | (26,282 | ) | | | | | | | — | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | 114,122 | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | (16,288,207 | ) | | | | | | | (7,196,020 | ) | | | | | | | (9,639,134 | ) | | | | |
Futures contracts | | | 1,305,580 | | | | | | | | — | | | | | | | | (1,859,442 | ) | | | | |
Foreign currency exchange contracts | | | (33,976 | ) | | | | | | | (12,738 | ) | | | | | | | (91,923 | ) | | | | |
Foreign currency transactions | | | 1,202 | | | | | | | | 1,013 | | | | | | | | 3,167 | | | | | |
Options and swaptions written | | | 7,873 | | | | | | | | — | | | | | | | | — | | | | | |
Swap contracts | | | — | | | | | | | | — | | | | | | | | (9,773 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized (loss) on investments, futures contracts,foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (22,604,702 | ) | | | | | | | (23,428,376 | ) | | | | | | | (63,062,475 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets from Operations | | $ | (1,061,549 | ) | | | | | | $ | 2,106,257 | | | | | | | $ | (31,133,586 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 265 |
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | | | INVESTMENT GRADE
CREDIT FUND | | | | | LOW DURATION
BOND FUND | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 29,792,505 | | | | | | | $ | 812,585 | | | | | | | $ | 69,839,679 | | | | | |
Dividends | | | 1,438,433 | | | | | | | | 9,345 | | | | | | | | 2,282,794 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | 31,230,938 | | | | | | | | 821,930 | | | | | | | | 72,122,473 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 2,916,678 | | | | | | | | 32,664 | | | | | | | | 6,620,112 | | | | | |
Administration fees | | | 157,920 | | | | | | | | 95,371 | | | | | | | | 283,527 | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | 45,458 | | | | | | | | 6,109 | | | | | | | | 827,813 | | | | | |
Administrative Class | | | — | | | | | | | | — | | | | | | | | 3,261 | | | | | |
Transfer agent fees | | | 681,634 | | | | | | | | 36,142 | | | | | | | | 1,828,001 | | | | | |
Registration and filing fees | | | 112,337 | | | | | | | | 63,902 | | | | | | | | 166,482 | | | | | |
Custodian fees | | | 91,851 | | | | | | | | 43,634 | | | | | | | | 126,227 | | | | | |
Professional fees | | | 55,188 | | | | | | | | 46,973 | | | | | | | | 61,345 | | | | | |
Commitment fee | | | 16,038 | | | | | | | | 220 | | | | | | | | 43,795 | | | | | |
Trustees' fees and expenses | | | 14,664 | | | | | | | | 165 | | | | | | | | 39,854 | | | | | |
Interest expense | | | 171 | | | | | | | | — | | | | | | | | 1,412 | | | | | |
Miscellaneous expenses | | | 59,492 | | | | | | | | 19,500 | | | | | | | | 132,153 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | 4,151,431 | | | | | | | | 344,680 | | | | | | | | 10,133,982 | | | | | |
Expenses waived and reimbursed (Note 6) | | | (22,452 | ) | | | | | | | (293,818 | ) | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 4,128,979 | | | | | | | | 50,862 | | | | | | | | 10,133,982 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 27,101,959 | | | | | | | | 771,068 | | | | | | | | 61,988,491 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | (37,576,129 | ) | | | | | | | (742,145 | ) | | | | | | | (90,474,634 | ) | | | | |
Futures contracts | | | (6,826,020 | ) | | | | | | | 83,000 | | | | | | | | 5,716,791 | | | | | |
Foreign currency exchange contracts | | | (279,080 | ) | | | | | | | — | | | | | | | | 314,324 | | | | | |
Foreign currency transactions | | | 50,747 | | | | | | | | — | | | | | | | | 65,285 | | | | | |
Options and swaptions written | | | (1,088,029 | ) | | | | | | | (792 | ) | | | | | | | (3,579,911 | ) | | | | |
Swap contracts | | | 59,149 | | | | | | | | (71,621 | ) | | | | | | | 185,837 | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | (838,619 | ) | | | | | | | (300,238 | ) | | | | | | | 974,373 | | | | | |
Futures contracts | | | 3,847,430 | | | | | | | | (18,434 | ) | | | | | | | (894,282 | ) | | | | |
Foreign currency exchange contracts | | | (45,328 | ) | | | | | | | — | | | | | | | | (114,376 | ) | | | | |
Foreign currency transactions | | | 4,936 | | | | | | | | — | | | | | | | | 10,065 | | | | | |
Options and swaptions written | | | 788,477 | | | | | | | | 9,157 | | | | | | | | 2,598,640 | | | | | |
Swap contracts | | | (9,116 | ) | | | | | | | 47,547 | | | | | | | | (30,076 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (41,911,582 | ) | | | | | | | (993,526 | ) | | | | | | | (85,227,964 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net (Decrease) in Net Assets from Operations | | $ | (14,809,623 | ) | | | | | | $ | (222,458 | ) | | | | | | $ | (23,239,473 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 266 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2023
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH
INCOME
CREDIT FUND | | | | | STRATEGIC
INCOME FUND | | | | | TOTAL RETURN
BOND FUND | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 276,128 | | | | | | | $ | 3,796,364 | | | | | | | $ | 2,391,531,595 | | | | | |
Dividends | | | 8,845 | | | | | | | | 77,092 | | | | | | | | 55,534,146 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | 284,973 | | | | | | | | 3,873,456 | | | | | | | | 2,447,065,741 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 14,923 | | | | | | | | 266,106 | | | | | | | | 235,073,073 | | | | | |
Administration fees | | | 78,263 | | | | | | | | 118,510 | | | | | | | | 4,252,795 | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | 568 | | | | | | | | 71,823 | | | | | | | | 12,582,907 | | | | | |
Administrative Class | | | — | | | | | | | | — | | | | | | | | 6,872,547 | | | | | |
Professional fees | | | 59,746 | | | | | | | | 43,767 | | | | | | | | 531,320 | | | | | |
Registration and filing fees | | | 46,773 | | | | | | | | 55,600 | | | | | | | | 1,877,855 | | | | | |
Transfer agent fees | | | 31,017 | | | | | | | | 66,005 | | | | | | | | 35,788,489 | | | | | |
Custodian fees | | | 20,853 | | | | | | | | 62,157 | | | | | | | | 2,231,256 | | | | | |
Trustees' fees and expenses | | | 53 | | | | | | | | 715 | | | | | | | | 1,183,247 | | | | | |
Commitment fee | | | 22 | | | | | | | | 691 | | | | | | | | 590,112 | | | | | |
Interest expense | | | — | | | | | | | | — | | | | | | | | 464,726 | | | | | |
Miscellaneous expenses | | | 16,992 | | | | | | | | 50,252 | | | | | | | | 3,968,472 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | 269,210 | | | | | | | | 735,626 | | | | | | | | 305,416,799 | | | | | |
Expenses waived and reimbursed (Note 6) | | | (250,735 | ) | | | | | | | (339,161 | ) | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 18,475 | | | | | | | | 396,465 | | | | | | | | 305,416,799 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 266,498 | | | | | | | | 3,476,991 | | | | | | | | 2,141,648,942 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | (431,304 | ) | | | | | | | (2,469,993 | ) | | | | | | | (4,531,899,804 | ) | | | | |
Futures contracts | | | (37,305 | ) | | | | | | | 622,102 | | | | | | | | (414,029,946 | ) | | | | |
Foreign currency exchange contracts | | | — | | | | | | | | 5,029 | | | | | | | | 30,628,931 | | | | | |
Foreign currency transactions | | | — | | | | | | | | 1,030 | | | | | | | | 10,635,512 | | | | | |
Options and swaptions written | | | — | | | | | | | | (1,359 | ) | | | | | | | (104,340,975 | ) | | | | |
Swap contracts | | | — | | | | | | | | (124,914 | ) | | | | | | | (353,638,298 | ) | | | | |
| | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | (27,281 | ) | | | | | | | (850,399 | ) | | | | | | | (1,855,532,089 | ) | | | | |
Futures contracts | | | 17,597 | | | | | | | | (53,654 | ) | | | | | | | 190,731,745 | | | | | |
Foreign currency exchange contracts | | | — | | | | | | | | 145 | | | | | | | | (13,045,085 | ) | | | | |
Foreign currency transactions | | | — | | | | | | | | 33 | | | | | | | | 803,653 | | | | | |
Options and swaptions written | | | — | | | | | | | | 19,326 | | | | | | | | 132,705,720 | | | | | |
Swap contracts | | | — | | | | | | | | 62,470 | | | | | | | | 184,226,573 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (478,293 | ) | | | | | | | (2,790,184 | ) | | | | | | | (6,722,754,063 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets from Operations | | $ | (211,795 | ) | | | | | | $ | 686,807 | | | | | | | $ | (4,581,105,121 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 267 |
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2023
| | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | | | UNCONSTRAINED
BOND FUND | | |
Investment Income: | | | | | | | | | | | | | | |
Interest | | $ | 3,320,364 | | | | | | | $ | 186,818,544 | | | |
Dividends | | | 196,349 | | | | | | | | 2,273,663 | | | |
| | | | | | | | | | | | | | |
Total investment income | | | 3,516,713 | | | | | | | | 189,092,207 | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 320,380 | | | | | | | | 21,085,623 | | | |
Administration fees | | | 110,705 | | | | | | | | 440,391 | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | |
Class M | | | 45,438 | | | | | | | | 453,804 | | | |
Transfer agent fees | | | 142,881 | | | | | | | | 2,036,894 | | | |
Registration and filing fees | | | 60,890 | | | | | | | | 246,832 | | | |
Professional fees | | | 44,013 | | | | | | | | 155,838 | | | |
Custodian fees | | | 43,672 | | | | | | | | 226,305 | | | |
Commitment fee | | | 11,566 | | | | | | | | 24,537 | | | |
Trustees' fees and expenses | | | 2,339 | | | | | | | | 58,093 | | | |
Interest expense | | | — | | | | | | | | 2,301 | | | |
Miscellaneous expenses | | | 25,347 | | | | | | | | 193,440 | | | |
| | | | | | | | | | | | | | |
Total operating expenses | | | 807,231 | | | | | | | | 24,924,058 | | | |
Expenses waived and reimbursed (Note 6) | | | (326,076) | | | | | | | | (13,017) | | | |
| | | | | | | | | | | | | | |
Net expenses | | | 481,155 | | | | | | | | 24,911,041 | | | |
| | | | | | | | | | | | | | |
Net investment income | | | 3,035,558 | | | | | | | | 164,181,166 | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
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 | | | (5,388,169) | | | | | | | | (170,331,474) | | | |
Futures contracts | | | 2,370,855 | | | | | | | | 95,229,378 | | | |
Foreign currency exchange contracts | | | 54,290 | | | | | | | | 1,189,122 | | | |
Foreign currency transactions | | | 9,800 | | | | | | | | 239,896 | | | |
Options and swaptions written | | | (338,522) | | | | | | | | (4,885,119) | | | |
Swap contracts | | | 7,726 | | | | | | | | (17,135,635) | | | |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | 1,062,414 | | | | | | | | (160,704,924) | | | |
Futures contracts | | | (885,277) | | | | | | | | (12,601,070) | | | |
Foreign currency exchange contracts | | | (4,468) | | | | | | | | (33,281) | | | |
Foreign currency transactions | | | 497 | | | | | | | | 23,550 | | | |
Options and swaptions written | | | 244,207 | | | | | | | | 6,507,343 | | | |
Swap contracts | | | (112) | | | | | | | | 8,540,052 | | | |
| | | | | | | | | | | | | | |
| | | | |
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | (2,866,759) | | | | | | | | (253,962,162) | | | |
| | | | | | | | | | | | | | |
| | | | |
Net Increase (Decrease) in Net Assets from Operations | | $ | 168,799 | | | | | | | $ | (89,780,996) | | | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 268 / Annual Report March 2023 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500 FUND | | | | | CORPORATE BOND FUND | | | | |
| | | | | | | | | | |
| | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | |
| | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 875,717 | | | | | | | $ | 352,209 | | | | | | | $ | 285,898 | | | | | | | $283,009 | | | | |
Net realized gain (loss) on investments | | | | | (797,424) | | | | | | | | 462,817 | | | | | | | | (1,186,234) | | | | | | | (8,971) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | (3,406,039) | | | | | | | | 3,204,488 | | | | | | | | 12,468 | | | | | | | 11,877 | | | | |
Net change in unrealized (depreciation) on investments | | | | | (820,315) | | | | | | | | (735,005) | | | | | | | | (74,878) | | | | | | | (958,560) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | (501,369) | | | | | | | | 2,071,084 | | | | | | | | 26,654 | | | | | | | (46,061) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | (4,649,430) | | | | | | | | 5,355,593 | | | | | | | | (936,092) | | | | | | | (718,706) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (1,425,275) | | | | | | | | (11,805,983) | | | | | | | | (142,778) | | | | | | | (175,170) | | | | |
Class I | | | | | — | | | | | | | | — | | | | | | | | (141,214) | | | | | | | (196,581) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (1,425,275) | | | | | | | | (11,805,983) | | | | | | | | (283,992) | | | | | | | (371,751) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 1,688,163 | | | | | | | | 17,532,245 | | | | | | | | 1,105,501 | | | | | | | 2,092,063 | | | | |
Shares issued in reinvestment of distributions | | | | | 1,425,012 | | | | | | | | 11,710,130 | | | | | | | | 142,767 | | | | | | | 173,672 | | | | |
Cost of shares redeemed | | | | | (13,179,485) | | | | | | | | (14,459,312) | | | | | | | | (2,035,825) | | | | | | | (4,376,008) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | (10,066,310) | | | | | | | | 14,783,063 | | | | | | | | (787,557) | | | | | | | (2,110,273) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | — | | | | | | | | 230,073 | | | | | | | 3,935,189 | | | | |
Shares issued in reinvestment of distributions | | | | | — | | | | | | | | — | | | | | | | | 135,703 | | | | | | | 194,382 | | | | |
Cost of shares redeemed | | | | | — | | | | | | | | — | | | | | | | | (3,749,112) | | | | | | | (1,292,494) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | — | | | | | | | | — | | | | | | | | (3,383,336) | | | | | | | 2,837,077 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | (10,066,310) | | | | | | | | 14,783,063 | | | | | | | | (4,170,893) | | | | | | | 726,804 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | (16,141,015) | | | | | | | | 8,332,673 | | | | | | | | (5,390,977) | | | | | | | (363,653) | | | | |
Net assets at beginning of year | | | | | 45,102,468 | | | | | | | | 36,769,795 | | | | | | | | 12,556,838 | | | | | | | 12,920,491 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of year | | | | $ | 28,961,453 | | | | | | | $ | 45,102,468 | | | | | | | $ | 7,165,861 | | | | | | | $12,556,838 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 270 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ESG SECURITIZED
FUND1 | | | FLEXIBLE INCOME
FUND | | | | |
| | | | | | YEAR ENDED
MARCH 31,
2023 | | | | | PERIOD ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 281,087 | | | | | | | $ | 48,431 | | | | | | | $ | 21,543,153 | | | | | | | $ | 17,239,534 | | | | | |
Net realized (loss) on investments | | | | | | | (491,703 | ) | | | | | | | (178,537 | ) | | | | | | | (9,155,600 | ) | | | | | | | (2,327,445 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 13,099 | | | | | | | | 41,302 | | | | | | | | 1,558,426 | | | | | | | | (638,721 | ) | | | | |
Net change in unrealized (depreciation) on investments | | | | | | | (544,191 | ) | | | | | | | (590,523 | ) | | | | | | | (16,288,207 | ) | | | | | | | (17,854,385 | ) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | (13,813 | ) | | | | | | | 32,506 | | | | | | | | 1,280,679 | | | | | | | | (583,759 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in net assets resulting from operations | | | | | | | (755,521 | ) | | | | | | | (646,821 | ) | | | | | | | (1,061,549 | ) | | | | | | | (4,164,776 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (789 | ) | | | | | | | (27 | ) | | | | | | | (3,284,784 | ) | | | | | | | (2,339,927 | ) | | | | |
Class I | | | | | | | (323,549 | ) | | | | | | | (48,411 | ) | | | | | | | (18,815,999 | ) | | | | | | | (15,439,721 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (324,338 | ) | | | | | | | (48,438 | ) | | | | | | | (22,100,783 | ) | | | | | | | (17,779,648 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 41,210 | | | | | | | | 16,900 | | | | | | | | 41,165,753 | | | | | | | | 34,113,901 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 789 | | | | | | | | 27 | | | | | | | | 3,259,132 | | | | | | | | 2,241,577 | | | | | |
Cost of shares redeemed | | | | | | | (5,381 | ) | | | | | | | — | | | | | | | | (23,746,600 | ) | | | | | | | (22,445,482 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | 36,618 | | | | | | | | 16,927 | | | | | | | | 20,678,285 | | | | | | | | 13,909,996 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 2,980,028 | | | | | | | | 11,304,164 | | | | | | | | 229,652,950 | | | | | | | | 128,698,215 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 318,619 | | | | | | | | 48,411 | | | | | | | | 17,189,579 | | | | | | | | 15,356,960 | | | | | |
Cost of shares redeemed | | | | | | | (4,515,723 | ) | | | | | | | (3,078 | ) | | | | | | | (123,618,442 | ) | | | | | | | (106,370,251 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | (1,217,076 | ) | | | | | | | 11,349,497 | | | | | | | | 123,224,087 | | | | | | | | 37,684,924 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | | | (1,180,458 | ) | | | | | | | 11,366,424 | | | | | | | | 143,902,372 | | | | | | | | 51,594,920 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | (2,260,317 | ) | | | | | | | 10,671,165 | | | | | | | | 120,740,040 | | | | | | | | 29,650,496 | | | | | |
Net assets at beginning of period | | | | | | | 10,671,165 | | | | | | | | — | | | | | | | | 209,658,501 | | | | | | | | 180,008,005 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | | | $ | 8,410,848 | | | | | | | $ | 10,671,165 | | | | | | | $ | 330,398,541 | | | | | | | $ | 209,658,501 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1 For the period October 1, 2021 (Commencement of Operations) to March 31, 2023.
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 271 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND | | | HIGH YIELD
BOND FUND | | | | |
| | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 25,534,633 | | | | | | | $ | 15,667,466 | | | | | | | $ | 31,928,889 | | | | | | | $ | 30,268,465 | | | | | |
Net realized gain (loss) on investments | | | | | | | (16,313,982 | ) | | | | | | | 481,354 | | | | | | | | (57,819,428 | ) | | | | | | | (1,676,256 | ) | | | | |
Net realized gain on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 93,351 | | | | | | | | 496,884 | | | | | | | | 6,354,058 | | | | | | | | 231,559 | | | | | |
Net change in unrealized (depreciation) on investments | | | | | | | (7,196,020 | ) | | | | | | | (8,898,950 | ) | | | | | | | (9,639,134 | ) | | | | | | | (40,521,550 | ) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | (11,725 | ) | | | | | | | (431,315 | ) | | | | | | | (1,957,971 | ) | | | | | | | 1,689,902 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | | | 2,106,257 | | | | | | | | 7,315,439 | | | | | | | | (31,133,586 | ) | | | | | | | (10,007,880 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (809,656 | ) | | | | | | | (474,766 | ) | | | | | | | (8,006,047 | ) | | | | | | | (7,194,383 | ) | | | | |
Class I | | | | | | | (24,770,860 | ) | | | | | | | (15,224,684 | ) | | | | | | | (24,105,082 | ) | | | | | | | (23,164,913 | ) | | | | |
Plan Class | | | | | | | (6 | ) | | | | | | | (4 | ) | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (25,580,522 | ) | | | | | | | (15,699,454 | ) | | | | | | | (32,111,129 | ) | | | | | | | (30,359,296 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 4,031,325 | | | | | | | | 9,213,283 | | | | | | | | 48,460,943 | | | | | | | | 45,528,862 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 752,139 | | | | | | | | 438,152 | | | | | | | | 7,763,239 | | | | | | | | 6,938,480 | | | | | |
Cost of shares redeemed | | | | | | | (9,931,101 | ) | | | | | | | (6,177,939 | ) | | | | | | | (75,823,675 | ) | | | | | | | (71,472,671 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | (5,147,637 | ) | | | | | | | 3,473,496 | | | | | | | | (19,599,493 | ) | | | | | | | (19,005,329 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 73,729,818 | | | | | | | | 125,936,632 | | | | | | | | 194,509,306 | | | | | | | | 299,304,142 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 20,289,450 | | | | | | | | 13,378,948 | | | | | | | | 20,309,691 | | | | | | | | 22,131,407 | | | | | |
Cost of shares redeemed | | | | | | | (218,088,025 | ) | | | | | | | (74,037,959 | ) | | | | | | | (359,485,585 | ) | | | | | | | (309,772,975 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | (124,068,757 | ) | | | | | | | 65,277,621 | | | | | | | | (144,666,588 | ) | | | | | | | 11,662,574 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 6 | | | | | | | | 4 | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | | | 6 | | | | | | | | 4 | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | | | (129,216,388 | ) | | | | | | | 68,751,121 | | | | | | | | (164,266,081 | ) | | | | | | | (7,342,755 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | (152,690,653 | ) | | | | | | | 60,367,106 | | | | | | | | (227,510,796 | ) | | | | | | | (47,709,931 | ) | | | | |
Net assets at beginning of year | | | | | | | 492,109,029 | | | | | | | | 431,741,923 | | | | | | | | 722,709,212 | | | | | | | | 770,419,143 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of year | | | | | | $ | 339,418,376 | | | | | | | $ | 492,109,029 | | | | | | | $ | 495,198,416 | | | | | | | $ | 722,709,212 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 272 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | INTERMEDIATE
BOND FUND | | | | | INVESTMENT GRADE
CREDIT FUND | | | |
| | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 27,101,959 | | | | | | | $ | 10,473,927 | | | | | | | $ | 771,068 | | | | | | | $ | 907,924 | | | | | |
Net realized (loss) on investments | | | | | | | (37,576,129 | ) | | | | | | | (15,994,312 | ) | | | | | | | (742,145 | ) | | | | | | | (444,321 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | (8,083,233 | ) | | | | | | | (2,721,431 | ) | | | | | | | 10,587 | | | | | | | | (62,217 | ) | | | | |
Net change in unrealized (depreciation) on investments | | | | | | | (838,619 | ) | | | | | | | (26,631,047 | ) | | | | | | | (300,238 | ) | | | | | | | (1,341,034 | ) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 4,586,399 | | | | | | | | (1,890,795 | ) | | | | | | | 38,270 | | | | | | | | (80,875 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in net assets resulting from operations | | | | | | | (14,809,623 | ) | | | | | | | (36,763,658 | ) | | | | | | | (222,458 | ) | | | | | | | (1,020,523 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net earnings | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (651,240 | ) | | | | | | | (443,189 | ) | | | | | | | (193,447 | ) | | | | | | | (149,533 | ) | | | | |
Class I | | | | | | | (26,538,105 | ) | | | | | | | (12,811,756 | ) | | | | | | | (576,495 | ) | | | | | | | (781,732 | ) | | | | |
From tax return of capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | — | | | | | | | | — | | | | | | | | (6,494 | ) | | | | | | | — | | | | | |
Class I | | | | | | | — | | | | | | | | — | | | | | | | | (18,167 | ) | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (27,189,345 | ) | | | | | | | (13,254,945 | ) | | | | | | | (794,603 | ) | | | | | | | (931,265 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 6,760,189 | | | | | | | | 6,888,933 | | | | | | | | 1,337,353 | | | | | | | | 4,340,421 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 650,341 | | | | | | | | 441,176 | | | | | | | | 199,463 | | | | | | | | 147,501 | | | | | |
Cost of shares redeemed | | | | | | | (9,887,413 | ) | | | | | | | (17,389,296 | ) | | | | | | | (542,274 | ) | | | | | | | (4,007,782 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | (2,476,883 | ) | | | | | | | (10,059,187 | ) | | | | | | | 994,542 | | | | | | | | 480,140 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 459,988,616 | | | | | | | | 156,352,081 | | | | | | | | 2,645,893 | | | | | | | | 17,529,268 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 23,375,376 | | | | | | | | 12,800,407 | | | | | | | | 584,846 | | | | | | | | 772,045 | | | | | |
Cost of shares redeemed | | | | | | | (333,934,491 | ) | | | | | | | (118,572,331 | ) | | | | | | | (3,781,800 | ) | | | | | | | (18,161,123 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | 149,429,501 | | | | | | | | 50,580,157 | | | | | | | | (551,061 | ) | | | | | | | 140,190 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets derived from capital share transactions | | | | | | | 146,952,618 | | | | | | | | 40,520,970 | | | | | | | | 443,481 | | | | | | | | 620,330 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | 104,953,650 | | | | | | | | (9,497,633 | ) | | | | | | | (573,580 | ) | | | | | | | (1,331,458 | ) | | | | |
Net assets at beginning of year | | | | | | | 793,017,179 | | | | | | | | 802,514,812 | | | | | | | | 10,899,126 | | | | | | | | 12,230,584 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of year | | | | | | $ | 897,970,829 | | | | | | | $ | 793,017,179 | | | | | | | $ | 10,325,546 | | | | | | | $ | 10,899,126 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 273 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | LOW DURATION
BOND FUND | | | | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND1 | | | |
| | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | PERIOD
ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 61,988,491 | | | | | | | $ | 27,294,076 | | | | | | | $ | 266,498 | | | | | | | $ | 248,699 | | | | | |
Net realized (loss) on investments | | | | | | | (90,474,634 | ) | | | | | | | (36,485,215 | ) | | | | | | | (431,304 | ) | | | | | | | (9,348 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 2,702,326 | | | | | | | | 3,587,099 | | | | | | | | (37,305 | ) | | | | | | | (11,230 | ) | | | | |
Net change in unrealized appreciation (depreciation) on investments | | | | | | | 974,373 | | | | | | | | (57,844,618 | ) | | | | | | | (27,281 | ) | | | | | | | (292,301 | ) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 1,569,971 | | | | | | | | (2,832,113 | ) | | | | | | | 17,597 | | | | | | | | (6,598 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in net assets resulting from operations | | | | | | | (23,239,473 | ) | | | | | | | (66,280,771 | ) | | | | | | | (211,795 | ) | | | | | | | (70,778 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net earnings | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (11,675,128 | ) | | | | | | | (4,077,753 | ) | | | | | | | (17,339 | ) | | | | | | | (2,442 | ) | | | | |
Class I | | | | | | | (50,784,593 | ) | | | | | | | (23,238,389 | ) | | | | | | | (259,044 | ) | | | | | | | (262,705 | ) | | | | |
Administrative Class | | | | | | | (17,270 | ) | | | | | | | (13,227 | ) | | | | | | | — | | | | | | | | — | | | | | |
From tax return of capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | — | | | | | | | | — | | | | | | | | (603 | ) | | | | | | | — | | | | | |
Class I | | | | | | | — | | | | | | | | — | | | | | | | | (7,178 | ) | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (62,476,991 | ) | | | | | | | (27,329,369 | ) | | | | | | | (284,164 | ) | | | | | | | (265,147 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 94,963,791 | | | | | | | | 110,632,030 | | | | | | | | 543,779 | | | | | | | | 75,360 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 11,599,618 | | | | | | | | 4,002,713 | | | | | | | | 17,942 | | | | | | | | 2,442 | | | | | |
Cost of shares redeemed | | | | | | | (266,373,973 | ) | | | | | | | (68,254,259 | ) | | | | | | | (295,730 | ) | | | | | | | (2,160 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | (159,810,564 | ) | | | | | | | 46,380,484 | | | | | | | | 265,991 | | | | | | | | 75,642 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 676,046,610 | | | | | | | | 901,301,727 | | | | | | | | 506,250 | | | | | | | | 3,038,921 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 45,199,055 | | | | | | | | 21,716,728 | | | | | | | | 255,696 | | | | | | | | 262,706 | | | | | |
Cost of shares redeemed | | | | | | | (1,191,261,709 | ) | | | | | | | (862,338,899 | ) | | | | | | | (1,500,632 | ) | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | (470,016,044 | ) | | | | | | | 60,679,556 | | | | | | | | (738,686 | ) | | | | | | | 3,301,627 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 341,423 | | | | | | | | 2,796,443 | | | | | | | | — | | | | | | | | — | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 16,180 | | | | | | | | 13,091 | | | | | | | | — | | | | | | | | — | | | | | |
Cost of shares redeemed | | | | | | | (1,987,464 | ) | | | | | | | (1,108,347 | ) | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | | | | (1,629,861 | ) | | | | | | | 1,701,187 | | | | | | | | — | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | | | (631,456,469 | ) | | | | | | | 108,761,227 | | | | | | | | (472,695 | ) | | | | | | | 3,377,269 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | (717,172,933 | ) | | | | | | | 15,151,087 | | | | | | | | (968,654 | ) | | | | | | | 3,041,344 | | | | | |
Net assets at beginning of period | | | | | | | 2,495,317,483 | | | | | | | | 2,480,166,396 | | | | | | | | 3,041,344 | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | | | $ | 1,778,144,550 | | | | | | | $ | 2,495,317,483 | | | | | | | $ | 2,072,690 | | | | | | | $ | 3,041,344 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | For the period August 2, 2021 (Commencement of Operations) to March 31, 2023. |
See accompanying Notes to Financial Statements.
|
| 274 / Annual Report March 2023 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | STRATEGIC
INCOME FUND | | | | | TOTAL RETURN
BOND FUND | | | |
| | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 3,476,991 | | | | | | | $ | 2,817,560 | | | | | | | $ | 2,141,648,942 | | | | | | | $ | 1,197,446,581 | | | | | |
Net realized (loss) on investments | | | | | | | (2,469,993 | ) | | | | | | | (1,183,895 | ) | | | | | | | (4,531,899,804 | ) | | | | | | | (1,458,293,186 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 501,888 | | | | | | | | (23,082 | ) | | | | | | | (830,744,776 | ) | | | | | | | 550,389 | | | | | |
Net change in unrealized (depreciation) on investments | | | | | | | (850,399 | ) | | | | | | | (2,290,792 | ) | | | | | | | (1,855,532,089 | ) | | | | | | | (3,001,495,494 | ) | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 28,320 | | | | | | | | (144,164 | ) | | | | | | | 495,422,606 | | | | | | | | (384,017,226 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | | | 686,807 | | | | | | | | (824,373 | ) | | | | | | | (4,581,105,121 | ) | | | | | | | (3,645,808,936 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (2,536,732 | ) | | | | | | | (1,701,371 | ) | | | | | | | (183,930,026 | ) | | | | | | | (83,270,314 | ) | | | | |
Class I | | | | | | | (1,178,986 | ) | | | | | | | (1,116,579 | ) | | | | | | | (1,310,563,915 | ) | | | | | | | (744,903,628 | ) | | | | |
Class I-2 | | | | | | | — | | | | | | | | — | | | | | | | | (4,553,863 | ) | | | | | | | (2,377,375 | ) | | | | |
Administrative Class | | | | | | | — | | | | | | | | — | | | | | | | | (48,358,996 | ) | | | | | | | (22,035,853 | ) | | | | |
Plan Class | | | | | | | — | | | | | | | | — | | | | | | | | (622,261,058 | ) | | | | | | | (360,557,055 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (3,715,718 | ) | | | | | | | (2,817,950 | ) | | | | | | | (2,169,667,858 | ) | | | | | | | (1,213,144,225 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 43,540,763 | | | | | | | | 9,366,413 | | | | | | | | 3,495,653,899 | | | | | | | | 1,604,298,220 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 2,526,946 | | | | | | | | 1,657,387 | | | | | | | | 182,610,816 | | | | | | | | 82,422,477 | | | | | |
Cost of shares redeemed | | | | | | | (10,331,770 | ) | | | | | | | (7,461,785 | ) | | | | | | | (2,967,490,699 | ) | | | | | | | (2,239,839,907 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | 35,735,939 | | | | | | | | 3,562,015 | | | | | | | | 710,774,016 | | | | | | | | (553,119,210 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 12,916,300 | | | | | | | | 7,073,460 | | | | | | | | 10,638,504,466 | | | | | | | | 13,144,834,948 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 1,109,471 | | | | | | | | 1,100,021 | | | | | | | | 1,180,906,284 | | | | | | | | 670,343,885 | | | | | |
Cost of shares redeemed | | | | | | | (6,635,438 | ) | | | | | | | (7,240,177 | ) | | | | | | | (16,232,632,010 | ) | | | | | | | (16,882,618,501 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | 7,390,333 | | | | | | | | 933,304 | | | | | | | | (4,413,221,260 | ) | | | | | | | (3,067,439,668 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I-2: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | — | | | | | | | | — | | | | | | | | 76,304,739 | | | | | | | | 130,016,682 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | — | | | | | | | | 4,553,247 | | | | | | | | 2,376,867 | | | | | |
Cost of shares redeemed | | | | | | | — | | | | | | | | — | | | | | | | | (132,967,258 | ) | | | | | | | (66,406,517 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I-2 capital share transactions | | | | | | | — | | | | | | | | — | | | | | | | | (52,109,272 | ) | | | | | | | 65,987,032 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | — | | | | | | | | — | | | | | | | | 293,651,286 | | | | | | | | 423,045,579 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | — | | | | | | | | 47,629,092 | | | | | | | | 21,698,938 | | | | | |
Cost of shares redeemed | | | | | | | — | | | | | | | | — | | | | | | | | (573,634,236 | ) | | | | | | | (442,994,344 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | | | | — | | | | | | | | — | | | | | | | | (232,353,858 | ) | | | | | | | 1,750,173 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | — | | | | | | | | — | | | | | | | | 2,968,909,350 | | | | | | | | 4,844,083,639 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | — | | | | | | | | 584,159,563 | | | | | | | | 336,972,234 | | | | | |
Cost of shares redeemed | | | | | | | — | | | | | | | | — | | | | | | | | (6,205,668,308 | ) | | | | | | | (6,203,634,631 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | | | — | | | | | | | | — | | | | | | | | (2,652,599,395 | ) | | | | | | | (1,022,578,758 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | | | 43,126,272 | | | | | | | | 4,495,319 | | | | | | | | (6,639,509,769 | ) | | | | | | | (4,575,400,431 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | 40,097,361 | | | | | | | | 852,996 | | | | | | | | (13,390,282,748 | ) | | | | | | | (9,434,353,592 | ) | | | | |
Net assets at beginning of year | | | | | | | 26,123,300 | | | | | | | | 25,270,304 | | | | | | | | 77,506,829,211 | | | | | | | | 86,941,182,803 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of year | | | | | | $ | 66,220,661 | | | | | | | $ | 26,123,300 | | | | | | | $ | 64,116,546,463 | | | | | | | $ | 77,506,829,211 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 275 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | ULTRA SHORT
BOND FUND | | | | | UNCONSTRAINED
BOND FUND | | | |
| | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | | | YEAR ENDED
MARCH 31, 2023 | | | | | YEAR ENDED
MARCH 31, 2022 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 3,035,558 | | | | | | | $ | 1,492,628 | | | | | | | $ | 164,181,166 | | | | | | | $ | 109,737,964 | | | | | |
Net realized (loss) on investments | | | | | | | (5,388,169 | ) | | | | | | | (2,386,196 | ) | | | | | | | (170,331,474 | ) | | | | | | | (19,332,656 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 2,104,149 | | | | | | | | 966,263 | | | | | | | | 74,637,642 | | | | | | | | (5,132,321 | ) | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on investments | | | | | | | 1,062,414 | | | | | | | | (2,774,008 | ) | | | | | | | (160,704,924 | ) | | | | | | | (191,824,922 | ) | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | (645,153 | ) | | | | | | | 104,464 | | | | | | | | 2,436,594 | | | | | | | | (17,642,272 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | | | 168,799 | | | | | | | | (2,596,849 | ) | | | | | | | (89,780,996 | ) | | | | | | | (124,194,207 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (638,279 | ) | | | | | | | (276,449 | ) | | | | | | | (9,125,883 | ) | | | | | | | (8,753,492 | ) | | | | |
Class I | | | | | | | (2,405,102 | ) | | | | | | | (1,258,061 | ) | | | | | | | (145,485,600 | ) | | | | | | | (143,244,876 | ) | | | | |
Plan Class | | | | | | | — | | | | | | | | — | | | | | | | | (16,733,784 | ) | | | | | | | (4,640,426 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (3,043,381 | ) | | | | | | | (1,534,510 | ) | | | | | | | (171,345,267 | ) | | | | | | | (156,638,794 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 3,375,187 | | | | | | | | 17,118,785 | | | | | | | | 28,256,559 | | | | | | | | 40,303,523 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 622,331 | | | | | | | | 270,415 | | | | | | | | 9,026,236 | | | | | | | | 8,478,824 | | | | | |
Cost of shares redeemed | | | | | | | (22,824,795 | ) | | | | | | | (38,965,686 | ) | | | | | | | (77,734,166 | ) | | | | | | | (76,856,029 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | (18,827,277 | ) | | | | | | | (21,576,486 | ) | | | | | | | (40,451,371 | ) | | | | | | | (28,073,682 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 64,753,429 | | | | | | | | 108,718,474 | | | | | | | | 1,024,325,769 | | | | | | | | 1,521,241,767 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 2,403,227 | | | | | | | | 1,257,404 | | | | | | | | 106,577,781 | | | | | | | | 112,760,716 | | | | | |
Cost of shares redeemed | | | | | | | (121,342,857 | ) | | | | | | | (129,705,501 | ) | | | | | | | (2,197,064,956 | ) | | | | | | | (999,465,470 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | (54,186,201 | ) | | | | | | | (19,729,623 | ) | | | | | | | (1,066,161,406 | ) | | | | | | | 634,537,013 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | — | | | | | | | | — | | | | | | | | 243,626,742 | | | | | | | | 118,775,444 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | — | | | | | | | | 16,733,248 | | | | | | | | 4,598,189 | | | | | |
Cost of shares redeemed | | | | | | | — | | | | | | | | — | | | | | | | | (11,237,412 | ) | | | | | | | (58,384,079 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | | | — | | | | | | | | — | | | | | | | | 249,122,578 | | | | | | | | 64,989,554 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | | | (73,013,478 | ) | | | | | | | (41,306,109 | ) | | | | | | | (857,490,199 | ) | | | | | | | 671,452,885 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | (75,888,060 | ) | | | | | | | (45,437,468 | ) | | | | | | | (1,118,616,462 | ) | | | | | | | 390,619,884 | | | | | |
Net assets at beginning of year | | | | | | | 197,735,248 | | | | | | | | 243,172,716 | | | | | | | | 3,984,147,502 | | | | | | | | 3,593,527,618 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of year | | | | | | $ | 121,847,188 | | | | | | | $ | 197,735,248 | | | | | | | $ | 2,865,531,040 | | | | | | | $ | 3,984,147,502 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 276 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND CLASS M | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 11.48 | | | | | $ | 13.26 | | | | | $ | 8.89 | | | | | $ | 10.73 | | | | | $ | 9.98 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.27 | | | | | | 0.11 | | | | | | 0.18 | | | | | | 0.31 | | | | | | 0.22 | | | | | |
Net realized and unrealized gain (loss) | | | | | (1.42) | | | | | | 1.81 | | | | | | 5.14 | | | | | | (1.14) | | | | | | 0.76 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (1.15) | | | | | | 1.92 | | | | | | 5.32 | | | | | | (0.83) | | | | | | 0.98 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.27) | | | | | | (0.12) | | | | | | (0.20) | | | | | | (0.30) | | | | | | (0.23) | | | | | |
From net capital gains | | | | | (0.19) | | | | | | (3.58) | | | | | | (0.75) | | | | | | (0.71) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Distributions | | | | | (0.46) | | | | | | (3.70) | | | | | | (0.95) | | | | | | (1.01) | | | | | | (0.23) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 9.87 | | | | | $ | 11.48 | | | | | $ | 13.26 | | | | | $ | 8.89 | | | | | $ | 10.73 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | (9.77)% | | | | | | 13.35% | | | | | | 60.83% | | | | | | (9.36)% | | | | | | 9.93% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 28,961 | | | | | $ | 45,102 | | | | | $ | 36,770 | | | | | $ | 29,066 | | | | | $ | 21,202 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.28% | | | | | | 0.83%2 | | | | | | 1.26% | | | | | | 1.04% | | | | | | 1.39% | | | | | |
After expense waivers and reimbursements | | | | | 0.45% | | | | | | 0.83% | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.70% | | | | | | 0.78% | | | | | | 1.57% | | | | | | 2.80% | | | | | | 2.15% | | | | | |
Portfolio Turnover Rate | | | | | 166% | | | | | | 94% | | | | | | 60% | | | | | | 89% | | | | | | 140% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.66%. |
See accompanying Notes to Financial Statements.
|
| 277 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS M* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.26 | | | | | | 0.22 | | | | | | 0.28 | | | | | | 0.88 | | | | | | 0.41 | | | |
Net realized and unrealized gain (loss) | | | (0.86) | | | | | | (0.69) | | | | | | 0.50 | | | | | | 0.06 | | | | | | 0.34 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.60) | | | | | | (0.47) | | | | | | 0.78 | | | | | | 0.94 | | | | | | 0.75 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26) | | | | | | (0.22) | | | | | | (0.40) | | | | | | (0.86) | | | | | | (0.41) | | | |
From net capital gains | | | — | | | | | | (0.07) | | | | | | (0.05) | | | | | | (0.07) | | | | | | (0.03) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26) | | | | | | (0.29) | | | | | | (0.45) | | | | | | (0.93) | | | | | | (0.44) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (6.02)% | | | | | | (4.67)% | | | | | | 7.55% | | | | | | 9.19% | | | | | | 7.75%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 4,296 | | | | | $ | 5,622 | | | | | $ | 8,190 | | | | | $ | 876 | | | | | $ | 803 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 3.93% | | | | | | 2.73% | | | | | | 3.16% | | | | | | 8.55% | | | | | | 9.81%3 | | | |
After expense waivers and reimbursements | | | 0.75% | | | | | | 0.75% | | | | | | 0.75% | | | | | | 0.75% | | | | | | 0.75%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.87% | | | | | | 2.01% | | | | | | 2.54% | | | | | | 8.31% | | | | | | 5.47%3 | | | |
Portfolio Turnover Rate | | | 124% | | | | | | 148% | | | | | | 84% | | | | | | 65% | | | | | | 159%2 | | | |
| * | The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 278 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS I* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.28 | | | | | | 0.24 | | | | | | 0.40 | | | | | | 0.91 | | | | | | 0.43 | | | |
Net realized and unrealized gain (loss) | | | (0.86) | | | | | | (0.69) | | | | | | 0.41 | | | | | | 0.06 | | | | | | 0.34 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.58) | | | | | | (0.45) | | | | | | 0.81 | | | | | | 0.97 | | | | | | 0.77 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.28) | | | | | | (0.24) | | | | | | (0.43) | | | | | | (0.89) | | | | | | (0.43) | | | |
From net capital gains | | | — | | | | | | (0.07) | | | | | | (0.05) | | | | | | (0.07) | | | | | | (0.03) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28) | | | | | | (0.31) | | | | | | (0.48) | | | | | | (0.96) | | | | | | (0.46) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (5.79)% | | | | | | (4.44)% | | | | | | 7.81% | | | | | | 9.46% | | | | | | 7.95%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 2,870 | | | | | $ | 6,935 | | | | | $ | 4,730 | | | | | $ | 2,392 | | | | | $ | 1,355 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 3.39% | | | | | | 2.40% | | | | | | 3.54% | | | | | | 8.30% | | | | | | 9.56%3 | | | |
After expense waivers and reimbursements | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.05% | | | | | | 2.25% | | | | | | 3.64% | | | | | | 8.62% | | | | | | 5.72%3 | | | |
Portfolio Turnover Rate | | | 124% | | | | | | 148% | | | | | | 84% | | | | | | 65% | | | | | | 159%2 | | | |
| * | The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 279 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | |
| | | ESG SECURITIZED FUND CLASS M* | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | |
Net Asset Value, Beginning of Period | | | | $ | 9.36 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.21 | | | | | | 0.05 | | | |
Net realized and unrealized loss | | | | | (0.88) | | | | | | (0.61) | | | |
| | | | | | | | | | | | | | |
| | | | | |
Total (Loss) from Investment Operations | | | | | (0.67) | | | | | | (0.56) | | | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | | |
Less Distributions: | | | | | | | | | | | | | | |
From net investment income | | | | | (0.24) | | | | | | (0.08) | | | |
| | | | | | | | | | | | | | |
| | | | | |
Net Asset Value, End of Period | | | | $ | 8.45 | | | | | $ | 9.36 | | | |
| | | | | | | | | | | | | | |
Total Return | | | | | (7.15)% | | | | | | (5.60)%2 | | | |
| | | | | | | | | | | | | | |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 50 | | | | | $ | 16 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 3.35% | | | | | | 2.15%3 | | | |
After expense waivers and reimbursements | | | | | 0.70% | | | | | | 0.79%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.43% | | | | | | 0.97%3 | | | |
Portfolio Turnover Rate | | | | | 312% | | | | | | 276%2 | | | |
| * | The ESG Securitized Fund Class M Shares commenced operations on October 1, 2021. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 280 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | |
| | | ESG SECURITIZED
FUND CLASS I* | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 9.37 | | | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.23 | | | | | | 0.05 | | | | | |
Net realized and unrealized loss | | | | | (0.89) | | | | | | (0.63) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Total (Loss) from Investment Operations | | | | | (0.66) | | | | | | (0.58) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.26) | | | | | | (0.05) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Net Asset Value, End of Period | | | | $ | 8.45 | | | | | $ | 9.37 | | | | | |
| | | | | | | | | | | | | | | | |
Total Return | | | | | (7.04)% | | | | | | (5.87)%2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 8,361 | | | | | $ | 10,655 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 2.93% | | | | | | 1.80%3 | | | | | |
After expense waivers and reimbursements | | | | | 0.49% | | | | | | 0.49%3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.61% | | | | | | 0.94%3 | | | | | |
Portfolio Turnover Rate | | | | | 312% | | | | | | 276%2 | | | | | |
| * | The ESG Securitized Fund Class I Shares commenced operations on October 1, 2021. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 281 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME FUND CLASS M* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 8.75 | | | | | $ | 9.86 | | | | | $ | 9.82 | | | | | $ | 10.79 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.68 | | | | | | 0.88 | | | | | | 0.69 | | | | | | 1.86 | | | | | | 0.23 | | | |
Net realized and unrealized gain (loss) | | | (0.83) | | | | | | (1.07) | | | | | | 0.34 | | | | | | (0.85) | | | | | | 0.79 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.15) | | | | | | (0.19) | | | | | | 1.03 | | | | | | 1.0 1 | | | | | | 1.02 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.71) | | | | | | (0.89) | | | | | | (0.97) | | | | | | (1.98) | | | | | | (0.23) | | | |
From net capital gains | | | — | | | | | | (0.03) | | | | | | (0.02) | | | | | | — | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.71) | | | | | | (0.92) | | | | | | (0.99) | | | | | | (1.98) | | | | | | (0.23) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.89 | | | | | $ | 8.75 | | | | | $ | 9.86 | | | | | $ | 9.82 | | | | | $ | 10.79 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (1.50)% | | | | | | (2.30)% | | | | | | 10.89% | | | | | | 9.82% | | | | | | 10.25%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 49,027 | | | | | $ | 31,941 | | | | | $ | 21,174 | | | | | $ | 1 | | | | | $ | 1 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.00% | | | | | | 1.04% | | | | | | 1.28% | | | | | | 3.76% | | | | | | 9.18%3 | | | |
After expense waivers and reimbursements | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 8.53% | | | | | | 9.33% | | | | | | 7.01% | | | | | | 17.64% | | | | | | 6.76%3 | | | |
Portfolio Turnover Rate | | | 248% | | | | | | 210% | | | | | | 177% | | | | | | 122% | | | | | | 80%2 | | | |
| * | The Flexible Income Fund Class M Shares commenced operations on November 30, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 282 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME FUND CLASS I* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 8.75 | | | | | $ | 9.86 | | | | | $ | 9.82 | | | | | $ | 10.78 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.70 | | | | | | 0.91 | | | | | | 0.73 | | | | | | 1.90 | | | | | | 0.24 | | | |
Net realized and unrealized gain (loss) | | | (0.83) | | | | | | (1.08) | | | | | | 0.30 | | | | | | (0.85) | | | | | | 0.78 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.13) | | | | | | (0.17) | | | | | | 1.03 | | | | | | 1.05 | | | | | | 1.02 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.73) | | | | | | (0.91) | | | | | | (0.97) | | | | | | (2.01) | | | | | | (0.24) | | | |
From net capital gains | | | — | | | | | | (0.03) | | | | | | (0.02) | | | | | | — | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.73) | | | | | | (0.94) | | | | | | (0.99) | | | | | | (2.01) | | | | | | (0.24) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.89 | | | | | $ | 8.75 | | | | | $ | 9.86 | | | | | $ | 9.82 | | | | | $ | 10.78 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (1.25)% | | | | | | (2.05)% | | | | | | 10.83% | | | | | | 10.14% | | | | | | 10.24%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 281,372 | | | | | $ | 177,717 | | | | | $ | 158,834 | | | | | $ | 8,934 | | | | | $ | 5,435 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.74% | | | | | | 0.79% | | | | | | 1.01% | | | | | | 3.51% | | | | | | 8.82%3 | | | |
After expense waivers and reimbursements | | | 0.55% | | | | | | 0.55% | | | | | | 0.55% | | | | | | 0.55% | | | | | | 0.55%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 8.78% | | | | | | 9.55% | | | | | | 7.41% | | | | | | 18.14% | | | | | | 7.16%3 | | | |
Portfolio Turnover Rate | | | 248% | | | | | | 210% | | | | | | 177% | | | | | | 122% | | | | | | 80%2 | | | |
| * | The Flexible Income Fund Class I Shares commenced operations on November 30, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 283 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS M | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 9.79 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | | | $ | 10.06 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.56 | | | | | | 0.31 | | | | | | 0.30 | | | | | | 0.42 | | | | | | 0.42 | | | |
Net realized and unrealized gain (loss) | | | (0.48) | | | | | | (0.16) | | | | | | 0.97 | | | | | | (0.92) | | | | | | (0.15) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.08 | | | | | | 0.15 | | | | | | 1.27 | | | | | | (0.50) | | | | | | 0.27 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.58) | | | | | | (0.31) | | | | | | (0.30) | | | | | | (0.42) | | | | | | (0.43) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.29 | | | | | $ | 9.79 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.96% | | | | | | 1.50% | | | | | | 14.30% | | | | | | (5.36)% | | | | | | 2.72% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 11,002 | | | | | $ | 17,003 | | | | | $ | 13,815 | | | | | $ | 6,084 | | | | | $ | 11,229 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.02% | | | | | | 1.00% | | | | | | 0.99% | | | | | | 1.00% | | | | | | 1.03% | | | |
After expense waivers and reimbursements | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.98% | | | | | | 3.12% | | | | | | 3.05% | | | | | | 4.27% | | | | | | 4.23% | | | |
Portfolio Turnover Rate | | | 43% | | | | | | 49% | | | | | | 38% | | | | | | 51% | | | | | | 52% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 284 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS I | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 9.78 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | | | $ | 10.05 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.58 | | | | | | 0.33 | | | | | | 0.32 | | | | | | 0.44 | | | | | | 0.45 | | | |
Net realized and unrealized gain (loss) | | | (0.47) | | | | | | (0.17) | | | | | | 0.97 | | | | | | (0.92) | | | | | | (0.15) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | 0.11 | | | | | | 0.16 | | | | | | 1.29 | | | | | | (0.48) | | | | | | 0.30 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.60) | | | | | | (0.33) | | | | | | (0.32) | | | | | | (0.44) | | | | | | (0.45) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.29 | | | | | $ | 9.78 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 1.26% | | | | | | 1.61% | | | | | | 14.52% | | | | | | (5.17)% | | | | | | 3.03% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 328,416 | | | | | $ | 475,105 | | | | | $ | 417,927 | | | | | $ | 250,187 | | | | | $ | 262,407 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.70% | | | | | | 0.69%2 | | | | | | 0.70%3 | | | | | | 0.70% | | | | | | 0.71% | | | |
After expense waivers and reimbursements | | | 0.70% | | | | | | 0.69% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 6.22% | | | | | | 3.32% | | | | | | 3.25% | | | | | | 4.47% | | | | | | 4.50% | | | |
Portfolio Turnover Rate | | | 43% | | | | | | 49% | | | | | | 38% | | | | | | 51% | | | | | | 52% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%. |
| 3 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
See accompanying Notes to Financial Statements.
|
| 285 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND PLAN CLASS* | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | PERIOD
ENDED
MARCH 31,
2021 | | |
Net Asset Value, Beginning of Period | | | | $ | 9.78 | | | | | $ | 9.95 | | | | | $ 9.97 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.59 | | | | | | 0.35 | | | | | 0.05 | | |
Net realized and unrealized loss | | | | | (0.51) | | | | | | (0.18) | | | | | (0.02) | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | | 0.08 | | | | | | 0.17 | | | | | 0.03 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.59) | | | | | | (0.34) | | | | | (0.05) | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.27 | | | | | $ | 9.78 | | | | | $9.95 | | |
| | | | | | | | | | | | | | | | | | |
Total Return | | | | | 1.00% | | | | | | 1.76% | | | | | 1.31%2 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | |
Net Assets, end of period | | | | $ | 1033 | | | | | $ | 1023 | | | | | $ 1003 | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.15%4 | | | | | | 0.65% | | | | | 0.62%5 | | |
After expense waivers and reimbursements | | | | | 0.15% | | | | | | 0.60% | | | | | 0.56%5 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 6.32% | | | | | | 3.53% | | | | | 3.15%5 | | |
Portfolio Turnover Rate | | | | | 43% | | | | | | 49% | | | | | 38%2 | | |
| * | The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021. |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.10%. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 286 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS M | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
20191 | | | |
Net Asset Value, Beginning of Year | | $ | 10.06 | | | | | $ | 10.57 | | | | | $ | 9.27 | | | | | $ | 9.66 | | | | | $ | 9.55 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.50 | | | | | | 0.38 | | | | | | 0.36 | | | | | | 0.40 | | | | | | 0.41 | | | |
Net realized and unrealized gain (loss) | | | (0.93) | | | | | | (0.51) | | | | | | 1.31 | | | | | | (0.39) | | | | | | 0.11 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.43) | | | | | | (0.13) | | | | | | 1.67 | | | | | | 0.01 | | | | | | 0.52 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.51) | | | | | | (0.38) | | | | | | (0.37) | | | | | | (0.40) | | | | | | (0.41) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.12 | | | | | $ | 10.06 | | | | | $ | 10.57 | | | | | $ | 9.27 | | | | | $ | 9.66 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.20)% | | | | | | (1.30)% | | | | | | 18.14% | | | | | | (0.06)% | | | | | | 5.57% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 134,178 | | | | | $ | 169,941 | | | | | $ | 198,337 | | | | | $ | 126,587 | | | | | $ | 187,339 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.91% | | | | | | 0.90% | | | | | | 0.91% | | | | | | 0.93% | | | | | | 0.92% | | | |
After expense waivers and reimbursements | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.45% | | | | | | 3.61% | | | | | | 3.53% | | | | | | 4.07% | | | | | | 4.33% | | | |
Portfolio Turnover Rate | | | 116% | | | | | | 117% | | | | | | 108% | | | | | | 181% | | | | | | 120% | | | |
| 1 | Consolidated Financial Highlights. |
| 2 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 287 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS I | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
20191 | | | |
Net Asset Value, Beginning of Year | | $ | 10.05 | | | | | $ | 10.57 | | | | | $ | 9.26 | | | | | $ | 9.65 | | | | | $ | 9.55 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | 0.52 | | | | | | 0.41 | | | | | | 0.39 | | | | | | 0.42 | | | | | | 0.44 | | | |
Net realized and unrealized gain (loss) | | | (0.92) | | | | | | (0.52) | | | | | | 1.31 | | | | | | (0.39) | | | | | | 0.09 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.40) | | | | | | (0.11) | | | | | | 1.70 | | | | | | 0.03 | | | | | | 0.53 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.53) | | | | | | (0.41) | | | | | | (0.39) | | | | | | (0.42) | | | | | | (0.43) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.12 | | | | | $ | 10.05 | | | | | $ | 10.57 | | | | | $ | 9.26 | | | | | $ | 9.65 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (3.87)% | | | | | | (1.15)% | | | | | | 18.56% | | | | | | 0.19% | | | | | | 5.72% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 361,021 | | | | | $ | 552,768 | | | | | $ | 572,082 | | | | | $ | 289,352 | | | | | $ | 293,241 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.61% | | | | | | 0.61% | | | | | | 0.61% | | | | | | 0.62% | | | | | | 0.63% | | | |
After expense waivers and reimbursements | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.67% | | | | | | 3.88% | | | | | | 3.77% | | | | | | 4.33% | | | | | | 4.58% | | | |
Portfolio Turnover Rate | | | 116% | | | | | | 117% | | | | | | 108% | | | | | | 181% | | | | | | 120% | | | |
| 1 | Consolidated Financial Highlights. |
| 2 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 288 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS M | | | |
| | | | | | | | | | | |
| | | | | | YEAR ENDED MARCH 31,
2023 | | | | | | YEAR ENDED MARCH 31, 2022 | | | | | | YEAR ENDED MARCH 31, 2021 | | | | | | YEAR ENDED MARCH 31, 2020 | | | | | | YEAR ENDED MARCH 31, 2019 | | | |
Net Asset Value, Beginning of Year | | | | | | $ | 10.10 | | | | | | | $ | 10.74 | | | | | | | $ | 10.65 | | | | | | | $ | 10.37 | | | | | | | $ | 10.21 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.29 | | | | | | | | 0.11 | | | | | | | | 0.13 | | | | | | | | 0.26 | | | | | | | | 0.25 | | | |
Net realized and unrealized gain (loss) | | | | | | | (0.53) | | | | | | | | (0.61) | | | | | | | | 0.36 | | | | | | | | 0.28 | | | | | | | | 0.17 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | (0.24) | | | | | | | | (0.50) | | | | | | | | 0.49 | | | | | | | | 0.54 | | | | | | | | 0.42 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.29) | | | | | | | | (0.11) | | | | | | | | (0.13) | | | | | | | | (0.26) | | | | | | | | (0.26) | | | |
From net capital gains | | | | | | | — | | | | | | | | (0.03) | | | | | | | | (0.27) | | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Distributions | | | | | | | (0.29) | | | | | | | | (0.14) | | | | | | | | (0.40) | | | | | | | | (0.26) | | | | | | | | (0.26) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Net Asset Value, End of Year | | | | | | $ | 9.57 | | | | | | | $ | 10.10 | | | | | | | $ | 10.74 | | | | | | | $ | 10.65 | | | | | | | $ | 10.37 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | (2.32)% | | | | | | | | (4.63)% | | | | | | | | 4.63% | | | | | | | | 5.27% | | | | | | | | 4.15% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | | | $ | 21,053 | | | | | | | $ | 24,746 | | | | | | | $ | 36,452 | | | | | | | $ | 33,836 | | | | | | | $ | 35,343 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.72% | | | | | | | | 0.70% | | | | | | | | 0.71% | | | | | | | | 0.71% | | | | | | | | 0.69% | | | |
After expense waivers and reimbursements | | | | | | | 0.70% | | | | | | | | 0.70% | | | | | | | | 0.70% | | | | | | | | 0.70% | | | | | | | | 0.69% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 3.00% | | | | | | | | 1.04% | | | | | | | | 1.22% | | | | | | | | 2.49% | | | | | | | | 2.49% | | | |
Portfolio Turnover Rate | | | | | | | 516% | | | | | | | | 399% | | | | | | | | 372% | | | | | | | | 393% | | | | | | | | 277% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 289 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS I | | | |
| | | | | | | | | | | |
| | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | | | | | $ | 10.10 | | | | | | | $ | 10.73 | | | | | | | $ | 10.65 | | | | | | | $ | 10.36 | | | | | | | $ | 10.21 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.31 | | | | | | | | 0.14 | | | | | | | | 0.16 | | | | | | | | 0.29 | | | | | | | | 0.28 | | | |
Net realized and unrealized gain (loss) | | | | | | | (0.54) | | | | | | | | (0.60) | | | | | | | | 0.35 | | | | | | | | 0.28 | | | | | | | | 0.15 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | (0.23) | | | | | | | | (0.46) | | | | | | | | 0.51 | | | | | | | | 0.57 | | | | | | | | 0.43 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.31) | | | | | | | | (0.14) | | | | | | | | (0.16) | | | | | | | | (0.28) | | | | | | | | (0.28) | | | |
From net capital gains | | | | | | | — | | | | | | | | (0.03) | | | | | | | | (0.27) | | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Distributions | | | | | | | (0.31) | | | | | | | | (0.17) | | | | | | | | (0.43) | | | | | | | | (0.28) | | | | | | | | (0.28) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Net Asset Value, End of Year | | | | | | $ | 9.56 | | | | | | | $ | 10.10 | | | | | | | $ | 10.73 | | | | | | | $ | 10.65 | | | | | | | $ | 10.36 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | (2.22)% | | | | | | | | (4.33)% | | | | | | | | 4.76% | | | | | | | | 5.60% | | | | | | | | 4.29% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | | | $ | 876,918 | | | | | | | $ | 768,271 | | | | | | | $ | 766,063 | | | | | | | $ | 693,038 | | | | | | | $ | 708,645 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.49% | | | | | | | | 0.47% | | | | | | | | 0.48% | | | | | | | | 0.48% | | | | | | | | 0.47% | | | |
After expense waivers and reimbursements | | | | | | | 0.49% | | | | | | | | 0.47% | | | | | | | | 0.48% | | | | | | | | 0.48% | | | | | | | | 0.47% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 3.26% | | | | | | | | 1.29% | | | | | | | | 1.44% | | | | | | | | 2.69% | | | | | | | | 2.74% | | | |
Portfolio Turnover Rate | | | | | | | 516% | | | | | | | | 399% | | | | | | | | 372% | | | | | | | | 393% | | | | | | | | 277% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 290 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND CLASS M* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.63 | | | | | | 0.45 | | | | | | 0.59 | | | | | | 1.05 | | | | | | 0.55 | | | |
Net realized and unrealized gain (loss) | | | (0.84) | | | | | | (0.95) | | | | | | 0.17 | | | | | | (0.55) | | | | | | 0.33 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.21) | | | | | | (0.50) | | | | | | 0.76 | | | | | | 0.50 | | | | | | 0.88 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.65) | | | | | | (0.46) | | | | | | (0.63) | | | | | | (1.05) | | | | | | (0.55) | | | |
From net capital gains | | | — | | | | | | (0.01) | | | | | | (0.11) | | | | | | (0.11) | | | | | | (0.02) | | | |
From tax return of capital | | | (0.02) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | (0.67) | | | | | | (0.47) | | | | | | (0.74) | | | | | | (1.16) | | | | | | (0.57) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (2.24)% | | | | | | (5.42)% | | | | | | 7.97% | | | | | | 4.80% | | | | | | 9.02%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 3,026 | | | | | $ | 2,259 | | | | | $ | 2,126 | | | | | $ | 837 | | | | | $ | 799 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 3.90% | | | | | | 2.16% | | | | | | 2.93% | | | | | | 3.86% | | | | | | 4.78%3 | | | |
After expense waivers and reimbursements | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 7.93% | | | | | | 4.75% | | | | | | 6.02% | | | | | | 10.33% | | | | | | 7.20%3 | | | |
Portfolio Turnover Rate | | | 231% | | | | | | 345% | | | | | | 92% | | | | | | 76% | | | | | | 199%2 | | | |
| * | The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 291 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND CLASS I* | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | PERIOD
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Period | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.67 | | | | | | 0.45 | | | | | | 0.65 | | | | | | 1.07 | | | | | | 0.55 | | | |
Net realized and unrealized gain (loss) | | | (0.86) | | | | | | (0.93) | | | | | | 0.13 | | | | | | (0.55) | | | | | | 0.34 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.19) | | | | | | (0.48) | | | | | | 0.78 | | | | | | 0.52 | | | | | | 0.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.67) | | | | | | (0.48) | | | | | | (0.65) | | | | | | (1.07) | | | | | | (0.56) | | | |
From net capital gains | | | — | | | | | | (0.01) | | | | | | (0.11) | | | | | | (0.11) | | | | | | (0.02) | | | |
From tax return of capital | | | (0.02) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | (0.69) | | | | | | (0.49) | | | | | | (0.76) | | | | | | (1.18) | | | | | | (0.58) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (2.03)% | | | | | | (5.22)% | | | | | | 8.20% | | | | | | 5.02% | | | | | | 9.20%2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 7,299 | | | | | $ | 8,640 | | | | | $ | 10,105 | | | | | $ | 6,431 | | | | | $ | 5,081 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 3.62% | | | | | | 1.87% | | | | | | 2.68% | | | | | | 3.61% | | | | | | 4.53%3 | | | |
After expense waivers and reimbursements | | | 0.49% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49%3 | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 8.38% | | | | | | 4.79% | | | | | | 6.56% | | | | | | 10.54% | | | | | | 7.29%3 | | | |
Portfolio Turnover Rate | | | 231% | | | | | | 345% | | | | | | 92% | | | | | | 76% | | | | | | 199%2 | | | |
| * | The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 292 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS M | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 8.57 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | | | $ | 8.63 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.22 | | | | | | 0.08 | | | | | | 0.11 | | | | | | 0.20 | | | | | | 0.20 | | | |
Net realized and unrealized gain (loss) | | | (0.26) | | | | | | (0.31) | | | | | | 0.23 | | | | | | (0.03) | | | | | | 0.05 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.04) | | | | | | (0.23) | | | | | | 0.34 | | | | | | 0.17 | | | | | | 0.25 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23) | | | | | | (0.08) | | | | | | (0.11) | | | | | | (0.20) | | | | | | (0.20) | | | |
Return of capital | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | (0.23) | | | | | | (0.08) | | | | | | (0.11) | | | | | | (0.20) | | | | | | (0.20) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.30 | | | | | $ | 8.57 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.46)% | | | | | | (2.65)% | | | | | | 3.91% | | | | | | 1.93% | | | | | | 2.93% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 298,833 | | | | | $ | 474,682 | | | | | $ | 445,538 | | | | | $ | 449,701 | | | | | $ | 580,434 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.63% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | |
After expense waivers and reimbursements | | | 0.63% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.66% | | | | | | 0.87% | | | | | | 1.22% | | | | | | 2.32% | | | | | | 2.29% | | | |
Portfolio Turnover Rate | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | | 174% | | | |
| 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.
|
| 293 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS I | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 8.58 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | | | $ | 8.64 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.24 | | | | | | 0.09 | | | | | | 0.12 | | | | | | 0.22 | | | | | | 0.22 | | | |
Net realized and unrealized gain (loss) | | | (0.28) | | | | | | (0.30) | | | | | | 0.24 | | | | | | (0.03) | | | | | | 0.04 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.04) | | | | | | (0.21) | | | | | | 0.36 | | | | | | 0.19 | | | | | | 0.26 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.22) | | | | | | (0.22) | | | |
Return of capital | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | (0.24) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.22) | | | | | | (0.22) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 8.30 | | | | | $ | 8.58 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.37)% | | | | | | (2.34)% | | | | | | 4.12% | | | | | | 2.14% | | | | | | 3.03% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 1,479,311 | | | | | $ | 2,018,926 | | | | | $ | 2,034,540 | | | | | $ | 1,456,456 | | | | | $ | 1,578,279 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.42% | | | | | | 0.41% | | | | | | 0.42% | | | | | | 0.42% | | | | | | 0.41% | | | |
After expense waivers and reimbursements | | | 0.42% | | | | | | 0.41% | | | | | | 0.42% | | | | | | 0.42% | | | | | | 0.41% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.85% | | | | | | 1.07% | | | | | | 1.39% | | | | | | 2.51% | | | | | | 2.53% | | | |
Portfolio Turnover Rate | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | | 174% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 294 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND ADMINISTRATIVE CLASS | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 11.08 | | | | | $ | 11.48 | | | | | $ | 11.18 | | | | | $ | 11.21 | | | | | $ | 11.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.22 | | | | | | 0.09 | | | | | | 0.13 | | | | | | 0.26 | | | | | | 0.23 | | | |
Net realized and unrealized gain (loss) | | | (0.28) | | | | | | (0.40) | | | | | | 0.30 | | | | | | (0.05) | | | | | | 0.06 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.06) | | | | | | (0.31) | | | | | | 0.43 | | | | | | 0.21 | | | | | | 0.29 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.29) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.24) | | | | | | (0.24) | | | |
Return of capital | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | (0.29) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.24) | | | | | | (0.24) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 10.73 | | | | | $ | 11.08 | | | | | $ | 11.48 | | | | | $ | 11.18 | | | | | $ | 11.21 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.48)% | | | | | | (2.74)% | | | | | | 3.83% | | | | | | 1.90% | | | | | | 2.68% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 7763 | | | | | $ | 1,709 | | | | | $ | 88 | | | | | $ | 94 | | | | | $ | 415 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.72% | | | | | | 0.72% | | | |
After expense waivers and reimbursements | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.72% | | | | | | 0.72% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.05% | | | | | | 0.80% | | | | | | 1.11% | | | | | | 2.27% | | | | | | 2.02% | | | |
Portfolio Turnover Rate | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | | 174% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
| 3 | Represents the whole number without rounding to the 000s. |
See accompanying Notes to Financial Statements.
|
| 295 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS M* | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.99 | | | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.55 | | | | | | 0.88 | | | | | |
Net realized and unrealized loss | | | | | (1.25) | | | | | | (1.07) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Total (Loss) from Investment Operations | | | | | (0.70) | | | | | | (0.19) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.72) | | | | | | (0.76) | | | | | |
From net capital gains | | | | | — | | | | | | (0.06) | | | | | |
From tax return of capital | | | | | (0.02) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Total Distributions | | | | | (0.74) | | | | | | (0.82) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Net Asset Value, End of Period | | | | $ | 7.55 | | | | | $ | 8.99 | | | | | |
| | | | | | | | | | | | | | | | |
Total Return | | | | | (7.74)% | | | | | | (2.09)%2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 314 | | | | | $ | 70 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 10.77% | | | | | | 5.78%3 | | | | | |
After expense waivers and reimbursements | | | | | 0.85% | | | | | | 0.85%3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 7.26% | | | | | | 14.30%3 | | | | | |
Portfolio Turnover Rate | | | | | 131% | | | | | | 104%2 | | | | | |
| * | The Opportunistic High Income Credit Fund Class M Shares commenced operations on August 2, 2021. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 296 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND CLASS I* | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.98 | | | | | $ | 10.00 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.71 | | | | | | 0.80 | | | | | |
Net realized and unrealized loss | | | | | (1.38) | | | | | | (0.98) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Total (Loss) from Investment Operations | | | | | (0.67) | | | | | | (0.18) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.74) | | | | | | (0.78) | | | | | |
From net capital gains | | | | | — | | | | | | (0.06) | | | | | |
From tax return of capital | | | | | (0.02) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Total Distributions | | | | | (0.76) | | | | | | (0.84) | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Net Asset Value, End of Period | | | | $ | 7.55 | | | | | $ | 8.98 | | | | | |
| | | | | | | | | | | | | | | | |
Total Return | | | | | (7.41)% | | | | | | (2.04)%2 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 1,759 | | | | | $ | 2,971 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 8.88% | | | | | | 5.42%3 | | | | | |
After expense waivers and reimbursements | | | | | 0.60% | | | | | | 0.60%3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 9.07% | | | | | | 12.43%3 | | | | | |
Portfolio Turnover Rate | | | | | 131% | | | | | | 104%2 | | | | | |
| * | The Opportunistic High Income Credit Fund Class I Shares commenced operations on August 2, 2021. |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 297 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS M | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | | | $ | 7.99 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.51 | | | | | | 0.73 | | | | | | 0.47 | | | | | | 0.31 | | | | | | 0.32 | | | |
Net realized and unrealized gain (loss) | | | (0.54) | | | | | | (0.94) | | | | | | 0.54 | | | | | | (0.60) | | | | | | (0.09) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.03) | | | | | | (0.21) | | | | | | 1.01 | | | | | | (0.29) | | | | | | 0.23 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.62) | | | | | | (0.73) | | | | | | (0.47) | | | | | | (0.31) | | | | | | (0.33) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.23)% | | | | | | (2.99)% | | | | | | 14.14% | | | | | | (3.86)% | | | | | | 3.01% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 50,681 | | | | | $ | 16,813 | | | | | $ | 15,471 | | | | | $ | 10,413 | | | | | $ | 17,908 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.86% | | | | | | 3.02% | | | | | | 2.73% | | | | | | 2.43% | | | | | | 1.84%2 | | | |
After expense waivers and reimbursements | | | 1.04% | | | | | | 1.04% | | | | | | 2.28% | | | | | | 2.35% | | | | | | 1.84% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 8.24% | | | | | | 9.71% | | | | | | 6.12% | | | | | | 3.95% | | | | | | 4.10% | | | |
Portfolio Turnover Rate | | | 177% | | | | | | 77% | | | | | | 24% | | | | | | 50% | | | | | | 36% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 298 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS I | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31, 2019 | | | |
Net Asset Value, Beginning of Year | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | | | $ | 7.98 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.57 | | | | | | 0.76 | | | | | | 0.46 | | | | | | 0.33 | | | | | | 0.35 | | | |
Net realized and unrealized gain (loss) | | | (0.59) | | | | | | (0.95) | | | | | | 0.56 | | | | | | (0.60) | | | | | | (0.09) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.02) | | | | | | (0.19) | | | | | | 1.02 | | | | | | (0.27) | | | | | | 0.26 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.63) | | | | | | (0.75) | | | | | | (0.48) | | | | | | (0.33) | | | | | | (0.35) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | —% | | | | | | (2.76)% | | | | | | 14.19% | | | | | | (3.61)% | | | | | | 3.41% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 15,540 | | | | | $ | 9,310 | | | | | $ | 9,799 | | | | | $ | 48,252 | | | | | $ | 67,310 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.65% | | | | | | 2.77% | | | | | | 2.08%2 | | | | | | 2.20% | | | | | | 1.53%3 | | | |
After expense waivers and reimbursements | | | 0.80% | | | | | | 0.80% | | | | | | 2.08% | | | | | | 2.10% | | | | | | 1.53% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 9.08% | | | | | | 10.06% | | | | | | 5.92% | | | | | | 4.23% | | | | | | 4.45% | | | |
Portfolio Turnover Rate | | | 177% | | | | | | 77% | | | | | | 24% | | | | | | 50% | | | | | | 36% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%. |
| 3 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%. |
See accompanying Notes to Financial Statements.
|
| 299 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS M | | | |
| | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | |
Net Asset Value, Beginning of Year | | $ | 10.19 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | | | | | $ | 10.46 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.28 | | | | | | 0.13 | | | | | | 0.15 | | | | | | 0.26 | | | | | | 0.28 | | | |
Net realized and unrealized gain (loss) | | | (0.91) | | | | | | (0.63) | | | | | | 0.24 | | | | | | 0.57 | | | | | | 0.18 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.63) | | | | | | (0.50) | | | | | | 0.39 | | | | | | 0.83 | | | | | | 0.46 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.28) | | | | | | (0.13) | | | | | | (0.15) | | | | | | (0.26) | | | | | | (0.28) | | | |
From net capital gains | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28) | | | | | | (0.13) | | | | | | (0.69) | | | | | | (0.35) | | | | | | (0.28) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.28 | | | | | $ | 10.19 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (6.10)% | | | | | | (4.69)% | | | | | | 3.31% | | | | | | 7.93% | | | | | | 4.49% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 6,442,440 | | | | | $ | 6,213,223 | | | | | $ | 7,154,434 | | | | | $ | 8,979,527 | | | | | $ | 9,560,056 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.67% | | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | | | | 0.67% | | | |
After expense waivers and reimbursements | | | 0.67% | | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | | | | 0.67% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.04% | | | | | | 1.17% | | | | | | 1.28% | | | | | | 2.38% | | | | | | 2.68% | | | |
Portfolio Turnover Rate | | | 426% | | | | | | 467% | | | | | | 470% | | | | | | 405% | | | | | | 255% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 300 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS I | |
| | | YEAR ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | |
Net Asset Value, Beginning of Year | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | | | | | $ | 10.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | |
| 0.30
|
| | | | | 0.15 | | | | | | 0.17 | | | | | | 0.28 | | | | | | 0.30 | |
Net realized and unrealized gain (loss) | | | (0.90) | | | | | | (0.64) | | | | | | 0.24 | | | | | | 0.57 | | | | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Total Income (Loss) from Investment Operations | | | (0.60) | | | | | | (0.49) | | | | | | 0.41 | | | | | | 0.85 | | | | | | 0.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.30) | | | | | | (0.15) | | | | | | (0.17) | | | | | | (0.28) | | | | | | (0.30) | |
From net capital gains | | | — | | | | | | (0.00) | 2 | | | | | (0.54) | | | | | | (0.09) | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Total Distributions | | | (0.30) | | | | | | (0.15) | | | | | | (0.71) | | | | | | (0.37) | | | | | | (0.30) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Net Asset Value, End of Year | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (5.80) | % | | | | | (4.58) | % | | | | | 3.54 | % | | | | | 8.16 | % | | | | | 4.72 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | $ | 38,399,347 | | | | | $ | 46,961,971 | | | | | $ | 52,980,073 | | | | | $ | 46,086,494 | | | | | $ | 40,927,700 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.45 | % | | | | | 0.44 | % | | | | | 0.45 | % | | | | | 0.45 | % | | | | | 0.44 | % |
After expense waivers and reimbursements | | | 0.45 | % | | | | | 0.44 | % | | | | | 0.45 | % | | | | | 0.45 | % | | | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.19 | % | | | | | 1.38 | % | | | | | 1.49 | % | | | | | 2.60 | % | | | | | 2.91 | % |
Portfolio Turnover Rate | | | 426 | % | | | | | 467 | % | | | | | 470 | % | | | | | 405 | % | | | | | 255 | % |
| 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.
|
| 301 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS I-2* | | |
| | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | PERIOD
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 11.48 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.29 | | | | | | 0.14 | | | | | | 0.15 | | | | | | 0.02 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.89) | | | | | | (0.64) | | | | | | (0.27) | | | | | | (0.36) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.60) | | | | | | (0.50) | | | | | | (0.42) | | | | | | (0.34) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.30) | | | | | | (0.14) | | | | | | (0.18) | | | | | | (0.02) | | | | | |
From net capital gains | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | | | (0.30) | | | | | | (0.14) | | | | | | (0.72) | | | | | | (0.02) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Return | | | | | (5.87)% | | | | | | (4.65)% | | | | | | (3.65)% | | | | | | (2.93)%3 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 102,076 | | | | | $ | 170,455 | | | | | $ | 116,857 | | | | | $ | 974 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.33%3 | | | | | |
After expense waivers and reimbursements | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.33%3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 3.06% | | | | | | 1.33% | | | | | | 1.32% | | | | | | 3.49%3 | | | | | |
Portfolio Turnover Rate | | | | | 426% | | | | | | 467% | | | | | | 470% | | | | | | 405%3 | | | | | |
| * | The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020. |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
| 4 | Represents the whole number without rounding to the 000s. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 302 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 10.19 | | | | | $ | 10.83 | | | | | $ | 11.13 | | | | | $ | 10.65 | | | | | $ | 10.47 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.27 | | | | | | 0.12 | | | | | | 0.13 | | | | | | 0.25 | | | | | | 0.27 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.90) | | | | | | (0.65) | | | | | | 0.24 | | | | | | 0.57 | | | | | | 0.18 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.63) | | | | | | (0.53) | | | | | | 0.37 | | | | | | 0.82 | | | | | | 0.45 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.27) | | | | | | (0.11) | | | | | | (0.13) | | | | | | (0.25) | | | | | | (0.27) | | | | | |
From net capital gains | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Distributions | | | | | (0.27) | | | | | | (0.11) | | | | | | (0.67) | | | | | | (0.34) | | | | | | (0.27) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 9.29 | | | | | $ | 10.19 | | | | | $ | 10.83 | | | | | $ | 11.13 | | | | | $ | 10.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | (6.10)% | | | | | | (4.89)% | | | | | | 3.19% | | | | | | 7.80% | | | | | | 4.36% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 1,549,862 | | | | | $ | 1,963,315 | | | | | $ | 2,083,842 | | | | | $ | 1,739,034 | | | | | $ | 1,011,637 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.78 | % | | | | | 0.77 | % | | | | | 0.78 | % | | | | | 0.78 | % | | | | | 0.78 | % | | | | |
After expense waivers and reimbursements | | | | | 0.78 | % | | | | | 0.77 | % | | | | | 0.78 | % | | | | | 0.78 | % | | | | | 0.78 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.83 | % | | | | | 1.06 | % | | | | | 1.15 | % | | | | | 2.26 | % | | | | | 2.58 | % | | | | |
Portfolio Turnover Rate | | | | | 426 | % | | | | | 467 | % | | | | | 470 | % | | | | | 405 | % | | | | | 255 | % | | | | |
| 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.
|
| 303 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND PLAN CLASS | | |
| | | | | | | | | | | | |
| | | | | YEAR ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 9.55 | | | | | $ | 10.15 | | | | | $ | 10.46 | | | | | $ | 10.01 | | | | | $ | 9.84 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.29 | | | | | | 0.15 | | | | | | 0.17 | | | | | | 0.28 | | | | | | 0.29 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.85) | | | | | | (0.60) | | | | | | 0.23 | | | | | | 0.54 | | | | | | 0.17 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.56) | | | | | | (0.45) | | | | | | 0.40 | | | | | | 0.82 | | | | | | 0.46 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.29) | | | | | | (0.15) | | | | | | (0.17) | | | | | | (0.28) | | | | | | (0.29) | | | | | |
From net capital gains | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Distributions | | | | | (0.29) | | | | | | (0.15) | | | | | | (0.71) | | | | | | (0.37) | | | | | | (0.29) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 8.70 | | | | | $ | 9.55 | | | | | $ | 10.15 | | | | | $ | 10.46 | | | | | $ | 10.01 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | (5.79) | % | | | | | (4.50)% | | | | | | 3.65 | % | | | | | 8.29 | % | | | | | 4.80 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 17,622,821 | | | | | $ | 22,197,865 | | | | | $ | 24,605,977 | | | | | $ | 23,822,841 | | | | | $ | 20,611,577 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.37 | % | | | | | 0.36 | % | | | | | 0.37 | % | | | | | 0.37 | % | | | | | 0.37 | % | | | | |
After expense waivers and reimbursements | | | | | 0.37 | % | | | | | 0.36 | % | | | | | 0.37 | % | | | | | 0.37 | % | | | | | 0.37 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 3.26 | % | | | | | 1.47 | % | | | | | 1.57 | % | | | | | 2.67 | % | | | | | 3.00 | % | | | | |
Portfolio Turnover Rate | | | | | 426 | % | | | | | 467 | % | | | | | 470 | % | | | | | 405 | % | | | | | 255 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 304 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS M | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 4.18 | | | | | $ | 4.25 | | | | | $ | 4.23 | | | | | $ | 4.26 | | | | | $ | 4.25 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.09 | | | | | | 0.02 | | | | | | 0.02 | | | | | | 0.11 | | | | | | 0.09 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.07) | | | | | | (0.07) | | | | | | 0.02 | | | | | | (0.03) | | | | | | 0.01 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.02 | | | | | | (0.05) | | | | | | 0.04 | | | | | | 0.08 | | | | | | 0.10 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.10) | | | | | | (0.02) | | | | | | (0.02) | | | | | | (0.11) | | | | | | (0.09) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 4.10 | | | | | $ | 4.18 | | | | | $ | 4.25 | | | | | $ | 4.23 | | | | | $ | 4.26 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 0.49% | | | | | | (1.14)% | | | | | | 1.03% | | | | | | 1.85% | | | | | | 2.37% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 19,995 | | | | | $ | 39,477 | | | | | $ | 61,925 | | | | | $ | 28,355 | | | | | $ | 34,376 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.75% | | | | | | 0.64% | | | | | | 0.65% | | | | | | 0.77% | | | | | | 0.74% | | | | | |
After expense waivers and reimbursements | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.24% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 2.53% | | | | | | 2.08% | | | | | |
Portfolio Turnover Rate | | | | | 479% | | | | | | 336% | | | | | | 210% | | | | | | 303% | | | | | | 172% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 305 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS I | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 4.18 | | | | | $ | 4.26 | | | | | $ | 4.23 | | | | | $ | 4.27 | | | | | $ | 4.26 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.10 | | | | | | 0.03 | | | | | | 0.03 | | | | | | 0.12 | | | | | | 0.10 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.06) | | | | | | (0.08) | | | | | | 0.03 | | | | | | (0.04) | | | | | | 0.01 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.04 | | | | | | (0.05) | | | | | | 0.06 | | | | | | 0.08 | | | | | | 0.11 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.11) | | | | | | (0.03) | | | | | | (0.03) | | | | | | (0.12) | | | | | | (0.10) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 4.11 | | | | | $ | 4.18 | | | | | $ | 4.26 | | | | | $ | 4.23 | | | | | $ | 4.27 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 0.90% | | | | | | (1.21)% | | | | | | 1.43% | | | | | | 1.78% | | | | | | 2.53% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 101,852 | | | | | $ | 158,258 | | | | | $ | 181,248 | | | | | $ | 76,340 | | | | | $ | 68,020 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.60% | | | | | | 0.49% | | | | | | 0.48% | | | | | | 0.58% | | | | | | 0.56% | | | | | |
After expense waivers and reimbursements | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 2.40% | | | | | | 0.66% | | | | | | 0.67% | | | | | | 2.70% | | | | | | 2.27% | | | | | |
Portfolio Turnover Rate | | | | | 479% | | | | | | 336% | | | | | | 210% | | | | | | 303% | | | | | | 172% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 306 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND CLASS M | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 11.17 | | | | | $ | 11.96 | | | | | $ | 11.12 | | | | | $ | 11.80 | | | | | $ | 11.83 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.51 | | | | | | 0.30 | | | | | | 0.30 | | | | | | 0.42 | | | | | | 0.41 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.74) | | | | | | (0.66) | | | | | | 0.93 | | | | | | (0.69) | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.23) | | | | | | (0.36) | | | | | | 1.23 | | | | | | (0.27) | | | | | | 0.38 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.53) | | | | | | (0.30) | | | | | | (0.30) | | | | | | (0.41) | | | | | | (0.41) | | | | | |
From net capital gains | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | | — | | | | | |
Return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.53) | | | | | | (0.43) | | | | | | (0.39) | | | | | | (0.41) | | | | | | (0.41) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 10.41 | | | | | $ | 11.17 | | | | | $ | 11.96 | | | | | $ | 11.12 | | | | | $ | 11.80 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | (1.93) | % | | | | | (3.15) | % | | | | | 11.14 | % | | | | | (2.47) | % | | | | | 3.31 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 160,181 | | | | | $ | 214,792 | | | | | $ | 258,424 | | | | | $ | 267,139 | | | | | $ | 454,968 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.04 | % | | | | | 1.02 | % | | | | | 1.03 | % | | | | | 1.03 | % | | | | | 1.03 | %3 | | | | |
After expense waivers and reimbursements | | | | | 1.04 | % | | | | | 1.02 | % | | | | | 1.03 | % | | | | | 1.03 | % | | | | | 1.03 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.81 | % | | | | | 2.50 | % | | | | | 2.56 | % | | | | | 3.49 | % | | | | | 3.46 | % | | | | |
Portfolio Turnover Rate | | | | | 223 | % | | | | | 182 | % | | | | | 165 | % | | | | | 85 | % | | | | | 43 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
| 3 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%. |
See accompanying Notes to Financial Statements.
|
| 307 / Annual Report March 2023 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND CLASS I | | |
| | | | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | YEAR
ENDED
MARCH 31,
2019 | | | | | |
Net Asset Value, Beginning of Year | | | | $ | 11.16 | | | | | $ | 11.95 | | | | | $ | 11.12 | | | | | $ | 11.79 | | | | | $ | 11.82 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.53 | | | | | | 0.33 | | | | | | 0.33 | | | | | | 0.44 | | | | | | 0.44 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.73) | | | | | | (0.66) | | | | | | 0.92 | | | | | | (0.67) | | | | | | (0.02) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.20) | | | | | | (0.33) | | | | | | 1.25 | | | | | | (0.23) | | | | | | 0.42 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.56) | | | | | | (0.33) | | | | | | (0.33) | | | | | | (0.44) | | | | | | (0.45) | | | | | |
From net capital gains | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | | — | | | | | |
Return of capital | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.56) | | | | | | (0.46) | | | | | | (0.42) | | | | | | (0.44) | | | | | | (0.45) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Year | | | | $ | 10.40 | | | | | $ | 11.16 | | | | | $ | 11.95 | | | | | $ | 11.12 | | | | | $ | 11.79 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | (1.65) | % | | | | | (2.88) | % | | | | | 11.35 | % | | | | | (2.11 | )% | | | | | 3.60 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of year (in thousands) | | | | $ | 2,353,053 | | | | | $ | 3,648,832 | | | | | $ | 3,271,289 | | | | | $ | 2,760,187 | | | | | $ | 2,651,631 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.76 | % | | | | | 0.74 | % | | | | | 0.75 | % | | | | | 0.75 | % | | | | | 0.75 | % | | | | |
After expense waivers and reimbursements | | | | | 0.76 | % | | | | | 0.74 | % | | | | | 0.75 | % | | | | | 0.75 | % | | | | | 0.75 | % | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 5.04 | % | | | | | 2.79 | % | | | | | 2.82 | % | | | | | 3.72 | % | | | | | 3.76 | % | | | | |
Portfolio Turnover Rate | | | | | 223 | % | | | | | 182 | % | | | | | 165 | % | | | | | 85 | % | | | | | 43 | % | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Annual Report March 2023 / 308 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND PLAN CLASS* | | |
| | | | | | | | | | |
| | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | PERIOD
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 11.15 | | | | | $ | 11.94 | | | | | $ | 11.11 | | | | | $ | 11.96 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.56 | | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.03 | | | | | |
Net realized and unrealized gain (loss) | | | | | (0.74) | | | | | | (0.66) | | | | | | 0.92 | | | | | | (0.85) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | (0.18) | | | | | | (0.32) | | | | | | 1.26 | | | | | | (0.82) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.57) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.03) | | | | | |
From net capital gains | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Distributions | | | | | (0.57) | | | | | | (0.47) | | | | | | (0.43) | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 10.40 | | | | | $ | 11.15 | | | | | $ | 11.94 | | | | | $ | 11.11 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Total Return | | | | | (1.50)% | | | | | | (2.83)% | | | | | | 11.44% | | | | | | (6.88)%2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 352,297 | | | | | $ | 120,524 | | | | | $ | 63,815 | | | | | $ | 933 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.70% | | | | | | 0.69% | | | | | | 0.69% | | | | | | 0.68%4 | | | | | |
After expense waivers and reimbursements | | | | | 0.70% | | | | | | 0.69% | | | | | | 0.69% | | | | | | 0.68%4 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 5.41% | | | | | | 2.87% | | | | | | 2.88% | | | | | | 4.06%4 | | | | | |
Portfolio Turnover Rate | | | | | 223% | | | | | | 182% | | | | | | 165% | | | | | | 85%2 | | | | | |
| * | The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020. |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Represents the whole number without rounding to the 000s. |
See accompanying Notes to Financial Statements.
|
| 309/ Annual Report March 2023 |
Notes to Financial Statements
March 31, 2023
| 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 fourteen 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 ESG Securitized Fund (the “ESG Securitized 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 ESG Securitized Fund commenced investment operations on October 1, 2021 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 or exchange-traded funds (ETFs) that track the S&P 500 Index 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 ESG Securitized Fund seeks to maximize current income and achieve above average long-term total return by investing, under normal circumstances, at least 80% of its net assets in debt securities issued by securitized vehicles and similar instruments that the Adviser believes satisfy one or more of its positive-screening environmental, social and governance (“ESG”) criteria to support sustainable initiatives. The Fund’s portfolio duration is two to eight years and the Fund’s dollar-weighted average maturity ranges from two to fifteen 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.
|
| Annual Report March 2023 / 310 |
Notes to Financial Statements (Continued)
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.
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.
|
| 311 / Annual Report March 2023 |
Notes to Financial Statements (Continued)
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust:
Net Asset Value:
The Net Asset Value (“NAV”) of each class of a Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.
Security Valuation:
Pursuant to Rule 2a-5 under the 1940 Act, the Board of Trustees (the “Board” or the “Board of Trustees”) has designated the Adviser as the “valuation designee” with respect to the fair valuation of the Fund’s portfolio securities, subject to oversight by and periodic reporting to the Board. Fixed income securities for which market quotations are readily available were valued during the period at prices as provided by independent pricing vendors or broker quotes. The Fund received pricing information from independent pricing vendors selected and overseen by the valuation designee. Securities with a demand feature exercisable within one to seven days are valued at par. The Fund also uses 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 could not be valued as described above were valued at their fair value as determined by the Adviser in accordance with procedures approved by and under the general oversight 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 Adviser, as the valuation designee, included, but were 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 could not be valued pursuant to one of the valuation methods approved by the Adviser, the value of the security or asset was determined in good faith by the Adviser, as the valuation designee. When the Fund uses these fair valuation methods that use significant unobservable inputs to determine NAV, securities will be priced by a method that the Adviser believes accurately reflects 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 Fund’s policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Adviser would accurately reflect the price that the Fund 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 Fund 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.
|
| Annual Report March 2023 / 312 |
Notes to Financial Statements (Continued)
Securities and Derivatives Transactions and Investment Income:
Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
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 year ended March 31, 2023, 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.
|
| 313 / Annual Report March 2023 |
Notes to Financial Statements (Continued)
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.
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.
|
| Annual Report March 2023 / 314 |
Notes to Financial Statements (Continued)
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 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 March 31, 2023, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.
|
| 315 / Annual Report March 2023 |
Notes to Financial Statements (Continued)
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2023 is as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 2,590,808 | | | $ | — | | | $ | — | | | $ | 2,590,808 | |
U.S. Treasury Bills | | | 5,160,373 | | | | — | | | | — | | | | 5,160,373 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 4,081,005 | | | | — | | | | 4,081,005 | |
Common Stock | | | — | | | | — | | | | 20,072 | | | | 20,072 | |
Corporates | | | — | | | | 7,576,445 | | | | — | | | | 7,576,445 | |
Mortgage-Backed Securities | | | — | | | | 9,029,827 | | | | 29,904 | | | | 9,059,731 | |
Municipal Bonds | | | — | | | | 354,647 | | | | — | | | | 354,647 | |
Mutual Funds | | | 71,643 | | | | — | | | | — | | | | 71,643 | |
Rights | | | — | | | | — | | | | — | | | | — | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Equity contracts | | | 1,723,515 | | | | — | | | | — | | | | 1,723,515 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 9,546,339 | | | $ | 21,041,924 | | | $ | 49,976 | | | $ | 30,638,239 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include futures. Equity contracts include futures. | |
| | | | | | | | | | | | | |
| | | | |
| CORPORATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 207,347 | | | $ | — | | | $ | — | | | $ | 207,347 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | — | | | | 35,886 | | | | 35,886 | |
Corporates | | | — | | | | 6,195,523 | | | | — | | | | 6,195,523 | |
Mortgage-Backed Securities | | | — | | | | 33,636 | | | | 5,168 | | | | 38,804 | |
Municipal Bonds | | | — | | | | 244,610 | | | | — | | | | 244,610 | |
U.S. Treasury Securities | | | 423,427 | | | | 74,644 | | | | — | | | | 498,071 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 26,497 | | | | — | | | | — | | | | 26,497 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (23,215) | | | | (1,714) | | | | — | | | | (24,929) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 634,056 | | | $ | 6,546,699 | | | $ | 41,054 | | | $ | 7,221,809 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.
|
| Annual Report March 2023 / 316 |
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
| ESG SECURITIZED FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 173,688 | | | $ | — | | | $ | — | | | $ | 173,688 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 660,760 | | | | — | | | | 660,760 | |
Mortgage-Backed Securities | | | — | | | | 8,782,396 | | | | — | | | | 8,782,396 | |
U.S. Treasury Securities | | | 31,033 | | | | 95,382 | | | | — | | | | 126,415 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 27,980 | | | | — | | | | — | | | | 27,980 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (3,724) | | | | — | | | | (3,724) | |
Interest rate contracts | | | (5,598) | | | | — | | | | — | | | | (5,598) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 227,103 | | | $ | 9,534,814 | | | $ | — | | | $ | 9,761,917 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures. | |
| | | | |
| FLEXIBLE INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | |
Investments in Securities | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 14,716,628 | | | $ | — | | | $ | — | | | $ | 14,716,628 | |
U.S. Treasury Bills | | | 61,393,680 | | | | — | | | | — | | | | 61,393,680 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 29,453,011 | | | | 438,609 | | | | 29,891,620 | |
Bank Loans | | | — | | | | 11,142,652 | | | | — | | | | 11,142,652 | |
Common Stock | | | 257,040 | | | | — | | | | 286,780 | | | | 543,820 | |
Corporates | | | — | | | | 102,776,947 | | | | 69,795 | | | | 102,846,742 | |
Foreign Government Obligations | | | — | | | | 5,176,218 | | | | — | | | | 5,176,218 | |
Mortgage-Backed Securities | | | — | | | | 165,168,499 | | | | 3,404,250 | | | | 168,572,749 | |
Municipal Bonds | | | — | | | | 808,727 | | | | — | | | | 808,727 | |
Rights | | | — | | | | — | | | | — | | | | — | |
U.S. Treasury Securities | | | 749,373 | | | | 2,337,129 | | | | — | | | | 3,086,502 | |
Warrant | | | — | | | | 5,193 | | | | — | | | | 5,193 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Unfunded Commitments Depreciation | | | — | | | | (4,280) | | | | — | | | | (4,280) | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 2,816,767 | | | | — | | | | — | | | | 2,816,767 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (42,677) | | | | — | | | | (42,677) | |
Interest rate contracts | | | (1,719,463) | | | | — | | | | — | | | | (1,719,463) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 78,214,025 | | | $ | 316,821,419 | | | $ | 4,199,434 | | | $ | 399,234,878 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.
|
| 317 / Annual Report March 2023 |
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
| FLOATING RATE INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 2,759,430 | | | $ | — | | | $ | — | | | $ | 2,759,430 | |
U.S. Treasury Bills | | | 10,853,618 | | | | — | | | | — | | | | 10,853,618 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 1,127,837 | | | | — | | | | 1,127,837 | |
Bank Loans | | | — | | | | 305,951,363 | | | | 2,042,197 | | | | 307,993,560 | |
Common Stock | | | — | | | | — | | | | 251,212 | | | | 251,212 | |
Corporates | | | — | | | | 12,142,119 | | | | — | | | | 12,142,119 | |
Rights | | | — | | | | — | | | | — | | | | — | |
Warrant | | | — | | | | 7,806 | | | | — | | | | 7,806 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Unfunded Commitments Depreciation | | | — | | | | (12,328) | | | | — | | | | (12,328) | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 13,613,048 | | | $ | 319,216,797 | | | $ | 2,293,409 | | | $ | 335,123,254 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | |
| | | | |
| HIGH YIELD BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | |
Investments in Securities | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 14,634,556 | | | $ | — | | | $ | — | | | $ | 14,634,556 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | 45,791,908 | | | | — | | | | 45,791,908 | |
Common Stock | | | 1,221,750 | | | | — | | | | 3,261,310 | | | | 4,483,060 | |
Corporates | | | — | | | | 414,257,759 | | | | — | | | | 414,257,759 | |
Rights | | | — | | | | — | | | | — | | | | — | |
Warrant | | | — | | | | 9,804 | | | | 23 | | | | 9,827 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 98,716 | | | | 20,044 | | | | 118,760 | |
Interest rate contracts | | | 283,497 | | | | — | | | | — | | | | 283,497 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (34,026) | | | | — | | | | (34,026) | |
Interest rate contracts | | | (431,403) | | | | — | | | | — | | | | (431,403) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 15,708,400 | | | $ | 460,124,161 | | | $ | 3,281,377 | | | $ | 479,113,938 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
|
| Annual Report March 2023 / 318 |
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 | | $ | 15,797,448 | | | $ | — | | | $ | — | | | $ | 15,797,448 | |
U.S. Agency Discount Notes | | | — | | | | 14,846,652 | | | | — | | | | 14,846,652 | |
U.S. Treasury Bills | | | 7,658,539 | | | | — | | | | — | | | | 7,658,539 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 42,135,632 | | | | 1,834,181 | | | | 43,969,813 | |
Bank Loans | | | — | | | | 9,741,080 | | | | — | | | | 9,741,080 | |
Common Stock | | | — | | | | — | | | | 396,474 | | | | 396,474 | |
Corporates | | | — | | | | 269,958,347 | | | | — | | | | 269,958,347 | |
Mortgage-Backed Securities | | | — | | | | 215,896,759 | | | | — | | | | 215,896,759 | |
Municipal Bonds | | | — | | | | 8,741,118 | | | | — | | | | 8,741,118 | |
Rights | | | — | | | | — | | | | — | | | | — | |
U.S. Treasury Securities | | | 404,039,931 | | | | 13,276,879 | | | | — | | | | 417,316,810 | |
Unfunded Commitments Appreciation | | | — | | | | 48 | | | | — | | | | 48 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 28,540 | | | | 20,902 | | | | 49,442 | |
Interest rate contracts | | | 3,527,063 | | | | — | | | | — | | | | 3,527,063 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (114,454) | | | | — | | | | (114,454) | |
Interest rate contracts | | | (645,301) | | | | — | | | | — | | | | (645,301) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 430,377,680 | | | $ | 574,510,601 | | | $ | 2,251,557 | | | $ | 1,007,139,838 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures. | |
| |
| INVESTMENT GRADE CREDIT FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 284,923 | | | $ | — | | | $ | — | | | $ | 284,923 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 453,493 | | | | 31,899 | | | | 485,392 | |
Corporates | | | — | | | | 6,285,804 | | | | — | | | | 6,285,804 | |
Mortgage-Backed Securities | | | — | | | | 1,941,781 | | | | 17,682 | | | | 1,959,463 | |
Municipal Bonds | | | — | | | | 465,338 | | | | — | | | | 465,338 | |
U.S. Treasury Securities | | | 1,753,646 | | | | 98,252 | | | | — | | | | 1,851,898 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 44,104 | | | | — | | | | — | | | | 44,104 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (47,799) | | | | (1,534) | | | | — | | | | (49,333) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 2,034,874 | | | $ | 9,243,134 | | | $ | 49,581 | | | $ | 11,327,589 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include futures and swaps. Interest rate contracts include futures and swaps.
|
| 319 / Annual Report March 2023 |
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 | | $ | 152,166,000 | | | $ | — | | | $ | — | | | $ | 152,166,000 | |
U.S. Agency Discount Notes | | | — | | | | 24,744,421 | | | | — | | | | 24,744,421 | |
U.S. Treasury Bills | | | 24,657,524 | | | | — | | | | — | | | | 24,657,524 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 227,335,426 | | | | 5,422,797 | | | | 232,758,223 | |
Bank Loans | | | — | | | | 39,231,606 | | | | — | | | | 39,231,606 | |
Common Stock | | | — | | | | — | | | | — | | | | — | |
Corporates | | | — | | | | 525,549,365 | | | | — | | | | 525,549,365 | |
Mortgage-Backed Securities | | | — | | | | 939,348,414 | | | | 3,359,676 | | | | 942,708,090 | |
Municipal Bonds | | | — | | | | 26,133,174 | | | | — | | | | 26,133,174 | |
Purchased Swaptions | | | — | | | | 1,476 | | | | — | | | | 1,476 | |
U.S. Treasury Securities | | | 228,870,703 | | | | 13,626,212 | | | | — | | | | 242,496,915 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Unfunded Commitments Depreciation | | | — | | | | (14,800) | | | | — | | | | (14,800) | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | — | | | | — | | | | — | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 84,632 | | | | 67,603 | | | | 152,235 | |
Interest rate contracts | | | 13,397,161 | | | | — | | | | — | | | | 13,397,161 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (114,376) | | | | — | | | | (114,376) | |
Interest rate contracts | | | (10,993,158) | | | | (3) | | | | — | | | | (10,993,161) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 408,098,230 | | | $ | 1,795,925,547 | | | $ | 8,850,076 | | | $ | 2,212,873,853 | |
| | | | | | | | | | | | | | | | |
|
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written swaptions. Credit contracts include swaps. Interest rate contracts include futures and written swaptions. | |
| |
| OPPORTUNISTIC HIGH INCOME CREDIT FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 986,491 | | | $ | — | | | $ | — | | | $ | 986,491 | |
U.S. Treasury Bills | | | 14,795 | | | | — | | | | — | | | | 14,795 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Bank Loans | | | — | | | | 189,138 | | | | — | | | | 189,138 | |
Common Stock | | | 208,994 | | | | — | | | | — | | | | 208,994 | |
Corporates | | | — | | | | 1,320,986 | | | | — | | | | 1,320,986 | |
Master Limited Partnerships | | | 46,002 | | | | — | | | | — | | | | 46,002 | |
Mortgage-Backed Securities | | | — | | | | 160,782 | | | | 16,821 | | | | 177,603 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 10,999 | | | | — | | | | — | | | | 10,999 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,267,281 | | | $ | 1,670,906 | | | $ | 16,821 | | | $ | 2,955,008 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include futures. Interest rate contracts include futures. | |
|
| Annual Report March 2023 /320 |
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 | | $ | 1,074,064 | | | $ | — | | | $ | — | | | $ | 1,074,064 | |
U.S. Treasury Bills | | | 12,989,625 | | | | — | | | | — | | | | 12,989,625 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 7,152,897 | | | | 104,763 | | | | 7,257,660 | |
Common Stock | | | 45,360 | | | | — | | | | 27,066 | | | | 72,426 | |
Corporates | | | — | | | | 19,438,981 | | | | — | | | | 19,438,981 | |
Mortgage-Backed Securities | | | — | | | | 33,430,854 | | | | 326,465 | | | | 33,757,319 | |
Municipal Bonds | | | — | | | | 117,787 | | | | — | | | | 117,787 | |
Rights | | | — | | | | — | | | | — | | | | — | |
U.S. Treasury Securities | | | 155,285 | | | | 483,082 | | | | — | | | | 638,367 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | 319 | | | | — | | | | 319 | |
Interest rate contracts | | | 227,745 | | | | — | | | | — | | | | 227,745 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (2,725) | | | | — | | | | (2,725) | |
Interest rate contracts | | | (233,268) | | | | (3,519) | | | | — | | | | (236,787) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 14,258,811 | | | $ | 60,617,676 | | | $ | 458,294 | | | $ | 75,334,781 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| *Other financial instruments include foreign currency exchange contracts, 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 | | $ | 1,315,038,974 | | | $ | — | | | $ | — | | | $ | 1,315,038,974 | |
U.S. Agency Discount Notes | | | — | | | | 741,936,143 | | | | — | | | | 741,936,143 | |
U.S. Treasury Bills | | | 3,480,005,303 | | | | — | | | | — | | | | 3,480,005,303 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 3,164,698,447 | | | | 25,670,562 | | | | 3,190,369,009 | |
Bank Loans | | | — | | | | 983,213,989 | | | | 4,371,966 | | | | 987,585,955 | |
Common Stock | | | — | | | | — | | | | 62,266,334 | | | | 62,266,334 | |
Corporates | | | — | | | | 19,280,217,912 | | | | 2,954,705 | | | | 19,283,172,617 | |
Foreign Government Obligations | | | — | | | | 423,175,106 | | | | — | | | | 423,175,106 | |
Mortgage-Backed Securities | | | — | | | | 32,524,310,301 | | | | 379,572,729 | | | | 32,903,883,030 | |
Municipal Bonds | | | — | | | | 366,179,999 | | | | — | | | | 366,179,999 | |
Rights | | | — | | | | — | | | | — | | | | — | |
U.S. Treasury Securities | | | 14,583,437,384 | | | | 948,127,701 | | | | — | | | | 15,531,565,085 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Unfunded Commitments Depreciation | | | — | | | | (4,746) | | | | — | | | | (4,746) | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 1,499,030 | | | | 201,952 | | | | 1,700,982 | |
Foreign currency exchange contracts | | | — | | | | 1,294,767 | | | | — | | | | 1,294,767 | |
Interest rate contracts | | | 173,584,419 | | | | — | | | | — | | | | 173,584,419 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (12,105,363) | | | | — | | | | (12,105,363) | |
Interest rate contracts | | | (21,630,848) | | | | (11,017,053) | | | | — | | | | (32,647,901) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 19,530,435,232 | | | $ | 58,411,526,233 | | | $ | 475,038,248 | | | $ | 78,416,999,713 | |
| | | | | | | | | | | | | | | | |
|
| 321 / Annual Report March 2023 |
Notes to Financial Statements (Continued)
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures and swaps.
| | | | | | | | | | | | | | | | |
| ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 10,989,636 | | | $ | — | | | $ | — | | | $ | 10,989,636 | |
U.S. Treasury Bills | | | 7,689,812 | | | | — | | | | — | | | | 7,689,812 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 8,185,613 | | | | — | | | | 8,185,613 | |
Corporates | | | — | | | | 28,249,426 | | | | — | | | | 28,249,426 | |
Mortgage-Backed Securities | | | — | | | | 48,144,790 | | | | 11,884 | | | | 48,156,674 | |
Municipal Bonds | | | — | | | | 939,591 | | | | — | | | | 939,591 | |
U.S. Treasury Securities | | | 41,387,719 | | | | 3,121,836 | | | | — | | | | 44,509,555 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 9,637 | | | | — | | | | 9,637 | |
Interest rate contracts | | | 291,511 | | | | — | | | | — | | | | 291,511 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (4,468) | | | | — | | | | (4,468) | |
Interest rate contracts | | | (431,748) | | | | — | | | | — | | | | (431,748) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 59,926,930 | | | $ | 88,646,425 | | | $ | 11,884 | | | $ | 148,585,239 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
| | | | | | | | | | | | | | | | |
| UNCONSTRAINED BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 56,651,000 | | | $ | — | | | $ | — | | | $ | 56,651,000 | |
U.S. Treasury Bills | | | 76,972,297 | | | | — | | | | — | | | | 76,972,297 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 354,952,308 | | | | 8,213,942 | | | | 363,166,250 | |
Bank Loans | | | — | | | | 109,170,148 | | | | 386,748 | | | | 109,556,896 | |
Common Stock | | | 5,866,560 | | | | — | | | | 3,667,430 | | | | 9,533,990 | |
Corporates | | | — | | | | 879,616,229 | | | | 1,354,993 | | | | 880,971,222 | |
Foreign Government Obligations | | | — | | | | 70,178,960 | | | | — | | | | 70,178,960 | |
Mortgage-Backed Securities | | | — | | | | 1,811,762,636 | | | | 7,311,772 | | | | 1,819,074,408 | |
Municipal Bonds | | | — | | | | 11,913,458 | | | | — | | | | 11,913,458 | |
Rights | | | — | | | | — | | | | — | | | | — | |
U.S. Treasury Securities | | | 6,818,495 | | | | 21,242,224 | | | | — | | | | 28,060,719 | |
Unfunded Commitments Appreciation | | | — | | | | 616 | | | | — | | | | 616 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | — | | | | 256,242 | | | | 93,403 | | | | 349,645 | |
Foreign currency exchange contracts | | | — | | | | 4,493 | | | | — | | | | 4,493 | |
Interest rate contracts | | | 15,935,259 | | | | — | | | | — | | | | 15,935,259 | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | — | | | | (387,765) | | | | — | | | | (387,765) | |
Interest rate contracts | | | (18,105,007) | | | | (474,176) | | | | — | | | | (18,579,183) | |
| | | | | | | | | | | | | | | | |
Total | | $ | 144,138,604 | | | $ | 3,258,235,373 | | | $ | 21,028,288 | | | $ | 3,423,402,265 | |
| | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures and swaps.
|
| Annual Report March 2023 / 322 |
Notes to Financial Statements (Continued)
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.
For the year ended March 31, 2023, 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 | | COMMON STOCK | | MORTGAGE- BACKED SECURITIES | | TOTAL |
Balance as of
April 1, 2022 | | $ | 23,160 | | | $ | 42,950 | | | $ | 66,110 | |
Accrued discounts/premiums | | | — | | | | (12,327 | ) | | | (12,327 | ) |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized (depreciation)* | | | (3,088 | ) | | | (719 | ) | | | (3,807 | ) |
Purchases | | | — | | | | — | | | | — | |
Sales | | | — | | | | — | | | | — | |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 20,072 | | | $ | 29,904 | | | $ | 49,976 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(3,807) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
| | | | | | | | | | | | | | | | |
CORPORATE BOND FUND | | ASSET-BACKED SECURITIES | | CORPORATES | | MORTGAGE- BACKED SECURITIES | | TOTAL |
Balance as of
April 1, 2022 | | $ | 39,936 | | | $ | 5,355 | | | $ | 12,295 | | | $ | 57,586 | |
Accrued discounts/premiums | | | — | | | | — | | | | (11,753 | ) | | | (11,753 | ) |
Realized gain | | | — | | | | 612 | | | | — | | | | 612 | |
Change in unrealized appreciation (depreciation)* | | | (1,488 | ) | | | 403 | | | | 4,626 | | | | 3,541 | |
Purchases | | | — | | | | 3,667 | | | | — | | | | 3,667 | |
Sales | | | (2,562 | ) | | | (10,037 | ) | | | — | | | | (12,599 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 35,886 | | | $ | — | | | $ | 5,168 | | | $ | 41,054 | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(5,975) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
323 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
FLEXIBLE INCOME FUND | | ASSET-BACKED SECURITIES | | | COMMON STOCK | | | CORPORATES | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 488,107 | | | $ | 330,900 | | | $ | 531,973 | | | $ | 1,948,536 | | | $ | 3,299,516 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | | | | (390,164 | ) | | | (390,164 | ) |
Realized gain (loss) | | | — | | | | — | | | | 56,949 | | | | (53,897 | ) | | | 3,052 | |
Change in unrealized appreciation (depreciation)* | | | (18,187 | ) | | | (44,120 | ) | | | 22,533 | | | | (889,420 | ) | | | (929,194 | ) |
Purchases | | | — | | | | — | | | | 341,081 | | | | 2,797,777 | | | | 3,138,858 | |
Sales | | | (31,311 | ) | | | — | | | | (933,485 | ) | | | (8,582 | ) | | | (973,378 | ) |
Transfers into Level 3** | | | — | | | | — | | | | 50,744 | | | | — | | | | 50,744 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 438,609 | | | $ | 286,780 | | | $ | 69,795 | | | $ | 3,404,250 | | | $ | 4,199,434 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(1,014,969) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2022, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $50,744 transferred from level 2 to level 3 in the disclosure hierarchy.
| | | | | | | | | | | | |
FLOATING RATE INCOME FUND | | BANK
LOANS | | | COMMON STOCK | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 3,781,017 | | | $ | 289,860 | | | $ | 4,070,877 | |
Accrued discounts/premiums | | | (6,895 | ) | | | — | | | | (6,895 | ) |
Realized (loss) | | | (383,192 | ) | | | — | | | | (383,192 | ) |
Change in unrealized (depreciation)* | | | (131,582 | ) | | | (38,648 | ) | | | (170,230 | ) |
Purchases | | | 756,313 | | | | — | | | | 756,313 | |
Sales | | | (1,973,464 | ) | | | — | | | | (1,973,464 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 2,042,197 | | | $ | 251,212 | | | $ | 2,293,409 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(192,173) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
Annual Report March 2023 / 324
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | | BANK LOANS | | | COMMON STOCK | | | CORPORATES | | | CREDIT DEFAULT SWAPS | | | WARRANT | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 4,460,910 | | | $ | 3,763,050 | | | $ | 4,007,877 | | | $ | 94,040 | | | $ | 51 | | | $ | 12,325,928 | |
Accrued discounts/premiums | | | 6,029 | | | | — | | | | — | | | | (65,370 | ) | | | — | | | | (59,341 | ) |
Realized gain (loss) | | | (956,899 | ) | | | — | | | | 458,349 | | | | — | | | | — | | | | (498,550 | ) |
Change in unrealized appreciation (depreciation)* | | | 85,034 | | | | (501,740 | ) | | | 301,668 | | | | (8,626 | ) | | | (28 | ) | | | (123,692 | ) |
Purchases | | | — | | | | — | | | | 2,745,151 | | | | — | | | | — | | | | 2,745,151 | |
Sales | | | (1,457,700 | ) | | | — | | | | (7,513,045 | ) | | | — | | | | — | | | | (8,970,745 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | (2,137,374 | ) | | | — | | | | — | | | | — | | | | — | | | | (2,137,374 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | — | | | $ | 3,261,310 | | | $ | — | | | $ | 20,044 | | | $ | 23 | | | $ | 3,281,377 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(510,393) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2023, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,137,374 transferred from level 3 to level 2 in the disclosure hierarchy.
| | | | | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | ASSET-BACKED SECURITIES | | | COMMON STOCK | | | CORPORATES | | | CREDIT DEFAULT SWAPS | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 2,041,174 | | | $ | 457,470 | | | $ | 522,068 | | | $ | 98,067 | | | $ | 3,118,779 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | | | | (68,381 | ) | | | (68,381 | ) |
Realized gain | | | — | | | | — | | | | 59,705 | | | | — | | | | 59,705 | |
Change in unrealized appreciation (depreciation)* | | | (76,053 | ) | | | (60,996 | ) | | | 39,295 | | | | (8,784 | ) | | | (106,538 | ) |
Purchases | | | — | | | | — | | | | 357,585 | | | | — | | | | 357,585 | |
Sales | | | (130,940 | ) | | | — | | | | (978,653 | ) | | | — | | | | (1,109,593 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 1,834,181 | | | $ | 396,474 | | | $ | — | | | $ | 20,902 | | | $ | 2,251,557 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(145,834) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
| | | | | | | | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | | ASSET-BACKED SECURITIES | | | CORPORATES | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 35,499 | | | $ | 13,386 | | | $ | 37,672 | | | $ | 86,557 | |
Accrued discounts/premiums | | | — | | | | — | | | | (4,442 | ) | | | (4,442 | ) |
Realized gain | | | — | | | | 1,531 | | | | — | | | | 1,531 | |
Change in unrealized appreciation (depreciation)* | | | (1,323 | ) | | | 1,008 | | | | (15,548 | ) | | | (15,863 | ) |
Purchases | | | — | | | | 9,169 | | | | — | | | | 9,169 | |
Sales | | | (2,277 | ) | | | (25,094 | ) | | | — | | | | (27,371 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 31,899 | | | $ | — | | | $ | 17,682 | | | $ | 49,581 | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(16,871) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
325 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | ASSET-BACKED SECURITIES | | | CORPORATES | | | CREDIT DEFAULT SWAPS | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 6,034,776 | | | $ | 2,096,305 | | | $ | 317,177 | | | $ | 891,424 | | | $ | 9,339,682 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | | | | (69,656 | ) | | | (69,656 | ) |
Realized gain | | | — | | | | 239,737 | | | | — | | | | — | | | | 239,737 | |
Change in unrealized appreciation (depreciation)* | | | (224,854 | ) | | | 157,786 | | | | (249,574 | ) | | | (155,342 | ) | | | (471,984 | ) |
Purchases | | | — | | | | 1,435,841 | | | | — | | | | 2,693,250 | | | | 4,129,091 | |
Sales | | | (387,125 | ) | | | (3,929,669 | ) | | | — | | | | — | | | | (4,316,794 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 5,422,797 | | | $ | — | | | $ | 67,603 | | | $ | 3,359,676 | | | $ | 8,850,076 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(629,770) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
| | | | | | | | | | | | | | | | |
OPPORTUNISTIC HIGH INCOME CREDIT FUND | | BANK LOANS | | | CORPORATES | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 31,515 | | | $ | 25,166 | | | $ | 30,081 | | | $ | 86,762 | |
Accrued discounts/premiums | | | — | | | | — | | | | (3,370 | ) | | | (3,370 | ) |
Realized (loss) | | | (13,335 | ) | | | (3,044 | ) | | | — | | | | (16,379 | ) |
Change in unrealized appreciation (depreciation)* | | | 1,620 | | | | 1,894 | | | | (9,890 | ) | | | (6,376 | ) |
Purchases | | | — | | | | — | | | | — | | | | — | |
Sales | | | (19,800 | ) | | | (24,016 | ) | | | — | | | | (43,816 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | — | | | $ | — | | | $ | 16,821 | | | $ | 16,821 | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(9,890) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
| | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED SECURITIES | | | COMMON STOCK | | | CORPORATES | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 115,275 | | | $ | 31,230 | | | $ | 32,127 | | | $ | 85,217 | | | $ | 263,849 | |
Accrued discounts/premiums | | | 236 | | | | — | | | | — | | | | 91,180 | | | | 91,416 | |
Realized gain | | | — | | | | — | | | | 3,674 | | | | 8 | | | | 3,682 | |
Change in unrealized appreciation (depreciation)* | | | (6,478 | ) | | | (4,164 | ) | | | 2,418 | | | | (96,275 | ) | | | (104,499 | ) |
Purchases | | | — | | | | — | | | | 22,005 | | | | 246,343 | | | | 268,348 | |
Sales | | | (4,270 | ) | | | — | | | | (60,224 | ) | | | (8 | ) | | | (64,502 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 104,763 | | | $ | 27,066 | | | $ | — | | | $ | 326,465 | | | $ | 458,294 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(106,917) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
Annual Report March 2023 / 326
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED SECURITIES | | | BANK LOANS | | | COMMON STOCK | | | CORPORATES | | | CREDIT DEFAULT SWAPS | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 28,567,563 | | | $ | 3,351,078 | | | $ | 71,845,770 | | | $ | 61,572,896 | | | $ | 947,503 | | | $ | 155,761,703 | | | $ | 322,046,513 | |
Accrued discounts/premiums | | | — | | | | 57,398 | | | | — | | | | (19,048 | ) | | | (660,836 | ) | | | 29,476 | | | | (593,010 | ) |
Realized gain | | | — | | | | — | | | | — | | | | 6,579,642 | | | | — | | | | 46,738 | | | | 6,626,380 | |
Change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation)* | | | (1,064,417 | ) | | | 282,306 | | | | (9,579,436 | ) | | | 3,990,547 | | | | (84,715 | ) | | | (9,309,893 | ) | | | (15,765,608 | ) |
Purchases | | | — | | | | 681,184 | | | | — | | | | 39,631,768 | | | | — | | | | 235,271,388 | | | | 275,584,340 | |
Sales | | | (1,832,584 | ) | | | — | | | | — | | | | (108,801,100 | ) | | | — | | | | (2,226,683 | ) | | | (112,860,367 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 25,670,562 | | | $ | 4,371,966 | | | $ | 62,266,334 | | | $ | 2,954,705 | | | $ | 201,952 | | | $ | 379,572,729 | | | $ | 475,038,248 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(20,120,952) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
| | | | | | | | |
ULTRA SHORT BOND FUND | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 13,941 | | | $ | 13,941 | |
Accrued discounts/premiums | | | (5,904 | ) | | | (5,904 | ) |
Realized gain (loss) | | | — | | | | — | |
Change in unrealized appreciation* | | | 3,847 | | | | 3,847 | |
Purchases | | | — | | | | — | |
Sales | | | — | | | | — | |
Transfers into Level 3** | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | |
| | | | | | | | |
Balance as of
March 31, 2023 | | $ | 11,884 | | | $ | 11,884 | |
| | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $3,847 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the year ended March 31, 2023.
327 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
UNCONSTRAINED BOND FUND | | ASSET-BACKED SECURITIES | | | BANK LOANS | | | COMMON STOCK | | | CORPORATES | | | CREDIT DEFAULT SWAPS | | | MORTGAGE- BACKED SECURITIES | | | TOTAL | |
Balance as of
April 1, 2022 | | $ | 9,140,910 | | | $ | 1,773,939 | | | $ | 4,231,650 | | | $ | 4,328,214 | | | $ | 438,220 | | | $ | 54,965 | | | $ | 19,967,898 | |
Accrued discounts/premiums | | | — | | | | 8,214 | | | | — | | | | 91,155 | | | | (305,565 | ) | | | 87,389 | | | | (118,807 | ) |
Realized gain | | | — | | | | 4,510 | | | | — | | | | 419,464 | | | | — | | | | 1,574 | | | | 425,548 | |
Change in unrealized appreciation (depreciation)* | | | (340,587 | ) | | | 9,977 | | | | (564,220 | ) | | | (358,354 | ) | | | (39,252 | ) | | | (194,372 | ) | | | (1,486,808 | ) |
Purchases | | | — | | | | 60,258 | | | | — | | | | 2,512,262 | | | | — | | | | 7,437,200 | | | | 10,009,720 | |
Sales | | | (586,381 | ) | | | (1,470,150 | ) | | | — | | | | (6,875,666 | ) | | | — | | | | (74,984 | ) | | | (9,007,181 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | 1,237,918 | | | | — | | | | — | | | | 1,237,918 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
March 31, 2023 | | $ | 8,213,942 | | | $ | 386,748 | | | $ | 3,667,430 | | | $ | 1,354,993 | | | $ | 93,403 | | | $ | 7,311,772 | | | $ | 21,028,288 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2023 was $(1,747,885) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2022, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2023, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,237,918 transferred from level 2 to level 3 in the disclosure hierarchy.
Significant unobservable valuations inputs for Level 3 investments as of March 31, 2023, are as follows:
| | | | | | | | | | | | |
| ALPHATRAK 500 FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | |
Common Stock | | $20,072 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Mortgage-Backed | | | | | | | | | | | | |
Securities-Non-Agency | | $17,136 | | Third-Party Vendor | | Vendor Prices | | $1.19 | | $1.19 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $12,768 | | Third-Party Vendor | | Vendor Prices | | $0.04 - $2.00 | | $1.98 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
U.S. Agency Commercial | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
| | | | | | | | | | | | |
| CORPORATE BOND FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $35,886 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $5,168 | | Third-Party Vendor | | Vendor Prices | | $0.04 - $0.88 | | $0.87 | | Increase |
Annual Report March 2023 / 328
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
| FLEXIBLE INCOME FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $438,609 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Common Stock | | $286,780 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Corporate Securities | | $69,795 | | Third-Party Vendor | | Vendor Prices | | $9.53 - $24.16 | | $20.17 | | Increase |
Mortgage-Backed | | | | | | | | | | | | |
Securities-Non-Agency | | $2,428,939 | | Third-Party Vendor | | Vendor Prices | | $0.00 - $12.39 | | $5.99 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $712,962 | | Broker Quote | | Offered Quote | | $94.06 - $99.48 | | $97.80 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $262,349 | | Third-Party Vendor | | Vendor Prices | | $0.88 | | $0.88 | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
| | | | | | | | | | | | | |
FLOATING RATE INCOME
FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT
INCREASES |
| | | | | | | | | | | | | �� |
Bank Loans | | $2,042,197 | | Third-Party Vendor | | Vendor Prices | | $66.50 - $89.00 | | $79.81 | | Increase |
Common Stock | | $251,212 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
| | | | | | | | | | | | | |
| HIGH YIELD BOND FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | | | | | | | | |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Common Stock | | $3,261,310 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Credit Default Swaps | | $20,044 | | Broker Quote | | Offered Quote | | $0.84 | | $0.84 | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Warrant | | $23 | | Third-Party Vendor | | Vendor Prices | | $1.42 | | $1.42 | | Increase |
| | | | | | | | | | | | |
| INTERMEDIATE BOND FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $1,834,181 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Common Stock | | $396,474 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Credit Default Swaps | | $20,902 | | Broker Quote | | Offered Quote | | $0.84 | | $0.84 | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
329 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $31,899 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $17,682 | | Third-Party Vendor | | Vendor Prices | | $0.04 - $0.88 | | $0.88 | | Increase |
| | | | | | | | | | | | | |
| LOW DURATION BOND FUND | | FAIR VALUE AT
3/31/23 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $5,422,797 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Credit Default Swaps | | $67,603 | | Broker Quote | | Offered Quote | | $0.84 | | $0.84 | | Increase |
Mortgage-Backed | | | | | | | | | | | | |
Securities-Non-Agency | | $673,716 | | Third-Party Vendor | | Vendor Prices | | $1.29 | | $1.29 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | |
Non-Agency Commercial | | $2,685,960 | | Broker Quote | | Offered Quote | | $99.48 | | $99.48 | | Increase |
| | | | | | | | | | | | | |
OPPORTUNISTIC HIGH INCOME CREDIT FUND | | FAIR VALUE AT
3/31/23 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | |
Mortgage-Backed | | | | | | | | | | | | |
Securities-Non-Agency | | $16,821 | | Third-Party Vendor | | Vendor Prices | | $7.70 | | $7.70 | | Increase |
| | | | | | | | | | | | |
| STRATEGIC INCOME FUND | | FAIR VALUE AT 3/31/23 | | VALUATION TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED AVERAGE | | INPUT TO VALUATION IF INPUT INCREASES |
| | | | | | | | | | | | | |
Asset-Backed Securities | | $59,810 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase |
Asset-Backed Securities | | $44,953 | | Third-Party Vendor | | Vendor Prices | | $10.71 | | $10.71 | | Increase |
Common Stock | | $27,066 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Mortgage-Backed | | | | | | | | | | | | |
Securities-Non-Agency | | $326,465 | | Third-Party Vendor | | Vendor Prices | | $4.41 -$10.47 | | $9.08 | | Increase |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Annual Report March 2023 / 330
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
| TOTAL RETURN BOND FUND | | FAIR VALUE AT
3/31/23 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities | | $25,670,562 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase | | |
Bank Loans | | $4,371,966 | | Third-Party Vendor | | Vendor Prices | | $67.17 | | $67.17 | | Increase | | |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
Common Stock | | $62,266,334 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase | | |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
Corporate Securities | | $2,954,705 | | Third-Party Vendor | | Vendor Prices | | $96.47 | | $96.47 | | Increase | | |
Credit Default Swaps | | $201,952 | | Broker Quote | | Offered Quote | | $0.84 | | $0.84 | | Increase | | |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | $6,472,697 | | Third-Party Vendor | | Vendor Prices | | $0.86 - $98.88 | | $17.69 | | Increase | | |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | $373,100,032 | | Broker Quote | | Offered Quote | | $94.06 - $99.75 | | $97.34 | | Increase | | |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
| | | | | | | | | | | | | | | |
| ULTRA SHORT BOND FUND | | FAIR VALUE AT
3/31/23 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES | | |
| | | | | | | | | | | | | | | |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | $11,884 | | Third-Party Vendor | | Vendor Prices | | $1.19 | | $1.19 | | Increase | | |
| | | | | | | | | | | | | | | |
| UNCONSTRAINED BOND FUND | | FAIR VALUE AT
3/31/23 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES | | |
| | | | | | | | | | | | | | | |
Asset-Backed Securities | | $8,213,942 | | Broker Quote | | Offered Quote | | $90.27 | | $90.27 | | Increase | | |
Bank Loans | | $386,748 | | Third-Party Vendor | | Vendor Prices | | $67.17 | | $67.17 | | Increase | | |
Common Stock | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
Common Stock | | $3,667,430 | | Third-Party Vendor | | Vendor Prices | | $26.00 | | $26.00 | | Increase | | |
Corporate Securities | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
Corporate Securities | | $1,354,993 | | Third-Party Vendor | | Vendor Prices | | $8.04 - $24.35 | | $18.57 | | Increase | | |
Credit Default Swaps | | $93,403 | | Broker Quote | | Offered Quote | | $0.84 | | $0.84 | | Increase | | |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | $47,712 | | Third-Party Vendor | | Vendor Prices | | $0.57 - $4.41 | | $3.72 | | Increase | | |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | $7,264,060 | | Broker Quote | | Offered Quote | | $94.06 - $99.48 | | $97.25 | | Increase | | |
Rights | | $— | | Broker Quote | | Offered Quote | | $— | | $— | | Increase | | |
* 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.
331 / Annual Report March 2023
Notes to Financial Statements (Continued)
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2023:
| | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
| DERIVATIVE TYPE | | ASSET DERIVATIVES | | LIABILITY DERIVATIVES |
Interest rate contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin Investments, at value | | Unrealized depreciation on swap contracts Premiums received on swap contracts Payable for daily variation margin Options written |
Credit contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts | | Unrealized depreciation on swap contracts Premiums received for swap contracts |
Equity contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin — | | Unrealized depreciation on swap contracts Premiums received for swap contracts Payable for daily variation margin Options written |
Foreign currency exchange contracts | | Unrealized appreciation on foreign currency exchange contracts | | Unrealized depreciation on foreign currency exchange contracts |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS |
| | | ALPHATRAK 500
FUND | | CORPORATE
BOND FUND | | ESG
SECURITIZED
FUND | | FLEXIBLE
INCOME FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 118,760 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | 1,723,515 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | — | | | | 26,497 | | | | 27,980 | | | | 2,816,767 | | | | — | | | | 283,497 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | 1,723,515 | | | $ | 26,497 | | | $ | 27,980 | | | $ | 2,816,767 | | | $ | — | | | $ | 402,257 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS |
| | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE CREDIT
FUND | | LOW DURATION BOND FUND | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | 49,442 | | | $ | — | | | $ | 152,235 | | | $ | — | | | $ | — | | | $ | 1,700,982 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | 3,527,063 | | | | 44,104 | | | | 13,397,161 | | | | 10,999 | | | | 227,745 | | | | 173,584,419 | |
Options and swaptions purchased | | | — | | | | — | | | | 1,476 | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | — | | | | — | | | | 319 | | | | 1,294,767 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | 3,576,505 | | | $ | 44,104 | | | $ | 13,550,872 | | | $ | 10,999 | | | $ | 228,064 | | | $ | 176,580,168 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Annual Report March 2023 / 332
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS | | | | |
| | | | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Credit contracts: | | | | | | | | | | |
Swaps | | | | $ | 9,637 | | | $ | 349,645 | |
Interest contracts: | | | | | | | | | | |
Futures1 | | | | | 291,511 | | | | 15,935,259 | |
Foreign currency exchange contracts: | | | | | | | | | | |
Forwards | | | | | — | | | | 4,493 | |
| | | | | | | | | | |
| | | |
Total | | | | $ | 301,148 | | | $ | 16,289,397 | |
| | | | | | | | | | |
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 | | | ESG
SECURITIZED
FUND | | | FLEXIBLE
INCOME FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD BOND FUND | |
Interest contracts: | | | | | | | | | | | | | | | | |
Futures1 | | $ | — | | | $ | (23,215 | ) | | $ | (5,598 | ) | | $ | (1,719,463 | ) | | $ | — | | | $ | (431,403 | ) |
Swaps | | | — | | | | (1,714 | ) | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | (3,724 | ) | | | (42,677 | ) | | | — | | | | (34,026 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | — | | | $ | (24,929 | ) | | $ | (9,322 | ) | | $ | (1,762,140 | ) | | $ | — | | | $ | (465,429 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | LIABILITY DERIVATIVE INVESTMENTS | |
| | | INTERMEDIATE
BOND FUND | | | INVESTMENT GRADE CREDIT FUND | | | LOW DURATION BOND FUND | | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN BOND FUND | |
Interest contracts: | | | | | | | | | | | | | | | | |
Futures1 | | $ | (645,301 | ) | | $ | (47,799 | ) | | $ | (10,993,158 | ) | | $ | — | | | $ | (233,268 | ) | | $ | (21,630,848 | ) |
Options and swaptions written | | | — | | | | — | | | | (3 | ) | | | — | | | | — | | | | — | |
Swaps | | | — | | | | (1,534 | ) | | | — | | | | — | | | | (3,519 | ) | | | (11,017,053 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (114,454 | ) | | | — | | | | (114,376 | ) | | | — | | | | (2,725 | ) | | | (12,105,363 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | (759,755 | ) | | $ | (49,333 | ) | | $ | (11,107,537 | ) | | $ | — | | | $ | (239,512 | ) | | $ | (44,753,264 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | LIABILITY DERIVATIVE INVESTMENTS | | | | | |
| | | | | | ULTRA SHORT | | UNCONSTRAINED |
| | | | | | BOND FUND | | BOND FUND |
Interest contracts: | | | | | | | | | | | | |
Futures1 | | | | | | $ | (431,748 | ) | | $ | (18,105,007 | ) |
Swaps | | | | | | | — | | | | (474,176 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | |
Forwards | | | | | | | (4,468 | ) | | | (387,765 | ) |
| | | | | | | | | | | | |
Total | | | | | | $ | (436,216 | ) | | $ | (18,966,948 | ) |
| | | | | | | | | | | | |
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.
333 / Annual Report March 2023
Notes to Financial Statements (Continued)
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | ESG
SECURITIZED FUND | | FLEXIBLE INCOME FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 114,122 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | | (3,404,554 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | | 65,332 | | | | (19,349 | ) | | | 1,433,725 | | | | — | | | | 6,098,752 | |
Options and swaptions purchased1 | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Options and swaptions written | | | — | | | | 1,848 | | | | — | | | | (26,282 | ) | | | — | | | | — | |
Swaps | | | — | | | | (53,523 | ) | | | — | | | | — | | | | — | | | | — | |
Foreign currency exchangecontracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (1,530 | ) | | | (1,189 | ) | | | 36,857 | | | | 135,386 | | | | 52,503 | | | | 71,759 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (3,406,084 | ) | | $ | 12,468 | | | $ | 17,508 | | | $ | 1,542,829 | | | $ | 52,503 | | | $ | 6,284,633 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | INTERMEDIATE BOND FUND | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION BOND FUND | | OPPORTUNISTIC HIGH INCOME CREDIT FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | |
Swaps | | $ | 59,149 | | | $ | — | | | $ | 185,837 | | | $ | — | | | $ | — | | | $ | 1,552,023 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | | (6,826,020 | ) | | | 83,000 | | | | 5,716,791 | | | | (37,305 | ) | | | 622,102 | | | | (414,029,946 | ) |
Options and swaptions purchased1 | | | (282,459 | ) | | | — | | | | (928,575 | ) | | | — | | | | — | | | | (29,532,668 | ) |
Options and swaptions written | | | (1,088,029 | ) | | | (792 | ) | | | (3,579,911 | ) | | | — | | | | (1,359 | ) | | | (104,340,975 | ) |
Swaps | | | — | | | | (71,621 | ) | | | — | | | | — | | | | (124,914 | ) | | | (355,190,321 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (279,080 | ) | | | — | | | | 314,324 | | | | — | | | | 5,029 | | | | 30,628,931 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | (8,416,439 | ) | | $ | 10,587 | | | $ | 1,708,466 | | | $ | (37,305 | ) | | $ | 500,858 | | | $ | (870,912,956 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Annual Report March 2023 / 334
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | | | | | | | | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND |
Credit contracts: | | | | | | | | |
Swaps | | $ | 7,726 | | | $ | 367,499 | |
Interest contracts: | | | | | | | | |
Futures | | | 2,370,855 | | | | 95,229,378 | |
Options and swaptions purchased1 | | | (77,248 | ) | | | (1,418,618 | ) |
Options and swaptions written | | | (338,522 | ) | | | (4,885,119 | ) |
Swaps | | | — | | | | (17,503,134 | ) |
Foreign currency exchange contracts: | | | | | | | | |
Forwards | | | 54,290 | | | | 1,189,122 | |
| | | | | | | | | | | | | | | | |
| | |
Total | | $ | 2,017,101 | | | $ | 72,979,128 | |
| | | | | | | | | | | | | | | | |
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 | | ESG SECURITIZED FUND | | FLEXIBLE INCOME FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | |
Swaps | | $— | | $— | | $— | | $— | | $ | — | | | $ | (9,773 | ) |
Equity contracts: | | | | | | | | | | | | | | | | |
Futures | | (501,369) | | — | | — | | — | | | — | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | |
Futures | | — | | (9,256) | | (3,997) | | 1,305,580 | | | — | | | | (1,859,442 | ) |
Options and swaptions purchased1 | | — | | — | | — | | — | | | — | | | | — | |
Options and swaptions written | | — | | 8,358 | | — | | 7,873 | | | — | | | | — | |
Swaps | | — | | 26,363 | | — | | — | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | |
Forwards | | — | | 1,189 | | (9,854) | | (33,976) | | | (12,738 | ) | | | (91,923 | ) |
| | | | | | | | | | | | | | | | |
Total | | $(501,369) | | $ 26,654 | | $(13,851) | | $1,279,477 | | $ | (12,738 | ) | | $ | (1,961,138 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | INTERMEDIATE BOND FUND | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION BOND FUND | | OPPORTUNISTIC HIGH INCOME CREDIT FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | |
Swaps | | $(9,116) | | $— | | $(30,076) | | $— | | $ | — | | | $ | (102,135 | ) |
Interest contracts: | | | | | | | | | | | | | | | | |
Futures | | 3,847,430 | | (18,434) | | (894,282) | | 17,597 | | | (53,654 | ) | | | 190,731,745 | |
Options and swaptions purchased1 | | 238,284 | | — | | 772,366 | | — | | | — | | | | 25,000,745 | |
Options and swaptions written | | 788,477 | | 9,157 | | 2,598,640 | | — | | | 19,326 | | | | 132,705,720 | |
Swaps | | — | | 47,547 | | — | | — | | | 62,470 | | | | 184,328,708 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | |
Forwards | | (45,328) | | — | | (114,376) | | — | | | 145 | | | | (13,045,085 | ) |
| | | | | | | | | | | | | | | | |
Total | | $4,819,747 | | $38,270 | | $2,332,272 | | $17,597 | | $ | 28,287 | | | $ | 519,619,698 | |
| | | | | | | | | | | | | | | | |
335 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF
OPERATIONS | |
| | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND | |
Credit contracts: | | | | | | | | |
Swaps | | $ | (112) | | | $ | (42,231) | |
Interest contracts: | | | | | | | | |
Futures | | | (885,277) | | | | (12,601,070) | |
Options and swaptions purchased1 | | | 65,568 | | | | 1,197,190 | |
Options and swaptions written | | | 244,207 | | | | 6,507,343 | |
Swaps | | | — | | | | 8,582,283 | |
Foreign currency exchange contracts: | | | | | | | | |
Forwards | | | (4,468) | | | | (33,281) | |
| | | | | | | | | | | | | | | | |
| | |
Total | | $ | (580,082) | | | $ | 3,610,234 | |
| | | | | | | | | | | | | | | | |
1Options purchased are included in net change in unrealized appreciation (depreciation) on investments.
| | | | | | | | | | | | | | | | | | | | | | | | |
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | ESG SECURITIZED FUND | | FLEXIBLE INCOME FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD BOND FUND |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 152 | | | | 12 | | | | 12 | | | | 961 | | | | — | | | | 523 | |
Average number of contracts sold | | | — | | | | 8 | | | | 4 | | | | 357 | | | | — | | | | 171 | |
Average value of contracts purchased | | $ | 2,355,686 | | | $ | 17,738 | | | $ | 22,280 | | | $ | 1,501,947 | | | $ | — | | | $ | 1,034,352 | |
Average value of contracts sold | | $ | — | | | $ | 27,628 | | | $ | 3,249 | | | $ | 1,382,730 | | | $ | — | | | $ | 542,053 | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts -sell protection | | | — | | | | — | | | | — | | | | — | | | | — | | | | 2 | |
Average notional value - sell protection | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 5,980,000 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts -pays fixed rate | | | — | | | | 2 | | | | — | | | | — | | | | — | | | | — | |
Average number of contracts -receives fixed rate | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | — | |
Average notional - pays fixed rate | | $ | — | | | $ | 1,467 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Average notional - receives fixed rate | | $ | — | | | $ | 80 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | 1 | | | | — | | | | 2 | | | | 7 | | | | 2 | | | | 4 | |
Average value of contracts sold | | $ | 383 | | | $ | — | | | $ | 17,167 | | | $ | 192,487 | | | $ | 31,026 | | | $ | 136,766 | |
Annual Report March 2023 / 336
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | INTERMEDIATE BOND FUND | | | INVESTMENT GRADE CREDIT FUND | | | LOW DURATION BOND FUND | | | OPPORTUNISTIC HIGH INCOME CREDIT FUND | | | STRATEGIC INCOMEFUND | | | TOTAL RETURN
BOND FUND | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 1,230 | | | | 19 | | | | 5,727 | | | | 7 | | | | 74 | | | | 57,164 | |
Average number of contracts sold | | | 113 | | | | 12 | | | | 4,841 | | | | 1 | | | | 41 | | | | 5,239 | |
Average value of contracts purchased | | $ | 2,107,785 | | | $ | 30,447 | | | $ | 9,597,561 | | | $ | 8,096 | | | $ | 97,662 | | | $ | 112,048,900 | |
Average value of contracts sold | | $ | 529,484 | | | $ | 43,605 | | | $ | 10,468,982 | | | $ | 213 | | | $ | 165,582 | | | $ | 17,530,578 | |
Purchased options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | 80 | | | | — | | | | 259 | | | | — | | | | — | | | | 8,338 | |
Average notional value | | $ | 43,124 | | | $ | — | | | $ | 140,506 | | | $ | — | | | $ | — | | | $ | 4,448,714 | |
Written options: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | 124 | | | | — | | | | 403 | | | | — | | | | — | | | | 12,948 | |
Average notional value | | $ | 40,901 | | | $ | — | | | $ | 132,990 | | | $ | — | | | $ | — | | | $ | 4,300,881 | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - sell protection | | | 2 | | | | — | | | | 2 | | | | — | | | | — | | | | 2 | |
Average notional value - sell protection | | $ | 3,225,000 | | | $ | — | | | $ | 10,120,000 | | | $ | — | | | $ | — | | | $ | 80,665,000 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | — | | | | 4 | | | | — | | | | — | | | | 5 | | | | 7 | |
Average number of contracts - receives fixed rate | | | — | | | | 3 | | | | — | | | | — | | | | 3 | | | | 5 | |
Average notional - pays fixed rate | | $ | — | | | $ | 1,548 | | | $ | — | | | $ | — | | | $ | 3,020 | | | $ | 8,769,474 | |
Average notional - receives fixed rate | | $ | — | | | $ | 85 | | | $ | — | | | $ | — | | | $ | 163 | | | $ | 510,249 | |
Purchased swaptions: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | — | | | | 1 | | | | — | | | | — | | | | — | |
Average notional value | | $ | — | | | $ | — | | | $ | 939,000 | | | $ | — | | | $ | — | | | $ | — | |
Written swaptions: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | — | | | | — | | | | 1 | | | | — | | | | — | | | | — | |
Average notional value | | $ | — | | | $ | — | | | $ | 540,000 | | | $ | — | | | $ | — | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | 6 | | | | — | | | | 3 | | | | — | | | | 3 | | | | 18 | |
Average value of contracts sold | | $ | 484,875 | | | $ | — | | | $ | 461,964 | | | $ | — | | | $ | 8,898 | | | $ | 42,038,190 | |
337 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | |
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | ULTRA SHORT BOND FUND | | | UNCONSTRAINED BOND FUND | |
Financial futures contracts: | | | | | | | | |
Average number of contracts purchased | | | 99 | | | | 5,112 | |
Average number of contracts sold | | | 242 | | | | 4,890 | |
Average value of contracts purchased | | $ | 174,107 | | | $ | 7,149,609 | |
Average value of contracts sold | | $ | 491,018 | | | $ | 19,679,947 | |
Purchased options: | | | | | | | | |
Average number of contracts | | | 23 | | | | 400 | |
Average notional value | | $ | 12,647 | | | $ | 217,197 | |
Written options: | | | | | | | | |
Average number of contracts | | | 36 | | | | 621 | |
Average notional value | | $ | 12,023 | | | $ | 205,373 | |
Credit default swaps: | | | | | | | | |
Average number of contracts - sell protection | | | 1 | | | | 2 | |
Average notional value - sell protection | | $ | 390,000 | | | $ | 19,620,000 | |
Interest rate swaps: | | | | | | | | |
Average number of contracts - pays fixed rate | | | — | | | | 5 | |
Average number of contracts - receives fixed rate | | | — | | | | 3 | |
Average notional - pays fixed rate | | $ | — | | | $ | 422,259 | |
Average notional - receives fixed rate | | $ | — | | | $ | 22,330 | |
Foreign currency exchange contracts: | | | | | | | | |
Average number of contracts sold | | | 2 | | | | 7 | |
Average value of contracts sold | | $ | 37,996 | | | $ | 1,919,258 | |
1Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2023.
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
Annual Report March 2023 / 338
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 ESG Securitized Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | ESG SECURITIZED FUND | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | | COLLATERAL PLEDGED1 | | | | | | DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | | | |
| | | | | | | | |
Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 3,724 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 3,724 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | $
| 3,724
|
| | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 3,724 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
339 / Annual Report March 2023
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 March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | FLEXIBLE INCOME FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | | COLLATERAL PLEDGED1 | | | | | | DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | |
| | | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 29,007 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 29,007 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 13,670 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 13,670 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | $ | 42,677 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 42,677 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
The following table presents High Yield Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | HIGH YIELD BOND FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | | | COLLATERAL RECEIVED1 | | | | | | DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE ASSETS2 | |
| | | | | | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $
| 118,760
|
| | | | | | $
| (118,760
| )
| | | | | | $ | — | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | $
| 118,760
|
| | | | | | $ | (118,760 | ) | | | | | | $ | — | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | HIGH YIELD BOND FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | | COLLATERAL PLEDGED1 | | | | | | DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | |
| | | | | | | | |
Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 19,191 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 19,191 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 14,835 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 14,835 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | $ | 34,026 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 34,026 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
Annual Report March 2023 / 340
Notes to Financial Statements (Continued)
The following table presents Intermediate Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | |
| | |
| | | | | | 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 | |
| | | | |
Credit Suisse First Boston International | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | 49,442 | | | $ | (49,442 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 49,442 | | | $ | (49,442 | ) | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents Intermediate Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | |
| | | |
| | | | | | INTERMEDIATE BOND FUND | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | | COLLATERAL
PLEDGED1 | | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET
| | | NET AMOUNT OF
DERIVATIVE LIABILITIES2 | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 90,931 | | | $ | — | | | $ | — | | | $ | 90,931 | |
| | | | | | | | | | | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 23,523 | | | $ | — | | | $ | — | | | $ | 23,523 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 114,454 | | | $ | — | | | $ | — | | | $ | 114,454 | |
| | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | 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 | | | | |
| Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | 152,235 | | | | | $ | (152,235) | | | $ | — | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | |
Swaptions | | $ | 1,476 | | | | | $ | — | | | $ | (3) | | | | | $ | 1,473 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 153,711 | | | | | $ | (152,235) | | | $ | (3) | | | | | $ | 1,473 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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.
341 / Annual Report March 2023
Notes to Financial Statements (Continued)
The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | LOW DURATION BOND FUND | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED1 | | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | | | | |
| | | | | | | |
| Barclays Bank PLC | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 20,686 | | | | | $ | — | | | $ | — | | | | | $ | 20,686 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 53,869 | | | | | $ | — | | | $ | — | | | | | $ | 53,869 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 39,821 | | | | | $ | — | | | $ | — | | | | | $ | 39,821 | | | | | |
Swaptions | | $ | 3 | | | | | $ | — | | | $ | (3) | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 39,824 | | | | | $ | — | | | $ | (3) | | | | | $ | 39,821 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 114,379 | | | | | $ | — | | | $ | (3) | | | | | $ | 114,376 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
The following table presents Strategic Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | STRATEGIC 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 | | $ | 319 | | | | | $ | — | | | $ | — | | | | | $ | 319 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 319 | | | | | $ | — | | | $ | — | | | | | $ | 319 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 Strategic 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 March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | STRATEGIC INCOME FUND | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED1 | | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | | | | |
| | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 2,725 | | | | | $ | — | | | $ | — | | | | | $ | 2,725 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 2,725 | | | | | $ | — | | | $ | — | | | | | $ | 2,725 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
Annual Report March 2023 / 342
Notes to Financial Statements (Continued)
The following table presents Total Return Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | 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 | |
| | | | | | | |
| Bank of America N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 10,858 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 10,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Barclays Bank PLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 13,818 | | | | | | | $ | — | | | $ | (13,818) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 4,559 | | | | | | | $ | — | | | $ | (4,559) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | 1,700,982 | | | | | | | $ | (1,700,982) | | | $ | — | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,241,262 | | | | | | | $ | — | | | $ | (1,241,262) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| State Street Global Markets LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 12,150 | | | | | | | $ | — | | | $ | (12,150) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| The Bank of New York Mellon | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 12,120 | | | | | | | $ | — | | | $ | (12,120) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 2,995,749 | | | | | | | $ | (1,700,982) | | | $ | (1,283,909) | | | | | | | $ | 10,858 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | TOTAL RETURN BOND FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | | COLLATERAL
PLEDGED1 | | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | |
| | | | | | | |
| Barclays Bank PLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,195,967 | | | | | | | $ | (1,182,149) | | | $ | (13,818) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 5,148,406 | | | | | | | $ | (5,143,847) | | | $ | (4,559) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 3,456,084 | | | | | | | $ | (1,690,000) | | | $ | (1,241,262) | | | | | | | $ | 524,822 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| State Street Global Markets LLC | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 793,608 | | | | | | | $ | — | | | $ | (12,150) | | | | | | | $ | 781,458 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| The Bank of New York Mellon | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,511,298 | | | | | | | $ | (1,499,178) | | | $ | (12,120) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 12,105,363 | | | | | | | $ | (9,515,174) | | | $ | (1,283,909) | | | | | | | $ | 1,306,280 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
343 / Annual Report March 2023
Notes to Financial Statements (Continued)
The following table presents Ultra Short Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | 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 | | $ | 9,637 | | | | | $ | — | | | $ | — | | | | | $ | 9,637 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 9,637 | | | | | $ | — | | | $ | — | | | | | $ | 9,637 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 Ultra Short Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | ULTRA SHORT BOND FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | | COLLATERAL
PLEDGED1 | | | DERIVATIVE (ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | | | | |
| | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 2,537 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 2,537 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,931 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 1,931 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 4,468 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 4,468 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
The following table presents Unconstrained Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | 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 | | | | |
| | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 4,493 | | | | | | | $ | — | | | $ | (4,493) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse First Boston International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Default Swaps | | $ | 349,645 | | | | | | | $ | (349,645) | | | $ | — | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 354,138 | | | | | | | $ | (349,645) | | | $ | (4,493) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
Annual Report March 2023 / 344
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 March 31, 2023:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | UNCONSTRAINED BOND FUND | | | | | | | |
| COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | | COLLATERAL
PLEDGED1 | | | DERIVATIVE
(ASSETS) LIABILITIES
AVAILABLE FOR OFFSET | | | NET AMOUNT OF DERIVATIVE LIABILITIES2 | | | | |
| | | | | | | |
| Bank of America N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 2,124 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 2,124 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 334,693 | | | | | | | $ | (330,200) | | | $ | (4,493) | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 50,948 | | | | | | | $ | (50,948) | | | $ | — | | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total | | $ | 387,765 | | | | | | | $ | (381,148) | | | $ | (4,493) | | | | | | | $ | 2,124 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount payable to the counterparty in the event of default.
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”.
345 / Annual Report March 2023
Notes to Financial Statements (Continued)
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, there may be volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2023, 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 approved 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, ESG Securitized 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 March 31, 2023, 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.
Annual Report March 2023 / 346
Notes to Financial Statements (Continued)
The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.
For the year ended March 31, 2023, the Funds did not receive any in-kind payments with respect to PIK securities.
The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.
Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2023, 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.
Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are not permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. As of March 31, 2023, 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.
347 / Annual Report March 2023
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 March 31, 2023, the Flexible Income Fund, Intermediate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained 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.
Annual Report March 2023 / 348
Notes to Financial Statements (Continued)
Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).
Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted for swap contracts, net of assets received as collateral, is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. 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 March 31, 2023, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund had 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.
349 / Annual Report March 2023
Notes to Financial Statements (Continued)
However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2023, Corporate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund and Unconstrained Bond Fund held swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above-listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR-based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps, is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2023, 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.
Annual Report March 2023 / 350
Notes to Financial Statements (Continued)
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (“MBS”) and asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:
Sub Prime - Any asset-backed bond whose collateral was residential mortgages which were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.
Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.
LIBOR Risk: The London Interbank Offered 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. However, the ICE Benchmark Administration, in its capacity as administrator of USD LIBOR, announced it would extend publication of 1-month, 3-month, and 6-month USD LIBOR by 19 months to June 2023. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. 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
351 / Annual Report March 2023
Notes to Financial Statements (Continued)
to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the year ended March 31, 2023, excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 11,932,595 | | | $ | 26,267,144 | |
Corporate Bond Fund | | | 2,710,586 | | | | 6,596,679 | |
ESG Securitized Fund | | | 555,459 | | | | 1,489,248 | |
Flexible Income Fund | | | 151,423,006 | | | | 63,179,707 | |
Floating Rate Income Fund | | | 165,274,123 | | | | 291,261,854 | |
High Yield Bond Fund | | | 609,886,249 | | | | 766,497,881 | |
Intermediate Bond Fund | | | 254,986,173 | | | | 212,806,522 | |
Investment Grade Credit Fund | | | 2,689,837 | | | | 3,460,394 | |
Low Duration Bond Fund | | | 822,498,591 | | | | 1,109,887,043 | |
Opportunistic High Income Credit Fund | | | 3,522,954 | | | | 4,047,835 | |
Strategic Income Fund | | | 37,698,303 | | | | 7,584,408 | |
Total Return Bond Fund | | | 12,840,695,517 | | | | 13,905,905,907 | |
Ultra Short Bond Fund | | | 38,624,290 | | | | 80,102,260 | |
Unconstrained Bond Fund | | | 918,771,137 | | | | 1,489,672,605 | |
|
Investment transactions in U.S. government securities for the year ended March 31, 2023 were as follows: | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 32,927,983 | | | $ | 32,962,380 | |
Corporate Bond Fund | | | 8,872,151 | | | | 8,671,308 | |
ESG Securitized Fund | | | 34,972,384 | | | | 35,276,159 | |
Flexible Income Fund | | | 606,802,795 | | | | 557,967,357 | |
Intermediate Bond Fund | | | 4,408,967,923 | | | | 4,270,305,888 | |
Investment Grade Credit Fund | | | 20,955,709 | | | | 19,152,092 | |
Low Duration Bond Fund | | | 10,327,084,302 | | | | 10,672,736,899 | |
Strategic Income Fund | | | 69,930,641 | | | | 60,587,193 | |
Total Return Bond Fund | | | 311,961,929,115 | | | | 319,091,298,486 | |
Ultra Short Bond Fund | | | 630,251,406 | | | | 652,484,500 | |
Unconstrained Bond Fund | | | 7,072,767,813 | | | | 6,904,411,075 | |
Purchases include the Flexible Income Fund, Total Return Bond Fund, and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $4,296,263, $19,339,507, and $13,860,487, respectively. These trades are settled for cash in accordance with the valuation and other requirements set forth in Rule 17a-7 under the 1940 Act. There were no sales to affiliates, and no associated realized gains or losses to report during the period.
Annual Report March 2023 / 352
Notes to Financial Statements (Continued)
Investment transactions in the shares of affiliated issuers for the year ended March 31, 2023 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | VALUE AT BEGINNING OF YEAR | | | PURCHASES | | | SALES | | | DIVIDEND/ INTEREST | | | VALUE AT END OF YEAR | | | 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 AlphaTrak 500 Fund, the Corporate Bond Fund, the ESG Securitized 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 and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.40%, 0.40%, 0.40%, 0.45%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.50%, 0.65%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets.
The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses (excluding interest, taxes, brokerage commissions, short sales dividend expense, acquired fund fees and expenses, and any expenses incurred in connection with any merger or reorganization or extraordinary expenses such as litigation) as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap at both the time of the waiver and the recoupment. The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses of the Fund are at or above the expense cap. However, if the total operating expenses of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.
Investment advisory fees and related contractual expense limitations for the year ended March 31, 2023, 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 | | |
AlphaTrak 500 Fund | | 0.40% | | N/A | | N/A | | N/A | | N/A | | 0.45% | | 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 | | |
ESG Securitized Fund | | 0.40% | | 0.40% | | N/A | | N/A | | N/A | | 0.70% | | 0.49% | | 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 Fund | | 0.50% | | 0.50% | | N/A | | N/A | | N/A | | 0.85% | | 0.60% | | N/A | | N/A | | N/A | | |
Strategic Income Fund | | 0.65% | | 0.65% | | 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.
353 / Annual Report March 2023
Notes to Financial Statements (Continued)
At March 31, 2023, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| PORTFOLIO | | 2024 | | 2025 | | 2026 | | TOTAL |
| | | | |
| | | | | | | | | |
| | | | |
AlphaTrak 500 Fund | | $ | 122,267 | | | $ | — | | | $ | 270,246 | | | $ | 392,513 | |
| | | | |
Corporate Bond Fund | | | 257,070 | | | | 257,575 | | | | 293,711 | | | | 808,356 | |
| | | | |
ESG Securitized Fund | | | — | | | | 67,666 | | | | 262,567 | | | | 330,233 | |
| | | | |
Flexible Income Fund | | | 309,577 | | | | 441,229 | | | | 471,234 | | | | 1,222,040 | |
| | | | |
Floating Rate Income Fund | | | 8,677 | | | | 14,896 | | | | 19,197 | | | | 42,770 | |
| | | | |
High Yield Bond Fund | | | 158,414 | | | | 145,095 | | | | 130,452 | | | | 433,961 | |
| | | | |
Intermediate Bond Fund | | | 4,895 | | | | 62 | | | | 22,452 | | | | 27,409 | |
| | | | |
Investment Grade Credit Fund | | | 259,548 | | | | 264,265 | | | | 293,818 | | | | 817,631 | |
| | | | |
Opportunistic High Income Credit Fund | | | — | | | | 96,407 | | | | 250,735 | | | | 347,142 | |
| | | | |
Strategic Income Fund | | | 58,687 | | | | 566,609 | | | | 339,161 | | | | 964,457 | |
| | | | |
Ultra Short Bond Fund | | | 310,177 | | | | 355,828 | | | | 326,076 | | | | 992,081 | |
| | | | |
Unconstrained Bond Fund | | | — | | | | — | | | | 13,017 | | | | 13,017 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,489,312 | | | $ | 2,209,632 | | | $ | 2,692,666 | | | $ | 6,391,610 | |
| | | | | | | | | | | | | | | | |
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. For the period from January 1, 2021 to December 31, 2021, each of the independent trustees received an annual retainer of $135,000 and $10,000 for each meeting of the Board attended in person and $2,500 for each meeting attended telephonically. The chairman of the Board received an annual retainer of $55,500. The respective chairman of the Audit Committee and the Nominating and Governance Committee each received an additional annual retainer of $37,000 and $18,500, respectively. Effective January 1, 2022, the annual retainer for each independent trustee is $150,000, and the additional retainer for the chairman of the Board is $60,000. Also effective January 1, 2022, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $40,000 and $20,000, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.
| 7. | SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN |
The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the ESG Securitized 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, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2023. 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.
Annual Report March 2023 / 354
Notes to Financial Statements (Continued)
| 8. | COMMITMENTS AND CONTINGENCIES |
The Flexible Income Fund, Floating Rate Income Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund and Unconstrained Bond Fund had the following unfunded commitments and unrealized gain (loss) by investment as of March 31, 2023:
| | | | | | | | | | | | |
| | | |
FLEXIBLE INCOME FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED (LOSS) | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 102,038 | | | $ | (4,280) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 102,038 | | | $ | (4,280) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
FLOATING RATE INCOME FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED (LOSS) | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 204,076 | | | $ | (12,143) | |
Dermatology Intermediate Holdings, Inc., Delayed-Draw Term Loan, 1st Lien | | | April 2029 | | | | 10,003 | | | | (185) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 214,079 | | | $ | (12,328) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
INTERMEDIATE BOND FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED GAIN | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 3,952 | | | $ | 48 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 3,952 | | | $ | 48 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
LOW DURATION BOND FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED (LOSS) | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 288,151 | | | $ | (14,800) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 288,151 | | | $ | (14,800) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
TOTAL RETURN BOND FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED (LOSS) | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 819,903 | | | $ | (4,746) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 819,903 | | | $ | (4,746) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
UNCONSTRAINED BOND FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED GAIN | |
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien | | | February 2029 | | | $ | 51,094 | | | $ | 616 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 51,094 | | | $ | 616 | |
| | | | | | | | | | | | |
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.
355 / Annual Report March 2023
Notes to Financial Statements (Continued)
| 9. | CAPITAL SHARE TRANSACTIONS |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND |
| | | CLASS M | | CLASS M |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 3,928,208 | | | | | | 2,773,846 | | | |
| | | | | | | | | | | | |
Shares sold | | | 169,686 | | | | | | 1,298,545 | | | |
Shares issued through reinvestment of distributions | | | 149,894 | | | | | | 971,033 | | | |
Shares redeemed | | | (1,313,448) | | | | | | (1,115,216) | | | |
| | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (993,868) | | | | | | 1,154,362 | | | |
| | | | | | | | | | | | |
Shares outstanding at end of year | | | 2,934,340 | | | | | | 3,928,208 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 568,258 | | | | | | 768,830 | | | | | | 701,050 | | | | | | 444,057 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 116,264 | | | | | | 192,521 | | | | | | 24,849 | | | | | | 360,108 | | | |
Shares issued through reinvestment of distributions | | | 15,926 | | | | | | 16,192 | | | | | | 15,050 | | | | | | 18,162 | | | |
Shares redeemed | | | (224,753) | | | | | | (409,285) | | | | | | (423,187) | | | | | | (121,277) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (92,563) | | | | | | (200,572) | | | | | | (383,288) | | | | | | 256,993 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 475,695 | | | | | | 568,258 | | | | | | 317,762 | | | | | | 701,050 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ESG SECURITIZED FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | PERIOD ENDED
MARCH 31, 2022* | | YEAR ENDED
MARCH 31, 2023 | | PERIOD ENDED
MARCH 31, 2022* |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 1,738 | | | | | | — | | | | | | 1,137,535 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 4,755 | | | | | | 1,735 | | | | | | 340,886 | | | | | | 1,132,869 | | | |
Shares issued through reinvestment of distributions | | | 923 | | | | | | | | | | | | 37,255 | | | | | | 4,988 | | | |
Shares redeemed | | | (627) | | | | | | — | | | | | | (526,394) | | | | | | (322) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 4,220 | | | | | | 1,738 | | | | | | (148,253) | | | | | | 1,137,535 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 5,958 | | | | | | 1,738 | | | | | | 989,282 | | | | | | 1,137,535 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* The Fund commenced operations on October 1, 2021.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLEXIBLE INCOME FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 3,651,661 | | | | | | 2,147,224 | | | | | | 20,317,792 | | | | | | 16,108,761 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 5,112,956 | | | | | | 3,650,896 | | | | | | 28,619,685 | | | | | | 13,905,850 | | | |
Shares issued through reinvestment of distributions | | | 409,001 | | | | | | 237,569 | | | | | | 2,158,115 | | | | | | 1,621,341 | | | |
Shares redeemed | | | (2,961,688) | | | | | | (2,384,028) | | | | | | (15,438,583) | | | | | | (11,318,160) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 2,560,269 | | | | | | 1,504,437 | | | | | | 15,339,217 | | | | | | 4,209,031 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 6,211,930 | | | | | | 3,651,661 | | | | | | 35,657,009 | | | | | | 20,317,792 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Annual Report March 2023 / 356
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 1,737,330 | | | | | | 1,387,808 | | | | | | 48,557,554 | | | | | | 41,999,130 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 429,534 | | | | | | 927,690 | | | | | | 7,854,538 | | | | | | 12,676,785 | | | |
Shares issued through reinvestment of distributions | | | 80,718 | | | | | | 44,164 | | | | | | 2,176,860 | | | | | | 1,348,588 | | | |
Shares redeemed | | | (1,063,558) | | | | | | (622,332) | | | | | | (23,235,709) | | | | | | (7,466,949) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (553,306) | | | | | | 349,522 | | | | | | (13,204,311) | | | | | | 6,558,424 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 1,184,024 | | | | | | 1,737,330 | | | | | | 35,353,243 | | | | | | 48,557,554 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| |
| | | FLOATING RATE INCOME FUND |
| | | PLAN CLASS | | PLAN CLASS |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 10 | | | | | | 10 | | | |
| | | | | | | | | | | | |
Shares sold | | | — | | | | | | — | | | |
Shares issued through reinvestment of distributions | | | 1 | | | | | | — | | | |
| | | | | | | | | | | | |
Net increase in fund shares | | | 1 | | | | | | — | | | |
| | | | | | | | | | | | |
Shares outstanding at end of year | | | 11 | | | | | | 10 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 16,894,728 | | | | | | 18,755,387 | | | | | | 54,977,626 | | | | | | 54,120,573 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 5,223,122 | | | | | | 4,289,757 | | | | | | 21,306,338 | | | | | | 28,529,831 | | | |
Shares issued through reinvestment of distributions | | | 848,748 | | | | | | 658,585 | | | | | | 2,218,309 | | | | | | 2,104,002 | | | |
Shares redeemed | | | (8,255,492) | | | | | | (6,809,001) | | | | | | (38,905,335) | | | | | | (29,776,780) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (2,183,622) | | | | | | (1,860,659) | | | | | | (15,380,688) | | | | | | 857,053 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 14,711,106 | | | | | | 16,894,728 | | | | | | 39,596,938 | | | | | | 54,977,626 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 2,450,422 | | | | | | 3,395,400 | | | | | | 76,102,332 | | | | | | 71,377,801 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 715,696 | | | | | | 645,465 | | | | | | 48,199,978 | | | | | | 14,653,122 | | | |
Shares issued through reinvestment of distributions | | | 68,103 | | | | | | 41,504 | | | | | | 2,450,385 | | | | | | 1,206,765 | | | |
Shares redeemed | | | (1,033,479) | | | | | | (1,631,947) | | | | | | (35,053,527) | | | | | | (11,135,356) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (249,680) | | | | | | (944,978) | | | | | | 15,596,836 | | | | | | 4,724,531 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 2,200,742 | | | | | | 2,450,422 | | | | | | 91,699,168 | | | | | | 76,102,332 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 259,570 | | | | | | 219,784 | | | | | | 992,802 | | | | | | 1,044,749 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 170,204 | | | | | | 450,559 | | | | | | 333,416 | | | | | | 1,818,446 | | | |
Shares issued through reinvestment of distributions | | | 25,100 | | | | | | 15,710 | | | | | | 73,219 | | | | | | 81,937 | | | |
Shares redeemed | | | (67,875) | | | | | | (426,483) | | | | | | (466,114) | | | | | | (1,952,330) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 127,429 | | | | | | 39,786 | | | | | | (59,479) | | | | | | (51,947) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 386,999 | | | | | | 259,570 | | | | | | 933,323 | | | | | | 992,802 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
357 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | | |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 55,362,416 | | | | | | 50,165,234 | | | | | | 235,428,672 | | | | | | 229,018,746 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 11,354,337 | | | | | | 12,487,486 | | | | | | 80,958,050 | | | | | | 101,789,983 | | | |
Shares issued through reinvestment of distributions | | | 1,400,421 | | | | | | 454,037 | | | | | | 5,451,820 | | | | | | 2,460,757 | | | |
Shares redeemed | | | (32,123,581) | | | | | | (7,744,341) | | | | | | (143,672,112) | | | | | | (97,840,814) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (19,368,823) | | | | | | 5,197,182 | | | | | | (57,262,242) | | | | | | 6,409,926 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 35,993,593 | | | | | | 55,362,416 | | | | | | 178,166,430 | | | | | | 235,428,672 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | | |
| | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS |
| | | YEAR ENDED MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 154,242 | | | | | | 7,678 | | | |
| | | | | | | | | | | | |
Shares sold | | | 31,293 | | | | | | 243,605 | | | |
Shares issued through reinvestment of distributions | | | 1,504 | | | | | | 1,151 | | | |
Shares redeemed | | | (186,967) | | | | | | (98,192) | | | |
| | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (154,170) | | | | | | 146,564 | | | |
| | | | | | | | | | | | |
Shares outstanding at end of year | | | 72 | | | | | | 154,242 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | OPPORTUNISTIC HIGH INCOME CREDIT FUND | | | |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | PERIOD ENDED
MARCH 31, 2022* | | YEAR ENDED
MARCH 31, 2023 | | PERIOD ENDED
MARCH 31, 2022* |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 7,782 | | | | | | — | | | | | | 330,792 | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 70,852 | | | | | | 7,752 | | | | | | 65,689 | | | | | | 303,418 | | | |
Shares issued through reinvestment of distributions | | | 2,344 | | | | | | 264 | | | | | | 32,804 | | | | | | 27,374 | | | |
Shares redeemed | | | (39,424) | | | | | | (234) | | | | | | (196,480) | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 33,772 | | | | | | 7,782 | | | | | | (97,987) | | | | | | 330,792 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 41,554 | | | | | | 7,782 | | | | | | 232,805 | | | | | | 330,792 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* The Fund commenced operations on August 2, 2021.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 2,439,193 | | | | | | 1,975,844 | | | | | | 1,351,121 | | | | | | 1,251,843 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 6,912,813 | | | | | | 1,234,339 | | | | | | 2,020,509 | | | | | | 937,224 | | | |
Shares issued through reinvestment of distributions | | | 400,592 | | | | | | 222,558 | | | | | | 175,122 | | | | | | 147,770 | | | |
Shares redeemed | | | (1,626,837) | | | | | | (993,548) | | | | | | (1,054,584) | | | | | | (985,716) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 5,686,568 | | | | | | 463,349 | | | | | | 1,141,047 | | | | | | 99,278 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 8,125,761 | | | | | | 2,439,193 | | | | | | 2,492,168 | | | | | | 1,351,121 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Annual Report March 2023 / 358
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 609,964,109 | | | | | | 661,139,405 | | | | | | 4,611,465,986 | | | | | | 4,897,035,762 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 383,552,935 | | | | | | 147,998,834 | | | | | | 1,136,670,438 | | | | | | 1,211,638,765 | | | |
Shares issued through reinvestment of distributions | | | 19,723,265 | | | | | | 7,623,648 | | | | | | 127,328,940 | | | | | | 61,975,142 | | | |
Shares redeemed | | | (318,898,902) | | | | | | (206,797,778) | | | | | | (1,735,660,047) | | | | | | (1,559,183,683) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 84,377,298 | | | | | | (51,175,296) | | | | | | (471,660,669) | | | | | | (285,569,776) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 694,341,407 | | | | | | 609,964,109 | | | | | | 4,139,805,317 | | | | | | 4,611,465,986 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | | CLASS I-2 | | CLASS I-2 |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 16,736,662 | | | | | | 10,801,035 | | | |
| | | | | | | | | | | | |
Shares sold | | | 8,077,028 | | | | | | 11,931,840 | | | |
Shares issued through reinvestment of distributions | | | 490,417 | | | | | | 219,971 | | | |
Shares redeemed | | | (14,298,908) | | | | | | (6,216,184) | | | |
| | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (5,731,463) | | | | | | 5,935,627 | | | |
| | | | | | | | | | | | |
Shares outstanding at end of year | | | 11,005,199 | | | | | | 16,736,662 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | | | |
| | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS | | PLAN CLASS | | PLAN CLASS |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 192,601,234 | | | | | | 192,427,211 | | | | | | 2,324,492,622 | | | | | | 2,425,345,101 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 31,195,068 | | | | | | 39,078,639 | | | | | | 338,504,144 | | | | | | 475,768,210 | | | |
Shares issued through reinvestment of distributions | | | 5,128,907 | | | | | | 2,008,237 | | | | | | 67,148,068 | | | | | | 33,232,551 | | | |
Shares redeemed | | | (62,012,222) | | | | | | (40,912,853) | | | | | | (704,076,477) | | | | | | (609,853,240) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (25,688,247) | | | | | | 174,023 | | | | | | (298,424,265) | | | | | | (100,852,479) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 166,912,987 | | | | | | 192,601,234 | | | | | | 2,026,068,357 | | | | | | 2,324,492,622 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 9,455,483 | | | | | | 14,559,872 | | | | | | 37,852,952 | | | | | | 42,554,510 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 822,824 | | | | | | 4,029,512 | | | | | | 15,775,043 | | | | | | 25,590,708 | | | |
Shares issued through reinvestment of distributions | | | 151,914 | | | | | | 63,776 | | | | | | 585,925 | | | | | | 296,146 | | | |
Shares redeemed | | | (5,554,858) | | | | | | (9,197,677) | | | | | | (29,418,461) | | | | | | (30,588,412) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (4,580,120) | | | | | | (5,104,389) | | | | | | (13,057,493) | | | | | | (4,701,558) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 4,875,363 | | | | | | 9,455,483 | | | | | | 24,795,459 | | | | | | 37,852,952 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
359 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND | | | |
| | | CLASS M | | CLASS M | | | | | CLASS I | | | | | CLASS I | | | |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 19,230,240 | | | | | | 21,607,830 | | | | | | 326,977,316 | | | | | | 273,766,820 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 2,686,340 | | | | | | 3,405,824 | | | | | | 97,731,807 | | | | | | 128,854,698 | | | |
Shares issued through reinvestment of distributions | | | 864,124 | | | | | | 720,405 | | | | | | 10,194,594 | | | | | | 9,599,441 | | | |
Shares redeemed | | | (7,399,119) | | | | | | (6,503,819) | | | | | | (208,745,619) | | | | | | (85,243,643) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (3,848,655) | | | | | | (2,377,590) | | | | | | (100,819,218) | | | | | | 53,210,496 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of year | | | 15,381,585 | | | | | | 19,230,240 | | | | | | 226,158,098 | | | | | | 326,977,316 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND |
| | | PLAN CLASS | | PLAN CLASS |
| | | YEAR ENDED
MARCH 31, 2023 | | YEAR ENDED
MARCH 31, 2022 |
| | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of year | | | 10,805,285 | | | | | | 5,342,862 | | | |
| | | | | | | | | | | | |
Shares sold | | | 22,518,298 | | | | | | 9,973,405 | | | |
Shares issued through reinvestment of distributions | | | 1,610,878 | | | | | | 391,609 | | | |
Shares redeemed | | | (1,060,861) | | | | | | (4,902,591) | | | |
| | | | | | | | | | | | |
Net increase in fund shares | | | 23,068,315 | | | | | | 5,462,423 | | | |
| | | | | | | | | | | | |
Shares outstanding at end of year | | | 33,873,600 | | | | | | 10,805,285 | | | |
| | | | | | | | | | | | |
| 10. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2023, the following Funds had available for federal income tax purposes unused capital losses as follows:
| | | | | | | | |
| FUND | | SHORT-TERM
NON-EXPIRING
AMOUNTS* | | LONG-TERM
NON-EXPIRING
AMOUNTS* |
AlphaTrak 500 Fund | | $ | 2,371,261 | | | $ | 2,322,290 | |
Corporate Bond Fund | | | 316,893 | | | | 385,151 | |
ESG Securitized Fund | | | 434,530 | | | | 22,895 | |
Flexible Income Fund | | | 5,952,817 | | | | 2,364,301 | |
Floating Rate Income Fund | | | 2,675,049 | | | | 15,170,932 | |
High Yield Bond Fund | | | 34,960,290 | | | | 43,644,133 | |
Intermediate Bond Fund | | | 56,011,759 | | | | 6,434,752 | |
Investment Grade Credit Fund | | | 801,682 | | | | 463,152 | |
Low Duration Bond Fund | | | 108,883,996 | | | | 43,790,099 | |
Opportunistic High Income Credit Fund | | | 214,638 | | | | 114,669 | |
Strategic Income Fund | | | 444,685 | | | | 3,072,928 | |
Total Return Bond Fund | | | 5,958,665,330 | | | | 605,251,281 | |
Ultra Short Bond Fund | | | 5,651,930 | | | | 3,700,139 | |
Unconstrained Bond Fund | | | 52,981,504 | | | | — | |
* 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.
Annual Report March 2023 / 360
Notes to Financial Statements (Continued)
Tax Basis of Distributable Income:
As of March 31, 2023, the components of accumulated earnings (accumulated losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500
FUND | | CORPORATE
BOND FUND | | | ESG SECURITIZED
FUND | | | FLEXIBLE
INCOME FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD
BOND FUND | |
| | Undistributed ordinary income | | | | | | | | | | | | | | | | | | | | | | | | |
| | (inclusive of short-term gains) | | $ | 26,023 | | | $ | — | | | $ | — | | | $ | — | | | $ | 664,431 | | | $ | 2,394,133 | |
| | Undistributed long-term gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | Other temporary differences | | | (78 | ) | | | (614 | ) | | | — | | | | (107,786 | ) | | | (513,807 | ) | | | (418,752) | |
| | Accumulated capital loss carry forwards and post- October losses | | | (4,693,551 | ) | | | (1,215,767 | ) | | | (639,561 | ) | | | (10,123,806 | ) | | | (17,845,981 | ) | | | (78,604,423) | |
| | | | | | | |
| | Net unrealized appreciation (depreciation) | | | (1,151,501 | ) | | | (1,239,729 | ) | | | (1,135,557 | ) | | | (37,262,809 | ) | | | (14,256,957 | ) | | | (68,874,392) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Total accumulated earnings (losses) | | $ | (5,819,107 | ) | | $ | (2,456,110 | ) | | $ | (1,775,118 | ) | | $ | (47,494,401 | ) | | $ | (31,952,314 | ) | | $ | (145,503,434) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE CREDIT
FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC INCOME
FUND | | | TOTAL RETURN
BOND FUND | |
| | Undistributed ordinary income (inclusive of short-term gains) | | $ | 49,397 | | | $ | — | | | $ | 417,792 | | | $ | — | | | $ | 312,893 | | | $ | — | |
| | Undistributed long-term gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | Other temporary differences | | | (402,307 | ) | | | (532 | ) | | | (678,678 | ) | | | (22,383 | ) | | | (8,820 | ) | | | (16,168,689 | ) |
| | Accumulated capital loss carryforwards and post- October losses | | | (62,446,511 | ) | | | (1,264,834 | ) | | | (152,674,095 | ) | | | (471,794 | ) | | | (3,517,613 | ) | | | (7,421,602,418 | ) |
| | Net unrealized appreciation (depreciation) | | | (21,529,634 | ) | | | (2,083,029 | ) | | | (52,211,095 | ) | | | (329,834 | ) | | | (7,634,461 | ) | | | (4,401,416,051 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total accumulated earnings (losses) | | $ | (84,329,055 | ) | | $ | (3,348,395 | ) | | $ | (205,146,076 | ) | | $ | (824,011 | ) | | $ | (10,848,001 | ) | | $ | (11,839,187,158 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
361 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED
BOND FUND | |
Undistributed ordinary income (inclusive of short-term gains) | | $ | 107,101 | | | $ | — | |
Undistributed long-term gains | | | — | | | | — | |
Other temporary differences | | | (2,173) | | | | (3,129,608) | |
Accumulated capital loss carryforwards and post-October losses | | | (10,649,399) | | | | (134,124,094) | |
Net unrealized appreciation (depreciation) | | | (1,851,328) | | | | (398,168,695) | |
| | | | | | | | |
Total accumulated earnings (losses) | | $ | (12,395,799) | | | $ | (535,422,397) | |
| | | | | | | | |
Permanent differences incurred during the fiscal year ended March 31, 2023, resulting from differences in book and tax accounting have been reclassified at year-end as follows:
| | | | | | | | |
| FUND | | INCREASE (DECREASE)
ACCUMULATED EARNINGS (LOSS) | | | INCREASE (DECREASE)
PAID-IN-CAPITAL | |
| | |
AlphaTrak 500 Fund | | $ | 649 | | | $ | (649) | |
| | |
Corporate Bond Fund | | | 480 | | | | (480) | |
| | |
Flexible Income Fund | | | 32,096 | | | | (32,096) | |
| | |
Intermediate Bond Fund | | | 41,601 | | | | (41,601) | |
| | |
Opportunistic High Income Credit Fund | | | 80 | | | | (80) | |
| | |
Total Return Bond Fund | | | 3,411,613 | | | | (3,411,613) | |
| | |
Unconstrained Bond Fund | | | 1,274,915 | | | | (1,274,915) | |
The permanent differences are due to non-deductible expenses and taxable overdistribution paid.
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | CORPORATE BOND
FUND |
| | | | |
| | | MARCH 31, 2023 | | MARCH 31, 2022 | | MARCH 31, 2023 | | MARCH 31, 2022 |
| | | | |
| Distributions from: | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 888,057 | | | $ | 4,904,144 | | | $ | 283,604 | | | $ | 315,930 | |
Net long-term capital gains | | | 537,219 | | | | 6,902,086 | | | | — | | | | 55,831 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total taxable distributions | | $ | 1,425,276 | | | $ | 11,806,230 | | | $ | 283,604 | | | $ | 371,761 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | ESG SECURITIZED
FUND | | FLEXIBLE INCOME
FUND |
| | | | |
| | | MARCH 31, 2023 | | MARCH 31, 2022 | | MARCH 31, 2023 | | MARCH 31, 2022 |
| | | | |
| Distributions from: | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 324,338 | | | $ | 48,438 | | | $ | 22,045,745 | | | $ | 17,192,300 | |
Net long-term capital gains | | | — | | | | — | | | | — | | | | 540,585 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 324,338 | | | $ | 48,438 | | | $ | 22,045,745 | | | $ | 17,732,885 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND |
| | | | |
| | | MARCH 31, 2023 | | MARCH 31, 2022 | | MARCH 31, 2023 | | MARCH 31, 2022 |
| | | | |
| Distributions from: | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 25,266,781 | | | $ | 15,620,404 | | | $ | 31,729,934 | | | $ | 30,481,103 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 25,266,781 | | | $ | 15,620,404 | | | $ | 31,729,934 | | | $ | 30,481,103 | |
| | | | | | | | | | | | | | | | |
Annual Report March 2023 / 362
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | INVESTMENT GRADE
CREDIT FUND | |
| | | | |
| | | MARCH 31, 2023 | | | MARCH 31, 2022 | | | MARCH 31, 2023 | | | MARCH 31, 2022 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 26,787,772 | | | $ | 10,530,092 | | | $ | 770,112 | | | $ | 930,563 | |
Net long-term capital gains | | | — | | | | 2,724,855 | | | | — | | | | — | |
Return of Capital | | | — | | | | — | | | | 24,661 | | | | — | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 26,787,772 | | | $ | 13,254,947 | | | $ | 794,773 | | | $ | 930,563 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC HIGH INCOME
CREDIT FUND | |
| | | | |
| | | MARCH 31, 2023 | | | MARCH 31, 2022 | | | MARCH 31, 2023 | | | MARCH 31, 2022 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 61,930,890 | | | $ | 27,329,398 | | | $ | 270,955 | | | $ | 265,147 | |
Return of Capital | | | — | | | | — | | | | 7,781 | | | | — | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 61,930,890 | | | $ | 27,329,398 | | | $ | 278,736 | | | $ | 265,147 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | |
| | | | |
| | | MARCH 31, 2023 | | | MARCH 31, 2022 | | | MARCH 31, 2023 | | | MARCH 31, 2022 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 3,713,024 | | | $ | 2,814,589 | | | $ | 2,163,571,272 | | | $ | 1,211,584,483 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 3,713,024 | | | $ | 2,814,589 | | | $ | 2,163,571,272 | | | $ | 1,211,584,483 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED
BOND FUND | |
| | | | |
| | | MARCH 31, 2023 | | | MARCH 31, 2022 | | | MARCH 31, 2023 | | | MARCH 31, 2022 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 3,041,991 | | | $ | 1,534,325 | | | $ | 170,616,814 | | | $ | 135,350,036 | |
Net long-term capital gains | | | — | | | | — | | | | — | | | | 20,305,457 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 3,041,991 | | | $ | 1,534,325 | | | $ | 170,616,814 | | | $ | 155,655,493 | |
| | | | | | | | | | | | | | | | |
Tax Cost
As of March 31, 2023, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500
FUND | | | CORPORATE
BOND FUND | | | ESG SECURITIZED
FUND | | | FLEXIBLE INCOME
FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD BOND
FUND | |
| | Tax Cost | | $ | 30,066,225 | | | $ | 8,458,256 | | | $ | 10,878,851 | | | $ | 435,444,303 | | | $ | 349,381,225 | | | $ | 548,054,643 | |
| | Gross unrealized appreciation | | | 138,478 | | | | 37,025 | | | | 10,962 | | | | 3,538,225 | | | | 1,850,042 | | | | 6,717,612 | |
| | Gross unrealized (depreciation) | | | (1,289,979) | | | | (1,275,040) | | | | (1,146,554) | | | | (40,797,997) | | | | (16,095,685) | | | | (75,595,145) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net unrealized appreciation (depreciation) | | $ | (1,151,501) | | | $ | (1,238,015) | | | $ | (1,135,592) | | | $ | (37,259,772) | | | $ | (14,245,643) | | | $ | (68,877,533) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | INTERMEDIATE
BOND FUND | | | INVESTMENT
GRADE CREDIT
FUND | | | LOW DURATION
BOND FUND | | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | | STRATEGIC
INCOME FUND | | | TOTAL RETURN
BOND FUND | |
| | Tax Cost | | $ | 1,025,857,663 | | | $ | 13,414,313 | | | $ | 2,263,193,153 | | | $ | 3,273,843 | | | $ | 82,977,209 | | | $ | 82,676,903,118 | |
| | Gross unrealized appreciation | | | 8,609,518 | | | | 67,238 | | | | 10,588,377 | | | | 78,862 | | | | 854,967 | | | | 546,386,372 | |
| | Gross unrealized (depreciation) | | | (30,144,141) | | | | (2,148,733) | | | | (63,334,736) | | | | (408,696) | | | | (8,485,947) | | | | (4,938,111,935) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net unrealized appreciation (depreciation) | | $ | (21,534,623 | ) | | $ | (2,081,495 | ) | | $ | (52,746,359) | | | $ | (329,834) | | | $ | (7,630,980) | | | $ | (4,391,725,563) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
363 / Annual Report March 2023
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED
BOND FUND | |
| | Tax Cost | | | | $ | 150,572,132 | | | $ | 3,823,797,272 | |
| | Gross unrealized appreciation | | | | | 622,075 | | | | 32,374,495 | |
| | Gross unrealized (depreciation) | | | | | (2,473,900 | ) | | | (430,092,568 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Net unrealized appreciation (depreciation) | | | | | | $ | (1,851,825 | ) | | $ | (397,718,073 | ) |
| | | | | | | | | | | | | | | | | | |
| 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 6, 2023. The interest rate on borrowing is the higher of the federal funds rate or SOFR plus 0.10%, plus 1.25%. There were no borrowings from the line of credit as of or during the year ended March 31, 2023. 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.
| 13. | NEW ACCOUNTING PRONOUNCEMENT |
In January 2021, the Financial Accounting Standards Board issued Accounting Standards Update No. 2021-01 (“ASU 2021-01”), “Reference Rate Reform (Topic 848).” ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR; regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are in effect for the Fund. There have been no impacts to date.
In June 2022, the FASB issued ASU No. 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 (1) clarifies the guidance in ASC 820 on the fair value measurement of an equity security that is subject to a contractual sale restriction and (2) requires specific disclosures related to such an equity security. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and interim periods within that fiscal year, with early adoption permitted. We are currently evaluating the impact of the adoption of ASU 2022-03 on our consolidated financial statements.
Annual Report March 2023 / 364
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
the Metropolitan West Funds
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Metropolitan West Funds (the “Trust”) comprising the Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West ESG Securitized Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Opportunistic High Income Credit Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund (the “Funds”), including the schedules of portfolio investments, as of March 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for one year in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund; the related statements of operations, changes in net assets, and financial highlights for the periods indicated in the table below for Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund, and the related notes.
In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds listed above constituting Metropolitan West Funds as of March 31, 2023, and the results of their operations for the year then ended (or for the period listed in the table below), the changes in their net assets for each of the two years in the period then ended (or for the period listed in the table below), and the financial highlights for each of the five years in the period then ended (or for the period listed in the table below) in conformity with accounting principles generally accepted in the United States of America.
| | | | | | |
Individual Fund Comprising the Metropolitan West Funds | | Statement of Operations | | Statement of Changes in Net Assets | | Financial Highlights |
| | | | |
Metropolitan West Corporate Bond Fund | | For the year ended March 31, 2023 | | For the years ended March 31, 2023 and 2022 | | For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019 |
| | | | |
Metropolitan West Investment Grade Credit Fund | | For the year ended March 31, 2023 | | For the years ended March 31, 2023 and 2022 | | For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019 |
| | | | |
| Metropolitan West Flexible Income Fund | | For the year ended March 31, 2023 | | For the years ended March 31, 2023 and 2022 | | For the years ended March 31, 2023, March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019 |
365 / Annual Report March 2023
| | | | | | |
Metropolitan West Opportunistic High Income Credit Fund | | For the year ended March 31, 2023 | | For the year ended March 31, 2023 and the period from August 2, 2021 (commencement of operations) through March 31, 2022 | | For the year ended March 31, 2023 and the period from August 2, 2021 (commencement of operations) through March 31, 2022 |
| | | | |
| Metropolitan West ESG Securitized Fund | | For the year ended March 31, 2023 | | For the year ended March 31, 2023 and the period from October 1, 2021 (commencement of operations) through March 31, 2022 | | For the year ended March 31, 2023 and the period from October 1, 2021 (commencement of operations) through March 31, 2022 |
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2023, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
May 25, 2023
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
Annual Report March 2023 / 366
Metropolitan West Funds
Tax Information Notice
(Unaudited)
For shareholders that do not have a March 31, 2023 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2023 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2023, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | ALPHATRAK
500 FUND | | CORPORATE BOND FUND | | ESG
SECURITIZED
FUND | | FLEXIBLE INCOME FUND | | FLOATING
RATE
INCOME
FUND | | HIGH YIELD
BOND FUND |
| | | | | | |
Net Investment Income Distributions | | | 59.60 | % | | | 100.00 | % | | | 100.00 | % | | | 100.00 | % | | | 100.00 | % | | | 100.00 | % |
| | | | | | |
Short-Term Capital Gain Distributions | | | 2.71 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Long-Term Capital Gain Distributions | | | 37.69 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Return of Capital | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Tax-Exempt Interest | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Qualifying For Corporate Dividends Rec Deduction (1) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.10 | % | | | 0.00 | % |
| | | | | | |
Qualifying Dividend Income (2) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
U.S. Government Interest (3) | | | 9.71 | % | | | 3.32 | % | | | 14.73 | % | | | 3.50 | % | | | 0.86 | % | | | 0.67 | % |
| | | | | | |
Foreign Tax Credit (4) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Qualified Interest Income (5) | | | 79.33 | % | | | 85.47 | % | | | 89.23 | % | | | 90.20 | % | | | 99.72 | % | | | 93.54 | % |
| | | | | | |
Qualified Short-Term Capital Gain (6) | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | INTERMEDIATE
BOND FUND | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION
BOND FUND | | OPPORTUNISTIC
HIGH INCOME
CREDIT FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND |
| | | | | | |
Net Investment Income Distributions | | | 100.00 | % | | | 96.90 | % | | | 100.00 | % | | | 96.93 | % | | | 100.00 | % | | | 100.00 | % |
| | | | | | |
Short-Term Capital Gain Distributions | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.28 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Long-Term Capital Gain Distributions | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Return of Capital | | | 0.00 | % | | | 3.10 | % | | | 0.00 | % | | | 2.79 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Tax-Exempt Interest | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Qualifying For Corporate Dividends Rec Deduction (1) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 1.20 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Qualifying Dividend Income (2) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 1.08 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
U.S. Government Interest (3) | | | 38.46 | % | | | 2.43 | % | | | 20.84 | % | | | 0.73 | % | | | 4.04 | % | | | 27.37 | % |
| | | | | | |
Foreign Tax Credit (4) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
Qualified Interest Income (5) | | | 86.52 | % | | | 93.83 | % | | | 87.27 | % | | | 93.37 | % | | | 89.93 | % | | | 83.79 | % |
| | | | | | |
Qualified Short-Term Capital Gain (6) | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 100.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND | | | | | | | | |
| | | | | | |
Net Investment Income Distributions | | | 100.00 | % | | | 100.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Short-Term Capital Gain Distributions | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Long-Term Capital Gain Distributions | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Return of Capital | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Tax-Exempt Interest | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Qualifying For Corporate Dividends Rec Deduction (1) | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Qualifying Dividend Income (2) | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
U.S. Government Interest (3) | | | 29.43 | % | | | 2.17 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Foreign Tax Credit (4) | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Qualified Interest Income (5) | | | 86.20 | % | | | 79.24 | % | | | | | | | | | | | | | | | | |
| | | | | | |
Qualified Short-Term Capital Gain (6) | | | 0.00 | % | | | 0.00 | % | | | | | | | | | | | | | | | | |
367 / Annual Report March 2023
| (1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
| (2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
| (3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short- term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund. |
| (4) | Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income). |
| (5) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions. |
| (6) | The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions. |
Annual Report March 2023 / 368
Liquidity Risk Management Program (Unaudited)
Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 6, 2023, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2022 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
369 / Annual Report March 2023
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 | | TCW Star Direct Lending LLC |
Effective February 2023
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, TCW Direct Lending VIII LLC, and TCW Star Direct Lending 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.
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| 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. |
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| 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.
Annual Report March 2023 / 370
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, TCW Direct Lending VIII LLC, and TCW Star Direct Lending 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. | | TCW DIRECT LENDING LLC |
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TCW FUNDS, INC. | | TCW DIRECT LENDING VII LLC |
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TCW STRATEGIC INCOME FUND, INC. | | TCW DIRECT LENDING VIII LLC |
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METROPOLITAN WEST FUNDS | | TCW STAR DIRECT LENDING LLC |
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SEPULVEDA MANAGEMENT LLC | | |
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Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com |
371 / Annual Report March 2023
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MANAGEMENT INFORMATION
TRUSTEES AND OFFICERS (Unaudited)
The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.
| | | | | | | | | | |
NAME AND
YEAR OF BIRTH*** | | POSITION(S)
HELD WITH
TRUST | | TERM OF
OFFICE AND LENGTH OF TIME
SERVED | | PRINCIPAL OCCUPATIONS DURING
PAST FIVE YEARS | | NUMBER
OF FUNDS IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE | | OTHER
DIRECTORSHIPS
HELD
BY TRUSTEE |
|
| Independent Trustees of the Trust* |
| | | | | |
Ronald J. Consiglio (1943) | | Trustee | | Indefinite term, since 2003 | | Managing Director (since 1999), Synergy Trading (securities-trading partnership). | | 14 | | Mannkind Corp. (pharmaceutical preparations) |
| | | | | |
Patrick C. Haden (1953) | | Trustee | | Indefinite term, since 2010 | | President (since 2003), Wilson Ave. Consulting (business consulting firm). | | 33 | | Auto Club (affiliate of AAA); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund) |
| | | | | |
Martin Luther King III (1957) | | Trustee and Chairman of the Nominating and Governance Committee | | Indefinite term, since 1997 | | President and Chief Executive Officer (since 1998), The King Center (non-profit organization). Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980. | | 14 | | None |
| | | | | |
Peter McMillan (1957) | | Trustee | | Indefinite term, since 2008 | | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 - 2019), KBS Capital Advisors (a manager of real estate investment trusts). | | 33 | | Pacific Oak Strategic Opportunity REIT (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund); TCW DL VII Financing LLC (private fund) |
Annual Report March 2023 / 374
| | | | | | | | | | |
NAME AND
YEAR OF BIRTH*** | | POSITION(S)
HELD WITH
TRUST | | TERM OF
OFFICE AND LENGTH OF TIME
SERVED | | PRINCIPAL OCCUPATIONS DURING
PAST FIVE YEARS | | NUMBER
OF FUNDS IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE | | OTHER
DIRECTORSHIPS
HELD
BY TRUSTEE |
| | | | | |
Robert G. Rooney (1957) | | Trustee and Chairman of the Audit Committee | | Indefinite term, since 2009 | | Founder (since August 2022), RGR Advisors CT, LLC (financial advisory firm); Senior Financial Advisor (August 2020 – March 2021) and Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 – November 2018), Citizens Parking Inc. (parking services company). | | 14 | | None |
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Andrew Tarica (1959) | | Trustee and Chairman of the Board | | Indefinite term, since 2002 and 2008, respectively | | Director of Fixed Income (since February 2022), Forest Road Securities (broker-dealer); Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); Employee (2003 – January 2022), Cowen Prime Services (broker-dealer). | | 33 | | TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company) ; TCW Direct Lending VIII, LLC (business development company); TCW Star Direct Lending, LLC (business development company) |
|
| Interested Trustees** |
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Laird Landmann (1964) | | Trustee and Executive Vice President | | Indefinite term, since 2008 and 2007, respectively | | President and Generalist Portfolio Manager (since 1996), the Adviser; Group Managing Director (since 2010), The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. | | 14 | | TCW Direct Lending, LLC (business development company); TCW Direct Lending VII, LLC (business development company); TCW Direct Lending VIII, LLC (business development company); TCW Star Direct Lending, LLC (business development company) |
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Patrick Moore (1964) | | Trustee | | Indefinite term, since 2014 | | Group Managing Director (since 2000), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Mr. Moore is a member of the CFA Institute. | | 14 | | None |
| | | |
| | Officers of the Trust who are not Trustees | | | | |
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Kathryn Koch (1980) | | President and Principal Executive Officer | | Indefinite term, since February 2023 | | President and Chief Executive Officer (since February 2023), The TCW Group, Inc., TCW LLC, the Advisor, TCW Investment Management Company LLC, TCW Asset Management Company LLC, TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Chief Investment Officer of Public Equity (2004 – January 2023), Goldman Sachs. | | 1 | | TCW Strategic Income Fund, Inc. (closed-end fund) |
375 / Annual Report March 2023
| | | | | | | | | | |
NAME AND
YEAR OF BIRTH*** | | POSITION(S)
HELD WITH
TRUST | | TERM OF
OFFICE AND LENGTH OF TIME
SERVED | | PRINCIPAL OCCUPATIONS DURING
PAST FIVE YEARS **** | | NUMBER
OF FUNDS IN
FUND
COMPLEX
OVERSEEN
BY
TRUSTEE | | OTHER
DIRECTORSHIPS
HELD
BY TRUSTEE |
| | | | | |
Richard Villa (1964) | | Treasurer, Principal Financial Officer and Principal Accounting Officer | | Indefinite term, since February 2021 | | Executive Vice President, Chief Financial Officer and Assistant Secretary (since 2008), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and The TCW Group, Inc. and (since 2016), TCW LLC; Treasurer and Principal Financial Officer and Accounting Officer (since 2014), TCW Funds, Inc. and TCW Strategic Income Fund, Inc. | | N/A | | N/A |
| | | | | |
Eric Chan (1978) | | Assistant Treasurer | | Indefinite term, since 2010 | | Managing Director of Fund Operations (since November 2006), the Adviser and (since 2009), TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC; Assistant Treasurer (since 2009), TCW Funds, Inc. and TCW Strategic Income Fund, Inc. Mr. Chan is a Certified Public Accountant. | | N/A | | N/A |
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Stephen M. Kane (1962) | | Executive Vice President | | Indefinite term, since 2007 | | Group Managing Director (since August 1996), the Adviser and (since 2010), TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. | | N/A | | N/A |
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Gladys Xiques (1973) | | Chief Compliance Officer and Anti- Money Laundering Officer | | Indefinite term, since January 2021 | | Group Managing Director and Global Chief Compliance Officer (since January 2021), the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC; Global Chief Compliance Officer of The TCW Group, Inc. (since January 2021); Chief Compliance Officer and AML Officer (since January 2021), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Senior Vice President (February 2015 – December 2020), the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC. | | N/A | | N/A |
| | | | | |
Meredith Jackson (1959) | | Vice President and Secretary | | Indefinite term, since 2013 | | Executive Vice President, General Counsel and Secretary (since February 2013), the Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., TCW Asset Management Company LLC and (since January 2016), TCW LLC; Senior Vice President, General Counsel and Secretary (since February 2013), TCW Funds, Inc. and TCW Strategic Income Fund, Inc. | | N/A | | N/A |
| | | | | |
Peter Davidson (1972) | | Vice President and Assistant Secretary | | Indefinite term, since September 2022 | | Senior Vice President, Associate General Counsel and Assistant Secretary (since July 2022), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC, TCW LLC; Vice President and Assistant Secretary (since September 2022), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Assistant General Counsel – Investment Products and Advisory Services (2020 – July 2022), The Northwestern Mutual Life Insurance Company; Associate General Counsel (2019 – August 2020), Resolute Investment Managers; Assistant General Counsel (2003 – October 2019), Invesco Ltd. | | N/A | | N/A |
| * | Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act. |
| ** | Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser. |
| *** | For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
| **** | Positions with The TCW Group, Inc. and its affiliates may have changed over time. |
Annual Report March 2023 / 376
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
Kathryn Koch
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.
P.O. Box 534453
Pittsburgh, PA 15253-4453
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 5/2023
Item 2. Code of Ethics.
| | (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| | (c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| | (d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
| (f)(1) | Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
| | (a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $610,054 for 2023 and $592,285 in 2022. |
Audit-Related Fees
| | (b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2023 and $0 in 2022. |
Tax Fees
| | (c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $130,998 for 2023 and $115,878 in 2022. |
All Other Fees
| | (d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0for 2023 and $0 in 2022. |
| | (e) | Audit Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
(e)(1) Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) N/A
(c) 100%
(d) N/A
| | (f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%. |
| | (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $1,167,405 for 2023 and $868,519 in 2022. |
| | (h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
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/ Kathryn Koch |
| | Kathryn Koch, President and Principal Executive Officer (principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By (Signature and Title)* | | /s/ Kathryn Koch |
| | Kathryn Koch, President and Principal Executive Officer (principal executive officer) |
| | |
| By (Signature and Title)* | | /s/ Richard Villa |
| | Richard Villa, Treasurer, Principal Financial Officer and Principal Accounting Officer (principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
