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 | | |
| | |
| | TCW Metropolitan West Funds | | |
| | (Exact name of registrant as specified in charter) | | |
| | |
| | 515 South Flower Street | | |
| | Los Angeles, CA 90071 | | |
| | (Address of principal executive offices) (Zip code) | | |
| | |
| | Peter Davidson, Esq. | | |
| | Vice President and Secretary | | |
| | 515 South Flower Street | | |
| | Los Angeles, CA 90071 | | |
| | (Name and address of agent for service) | | |
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: March 31
Date of reporting period: September 30, 2024
Item 1. Reports to Stockholders.
(a) The Reports to Shareholders of each Fund are attached herewith.
TCW MetWest AlphaTrak 500 Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest AlphaTrak 500 Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $24 | 0.45% |
- Total Net Assets$30,450,451
- # of Portfolio Holdings159
- Portfolio Turnover Rate160%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Short-Term Investments | 32.64% |
| Mortgage-Backed | 27.51% |
| Corporates | 26.17% |
| Mutual Funds | 12.67% |
| U.S. Treasury Securities | 7.37% |
| Asset-Backed Securities | 6.14% |
| Municipal Bonds | 0.76% |
| Common Stock | 0.08% |
| Liabilities in Excess of Other Assets | (13.34)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 19.29% |
| iShares Core S&P 500 ETF | 12.67% |
| U.S. Treasury Notes (WI) | 7.37% |
| Ginnie Mae | 1.95% |
| Fannie Mae REMICS | 1.94% |
| Ginnie Mae (TBA) | 1.89% |
| Bank of America Corp. | 1.75% |
| JPMorgan Chase & Co. | 1.65% |
| Wells Fargo & Co. | 1.47% |
| Morgan Stanley | 1.25% |
The Metropolitan West AlphaTrak 500 Fund was renamed to the TCW MetWest AlphaTrak 500 Fund on July 29, 2024. On October 30, 2024, the TCW MetWest AlphaTrak 500 Fund was closed.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest AlphaTrak 500 Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Corporate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Corporate Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $26 | 0.50% |
- Total Net Assets$4,974,021
- # of Portfolio Holdings257
- Portfolio Turnover Rate46%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 83.02% |
| U.S. Treasury Securities | 9.39% |
| Short-Term Investments | 2.97% |
| Municipal Bonds | 2.55% |
| Asset-Backed Securities | 0.67% |
| Mortgage-Backed | 0.64% |
| Liabilities in Excess of Other Assets | 0.76% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Bonds (WI) | 7.33% |
| Bank of America Corp. | 3.03% |
| Wells Fargo & Co. | 2.36% |
| JPMorgan Chase & Co. | 2.23% |
| Morgan Stanley | 2.08% |
| U.S. Treasury Notes | 1.98% |
| Goldman Sachs Group, Inc. (The) | 1.91% |
| Citigroup, Inc. | 1.62% |
| T-Mobile USA, Inc. | 1.49% |
| HSBC Holdings PLC | 1.42% |
The Metropolitan West Corporate Bond Fund was renamed to the TCW MetWest Corporate Bond Fund on July 29, 2024. On November 18, 2024, the TCW MetWest Corporate Bond Fund was reorganized into the TCW Corporate Bond ETF, a new series of the TCW ETF Trust, as previously announced.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Corporate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Corporate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Corporate Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $39 | 0.75% |
- Total Net Assets$4,974,021
- # of Portfolio Holdings257
- Portfolio Turnover Rate46%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 83.02% |
| U.S. Treasury Securities | 9.39% |
| Short-Term Investments | 2.97% |
| Municipal Bonds | 2.55% |
| Asset-Backed Securities | 0.67% |
| Mortgage-Backed | 0.64% |
| Liabilities in Excess of Other Assets | 0.76% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Bonds (WI) | 7.33% |
| Bank of America Corp. | 3.03% |
| Wells Fargo & Co. | 2.36% |
| JPMorgan Chase & Co. | 2.23% |
| Morgan Stanley | 2.08% |
| U.S. Treasury Notes | 1.98% |
| Goldman Sachs Group, Inc. (The) | 1.91% |
| Citigroup, Inc. | 1.62% |
| T-Mobile USA, Inc. | 1.49% |
| HSBC Holdings PLC | 1.42% |
The Metropolitan West Corporate Bond Fund was renamed to the TCW MetWest Corporate Bond Fund on July 29, 2024. On November 18, 2024, the TCW MetWest Corporate Bond Fund was reorganized into the TCW Corporate Bond ETF, a new series of the TCW ETF Trust, as previously announced.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Corporate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Floating Rate Income Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Floating Rate Income Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $36 | 0.70% |
- Total Net Assets$295,394,644
- # of Portfolio Holdings358
- Portfolio Turnover Rate52%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Bank Loans | 89.92% |
| Short-Term Investments | 12.49% |
| Corporates | 3.42% |
| Asset-Backed Securities | 0.99% |
| U.S. Treasury Securities | 0.49% |
| Preferred Stock | 0.12% |
| Common Stock | 0.10% |
| Liabilities in Excess of Other Assets | (7.53)% |
Top Ten Holdings (as a % of Net Assets)
| Alpha Generation LLC | 0.98% |
| EagleView Technology Co. | 0.85% |
| Magnite, Inc. | 0.83% |
| Asurion LLC | 0.77% |
| Osmosis Buyer Ltd. | 0.77% |
| Catalent Pharma Solutions, Inc. | 0.68% |
| Xerox Corp. | 0.65% |
| Vantage Elevator Solutions | 0.64% |
| Parexel International, Inc. | 0.63% |
| Element Materials Technology Group U.S. Holdings, Inc. | 0.62% |
The Metropolitan West Floating Rate Income Fund was renamed to the TCW MetWest Floating Rate Income Fund on July 29, 2024. On November 18, 2024, the TCW MetWest Floating Rate Income Fund was reorganized into the TCW Senior Loan ETF, a new series of the TCW ETF Trust, as previously announced.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Floating Rate Income Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Floating Rate Income Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Floating Rate Income Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $46 | 0.90% |
- Total Net Assets$295,394,644
- # of Portfolio Holdings358
- Portfolio Turnover Rate52%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Bank Loans | 89.92% |
| Short-Term Investments | 12.49% |
| Corporates | 3.42% |
| Asset-Backed Securities | 0.99% |
| U.S. Treasury Securities | 0.49% |
| Preferred Stock | 0.12% |
| Common Stock | 0.10% |
| Liabilities in Excess of Other Assets | (7.53)% |
Top Ten Holdings (as a % of Net Assets)
| Alpha Generation LLC | 0.98% |
| EagleView Technology Co. | 0.85% |
| Magnite, Inc. | 0.83% |
| Asurion LLC | 0.77% |
| Osmosis Buyer Ltd. | 0.77% |
| Catalent Pharma Solutions, Inc. | 0.68% |
| Xerox Corp. | 0.65% |
| Vantage Elevator Solutions | 0.64% |
| Parexel International, Inc. | 0.63% |
| Element Materials Technology Group U.S. Holdings, Inc. | 0.62% |
The Metropolitan West Floating Rate Income Fund was renamed to the TCW MetWest Floating Rate Income Fund on July 29, 2024. On November 18, 2024, the TCW MetWest Floating Rate Income Fund was reorganized into the TCW Senior Loan ETF, a new series of the TCW ETF Trust, as previously announced.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Floating Rate Income Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest High Yield Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest High Yield Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $31 | 0.60% |
- Total Net Assets$470,649,106
- # of Portfolio Holdings299
- Portfolio Turnover Rate31%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 73.64% |
| Bank Loans | 17.10% |
| Short-Term Investments | 10.93% |
| Common Stock | 0.51% |
| Liabilities in Excess of Other Assets | (2.18)% |
Top Ten Holdings (as a % of Net Assets)
| CCO Holdings LLC/CCO Holdings Capital Corp. | 2.72% |
| Tenet Healthcare Corp. | 2.60% |
| Centene Corp. | 2.56% |
| Post Holdings, Inc. | 1.80% |
| Ford Motor Credit Co. LLC | 1.74% |
| TransDigm, Inc. | 1.64% |
| CSC Holdings LLC | 1.37% |
| Frontier Communications Holdings LLC | 1.31% |
| GLP Capital LP/GLP Financing II, Inc. | 1.31% |
| Ferrellgas LP/Ferrellgas Finance Corp. | 1.22% |
The Metropolitan West High Yield Bond Fund was renamed to the TCW MetWest High Yield Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest High Yield Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest High Yield Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest High Yield Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $44 | 0.85% |
- Total Net Assets$470,649,106
- # of Portfolio Holdings299
- Portfolio Turnover Rate31%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 73.64% |
| Bank Loans | 17.10% |
| Short-Term Investments | 10.93% |
| Common Stock | 0.51% |
| Liabilities in Excess of Other Assets | (2.18)% |
Top Ten Holdings (as a % of Net Assets)
| CCO Holdings LLC/CCO Holdings Capital Corp. | 2.72% |
| Tenet Healthcare Corp. | 2.60% |
| Centene Corp. | 2.56% |
| Post Holdings, Inc. | 1.80% |
| Ford Motor Credit Co. LLC | 1.74% |
| TransDigm, Inc. | 1.64% |
| CSC Holdings LLC | 1.37% |
| Frontier Communications Holdings LLC | 1.31% |
| GLP Capital LP/GLP Financing II, Inc. | 1.31% |
| Ferrellgas LP/Ferrellgas Finance Corp. | 1.22% |
The Metropolitan West High Yield Bond Fund was renamed to the TCW MetWest High Yield Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest High Yield Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Intermediate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Intermediate Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $25 | 0.48% |
- Total Net Assets$886,917,579
- # of Portfolio Holdings544
- Portfolio Turnover Rate327%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| U.S. Treasury Securities | 54.09% |
| Mortgage-Backed | 26.06% |
| Corporates | 20.74% |
| Asset-Backed Securities | 5.99% |
| Short-Term Investments | 4.38% |
| Municipal Bonds | 0.85% |
| Bank Loans | 0.84% |
| Common Stock | 0.06% |
| Liabilities in Excess of Other Assets | (13.01)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 37.24% |
| U.S. Treasury Notes | 16.86% |
| UMBS (TBA) | 7.84% |
| Ginnie Mae (TBA) | 3.28% |
| JPMorgan Chase & Co. | 1.05% |
| Fannie Mae Pool MA4733 | 0.94% |
| Bank of America Corp. | 0.78% |
| Wells Fargo & Co. | 0.74% |
| PRPM LLC | 0.67% |
| WarnerMedia Holdings, Inc. | 0.63% |
The Metropolitan West Intermediate Bond Fund was renamed to the TCW MetWest Intermediate Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Intermediate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Intermediate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Intermediate Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $36 | 0.70% |
- Total Net Assets$886,917,579
- # of Portfolio Holdings544
- Portfolio Turnover Rate327%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| U.S. Treasury Securities | 54.09% |
| Mortgage-Backed | 26.06% |
| Corporates | 20.74% |
| Asset-Backed Securities | 5.99% |
| Short-Term Investments | 4.38% |
| Municipal Bonds | 0.85% |
| Bank Loans | 0.84% |
| Common Stock | 0.06% |
| Liabilities in Excess of Other Assets | (13.01)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 37.24% |
| U.S. Treasury Notes | 16.86% |
| UMBS (TBA) | 7.84% |
| Ginnie Mae (TBA) | 3.28% |
| JPMorgan Chase & Co. | 1.05% |
| Fannie Mae Pool MA4733 | 0.94% |
| Bank of America Corp. | 0.78% |
| Wells Fargo & Co. | 0.74% |
| PRPM LLC | 0.67% |
| WarnerMedia Holdings, Inc. | 0.63% |
The Metropolitan West Intermediate Bond Fund was renamed to the TCW MetWest Intermediate Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Intermediate Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Investment Grade Credit Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Investment Grade Credit Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $25 | 0.49% |
- Total Net Assets$27,827,390
- # of Portfolio Holdings417
- Portfolio Turnover Rate228%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 51.20% |
| Mortgage-Backed | 30.22% |
| U.S. Treasury Securities | 24.95% |
| Asset-Backed Securities | 4.04% |
| Municipal Bonds | 1.65% |
| Short-Term Investments | 1.55% |
| Liabilities in Excess of Other Assets | (13.61)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 12.89% |
| U.S. Treasury Notes (WI) | 12.07% |
| UMBS (TBA) | 10.60% |
| Ginnie Mae (TBA) | 3.17% |
| JPMorgan Chase & Co. | 2.27% |
| Bank of America Corp. | 2.06% |
| Morgan Stanley | 1.39% |
| Wells Fargo & Co. | 1.26% |
| Citigroup, Inc. | 1.03% |
| Goldman Sachs Group, Inc. (The) | 0.84% |
The Metropolitan West Investment Grade Credit Fund was renamed to the TCW MetWest Investment Grade Credit Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Investment Grade Credit Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Investment Grade Credit Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Investment Grade Credit Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $36 | 0.70% |
- Total Net Assets$27,827,390
- # of Portfolio Holdings417
- Portfolio Turnover Rate228%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Corporates | 51.20% |
| Mortgage-Backed | 30.22% |
| U.S. Treasury Securities | 24.95% |
| Asset-Backed Securities | 4.04% |
| Municipal Bonds | 1.65% |
| Short-Term Investments | 1.55% |
| Liabilities in Excess of Other Assets | (13.61)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 12.89% |
| U.S. Treasury Notes (WI) | 12.07% |
| UMBS (TBA) | 10.60% |
| Ginnie Mae (TBA) | 3.17% |
| JPMorgan Chase & Co. | 2.27% |
| Bank of America Corp. | 2.06% |
| Morgan Stanley | 1.39% |
| Wells Fargo & Co. | 1.26% |
| Citigroup, Inc. | 1.03% |
| Goldman Sachs Group, Inc. (The) | 0.84% |
The Metropolitan West Investment Grade Credit Fund was renamed to the TCW MetWest Investment Grade Credit Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Investment Grade Credit Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Low Duration Bond Fund
Administrative Class: MWLNX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Low Duration Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Administrative Class | $36 | 0.71% |
- Total Net Assets$1,058,291,219
- # of Portfolio Holdings424
- Portfolio Turnover Rate214%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 57.01% |
| Corporates | 27.75% |
| U.S. Treasury Securities | 12.44% |
| Short-Term Investments | 12.34% |
| Asset-Backed Securities | 8.46% |
| Bank Loans | 1.25% |
| Municipal Bonds | 1.14% |
| Liabilities in Excess of Other Assets | (20.39)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 16.54% |
| U.S. Treasury Notes (WI) | 8.32% |
| Ginnie Mae | 4.89% |
| U.S. Treasury Notes | 4.12% |
| Ginnie Mae (TBA) | 3.99% |
| Fannie Mae REMICS | 2.56% |
| PRPM LLC | 1.79% |
| JPMorgan Mortgage Acquisition Trust | 1.69% |
| JPMorgan Chase & Co. | 1.57% |
| BX Commercial Mortgage Trust | 1.45% |
The Metropolitan West Low Duration Bond Fund was renamed to the TCW MetWest Low Duration Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Low Duration Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
Administrative Class: MWLNX
TCW MetWest Low Duration Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Low Duration Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $23 | 0.44% |
- Total Net Assets$1,058,291,219
- # of Portfolio Holdings424
- Portfolio Turnover Rate214%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 57.01% |
| Corporates | 27.75% |
| U.S. Treasury Securities | 12.44% |
| Short-Term Investments | 12.34% |
| Asset-Backed Securities | 8.46% |
| Bank Loans | 1.25% |
| Municipal Bonds | 1.14% |
| Liabilities in Excess of Other Assets | (20.39)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 16.54% |
| U.S. Treasury Notes (WI) | 8.32% |
| Ginnie Mae | 4.89% |
| U.S. Treasury Notes | 4.12% |
| Ginnie Mae (TBA) | 3.99% |
| Fannie Mae REMICS | 2.56% |
| PRPM LLC | 1.79% |
| JPMorgan Mortgage Acquisition Trust | 1.69% |
| JPMorgan Chase & Co. | 1.57% |
| BX Commercial Mortgage Trust | 1.45% |
The Metropolitan West Low Duration Bond Fund was renamed to the TCW MetWest Low Duration Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Low Duration Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Low Duration Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Low Duration Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $32 | 0.63% |
- Total Net Assets$1,058,291,219
- # of Portfolio Holdings424
- Portfolio Turnover Rate214%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 57.01% |
| Corporates | 27.75% |
| U.S. Treasury Securities | 12.44% |
| Short-Term Investments | 12.34% |
| Asset-Backed Securities | 8.46% |
| Bank Loans | 1.25% |
| Municipal Bonds | 1.14% |
| Liabilities in Excess of Other Assets | (20.39)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 16.54% |
| U.S. Treasury Notes (WI) | 8.32% |
| Ginnie Mae | 4.89% |
| U.S. Treasury Notes | 4.12% |
| Ginnie Mae (TBA) | 3.99% |
| Fannie Mae REMICS | 2.56% |
| PRPM LLC | 1.79% |
| JPMorgan Mortgage Acquisition Trust | 1.69% |
| JPMorgan Chase & Co. | 1.57% |
| BX Commercial Mortgage Trust | 1.45% |
The Metropolitan West Low Duration Bond Fund was renamed to the TCW MetWest Low Duration Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Low Duration Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Strategic Income Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Strategic Income Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $41 | 0.80% |
- Total Net Assets$68,904,167
- # of Portfolio Holdings528
- Portfolio Turnover Rate109%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 52.37% |
| Corporates | 23.71% |
| Short-Term Investments | 18.49% |
| Asset-Backed Securities | 15.92% |
| Municipal Bonds | 0.15% |
| Common Stock | 0.11% |
| Liabilities in Excess of Other Assets | (10.75)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 5.51% |
| Ginnie Mae (TBA) | 3.73% |
| CIM Trust | 2.37% |
| SLM Student Loan Trust | 2.19% |
| GSAA Home Equity Trust | 2.09% |
| FirstKey Homes Trust | 1.45% |
| Progress Residential | 1.44% |
| JPMorgan Chase & Co. | 1.43% |
| Bank of America Corp. | 1.32% |
| First Franklin Mortgage Loan Trust | 1.22% |
The Metropolitan West Strategic Income Fund was renamed to the TCW MetWest Strategic Income Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Strategic Income Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Strategic Income Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Strategic Income Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $53 | 1.04% |
- Total Net Assets$68,904,167
- # of Portfolio Holdings528
- Portfolio Turnover Rate109%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 52.37% |
| Corporates | 23.71% |
| Short-Term Investments | 18.49% |
| Asset-Backed Securities | 15.92% |
| Municipal Bonds | 0.15% |
| Common Stock | 0.11% |
| Liabilities in Excess of Other Assets | (10.75)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 5.51% |
| Ginnie Mae (TBA) | 3.73% |
| CIM Trust | 2.37% |
| SLM Student Loan Trust | 2.19% |
| GSAA Home Equity Trust | 2.09% |
| FirstKey Homes Trust | 1.45% |
| Progress Residential | 1.44% |
| JPMorgan Chase & Co. | 1.43% |
| Bank of America Corp. | 1.32% |
| First Franklin Mortgage Loan Trust | 1.22% |
The Metropolitan West Strategic Income Fund was renamed to the TCW MetWest Strategic Income Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Strategic Income Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Sustainable Securitized Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Sustainable Securitized Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $26 | 0.49% |
- Total Net Assets$11,929,880
- # of Portfolio Holdings158
- Portfolio Turnover Rate182%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 76.83% |
| Asset-Backed Securities | 20.59% |
| U.S. Treasury Securities | 8.56% |
| Short-Term Investments | 4.09% |
| Liabilities in Excess of Other Assets | (10.07)% |
Top Ten Holdings (as a % of Net Assets)
| Ginnie Mae | 7.42% |
| UMBS (TBA) | 5.52% |
| U.S. Treasury Bonds (WI) | 4.15% |
| Ginnie Mae (TBA) | 3.81% |
| U.S. Treasury Notes | 3.66% |
| Credit Suisse Mortgage Capital Trust | 2.47% |
| BX Trust | 2.15% |
| MHC Trust | 1.93% |
| Commercial Mortgage Trust | 1.79% |
| GoodLeap Sustainable Home Solutions Trust | 1.62% |
The Metropolitan West Sustainable Securitized Fund was renamed to the TCW MetWest Sustainable Securitized Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Sustainable Securitized Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Sustainable Securitized Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Sustainable Securitized Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $37 | 0.70% |
- Total Net Assets$11,929,880
- # of Portfolio Holdings158
- Portfolio Turnover Rate182%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 76.83% |
| Asset-Backed Securities | 20.59% |
| U.S. Treasury Securities | 8.56% |
| Short-Term Investments | 4.09% |
| Liabilities in Excess of Other Assets | (10.07)% |
Top Ten Holdings (as a % of Net Assets)
| Ginnie Mae | 7.42% |
| UMBS (TBA) | 5.52% |
| U.S. Treasury Bonds (WI) | 4.15% |
| Ginnie Mae (TBA) | 3.81% |
| U.S. Treasury Notes | 3.66% |
| Credit Suisse Mortgage Capital Trust | 2.47% |
| BX Trust | 2.15% |
| MHC Trust | 1.93% |
| Commercial Mortgage Trust | 1.79% |
| GoodLeap Sustainable Home Solutions Trust | 1.62% |
The Metropolitan West Sustainable Securitized Fund was renamed to the TCW MetWest Sustainable Securitized Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Sustainable Securitized Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Total Return Bond Fund
Administrative Class: MWTNX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Total Return Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Administrative Class | $40 | 0.78% |
- Total Net Assets$43,135,561,029
- # of Portfolio Holdings1,608
- Portfolio Turnover Rate223%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 54.47% |
| U.S. Treasury Securities | 29.59% |
| Corporates | 17.04% |
| Asset-Backed Securities | 5.34% |
| Short-Term Investments | 4.26% |
| Bank Loans | 1.43% |
| Foreign Government Obligations | 0.65% |
| Municipal Bonds | 0.41% |
| Common Stock | 0.18% |
| Liabilities in Excess of Other Assets | (13.37)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 10.06% |
| U.S. Treasury Bonds (WI) | 9.64% |
| U.S. Treasury Notes | 9.13% |
| UMBS (TBA) | 7.66% |
| Ginnie Mae (TBA) | 4.99% |
| CIM Trust | 4.11% |
| Ginnie Mae | 1.14% |
| Fannie Mae Pool MA4626 | 1.07% |
| Credit Suisse Mortgage Capital Trust | 1.06% |
| Bank of America Corp. | 0.82% |
The Metropolitan West Total Return Bond Fund was renamed to the TCW MetWest Total Return Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
Administrative Class: MWTNX
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Total Return Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $23 | 0.45% |
- Total Net Assets$43,135,561,029
- # of Portfolio Holdings1,608
- Portfolio Turnover Rate223%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 54.47% |
| U.S. Treasury Securities | 29.59% |
| Corporates | 17.04% |
| Asset-Backed Securities | 5.34% |
| Short-Term Investments | 4.26% |
| Bank Loans | 1.43% |
| Foreign Government Obligations | 0.65% |
| Municipal Bonds | 0.41% |
| Common Stock | 0.18% |
| Liabilities in Excess of Other Assets | (13.37)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 10.06% |
| U.S. Treasury Bonds (WI) | 9.64% |
| U.S. Treasury Notes | 9.13% |
| UMBS (TBA) | 7.66% |
| Ginnie Mae (TBA) | 4.99% |
| CIM Trust | 4.11% |
| Ginnie Mae | 1.14% |
| Fannie Mae Pool MA4626 | 1.07% |
| Credit Suisse Mortgage Capital Trust | 1.06% |
| Bank of America Corp. | 0.82% |
The Metropolitan West Total Return Bond Fund was renamed to the TCW MetWest Total Return Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Total Return Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I-2 | $27 | 0.52% |
- Total Net Assets$43,135,561,029
- # of Portfolio Holdings1,608
- Portfolio Turnover Rate223%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 54.47% |
| U.S. Treasury Securities | 29.59% |
| Corporates | 17.04% |
| Asset-Backed Securities | 5.34% |
| Short-Term Investments | 4.26% |
| Bank Loans | 1.43% |
| Foreign Government Obligations | 0.65% |
| Municipal Bonds | 0.41% |
| Common Stock | 0.18% |
| Liabilities in Excess of Other Assets | (13.37)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 10.06% |
| U.S. Treasury Bonds (WI) | 9.64% |
| U.S. Treasury Notes | 9.13% |
| UMBS (TBA) | 7.66% |
| Ginnie Mae (TBA) | 4.99% |
| CIM Trust | 4.11% |
| Ginnie Mae | 1.14% |
| Fannie Mae Pool MA4626 | 1.07% |
| Credit Suisse Mortgage Capital Trust | 1.06% |
| Bank of America Corp. | 0.82% |
The Metropolitan West Total Return Bond Fund was renamed to the TCW MetWest Total Return Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Total Return Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $35 | 0.67% |
- Total Net Assets$43,135,561,029
- # of Portfolio Holdings1,608
- Portfolio Turnover Rate223%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 54.47% |
| U.S. Treasury Securities | 29.59% |
| Corporates | 17.04% |
| Asset-Backed Securities | 5.34% |
| Short-Term Investments | 4.26% |
| Bank Loans | 1.43% |
| Foreign Government Obligations | 0.65% |
| Municipal Bonds | 0.41% |
| Common Stock | 0.18% |
| Liabilities in Excess of Other Assets | (13.37)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 10.06% |
| U.S. Treasury Bonds (WI) | 9.64% |
| U.S. Treasury Notes | 9.13% |
| UMBS (TBA) | 7.66% |
| Ginnie Mae (TBA) | 4.99% |
| CIM Trust | 4.11% |
| Ginnie Mae | 1.14% |
| Fannie Mae Pool MA4626 | 1.07% |
| Credit Suisse Mortgage Capital Trust | 1.06% |
| Bank of America Corp. | 0.82% |
The Metropolitan West Total Return Bond Fund was renamed to the TCW MetWest Total Return Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Total Return Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Plan Class | $19 | 0.37% |
- Total Net Assets$43,135,561,029
- # of Portfolio Holdings1,608
- Portfolio Turnover Rate223%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 54.47% |
| U.S. Treasury Securities | 29.59% |
| Corporates | 17.04% |
| Asset-Backed Securities | 5.34% |
| Short-Term Investments | 4.26% |
| Bank Loans | 1.43% |
| Foreign Government Obligations | 0.65% |
| Municipal Bonds | 0.41% |
| Common Stock | 0.18% |
| Liabilities in Excess of Other Assets | (13.37)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes (WI) | 10.06% |
| U.S. Treasury Bonds (WI) | 9.64% |
| U.S. Treasury Notes | 9.13% |
| UMBS (TBA) | 7.66% |
| Ginnie Mae (TBA) | 4.99% |
| CIM Trust | 4.11% |
| Ginnie Mae | 1.14% |
| Fannie Mae Pool MA4626 | 1.07% |
| Credit Suisse Mortgage Capital Trust | 1.06% |
| Bank of America Corp. | 0.82% |
The Metropolitan West Total Return Bond Fund was renamed to the TCW MetWest Total Return Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Total Return Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Ultra Short Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Ultra Short Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $17 | 0.34% |
- Total Net Assets$47,123,670
- # of Portfolio Holdings200
- Portfolio Turnover Rate262%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 45.02% |
| U.S. Treasury Securities | 29.24% |
| Corporates | 25.92% |
| Short-Term Investments | 10.00% |
| Asset-Backed Securities | 7.26% |
| Municipal Bonds | 0.24% |
| Liabilities in Excess of Other Assets | (17.68)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 19.04% |
| UMBS (TBA) | 13.12% |
| Ginnie Mae | 7.06% |
| U.S. Treasury Notes (WI) | 6.26% |
| Ginnie Mae (TBA) | 4.11% |
| U.S. International Development Finance Corp. | 3.95% |
| Fannie Mae REMICS | 3.48% |
| JPMorgan Chase & Co. | 2.40% |
| Bank of America Corp. | 2.21% |
| Wells Fargo & Co. | 1.95% |
The Metropolitan West Ultra Short Bond Fund was renamed to the TCW MetWest Ultra Short Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Ultra Short Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Ultra Short Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Ultra Short Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $26 | 0.50% |
- Total Net Assets$47,123,670
- # of Portfolio Holdings200
- Portfolio Turnover Rate262%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 45.02% |
| U.S. Treasury Securities | 29.24% |
| Corporates | 25.92% |
| Short-Term Investments | 10.00% |
| Asset-Backed Securities | 7.26% |
| Municipal Bonds | 0.24% |
| Liabilities in Excess of Other Assets | (17.68)% |
Top Ten Holdings (as a % of Net Assets)
| U.S. Treasury Notes | 19.04% |
| UMBS (TBA) | 13.12% |
| Ginnie Mae | 7.06% |
| U.S. Treasury Notes (WI) | 6.26% |
| Ginnie Mae (TBA) | 4.11% |
| U.S. International Development Finance Corp. | 3.95% |
| Fannie Mae REMICS | 3.48% |
| JPMorgan Chase & Co. | 2.40% |
| Bank of America Corp. | 2.21% |
| Wells Fargo & Co. | 1.95% |
The Metropolitan West Ultra Short Bond Fund was renamed to the TCW MetWest Ultra Short Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Ultra Short Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Unconstrained Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class I | $39 | 0.76% |
- Total Net Assets$2,668,718,507
- # of Portfolio Holdings840
- Portfolio Turnover Rate78%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 60.40% |
| Corporates | 18.80% |
| Asset-Backed Securities | 13.29% |
| Short-Term Investments | 9.72% |
| Bank Loans | 3.41% |
| Foreign Government Obligations | 1.86% |
| Common Stock | 0.40% |
| Municipal Bonds | 0.32% |
| Liabilities in Excess of Other Assets | (8.20)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 4.90% |
| CIM Trust | 3.97% |
| Ginnie Mae (TBA) | 3.81% |
| SLM Student Loan Trust | 1.47% |
| JPMorgan Chase & Co. | 1.35% |
| Freddie Mac Pool SD8199 | 1.22% |
| Freddie Mac Pool SD8275 | 1.21% |
| IndyMac Index Mortgage Loan Trust | 1.13% |
| ACE Securities Corp. Home Equity Loan Trust | 1.10% |
| HSI Asset Securitization Corp. Trust | 1.01% |
The Metropolitan West Unconstrained Bond Fund was renamed to the TCW MetWest Unconstrained Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Unconstrained Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Class M | $54 | 1.04% |
- Total Net Assets$2,668,718,507
- # of Portfolio Holdings840
- Portfolio Turnover Rate78%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 60.40% |
| Corporates | 18.80% |
| Asset-Backed Securities | 13.29% |
| Short-Term Investments | 9.72% |
| Bank Loans | 3.41% |
| Foreign Government Obligations | 1.86% |
| Common Stock | 0.40% |
| Municipal Bonds | 0.32% |
| Liabilities in Excess of Other Assets | (8.20)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 4.90% |
| CIM Trust | 3.97% |
| Ginnie Mae (TBA) | 3.81% |
| SLM Student Loan Trust | 1.47% |
| JPMorgan Chase & Co. | 1.35% |
| Freddie Mac Pool SD8199 | 1.22% |
| Freddie Mac Pool SD8275 | 1.21% |
| IndyMac Index Mortgage Loan Trust | 1.13% |
| ACE Securities Corp. Home Equity Loan Trust | 1.10% |
| HSI Asset Securitization Corp. Trust | 1.01% |
The Metropolitan West Unconstrained Bond Fund was renamed to the TCW MetWest Unconstrained Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about the TCW MetWest Unconstrained Bond Fund for the six-month period ended September 30, 2024. You can find additional information about the Fund at www.tcw.com/Literature/Fund-Literature. You can also request this information by contacting us at 800-FUND-TCW (800-386-3829). This report contains material fund changes that occurred during the period ended September 30, 2024.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Class Name | Cost of a $10,000 Investment | Cost paid as a percentage of a $10,000 investment |
|---|
| Plan Class | $36 | 0.70% |
- Total Net Assets$2,668,718,507
- # of Portfolio Holdings840
- Portfolio Turnover Rate78%
What did the Fund invest in?
Asset Allocation (as a % of Net Assets)
| Mortgage-Backed | 60.40% |
| Corporates | 18.80% |
| Asset-Backed Securities | 13.29% |
| Short-Term Investments | 9.72% |
| Bank Loans | 3.41% |
| Foreign Government Obligations | 1.86% |
| Common Stock | 0.40% |
| Municipal Bonds | 0.32% |
| Liabilities in Excess of Other Assets | (8.20)% |
Top Ten Holdings (as a % of Net Assets)
| UMBS (TBA) | 4.90% |
| CIM Trust | 3.97% |
| Ginnie Mae (TBA) | 3.81% |
| SLM Student Loan Trust | 1.47% |
| JPMorgan Chase & Co. | 1.35% |
| Freddie Mac Pool SD8199 | 1.22% |
| Freddie Mac Pool SD8275 | 1.21% |
| IndyMac Index Mortgage Loan Trust | 1.13% |
| ACE Securities Corp. Home Equity Loan Trust | 1.10% |
| HSI Asset Securitization Corp. Trust | 1.01% |
The Metropolitan West Unconstrained Bond Fund was renamed to the TCW MetWest Unconstrained Bond Fund on July 29, 2024.
In order to reduce the amount of mail you receive and to help reduce expenses, we generally send a single copy of any shareholder report to each household. If you do not want the mailing of these documents to be combined with those for other members of your household, please contact 800-FUND-TCW (800-386-3829).
If you wish to view additional information about the Fund, including but not limited to the Fund's prospectus, financial information, holdings, and proxy voting information, please visit www.tcw.com/Literature/Fund-Literature.
Phone: 800-FUND-TCW (800-386-3829)
TCW MetWest Unconstrained Bond Fund
Semi-Annual Shareholder Report — September 30, 2024
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | The Registrant’s “Schedule I – Investments in securities of unaffiliated issuers” as of the close of the reporting period is included as part of the Financial Statements filed under Item 7 of this form. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
| | |
| |
| | S E P T E M B E R 3 0 |
| | 2024 |
| | SEMI-ANNUAL REPORT (UNAUDITED) |
| | |
TCW METWEST FUNDS | | |
AlphaTrak 500 Fund Corporate Bond Fund Floating Rate Income Fund High Yield Bond Fund Intermediate Bond Fund Investment Grade Credit Fund Low Duration Bond Fund Strategic Income Fund Sustainable Securitized Fund Total Return Bond Fund Ultra Short Bond Fund Unconstrained Bond Fund | | |
[THIS PAGE INTENTIONALLY LEFT BLANK]
| | |
| TCW Metropolitan West Funds |
| Table of Contents | | September 30, 2024 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 67.95% | |
ASSET-BACKED SECURITIES — 6.14%** | |
Access Group, Inc., | |
Series 2015-1, Class A | |
(SOFR30A plus 0.81%) | |
6.09% | | 07/25/561,2 | | $ | 5,889 | | | $ | 5,860 | |
Apidos CLO XII, | |
Series 2013-12A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.08%) | |
6.38% | | 04/15/311,2,3 | | | 127,497 | | | | 127,591 | |
Apidos CLO XXII, | |
Series 2015-22A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.32%) | |
6.60% | | 04/20/311,2,3 | | | 100,890 | | | | 100,984 | |
Dryden 58 CLO Ltd., | |
Series 2018-58A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.26%) | |
6.55% | | 07/17/311,2,3 | | | 134,119 | | | | 133,997 | |
Dryden 72 CLO Ltd., | |
Series 2019-72A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
5.89% | | 05/15/321,2,3 | | | 150,000 | | | | 149,460 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | |
Series 2020-8A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.41%) | |
6.69% | | 10/20/341,2,3 | | | 140,000 | | | | 140,057 | |
Navient Private Education Refi Loan Trust, | |
Series 2021-FA, Class A | |
1.11% | | 02/18/701 | | | 119,851 | | | | 106,786 | |
Navient Student Loan Trust, | |
Series 2014-1, Class A3 | |
(SOFR30A plus 0.62%) | |
5.90% | | 06/25/312 | | | 40,659 | | | | 40,160 | |
Nelnet Student Loan Trust, | |
Series 2014-3A, Class A | |
(SOFR30A plus 0.69%) | |
5.97% | | 06/25/411,2 | | | 5,924 | | | | 5,872 | |
NYACK Park CLO Ltd., | |
Series 2021-1A, Class X | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 0.91%) | |
6.19% | | 10/20/341,2,3 | | | 28,929 | | | | 28,822 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.30%) | |
6.58% | | 02/24/371,2,3 | | | 115,000 | | | | 115,033 | |
Palmer Square Loan Funding Ltd., | |
Series 2022-3A, Class A1BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.40%) | |
6.70% | | 04/15/311,2,3 | | | 150,000 | | | | 150,179 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Regatta XIII Funding Ltd., | |
Series 2018-2A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
6.40% | | 07/15/311,2,3 | | $ | 133,414 | | | $ | 133,400 | |
Rockford Tower CLO Ltd., | |
Series 2018-2A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.42%) | |
6.70% | | 10/20/311,2,3 | | | 106,359 | | | | 106,470 | |
SLM Student Loan Trust, | |
Series 2012-1, Class A3 | |
(SOFR30A plus 1.06%) | |
6.34% | | 09/25/282 | | | 82,174 | | | | 81,074 | |
SLM Student Loan Trust, | |
Series 2012-2, Class A | |
(SOFR30A plus 0.81%) | |
6.09% | | 01/25/292 | | | 49,800 | | | | 48,616 | |
Sofi Professional Loan Program Trust, | |
Series 2021-B, Class AFX | |
1.14% | | 02/15/471 | | | 153,325 | | | | 135,067 | |
TIAA CLO IV Ltd. | |
Series 2018-1A, Class A1AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.14%) | |
6.42% | | 01/20/321,2,3 | | | 130,000 | | | | 129,741 | |
Voya CLO Ltd., | |
Series 2015-3A, Class A1R3 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | 10/20/311,2,3 | | | 129,315 | | | | 129,229 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
(Cost $1,872,144) | | | | 1,868,398 | |
| | | | | | | | | | | | |
|
CORPORATES — 26.17%* | |
Banking — 7.94% | |
Bank of America Corp. | |
1.73% | | 07/22/274 | | | 250,000 | | | | 238,791 | |
3.71% | | 04/24/284 | | | 70,000 | | | | 69,004 | |
Bank of America Corp. | |
(MTN) | |
2.55% | | 02/04/284 | | | 235,000 | | | | 225,806 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.01% | | 09/22/283,4 | | | 85,000 | | | | 79,347 | |
2.10% | | 06/04/263,4 | | | 105,000 | | | | 103,002 | |
ING Groep NV | |
(Netherlands) | |
3.87% | | 03/28/263,4 | | | 200,000 | | | | 199,036 | |
JPMorgan Chase & Co. | |
1.04% | | 02/04/274 | | | 110,000 | | | | 105,171 | |
2.01% | | 03/13/264 | | | 5,000 | | | | 4,933 | |
2.08% | | 04/22/264 | | | 400,000 | | | | 393,809 | |
JPMorgan Chase & Co., | |
NVS | |
1.05% | | 11/19/264 | | | 25,000 | | | | 24,035 | |
|
| See accompanying Notes to Financial Statements. |
|
| 1 / Semi-Annual Report September 2024 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | $ | 125,000 | | | $ | 119,514 | |
3.57% | | 11/07/283,4 | | | 30,000 | | | | 29,239 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.58% | | 06/12/294 | | | 15,000 | | | | 15,614 | |
6.62% | | 10/20/274 | | | 130,000 | | | | 135,911 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.67% | | 06/14/273,4 | | | 85,000 | | | | 80,877 | |
U.S. Bancorp | | | | | |
6.79% | | 10/26/274 | | | 135,000 | | | | 141,804 | |
U.S. Bancorp | | | | | |
(MTN) | | | | | |
4.55% | | 07/22/284 | | | 5,000 | | | | 5,039 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | 02/11/264 | | | 355,000 | | | | 351,210 | |
2.39% | | 06/02/284 | | | 100,000 | | | | 95,099 | |
| | | | | |
| | | | 2,417,241 | |
| | | | | |
| |
Communications — 0.94% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.50% | | 10/15/291,3 | | | 7,000 | | | | 4,926 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
4.75% | | 03/01/301 | | | 5,000 | | | | 4,598 | |
| Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
4.91% | | 07/23/25 | | | 35,000 | | | | 34,957 | |
Frontier Communications Holdings LLC | | | | | |
8.63% | | 03/15/311 | | | 22,000 | | | | 23,750 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | 03/20/281 | | | 140,000 | | | | 141,673 | |
T-Mobile USA, Inc. | | | | | |
2.63% | | 04/15/26 | | | 79,000 | | | | 77,027 | |
| | | | | |
| | | | 286,931 | |
| | | | | |
| |
Consumer Discretionary — 1.49% | | | | | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.45% | | 05/15/251,3 | | | 100,000 | | | | 99,581 | |
BAT Capital Corp. | | | | | |
3.56% | | 08/15/27 | | | 105,000 | | | | 102,903 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
6.13% | | 07/27/271,3 | | | 100,000 | | | | 104,049 | |
Spectrum Brands, Inc. | | | | | |
3.88% | | 03/15/311 | | | 3,000 | | | | 2,669 | |
WarnerMedia Holdings, Inc. | | | | | |
3.76% | | 03/15/27 | | | 150,000 | | | | 145,078 | |
| | | | | |
| | | | 454,280 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Diversified REITs — 1.54% | | | | | |
American Tower Corp. | | | | | |
3.60% | | 01/15/28 | | $ | 115,000 | | | $ | 112,310 | |
5.25% | | 07/15/28 | | | 50,000 | | | | 51,514 | |
Crown Castle, Inc. | | | | | |
3.80% | | 02/15/28 | | | 155,000 | | | | 152,203 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.75% | | 06/01/28 | | | 95,000 | | | | 97,614 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
4.63% | | 06/15/251 | | | 55,000 | | | | 54,741 | |
| | | | | |
| | | | 468,382 | |
| | | | | |
| |
Electric — 1.09% | | | | | |
Alliant Energy Finance LLC | | | | | |
5.95% | | 03/30/291 | | | 70,000 | | | | 74,022 | |
Appalachian Power Co., | | | | | |
Series X | | | | | |
3.30% | | 06/01/27 | | | 100,000 | | | | 97,651 | |
FirstEnergy Pennsylvania Electric Co. | | | | | |
4.15% | | 04/15/251 | | | 50,000 | | | | 49,819 | |
5.15% | | 03/30/261 | | | 50,000 | | | | 50,436 | |
FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/281 | | | 63,000 | | | | 59,615 | |
| | | | | |
| | | | 331,543 | |
| | | | | |
| |
Energy — 0.83% | | | | | |
Energy Transfer LP | | | | | |
5.50% | | 06/01/27 | | | 12,000 | | | | 12,311 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | 10/15/25 | | | 125,000 | | | | 124,904 | |
Southern Co. Gas Capital Corp. | | | | | |
3.88% | | 11/15/25 | | | 100,000 | | | | 99,277 | |
Venture Global LNG, Inc. | | | | | |
9.50% | | 02/01/291 | | | 15,000 | | | | 16,890 | |
| | | | | |
| | | | 253,382 | |
| | | | | |
| |
Finance — 5.44% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
2.45% | | 10/29/263 | | | 160,000 | | | | 153,735 | |
Air Lease Corp. | | | | | |
3.63% | | 04/01/27 | | | 160,000 | | | | 157,584 | |
American Express Co. | | | | | |
6.34% | | 10/30/264 | | | 155,000 | | | | 158,128 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/271,3 | | | 90,000 | | | | 84,032 | |
Citigroup, Inc. | | | | | |
1.46% | | 06/09/274 | | | 20,000 | | | | 19,063 | |
3.52% | | 10/27/284 | | | 290,000 | | | | 283,216 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | 09/10/274 | | | 40,000 | | | | 37,920 | |
1.95% | | 10/21/274 | | | 285,000 | | | | 271,758 | |
Morgan Stanley | | | | | |
2.19% | | 04/28/264 | | | 5,000 | | | | 4,923 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | 07/20/274 | | | 395,000 | | | | 375,748 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 2 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
2.97% | | 02/16/281,3,4 | | $ | 115,000 | | | $ | 110,925 | |
| | | | | | | | | | | | |
| | | | 1,657,032 | |
| | | | | | | | | | | | |
| |
Food — 0.28% | | | | | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl | | | | | |
(Luxembourg) | | | | | |
5.13% | | 02/01/283 | | | 85,000 | | | | 86,196 | |
| | | | | | | | | | | | |
| |
Health Care — 2.14% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | 01/30/281,3 | | | 20,000 | | | | 19,843 | |
Amgen, Inc. | | | | | |
5.15% | | 03/02/28 | | | 130,000 | | | | 133,948 | |
Bayer U.S. Finance II LLC | | | | | |
4.25% | | 12/15/251 | | | 165,000 | | | | 163,806 | |
Grifols SA | | | | | |
(Spain) | | | | | |
4.75% | | 10/15/281,3 | | | 20,000 | | | | 18,776 | |
HCA, Inc. | | | | | |
5.25% | | 06/15/26 | | | 155,000 | | | | 156,165 | |
Humana, Inc. | | | | | |
5.70% | | 03/13/26 | | | 70,000 | | | | 70,066 | |
IQVIA, Inc. | | | | | |
6.25% | | 02/01/29 | | | 75,000 | | | | 79,774 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/291 | | | 15,000 | | | | 9,428 | |
| | | | | | | | | | | | |
| | | | 651,806 | |
| | | | | | | | | | | | |
| |
Health Care REITs — 0.32% | | | | | |
Healthcare Realty Holdings LP | | | | | |
3.50% | | 08/01/26 | | | 45,000 | | | | 44,266 | |
3.63% | | 01/15/28 | | | 55,000 | | | | 52,982 | |
| | | | | | | | | | | | |
| | | | 97,248 | |
| | | | | | | | | | | | |
| |
Industrials — 0.65% | | | | | |
Berry Global, Inc. | | | | | |
4.88% | | 07/15/261 | | | 35,000 | | | | 34,908 | |
Boeing Co. (The) | | | | | |
6.26% | | 05/01/271 | | | 60,000 | | | | 62,004 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(CME Term SOFR 3-Month plus 0.64%) | | | | | |
5.88% | | 05/05/262 | | | 29,000 | | | | 29,053 | |
(CME Term SOFR 3-Month plus 0.74%) | | | | | |
5.86% | | 08/15/362 | | | 75,000 | | | | 70,844 | |
| | | | | | | | | | | | |
| | | | 196,809 | |
| | | | | | | | | | | | |
| |
Information Technology — 0.49% | | | | | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/271,3 | | | 70,000 | | | | 73,903 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Information Technology (continued) | | | | | |
Uber Technologies, Inc. | | | | | |
7.50% | | 09/15/271 | | $ | 75,000 | | | $ | 76,526 | |
| | | | | | | | | | | | |
| | | | 150,429 | |
| | | | | | | | | | | | |
| |
Insurance — 1.23% | | | | | |
Guardian Life Global Funding | | | | | |
5.74% | | 10/02/281 | | | 125,000 | | | | 132,250 | |
Nationwide Mutual Insurance Co. | | | | | |
7.50% | | 12/15/241,4 | | | 90,000 | | | | 90,252 | |
Willis North America, Inc. | | | | | |
4.65% | | 06/15/27 | | | 150,000 | | | | 151,320 | |
| | | | | | | | | | | | |
| | | | 373,822 | |
| | | | | | | | | | | | |
| |
Materials — 0.66% | | | | | |
Georgia-Pacific LLC | | | | | |
3.60% | | 03/01/251 | | | 115,000 | | | | 114,357 | |
International Flavors & Fragrances, Inc. | | | | | |
1.83% | | 10/15/271 | | | 60,000 | | | | 55,607 | |
2.30% | | 11/01/301 | | | 35,000 | | | | 30,708 | |
| | | | | | | | | | | | |
| | | | 200,672 | |
| | | | | | | | | | | | |
| |
Residential REITs — 0.26% | | | | | |
Invitation Homes Operating Partnership LP | | | | | |
2.30% | | 11/15/28 | | | 85,000 | | | | 77,951 | |
| | | | | | | | | | | | |
| |
Retail — 0.05% | | | | | |
Michaels Cos., Inc. (The) | | | | | |
5.25% | | 05/01/281 | | | 20,000 | | | | 14,700 | |
| | | | | | | | | | | | |
| |
Services — 0.49% | | | | | |
Global Payments, Inc. | | | | | |
4.45% | | 06/01/28 | | | 150,000 | | | | 149,536 | |
| | | | | | | | | | | | |
| |
Specialized REITs — 0.33% | | | | | |
Extra Space Storage LP | | | | | |
2.20% | | 10/15/30 | | | 110,000 | | | | 96,444 | |
2.40% | | 10/15/31 | | | 5,000 | | | | 4,305 | |
| | | | | | | | | | | | |
| | | | 100,749 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $7,800,637) | | | | 7,968,709 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 27.51%** | | | | | |
|
| Non-Agency Commercial Mortgage-Backed — 0.01% | |
Commercial Mortgage Trust, | | | | | |
Series 2012-CR4, Class XA (IO) | | | | | |
1.29% | | 10/15/454 | | | 389,698 | | | | 4,296 | |
| | | | | | | | | | | | |
| |
Non-Agency Mortgage-Backed — 1.66% | | | | | |
Alternative Loan Trust, | | | | | |
Series 2007-22, Class 2A16 | | | | | |
6.50% | | 09/25/37 | | | 190,283 | | | | 72,191 | |
Centex Home Equity Loan Trust, | | | | | |
Series 2005-B, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.76%) | | | | | |
5.61% | | 03/25/352 | | | 33,942 | | | | 33,860 | |
|
| See accompanying Notes to Financial Statements. |
|
| 3 / Semi-Annual Report September 2024 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-HE4, Class M2 | |
(CME Term SOFR 1-Month plus 0.79%) | |
5.64% | | | | | | 10/25/352 | | $ | 89,945 | | | $ | 88,141 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH3, Class M1 | |
(CME Term SOFR 1-Month plus 0.50%) | |
5.36% | | | | | | 06/25/372 | | | 60,905 | | | | 60,616 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2003-CB1, Class AF (STEP-reset date 11/25/24) | |
3.95% | | | | | | 01/25/33 | | | 3,134 | | | | 2,995 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF4, Class A3 | |
(CME Term SOFR 1-Month plus 0.67%) | |
4.71% | | | | | | 03/25/362 | | | 4,081 | | | | 4,074 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2005-WMC1, Class M3 | |
(CME Term SOFR 1-Month plus 0.82%) | |
5.67% | | | | | | 09/25/352 | | | 93,420 | | | | 93,049 | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL1, Class A2 | |
8.50% | | | | | | 11/25/31 | | | 4,044 | | | | 1,320 | |
Residential Asset Mortgage Products Trust, | |
Series 2006-NC3, Class M1 | |
(CME Term SOFR 1-Month plus 0.45%) | |
5.48% | | | | | | 03/25/362 | | | 62,545 | | | | 61,387 | |
VOLT XCIX, LLC, | |
Series 2021-NPL8, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.12% | | | | | | 04/25/511 | | | 87,236 | | | | 86,817 | |
| | | | | |
| | | | 504,450 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.91% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K044, Class X1 (IO) | |
0.86% | | | | | | 01/25/254 | | | 1,054,977 | | | | 737 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K054, Class X1 (IO) | |
1.28% | | | | | | 01/25/264 | | | 3,347,370 | | | | 36,963 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K732, Class X3 (IO) | |
2.25% | | | | | | 05/25/464 | | | 250,000 | | | | 3,959 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.36% | | | | | | 06/25/274 | | | 904,704 | | | | 20,697 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KF88, Class AL | |
(SOFR30A plus 0.44%) | |
5.79% | | | | | | 09/25/302 | | | 110,003 | | | | 109,831 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
| U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.72% | | | | | | 09/25/254 | | $ | 2,791,919 | | | $ | 15,631 | |
Ginnie Mae, | |
Series 2014-157, Class C | |
3.15% | | | | | | 10/16/544 | | | 93,471 | | | | 90,674 | |
| | | | | |
| | | | 278,492 | |
| | | | | |
|
U.S. Agency Mortgage-Backed — 24.93% | |
Fannie Mae Pool AL0851 | |
6.00% | | | | | | 10/01/40 | | | 1,394 | | | | 1,489 | |
Fannie Mae REMICS, | |
Series 2002-21, Class FB | |
(SOFR30A plus 1.01%) | |
6.29% | | | | | | 04/25/322 | | | 7,905 | | | | 7,975 | |
Fannie Mae REMICS, | |
Series 2002-53, Class FY | |
(SOFR30A plus 0.61%) | |
5.89% | | | | | | 08/25/322 | | | 48,863 | | | | 48,756 | |
Fannie Mae REMICS, | |
Series 2003-11, Class FA | |
(SOFR30A plus 1.11%) | |
6.39% | | | | | | 09/25/322 | | | 2,454 | | | | 2,482 | |
Fannie Mae REMICS, | |
Series 2003-81, Class FE | |
(SOFR30A plus 0.61%) | |
5.89% | | | | | | 09/25/332 | | | 18,097 | | | | 18,035 | |
Fannie Mae REMICS, | |
Series 2006-48, Class FL | |
(SOFR30A plus 0.51%) | |
5.79% | | | | | | 06/25/362 | | | 24,327 | | | | 24,179 | |
Fannie Mae REMICS, | |
Series 2006-8, Class NF | |
(SOFR30A plus 0.48%) | |
5.76% | | | | | | 03/25/362 | | | 19,641 | | | | 19,498 | |
Fannie Mae REMICS, | |
Series 2008-12, Class FA | |
(SOFR30A plus 0.78%) | |
6.06% | | | | | | 03/25/382 | | | 68,397 | | | | 68,453 | |
Fannie Mae REMICS, | |
Series 2010-109, Class PF | |
(SOFR30A plus 0.51%) | |
5.79% | | | | | | 10/25/402 | | | 2,143 | | | | 2,130 | |
Fannie Mae REMICS, | |
Series 2010-74, Class AF | |
(SOFR30A plus 0.65%) | |
5.93% | | | | | | 07/25/372 | | | 21,151 | | | | 21,119 | |
Fannie Mae REMICS, | |
Series 2024-73, Class FB | |
(SOFR30A plus 1.20%) | |
6.50% | | | | | | 10/25/542 | | | 375,000 | | | | 376,800 | |
Freddie Mac REMICS, | |
Series 2684, Class F | |
(SOFR30A plus 1.01%) | |
6.36% | | | | | | 01/15/332 | | | 2,208 | | | | 2,226 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 4 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac REMICS, | | | | | |
Series 3231, Class FB | | | | | |
(SOFR30A plus 0.46%) | | | | | |
5.81% | | 10/15/362 | | $ | 39,734 | | | $ | 39,429 | |
Freddie Mac Strips, | | | | | |
Series 263, Class F5 | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.96% | | 06/15/422 | | | 6,758 | | | | 6,702 | |
Ginnie Mae (TBA) | | | | | |
4.50% | | 10/20/54 | | | 150,000 | | | | 148,059 | |
5.00% | | 10/20/54 | | | 275,000 | | | | 275,483 | |
5.50% | | 10/20/54 | | | 150,000 | | | | 151,472 | |
Ginnie Mae, | | | | | |
Series 2024-144, Class FD | | | | | |
(SOFR30A plus 1.15%) | | | | | |
6.50% | | 09/20/54†,2 | | | 125,000 | | | | 124,999 | |
Ginnie Mae, | | | | | |
Series 2024-148, Class AF | | | | | |
(SOFR30A plus 1.18%) | | | | | |
6.50% | | 09/20/542 | | | 375,000 | | | | 377,273 | |
UMBS (TBA) | | | | | |
3.50% | | 10/01/39 | | | 1,300,000 | | | | 1,273,687 | |
4.00% | | 10/01/39 | | | 1,225,000 | | | | 1,217,777 | |
4.00% | | 10/01/54 | | | 275,000 | | | | 264,161 | |
4.50% | | 10/01/39 | | | 1,200,000 | | | | 1,204,980 | |
4.50% | | 10/01/54 | | | 275,000 | | | | 270,448 | |
5.00% | | 10/01/39 | | | 1,175,000 | | | | 1,191,321 | |
5.00% | | 10/01/54 | | | 275,000 | | | | 274,841 | |
5.50% | | 10/01/54 | | | 175,000 | | | | 177,083 | |
| | | | | |
| | | | 7,590,857 | |
| | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $8,466,187) | | | | 8,378,095 | |
| | | | | |
| |
MUNICIPAL BONDS — 0.76%* | | | | | |
| |
Maryland — 0.18% | | | | | |
| City of Baltimore General Obligation, School Improvements, | | | | | |
Series C | | | | | |
5.00% | | 10/15/25 | | | 55,000 | | | | 55,137 | |
| | | | | |
| |
Massachusetts — 0.10% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | 07/15/31 | | | 29,701 | | | | 29,421 | |
| | | | | |
| |
New York — 0.48% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2 | | | | | |
2.15% | | 05/01/25 | | | 150,000 | | | | 148,036 | |
| | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $236,660) | | | | 232,594 | |
| | | | | |
| |
U.S. TREASURY SECURITIES — 7.37% | | | | | |
| |
U.S. Treasury Notes — 7.37% | | | | | |
U.S. Treasury Notes (WI) | | | | | |
3.63% | | 09/15/27 | | | 715,000 | | | | 711,397 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
| |
U.S. TREASURY SECURITIES (continued) | | | | | |
U.S. Treasury Notes (continued) | | | | | |
4.00% | | | | 08/31/26 | | | $ | 1,530,000 | | | $ | 1,532,271 | |
| | | | | |
Total U.S. Treasury Securities | | | | | |
(Cost $2,240,253) | | | | 2,243,668 | |
| | | | | |
| |
Total Bonds — 67.95% | | | | | |
(Cost $20,615,881) | | | | 20,691,464 | |
| | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | | | | Shares | | | Value |
| |
COMMON STOCK — 0.08% | | | | | |
Communications — 0.08% | | | | | |
Intelsat Emergence SA3,5,6,7 | | | | | |
(Luxembourg) | | | | 773 | | | | 24,447 | |
| | | | | |
| |
Total Common Stock | | | | | |
(Cost $25,883) | | | | | |
| | | | |
| Issues | | | | | | | | Shares | | | Value |
| |
MUTUAL FUNDS — 12.67% | | | | | |
Mutual Funds — 12.67% | | | | | |
iShares Core S&P 500 ETF | | | | 6,688 | | | | 3,857,772 | |
| | | | | |
Total Mutual Funds | | | | | |
(Cost $3,036,712) | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 32.64% | | | | | |
Money Market Funds — 32.64% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%8 | | | | 240,197 | | | | 240,197 | |
TCW Central Cash Fund | | | | | |
0.04%8,9 | | | | 9,700,000 | | | | 9,700,000 | |
| | | | | |
Total Short-Term Investments | | | | | |
(Cost $9,940,197) | | | | 9,940,197 | |
| | | | | |
| |
Total Investments - 113.34% | | | | | |
(Cost $33,618,673) | | | | 34,513,880 | |
| | | | | |
| |
Liabilities in Excess of Other Assets - (13.34)% | | | | (4,063,429 | ) |
| | | | | |
Net Assets - 100.00% | | | $ | 30,450,451 | |
| | | | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 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 $24,447, which is 0.08% of total net assets. |
| 7 | Non-income producing security. |
| 8 | Represents the current yield as of September 30, 2024. |
|
| See accompanying Notes to Financial Statements. |
|
| 5 / Semi-Annual Report September 2024 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| † | Fair valued security. The aggregate value of fair valued securities is $124,999, which is 0.41% 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
(MTN): Medium-Term Note
(NVS): Non-Voting Shares
(REIT): Real Estate Investment Trust
(S&P): Standard & Poor’s
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(WI): When Issued
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
| S&P 500 E-mini Index | | | 91 | | | | 12/20/24 | | | $ | 26,462,800 | | | $ | 570,372 | | | $ | 570,372 | |
| | | | | | | | | | | | | | | | | | | | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
| U.S. Treasury Five-Year Note | | | 8 | | | | 12/31/24 | | | | (879,062) | | | | 799 | | | | 799 | |
| U.S. Treasury Ten-Year Ultra Bond | | | 4 | | | | 12/19/24 | | | | (473,188) | | | | 243 | | | | 243 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | (1,352,250) | | | | 1,042 | | | | 1,042 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 25,110,550 | | | $ | 571,414 | | | $ | 571,414 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 6 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 96.27% | | | | | |
ASSET-BACKED SECURITIES — 0.67%** | | | | | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | 05/10/371,2 | | $ | 35,753 | | | $ | 33,086 | |
| | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $35,754) | | | | | |
| |
CORPORATES — 83.02%* | | | | | |
Banking — 11.21% | | | | | |
Bank of America Corp. | | | | | |
2.69% | | 04/22/323 | | | 20,000 | | | | 17,848 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
1.92% | | 10/24/313 | | | 20,000 | | | | 17,256 | |
2.09% | | 06/14/293 | | | 125,000 | | | | 115,488 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
1.66% | | 03/11/273 | | | 13,000 | | | | 12,498 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.80% | | 05/24/323,4 | | | 80,000 | | | | 70,834 | |
JPMorgan Chase & Co. | | | | | |
1.04% | | 02/04/273 | | | 5,000 | | | | 4,780 | |
1.58% | | 04/22/273 | | | 5,000 | | | | 4,794 | |
2.07% | | 06/01/293 | | | 65,000 | | | | 60,169 | |
3.90% | | 01/23/493 | | | 48,000 | | | | 41,072 | |
JPMorgan Chase & Co., | | | | | |
NVS | | | | | |
1.05% | | 11/19/263 | | | 5,000 | | | | 4,807 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,4 | | | 10,000 | | | | 9,561 | |
3.57% | | 11/07/283,4 | | | 35,000 | | | | 34,113 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/343 | | | 15,000 | | | | 15,254 | |
6.88% | | 10/20/343 | | | 5,000 | | | | 5,731 | |
U.S. Bancorp | | | | | |
4.84% | | 02/01/343 | | | 10,000 | | | | 10,000 | |
5.85% | | 10/21/333 | | | 15,000 | | | | 16,003 | |
Wells Fargo & Co. | | | | | |
5.39% | | 04/24/343 | | | 15,000 | | | | 15,583 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.39% | | 06/02/283 | | | 30,000 | | | | 28,530 | |
3.35% | | 03/02/333 | | | 80,000 | | | | 73,211 | |
| | | | | |
| | | | 557,532 | |
| | | | | |
| |
Communications — 6.42% | | | | | |
AT&T, Inc. | | | | | |
3.55% | | 09/15/55 | | | 10,000 | | | | 7,318 | |
3.80% | | 12/01/57 | | | 28,000 | | | | 21,225 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
2.30% | | 02/01/32 | | | 5,000 | | | | 4,033 | |
3.90% | | 06/01/52 | | | 5,000 | | | | 3,278 | |
5.38% | | 05/01/47 | | | 37,000 | | | | 31,083 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
Cisco Systems, Inc. | | | | | |
5.05% | | 02/26/34 | | $ | 15,000 | | | $ | 15,760 | |
Comcast Corp. | | | | | |
4.00% | | 11/01/49 | | | 15,000 | | | | 12,531 | |
Cox Communications, Inc. | | | | | |
2.60% | | 06/15/315 | | | 25,000 | | | | 21,535 | |
Fox Corp. | | | | | |
6.50% | | 10/13/33 | | | 15,000 | | | | 16,418 | |
Meta Platforms, Inc. | | | | | |
5.60% | | 05/15/53 | | | 15,000 | | | | 16,277 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/445 | | | 15,000 | | | | 12,087 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | 03/20/285 | | | 45,500 | | | | 46,044 | |
Time Warner Cable LLC | | | | | |
5.50% | | 09/01/41 | | | 23,000 | | | | 20,005 | |
T-Mobile USA, Inc. | | | | | |
2.55% | | 02/15/31 | | | 83,000 | | | | 74,014 | |
Vodafone Group PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 09/17/504 | | | 21,000 | | | | 17,526 | |
| | | | | |
| | | | 319,134 | |
| | | | | |
| |
Consumer Discretionary — 3.76% | | | | | |
Altria Group, Inc. | | | | | |
3.70% | | 02/04/51 | | | 5,000 | | | | 3,698 | |
5.95% | | 02/14/49 | | | 15,000 | | | | 15,753 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
4.70% | | 05/15/284,5 | | | 20,000 | | | | 19,998 | |
BAT Capital Corp. | | | | | |
4.39% | | 08/15/37 | | | 35,000 | | | | 31,857 | |
Choice Hotels International, Inc. | | | | | |
5.85% | | 08/01/34 | | | 10,000 | | | | 10,322 | |
Coca-Cola Co. (The) | | | | | |
4.65% | | 08/14/34 | | | 10,000 | | | | 10,236 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
4.25% | | 07/21/254,5 | | | 35,000 | | | | 34,819 | |
JDE Peet’s NV | | | | | |
(Netherlands) | | | | | |
2.25% | | 09/24/314,5 | | | 25,000 | | | | 20,962 | |
WarnerMedia Holdings, Inc. | | | | | |
5.05% | | 03/15/42 | | | 6,000 | | | | 4,907 | |
5.14% | | 03/15/52 | | | 45,000 | | | | 34,729 | |
| | | | | |
| | | | 187,281 | |
| | | | | |
| |
Diversified REITs — 4.16% | | | | | |
American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 30,000 | | | | 26,136 | |
American Tower Corp. | | | | | |
2.70% | | 04/15/31 | | | 21,000 | | | | 18,777 | |
5.55% | | 07/15/33 | | | 20,000 | | | | 20,985 | |
Crown Castle, Inc. | | | | | |
3.30% | | 07/01/30 | | | 50,000 | | | | 46,775 | |
See accompanying Notes to Financial Statements.
|
| 7 / Semi-Annual Report September 2024 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | |
| | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Diversified REITs (continued) | | | | | |
Digital Realty Trust LP | | | | | |
3.60% | | 07/01/29 | | $ | 5,000 | | | $ | 4,836 | |
Equinix, Inc. | | | | | |
2.50% | | 05/15/31 | | | 45,000 | | | | 39,768 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
3.25% | | 01/15/32 | | | 2,000 | | | | 1,771 | |
4.00% | | 01/15/30 | | | 30,000 | | | | 28,628 | |
VICI Properties LP | | | | | |
5.13% | | 05/15/32 | | | 10,000 | | | | 10,057 | |
Weyerhaeuser Co. | | | | | |
3.38% | | 03/09/33 | | | 10,000 | | | | 9,141 | |
| | | | | | | | | | | | |
| | | | 206,874 | |
| | | | | | | | | | | | |
| |
Electric — 9.19% | | | | | |
AEP Transmission Co. LLC, | | | | | |
Series M | | | | | |
3.65% | | 04/01/50 | | | 5,000 | | | | 3,949 | |
AEP Transmission Co. LLC, | | | | | |
Series N | | | | | |
2.75% | | 08/15/51 | | | 40,000 | | | | 26,579 | |
Alabama Power Co. | | | | | |
5.50% | | 03/15/41 | | | 9,000 | | | | 9,306 | |
Alliant Energy Finance LLC | | | | | |
1.40% | | 03/15/265 | | | 45,000 | | | | 42,763 | |
Appalachian Power Co. | | | | | |
4.45% | | 06/01/45 | | | 10,000 | | | | 8,702 | |
Arizona Public Service Co. | | | | | |
3.35% | | 05/15/50 | | | 10,000 | | | | 7,317 | |
6.35% | | 12/15/32 | | | 15,000 | | | | 16,500 | |
Baltimore Gas and Electric Co. | | | | | |
2.90% | | 06/15/50 | | | 33,000 | | | | 22,627 | |
Black Hills Corp. | | | | | |
4.35% | | 05/01/33 | | | 35,000 | | | | 33,607 | |
Commonwealth Edison Co. | | | | | |
6.45% | | 01/15/38 | | | 5,000 | | | | 5,750 | |
Consolidated Edison Co. of New York, Inc., | | | | | |
Series 2017 | | | | | |
3.88% | | 06/15/47 | | | 5,000 | | | | 4,122 | |
Duke Energy Carolinas LLC | | | | | |
3.75% | | 06/01/45 | | | 70,000 | | | | 57,885 | |
3.88% | | 03/15/46 | | | 10,000 | | | | 8,333 | |
FirstEnergy Pennsylvania Electric Co. | | | | | |
4.00% | | 04/15/255 | | | 19,000 | | | | 18,902 | |
4.15% | | 04/15/255 | | | 50,000 | | | | 49,819 | |
FirstEnergy Transmission LLC | | | | | |
5.45% | | 07/15/445 | | | 15,000 | | | | 15,208 | |
Indianapolis Power & Light Co. | | | | | |
5.70% | | 04/01/545 | | | 5,000 | | | | 5,343 | |
Interstate Power and Light Co. | | | | | |
2.30% | | 06/01/30 | | | 20,000 | | | | 17,892 | |
Narragansett Electric Co. (The) | | | | | |
3.40% | | 04/09/305 | | | 10,000 | | | | 9,514 | |
PacifiCorp. | | | | | |
4.13% | | 01/15/49 | | | 30,000 | | | | 24,912 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | 08/01/25 | | | 20,000 | | | | 19,911 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
Electric (continued) | |
Virginia Electric & Power Co., | |
Series B | |
3.80% | | | | | | 09/15/47 | | $ | 10,000 | | | $ | 8,120 | |
Virginia Electric and Power Co. | |
2.45% | | | | | | 12/15/50 | | | 12,000 | | | | 7,421 | |
Xcel Energy, Inc. | |
4.80% | | | | | | 09/15/41 | | | 35,000 | | | | 32,547 | |
| | | | | | | | | | | | | | |
| | | | 457,029 | |
| | | | | | | | | | | | | | |
|
Energy — 4.15% | |
Aker BP ASA | |
(Norway) | |
3.10% | | | | | | 07/15/314,5 | | | 30,000 | | | | 26,767 | |
Boston Gas Co. | |
3.76% | | | | | | 03/16/325 | | | 10,000 | | | | 9,127 | |
Energy Transfer LP | |
5.00% | | | | | | 05/15/50 | | | 15,000 | | | | 13,563 | |
6.13% | | | | | | 12/15/45 | | | 7,000 | | | | 7,309 | |
KeySpan Gas East Corp. | |
5.82% | | | | | | 04/01/415 | | | 15,000 | | | | 15,471 | |
Kinder Morgan Energy Partners LP | |
(MTN) | |
6.95% | | | | | | 01/15/38 | | | 5,000 | | | | 5,687 | |
Kinder Morgan, Inc. | |
(GMTN) | |
7.80% | | | | | | 08/01/31 | | | 5,000 | | | | 5,836 | |
NGPL Pipe Co. LLC | |
3.25% | | | | | | 07/15/315 | | | 20,000 | | | | 17,781 | |
4.88% | | | | | | 08/15/275 | | | 10,000 | | | | 10,051 | |
Plains All American Pipeline LP/PAA Finance Corp. | |
4.50% | | | | | | 12/15/26 | | | 13,000 | | | | 13,019 | |
Sabine Pass Liquefaction LLC | |
4.20% | | | | | | 03/15/28 | | | 3,000 | | | | 2,984 | |
Southern Co. Gas Capital Corp. | |
4.40% | | | | | | 06/01/43 | | | 10,000 | | | | 8,971 | |
5.88% | | | | | | 03/15/41 | | | 15,000 | | | | 16,135 | |
Southern Natural Gas Co. LLC | |
4.80% | | | | | | 03/15/475 | | | 15,000 | | | | 13,403 | |
TransCanada PipeLines Ltd. | |
(Canada) | |
4.63% | | | | | | 03/01/344 | | | 25,000 | | | | 24,687 | |
5.00% | | | | | | 10/16/434 | | | 5,000 | | | | 4,800 | |
Williams Cos., Inc. (The) | |
3.50% | | | | | | 10/15/51 | | | 15,000 | | | | 10,906 | |
| | | | | | | | | | | | | | |
| | | | 206,497 | |
| | | | | | | | | | | | | | |
|
Finance — 9.74% | |
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust | |
(Ireland) | |
3.00% | | | | | | 10/29/284 | | | 15,000 | | | | 14,175 | |
3.30% | | | | | | 01/30/324 | | | 28,000 | | | | 25,254 | |
3.88% | | | | | | 01/23/284 | | | 4,000 | | | | 3,934 | |
Air Lease Corp. | |
3.63% | | | | | | 12/01/27 | | | 19,000 | | | | 18,589 | |
American Express Co. | |
6.49% | | | | | | 10/30/313 | | | 20,000 | | | | 22,129 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 8 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/274,5 | | $ | 3,000 | | | $ | 2,801 | |
2.75% | | 02/21/284,5 | | | 10,000 | | | | 9,339 | |
4.38% | | 05/01/264,5 | | | 10,000 | | | | 9,911 | |
Capital One Financial Corp. | | | | | |
3.27% | | 03/01/303 | | | 10,000 | | | | 9,409 | |
Citigroup, Inc. | | | | | |
2.52% | | 11/03/323 | | | 40,000 | | | | 34,720 | |
2.57% | | 06/03/313 | | | 50,000 | | | | 45,012 | |
2.98% | | 11/05/303 | | | 1,000 | | | | 930 | |
Discover Financial Services | | | | | |
6.70% | | 11/29/32 | | | 20,000 | | | | 22,003 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.99% | | 01/27/323 | | | 25,000 | | | | 21,401 | |
2.60% | | 02/07/30 | | | 80,000 | | | | 73,454 | |
LSEGA Financing PLC | | | | | |
(United Kingdom) | | | | | |
2.00% | | 04/06/284,5 | | | 20,000 | | | | 18,528 | |
Mastercard, Inc. | | | | | |
4.55% | | 01/15/35 | | | 15,000 | | | | 15,079 | |
Morgan Stanley | | | | | |
1.59% | | 05/04/273 | | | 25,000 | | | | 23,936 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
2.24% | | 07/21/323 | | | 45,000 | | | | 38,758 | |
3.77% | | 01/24/293 | | | 20,000 | | | | 19,677 | |
Morgan Stanley | | | | | |
(MTN) | | | | | |
1.93% | | 04/28/323 | | | 25,000 | | | | 21,222 | |
Pipeline Funding Co. LLC | | | | | |
7.50% | | 01/15/305 | | | 24,363 | | | | 26,340 | |
Raymond James Financial, Inc. | | | | | |
3.75% | | 04/01/51 | | | 10,000 | | | | 7,860 | |
| | | | | | | | | | | | |
| | | | 484,461 | |
| | | | | | | | | | | | |
| |
Food — 1.48% | | | | | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl | | | | | |
(Luxembourg) | | | | | |
6.50% | | 12/01/524 | | | 15,000 | | | | 16,005 | |
Kraft Heinz Foods Co. | | | | | |
4.63% | | 10/01/39 | | | 10,000 | | | | 9,573 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 30,000 | | | | 26,685 | |
Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/315 | | | 25,000 | | | | 21,204 | |
| | | | | | | | | | | | |
| | | | 73,467 | |
| | | | | | | | | | | | |
| |
Health Care — 12.83% | | | | | |
Alcon Finance Corp. | | | | | |
2.60% | | 05/27/305 | | | 30,000 | | | | 27,414 | |
Amgen, Inc. | | | | | |
4.40% | | 05/01/45 | | | 5,000 | | | | 4,493 | |
4.88% | | 03/01/53 | | | 10,000 | | | | 9,415 | |
5.65% | | 03/02/53 | | | 5,000 | | | | 5,266 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
5.75% | | 03/02/63 | | $ | 10,000 | | | $ | 10,557 | |
Barnabas Health, Inc., | | | | | |
Series 2012 | | | | | |
4.00% | | 07/01/28 | | | 5,000 | | | | 4,817 | |
Baxter International, Inc. | | | | | |
3.95% | | 04/01/30 | | | 10,000 | | | | 9,782 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | 12/15/285 | | | 15,000 | | | | 14,801 | |
4.88% | | 06/25/485 | | | 17,000 | | | | 14,757 | |
Bristol-Myers Squibb Co. | | | | | |
5.20% | | 02/22/34 | | | 30,000 | | | | 31,654 | |
Centene Corp. | | | | | |
3.00% | | 10/15/30 | | | 11,000 | | | | 9,851 | |
Children’s Hospital Medical Center | | | | | |
2.82% | | 11/15/50 | | | 20,000 | | | | 13,696 | |
Cigna Group (The) | | | | | |
5.40% | | 03/15/33 | | | 5,000 | | | | 5,250 | |
CommonSpirit Health | | | | | |
2.78% | | 10/01/30 | | | 5,000 | | | | 4,549 | |
CVS Health Corp. | | | | | |
5.05% | | 03/25/48 | | | 18,000 | | | | 16,446 | |
5.70% | | 06/01/34 | | | 28,000 | | | | 29,218 | |
Elanco Animal Health, Inc. | | | | | |
6.65% | | 08/28/28 | | | 5,000 | | | | 5,196 | |
HCA, Inc. | | | | | |
5.25% | | 06/15/49 | | | 30,000 | | | | 28,587 | |
| Health Care Service Corp. A Mutual Legal Reserve Co. | | | | | |
5.45% | | 06/15/345 | | | 15,000 | | | | 15,607 | |
Humana, Inc. | | | | | |
5.38% | | 04/15/31 | | | 25,000 | | | | 25,889 | |
Illumina, Inc. | | | | | |
2.55% | | 03/23/31 | | | 20,000 | | | | 17,413 | |
IQVIA, Inc. | | | | | |
6.25% | | 02/01/29 | | | 10,000 | | | | 10,637 | |
Mass General Brigham, Inc., | | | | | |
Series 2020 | | | | | |
3.34% | | 07/01/60 | | | 10,000 | | | | 7,280 | |
Pfizer Investment Enterprises Pte Ltd. | | | | | |
(Slovenia) | | | | | |
4.75% | | 05/19/334 | | | 5,000 | | | | 5,105 | |
Revvity, Inc. | | | | | |
2.55% | | 03/15/31 | | | 25,000 | | | | 21,896 | |
Roche Holdings, Inc. | | | | | |
4.59% | | 09/09/345 | | | 15,000 | | | | 15,153 | |
5.59% | | 11/13/335 | | | 15,000 | | | | 16,275 | |
Royalty Pharma PLC | | | | | |
(United Kingdom) | | | | | |
1.75% | | 09/02/274 | | | 45,000 | | | | 41,947 | |
Sharp HealthCare, | | | | | |
Series 20B | | | | | |
2.68% | | 08/01/50 | | | 50,000 | | | | 34,248 | |
Smith & Nephew PLC | | | | | |
(United Kingdom) | | | | | |
2.03% | | 10/14/304 | | | 30,000 | | | | 26,082 | |
See accompanying Notes to Financial Statements.
|
| 9 / Semi-Annual Report September 2024 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
STERIS Irish FinCo UnLtd Co. | | | | | |
(Ireland) | | | | | |
2.70% | | 03/15/314 | | $ | 15,000 | | | $ | 13,368 | |
Thermo Fisher Scientific, Inc. | | | | | |
5.09% | | 08/10/33 | | | 10,000 | | | | 10,467 | |
UnitedHealth Group, Inc. | | | | | |
3.70% | | 08/15/49 | | | 10,000 | | | | 8,062 | |
4.25% | | 04/15/47 | | | 15,000 | | | | 13,287 | |
5.15% | | 07/15/34 | | | 35,000 | | | | 36,533 | |
Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | | 40,000 | | | | 37,898 | |
| West Virginia United Health System Obligated Group, | | | | | |
Series 2020 | | | | | |
3.13% | | 06/01/50 | | | 35,000 | | | | 24,605 | |
Zoetis, Inc. | | | | | |
5.60% | | 11/16/32 | | | 10,000 | | | | 10,718 | |
| | | | | | | | | | | | |
| | | | 638,219 | |
| | | | | | | | | | | | |
| |
Health Care REITs — 0.76% | | | | | |
DOC DR LLC | | | | | |
2.63% | | 11/01/31 | | | 10,000 | | | | 8,733 | |
Healthcare Realty Holdings LP | | | | | |
3.63% | | 01/15/28 | | | 30,000 | | | | 28,899 | |
| | | | | | | | | | | | |
| | | | 37,632 | |
| | | | | | | | | | | | |
| |
Hotel & Resort REITs — 0.37% | | | | | |
Host Hotels & Resorts LP, | | | | | |
Series I | | | | | |
3.50% | | 09/15/30 | | | 20,000 | | | | 18,539 | |
| | | | | | | | | | | | |
| |
Industrial REITs — 0.46% | | | | | |
Americold Realty Operating Partnership LP | | | | | |
5.41% | | 09/12/34 | | | 10,000 | | | | 10,035 | |
LXP Industrial Trust | | | | | |
2.38% | | 10/01/31 | | | 5,000 | | | | 4,193 | |
2.70% | | 09/15/30 | | | 10,000 | | | | 8,902 | |
| | | | | | | | | | | | |
| | | | 23,130 | |
| | | | | | | | | | | | |
| |
Industrials — 3.22% | | | | | |
Amcor Finance USA, Inc. | | | | | |
5.63% | | 05/26/33 | | | 20,000 | | | | 21,114 | |
Amcor Flexibles North America, Inc. | | | | | |
2.63% | | 06/19/30 | | | 5,000 | | | | 4,500 | |
BAE Systems Holdings, Inc. | | | | | |
3.85% | | 12/15/255 | | | 20,000 | | | | 19,808 | |
Berry Global, Inc. | | | | | |
1.57% | | 01/15/26 | | | 28,000 | | | | 26,955 | |
Boeing Co. (The) | | | | | |
5.81% | | 05/01/50 | | | 10,000 | | | | 9,668 | |
5.93% | | 05/01/60 | | | 12,000 | | | | 11,528 | |
6.53% | | 05/01/345 | | | 5,000 | | | | 5,366 | |
CCL Industries, Inc. | | | | | |
(Canada) | | | | | |
3.05% | | 06/01/304,5 | | | 25,000 | | | | 22,973 | |
Northrop Grumman Corp. | | | | | |
5.15% | | 05/01/40 | | | 5,000 | | | | 5,089 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Industrials (continued) | | | | | |
Sealed Air Corp. | | | | | |
1.57% | | 10/15/265 | | $ | 20,000 | | | $ | 18,792 | |
Sonoco Products Co. | | | | | |
3.13% | | 05/01/30 | | | 10,000 | | | | 9,321 | |
Sydney Airport Finance Co. Pty Ltd. | | | | | |
(Australia) | | | | | |
3.63% | | 04/28/264,5 | | | 5,000 | | | | 4,935 | |
| | | | | | | | | | | | |
| | | | 160,049 | |
| | | | | | | | | | | | |
| |
Information Technology — 4.87% | | | | | |
Atlassian Corp. | | | | | |
5.50% | | 05/15/34 | | | 20,000 | | | | 20,953 | |
Broadcom, Inc. | | | | | |
2.60% | | 02/15/335 | | | 25,000 | | | | 21,435 | |
Cadence Design Systems, Inc. | | | | | |
4.70% | | 09/10/34 | | | 20,000 | | | | 20,124 | |
CDW LLC/CDW Finance Corp. | | | | | |
3.28% | | 12/01/28 | | | 25,000 | | | | 23,727 | |
Constellation Software, Inc. | | | | | |
(Canada) | | | | | |
5.46% | | 02/16/344,5 | | | 20,000 | | | | 20,958 | |
Fiserv, Inc. | | | | | |
2.65% | | 06/01/30 | | | 15,000 | | | | 13,686 | |
Intel Corp. | | | | | |
3.25% | | 11/15/49 | | | 5,000 | | | | 3,373 | |
5.70% | | 02/10/53 | | | 5,000 | | | | 4,913 | |
Micron Technology, Inc. | | | | | |
2.70% | | 04/15/32 | | | 25,000 | | | | 21,871 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/274,5 | | | 17,000 | | | | 17,948 | |
Oracle Corp. | | | | | |
3.60% | | 04/01/50 | | | 45,000 | | | | 34,275 | |
3.95% | | 03/25/51 | | | 12,000 | | | | 9,671 | |
Take-Two Interactive Software, Inc. | | | | | |
4.00% | | 04/14/32 | | | 15,000 | | | | 14,391 | |
Uber Technologies, Inc. | | | | | |
4.80% | | 09/15/34 | | | 15,000 | | | | 14,992 | |
| | | | | | | | | | | | |
| | | | 242,317 | |
| | | | | | | | | | | | |
| |
Insurance — 4.75% | | | | | |
Allstate Corp. (The) | | | | | |
3.85% | | 08/10/49 | | | 20,000 | | | | 16,406 | |
Aon Corp./Aon Global Holdings PLC | | | | | |
| | | |
3.90% | | 02/28/52 | | | 15,000 | | | | 12,013 | |
Arthur J Gallagher & Co. | | | | | |
3.05% | | 03/09/52 | | | 10,000 | | | | 6,642 | |
6.50% | | 02/15/34 | | | 10,000 | | | | 11,169 | |
Athene Global Funding | | | | | |
1.61% | | 06/29/265 | | | 15,000 | | | | 14,285 | |
1.99% | | 08/19/285 | | | 10,000 | | | | 9,086 | |
Farmers Insurance Exchange | | | | | |
4.75% | | 11/01/573,5 | | | 35,000 | | | | 28,828 | |
Guardian Life Insurance Co. of America (The) | | | | | |
3.70% | | 01/22/705 | | | 45,000 | | | | 32,926 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 10 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Insurance (continued) | | | | | |
MMI Capital Trust I, | | | | | |
Series B | | | | | |
7.63% | | 12/15/27 | | $ | 25,000 | | | $ | 26,926 | |
Nationwide Mutual Insurance Co. | | | | | |
7.50% | | 12/15/243,5 | | | 45,000 | | | | 45,126 | |
New York Life Insurance Co. | | | | | |
3.75% | | 05/15/505 | | | 15,000 | | | | 12,067 | |
Willis North America, Inc. | | | | | |
5.35% | | 05/15/33 | | | 20,000 | | | | 20,600 | |
| | | | | | | | | | | | |
| | | | 236,074 | |
| | | | | | | | | | | | |
| |
Materials — 0.28% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
1.23% | | 10/01/255 | | | 5,000 | | | | 4,828 | |
5.00% | | 09/26/48 | | | 10,000 | | | | 9,213 | |
| | | | | | | | | | | | |
| | | | 14,041 | |
| | | | | | | | | | | | |
| |
Office REITs — 1.18% | | | | | |
Boston Properties LP | | | | | |
2.55% | | 04/01/32 | | | 10,000 | | | | 8,338 | |
3.40% | | 06/21/29 | | | 5,000 | | | | 4,680 | |
Hudson Pacific Properties LP | | | | | |
3.95% | | 11/01/27 | | | 10,000 | | | | 9,067 | |
Kilroy Realty LP | | | | | |
2.50% | | 11/15/32 | | | 15,000 | | | | 12,037 | |
Piedmont Operating Partnership LP | | | | | |
2.75% | | 04/01/32 | | | 30,000 | | | | 24,363 | |
| | | | | | | | | | | | |
| | | | 58,485 | |
| | | | | | | | | | | | |
| |
Residential REITs — 0.76% | | | | | |
American Homes 4 Rent LP | | | | | |
2.38% | | 07/15/31 | | | 15,000 | | | | 12,924 | |
Essex Portfolio LP | | | | | |
2.65% | | 03/15/32 | | | 5,000 | | | | 4,357 | |
5.50% | | 04/01/34 | | | 15,000 | | | | 15,608 | |
Invitation Homes Operating Partnership LP | | | | | |
5.50% | | 08/15/33 | | | 5,000 | | | | 5,174 | |
| | | | | | | | | | | | |
| | | | 38,063 | |
| | | | | | | | | | | | |
| |
Retail — 0.19% | | | | | |
Lowe’s Cos., Inc. | | | | | |
5.75% | | 07/01/53 | | | 5,000 | | | | 5,287 | |
McDonald’s Corp. | | | | | |
(MTN) | | | | | |
4.20% | | 04/01/50 | | | 5,000 | | | | 4,327 | |
| | | | | | | | | | | | |
| | | | 9,614 | |
| | | | | | | | | | | | |
| |
Services — 0.90% | | | | | |
Global Payments, Inc. | | | | | |
4.45% | | 06/01/28 | | | 30,000 | | | | 29,907 | |
RELX Capital, Inc. | | | | | |
4.00% | | 03/18/29 | | | 10,000 | | | | 9,914 | |
Worldline SA | | | | | |
(France) | | | | | |
0.00% | | 07/30/264,6 | | | 50 | | | | 5,085 | |
| | | | | | | | | | | | |
| | | | 44,906 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Specialized REITs — 0.68% | | | | | |
CubeSmart LP | | | | | |
4.38% | | 02/15/29 | | $ | 5,000 | | | $ | 4,975 | |
Extra Space Storage LP | | | | | |
2.20% | | 10/15/30 | | | 15,000 | | | | 13,151 | |
NNN REIT, Inc. | | | | | |
5.60% | | 10/15/33 | | | 15,000 | | | | 15,717 | |
| | | | | | | | | | | | |
| | | | 33,843 | |
| | | | | | | | | | | | |
| |
Transportation — 1.66% | | | | | |
Delta Air Lines Pass-Through Trust, | | | | | |
Series 2020-1, Class AA | | | | | |
2.00% | | 06/10/28 | | | 19,021 | | | | 17,792 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2019-1, Class AA | | | | | |
2.75% | | 05/15/32 | | | 11,891 | | | | 10,614 | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2020-1, Class A | | | | | |
4.00% | | 11/15/32 | | | 23,129 | | | | 22,088 | |
United Airlines Pass-Through Trust, | | | | | |
Series 2016-2, Class AA | | | | | |
2.88% | | 10/07/28 | | | 6,664 | | | | 6,239 | |
United Airlines Pass-Through Trust, | | | | | |
Series 2023-1, Class A | | | | | |
5.80% | | 01/15/36 | | | 24,441 | | | | 25,693 | |
| | | | | | | | | | | | |
| | | | 82,426 | |
| | | | | | | | | | | | |
Total Corporates
(Cost $4,484,251) | | | | 4,129,613 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 0.64%** | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed — 0.07% | | | | | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS5, Class XA (IO) | | | | | |
0.78% | | 09/10/471,2,3 | | | 72,966 | | | | 1 | |
Commercial Mortgage Trust, | | | | | |
Series 2014-UBS6, Class XA (IO) | | | | | |
0.81% | | 12/10/473 | | | 231,049 | | | | 4 | |
GS Mortgage Securities Trust, | | | | | |
Series 2010-C1, Class X (IO) | | | | | |
0.55% | | 08/10/433,5 | | | 1,217,325 | | | | 3,475 | |
UBS-Barclays Commercial Mortgage Trust, | | | | | |
Series 2012-C3, Class XB (IO) | | | | | |
0.35% | | 08/10/491,2,3,5 | | | 145,683 | | | | 150 | |
| | | | | | | | | | | | |
| | | | 3,630 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Commercial Mortgage-Backed — 0.42% | | | | | |
Ginnie Mae, | | | | | |
Series 2009-111, Class IO (IO) | | | | | |
0.19% | | 09/16/513 | | | 489,040 | | | | 19,441 | |
Ginnie Mae, | | | | | |
Series 2012-144, Class IO (IO) | | | | | |
0.33% | | 01/16/533 | | | 132,429 | | | | 1,314 | |
| | | | | | | | | | | | |
| | | | 20,755 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 11 / Semi-Annual Report September 2024 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed — 0.15% | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2011-116, Class SA (IO) | | | | | |
(-1.00 X SOFR30A plus 5.89%, 6.00% Cap) | | | | | |
0.61% | | 11/25/417 | | $ | 17,592 | | | $ | 1,448 | |
Fannie Mae REMICS, | | | | | |
Series 2012-128, Class UA | | | | | |
2.50% | | 06/25/42 | | | 6,926 | | | | 6,088 | |
| | | | | | | | | | | | |
| | | | 7,536 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed
(Cost $128,855) | | | | 31,921 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 2.55%* | | | | | |
| |
California — 0.92% | | | | | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
3.89% | | 05/15/38 | | | 15,000 | | | | 14,069 | |
| San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C | | | | | |
3.05% | | 05/01/34 | | | 35,000 | | | | 31,502 | |
| | | | | | | | | | | | |
| | | | 45,571 | |
| | | | | | | | | | | | |
| |
Florida — 0.29% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | 10/01/31 | | | 15,000 | | | | 14,291 | |
| | | | | | | | | | | | |
| |
Maryland — 0.21% | | | | | |
| Maryland Economic Development Corp. Revenue Bonds, School Improvements | | | | | |
5.43% | | 05/31/56 | | | 10,000 | | | | 10,414 | |
| | | | | | | | | | | | |
| |
Massachusetts — 0.18% | | | | | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | 10/15/32 | | | 10,000 | | | | 9,122 | |
| | | | | | | | | | | | |
| |
New York — 0.95% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
3.73% | | 08/01/29 | | | 5,000 | | | | 4,931 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | 02/01/33 | | | 20,000 | | | | 16,645 | |
| New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B | | | | | |
2.54% | | 03/15/34 | | | 10,000 | | | | 8,675 | |
2.59% | | 03/15/35 | | | 20,000 | | | | 17,028 | |
| | | | | | | | | | | | |
| | | | 47,279 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds
(Cost $139,166) | | | | 126,677 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY SECURITIES — 9.39% | | | | | |
| |
U.S. Treasury Bonds — 7.33% | | | | | |
U.S. Treasury Bonds (WI) | | | | | |
4.25% | | 08/15/54 | | | 357,000 | | | | 364,698 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | |
| | | Maturity Date | | Principal Amount | | | Value |
|
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes — 2.06% | |
U.S. Treasury Notes | |
3.50% | | | | | | 09/30/26 | | $ | 30,000 | | | $ | 29,916 | |
3.88% | | | | | | 08/15/34 | | | 68,000 | | | | 68,494 | |
U.S. Treasury Notes (WI) | |
4.00% | | | | | | 08/31/26 | | | 4,000 | | | | 4,006 | |
| | | | | | | | | | | | | | |
| | | | 102,416 | |
| | | | | | | | | | | | | | |
| |
Total U.S. Treasury Securities
(Cost $462,695) | | | | 467,114 | |
| | | | | | | | | | | | | | |
| |
Total Bonds — 96.27%
(Cost $5,250,721) | | | | 4,788,411 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 2.97% | |
|
Money Market Funds — 2.97% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%8 | | | 28,802 | | | | 28,802 | |
TCW Central Cash Fund | |
0.04%8,9 | | | 119,000 | | | | 119,000 | |
| | | | | | | | | | | | | | |
| |
Total Short-Term Investments (Cost $147,802) | | | | 147,802 | |
| | | | | | | | | | | | | | |
| |
Total Investments - 99.24% (Cost $5,398,523) | | | | 4,936,213 | |
| | | | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities - 0.76% | | | | 37,808 | |
| | | | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 4,974,021 | |
| | | | | | | | | | | | | | |
| 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 $33,237, which is 0.67% of total net assets. |
| 3 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 4 | Foreign denominated security issued by foreign domiciled entity. |
| 5 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 6 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 7 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 8 | Represents the current yield as of September 30, 2024. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 12 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(EUR): Euro
(GMTN): Global Medium-Term Note
(IO): Interest Only
(MTN): Medium-Term Note
(NVS): Non-Voting Shares
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(WI): When Issued
| | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement
Date | | Unrealized
Appreciation
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
EUR 300 | | USD 328 | | Bank of America N.A. | | 10/11/24 | | $ | 7 | |
| | | | | | | | | | |
| | | | |
USD 5,477 | | EUR 5,000 | | Citibank N.A. | | 10/11/24 | | | (107) | |
| | | | | | | | | | |
| | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | $ | (100) | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
| U.S. Treasury Two-Year Note | | 12 | | | 12/31/24 | | | $ | 2,498,906 | | | $ | 6,678 | | | $ | 6,678 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | |
| U.S. Treasury Ten-Year Ultra Bond | | 1 | | | 12/19/24 | | | | (118,297) | | | | 152 | | | | 152 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 2,380,609 | | | $ | 6,830 | | | $ | 6,830 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 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 | | 12/20/53 | | USD-SOFR-COMPOUND | | Annual | | | 3.52% | | | | Annual | | | $ | 77 | | | $ | (1,900) | | | $ | — | | | $ | (1,900) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | $ | 77 | | | $ | (1,900) | | | $ | — | | | $ | (1,900) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 13 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BONDS – 94.82% | |
|
| ASSET-BACKED SECURITIES — 0.99%** | |
AMMC CLO 18 Ltd., | |
Series 2016-18A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
6.93% | | | | 05/26/311,2,3 | | $ | 915,000 | | | $ | 915,119 | |
AMMC CLO 30 Ltd., | |
Series 2024-30A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.68%) | |
6.97% | | | | 01/15/371,2,3 | | | 750,000 | | | | 753,517 | |
CIFC Funding Ltd., | |
Series 2022-2A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.32%) | |
6.60% | | | | 04/19/351,2,3 | | | 500,000 | | | | 499,510 | |
Elmwood CLO 15 Ltd., | |
Series 2022-2A, Class A1 | |
(United Kingdom) | |
(CME Term SOFR 3-Month plus 1.34%) | |
6.62% | | | | 04/22/351,2,3 | | | 250,000 | | | | 250,443 | |
Golub Capital Partners CLO 69M, Ltd., | |
Series 2023-69A, Class B1 | |
(United Kingdom) | |
(CME Term SOFR 3-Month plus 3.25%) | |
8.35% | | | | 11/09/361,3 | | | 500,000 | | | | 504,975 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
| |
(Cost $2,888,333) | | | | 2,923,564 | |
| | | | | | | | | | | | |
|
BANK LOANS — 89.92%* | |
Automotive — 0.33% | |
First Brands Group LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 5.26%) | |
10.51% | | | | 03/30/271 | | | 976,561 | | | | 967,865 | |
| | | | | | | | | | | | |
|
Communications — 4.94% | |
Altice Financing SA, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 5.00%) | |
10.30% | | | | 10/31/271,2 | | | 924,133 | | | | 842,116 | |
CCI Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | | | 12/17/271 | | | 1,082,928 | | | | 1,082,760 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
7.44% | | | | 04/15/271 | | | 1,021,973 | | | | 938,028 | |
Cyxtera DC Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
10.50% | | | | 05/01/261,4 | | | 350,844 | | | | 1,930 | |
Frontier Communications Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.76% | | | | 07/01/311 | | | 1,250,000 | | | | 1,260,937 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Communications (continued) | |
Lorca Telecom Bidco SA, | |
Term Loan B4, 1st Lien | |
(SOFR plus 3.50%) | |
8.10% | | 03/25/311 | | $ | 1,180,729 | | | $ | 1,184,909 | |
NEP Group, Inc., | |
Term Loan | |
(SOFR plus 4.11%) | |
9.36% | | 08/19/261 | | | 503,318 | | | | 483,815 | |
Term Loan B, 1st Lien | |
(SOFR plus 3.51%) | |
8.36% | | 08/19/261,5 | | | 988,739 | | | | 951,043 | |
NEP/NCP Holdco, Inc., | |
Term Loan, 2nd Lien | |
(SOFR plus 7.11%) | |
11.72% | | 10/19/261 | | | 440,000 | | | | 361,020 | |
Neptune Bidco U.S., Inc., | |
Term Loan A, 1st Lien | |
(SOFR plus 4.85%) | |
10.15% | | 10/11/281 | | | 567,813 | | | | 532,466 | |
Numericable U.S. LLC, | |
Term Loan B14, 1st Lien | |
(SOFR plus 5.50%) | |
10.80% | | 08/15/281 | | | 1,481,250 | | | | 1,114,641 | |
Planet U.S. Buyer LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.60% | | 02/07/311 | | | 476,982 | | | | 478,413 | |
Red Ventures LLC, | |
Term Loan B4, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 03/04/301 | | | 239,411 | | | | 237,338 | |
Research Now LLC, | |
Term Loan | |
(SOFR plus 5.50%) | |
10.38% | | 04/22/251 | | | 1,276,674 | | | | 1,281,992 | |
United Talent Agency LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.87% | | 07/07/281 | | | 982,405 | | | | 986,089 | |
Virgin Media Bristol LLC, | |
Term Loan Y, 1st Lien | |
(SOFR plus 3.35%) | |
8.66% | | 03/31/311 | | | 1,200,000 | | | | 1,147,668 | |
Zayo Group Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.96% | | 03/09/271 | | | 1,385,276 | | | | 1,269,405 | |
(SOFR plus 4.25%) | |
9.10% | | 03/09/271 | | | 487,500 | | | | 450,725 | |
| | | | | | | | | | | | |
| | | | 14,605,295 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 4.16% | |
ABG Intermediate Holdings 2 LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 1.75%) | |
7.57% | | 12/21/281 | | | 537,254 | | | | 538,412 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 14 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Consumer Discretionary (continued) | |
Arterra Wines Canada, Inc., | |
Term Loan B1, 1st Lien | |
(SOFR plus 3.76%) | |
8.37% | | 11/24/271 | | $ | 1,374,823 | | | $ | 1,331,358 | |
BRE/Everbright M6 Borrower LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 5.10%) | |
10.06% | | 09/09/261 | | | 1,000,000 | | | | 1,004,380 | |
BrewCo Borrower LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.76%) | |
9.06% | | 04/05/281 | | | 1,736,901 | | | | 1,424,259 | |
City Brewing Co. LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 5.26%) | |
10.56% | | 04/05/281,6 | | | 503,366 | | | | 265,525 | |
Crocs, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
6.85% - 7.10% | | 02/20/291 | | | 320,680 | | | | 322,445 | |
Hanesbrands, Inc., | |
Term Loan A, 1st Lien | |
(SOFR plus 2.10%) | |
6.95% | | 11/19/261 | | | 947,368 | | | | 939,079 | |
Naked Juice, LLC, | |
Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 3.35%) | |
8.32% | | 01/24/291,2 | | | 988,750 | | | | 812,629 | |
Term Loan, 2nd Lien | |
(SOFR plus 6.10%) | |
10.70% | | 01/24/301 | | | 1,100,000 | | | | 684,123 | |
Osmosis Buyer Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.34% | | 07/31/281 | | | 2,261,170 | | | | 2,261,057 | |
Pegasus Bidco BV, | |
Term Loan B, 1st Lien (Netherlands) | |
(SOFR plus 3.75%) | |
8.87% | | 07/12/291,2 | | | 1,353,825 | | | | 1,357,636 | |
Prestige Brands, Inc., | |
Term Loan B5, 1st Lien | |
(SOFR plus 2.11%) | |
6.96% | | 07/03/281 | | | 238,637 | | | | 239,258 | |
Tecta America Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.96% | | 04/10/281 | | | 249,356 | | | | 250,836 | |
(SOFR plus 4.25%) | |
9.21% | | 04/10/281 | | | 855,377 | | | | 860,453 | |
| | | | | | | | | | | | |
| | | | 12,291,450 | |
| | | | | | | | | | | | |
|
Diversified REITs — 0.25% | |
SBA Senior Finance II LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 01/25/311 | | | 750,000 | | | | 751,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric — 3.82% | |
Alpha Generation LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 09/19/311 | | $ | 1,875,000 | | | $ | 1,877,681 | |
Calpine Construction Finance Co. LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.21% | | 07/31/301 | | | 235,778 | | | | 234,501 | |
Calpine Corp., | |
Term Loan B10, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 01/31/311 | | | 184,576 | | | | 184,134 | |
Term Loan B5, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 12/16/271 | | | 714,286 | | | | 712,279 | |
Carroll County Energy LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | 06/30/311 | | | 1,126,015 | | | | 1,130,237 | |
Compass Power Generation LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 04/14/291 | | | 1,205,592 | | | | 1,214,845 | |
Edgewater Generation LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 08/01/301 | | | 1,467,137 | | | | 1,481,808 | |
EFS Cogen Holdings I LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.09% | | 10/01/271 | | | 925,926 | | | | 928,111 | |
Hamilton Projects Acquiror LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 05/31/311 | | | 997,500 | | | | 1,005,979 | |
Lackawanna Energy Center LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 4.25%) | |
9.30% | | 08/06/291 | | | 700,630 | | | | 706,760 | |
Term Loan C, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 08/06/291 | | | 153,102 | | | | 154,442 | |
Red Oak Power LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.84% | | 10/01/301 | | | 391,667 | | | | 389,873 | |
South Field Energy LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 08/29/311 | | | 706,658 | | | | 710,043 | |
Term Loan C, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 08/29/311 | | | 43,342 | | | | 43,549 | |
See accompanying Notes to Financial Statements.
|
| 15 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric (continued) | |
Talen Energy Supply LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.60% | | 05/17/301 | | $ | 272,738 | | | $ | 273,915 | |
Term Loan C, 1st Lien | |
(SOFR plus 3.50%) | |
8.60% | | 05/17/301 | | | 223,810 | | | | 224,775 | |
| | | | | | | | | | | | |
| | | | 11,272,932 | |
| | | | | | | | | | | | |
|
Energy — 2.13% | |
Apro LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.87% | | 07/09/311 | | | 458,333 | | | | 460,483 | |
Bip Pipeco Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.82% | | 12/05/301 | | | 578,550 | | | | 579,345 | |
ChampionX Corp., | |
Term Loan B2, 1st Lien | |
(SOFR plus 2.85%) | |
7.70% | | 06/07/291 | | | 495,000 | | | | 496,547 | |
ITT Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.10%) | |
8.15% | | 10/11/301 | | | 1,303,935 | | | | 1,307,195 | |
NGP XI Midstream Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | 07/25/311 | | | 425,000 | | | | 425,531 | |
Oregon Clean Energy LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
9.10% | | 07/12/301 | | | 1,228,600 | | | | 1,236,064 | |
TMS International Corp., | |
Term Loan B6, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% - 9.00% | | 03/02/301 | | | 684,642 | | | | 687,316 | |
WaterBridge Midstream Operating LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.39% | | 06/27/291 | | | 650,000 | | | | 629,340 | |
Waterbridge NDB Operating LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.60% | | 05/10/291 | | | 466,667 | | | | 466,450 | |
| | | | | | | | | | | | |
| | | | 6,288,271 | |
| | | | | | | | | | | | |
|
Entertainment — 1.67% | |
Banijay Entertainment SAS, | |
Term Loan B, 1st Lien (France) | |
(LIBOR plus 3.75%) | |
8.61% | | 03/01/251,2 | | | 677,013 | | | | 679,341 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Entertainment (continued) | |
Formula One Management Ltd., | |
Term Loan B1, 1st Lien (Luxembourg) | |
(SOFR plus 2.00%) | |
6.96% | | 09/10/311,2 | | $ | 911,111 | | | $ | 912,724 | |
Term Loan B2, 1st Lien (Luxembourg) | |
(SOFR plus 2.00%) | |
6.96% | | 09/10/311,2 | | | 455,556 | | | | 456,362 | |
Showtime Acquisition LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.85% | | 08/13/311 | | | 1,200,000 | | | | 1,195,128 | |
William Morris Endeavor Entertainment LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.86%) | |
7.71% | | 05/18/251 | | | 1,685,385 | | | | 1,688,545 | |
| | | | | | | | | | | | |
| | | | 4,932,100 | |
| | | | | | | | | | | | |
|
Finance — 3.40% | |
AAL Delaware Holdco, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 07/30/311 | | | 1,237,179 | | | | 1,244,336 | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B6, 1st Lien | |
(SOFR plus 2.00%) | |
6.96% | | 06/22/281 | | | 992,500 | | | | 995,716 | |
Blackhawk Network Holdings, Inc., | |
Term Loan B1, 1st Lien | |
(SOFR plus 5.00%) | |
9.85% | | 03/12/291 | | | 748,125 | | | | 752,333 | |
Chrysaor Bidco SARL, | |
Delayed-Draw Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 3.50%) | |
8.32% | | 05/14/311,2 | | | 21,408 | | | | 21,521 | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 3.50%) | |
8.32% | | 07/17/311,2 | | | 289,479 | | | | 290,999 | |
Cpv Fairview LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/14/311 | | | 356,707 | | | | 358,564 | |
Deerfield Dakota Holding LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 04/09/271 | | | 968,243 | | | | 949,904 | |
Term Loan B, 2nd Lien | |
(SOFR plus 7.01%) | |
11.62% | | 04/07/281 | | | 250,000 | | | | 245,704 | |
FinCo I LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.17% | | 06/27/291 | | | 222,626 | | | | 223,414 | |
(SOFR plus 3.00%) | |
8.26% | | 06/27/291 | | | 513,500 | | | | 515,318 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 16 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Finance (continued) | |
Guardian U.S. Holdco, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.10% | | 01/31/301 | | $ | 736,253 | | | $ | 732,800 | |
Guggenheim Partners Investment Management Holdings | |
LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
7.85% | | 12/12/291 | | | 736,875 | | | | 739,439 | |
HDI Aerospace Intermediate Holding III Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.35% | | 09/19/311 | | | 333,333 | | | | 331,042 | |
Jane Street Group LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.61%) | |
7.65% | | 01/26/281 | | | 1,293,895 | | | | 1,294,186 | |
Setanta Aircraft Leasing DAC, | |
Term Loan B, 1st Lien (Ireland) | |
(SOFR plus 1.75%) | |
6.35% | | 11/06/281,2 | | | 600,833 | | | | 604,964 | |
WEC U.S. Holdings Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 01/27/311 | | | 748,125 | | | | 748,806 | |
| | | | | | | | | | | | |
| | | | 10,049,046 | |
| | | | | | | | | | | | |
|
Food — 3.68% | |
8th Avenue Food & Provisions, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 10/01/251 | | | 484,446 | | | | 471,124 | |
(SOFR plus 4.86%) | |
9.71% | | 10/01/251 | | | 485,000 | | | | 472,068 | |
Term Loan, 2nd Lien | |
(SOFR plus 7.86%) | |
12.71% | | 10/01/261 | | | 870,000 | | | | 769,950 | |
Aramark Services, Inc., | |
Term Loan B7, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 04/06/281 | | | 1,000,000 | | | | 1,003,000 | |
Chobani LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.36%) | |
8.21% | | 10/25/271 | | | 712,684 | | | | 715,535 | |
Dessert Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.11%) | |
9.16% | | 06/09/281 | | | 1,446,367 | | | | 1,372,696 | |
Sigma Bidco BV, | |
Term Loan B10, 1st Lien | |
(SOFR plus 4.41%) | |
9.77% | | 01/03/281 | | | 1,150,047 | | | | 1,147,276 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Food (continued) | |
Simply Good Foods USA, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.60%) | |
7.46% | | 03/17/271 | | $ | 651,140 | | | $ | 653,715 | |
Snacking Investments Bidco, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.84% | | 12/18/261 | | | 1,331,508 | | | | 1,338,997 | |
Solina Group Services, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.70% | | 03/07/291 | | | 476,080 | | | | 478,757 | |
United Natural Foods, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 04/25/311 | | | 1,745,625 | | | | 1,754,353 | |
UTZ Quality Foods LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.35% | | 01/20/281 | | | 696,896 | | | | 698,530 | |
| | | | | | | | | | | | |
| | | | 10,876,001 | |
| | | | | | | | | | | | |
|
Gaming — 2.52% | |
Caesars Entertainment, Inc., | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 02/06/311 | | | 517,400 | | | | 518,169 | |
7.80% | | 02/06/301 | | | 425,250 | | | | 426,079 | |
Flutter Entertainment PLC, | |
Term Loan B, 1st Lien (Ireland) | |
(SOFR plus 2.00%) | |
6.60% | | 11/29/301,2 | | | 1,260,818 | | | | 1,263,743 | |
GVC Holdings Gibraltar Ltd., | |
Term Loan B4, 1st Lien | |
(SOFR plus 2.60%) | |
7.86% | | 03/29/271 | | | 1,693,125 | | | | 1,701,057 | |
J&J Ventures Gaming LLC, | |
Delayed-Draw Term Loan B, 1st Lien | |
(SOFR plus 4.36%) | |
9.21% | | 04/26/281 | | | 746,873 | | | | 745,630 | |
Light & Wonder International, Inc., | |
Term Loan B2, 1st Lien | |
(SOFR plus 2.25%) | |
7.33% | | 04/14/291 | | | 781,600 | | | | 782,366 | |
Ontario Gaming Gta Ltd. Partnership, | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
8.89% | | 08/01/301,2 | | | 1,012,900 | | | | 1,013,214 | |
Penn National Gaming, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.70% | | 05/03/291 | | | 977,500 | | | | 980,863 | |
| | | | | | | | | | | | |
| | | | 7,431,121 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 17 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care — 13.13% | |
Accent Care, | |
Term Loan | |
(SOFR plus 5.50%) | |
10.69% | | 06/20/281 | | $ | 616,653 | | | $ | 625,903 | |
ADMI Corp., | |
Term Loan B1, 1st Lien | |
(SOFR plus 5.75%) | |
10.60% | | 12/23/271 | | | 1,517,428 | | | | 1,521,692 | |
Auris Luxembourg III SARL, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 4.68%) | |
9.56% | | 02/27/291,2 | | | 1,242,050 | | | | 1,243,993 | |
Bausch + Lomb Corp., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 3.35%) | |
8.27% | | 05/10/271,2 | | | 752,427 | | | | 750,651 | |
Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.00%) | |
8.85% | | 09/29/281,2 | | | 238,149 | | | | 238,299 | |
Bella Holding Co. LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.85%) | |
8.70% | | 05/10/281 | | | 729,107 | | | | 730,018 | |
Catalent Pharma Solutions, Inc., | |
Term Loan B3, 1st Lien | |
(SOFR plus 2.11%) | |
7.03% | | 02/22/281 | | | 985,953 | | | | 986,417 | |
Term Loan B4, 1st Lien | |
(SOFR plus 3.00%) | |
7.92% | | 02/22/281 | | | 1,032,311 | | | | 1,034,247 | |
Certara Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 06/26/311 | | | 577,296 | | | | 578,739 | |
Charlotte Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.85% | | 02/11/281 | | | 1,563,097 | | | | 1,577,017 | |
Concentra Health Services, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.10% | | 07/26/311 | | | 620,833 | | | | 620,445 | |
Curia Global, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
9.10% | | 08/30/261 | | | 1,346,264 | | | | 1,285,366 | |
Curium Bidco SARL, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 4.00%) | |
8.60% | | 07/31/291,2 | | | 990,013 | | | | 994,547 | |
Dermatology Intermediate Holdings III, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 5.50%) | |
10.55% | | 03/30/291 | | | 199,000 | | | | 195,020 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Dermatology Intermediate Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 03/30/291 | | $ | 893,785 | | | $ | 854,043 | |
eResearch Technology, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.85% | | 02/04/271 | | | 1,470,456 | | | | 1,478,470 | |
Financiere Mendel, | |
Term Loan B, 1st Lien (France) | |
(SOFR plus 3.25%) | |
8.35% | | 11/08/301,2 | | | 817,227 | | | | 819,610 | |
HAH Group Holding Co. LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 5.00%) | |
9.86% | | 09/24/311 | | | 666,667 | | | | 659,273 | |
Heartland Dental LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.35% | | 04/28/281 | | | 971,927 | | | | 956,842 | |
Inception Finco SARL, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 4.50%) | |
9.10% | | 04/18/311,2 | | | 881,125 | | | | 888,284 | |
Jazz Financing Lux SARL, | |
Term Loan B2, 1st Lien (Luxembourg) | |
(SOFR plus 2.25%) | |
7.10% | | 05/05/281,2 | | | 1,042,612 | | | | 1,042,705 | |
LSCS Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.61%) | |
9.46% | | 12/16/281 | | | 1,313,359 | | | | 1,312,814 | |
Midwest Veterinary Partners LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.87% | | 04/27/281 | | | 872,783 | | | | 873,966 | |
Modivcare, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
10.08% | | 07/01/311 | | | 1,246,875 | | | | 1,181,028 | |
Napa Management Services Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 5.35%) | |
10.20% | | 02/23/291 | | | 1,106,845 | | | | 1,045,509 | |
NSM Top Holdings Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.25%) | |
10.10% | | 05/14/291 | | | 937,500 | | | | 941,044 | |
Option Care Health, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.30% | | 10/27/281 | | | 540,901 | | | | 543,494 | |
Organon & Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.46% | | 05/14/311 | | | 995,161 | | | | 995,161 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 18 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Pacific Dental Services LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.85% | | 03/15/311 | | $ | 970,125 | | | $ | 970,731 | |
Parexel International, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
8.05% | | 11/15/281 | | | 1,871,058 | | | | 1,873,537 | |
Peraton Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.70% | | 02/01/281 | | | 1,133,960 | | | | 1,093,682 | |
Perrigo Investments LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.35%) | |
7.20% | | 04/20/291 | | | 1,047,765 | | | | 1,048,640 | |
Pluto Acquisition I, Inc., | |
Term Loan FLSO, 1st Lien | |
(SOFR plus 4.00%) | |
9.13% | | 09/20/281 | | | 720,766 | | | | 661,905 | |
Term Loan, 1st Lien | |
(SOFR plus 5.60%) | |
10.35% | | 06/20/281 | | | 500,000 | | | | 507,500 | |
Resonetics LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.71% | | 06/18/311 | | | 1,175,000 | | | | 1,177,937 | |
RXB Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.61%) | |
9.47% | | 12/20/271 | | | 493,622 | | | | 494,704 | |
(SOFR plus 5.25%) | |
10.10% | | 12/20/271 | | | 697,527 | | | | 700,143 | |
Sharp Services LLC, | |
Term Loan C, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 12/31/281 | | | 1,218,324 | | | | 1,219,847 | |
Sotera Health Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 05/30/311 | | | 318,182 | | | | 317,585 | |
Star Parent, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 09/27/301 | | | 512,071 | | | | 498,982 | |
U.S. Renal Care, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 5.11%) | |
9.96% | | 06/20/281 | | | 182,466 | | | | 167,047 | |
VetStrategy Canada Holdings, | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 4.75%) | |
9.39% | | 12/12/281,2 | | | 1,316,324 | | | | 1,319,892 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Vizient, Inc., | |
Term Loan B8, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 08/01/311 | | $ | 750,000 | | | $ | 752,250 | |
| | | | | | | | | | | | |
| | | | 38,778,979 | |
| | | | | | | | | | | | |
|
Hotel & Resort REITs — 0.35% | |
OEG Borrower LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.36% | | 06/30/311 | | | 1,033,333 | | | | 1,033,979 | |
| | | | | | | | | | | | |
|
Industrial REITs — 0.16% | |
Avison Second Out, | |
Term Loan | |
(SOFR plus 8.26%) | |
13.58% | | 03/12/291 | | | 481,373 | | | | 379,081 | |
Avison Third Out, | |
Term Loan | |
(SOFR plus 8.26%) | |
13.58% | | 03/12/291 | | | 161,629 | | | | 94,149 | |
| | | | | | | | | | | | |
| | | | 473,230 | |
| | | | | | | | | | | | |
|
Industrials — 12.55% | |
Alliance Laundry Systems LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/19/311 | | | 1,125,000 | | | | 1,127,964 | |
Anchor Packaging LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 07/18/291 | | | 300,574 | | | | 302,008 | |
Arcline FM Holdings LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.57% -9.74% | | 06/23/281 | | | 1,448,980 | | | | 1,453,639 | |
Artera Services LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.47% | | 02/15/311 | | | 713,909 | | | | 697,732 | |
AZZ, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.55% | | 05/13/291 | | | 1,390,796 | | | | 1,399,238 | |
BCPE Empire Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.85% | | 12/11/281 | | | 1,279,778 | | | | 1,281,781 | |
Bleriot U.S. Bidco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
7.85% | | 10/31/301 | | | 1,097,415 | | | | 1,100,158 | |
Coherent Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.35% | | 07/02/291 | | | 1,446,725 | | | | 1,448,982 | |
See accompanying Notes to Financial Statements.
|
| 19 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Convergint Technologies, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 03/31/281 | | $ | 483,766 | | | $ | 483,314 | |
DG Investment Intermediate Holdings 2, Inc., | |
Delayed-Draw Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.69% | | 03/31/281 | | | 26,042 | | | | 26,017 | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.69% | | 03/31/281 | | | 323,958 | | | | 323,656 | |
Term Loan, 2nd Lien | |
(SOFR plus 6.86%) | |
11.71% | | 03/30/291 | | | 550,000 | | | | 518,719 | |
DTI Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 04/26/291 | | | 1,729,767 | | | | 1,738,727 | |
Eagle 4 Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.01%) | |
8.62% | | 07/12/281 | | | 984,644 | | | | 987,928 | |
Engineering Research and Consulting LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 5.00%) | |
10.06% | | 08/15/311 | | | 1,405,178 | | | | 1,396,396 | |
Filtration Group Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.61%) | |
8.46% | | 10/21/281 | | | 1,003,441 | | | | 1,004,901 | |
Gates Corp., | |
Term Loan B4, 1st Lien | |
(SOFR plus 2.25%) | |
7.30% | | 11/16/291 | | | 490,000 | | | | 491,225 | |
Gopher Resource LLC, | |
Term Loan, 1st Lien | |
(LIBOR plus 3.25%) | |
8.21% | | 03/06/251 | | | 986,536 | | | | 962,953 | |
Graham Packaging Co., Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.56% | | 08/04/271 | | | 706,184 | | | | 706,300 | |
Innio Group Holding GmbH, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.54% | | 11/02/281 | | | 746,250 | | | | 750,295 | |
KAMC Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.26%) | |
9.32% | | 08/14/261,4,7 | | | 1,779,295 | | | | 1,761,689 | |
MI Windows and Doors LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 03/28/311 | | | 998,125 | | | | 1,001,104 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Michaels Cos., Inc. (The), | |
Term Loan, 1st Lien | |
(SOFR plus 4.51%) | |
9.12% | | 04/15/281 | | $ | 147,947 | | | $ | 117,396 | |
Minimax Viking GmbH - MX Holdings U.S., Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.71% | | 07/31/281 | | | 470,854 | | | | 473,013 | |
Nvent Electric Public Ltd. Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.36% | | 09/12/311 | | | 700,000 | | | | 700,147 | |
Pactiv Evergreen Group Holdings, Inc., | |
Term Loan B4, 1st Lien | |
(SOFR plus 2.50%) | |
7.55% | | 09/24/281 | | | 1,144,544 | | | | 1,145,614 | |
Patriot Container Corp., | |
Term Loan, 2nd Lien | |
(SOFR plus 7.75%) | |
12.81% | | 03/20/261 | | | 125,000 | | | | 122,604 | |
Peacock Merger Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.51%) | |
9.12% | | 12/29/281 | | | 1,116,500 | | | | 1,033,359 | |
Plaze, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 08/03/261 | | | 481,250 | | | | 449,569 | |
Pretium PKG Holdings, Inc., | |
Term Loan A, 1st Lien | |
(SOFR plus 5.00%) | |
10.25% | | 10/02/281,6 | | | 452,310 | | | | 461,499 | |
Term Loan A1, 1st Lien | |
(SOFR plus 4.60%) | |
9.19% | | 10/02/281,6 | | | 1,131 | | | | 911 | |
Pro Mach Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.52% | | 08/31/281 | | | 385,174 | | | | 386,887 | |
ProAmpac PG Borrower LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
9.12% - 9.30% | | 09/15/281 | | | 1,309,287 | | | | 1,312,888 | |
Resideo Funding, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.86% | | 02/11/281 | | | 292,778 | | | | 294,242 | |
Roehm Holding GmbH, | |
Term Loan B, 1st Lien (Germany) | |
(SOFR plus 5.00%) | |
9.47% | | 07/31/261,2 | | | 997,494 | | | | 942,632 | |
SPX Flow, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.55% | | 04/05/291 | | | 1,172,576 | | | | 1,175,390 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 20 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Standard Industries, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.92% | | 09/22/281 | | $ | 324,205 | | | $ | 325,270 | |
TK Elevator Midco Gmbh, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.59% | | 04/30/301 | | | 661,679 | | | | 663,747 | |
Transdigm, Inc., | |
Term Loan I, 1st Lien | |
(SOFR plus 2.75%) | |
7.35% | | 08/24/281 | | | 1,729,428 | | | | 1,730,647 | |
Vantage Elevator Solutions, | |
Term Loan, 1st Lien | |
(SOFR plus 3.86%) | |
8.72% | | 11/19/281 | | | 1,946,316 | | | | 1,881,844 | |
Verde Purchaser LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.10% | | 11/30/301 | | | 997,500 | | | | 990,537 | |
Windsor Holdings III LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.96% | | 08/01/301 | | | 657,204 | | | | 661,138 | |
Wrench Group LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.26%) | |
8.87% | | 10/30/281 | | | 1,247,937 | | | | 1,249,241 | |
| | | | | | | | | | | | |
| | | | 37,083,301 | |
| | | | | | | | | | | | |
|
Information Technology — 15.18% | |
Amentum Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.11% | | 09/29/311 | | | 1,410,976 | | | | 1,408,330 | |
Applovin Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.35% | | 08/16/301 | | | 1,574,521 | | | | 1,575,261 | |
Azalea TopCo, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 04/30/311 | | | 772,727 | | | | 771,970 | |
Barracuda Parent LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
9.79% | | 08/15/291 | | | 773,541 | | | | 753,935 | |
Bep Intermediate Holdco LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 04/25/311 | | | 742,326 | | | | 746,037 | |
BMC Software (Boxer/Bladelogic), | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
9.01% | | 07/30/311 | | | 745,000 | | | | 744,408 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Term Loan, 2nd Lien | |
(SOFR plus 5.75%) | |
11.01% | | 07/03/321 | | $ | 750,000 | | | $ | 739,376 | |
Buzz Merger Sub Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.70% | | 01/29/271 | | | 735,136 | | | | 733,603 | |
Castle U.S. Holding Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.01%) | |
9.07% | | 01/29/271 | | | 962,500 | | | | 645,905 | |
Cloud Software Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.97% | | 03/30/291 | | | 933,901 | | | | 931,174 | |
Delivery Hero SE, | |
Term Loan B, 1st Lien | |
(SOFR plus 5.00%) | |
10.10% | | 12/12/291 | | | 1,545,054 | | | | 1,554,015 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.76%) | |
8.37% | | 08/14/251 | | | 2,631,501 | | | | 2,518,741 | |
Epicor Software Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 05/30/311,8 | | | 714,823 | | | | 716,199 | |
EQT Box Merger Sub, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 04/17/281 | | | 1,463,028 | | | | 1,468,777 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.10%) | |
8.70% | | 10/01/271 | | | 451,248 | | | | 430,660 | |
Genesys Cloud Services Holdings II LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 12/01/271 | | | 300,460 | | | | 301,412 | |
(SOFR plus 3.86%) | |
8.71% | | 12/01/271 | | | 746,250 | | | | 747,746 | |
Go Daddy Operating Co., LLC, | |
Term Loan B6, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 11/09/291 | | | 624,374 | | | | 624,464 | |
Idemia America Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
8.94% | | 09/30/281 | | | 439,787 | | | | 441,643 | |
Indy U.S. Holdco LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 03/06/281 | | | 1,425,000 | | | | 1,422,627 | |
See accompanying Notes to Financial Statements.
|
| 21 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Instructure Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 09/11/311 | | $ | 543,478 | | | $ | 539,910 | |
(SOFR plus 3.01%) | |
8.07% | | 10/30/281 | | | 248,092 | | | | 248,557 | |
Iron Mountain Information Management LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 01/31/311 | | | 1,111,651 | | | | 1,106,788 | |
Magnite, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 02/06/311 | | | 2,431,406 | | | | 2,452,681 | |
Match Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.90%) | |
6.71% | | 02/13/271 | | | 500,000 | | | | 499,375 | |
MH Sub I LLC, | |
Term Loan B3, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 05/03/281 | | | 791,144 | | | | 787,073 | |
Open Text Corp., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 2.25%) | |
7.10% | | 01/31/301,2 | | | 1,091,701 | | | | 1,096,974 | |
Peraton Corp., | |
Term Loan, 2nd Lien | |
(SOFR plus 7.85%) | |
12.97% | | 02/01/291 | | | 248,837 | | | | 234,296 | |
Plano Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/30/311 | | | 352,134 | | | | 353,014 | |
Planview Parent, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 2.75%) | |
9.03% | | 12/17/271 | | | 498,750 | | | | 499,690 | |
Playtika Holding Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.71% | | 03/13/281 | | | 1,465,898 | | | | 1,458,151 | |
Plusgrade, Inc., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 4.50%) | |
9.52% | | 03/04/311,2 | | | 1,123,040 | | | | 1,125,848 | |
Project Boost Purchaser LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.79% | | 07/16/311 | | | 1,121,108 | | | | 1,121,904 | |
Pushpay USA, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.10% | | 08/08/311 | | | 650,000 | | | | 650,813 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Quartz AcquireCo LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.35% | | 06/28/301 | | $ | 1,456,623 | | | $ | 1,459,361 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.11%) | |
7.96% | | 04/24/281 | | | 659,589 | | | | 641,120 | |
Term Loan, 2nd Lien | |
(SOFR plus 6.50%) | |
11.42% | | 04/23/291 | | | 600,000 | | | | 579,000 | |
Renaissance Holding Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 04/05/301 | | | 1,361,896 | | | | 1,362,904 | |
Research Now Group LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 5.76%) | |
10.88% | | 10/16/281 | | | 357,917 | | | | 332,193 | |
Severin Acquisition, LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.00%) | |
8.25% | | 08/01/271 | | | 744,375 | | | | 745,540 | |
Sophia LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.60%) | |
8.45% | | 10/09/291 | | | 591,291 | | | | 593,461 | |
SS&C Technologies Holdings, Inc., | |
Term Loan B8, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 05/09/311 | | | 694,621 | | | | 695,389 | |
StubHub Holdco Sub LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 03/15/301 | | | 1,339,864 | | | | 1,340,976 | |
Tempo Acquisition LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.25%) | |
7.10% | | 08/31/281 | | | 1,227,289 | | | | 1,229,295 | |
TripAdvisor, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 07/08/311 | | | 726,563 | | | | 726,334 | |
Ultra Clean Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 02/27/281 | | | 1,481,250 | | | | 1,489,278 | |
Waystar Technologies, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 10/22/291 | | | 269,398 | | | | 269,905 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 22 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Xerox Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% - 8.85% | | 11/15/291 | | $ | 1,913,199 | | | $ | 1,909,612 | |
| | | | | | | | | | | | |
| | | | 44,825,725 | |
| | | | | | | | | | | | |
|
Insurance — 2.00% | |
Acrisure LLC, | |
Term Loan B6, 1st Lien | |
(SOFR plus 3.25%) | |
8.21% | | 11/06/301 | | | 1,425,941 | | | | 1,414,804 | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.36%) | |
7.21% | | 02/19/281 | | | 395,929 | | | | 395,743 | |
Asurion LLC, | |
Term Loan B10, 1st Lien | |
(SOFR plus 4.10%) | |
8.95% | | 08/19/281 | | | 753,859 | | | | 742,686 | |
Term Loan B12, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 09/19/301 | | | 412,902 | | | | 406,257 | |
Term Loan B8, 1st Lien | |
(SOFR plus 3.36%) | |
8.41% | | 12/23/261 | | | 821,757 | | | | 822,029 | |
Term Loan B9, 1st Lien | |
(SOFR plus 3.36%) | |
8.41% | | 07/31/271 | | | 317,946 | | | | 314,016 | |
HUB International Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
8.26% | | 06/20/301 | | | 748,125 | | | | 747,878 | |
OneDigital Borrower LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 07/02/311 | | | 353,281 | | | | 350,927 | |
Sedgwick Claims Management Services, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
8.25% | | 07/31/311 | | | 725,000 | | | | 724,478 | |
| | | | | | | | | | | | |
| | | | 5,918,818 | |
| | | | | | | | | | | | |
|
Materials — 3.82% | |
Amer Rock Salt Co. LLC, | |
Delayed-Draw Term Loan | |
(SOFR plus 4.00%) | |
9.00% | | 06/12/281 | | | 352,857 | | | | 352,857 | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
9.32% | | 06/12/281 | | | 331,547 | | | | 331,547 | |
Archroma Finance Sarl, | |
Term Loan B, 1st Lien | |
(SOFR plus 5.50%) | |
10.80% | | 06/30/271 | | | 992,478 | | | | 990,309 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Materials (continued) | |
Chemours Co. (The), | |
Term Loan B3, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/18/281 | | $ | 498,741 | | | $ | 499,676 | |
Ecovyst Catalyst Technologies LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.25%) | |
7.50% | | 06/12/311 | | | 768,458 | | | | 764,796 | |
Element Solutions, Inc., | |
Term Loan B2, 1st Lien | |
(SOFR plus 1.00%) | |
6.82% | | 12/18/301 | | | 859,791 | | | | 861,188 | |
HB Fuller Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 02/15/301 | | | 784,245 | | | | 786,700 | |
Hexion Holdings Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.55% | | 03/15/291 | | | 797,959 | | | | 793,187 | |
Loparex Midco BV, | |
Term Loan, 1st Lien (Netherlands) | |
(SOFR plus 6.00%) | |
11.20% | | 02/01/271,2 | | | 3,017 | | | | 3,144 | |
Madison Safety & Flow LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 09/26/311 | | | 200,000 | | | | 200,188 | |
Mativ Holdings, Inc., | |
Delayed-Draw Term Loan, 1st Lien | |
(SOFR plus 2.60%) | |
7.45% | | 05/06/271 | | | 1,125,000 | | | | 1,116,563 | |
Nouryon Finance BV, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.63% | | 04/03/281 | | | 1,113,771 | | | | 1,116,906 | |
Paint Intermediate III LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 09/11/311 | | | 400,000 | | | | 399,876 | |
Plaskolite PPC Intermediate II LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.11%) | |
8.96% | | 12/15/251 | | | 1,431,742 | | | | 1,409,672 | |
Potters Industries LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 12/14/271 | | | 445,901 | | | | 448,781 | |
SCIH Salt Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.76% | | 03/16/271 | | | 1,190,955 | | | | 1,192,241 | |
| | | | | | | | | | | | |
| | | | 11,267,631 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 23 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Retail — 2.11% | |
BJ’s Wholesale Club, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.96% | | 02/05/291 | | $ | 400,000 | | | $ | 403,126 | |
Dave & Buster’s, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.21% | | 09/29/311 | | | 474,490 | | | | 470,931 | |
EG America LLC, | |
Term Loan BC, 1st Lien | |
(SOFR plus 5.61%) | |
10.76% | | 02/07/281 | | | 193,636 | | | | 193,797 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.88% | | 03/15/281 | | | 1,223,964 | | | | 1,230,849 | |
MIC Glen LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 4.36%) | |
9.21% | | 07/21/281 | | | 497,500 | | | | 500,609 | |
Term Loan, 1st Lien | |
(SOFR plus 3.61%) | |
8.46% | | 07/21/281 | | | 204,022 | | | | 204,486 | |
Pacific Bells LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.10% | | 11/10/281 | | | 496,174 | | | | 497,260 | |
Peer Holding III BV, | |
Term Loan B4, 1st Lien (Netherlands) | |
(SOFR plus 3.25%) | |
5.94% | | 10/28/301,2 | | | 1,468,524 | | | | 1,475,412 | |
Staples, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 5.75%) | |
10.69% | | 09/04/291 | | | 450,000 | | | | 409,982 | |
Tacala Investment Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
9.25% | | 01/31/311 | | | 838,911 | | | | 841,218 | |
| | | | | | | | | | | | |
| | | | 6,227,670 | |
| | | | | | | | | | | | |
|
Services — 12.86% | |
Action Environmental Group, Inc. (The), | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.67% | | 10/24/301 | | | 465,568 | | | | 467,314 | |
(SOFR plus 4.00%) | |
8.60% | | 10/24/301 | | | 1,050,937 | | | | 1,054,878 | |
Albion Financing 3 SARL, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 4.51%) | |
9.83% | | 08/16/291,2 | | | 1,306,725 | | | | 1,316,525 | |
AlixPartners LLP, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.61%) | |
7.66% | | 02/04/281 | | | 962,249 | | | | 964,414 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
|
BANK LOANS (continued) | |
|
Services (continued) | |
Allied Universal Holdco LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.85%) | |
8.70% | | 05/12/281 | | $ | 641,157 | | | $ | 635,628 | |
Alterra Mountain Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 08/17/281 | | | 249,375 | | | | 250,258 | |
(SOFR plus 3.50%) | |
8.35% | | 05/31/301 | | | 465,889 | | | | 468,023 | |
Anticimex Global AB, | |
Term Loan B6, 1st Lien (Sweden) | |
(SOFR plus 3.50%) | |
8.34% | | 12/08/251,2 | | | 1,162,080 | | | | 1,163,289 | |
API Group DE, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 01/03/291 | | | 1,000,000 | | | | 1,000,510 | |
ArchKey Holdings, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 5.36%) | |
10.21% | | 06/29/281 | | | 239,430 | | | | 240,428 | |
Arcis Golf LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 11/24/281 | | | 977,613 | | | | 983,517 | |
Belron Finance U.S. LLC, | |
Term Loan B, 1st Lien (Luxembourg) | |
(SOFR plus 2.35%) | |
7.63% | | 04/18/291,2 | | | 992,462 | | | | 993,495 | |
BIFM U.S. Finance LLC, | |
Term Loan, 1st Lien (Canada) | |
(SOFR plus 4.25%) | |
9.10% | | 05/31/281,2 | | | 846,623 | | | | 850,860 | |
Boost Newco Borrower LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.50%) | |
7.10% | | 01/31/311 | | | 750,000 | | | | 751,249 | |
CCRR Parent, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.36%) | |
9.21% | | 03/06/281 | | | 491,094 | | | | 412,519 | |
CH Gunther PPC Parent LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.86%) | |
7.91% | | 12/08/281 | | | 974,804 | | | | 973,590 | |
City Football Group Ltd., | |
Term Loan B1, 1st Lien (United Kingdom) | |
(SOFR plus 3.11%) | |
7.97% | | 07/21/301,2 | | | 1,696,966 | | | | 1,692,724 | |
Clean Harbors, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.71% | | 10/08/281 | | | 496,173 | | | | 498,096 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 24 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
|
BANK LOANS (continued) | |
|
Services (continued) | |
Confluent Medical Technologies, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 02/16/291 | | $ | 727,566 | | | $ | 730,524 | |
Conservice Midco LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 05/13/271 | | | 498,750 | | | | 500,421 | |
Corp. Service Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.35% | | 11/02/291 | | | 1,766,620 | | | | 1,771,769 | |
Covanta Holding Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.35% - 7.59% | | 11/30/281 | | | 447,110 | | | | 447,983 | |
(SOFR plus 2.75%) | |
7.85% | | 11/30/281 | | | 146,261 | | | | 146,611 | |
Term Loan C, 1st Lien | |
(SOFR plus 2.50%) | |
7.59% | | 11/30/281 | | | 34,350 | | | | 34,417 | |
(SOFR plus 2.75%) | |
7.85% | | 11/30/281 | | | 8,012 | | | | 8,032 | |
Creative Artists Agency LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
10.25% | | 11/27/281 | | | 985,059 | | | | 985,675 | |
Element Materials Technology Group U.S. Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
9.42% | | 06/25/291 | | | 1,817,625 | | | | 1,824,450 | |
Ensemble RCM LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
8.25% | | 08/01/291 | | | 1,003,861 | | | | 1,006,506 | |
Garda World Security Corp., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 3.50%) | |
8.60% | | 02/01/291,2 | | | 746,193 | | | | 747,032 | |
GFL Environmental, Inc., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 2.00%) | |
7.32% | | 07/03/311,2 | | | 500,000 | | | | 500,090 | |
Grant Thornton Advisors LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 06/02/311 | | | 545,455 | | | | 546,859 | |
JFL-Tiger Acquisition Co., Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.82% | | 10/17/301 | | | 358,696 | | | | 360,489 | |
Kuehg Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.50%) | |
9.10% | | 06/12/301 | | | 1,189,025 | | | | 1,193,894 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
|
BANK LOANS (continued) | |
|
Services (continued) | |
Lakeland Holdings LLC, | |
Term Loan, 1st Lien | |
8.00% | | 09/25/271,4,6,7 | | $ | 677,334 | | | $ | 128,694 | |
LC Ahab U.S. Bidco LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 05/01/311 | | | 333,333 | | | | 335,210 | |
Neon Maple Purchaser, Inc., | |
Term Loan B1, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 07/18/311 | | | 1,042,683 | | | | 1,032,475 | |
Omnia Partners LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.53% | | 07/25/301 | | | 986,676 | | | | 990,726 | |
Prime Security Services Borrower LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.25%) | |
7.45% | | 10/13/301 | | | 1,125,532 | | | | 1,125,532 | |
Prometric Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.86%) | |
9.71% | | 01/31/281 | | | 744,384 | | | | 749,967 | |
R1 RCM, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.85% | | 06/21/291 | | | 992,405 | | | | 995,387 | |
Ryan LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 11/14/301,9 | | | 1,152,500 | | | | 1,141,453 | |
Sabert Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.69% | | 12/10/261 | | | 317,965 | | | | 319,755 | |
Sabre GLBL, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.35%) | |
9.20% | | 06/30/281 | | | 364,746 | | | | 343,773 | |
Term Loan B2, 1st Lien | |
(SOFR plus 5.10%) | |
9.95% | | 06/30/281 | | | 372,211 | | | | 355,128 | |
Soliant Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.60% | | 07/18/311 | | | 1,150,000 | | | | 1,152,875 | |
Spring Education Group, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | 10/04/301 | | | 303,556 | | | | 306,136 | |
TransUnion Intermediate Holdings, Inc., | |
Term Loan B7, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 12/01/281 | | | 1,578,533 | | | | 1,579,520 | |
See accompanying Notes to Financial Statements.
|
| 25 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Services (continued) | |
TruGreen LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.10%) | |
8.95% | | 11/02/271 | | $ | 210,400 | | | $ | 203,983 | |
Term Loan B, 2nd Lien | |
(SOFR plus 8.76%) | |
14.01% | | 11/02/281 | | | 500,000 | | | | 425,000 | |
VT Topco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/09/301 | | | 666,394 | | | | 669,240 | |
Xplor T1 LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
8.85% | | 06/24/311 | | | 605,585 | | | | 608,613 | |
| | | | | | | | | | | | |
| | | | 37,985,536 | |
| | | | | | | | | | | | |
|
Transportation — 0.86% | |
Air Canada, | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 2.50%) | |
7.25% | | 03/21/311,2 | | | 509,634 | | | | 511,545 | |
Third Coast Infrastructure LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 09/25/301 | | | 750,000 | | | | 746,250 | |
United Airlines, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
8.03% | | 02/22/311 | | | 1,286,354 | | | | 1,290,374 | |
| | | | | | | | | | | | |
| | | | 2,548,169 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $266,473,119) | | | | 265,608,173 | |
| | | | | | | | | | | | |
|
CORPORATES — 3.42%* | |
|
Communications — 0.47% | |
Sirius XM Radio, Inc. | |
4.00% | | 07/15/283 | | | 500,000 | | | | 472,124 | |
VZ Secured Financing BV | |
(Netherlands) | |
5.00% | | 01/15/322,3 | | | 1,000,000 | | | | 922,006 | |
| | | | | | | | | | | | |
| | | | 1,394,130 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.04% | |
Spectrum Brands, Inc. | |
3.88% | | 03/15/313 | | | 141,000 | | | | 125,446 | |
| | | | | | | | | | | | |
|
Electric — 0.34% | |
Alpha Generation LLC | |
6.75% | | 10/15/323 | | | 1,000,000 | | | | 1,015,478 | |
| | | | | | | | | | | | |
|
Entertainment — 0.16% | |
WMG Acquisition Corp. | |
3.88% | | 07/15/303 | | | 500,000 | | | | 466,366 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care — 0.73% | |
Bayer U.S. Finance LLC | |
6.50% | | 11/21/333 | | $ | 500,000 | | | $ | 542,987 | |
Bristol-Myers Squibb Co. | |
5.20% | | 02/22/34 | | | 500,000 | | | | 527,573 | |
Grifols SA | |
(Spain) | |
4.75% | | 10/15/282,3 | | | 50,000 | | | | 46,940 | |
Grifols SA, | |
Series REGS | |
(Spain) | |
3.88% | | 10/15/282 | | | 1,000,000 | | | | 1,037,990 | |
| | | | | | | | | | | | |
| | | | 2,155,490 | |
| | | | | | | | | | | | |
|
Industrials — 0.35% | |
Berry Global, Inc. | |
5.65% | | 01/15/343 | | | 500,000 | | | | 514,131 | |
Boeing Co. (The) | |
6.30% | | 05/01/293 | | | 500,000 | | | | 526,050 | |
| | | | | | | | | | | | |
| | | | 1,040,181 | |
| | | | | | | | | | | | |
|
Information Technology — 0.79% | |
Constellation Software, Inc. | |
(Canada) | |
5.46% | | 02/16/342,3 | | | 1,000,000 | | | | 1,047,924 | |
Open Text Corp. | |
(Canada) | |
6.90% | | 12/01/272,3 | | | 500,000 | | | | 527,882 | |
Uber Technologies, Inc. | |
4.80% | | 09/15/34 | | | 750,000 | | | | 749,611 | |
| | | | | | | | | | | | |
| | | | 2,325,417 | |
| | | | | | | | | | | | |
|
Retail — 0.34% | |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc. | | | | | |
(Canada) | |
3.50% | | 02/15/292,3 | | | 500,000 | | | | 469,361 | |
Ferrellgas LP/Ferrellgas Finance Corp. | |
5.38% | | 04/01/263 | | | 200,000 | | | | 199,690 | |
5.88% | | 04/01/293 | | | 350,000 | | | | 327,964 | |
| | | | | | | | | | | | |
| | | | 997,015 | |
| | | | | | | | | | | | |
|
Services — 0.20% | |
Block, Inc. | |
6.50% | | 05/15/323 | | | 500,000 | | | | 521,280 | |
Waste Pro USA, Inc. | |
5.50% | | 02/15/263 | | | 75,000 | | | | 74,802 | |
| | | | | | | | | | | | |
| | | | 596,082 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $9,790,205) | | | | 10,115,605 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 26 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
|
U.S. TREASURY SECURITIES — 0.49% | |
U.S. Treasury Notes — 0.49% | |
U.S. Treasury Notes (WI) | |
3.38% | | | 09/30/29 | | | $ | 1,465,000 | | | $ | 1,460,823 | |
| | | | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $1,463,385) | |
|
Total Bonds — 94.82% | |
(Cost $280,615,042) | | | | 280,108,165 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | |
| | | | |
| Issues | | | | | | | Shares | | | Value |
|
COMMON STOCK — 0.10% | |
|
Communications — 0.10% | |
Intelsat Emergence SA2,4,7,10 | |
(Luxembourg) | | | | 9,683 | | | | 306,230 | |
| | | | | | | | | | | | | | |
|
Industrial REITs — 0.00% | |
Avison Young2,4,7,10 | |
(Canada) | | | | 370 | | | | 224 | |
| | | | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $324,132) | | | | 306,454 | |
| | | | | | | | | | | | | | |
|
PREFERRED STOCK — 0.12% | |
Industrial REITs — 0.12% | |
Avison Young2,4,7,10 | |
(Canada) | | | | 1,054,697 | | | | 355,433 | |
| | | | | | | | | | | | | | |
|
Total Preferred Stock | |
(Cost $697,797) | |
|
WARRANT — 0.00% | |
|
Entertainment — 0.00% | |
Crown Finance US, Inc.†,2,4,7,10 | |
(United Kingdom) | | | | 229,579 | | | | — | |
| | | | | | | | | | | | | | |
|
Total Warrant | |
(Cost $–) | |
| |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 12.49% | |
Money Market Funds — 12.49% | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%11 | | | | 3,860,930 | | | | 3,860,930 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value | |
|
SHORT-TERM INVESTMENTS (continued) | |
|
Money Market Funds (continued) | |
TCW Central Cash Fund | |
0.04%11,12 | | | 33,020,000 | | | $ | 33,020,000 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $36,880,930) | | | | 36,880,930 | |
| | | | | | | | | | | | |
|
Total Investments - 107.53% | |
(Cost $318,517,901) | | | | 317,650,982 | |
| | | | | | | | | | | | |
| |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | (651) | |
| |
Liabilities in Excess of Other Assets - (7.53)% | | | | (22,255,687) | |
| | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 295,394,644 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 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 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 7.19% cash or 1.50% payment-in-kind interest. |
| 6 | Payment-in-kind (“PIK”) security. |
| 7 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,552,270, which is 0.86% of total net assets. |
| 8 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $84,031, at an interest rate of 8.31% and a maturity of May 30, 2031. The investment is accruing an unused commitment fee of 0.13% per annum. |
| 9 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $94,325, at an interest rate of 8.56% and a maturity of November 14, 2030. The investment is not accruing an unused commitment fee. |
| 10 | Non-income producing security. |
| 11 | Represents the current yield as of September 30, 2024. |
| 12 | Affiliated investment. |
| † | 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
(LIBOR): London InterBank Offer Rate
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(WI): When Issued
See accompanying Notes to Financial Statements.
|
| 27 / Semi-Annual Report September 2024 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | | | | | Unrealized Appreciation | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | | |
USD 1,065,780 | | EUR 953,000 | | Bank of America N.A. | | | 10/11/24 | | | | | | | $ | 1,667 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 28 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 90.74% | | | | | |
| |
BANK LOANS — 17.10%* | | | | | |
| |
Automotive — 0.36% | | | | | |
First Brands Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.51% | | 03/30/271 | | $ | 1,719,139 | | | $ | 1,703,830 | |
| | | | | |
| |
Communications — 1.17% | | | | | |
Cyxtera DC Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
10.50% | | 05/01/261,2 | | | 355,886 | | | | 1,957 | |
NEP Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.51%) | | | | | |
8.36% | | 08/19/261,3 | | | 1,011,207 | | | | 972,654 | |
NEP/NCP Holdco, Inc., | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 7.11%) | | | | | |
11.72% | | 10/19/261 | | | 875,000 | | | | 717,938 | |
Neptune Bidco U.S., Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.10%) | | | | | |
10.40% | | 04/11/291 | | | 885,504 | | | | 833,640 | |
Research Now LLC, | | | | | |
Term Loan | | | | | |
(SOFR plus 5.50%) | | | | | |
10.38% | | 04/22/251 | | | 670,431 | | | | 673,223 | |
Virgin Media Bristol LLC, | | | | | |
Term Loan Y, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.66% | | 03/31/311 | | | 681,000 | | | | 651,302 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | 03/09/271 | | | 1,800,000 | | | | 1,649,439 | |
| | | | | |
| | | | 5,500,153 | |
| | | | | |
| |
Consumer Discretionary — 1.11% | | | | | |
BrewCo Borrower LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
9.06% | | 04/05/281 | | | 976,743 | | | | 800,929 | |
City Brewing Co. LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.56% | | 04/05/281,4 | | | 1,037,445 | | | | 547,252 | |
Naked Juice, LLC, | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.10%) | | | | | |
10.70% | | 01/24/301 | | | 2,891,000 | | | | 1,798,000 | |
Osmosis Buyer Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.34% | | 07/31/281 | | | 1,373,509 | | | | 1,373,441 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
Pegasus Bidco BV, | | | | | |
Term Loan B, 1st Lien (Netherlands) | | | | | |
(SOFR plus 3.75%) | | | | | |
8.87% | | 07/12/291,5 | | $ | 722,044 | | | $ | 724,076 | |
| | | | | |
| | | | 5,243,698 | |
| | | | | |
| |
Diversified REITs — 0.26% | | | | | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 01/25/311 | | | 1,237,187 | | | | 1,238,925 | |
| | | | | |
| |
Electric — 0.65% | | | | | |
Alpha Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 09/19/311 | | | 1,177,500 | | | | 1,179,184 | |
Edgewater Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 08/01/301 | | | 1,147,500 | | | | 1,158,975 | |
South Field Energy LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/311 | | | 661,432 | | | | 664,600 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/311 | | | 40,568 | | | | 40,762 | |
| | | | | |
| | | | 3,043,521 | |
| | | | | |
| |
Energy — 0.33% | | | | | |
NGL Energy Operating LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.60% | | 02/03/311 | | | 698,246 | | | | 695,676 | |
WaterBridge Midstream Operating LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.39% | | 06/27/291 | | | 900,000 | | | | 871,394 | |
| | | | | |
| | | | 1,567,070 | |
| | | | | |
| |
Entertainment — 0.34% | | | | | |
Showtime Acquisition LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.85% | | 08/13/311 | | | 1,603,000 | | | | 1,596,492 | |
| | | | | |
| |
Finance — 0.36% | | | | | |
Jane Street Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.61%) | | | | | |
7.65% | | 01/26/281 | | | 1,688,750 | | | | 1,689,130 | |
| | | | | |
| |
Food — 1.08% | | | | | |
8th Avenue Food & Provisions, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 10/01/251 | | | 986,240 | | | | 959,118 | |
See accompanying Notes to Financial Statements.
|
| 29 / Semi-Annual Report September 2024 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Food (continued) | | | | | |
(SOFR plus 4.86%) | | | | | |
9.71% | | 10/01/251 | | $ | 738,579 | | | $ | 718,884 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 7.86%) | | | | | |
12.71% | | 10/01/261 | | | 750,000 | | | | 663,750 | |
Chobani LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.60% | | 10/25/271 | | | 1,116,563 | | | | 1,121,308 | |
United Natural Foods, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 04/25/311 | | | 1,630,913 | | | | 1,639,067 | |
| | | | | |
| | | | 5,102,127 | |
| | | | | |
| |
Gaming — 1.15% | | | | | |
Caesars Entertainment, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 02/06/311 | | | 2,388,000 | | | | 2,391,546 | |
Light & Wonder International, Inc., | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 2.25%) | | | | | |
7.33% | | 04/14/291 | | | 1,209,469 | | | | 1,210,654 | |
Ontario Gaming Gta Ltd. Partnership, | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(SOFR plus 4.25%) | | | | | |
8.89% | | 08/01/301,5 | | | 1,828,185 | | | | 1,828,752 | |
| | | | | |
| | | | 5,430,952 | |
| | | | | |
| |
Health Care — 2.11% | | | | | |
ADMI Corp., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 5.75%) | | | | | |
10.60% | | 12/23/271 | | | 698,241 | | | | 700,203 | |
Auris Luxembourg III SARL, | | | | | |
Term Loan B, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 4.68%) | | | | | |
9.56% | | 02/27/291,5 | | | 903,652 | | | | 905,066 | |
Catalent Pharma Solutions, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 2.11%) | | | | | |
7.03% | | 02/22/281 | | | 1,237,179 | | | | 1,237,761 | |
eResearch Technology, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.85% | | 02/04/271 | | | 837,211 | | | | 841,774 | |
Heartland Dental LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.35% | | 04/28/281 | | | 787,045 | | | | 774,830 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B2, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 2.25%) | | | | | |
7.10% | | 05/05/281,5 | | | 1,202,145 | | | | 1,202,254 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Modivcare, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
10.08% | | 07/01/311 | | $ | 2,294,250 | | | $ | 2,173,091 | |
Pluto Acquisition I, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.60%) | | | | | |
10.35% | | 06/20/281 | | | 730,000 | | | | 740,950 | |
Sotera Health Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.10% | | 05/30/311 | | | 450,000 | | | | 449,156 | |
Star Parent, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 09/27/301 | | | 912,271 | | | | 888,953 | |
| | | | | |
| | | | 9,914,038 | |
| | | | | |
| |
Health Care REITs — 0.08% | | | | | |
Aveanna Healthcare LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.85%) | | | | | |
8.91% | | 07/17/281 | | | 383,926 | | | | 375,911 | |
| | | | | |
| |
Hotel & Resort REITs — 0.19% | | | | | |
OEG Borrower LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.36% | | 06/30/311 | | | 900,000 | | | | 900,563 | |
| | | | | |
| |
Industrials — 2.28% | | | | | |
Artera Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.47% | | 02/15/311 | | | 1,186,538 | | | | 1,159,651 | |
DG Investment Intermediate Holdings 2, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.69% | | 03/31/281 | | | 87,612 | | | | 87,530 | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.69% | | 03/31/281 | | | 1,089,888 | | | | 1,088,869 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.86%) | | | | | |
11.71% | | 03/30/291 | | | 700,000 | | | | 660,187 | |
DTI Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 04/26/291 | | | 1,745,547 | | | | 1,754,589 | |
Engineering Research and Consulting LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
10.06% | | 08/15/311 | | | 702,000 | | | | 697,612 | |
Patriot Container Corp., | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 7.75%) | | | | | |
12.81% | | 03/20/261 | | | 250,000 | | | | 245,207 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 30 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials (continued) | | | | | |
Plaze, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 08/03/261 | | $ | 750,894 | | | $ | 701,463 | |
Pretium PKG Holdings, Inc., | | | | | |
Term Loan A, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
10.25% | | 10/02/281,4 | | | 512,330 | | | | 522,738 | |
ProAmpac PG Borrower LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
9.12% - 9.30% | | 09/15/281 | | | 2,481,281 | | | | 2,488,105 | |
Verde Purchaser LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.10% | | 11/30/301 | | | 1,311,713 | | | | 1,302,557 | |
| | | | | |
| | | | 10,708,508 | |
| | | | | |
| |
Information Technology — 3.14% | | | | | |
Amentum Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.25%) | | | | | |
7.11% | | 09/29/311 | | | 1,600,000 | | | | 1,597,000 | |
BMC Software (Boxer/Bladelogic), | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
9.01% | | 07/30/311 | | | 500,000 | | | | 499,603 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 5.75%) | | | | | |
11.01% | | 07/03/321 | | | 500,000 | | | | 492,917 | |
Delivery Hero SE, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
10.10% | | 12/12/291 | | | 1,386,516 | | | | 1,394,558 | |
EagleView Technology Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
8.37% | | 08/14/251 | | | 1,719,259 | | | | 1,645,588 | |
Indy U.S. Holdco LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 03/06/281 | | | 750,000 | | | | 748,751 | |
Magnite, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.60% | | 02/06/311 | | | 2,389,013 | | | | 2,409,916 | |
MH Sub I LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 05/03/281 | | | 739,003 | | | | 735,201 | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.11%) | | | | | |
7.96% | | 04/24/281 | | | 698,201 | | | | 678,651 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.50%) | | | | | |
11.42% | | 04/23/291 | | $ | 400,000 | | | $ | 386,000 | |
Research Now Group LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.76%) | | | | | |
10.88% | | 10/16/281 | | | 1,976,219 | | | | 1,834,189 | |
Spin Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.26%) | | | | | |
9.26% | | 03/04/281 | | | 632,770 | | | | 556,708 | |
Xerox Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.60% - 8.85% | | 11/15/291 | | | 1,804,071 | | | | 1,800,688 | |
| | | | | |
| | | | 14,779,770 | |
| | | | | |
| |
Insurance — 0.45% | | | | | |
Acrisure LLC, | | | | | |
Term Loan B6, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.21% | | 11/06/301 | | | 698,250 | | | | 692,797 | |
Asurion LLC, | | | | | |
Term Loan B4, 2nd Lien | | | | | |
(SOFR plus 5.36%) | | | | | |
10.21% | | 01/20/291 | | | 195,000 | | | | 180,938 | |
Term Loan B8, 1st Lien | | | | | |
(SOFR plus 3.36%) | | | | | |
8.41% | | 12/23/261 | | | 1,253,762 | | | | 1,254,176 | |
| | | | | |
| | | | 2,127,911 | |
| | | | | |
| |
Materials — 0.41% | | | | | |
Amer Rock Salt Co. LLC, | | | | | |
Delayed-Draw Term Loan | | | | | |
(SOFR plus 4.00%) | | | | | |
9.00% | | 06/12/281 | | | 588,524 | | | | 588,524 | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
9.32% | | 06/12/281 | | | 552,982 | | | | 552,982 | |
Arsenal Aic Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.10% | | 08/18/301 | | | 742,523 | | | | 742,895 | |
Chemours Co. (The), | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/18/281 | | | 17,865 | | | | 17,898 | |
| | | | | |
| | | | 1,902,299 | |
| | | | | |
| |
Retail — 0.62% | | | | | |
1011778 BC Unlimited Liability Co., | | | | | |
Term Loan B6, 1st Lien (Canada) | | | | | |
(SOFR plus 1.75%) | | | | | |
6.60% | | 09/20/301,5 | | | 1,892,756 | | | | 1,876,876 | |
See accompanying Notes to Financial Statements.
|
| 31 / Semi-Annual Report September 2024 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Retail (continued) | | | | | |
Tacala Investment Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
9.25% | | 01/31/311 | | $ | 1,017,180 | | | $ | 1,019,977 | |
| | | | | |
| | | | 2,896,853 | |
| | | | | |
| |
Services — 0.80% | | | | | |
Clean Harbors, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.86%) | | | | | |
6.71% | | 10/08/281 | | | 1,237,277 | | | | 1,242,072 | |
Fugue Finance LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.81% | | 02/26/311 | | | 498,750 | | | | 502,428 | |
Ryan LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 11/14/301,6 | | | 1,350,238 | | | | 1,337,296 | |
VT Topco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/09/301 | | | 669,946 | | | | 672,807 | |
| | | | | |
| | | | 3,754,603 | |
| | | | | |
| |
Specialized REITs — 0.21% | | | | | |
Greystar Real Estate Partners LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.67% | | 08/21/301 | | | 990,031 | | | | 990,031 | |
| | | | | |
Total Bank Loans (Cost $81,034,960) | | | | 80,466,385 | |
| | | | | |
| |
CORPORATES — 73.64%* | | | | | |
| |
Automobile Components — 0.18% | | | | | |
Allison Transmission, Inc. | | | | | |
3.75% | | 01/30/317 | | | 930,000 | | | | 845,983 | |
| | | | | |
| |
Banking — 1.78% | | | | | |
Bank of America Corp., | | | | | |
Series RR, NVS | | | | | |
4.38%8,9 | | | 2,040,000 | | | | 1,985,353 | |
Bank of New York Mellon Corp. (The), | | | | | |
Series I, NVS | | | | | |
3.75%8,9 | | | 2,515,000 | | | | 2,374,398 | |
JPMorgan Chase & Co., | | | | | |
Series KK | | | | | |
3.65%8,9 | | | 805,000 | | | | 781,362 | |
U.S. Bancorp, | | | | | |
NVS | | | | | |
3.70%8,9 | | | 3,515,000 | | | | 3,244,075 | |
| | | | | |
| | | | 8,385,188 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications — 10.10% | | | | | |
Altice France Holding SA | | | | | |
(Luxembourg) | | | | | |
10.50% | | 05/15/275,7 | | $ | 1,562,000 | | | $ | 548,244 | |
Altice France SA | | | | | |
(France) | | | | | |
5.13% | | 01/15/295,7 | | | 1,628,000 | | | | 1,144,002 | |
5.50% | | 10/15/295,7 | | | 3,700,000 | | | | 2,603,942 | |
8.13% | | 02/01/275,7 | | | 1,537,000 | | | | 1,251,183 | |
Cable One, Inc. | | | | | |
4.00% | | 11/15/307 | | | 1,154,000 | | | | 920,322 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
4.50% | | 08/15/307 | | | 650,000 | | | | 589,053 | |
4.75% | | 03/01/307 | | | 1,825,000 | | | | 1,678,435 | |
5.13% | | 05/01/277 | | | 3,025,000 | | | | 2,979,864 | |
5.50% | | 05/01/267 | | | 7,579,000 | | | | 7,570,167 | |
Cogent Communications Group LLC, | | | | | |
7.00% | | 06/15/277 | | | 790,000 | | | | 804,158 | |
Consolidated Communications, Inc. | | | | | |
6.50% | | 10/01/287 | | | 850,000 | | | | 805,274 | |
CSC Holdings LLC | | | | | |
6.50% | | 02/01/297 | | | 6,863,000 | | | | 5,685,942 | |
7.50% | | 04/01/287 | | | 991,000 | | | | 662,217 | |
11.75% | | 01/31/297 | | | 118,000 | | | | 114,059 | |
DISH DBS Corp. | | | | | |
7.38% | | 07/01/28 | | | 2,365,000 | | | | 1,771,857 | |
Frontier Communications Holdings LLC | | | | | |
5.00% | | 05/01/287 | | | 895,000 | | | | 887,943 | |
5.88% | | 10/15/277 | | | 599,000 | | | | 601,866 | |
6.75% | | 05/01/297 | | | 1,922,000 | | | | 1,937,010 | |
8.63% | | 03/15/317 | | | 2,530,000 | | | | 2,731,213 | |
Global Switch Finance BV (EMTN) | | | | | |
(Netherlands) | | | | | |
1.38% | | 10/07/305 | | | 975,000 | | | | 1,002,623 | |
Nexstar Media, Inc. | | | | | |
4.75% | | 11/01/287 | | | 450,000 | | | | 430,340 | |
Scripps Escrow, Inc. | | | | | |
5.88% | | 07/15/277 | | | 587,000 | | | | 512,020 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/447 | | | 1,680,000 | | | | 1,353,729 | |
Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/317 | | | 1,657,000 | | | | 1,445,490 | |
4.00% | | 07/15/287 | | | 500,000 | | | | 472,124 | |
5.50% | | 07/01/297 | | | 770,000 | | | | 752,587 | |
Tele Columbus AG | | | | | |
(Georgia) | | | | | |
10.00% | | 01/01/294,5,7 | | | 1,596,907 | | | | 1,415,606 | |
VZ Secured Financing BV | | | | | |
(Netherlands) | | | | | |
5.00% | | 01/15/325,7 | | | 2,442,000 | | | | 2,251,539 | |
VZ Secured Financing BV, | | | | | |
Series REGS | | | | | |
(Netherlands) | | | | | |
3.50% | | 01/15/325 | | | 1,260,000 | | | | 1,296,934 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 32 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
Zayo Group Holdings, Inc. | | | | | |
4.00% | | 03/01/277 | | $ | 1,483,000 | | | $ | 1,326,497 | |
| | | | | | | | | | | | |
| | | | 47,546,240 | |
| | | | | | | | | | | | |
| |
Consumer Discretionary — 4.62% | | | | | |
BAT Capital Corp. | | | | | |
5.28% | | 04/02/50 | | | 1,517,000 | | | | 1,424,730 | |
Central Garden & Pet Co. | | | | | |
4.13% | | 04/30/317 | | | 1,765,000 | | | | 1,618,579 | |
Choice Hotels International, Inc. | | | | | |
5.85% | | 08/01/34 | | | 1,000,000 | | | | 1,032,196 | |
Crocs, Inc. | | | | | |
4.13% | | 08/15/317 | | | 1,474,000 | | | | 1,340,001 | |
Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/297 | | | 2,873,000 | | | | 2,864,712 | |
Hilton Domestic Operating Co., Inc. | | | | | |
3.63% | | 02/15/327 | | | 2,673,000 | | | | 2,417,160 | |
Imperial Brands Finance Netherlands BV | | | | | |
(EMTN) | | | | | |
(Netherlands) | | | | | |
1.75% | | 03/18/335 | | | 770,000 | | | | 728,910 | |
Spectrum Brands, Inc. | | | | | |
3.88% | | 03/15/317 | | | 1,458,000 | | | | 1,297,169 | |
Triton Water Holdings, Inc. | | | | | |
6.25% | | 04/01/297 | | | 2,203,000 | | | | 2,202,368 | |
WarnerMedia Holdings, Inc. | | | | | |
5.14% | | 03/15/52 | | | 5,810,000 | | | | 4,483,895 | |
Wyndham Hotels & Resorts, Inc. | | | | | |
4.38% | | 08/15/287 | | | 2,399,000 | | | | 2,315,356 | |
| | | | | | | | | | | | |
| | | | 21,725,076 | |
| | | | | | | | | | | | |
| |
Consumer Products — 0.83% | | | | | |
Newell Brands, Inc. | | | | | |
4.88% | | 06/01/25 | | | 3,921,000 | | | | 3,902,740 | |
| | | | | | | | | | | | |
| |
Diversified REITs — 3.92% | | | | | |
American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 3,170,000 | | | | 2,761,676 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.25% | | 06/01/25 | | | 3,490,000 | | | | 3,488,359 | |
5.75% | | 06/01/28 | | | 1,820,000 | | | | 1,870,085 | |
6.75% | | 12/01/33 | | | 750,000 | | | | 826,319 | |
VICI Properties LP | | | | | |
4.95% | | 02/15/30 | | | 5,650,000 | | | | 5,689,401 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
4.63% | | 06/15/257 | | | 3,820,000 | | | | 3,801,979 | |
| | | | | | | | | | | | |
| | | | 18,437,819 | |
| | | | | | | | | | | | |
| |
Electric — 0.89% | | | | | |
Alpha Generation LLC | | | | | |
6.75% | | 10/15/327 | | | 2,360,000 | | | | 2,396,527 | |
Pike Corp. | | | | | |
8.63% | | 01/31/317 | | | 1,680,000 | | | | 1,804,051 | |
| | | | | | | | | | | | |
| | | | 4,200,578 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Energy — 4.89% | | | | | |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | | | |
6.63% | | 09/01/327 | | $ | 1,200,000 | | | $ | 1,233,623 | |
Energy Transfer LP, | | | | | |
Series B, NVS | | | | | |
6.63%8,9 | | | 2,457,000 | | | | 2,434,795 | |
Global Partners LP/GLP Finance Corp. | | | | | |
6.88% | | 01/15/29 | | | 849,000 | | | | 854,168 | |
8.25% | | 01/15/327 | | | 750,000 | | | | 779,859 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
8.13% | | 02/15/297 | | | 710,000 | | | | 728,582 | |
8.38% | | 02/15/327 | | | 190,000 | | | | 195,944 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
5.95% | | 01/28/315 | | | 524,000 | | | | 453,775 | |
Rockies Express Pipeline LLC | | | | | |
6.88% | | 04/15/407 | | | 373,000 | | | | 364,424 | |
Sunoco LP | | | | | |
7.00% | | 05/01/297 | | | 1,240,000 | | | | 1,296,846 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | 02/15/26 | | | 2,889,000 | | | | 2,843,838 | |
Transocean Poseidon Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | 02/01/275,7 | | | 975,000 | | | | 976,177 | |
Transocean Titan Financing Ltd. | | | | | |
(Cayman Islands) | | | | | |
8.38% | | 02/01/285,7 | | | 700,000 | | | | 721,628 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
7.13% | | 03/15/297 | | | 2,955,000 | | | | 3,046,385 | |
Venture Global Calcasieu Pass LLC | | | | | |
4.13% | | 08/15/317 | | | 2,300,000 | | | | 2,141,949 | |
6.25% | | 01/15/307 | | | 395,000 | | | | 414,362 | |
Venture Global LNG, Inc. | | | | | |
7.00% | | 01/15/307 | | | 900,000 | | | | 924,838 | |
9.50% | | 02/01/297 | | | 3,221,000 | | | | 3,626,843 | |
| | | | | | | | | | | | |
| | | | 23,038,036 | |
| | | | | | | | | | | | |
| |
Entertainment — 0.88% | | | | | |
| Banijay Entertainment SAS Term Loan B, 1st Lien | | | | | |
(France) | | | | | |
8.13% | | 05/01/295,7 | | | 1,040,000 | | | | 1,082,250 | |
Live Nation Entertainment, Inc. | | | | | |
5.63% | | 03/15/267 | | | 1,655,000 | | | | 1,653,842 | |
WMG Acquisition Corp. | | | | | |
3.75% | | 12/01/297 | | | 1,476,000 | | | | 1,389,401 | |
| | | | | | | | | | | | |
| | | | 4,125,493 | |
| | | | | | | | | | | | |
| |
Finance — 4.85% | | | | | |
American Express Co., | | | | | |
NVS | | | | | |
3.55%8,9 | | | 2,150,000 | | | | 2,044,842 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/275,7 | | | 2,083,000 | | | | 1,944,868 | |
See accompanying Notes to Financial Statements.
|
| 33 / Semi-Annual Report September 2024 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
Charles Schwab Corp. (The) | | | | | |
Series K, NVS | | | | | |
5.00%8,9 | | $ | 2,430,000 | | | $ | 2,383,879 | |
Cushman & Wakefield U.S. Borrower LLC | | | | | |
8.88% | | 09/01/317 | | | 1,622,000 | | | | 1,771,952 | |
Ford Motor Credit Co. LLC | | | | | |
2.30% | | 02/10/25 | | | 2,150,000 | | | | 2,126,268 | |
4.06% | | 11/01/24 | | | 6,083,000 | | | | 6,076,970 | |
GGAM Finance Ltd. | | | | | |
(Cayman Islands) | | | | | |
8.00% | | 02/15/275,7 | | | 775,000 | | | | 810,647 | |
8.00% | | 06/15/285,7 | | | 352,000 | | | | 377,687 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | |
4.38% | | 02/01/29 | | | 1,089,000 | | | | 953,087 | |
9.00% | | 06/15/307 | | | 1,295,000 | | | | 1,304,486 | |
9.75% | | 01/15/297 | | | 970,000 | | | | 1,007,329 | |
Jane Street Group/JSG Finance, Inc. | | | | | |
4.50% | | 11/15/297 | | | 780,000 | | | | 751,964 | |
Macquarie AirFinance Holdings Ltd. | | | | | |
(United Kingdom) | | | | | |
6.40% | | 03/26/295,7 | | | 1,200,000 | | | | 1,250,039 | |
| | | | | | | | | | | | |
| | | | 22,804,018 | |
| | | | | | | | | | | | |
| |
Food — 3.72% | | | | | |
B&G Foods, Inc. | | | | | |
5.25% | | 04/01/25 | | | 668,000 | | | | 667,720 | |
Chobani LLC/Chobani Finance Corp, Inc. | | | | | |
4.63% | | 11/15/287 | | | 290,000 | | | | 283,013 | |
ELO SACA | | | | | |
(EMTN) | | | | | |
(France) | | | | | |
6.00% | | 03/22/295 | | | 1,500,000 | | | | 1,553,048 | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | 06/01/267 | | | 1,387,000 | | | | 101,778 | |
Lamb Weston Holdings, Inc. | | | | | |
4.38% | | 01/31/327 | | | 857,000 | | | | 795,614 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 6,356,000 | | | | 5,653,547 | |
Post Holdings, Inc. | | | | | |
4.50% | | 09/15/317 | | | 3,515,000 | | | | 3,292,528 | |
4.63% | | 04/15/307 | | | 1,725,000 | | | | 1,651,689 | |
5.50% | | 12/15/297 | | | 3,530,000 | | | | 3,506,954 | |
| | | | | | | | | | | | |
| | | | 17,505,891 | |
| | | | | | | | | | | | |
| |
Gaming — 1.55% | | | | | |
Churchill Downs, Inc. | | | | | |
5.75% | | 04/01/307 | | | 1,700,000 | | | | 1,703,660 | |
Flutter Treasury DAC, | | | | | |
(Ireland) | | | | | |
5.00% | | 04/29/295,7 | | | 650,000 | | | | 749,038 | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | | | | | |
5.25% | | 05/15/277 | | | 4,854,000 | | | | 4,859,122 | |
| | | | | | | | | | | | |
| | | | 7,311,820 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care — 11.16% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | 01/30/285,7 | | $ | 2,815,000 | | | $ | 2,792,852 | |
180 Medical, Inc. | | | | | |
3.88% | | 10/15/297 | | | 1,250,000 | | | | 1,185,593 | |
Bausch Health Cos., Inc. | | | | | |
(Canada) | | | | | |
14.00% | | 10/15/305,7 | | | 192,000 | | | | 175,758 | |
Bayer U.S. Finance LLC | | | | | |
6.50% | | 11/21/337 | | | 2,273,000 | | | | 2,468,418 | |
Catalent Pharma Solutions, Inc. | | | | | |
3.50% | | 04/01/307 | | | 1,175,000 | | | | 1,156,413 | |
Centene Corp. | | | | | |
2.45% | | 07/15/28 | | | 2,404,000 | | | | 2,215,779 | |
2.63% | | 08/01/31 | | | 1,219,000 | | | | 1,046,216 | |
3.00% | | 10/15/30 | | | 865,000 | | | | 774,661 | |
4.25% | | 12/15/27 | | | 8,170,000 | | | | 8,031,082 | |
Grifols SA | | | | | |
(Spain) | | | | | |
4.75% | | 10/15/285,7 | | | 1,396,000 | | | | 1,310,555 | |
Grifols SA, | | | | | |
Series REGS | | | | | |
(Spain) | | | | | |
3.88% | | 10/15/285 | | | 1,965,000 | | | | 2,039,651 | |
HAH Group Holding Co. LLC | | | | | |
9.75% | | 10/01/317 | | | 1,415,000 | | | | 1,427,437 | |
| Heartland Dental LLC/Heartland Dental Finance Corp. | | | | | |
10.50% | | 04/30/287 | | | 791,000 | | | | 847,783 | |
Kedrion SpA | | | | | |
(Italy) | | | | | |
6.50% | | 09/01/295,7 | | | 2,670,000 | | | | 2,547,224 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/297 | | | 3,830,000 | | | | 2,407,297 | |
Molina Healthcare, Inc. | | | | | |
4.38% | | 06/15/287 | | | 900,000 | | | | 875,521 | |
Option Care Health, Inc. | | | | | |
4.38% | | 10/31/297 | | | 1,000,000 | | | | 950,689 | |
Prestige Brands, Inc. | | | | | |
3.75% | | 04/01/317 | | | 1,847,000 | | | | 1,694,220 | |
Prime Healthcare Services, Inc. | | | | | |
9.38% | | 09/01/297 | | | 1,165,000 | | | | 1,200,996 | |
Sotera Health Holdings LLC | | | | | |
7.38% | | 06/01/317 | | | 1,190,000 | | | | 1,237,965 | |
Star Parent, Inc. | | | | | |
9.00% | | 10/01/307 | | | 700,000 | | | | 752,657 | |
Teleflex, Inc. | | | | | |
4.25% | | 06/01/287 | | | 1,729,000 | | | | 1,675,975 | |
Tenet Healthcare Corp. | | | | | |
4.63% | | 06/15/28 | | | 4,350,000 | | | | 4,274,864 | |
5.13% | | 11/01/27 | | | 7,993,000 | | | | 7,977,105 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | |
(Netherlands) | | | | | |
8.13% | | 09/15/315 | | | 1,257,000 | | | | 1,444,569 | |
| | | | | | | | | | | | |
| | | | 52,511,280 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 34 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Industrials — 6.83% | | | | | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
(Canada) | | | | | |
4.13% | | 08/15/265,7 | | $ | 900,000 | | | $ | 811,817 | |
5.25% | | 08/15/275,7 | | | 1,272,000 | | | | 957,139 | |
Artera Services LLC | | | | | |
8.50% | | 02/15/317 | | | 170,000 | | | | 168,682 | |
Ball Corp. | | | | | |
5.25% | | 07/01/25 | | | 5,000,000 | | | | 4,999,525 | |
Berry Global, Inc. | | | | | |
4.88% | | 07/15/267 | | | 943,000 | | | | 940,517 | |
5.65% | | 01/15/347 | | | 1,205,000 | | | | 1,239,057 | |
Boeing Co. (The) | | | | | |
6.53% | | 05/01/347 | | | 1,615,000 | | | | 1,733,206 | |
Clydesdale Acquisition Holdings, Inc. | | | | | |
6.63% | | 04/15/297 | | | 150,000 | | | | 151,621 | |
Energizer Holdings, Inc. | | | | | |
4.38% | | 03/31/297 | | | 1,120,000 | | | | 1,061,969 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(CME Term SOFR 3-Month plus 0.74%) | | | | | |
5.86% | | 08/15/361 | | | 1,300,000 | | | | 1,227,956 | |
Graphic Packaging International LLC | | | | | |
4.75% | | 07/15/277 | | | 1,825,000 | | | | 1,810,175 | |
II-VI, Inc. | | | | | |
5.00% | | 12/15/297 | | | 566,000 | | | | 553,834 | |
IMA Industria Macchine Automatiche SpA | | | | | |
(Italy) | | | | | |
(3-Month Euribor plus 3.75%) | | | | | |
7.44% | | 04/15/291,5,7 | | | 850,000 | | | | 960,678 | |
Madison IAQ LLC | | | | | |
4.13% | | 06/30/287 | | | 601,000 | | | | 580,835 | |
OT Merger Corp. | | | | | |
7.88% | | 10/15/297 | | | 2,808,000 | | | | 1,164,785 | |
Paprec Holding SA | | | | | |
(France) | | | | | |
7.25% | | 11/17/295,7 | | | 900,000 | | | | 1,069,091 | |
Rolls-Royce PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/09/285 | | | 400,000 | | | | 423,806 | |
Sealed Air Corp. | | | | | |
4.00% | | 12/01/277 | | | 500,000 | | | | 483,543 | |
Sensata Technologies BV | | | | | |
(Netherlands) | | | | | |
4.00% | | 04/15/295,7 | | | 2,500,000 | | | | 2,385,187 | |
TK Elevator U.S. Newco, Inc. | | | | | |
5.25% | | 07/15/277 | | | 1,180,000 | | | | 1,168,653 | |
TransDigm, Inc. | | | | | |
6.38% | | 03/01/297 | | | 6,578,000 | | | | 6,788,161 | |
6.88% | | 12/15/307 | | | 905,000 | | | | 948,818 | |
Trivium Packaging Finance BV | | | | | |
(Netherlands) | | | | | |
5.50% | | 08/15/265,7 | | | 506,000 | | | | 503,979 | |
| | | | | | | | | | | | |
| | | | 32,133,034 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Information Technology — 6.20% | | | | | |
Amentum Escrow Corp. | | | | | |
7.25% | | 08/01/327 | | $ | 750,000 | | | $ | 783,311 | |
Booz Allen Hamilton, Inc. | | | | | |
4.00% | | 07/01/297 | | | 2,816,000 | | | | 2,738,103 | |
| Helios Software Holdings, Inc./ION Corporate Solutions | | | | | |
Finance SARL | | | | | |
8.75% | | 05/01/297 | | | 1,771,000 | | | | 1,810,931 | |
Insight Enterprises, Inc. | | | | | |
6.63% | | 05/15/327 | | | 1,150,000 | | | | 1,202,667 | |
MSCI, Inc. | | | | | |
3.63% | | 09/01/307 | | | 2,270,000 | | | | 2,133,029 | |
3.63% | | 11/01/317 | | | 1,266,000 | | | | 1,166,183 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/275,7 | | | 3,302,000 | | | | 3,486,133 | |
RingCentral, Inc. | | | | | |
8.50% | | 08/15/307 | | | 1,516,000 | | | | 1,621,711 | |
Science Applications International Corp. | | | | | |
4.88% | | 04/01/287 | | | 2,023,000 | | | | 1,984,665 | |
SS&C Technologies, Inc. | | | | | |
5.50% | | 09/30/277 | | | 4,400,000 | | | | 4,402,348 | |
Uber Technologies, Inc. | | | | | |
7.50% | | 09/15/277 | | | 4,600,000 | | | | 4,693,584 | |
Zebra Technologies Corp. | | | | | |
6.50% | | 06/01/327 | | | 750,000 | | | | 784,058 | |
| ZoomInfo Technologies LLC/ZoomInfo Finance Corp. | | | | | |
3.88% | | 02/01/297 | | | 2,575,000 | | | | 2,382,871 | |
| | | | | | | | | | | | |
| | | | 29,189,594 | |
| | | | | | | | | | | | |
| |
Insurance — 0.82% | | | | | |
Acrisure LLC/Acrisure Finance, Inc. | | | | | |
6.00% | | 08/01/297 | | | 728,000 | | | | 702,930 | |
Alliant Holdings Intermediate LLC/Alliant Holdings | | | | | |
Co.-Issuer | | | | | |
6.75% | | 04/15/287 | | | 450,000 | | | | 457,705 | |
7.00% | | 01/15/317 | | | 930,000 | | | | 956,669 | |
AmWINS Group, Inc. | | | | | |
6.38% | | 02/15/297 | | | 545,000 | | | | 558,407 | |
HUB International Ltd. | | | | | |
7.25% | | 06/15/307 | | | 455,000 | | | | 474,704 | |
Panther Escrow Issuer LLC | | | | | |
7.13% | | 06/01/317 | | | 695,000 | | | | 729,602 | |
| | | | | | | | | | | | |
| | | | 3,880,017 | |
| | | | | | | | | | | | |
| |
Materials — 2.45% | | | | | |
ATI, Inc. | | | | | |
5.13% | | 10/01/31 | | | 857,000 | | | | 834,802 | |
7.25% | | 08/15/30 | | | 550,000 | | | | 586,705 | |
Axalta Coating Systems, LLC | | | | | |
3.38% | | 02/15/297 | | | 3,523,000 | | | | 3,302,672 | |
Clearwater Paper Corp. | | | | | |
4.75% | | 08/15/287 | | | 3,233,000 | | | | 3,046,436 | |
Herens Holdco SARL | | | | | |
(Luxembourg) | | | | | |
4.75% | | 05/15/285,7 | | | 564,000 | | | | 493,729 | |
See accompanying Notes to Financial Statements.
|
| 35 / Semi-Annual Report September 2024 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Materials (continued) | | | | | |
SCIH Salt Holdings, Inc. | | | | | |
4.88% | | 05/01/287 | | $ | 272,000 | | | $ | 262,981 | |
SK Invictus Intermediate II SARL | | | | | |
(Luxembourg) | | | | | |
5.00% | | 10/30/295,7 | | | 1,168,000 | | | | 1,121,484 | |
Valvoline, Inc. | | | | | |
3.63% | | 06/15/317 | | | 2,112,000 | | | | 1,890,781 | |
| | | | | | | | | | | | |
| | | | 11,539,590 | |
| | | | | | | | | | | | |
| |
Office REITs — 0.56% | | | | | |
Hudson Pacific Properties LP | | | | | |
3.25% | | 01/15/30 | | | 1,188,000 | | | | 901,402 | |
3.95% | | 11/01/27 | | | 600,000 | | | | 544,015 | |
4.65% | | 04/01/29 | | | 560,000 | | | | 465,332 | |
Piedmont Operating Partnership LP | | | | | |
2.75% | | 04/01/32 | | | 418,000 | | | | 339,466 | |
6.88% | | 07/15/29 | | | 345,000 | | | | 363,312 | |
| | | | | | | | | | | | |
| | | | 2,613,527 | |
| | | | | | | | | | | | |
| |
Retail — 3.43% | | | | | |
1011778 BC ULC/New Red Finance, Inc. | | | | | |
(Canada) | | | | | |
5.63% | | 09/15/295,7 | | | 500,000 | | | | 507,345 | |
| Bloomin’ Brands, Inc./OSI Restaurant Partners LLC | | | | | |
5.13% | | 04/15/297 | | | 267,000 | | | | 250,285 | |
Ferrellgas LP/Ferrellgas Finance Corp. | | | | | |
5.38% | | 04/01/267 | | | 2,140,000 | | | | 2,136,687 | |
5.88% | | 04/01/297 | | | 3,842,000 | | | | 3,600,104 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | 01/15/307 | | | 647,000 | | | | 602,758 | |
FirstCash, Inc. | | | | | |
5.63% | | 01/01/307 | | | 2,071,000 | | | | 2,054,771 | |
Lithia Motors, Inc. | | | | | |
3.88% | | 06/01/297 | | | 875,000 | | | | 817,404 | |
Michaels Cos., Inc. (The) | | | | | |
7.88% | | 05/01/297 | | | 3,428,000 | | | | 2,019,147 | |
Murphy Oil USA, Inc. | | | | | |
3.75% | | 02/15/317 | | | 1,293,000 | | | | 1,165,930 | |
Papa John’s International, Inc. | | | | | |
3.88% | | 09/15/297 | | | 3,210,000 | | | | 2,973,239 | |
| | | | | | | | | | | | |
| | | | 16,127,670 | |
| | | | | | | | | | | | |
| |
Services — 3.37% | | | | | |
Adtalem Global Education, Inc. | | | | | |
5.50% | | 03/01/287 | | | 2,036,000 | | | | 2,018,351 | |
Block, Inc. | | | | | |
3.50% | | 06/01/31 | | | 1,745,000 | | | | 1,591,957 | |
Carriage Services, Inc. | | | | | |
4.25% | | 05/15/297 | | | 1,400,000 | | | | 1,300,572 | |
HealthEquity, Inc. | | | | | |
4.50% | | 10/01/297 | | | 1,204,000 | | | | 1,165,787 | |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | | | | | |
3.38% | | 08/31/277 | | | 300,000 | | | | 285,935 | |
5.75% | | 04/15/267 | | | 3,100,000 | | | | 3,118,509 | |
| Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. | | | | | |
6.75% | | 08/15/327 | | | 1,040,000 | | | | 1,087,441 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
Services (continued) | | | | | |
Upbound Group, Inc. | | | | | |
6.38% | | | 02/15/297 | | $ | 1,770,000 | | | $ | 1,715,267 | |
VT Topco, Inc. | | | | | |
8.50% | | | 08/15/307 | | | 689,000 | | | | 736,269 | |
Waste Pro USA, Inc. | | | | | |
5.50% | | | 02/15/267 | | | 2,455,000 | | | | 2,448,529 | |
Worldline SA | | | | | |
(France) | | | | | |
0.00% | | | 07/30/255,10 | | | 150 | | | | 18,725 | |
0.00% | | | 07/30/265,10 | | | 3,800 | | | | 386,420 | |
| | | | | | | | | | | | | | |
| | | | 15,873,762 | |
| | | | | | | | | | | | | | |
| |
Specialized REITs — 0.40% | | | | | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
(EMTN) | | | | | |
(Luxembourg) | | | | | |
1.75% | | | 03/12/295 | | | 635,000 | | | | 652,356 | |
Greystar Real Estate Partners LLC | | | | | |
7.75% | | | 09/01/307 | | | 1,150,000 | | | | 1,223,436 | |
| | | | | | | | | | | | | | |
| | | | 1,875,792 | |
| | | | | | | | | | | | | | |
| |
Transportation — 0.21% | | | | | |
U.S. Airways Pass-Through Trust, | | | | | |
Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | 1,002,045 | | | | 1,002,045 | |
| | | | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $346,080,068) | | | | 346,575,193 | |
| | | | | | | | | | | | | | |
| |
Total Bonds — 90.74% | | | | | |
(Cost $427,115,028) | | | | 427,041,578 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | | | Shares | | | Value |
| |
COMMON STOCK — 0.51% | | | | | |
Communications — 0.51% | | | | | |
Intelsat Emergence SA2,5,11,12 | | | | | |
(Luxembourg) | | | 75,716 | | | | 2,394,556 | |
| | | | | | | | | | | | | | |
| |
Total Common Stock | | | | | |
(Cost $2,533,058) | | | | | |
| |
WARRANT — 0.00% | | | | | |
| |
Communications — 0.00% | | | | | |
Intelsat Jackson Holdings SA,2,5,11,12 | | | | | |
(Luxembourg) | | | 16 | | | | 30 | |
| | | | | | | | | | | | | | |
| |
Entertainment — 0.00% | | | | | |
Crown Finance US, Inc.†,2,5,11,12 | | | | | |
(United Kingdom) | | | 288,340 | | | | — | |
| | | | | | | | | | | | | | |
| |
Total Warrant | | | | | |
(Cost $60) | | | | 30 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 36 |
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 10.93% | | | | | |
Money Market Funds — 10.93% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%13 | | | 5,251,372 | | | $ | 5,251,372 | |
TCW Central Cash Fund | | | | | |
0.04%13,14 | | | 46,200,000 | | | | 46,200,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $51,451,372) | | | | 51,451,372 | |
| | | | | | | | | | | | |
| |
Total Investments - 102.18% | | | | | |
(Cost $481,099,518) | | | | 480,887,536 | |
| | | | | | | | | | | | |
| |
| Net unrealized depreciation on unfunded commitments - 0.00% | | | | (913 | ) |
| |
| Liabilities in Excess of Other Assets - (2.18)% | | | | (10,237,517 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 470,649,106 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 2 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 3 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 7.19% cash or 1.50% payment-in-kind interest. |
| 4 | Payment-in-kind (“PIK”) security. |
| 5 | Foreign denominated security issued by foreign domiciled entity. |
| 6 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $94,325, at an interest rate of 8.56% and a maturity of November 14, 2030. The investment is not accruing an unused commitment fee. |
| 7 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 8 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 9 | Perpetual security with no stated maturity date. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 11 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,394,586, which is 0.51% of total net assets. |
| 12 | Non-income producing security. |
| 13 | Represents the current yield as of September 30, 2024. |
| 14 | Affiliated investment. |
| † | 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
(EURIBOR): Euro InterBank Offer Rate
(MTN): Medium-Term Note
(NVS): Non-Voting Shares
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
| | | | | | | | | | |
Currency to
be Purchased | | Currency to
be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
EUR 214,000 | | USD 233,327 | | Citibank N.A. | | 10/11/24 | | $ | 5,624 | |
EUR 855,000 | | USD 948,650 | | Goldman Sachs International | | 10/11/24 | | | 6,037 | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | 11,661 | |
| | | | | | | | | | |
| | | | |
USD 12,692,096 | | EUR 11,671,000 | | Citibank N.A. | | 10/11/24 | | | (339,658) | |
| | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | $ | (327,997) | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | 627 | | | 12/31/24 | | | $ | 68,896,522 | | | $ | 157,408 | | | $ | 157,408 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | 67 | | | 12/31/24 | | | | (13,952,227) | | | | (1,825) | | | | (1,825) | |
Euro-Bobl Future | | 44 | | | 12/06/24 | | | | (5,895,199) | | | | (51,129) | | | | (51,129) | |
Euro-Bund Future | | 12 | | | 12/06/24 | | | | (1,806,929) | | | | (11,801) | | | | (11,801) | |
Euro-Schatz Future | | 4 | | | 12/06/24 | | | | (478,451) | | | | (2,282) | | | | (2,282) | |
U.S. Treasury Ten-Year Ultra Bond | | 2 | | | 12/19/24 | | | | (236,594) | | | | 304 | | | | 304 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | (22,369,400) | | | | (66,733) | | | | (66,733) | |
| | | | | | | | | | | | | | | | | | |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 46,527,122 | | | $ | 90,675 | | | $ | 90,675 | |
| | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 37 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BONDS – 108.57% | |
|
ASSET-BACKED SECURITIES — 5.99%** | |
Academic Loan Funding Trust, | |
Series 2012-1A, Class A2 | |
(SOFR30A plus 1.21%) | |
6.49% | | 12/27/441,2 | | $ | 289,068 | | | $ | 285,466 | |
Allegro CLO VI Ltd., | |
Series 2017-2A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.76%) | |
7.05% | | 01/17/311,2,3 | | | 1,750,000 | | | | 1,749,265 | |
AMMC CLO 30 Ltd., | |
Series 2024-30A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.68%) | |
6.97% | | 01/15/371,2,3 | | | 2,000,000 | | | | 2,009,380 | |
Apidos CLO XXV, | |
Series 2016-25A, Class A1R2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | 10/20/311,2,3 | | | 2,024,609 | | | | 2,025,803 | |
Barings CLO Ltd., | |
Series 2018-4A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.45% | | 10/15/301,2,3 | | | 2,570,037 | | | | 2,572,324 | |
Buttermilk Park CLO Ltd., | |
Series 2018-1A, Class A2R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.37%) | |
6.67% | | 10/15/311,2,3 | | | 2,000,000 | | | | 2,004,740 | |
CIT Education Loan Trust, | |
Series 2007-1, Class A | |
(SOFR90A plus 0.35%) | |
5.70% | | 03/25/421,2 | | | 101,854 | | | | 99,478 | |
Clover CLO Ltd., | |
Series 2019-2A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.15% | | 10/25/331,2 | | | 2,100,000 | | | | 2,104,074 | |
Dryden 40 Senior Loan Fund, | |
Series 2015-40A, Class AR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.27% | | 08/15/311,2,3 | | | 2,235,636 | | | | 2,236,418 | |
Dryden XXVI Senior Loan Fund, | |
Series 2013-26A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.16%) | |
6.46% | | 04/15/291,2,3 | | | 1,035,981 | | | | 1,037,204 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | 01/17/731 | | | 291,195 | | | | 280,970 | |
J.G. Wentworth XXXII LLC, | |
Series 2014-2A, Class A | |
3.61% | | 01/17/731 | | | 527,101 | | | | 488,741 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Navient Student Loan Trust, | |
Series 2014-1, Class A3 | |
(SOFR30A plus 0.62%) | |
5.90% | | 06/25/312 | | $ | 271,063 | | | $ | 267,731 | |
Navient Student Loan Trust, | |
Series 2016-2A, Class A3 | |
(SOFR30A plus 1.61%) | |
6.89% | | 06/25/651,2 | | | 1,019,422 | | | | 1,033,831 | |
Neuberger Berman CLO XX Ltd., | |
Series 2015-20A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.42%) | |
6.72% | | 07/15/341,2,3 | | | 1,915,000 | | | | 1,917,049 | |
OCP CLO Ltd., | |
Series 2014-6A, Class A1R2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.44% | | 10/17/301,2,3 | | | 1,569,612 | | | | 1,573,097 | |
OCP CLO Ltd., | |
Series 2020-19A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.41%) | |
6.69% | | 10/20/341,2,3 | | | 1,500,000 | | | | 1,502,820 | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.42%) | |
6.72% | | 07/15/361,2,3 | | | 2,000,000 | | | | 2,003,740 | |
Palmer Square Loan Funding Ltd., | |
Series 2022-3A, Class A1BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.40%) | |
6.70% | | 04/15/311,2,3 | | | 2,500,000 | | | | 2,502,975 | |
Progress Residential Trust, | |
Series 2021-SFR8, Class D | |
2.08% | | 10/17/381 | | | 1,150,000 | | | | 1,086,821 | |
Recette CLO Ltd., | |
Series 2015-1A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.34%) | |
6.62% | | 04/20/341,2,3 | | | 1,875,000 | | | | 1,876,031 | |
Regata XII Funding Ltd., | |
Series 2019-1A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.16% | | 10/15/321,2,3 | | | 2,100,000 | | | | 2,100,168 | |
Rockford Tower CLO Ltd., | |
Series 2019-2A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.36%) | |
6.49% | | 08/20/321,2,3 | | | 2,000,000 | | | | 2,001,500 | |
SBNA Auto Receivables Trust, | |
Series 2024-A, Class A3 | |
5.32% | | 12/15/281 | | | 2,450,000 | | | | 2,475,714 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | 05/10/374,5 | | | 1,827,395 | | | | 1,691,054 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 38 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, | |
Series 2004-1, Class B | |
(SOFR90A plus 0.55%) | |
5.92% | | 08/15/312 | | $ | 73,166 | | | $ | 64,532 | |
SLC Student Loan Trust, | |
Series 2008-1, Class A4A | |
(SOFR90A plus 1.86%) | |
7.23% | | 12/15/322 | | | 101,290 | | | | 102,623 | |
SLM Student Loan Trust, | |
Series 2004-2, Class B | |
(SOFR90A plus 0.73%) | |
6.09% | | 07/25/392 | | | 82,527 | | | | 78,950 | |
SLM Student Loan Trust, | |
Series 2006-8, Class A6 | |
(SOFR90A plus 0.42%) | |
5.78% | | 01/25/412 | | | 598,900 | | | | 580,966 | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | 01/25/832 | | | 185,000 | | | | 190,545 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | 04/26/832 | | | 185,000 | | | | 189,074 | |
SLM Student Loan Trust, | |
Series 2008-4, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 04/25/732 | | | 185,000 | | | | 192,536 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/25/732 | | | 2,235,000 | | | | 2,288,860 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(SOFR90A plus 1.36%) | |
6.72% | | 07/25/232 | | | 897,043 | | | | 894,327 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/26/832 | | | 185,000 | | | | 189,944 | |
SLM Student Loan Trust, | |
Series 2008-7, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/26/832 | | | 185,000 | | | | 188,027 | |
SLM Student Loan Trust, | |
Series 2012-7, Class A3 | |
(SOFR30A plus 0.76%) | |
6.04% | | 05/26/262 | | | 343,970 | | | | 336,231 | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | 01/16/461 | | | 375,929 | | | | 385,780 | |
| 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 | | | 450,000 | | | | 415,900 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Taco Bell Funding LLC, | |
Series 2016-1A, Class A23 | |
4.97% | | 05/25/461 | | $ | 3,093,750 | | | $ | 3,100,948 | |
Vantage Data Centers Issuer LLC, | |
Series 2020-1A, Class A2 | |
1.65% | | 09/15/451 | | | 3,500,000 | | | | 3,386,034 | |
Voya CLO Ltd., | |
Series 2014-4A, Class A2RA | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.16% | | 07/14/311,2,3 | | | 1,650,000 | | | | 1,649,950 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $52,855,351) | | | | 53,161,621 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.84%* | |
|
Communications — 0.09% | |
CCI Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | 12/17/272 | | | 59,985 | | | | 59,976 | |
Charter Communications Operating LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 1.75%) | |
7.08% | | 02/01/272 | | | 95,238 | | | | 95,228 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
7.44% | | 04/15/272 | | | 96,222 | | | | 88,318 | |
Numericable U.S. LLC, | |
Term Loan B14, 1st Lien | |
(SOFR plus 5.50%) | |
10.80% | | 08/15/282 | | | 65,060 | | | | 48,957 | |
Research Now LLC, | |
Term Loan | |
(SOFR plus 5.50%) | |
10.38% | | 04/22/252 | | | 20,580 | | | | 20,665 | |
Virgin Media Bristol LLC, | |
Term Loan Y, 1st Lien | |
(SOFR plus 3.35%) | |
8.66% | | 03/31/312 | | | 150,000 | | | | 143,459 | |
Zayo Group Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.00%) | |
7.96% | | 03/09/272 | | | 350,395 | | | | 321,086 | |
(SOFR plus 4.25%) | |
9.10% | | 03/09/272 | | | 62,354 | | | | 57,650 | |
| | | | | | | | | | | | |
| | | | 835,339 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.04% | |
BrewCo Borrower LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.76%) | |
9.06% | | 04/05/282 | | | 64,725 | | | | 53,074 | |
(SOFR plus 6.25%) | |
11.55% | | 04/05/282 | | | 26,944 | | | | 23,846 | |
See accompanying Notes to Financial Statements.
|
| 39 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Consumer Discretionary (continued) | |
City Brewing Co. LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 5.26%) | |
10.56% | | 04/05/282,6 | | $ | 97,331 | | | $ | 51,342 | |
Hilton Worldwide Finance LLC, | |
Term Loan B4, 1st Lien | |
(SOFR plus 1.75%) | |
6.57% | | 11/08/302 | | | 32,367 | | | | 32,397 | |
Naked Juice, LLC, | |
Term Loan, 1st Lien (Luxembourg) | |
(SOFR plus 3.35%) | |
8.32% | | 01/24/292,3 | | | 186,089 | | | | 152,941 | |
Term Loan, 2nd Lien | |
(SOFR plus 6.10%) | |
10.70% | | 01/24/302 | | | 57,817 | | | | 35,958 | |
Osmosis Buyer Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.34% | | 07/31/282 | | | 7,622 | | | | 7,622 | |
| | | | | | | | | | | | |
| | | | 357,180 | |
| | | | | | | | | | | | |
|
Diversified REITs — 0.02% | |
SBA Senior Finance II LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 1.75%) | |
6.71% | | 01/25/312 | | | 61,667 | | | | 61,754 | |
(SOFR plus 2.00%) | |
6.85% | | 01/25/312 | | | 130,066 | | | | 130,248 | |
| | | | | | | | | | | | |
| | | | 192,002 | |
| | | | | | | | | | | | |
|
Electric — 0.02% | |
Alpha Generation LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 09/19/312 | | | 90,031 | | | | 90,160 | |
Edgewater Generation LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 08/01/302 | | | 30,963 | | | | 31,273 | |
Lackawanna Energy Center LLC, | |
Term Loan B2, 1st Lien | |
(SOFR plus 5.00%) | |
9.86% | | 08/06/292 | | | 14,576 | | | | 14,704 | |
Term Loan C, 1st Lien | |
(SOFR plus 5.00%) | |
9.86% | | 08/06/292 | | | 3,185 | | | | 3,213 | |
South Field Energy LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 08/29/312 | | | 24,040 | | | | 24,155 | |
Term Loan C, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 08/29/312 | | | 1,474 | | | | 1,482 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Electric (continued) | |
Vistra Operations Co. LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 12/20/302 | | $ | 17,768 | | | $ | 17,789 | |
| | | | | | | | | | | | |
| | | | 182,776 | |
| | | | | | | | | | | | |
|
Entertainment — 0.02% | |
Showtime Acquisition LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.85% | | 08/13/312 | | | 95,716 | | | | 95,327 | |
William Morris Endeavor Entertainment LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.86%) | |
7.71% | | 05/18/252 | | | 60,648 | | | | 60,762 | |
| | | | | | | | | | | | |
| | | | 156,089 | |
| | | | | | | | | | | | |
|
Finance — 0.05% | |
Avolon TLB Borrower 1 U.S. LLC, | |
Term Loan B6, 1st Lien | |
(SOFR plus 2.00%) | |
6.96% | | 06/22/282 | | | 172,708 | | | | 173,268 | |
Deerfield Dakota Holding LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 04/09/272 | | | 127,855 | | | | 125,433 | |
Jane Street Group LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.61%) | |
7.65% | | 01/26/282 | | | 104,741 | | | | 104,765 | |
| | | | | | | | | | | | |
| | | | 403,466 | |
| | | | | | | | | | | | |
|
Food — 0.01% | |
8th Avenue Food & Provisions, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 10/01/252 | | | 14,520 | | | | 14,121 | |
United Natural Foods, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 04/25/312 | | | 108,640 | | | | 109,183 | |
| | | | | | | | | | | | |
| | | | 123,304 | |
| | | | | | | | | | | | |
|
Gaming — 0.01% | |
Penn National Gaming, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.70% | | 05/03/292 | | | 46,412 | | | | 46,571 | |
| | | | | | | | | | | | |
|
Health Care — 0.09% | |
Bausch + Lomb Corp., | |
Term Loan B, 1st Lien (Canada) | |
(SOFR plus 3.35%) | |
8.27% | | 05/10/272,3 | | | 57,185 | | | | 57,049 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 40 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Health Care (continued) | |
Grifols Worldwide Operations USA, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.15%) | |
7.40% | | 11/15/272 | | $ | 2 | | | $ | 2 | |
Jazz Financing Lux SARL, | |
Term Loan B2, 1st Lien (Luxembourg) | |
(SOFR plus 2.25%) | |
7.10% | | 05/05/282,3 | | | 302,817 | | | | 302,844 | |
Medline Borrower LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 2.75%) | |
7.60% | | 10/23/282 | | | 88,820 | | | | 88,956 | |
Modivcare, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
10.08% | | 07/01/312 | | | 260,752 | | | | 246,982 | |
NSM Top Holdings Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.25%) | |
10.10% | | 05/14/292 | | | 30,395 | | | | 30,510 | |
Star Parent, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
8.35% | | 09/27/302 | | | 47,411 | | | | 46,200 | |
| | | | | | | | | | | | |
| | | | 772,543 | |
| | | | | | | | | | | | |
|
Health Care REITs — 0.13% | |
Healthpeak Properties, Inc., | |
Delayed-Draw Term Loan, 1st Lien | |
(SOFR plus 0.94%) | |
5.87% | | 02/22/272 | | | 279,976 | | | | 275,076 | |
5.87% | | 08/20/272 | | | 279,976 | | | | 275,076 | |
Term Loan, 1st Lien | |
(SOFR plus 0.85%) | |
5.79% | | 03/01/292 | | | 565,051 | | | | 554,457 | |
| | | | | | | | | | | | |
| | | | 1,104,609 | |
| | | | | | | | | | | | |
|
Industrials — 0.11% | |
Alliance Laundry Systems LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/19/312 | | | 31,979 | | | | 32,063 | |
Artera Services LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 4.50%) | |
9.47% | | 02/15/312 | | | 74,532 | | | | 72,843 | |
ASP Blade Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.26%) | |
8.87% | | 10/13/282 | | | 49,169 | | | | 36,569 | |
Berry Global, Inc., | |
Term Loan AA, 1st Lien | |
(SOFR plus 2.01%) | |
7.32% | | 07/01/292 | | | 666,072 | | | | 668,807 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Industrials (continued) | |
Coherent Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.50%) | |
7.35% | | 07/02/292 | | $ | 22,694 | | | $ | 22,729 | |
Transdigm, Inc., | |
Term Loan I, 1st Lien | |
(SOFR plus 2.75%) | |
7.35% | | 08/24/282 | | | 116,775 | | | | 116,857 | |
| | | | | | | | | | | | |
| | | | 949,868 | |
| | | | | | | | | | | | |
|
Information Technology — 0.12% | |
Arches Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.35%) | |
8.40% | | 12/06/272 | | | 51,274 | | | | 49,291 | |
Athenahealth Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.10% | | 02/15/292 | | | 33,747 | | | | 33,593 | |
BMC Software (Boxer/Bladelogic), | |
Term Loan B, 1st Lien | |
(SOFR plus 3.75%) | |
9.01% | | 07/30/312 | | | 73,820 | | | | 73,761 | |
Buzz Merger Sub Ltd., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.85%) | |
7.70% | | 01/29/272 | | | 54,040 | | | | 53,928 | |
Central Parent LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.25%) | |
8.22% | | 07/06/292 | | | 115,000 | | | | 113,946 | |
EagleView Technology Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.76%) | |
8.37% | | 08/14/252 | | | 246,289 | | | | 235,736 | |
Gainwell Acquisition Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.10%) | |
8.70% | | 10/01/272 | | | 194,937 | | | | 186,043 | |
Indy U.S. Holdco LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.75%) | |
9.60% | | 03/06/282 | | | 29,721 | | | | 29,672 | |
MH Sub I LLC, | |
Term Loan B3, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 05/03/282 | | | 36,734 | | | | 36,545 | |
RealPage, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.11%) | |
7.96% | | 04/24/282 | | | 36,317 | | | | 35,301 | |
Renaissance Holding Corp., | |
Term Loan, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 04/05/302 | | | 65,250 | | | | 65,298 | |
See accompanying Notes to Financial Statements.
|
| 41 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Information Technology (continued) | |
Research Now Group LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 5.76%) | |
10.88% | | 10/16/282 | | $ | 39,739 | | | $ | 36,883 | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.26%) | |
9.26% | | 03/04/282 | | | 85,463 | | | | 75,190 | |
Xerox Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% - 8.85% | | 11/15/292 | | | 75,917 | | | | 75,774 | |
| | | | | | | | | | | | |
| | | | 1,100,961 | |
| | | | | | | | | | | | |
|
Insurance — 0.04% | |
Acrisure LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 3.00%) | |
7.96% | | 02/16/272 | | | 176,845 | | | | 176,661 | |
Asurion LLC, | |
Term Loan B8, 1st Lien | |
(SOFR plus 3.36%) | |
8.41% | | 12/23/262 | | | 131,854 | | | | 131,897 | |
| | | | | | | | | | | | |
| | | | 308,558 | |
| | | | | | | | | | | | |
|
Materials — 0.02% | |
Chemours Co. (The), | |
Term Loan B3, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 08/18/282 | | | 186,263 | | | | 186,613 | |
| | | | | | | | | | | | |
|
Retail — 0.02% | |
1011778 BC Unlimited Liability Co., | |
Term Loan B6, 1st Lien (Canada) | |
(SOFR plus 1.75%) | |
6.60% | | 09/20/302,3 | | | 20,205 | | | | 20,035 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.88% | | 03/15/282 | | | 80,497 | | | | 80,950 | |
Peer Holding III BV, | |
Term Loan B5, 1st Lien (Netherlands) | |
(SOFR plus 3.00%) | |
7.60% | | 07/01/312,3 | | | 103,681 | | | | 104,135 | |
| | | | | | | | | | | | |
| | | | 205,120 | |
| | | | | | | | | | | | |
|
Services — 0.05% | |
Boost Newco Borrower LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.50%) | |
7.10% | | 01/31/312 | | | 31,126 | | | | 31,178 | |
Clean Harbors, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.71% | | 10/08/282 | | | 62,469 | | | | 62,711 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BANK LOANS (continued) | |
|
Services (continued) | |
Pre-Paid Legal Services, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | 12/15/282 | | $ | 61,752 | | | $ | 61,783 | |
Ryan LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | 11/14/302 | | | 36,273 | | | | 35,926 | |
Sabre GLBL, Inc., | |
Term Loan B2, 1st Lien | |
(SOFR plus 5.10%) | |
9.95% | | 06/30/282 | | | 27,723 | | | | 26,450 | |
TransUnion Intermediate Holdings, Inc., | |
Term Loan B7, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | 12/01/282 | | | 65,234 | | | | 65,275 | |
Term Loan B8, 1st Lien | |
(SOFR plus 1.75%) | |
6.71% | | 06/24/312 | | | 19,975 | | | | 19,958 | |
TruGreen LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.10%) | |
8.95% | | 11/02/272 | | | 183,808 | | | | 178,202 | |
| | | | | | | | | | | | |
| | | | 481,483 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $7,498,090) | | | | 7,406,482 | |
| | | | | | | | | | | | |
|
CORPORATES — 20.74%* | |
|
Banking — 3.84% | |
Bank of America Corp. | |
3.42% | | 12/20/287 | | | 860,000 | | | | 837,012 | |
Bank of America Corp. | |
(MTN) | |
1.92% | | 10/24/317 | | | 1,135,000 | | | | 979,300 | |
2.09% | | 06/14/297 | | | 3,895,000 | | | | 3,598,609 | |
2.55% | | 02/04/287 | | | 160,000 | | | | 153,741 | |
2.97% | | 02/04/337 | | | 690,000 | | | | 618,428 | |
3.09% | | 10/01/257 | | | 93,000 | | | | 93,000 | |
3.82% | | 01/20/287 | | | 605,000 | | | | 598,569 | |
Bank of America Corp., | |
Series N | |
1.66% | | 03/11/277 | | | 2,510,000 | | | | 2,413,069 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.01% | | 09/22/283,7 | | | 725,000 | | | | 676,787 | |
2.21% | | 08/17/293,7 | | | 60,000 | | | | 55,054 | |
4.76% | | 06/09/283,7 | | | 1,240,000 | | | | 1,249,233 | |
JPMorgan Chase & Co. | |
1.04% | | 02/04/277 | | | 2,405,000 | | | | 2,299,412 | |
1.56% | | 12/10/257 | | | 2,280,000 | | | | 2,262,837 | |
1.58% | | 04/22/277 | | | 1,035,000 | | | | 992,275 | |
1.95% | | 02/04/327 | | | 210,000 | | | | 180,525 | |
2.07% | | 06/01/297 | | | 30,000 | | | | 27,770 | |
2.58% | | 04/22/327 | | | 605,000 | | | | 539,941 | |
4.01% | | 04/23/297 | | | 3,055,000 | | | | 3,024,743 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 42 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Banking (continued) | |
JPMorgan Chase & Co., | |
NVS | |
1.05% | | 11/19/267 | | $ | 275,000 | | | $ | 264,387 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
3.57% | | 11/07/283,7 | | | 475,000 | | | | 462,955 | |
4.72% | | 08/11/263,7 | | | 1,036,000 | | | | 1,034,788 | |
PNC Financial Services Group, Inc. (The) | |
5.68% | | 01/22/357 | | | 320,000 | | | | 339,626 | |
6.88% | | 10/20/347 | | | 1,280,000 | | | | 1,467,217 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.67% | | 06/14/273,7 | | | 435,000 | | | | 413,901 | |
2.47% | | 01/11/283,7 | | | 1,245,000 | | | | 1,185,934 | |
U.S. Bancorp | |
4.84% | | 02/01/347 | | | 1,320,000 | | | | 1,320,010 | |
5.68% | | 01/23/357 | | | 385,000 | | | | 408,361 | |
Wells Fargo & Co. | |
5.39% | | 04/24/347 | | | 335,000 | | | | 348,017 | |
Wells Fargo & Co. | |
(MTN) | |
2.39% | | 06/02/287 | | | 4,555,000 | | | | 4,331,738 | |
2.57% | | 02/11/317 | | | 495,000 | | | | 449,821 | |
3.35% | | 03/02/337 | | | 550,000 | | | | 503,327 | |
5.57% | | 07/25/297 | | | 895,000 | | | | 931,573 | |
| | | | | | | | | | | | |
| | | | 34,061,960 | |
| | | | | | | | | | | | |
|
Communications — 1.45% | |
Altice France SA | |
(France) | |
5.50% | | 10/15/291,3 | | | 218,000 | | | | 153,421 | |
8.13% | | 02/01/271,3 | | | 85,000 | | | | 69,194 | |
| Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | |
2.30% | | 02/01/32 | | | 2,325,000 | | | | 1,875,090 | |
2.80% | | 04/01/31 | | | 1,825,000 | | | | 1,561,904 | |
6.65% | | 02/01/34 | | | 700,000 | | | | 732,149 | |
CSC Holdings LLC | |
4.50% | | 11/15/311 | | | 500,000 | | | | 364,581 | |
5.38% | | 02/01/281 | | | 220,000 | | | | 185,618 | |
6.50% | | 02/01/291 | | | 740,000 | | | | 613,084 | |
7.50% | | 04/01/281 | | | 90,000 | | | | 60,141 | |
11.75% | | 01/31/291 | | | 755,000 | | | | 729,786 | |
Global Switch Finance BV | |
(EMTN) | |
(Netherlands) | |
1.38% | | 10/07/303 | | | 925,000 | | | | 951,206 | |
SES GLOBAL Americas Holdings, Inc. | |
5.30% | | 03/25/441 | | | 750,000 | | | | 604,343 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | |
4.74% | | 03/20/251 | | | 22,750 | | | | 22,763 | |
5.15% | | 03/20/281 | | | 1,249,500 | | | | 1,264,432 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Communications (continued) | |
TDC Net A/S, | |
(EMTN) | |
(Germany) | |
6.50% | | 06/01/313 | | $ | 200,000 | | | $ | 245,671 | |
T-Mobile USA, Inc. | |
2.25% | | 02/15/26 | | | 700,000 | | | | 680,650 | |
3.75% | | 04/15/27 | | | 2,275,000 | | | | 2,248,265 | |
VZ Secured Financing BV, | |
Series REGS | |
(Netherlands) | |
3.50% | | 01/15/323 | | | 500,000 | | | | 514,657 | |
| | | | | | | | | | | | |
| | | | 12,876,955 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 1.11% | |
Bacardi Ltd. | |
(Bermuda) | |
4.45% | | 05/15/251,3 | | | 1,045,000 | | | | 1,040,620 | |
BAT Capital Corp. | |
2.73% | | 03/25/31 | | | 555,000 | | | | 496,265 | |
3.46% | | 09/06/29 | | | 1,570,000 | | | | 1,496,366 | |
3.56% | | 08/15/27 | | | 145,000 | | | | 142,105 | |
BAT International Finance PLC | |
(United Kingdom) | |
1.67% | | 03/25/263 | | | 330,000 | | | | 317,143 | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
6.13% | | 07/27/271,3 | | | 385,000 | | | | 400,589 | |
Pernod Ricard SA | |
(EMTN) | |
(France) | |
3.63% | | 05/07/343 | | | 200,000 | | | | 227,308 | |
Spectrum Brands, Inc. | |
3.88% | | 03/15/311 | | | 67,000 | | | | 59,609 | |
WarnerMedia Holdings, Inc. | |
4.28% | | 03/15/32 | | | 6,335,000 | | | | 5,629,536 | |
| | | | | | | | | | | | |
| | | | 9,809,541 | |
| | | | | | | | | | | | |
|
Diversified REITs — 1.30% | |
American Assets Trust LP | |
6.15% | | 10/01/34 | | | 815,000 | | | | 824,572 | |
American Tower Corp. | |
2.30% | | 09/15/31 | | | 745,000 | | | | 641,990 | |
3.60% | | 01/15/28 | | | 3,460,000 | | | | 3,379,062 | |
5.25% | | 07/15/28 | | | 400,000 | | | | 412,112 | |
Crown Castle, Inc. | |
2.50% | | 07/15/31 | | | 1,333,000 | | | | 1,161,327 | |
Digital Dutch Finco BV | |
(Netherlands) | |
1.25% | | 02/01/313 | | | 1,185,000 | | | | 1,149,257 | |
Digital Intrepid Holding BV | |
(Netherlands) | |
0.63% | | 07/15/313 | | | 245,000 | | | | 224,382 | |
GLP Capital LP/GLP Financing II, Inc. | |
4.00% | | 01/15/31 | | | 505,000 | | | | 473,996 | |
5.75% | | 06/01/28 | | | 1,465,000 | | | | 1,505,316 | |
See accompanying Notes to Financial Statements.
|
| 43 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Diversified REITs (continued) | |
VICI Properties LP | |
4.95% | | 02/15/30 | | $ | 75,000 | | | $ | 75,523 | |
VICI Properties LP/VICI Note Co., Inc. | |
3.88% | | 02/15/291 | | | 90,000 | | | | 86,239 | |
4.13% | | 08/15/301 | | | 20,000 | | | | 19,014 | |
4.50% | | 01/15/281 | | | 330,000 | | | | 325,788 | |
5.75% | | 02/01/271 | | | 540,000 | | | | 549,981 | |
Vonovia SE | |
(Georgia) | |
1.00% | | 06/16/333 | | | 300,000 | | | | 267,640 | |
Vonovia SE, | |
(EMTN) | |
(Georgia) | |
5.00% | | 11/23/303 | | | 100,000 | | | | 120,546 | |
WP Carey, Inc. | |
4.25% | | 07/23/32 | | | 250,000 | | | | 288,212 | |
| | | | | | | | | | | | |
| | | | 11,504,957 | |
| | | | | | | | | | | | |
|
Electric — 1.75% | |
Alliant Energy Finance LLC | |
5.95% | | 03/30/291 | | | 1,085,000 | | | | 1,147,347 | |
Alliant Energy Finance, LLC | |
3.60% | | 03/01/321 | | | 1,625,000 | | | | 1,478,900 | |
Alpha Generation LLC | |
6.75% | | 10/15/321 | | | 90,000 | | | | 91,393 | |
Amprion GmbH | |
(EMTN) | |
(Georgia) | |
0.63% | | 09/23/333 | | | 100,000 | | | | 88,448 | |
4.00% | | 05/21/443 | | | 300,000 | | | | 339,486 | |
Appalachian Power Co., | |
Series H | |
5.95% | | 05/15/33 | | | 125,000 | | | | 133,590 | |
Appalachian Power Co., | |
Series X | |
3.30% | | 06/01/27 | | | 410,000 | | | | 400,368 | |
Duke Energy Corp. | |
2.65% | | 09/01/26 | | | 30,000 | | | | 29,195 | |
3.75% | | 04/01/31 | | | 2,820,000 | | | | 3,186,461 | |
Duke Energy Florida LLC | |
5.88% | | 11/15/33 | | | 245,000 | | | | 268,256 | |
Elia Group SA | |
(Belgium) | |
3.88% | | 06/11/313 | | | 200,000 | | | | 226,389 | |
Eurogrid GmbH | |
(EMTN) | |
(Georgia) | |
0.74% | | 04/21/333 | | | 200,000 | | | | 180,254 | |
Eversource Energy | |
4.60% | | 07/01/27 | | | 1,295,000 | | | | 1,303,726 | |
FirstEnergy Pennsylvania Electric Co. | |
4.00% | | 04/15/251 | | | 770,000 | | | | 766,046 | |
4.30% | | 01/15/291 | | | 550,000 | | | | 547,433 | |
5.15% | | 03/30/261 | | | 500,000 | | | | 504,362 | |
FirstEnergy Transmission LLC | |
2.87% | | 09/15/281 | | | 853,000 | | | | 807,174 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Electric (continued) | |
Public Service Co. of New Mexico | |
3.85% | | 08/01/25 | | $ | 1,405,000 | | | $ | 1,398,762 | |
Southwestern Electric Power Co. | |
5.30% | | 04/01/33 | | | 1,030,000 | | | | 1,063,260 | |
TenneT Holding BV | |
(EMTN) | |
(Netherlands) | |
4.50% | | 10/28/343 | | | 1,265,000 | | | | 1,556,261 | |
| | | | | | | | | | | | |
| | | | 15,517,111 | |
| | | | | | | | | | | | |
|
Energy — 0.68% | |
Boston Gas Co. | |
3.76% | | 03/16/321 | | | 2,400,000 | | | | 2,190,361 | |
East Ohio Gas Co. (The) | |
2.00% | | 06/15/301 | | | 1,020,000 | | | | 888,793 | |
Energy Transfer LP | |
4.95% | | 05/15/28 | | | 750,000 | | | | 761,498 | |
Energy Transfer Operating LP | |
5.25% | | 04/15/29 | | | 1,145,000 | | | | 1,178,349 | |
National Gas Transmission PLC, | |
(EMTN) | |
(United Kingdom) | |
4.25% | | 04/05/303 | | | 455,000 | | | | 531,567 | |
Petroleos Mexicanos | |
(Mexico) | |
6.35% | | 02/12/483 | | | 125,000 | | | | 86,536 | |
TransCanada PipeLines Ltd. | |
(Canada) | |
2.50% | | 10/12/313 | | | 445,000 | | | | 394,010 | |
| | | | | | | | | | | | |
| | | | 6,031,114 | |
| | | | | | | | | | | | |
|
Finance — 2.53% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
2.45% | | 10/29/263 | | | 2,045,000 | | | | 1,964,920 | |
3.00% | | 10/29/283 | | | 421,000 | | | | 397,852 | |
Air Lease Corp. | |
3.25% | | 03/01/25 | | | 820,000 | | | | 813,770 | |
3.25% | | 10/01/29 | | | 525,000 | | | | 493,837 | |
3.63% | | 12/01/27 | | | 355,000 | | | | 347,318 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/271,3 | | | 1,558,000 | | | | 1,454,682 | |
2.88% | | 02/15/251,3 | | | 1,160,000 | | | | 1,148,668 | |
Citigroup, Inc. | |
2.52% | | 11/03/327 | | | 2,025,000 | | | | 1,757,720 | |
2.67% | | 01/29/317 | | | 115,000 | | | | 104,807 | |
2.98% | | 11/05/307 | | | 290,000 | | | | 269,865 | |
3.52% | | 10/27/287 | | | 1,505,000 | | | | 1,469,793 | |
Durrah MSN 35603 | |
(Cayman Islands) | |
1.68% | | 01/22/253 | | | 291,158 | | | | 289,482 | |
EverBank Financial Corp. | |
5.75% | | 07/02/25 | | | 1,150,000 | | | | 1,146,761 | |
Goldman Sachs Group, Inc. (The) | |
2.65% | | 10/21/327 | | | 14,000 | | | | 12,311 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 44 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Finance (continued) | |
3.75% | | 02/25/26 | | $ | 20,000 | | | $ | 19,873 | |
3.81% | | 04/23/297 | | | 2,480,000 | | | | 2,432,371 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | |
4.38% | | 02/01/29 | | | 47,000 | | | | 41,134 | |
9.00% | | 06/15/301 | | | 461,000 | | | | 464,377 | |
9.75% | | 01/15/291 | | | 205,000 | | | | 212,889 | |
Morgan Stanley | |
2.19% | | 04/28/267 | | | 860,000 | | | | 846,768 | |
Morgan Stanley | |
(MTN) | |
1.16% | | 10/21/257 | | | 2,115,000 | | | | 2,108,700 | |
1.79% | | 02/13/327 | | | 2,000,000 | | | | 1,694,171 | |
1.93% | | 04/28/327 | | | 555,000 | | | | 471,121 | |
Nationwide Building Society | |
(United Kingdom) | |
2.97% | | 02/16/281,3,7 | | | 2,250,000 | | | | 2,170,278 | |
Sandalwood 2013 LLC | |
2.90% | | 07/10/25 | | | 321,770 | | | | 319,268 | |
| | | | | | | | | | | | |
| | | | 22,452,736 | |
| | | | | | | | | | | | |
|
Food — 0.43% | |
ELO SACA | |
(EMTN) | |
(France) | |
6.00% | | 03/22/293 | | | 700,000 | | | | 724,756 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. | | | | | |
Sarl | |
(Luxembourg) | |
3.00% | | 02/02/293 | | | 195,000 | | | | 181,641 | |
6.75% | | 03/15/341,3 | | | 1,885,000 | | | | 2,089,059 | |
Pilgrim’s Pride Corp. | |
3.50% | | 03/01/32 | | | 925,000 | | | | 822,770 | |
| | | | | | | | | | | | |
| | | | 3,818,226 | |
| | | | | | | | | | | | |
|
Gaming — 0.02% | |
Flutter Treasury DAC, | |
(Ireland) | |
5.00% | | 04/29/291,3 | | | 190,000 | | | | 218,949 | |
| | | | | | | | | | | | |
|
Health Care — 2.69% | |
1375209 BC Ltd. | |
(Canada) | |
9.00% | | 01/30/281,3 | | | 630,000 | | | | 625,043 | |
AbbVie, Inc. | |
3.60% | | 05/14/25 | | | 1,152,000 | | | | 1,144,879 | |
Aetna, Inc. | |
3.50% | | 11/15/24 | | | 1,250,000 | | | | 1,247,269 | |
Alcon Finance Corp. | |
2.75% | | 09/23/261 | | | 2,300,000 | | | | 2,232,731 | |
Bayer U.S. Finance II LLC | |
4.38% | | 12/15/281 | | | 2,914,000 | | | | 2,875,465 | |
5.50% | | 08/15/251 | | | 1,100,000 | | | | 1,102,730 | |
Bayer U.S. Finance LLC | |
3.38% | | 10/08/241 | | | 1,020,000 | | | | 1,019,587 | |
6.50% | | 11/21/331 | | | 520,000 | | | | 564,707 | |
Baylor Scott & White Holdings | |
2.65% | | 11/15/26 | | | 1,530,000 | | | | 1,474,335 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Health Care (continued) | |
Centene Corp. | |
3.00% | | 10/15/30 | | $ | 1,155,000 | | | $ | 1,034,374 | |
Fresenius Finance Ireland PLC | |
(EMTN) | |
(Ireland) | |
0.88% | | 10/01/313 | | | 550,000 | | | | 518,121 | |
Grifols SA, | |
Series REGS | |
(Spain) | |
3.88% | | 10/15/283 | | | 825,000 | | | | 856,342 | |
HCA, Inc. | |
5.25% | | 04/15/25 | | | 865,000 | | | | 866,346 | |
5.88% | | 02/15/26 | | | 2,530,000 | | | | 2,556,977 | |
5.88% | | 02/01/29 | | | 1,000,000 | | | | 1,048,407 | |
7.05% | | 12/01/27 | | | 80,000 | | | | 86,896 | |
Humana, Inc. | |
3.85% | | 10/01/24 | | | 860,000 | | | | 860,000 | |
IQVIA, Inc. | |
5.70% | | 05/15/28 | | | 1,725,000 | | | | 1,793,196 | |
6.25% | | 02/01/29 | | | 120,000 | | | | 127,639 | |
Kedrion SpA | |
(Italy) | |
6.50% | | 09/01/291,3 | | | 445,000 | | | | 424,537 | |
Medtronic Global Holdings SCA | |
(Luxembourg) | |
3.38% | | 10/15/343 | | | 100,000 | | | | 113,700 | |
Medtronic, Inc. | |
3.65% | | 10/15/29 | | | 185,000 | | | | 214,156 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | 10/01/291 | | | 870,000 | | | | 546,827 | |
Stryker Corp. | |
3.38% | | 09/11/32 | | | 450,000 | | | | 508,099 | |
| | | | | | | | | | | | |
| | | | 23,842,363 | |
| | | | | | | | | | | | |
|
Health Care REITs — 0.42% | |
DOC DR LLC | |
3.95% | | 01/15/28 | | | 1,223,000 | | | | 1,205,530 | |
4.30% | | 03/15/27 | | | 135,000 | | | | 134,896 | |
Healthcare Realty Holdings LP | |
3.50% | | 08/01/26 | | | 225,000 | | | | 221,332 | |
3.63% | | 01/15/28 | | | 911,000 | | | | 877,569 | |
3.88% | | 05/01/25 | | | 1,255,000 | | | | 1,243,724 | |
| | | | | | | | | | | | |
| | | | 3,683,051 | |
| | | | | | | | | | | | |
|
Hotel & Resort REITs — 0.08% | |
Host Hotels & Resorts LP, | |
Series H | |
3.38% | | 12/15/29 | | | 758,000 | | | | 706,628 | |
| | | | | | | | | | | | |
|
Industrial REITs — 0.19% | |
LXP Industrial Trust | |
6.75% | | 11/15/28 | | | 975,000 | | | | 1,044,245 | |
Prologis Euro Finance LLC | |
4.00% | | 05/05/34 | | | 500,000 | | | | 571,937 | |
See accompanying Notes to Financial Statements.
|
| 45 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Industrial REITs (continued) | |
Rexford Industrial Realty LP | |
2.15% | | 09/01/31 | | $ | 135,000 | | | $ | 113,921 | |
| | | | | | | | | | | | |
| | | | 1,730,103 | |
| | | | | | | | | | | | |
|
Industrials — 0.90% | |
Amcor Finance USA, Inc. | |
3.63% | | 04/28/26 | | | 1,950,000 | | | | 1,924,084 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., | | | | | |
Series REGS | |
(Canada) | |
2.13% | | 08/15/263 | | | 230,000 | | | | 222,597 | |
BAE Systems Holdings, Inc. | |
3.80% | | 10/07/241 | | | 630,000 | | | | 629,794 | |
Berry Global, Inc. | |
1.65% | | 01/15/27 | | | 95,000 | | | | 89,229 | |
4.88% | | 07/15/261 | | | 491,000 | | | | 489,707 | |
5.65% | | 01/15/341 | | | 25,000 | | | | 25,707 | |
Boeing Co. (The) | |
3.63% | | 02/01/31 | | | 1,800,000 | | | | 1,649,684 | |
6.53% | | 05/01/341 | | | 465,000 | | | | 499,035 | |
General Electric Co. | |
(MTN) | |
(CME Term SOFR 3-Month plus 0.74%) | |
5.86% | | 08/15/362 | | | 1,115,000 | | | | 1,053,208 | |
Honeywell International, Inc. | |
3.75% | | 03/01/36 | | | 555,000 | | | | 629,900 | |
4.13% | | 11/02/34 | | | 295,000 | | | | 348,554 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.38% | | 04/30/251,3 | | | 410,000 | | | | 406,523 | |
| | | | | | | | | | | | |
| | | | 7,968,022 | |
| | | | | | | | | | | | |
|
Information Technology — 0.46% | |
Apple, Inc. | |
3.25% | | 02/23/26 | | | 20,000 | | | | 19,826 | |
Open Text Corp. | |
(Canada) | |
6.90% | | 12/01/271,3 | | | 2,130,000 | | | | 2,248,777 | |
Uber Technologies, Inc. | |
4.30% | | 01/15/30 | | | 1,790,000 | | | | 1,784,184 | |
| | | | | | | | | | | | |
| | | | 4,052,787 | |
| | | | | | | | | | | | |
|
Insurance — 0.88% | |
Athene Global Funding | |
1.99% | | 08/19/281 | | | 2,255,000 | | | | 2,048,919 | |
3.21% | | 03/08/271 | | | 530,000 | | | | 509,841 | |
Equitable Financial Life Global Funding | |
1.30% | | 07/12/261 | | | 1,190,000 | | | | 1,132,112 | |
Metropolitan Life Global Funding I | |
3.30% | | 03/21/291 | | | 1,200,000 | | | | 1,158,387 | |
Nationwide Mutual Insurance Co. | |
7.50% | | 12/15/241,7 | | | 1,212,000 | | | | 1,215,398 | |
Trinity Acquisition PLC | |
(United Kingdom) | |
4.40% | | 03/15/263 | | | 1,385,000 | | | | 1,381,880 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Insurance (continued) | |
Willis North America, Inc. | |
2.95% | | 09/15/29 | | $ | 395,000 | | | $ | 366,838 | |
| | | | | | | | | | | | |
| | | | 7,813,375 | |
| | | | | | | | | | | | |
|
Materials — 0.28% | |
International Flavors & Fragrances, Inc. | |
1.23% | | 10/01/251 | | | 950,000 | | | | 917,448 | |
1.83% | | 10/15/271 | | | 605,000 | | | | 560,705 | |
2.30% | | 11/01/301 | | | 1,175,000 | | | | 1,030,923 | |
| | | | | | | | | | | | |
| | | | 2,509,076 | |
| | | | | | | | | | | | |
|
Office REITs — 0.24% | |
Hudson Pacific Properties LP | |
3.25% | | 01/15/30 | | | 320,000 | | | | 242,802 | |
3.95% | | 11/01/27 | | | 58,000 | | | | 52,588 | |
4.65% | | 04/01/29 | | | 1,325,000 | | | | 1,101,010 | |
Kilroy Realty LP | |
4.25% | | 08/15/29 | | | 721,000 | | | | 691,044 | |
| | | | | | | | | | | | |
| | | | 2,087,444 | |
| | | | | | | | | | | | |
|
Residential REITs — 0.23% | |
American Homes 4 Rent LP | |
3.63% | | 04/15/32 | | | 650,000 | | | | 601,177 | |
Invitation Homes Operating Partnership LP | |
2.00% | | 08/15/31 | | | 975,000 | | | | 818,802 | |
4.15% | | 04/15/32 | | | 535,000 | | | | 511,600 | |
5.50% | | 08/15/33 | | | 149,000 | | | | 154,183 | |
| | | | | | | | | | | | |
| | | | 2,085,762 | |
| | | | | | | | | | | | |
|
Retail — 0.12% | |
Ferrellgas LP/Ferrellgas Finance Corp. | |
5.88% | | 04/01/291 | | | 625,000 | | | | 585,650 | |
Michaels Cos., Inc. (The) | |
5.25% | | 05/01/281 | | | 405,000 | | | | 297,675 | |
Papa John’s International, Inc. | |
3.88% | | 09/15/291 | | | 195,000 | | | | 180,617 | |
| | | | | | | | | | | | |
| | | | 1,063,942 | |
| | | | | | | | | | | | |
|
Services — 0.21% | |
Global Payments, Inc. | |
5.30% | | 08/15/29 | | | 1,240,000 | | | | 1,276,352 | |
Worldline SA | |
(France) | |
0.00% | | 07/30/263,8 | | | 6,100 | | | | 620,307 | |
| | | | | | | | | | | | |
| | | | 1,896,659 | |
| | | | | | | | | | | | |
|
Specialized REITs — 0.83% | |
Annington Funding PLC | |
(EMTN) | |
(United Kingdom) | |
2.31% | | 10/06/323 | | | 660,000 | | | | 696,606 | |
3.18% | | 07/12/293 | | | 200,000 | | | | 242,738 | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
(EMTN) | |
(Luxembourg) | |
1.00% | | 05/04/283 | | | 425,000 | | | | 432,938 | |
1.75% | | 03/12/293 | | | 415,000 | | | | 426,343 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 46 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
|
Specialized REITs (continued) | |
CubeSmart LP | |
3.00% | | 02/15/30 | | $ | 220,000 | | | $ | 204,124 | |
4.38% | | 02/15/29 | | | 673,000 | | | | 669,656 | |
Extra Space Storage LP | |
2.20% | | 10/15/30 | | | 1,149,000 | | | | 1,007,402 | |
3.88% | | 12/15/27 | | | 915,000 | | | | 903,694 | |
3.90% | | 04/01/29 | | | 1,650,000 | | | | 1,612,382 | |
LEG Immobilien SE | |
(EMTN) | |
(Georgia) | |
0.88% | | 03/30/333 | | | 200,000 | | | | 178,493 | |
Realty Income Corp. | |
4.88% | | 07/06/30 | | | 820,000 | | | | 978,875 | |
| | | | | | | | | | | | |
| | | | 7,353,251 | |
| | | | | | | | | | | | |
|
Transportation — 0.10% | |
Canadian Pacific Railway Co. | |
(Canada) | |
1.35% | | 12/02/243 | | | 490,000 | | | | 486,891 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | 10/01/24 | | | 195,712 | | | | 195,712 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-2, Class A | |
4.63% | | 06/03/25 | | | 195,167 | | | | 193,867 | |
| | | | | | | | | | | | |
| | | | 876,470 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $181,596,269) | | | | 183,960,482 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 26.06%** | |
|
Non-Agency Commercial Mortgage-Backed — 2.85% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2018-PARK, Class A | |
4.23% | | 08/10/381,7 | | | 1,095,000 | | | | 1,051,549 | |
BX Trust, | |
Series 2019-OC11, Class A | |
3.20% | | 12/09/411 | | | 375,000 | | | | 348,936 | |
BXSC Commercial Mortgage Trust, | |
Series 2022-WSS, Class D | |
(CME Term SOFR 1-Month plus 3.19%) | |
8.29% | | 03/15/351,2 | | | 1,550,000 | | | | 1,546,997 | |
Century Plaza Towers, | |
Series 2019-CPT, Class A | |
2.87% | | 11/13/391 | | | 715,000 | | | | 640,260 | |
Citigroup Commercial Mortgage Trust, | |
Series 2016-GC36, Class A5 | |
3.62% | | 02/10/49 | | | 3,250,000 | | | | 3,176,352 | |
Citigroup Commercial Mortgage Trust, | |
Series 2016-GC37, Class A4 | |
3.31% | | 04/10/49 | | | 1,000,000 | | | | 978,934 | |
DC Office Trust, | |
Series 2019-MTC, Class A | |
2.97% | | 09/15/451 | | | 765,000 | | | | 679,422 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Frost CMBS DAC, | |
Series 2021-1X, Class EUA | |
(Ireland) | |
(3-Month Euribor plus 1.15%) | |
4.71% | | 11/20/332,3 | | $ | 1,313,884 | | | $ | 1,443,854 | |
GPMT Ltd., | |
Series 2021-FL4, Class AS | |
(Cayman Islands) | |
(CME Term SOFR 1-Month plus 1.81%) | |
6.73% | | 12/15/361,2,3 | | | 2,380,000 | | | | 2,320,997 | |
Houston Galleria Mall Trust, | |
Series 2015-HGLR, Class A1A2 | |
3.09% | | 03/05/371 | | | 3,000,000 | | | | 2,962,533 | |
Hudson Yards Mortgage Trust, | |
Series 2019-30HY, Class A | |
3.23% | | 07/10/391 | | | 760,000 | | | | 703,915 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class A | |
3.04% | | 12/10/411,7 | | | 765,000 | | | | 696,149 | |
JPMBB Commercial Mortgage Securities Trust, | |
Series 2015-C29, Class XA (IO) | |
0.67% | | 05/15/487 | | | 19,038,794 | | | | 39,163 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2016-NINE, Class A | |
2.95% | | 09/06/381,7 | | | 2,280,000 | | | | 2,197,417 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-OSB, Class A | |
3.40% | | 06/05/391 | | | 740,000 | | | | 682,613 | |
Last Mile Logistics Pan Euro Finance DAC, | |
Series 1A, Class A | |
(Ireland) | |
(3-Month Euribor plus 0.75%) | |
4.30% | | 08/17/331,2,3 | | | 2,338,773 | | | | 2,597,256 | |
MKT Mortgage Trust, | |
Series 2020-525M, Class A | |
2.69% | | 02/12/401 | | | 520,000 | | | | 447,277 | |
One Bryant Park Trust, | |
Series 2019-OBP, Class A | |
2.52% | | 09/15/541 | | | 960,000 | | | | 855,505 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2B | |
4.14% | | 01/05/431,7 | | | 45,000 | | | | 39,764 | |
Taurus UK DAC, | |
Series 2021-UK4X, Class D | |
(Ireland) | |
(SONIA plus 2.10%) | |
7.08% | | 08/17/312,3 | | | 447,596 | | | | 596,923 | |
Velocity Commercial Capital Loan Trust, | |
Series 2019-1, Class A | |
3.76% | | 03/25/491,7 | | | 1,291,880 | | | | 1,234,854 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-C26, Class XA (IO) | |
1.27% | | 02/15/487 | | | 22,003,422 | | | | 5,822 | |
| | | | | | | | | | | | |
| | | | 25,246,492 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 47 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed — 6.75% | | | | | |
| ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2005-HE2, Class M5 | | | | | |
(CME Term SOFR 1-Month plus 1.13%) | | | | | |
5.99% | | 04/25/352 | | $ | 1,421,009 | | | $ | 1,383,625 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W3, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 11/25/352 | | | 3,468,635 | | | | 3,371,753 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2004-HE9, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 1.09%) | | | | | |
5.94% | | 12/25/342 | | | 274,024 | | | | 253,775 | |
Banc of America Funding Trust, | | | | | |
Series 2003-2, Class 1A1 | | | | | |
6.50% | | 06/25/32 | | | 3,249 | | | | 3,319 | |
Banc of America Funding Trust, | | | | | |
Series 2014-R6, Class 2A11 | | | | | |
5.65% | | 07/26/361,7 | | | 1,700,000 | | | | 1,479,223 | |
Bear Stearns ALT-A Trust, | | | | | |
Series 2004-12, Class 1M1 | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
5.90% | | 01/25/352 | | | 651,143 | | | | 649,137 | |
Chase Mortgage Finance Trust, | | | | | |
Series 2024-3, Class A4 | | | | | |
6.00% | | 02/25/551,7 | | | 4,494,941 | | | | 4,550,915 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
Series 2005-2A, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.29%) | | | | | |
5.15% | | 05/25/361,2 | | | 30,099 | | | | 27,668 | |
CIM Trust, | | | | | |
Series 2021-R3, Class A1A | | | | | |
1.95% | | 06/25/571,7 | | | 1,766,317 | | | | 1,625,455 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2005-OPT1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.74%) | | | | | |
5.60% | | 02/25/352 | | | 3,088,807 | | | | 2,908,614 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2006-WFH1, Class M5 | | | | | |
(CME Term SOFR 1-Month plus 0.89%) | | | | | |
5.75% | | 01/25/362 | | | 569,536 | | | | 571,497 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2005-7, Class MV5 | | | | | |
(CME Term SOFR 1-Month plus 1.24%) | | | | | |
6.09% | | 11/25/352 | | | 3,273,033 | | | | 3,242,148 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | | | | | |
6.56% | | 08/25/347 | | | 47,568 | | | | 43,751 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2022-ATH2, Class A1 | | | | | |
4.55% | | 05/25/671,7 | | | 1,567,403 | | | | 1,553,576 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2003-CB3, Class AF1 (STEP-reset date 11/25/24) | | | | | |
3.38% | | 12/25/32 | | | 359,766 | | | | 348,586 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
| Series 2006-CB2, Class AF4 (STEP-reset date 11/25/24) | | | | | |
3.03% | | 12/25/36 | | $ | 320,260 | | | $ | 270,508 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.17%) | | | | | |
3.14% | | 04/25/372 | | | 91,068 | | | | 58,246 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.36%) | | | | | |
3.14% | | 04/25/372 | | | 1,082,129 | | | | 620,787 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2022-R01, Class 1M1 | | | | | |
(SOFR30A plus 1.00%) | | | | | |
6.28% | | 12/25/411,2 | | | 609,379 | | | | 608,397 | |
| Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2023-R08, Class 1M1 | | | | | |
(SOFR30A plus 1.50%) | | | | | |
6.78% | | 10/25/431,2 | | | 3,195,821 | | | | 3,206,685 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA3, Class A1 | | | | | |
5.76% | | 09/25/347 | | | 22,505 | | | | 23,108 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2022-DNA1, Class M1A | | | | | |
(SOFR30A plus 1.00%) | | | | | |
6.28% | | 01/25/421,2 | | | 1,160,236 | | | | 1,157,857 | |
GCAT Trust, | | | | | |
Series 2021-NQM5, Class A1 | | | | | |
1.26% | | 07/25/661,7 | | | 3,654,244 | | | | 3,063,839 | |
GSAA Home Equity Trust, | | | | | |
Series 2005-9, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.86%) | | | | | |
5.72% | | 08/25/352 | | | 1,331,602 | | | | 1,337,013 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2004-9, Class 5A7 | | | | | |
5.66% | | 08/25/347 | | | 3,877 | | | | 3,868 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2007-7, Class 2A1A | | | | | |
(CME Term SOFR 1-Month plus 2.11%) | | | | | |
6.97% | | 10/25/372 | | | 1,250,213 | | | | 1,169,953 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2005-OPT1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.74%) | | | | | |
5.60% | | 11/25/352 | | | 41,067 | | | | 40,658 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR7, Class A2 | | | | | |
(CME Term SOFR 1-Month plus 0.97%) | | | | | |
5.83% | | 09/25/342 | | | 6,312 | | | | 5,506 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR8, Class 2A2A | | | | | |
(CME Term SOFR 1-Month plus 0.91%) | | | | | |
5.77% | | 11/25/342 | | | 18,207 | | | | 16,598 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR11, Class 1A1 | | | | | |
3.23% | | 06/25/377 | | | 454,949 | | | | 396,820 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 48 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A3 | | | | | |
6.61% | | 02/25/28 | | $ | 16,441 | | | $ | 16,487 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A4 | | | | | |
6.75% | | 02/25/28 | | | 4,377 | | | | 4,390 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | | | | | |
6.49% | | 09/25/28 | | | 21,055 | | | | 20,961 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A3, Class 3A2 | | | | | |
5.02% | | 05/25/377 | | | 81,751 | | | | 71,832 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2021-INV5, Class A3 | | | | | |
3.00% | | 12/25/511,7 | | | 2,759,468 | | | | 2,545,243 | |
| MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2003-6, Class 4A2 | | | | | |
4.36% | | 01/25/347 | | | 21,548 | | | | 20,992 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2004-1, Class 4A1 | | | | | |
7.25% | | 10/25/327 | | | 3,740 | | | | 3,678 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2C | | | | | |
(CME Term SOFR 1-Month plus 0.47%) | | | | | |
5.33% | | 06/25/372 | | | 128,882 | | | | 128,466 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.61%) | | | | | |
5.47% | | 06/25/372 | | | 238,170 | | | | 238,161 | |
Mid-State Trust XI, | | | | | |
Series 11, Class A1 | | | | | |
4.86% | | 07/15/38 | | | 179,977 | | | | 179,220 | |
Morgan Stanley ABS Capital I Trust, | | | | | |
Series 2004-NC7, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
5.90% | | 07/25/342 | | | 100,674 | | | | 104,159 | |
Morgan Stanley ABS Capital I, Inc., Trust, | | | | | |
Series 2005-HE3, Class M5 | | | | | |
(CME Term SOFR 1-Month plus 1.15%) | | | | | |
6.00% | | 07/25/352 | | | 2,329,028 | | | | 2,283,843 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2007-B, Class 1AV1 | | | | | |
(CME Term SOFR 1-Month plus 0.33%) | | | | | |
5.19% | | 04/25/372 | | | 115,366 | | | | 115,372 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.79%) | | | | | |
5.64% | | 03/25/352 | | | 418,114 | | | | 430,298 | |
New York Mortgage Trust, | | | | | |
Series 2005-3, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | 02/25/362 | | | 192,536 | | | | 190,551 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
PRPM LLC, | | | | | |
| Series 2020-4, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.61% | | 10/25/251 | | $ | 1,831,377 | | | $ | 1,832,757 | |
PRPM LLC, | | | | | |
| Series 2021-11, Class A1 (STEP-reset date 10/25/24) | | | | | |
2.49% | | 11/25/261 | | | 1,039,720 | | | | 1,033,929 | |
PRPM LLC, | | | | | |
| Series 2021-6, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.79% | | 07/25/261 | | | 1,300,137 | | | | 1,294,647 | |
PRPM LLC, | | | | | |
| Series 2022-3, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.56% | | 06/25/271 | | | 1,785,822 | | | | 1,782,506 | |
RBSSP Resecuritization Trust, | | | | | |
Series 2009-12, Class 17A2 | | | | | |
6.21% | | 10/25/351,7 | | | 329,859 | | | | 330,203 | |
| Residential Asset Mortgage Products Trust, | | | | | |
Series 2003-SL1, Class A41 | | | | | |
8.00% | | 04/25/31 | | | 15,201 | | | | 11,941 | |
| Residential Asset Mortgage Products Trust, | | | | | |
Series 2004-SL1, Class A7 | | | | | |
7.00% | | 11/25/31 | | | 5,474 | | | | 4,848 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 2A1 | | | | | |
4.00% | | 12/25/347 | | | 10,041 | | | | 9,072 | |
Saxon Asset Securities Trust, | | | | | |
Series 2007-1, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.35%) | | | | | |
5.21% | | 01/25/472 | | | 3,729,966 | | | | 3,535,623 | |
Soundview Home Loan Trust, | | | | | |
Series 2005-OPT4, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.80%) | | | | | |
5.66% | | 12/25/352 | | | 4,500,000 | | | | 4,023,878 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-15, Class A | | | | | |
6.28% | | 10/25/347 | | | 487,427 | | | | 428,643 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR1, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.56% | | 04/19/352 | | | 211,580 | | | | 201,904 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.48%) | | | | | |
6.54% | | 02/25/362 | | | 191,272 | | | | 163,342 | |
Verus Securitization Trust, | | | | | |
Series 2023-4, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.81% | | 05/25/681 | | | 3,671,659 | | | | 3,698,217 | |
VOLT XCIX, LLC, | | | | | |
| Series 2021-NPL8, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.12% | | 04/25/511 | | | 568,537 | | | | 565,808 | |
VOLT XCVI LLC, | | | | | |
| Series 2021-NPL5, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.12% | | 03/27/511 | | | 271,805 | | | | 270,900 | |
See accompanying Notes to Financial Statements.
|
| 49 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A3 | |
(CME Term SOFR 1-Month plus 1.67%) | |
6.53% | | | | 10/25/452 | | $ | 294,037 | | | $ | 291,077 | |
| | | | | | | | | | | | |
| | | | 59,825,833 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.20% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KJ42, Class A1 | |
3.90% | | | | 07/25/29 | | | 1,817,668 | | | | 1,801,556 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 16.26% | |
Fannie Mae Pool 253974 | |
7.00% | | | | 08/01/31 | | | 432 | | | | 458 | |
Fannie Mae Pool 527247 | |
7.00% | | | | 09/01/26 | | | 2 | | | | 2 | |
Fannie Mae Pool 545191 | |
7.00% | | | | 09/01/31 | | | 324 | | | | 344 | |
Fannie Mae Pool 545646 | |
7.00% | | | | 09/01/26 | | | 1 | | | | 1 | |
Fannie Mae Pool 549740 | |
6.50% | | | | 10/01/27 | | | 700 | | | | 703 | |
Fannie Mae Pool 630599 | |
7.00% | | | | 05/01/32 | | | 1,530 | | | | 1,632 | |
Fannie Mae Pool 655928 | |
7.00% | | | | 08/01/32 | | | 950 | | | | 1,013 | |
Fannie Mae Pool 735207 | |
7.00% | | | | 04/01/34 | | | 526 | | | | 561 | |
Fannie Mae Pool 735861 | |
6.50% | | | | 09/01/33 | | | 22,863 | | | | 23,978 | |
Fannie Mae Pool 764388 | |
(RFUCCT6M plus 1.38%) | |
6.76% | | | | 03/01/342 | | | 5,838 | | | | 5,837 | |
Fannie Mae Pool 776708 | |
5.00% | | | | 05/01/34 | | | 49,204 | | | | 50,382 | |
Fannie Mae Pool 844773 | |
(RFUCCT1Y plus 1.56%) | |
5.81% | | | | 12/01/352 | | | 2,450 | | | | 2,479 | |
Fannie Mae Pool 889184 | |
5.50% | | | | 09/01/36 | | | 38,126 | | | | 39,636 | |
Fannie Mae Pool 890221 | |
5.50% | | | | 12/01/33 | | | 52,969 | | | | 55,067 | |
Fannie Mae Pool 939419 | |
(RFUCCT1Y plus 1.27%) | |
6.64% | | | | 05/01/372 | | | 18,226 | | | | 18,291 | |
Fannie Mae Pool AL0209 | |
4.50% | | | | 05/01/41 | | | 156,562 | | | | 158,611 | |
Fannie Mae Pool CA1710 | |
4.50% | | | | 05/01/48 | | | 6,924 | | | | 6,908 | |
Fannie Mae Pool CA1711 | |
4.50% | | | | 05/01/48 | | | 460,637 | | | | 459,558 | |
Fannie Mae Pool CA2208 | |
4.50% | | | | 08/01/48 | | | 6,178 | | | | 6,164 | |
Fannie Mae Pool CB2430 | |
3.00% | | | | 12/01/51 | | | 2,189,080 | | | | 1,964,832 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool FM2318 | |
3.50% | | | | 09/01/49 | | $ | 807,909 | | | $ | 764,738 | |
Fannie Mae Pool FS1598 | |
2.00% | | | | 04/01/52 | | | 2,858,532 | | | | 2,364,633 | |
Fannie Mae Pool FS2646 | |
3.00% | | | | 06/01/52 | | | 3,004,145 | | | | 2,716,057 | |
Fannie Mae Pool MA1527 | |
3.00% | | | | 08/01/33 | | | 9,982 | | | | 9,640 | |
Fannie Mae Pool MA1561 | |
3.00% | | | | 09/01/33 | | | 560,787 | | | | 541,511 | |
Fannie Mae Pool MA1608 | |
3.50% | | | | 10/01/33 | | | 483,843 | | | | 474,244 | |
Fannie Mae Pool MA3537 | |
4.50% | | | | 12/01/48 | | | 420,999 | | | | 420,013 | |
Fannie Mae Pool MA3811 | |
3.00% | | | | 10/01/49 | | | 385,982 | | | | 343,919 | |
Fannie Mae Pool MA4333 | |
2.00% | | | | 05/01/41 | | | 592,513 | | | | 516,181 | |
Fannie Mae Pool MA4512 | |
2.50% | | | | 01/01/52 | | | 1,933,548 | | | | 1,673,922 | |
Fannie Mae Pool MA4548 | |
2.50% | | | | 02/01/52 | | | 2,363,246 | | | | 2,045,191 | |
Fannie Mae Pool MA4733 | |
4.50% | | | | 09/01/52 | | | 8,508,614 | | | | 8,371,274 | |
Fannie Mae Pool MA5008 | |
4.50% | | | | 05/01/53 | | | 1,055,063 | | | | 1,037,535 | |
Fannie Mae REMICS, | |
Series 2001-52, Class YZ | |
6.50% | | | | 10/25/31 | | | 55,672 | | | | 57,801 | |
Fannie Mae REMICS, | |
Series 2003-124, Class TS | |
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap) | |
9.80% | | | | 01/25/342 | | | 1,671 | | | | 1,848 | |
Fannie Mae REMICS, | |
Series 2007-64, Class FA | |
(SOFR30A plus 0.58%) | |
5.86% | | | | 07/25/372 | | | 25,478 | | | | 25,411 | |
Fannie Mae REMICS, | |
Series 2008-50, Class SA (IO) | |
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap) | |
0.66% | | | | 11/25/362 | | | 404,552 | | | | 35,931 | |
Fannie Mae REMICS, | |
Series 2018-38, Class PA | |
3.50% | | | | 06/25/47 | | | 2,514 | | | | 2,463 | |
Fannie Mae REMICS, | |
Series 2018-43, Class CT | |
3.00% | | | | 06/25/48 | | | 163,155 | | | | 149,620 | |
Fannie Mae REMICS, | |
Series 2018-86, Class JA | |
4.00% | | | | 05/25/47 | | | 93,497 | | | | 92,999 | |
Fannie Mae Trust, | |
Series 2003-W6, Class 5T (IO) | |
(-1.00 X SOFR30A plus 8.04%, 0.55% Cap) | |
0.55% | | | | 09/25/422 | | | 5,137,792 | | | | 102,603 | |
Freddie Mac Gold Pool A25162 | |
5.50% | | | | 05/01/34 | | | 39,863 | | | | 41,484 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 50 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool A33262 | | | | | |
5.50% | | | 02/01/35 | | | $ | 19,945 | | | $ | 20,815 | |
Freddie Mac Gold Pool A68781 | | | | | |
5.50% | | | 10/01/37 | | | | 2,456 | | | | 2,577 | |
Freddie Mac Gold Pool C03813 | | | | | |
3.50% | | | 04/01/42 | | | | 453,603 | | | | 433,271 | |
Freddie Mac Gold Pool G01548 | | | | | |
7.50% | | | 07/01/32 | | | | 122,559 | | | | 134,403 | |
Freddie Mac Gold Pool G01644 | | | | | |
5.50% | | | 02/01/34 | | | | 26,800 | | | | 27,889 | |
Freddie Mac Gold Pool G02366 | | | | | |
6.50% | | | 10/01/36 | | | | 20,648 | | | | 22,324 | |
Freddie Mac Gold Pool G08844 | | | | | |
5.00% | | | 10/01/48 | | | | 124,914 | | | | 126,857 | |
Freddie Mac Pool SD5323 | | | | | |
4.00% | | | 01/01/54 | | | | 4,751,092 | | | | 4,564,639 | |
Freddie Mac Pool SD7503 | | | | | |
3.50% | | | 08/01/49 | | | | 2,154,419 | | | | 2,039,298 | |
Freddie Mac Pool SD8199 | | | | | |
2.00% | | | 03/01/52 | | | | 1,545,607 | | | | 1,278,556 | |
Freddie Mac Pool SD8347 | | | | | |
4.50% | | | 08/01/53 | | | | 2,502,125 | | | | 2,460,556 | |
Freddie Mac REMICS, | | | | | |
Series 2174, Class PN | | | | | |
6.00% | | | 07/15/29 | | | | 8,323 | | | | 8,506 | |
Freddie Mac REMICS, | | | | | |
Series 3460, Class SA (IO) | | | | | |
(-1.00 X SOFR30A plus 6.09%, 6.20% Cap) | |
0.74% | | | 06/15/38 | 2 | | | 359,359 | | | | 28,731 | |
Freddie Mac REMICS, | | | | | |
Series 4030, Class HS (IO) | | | | | |
(-1.00 X SOFR30A plus 6.50%, 6.61% Cap) | |
1.15% | | | 04/15/42 | 2 | | | 342,220 | | | | 41,501 | |
Ginnie Mae (TBA) | | | | | |
2.50% | | | 10/20/54 | | | | 3,900,000 | | | | 3,430,693 | |
4.00% | | | 10/20/54 | | | | 4,875,000 | | | | 4,713,830 | |
4.50% | | | 10/20/54 | | | | 8,950,000 | | | | 8,834,196 | |
5.00% | | | 10/20/54 | | | | 6,925,000 | | | | 6,937,153 | |
5.50% | | | 10/20/54 | | | | 5,100,000 | | | | 5,150,057 | |
Ginnie Mae I Pool 782810 | | | | | |
4.50% | | | 11/15/39 | | | | 283,602 | | | | 287,844 | |
Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.63% | | | 07/20/34 | 2 | | | 7,244 | | | | 7,317 | |
Ginnie Mae II Pool MA4454 | | | | | |
5.00% | | | 05/20/47 | | | | 11,210 | | | | 11,478 | |
Ginnie Mae II Pool MA4511 | | | | | |
4.00% | | | 06/20/47 | | | | 2,843 | | | | 2,780 | |
Ginnie Mae II Pool MA4588 | | | | | |
4.50% | | | 07/20/47 | | | | 98,384 | | | | 98,529 | |
Ginnie Mae II Pool MA4589 | | | | | |
5.00% | | | 07/20/47 | | | | 553,104 | | | | 565,721 | |
Ginnie Mae II Pool MA4838 | | | | | |
4.00% | | | 11/20/47 | | | | 257,494 | | | | 251,863 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool MA4901 | | | | | |
4.00% | | | 12/20/47 | | | $ | 209,846 | | | $ | 205,177 | |
Ginnie Mae II Pool MA5399 | | | | | |
4.50% | | | 08/20/48 | | | | 255,750 | | | | 255,561 | |
Ginnie Mae II Pool MA5530 | | | | | |
5.00% | | | 10/20/48 | | | | 3,066 | | | | 3,104 | |
Ginnie Mae II Pool MA6030 | | | | | |
3.50% | | | 07/20/49 | | | | 35,952 | | | | 33,336 | |
Ginnie Mae II Pool MA6080 | | | | | |
3.00% | | | 08/20/49 | | | | 19,098 | | | | 17,046 | |
Ginnie Mae II Pool MA6209 | | | | | |
3.00% | | | 10/20/49 | | | | 342,214 | | | | 305,459 | |
Ginnie Mae II Pool MA8347 | | | | | |
4.50% | | | 10/20/52 | | | | 4,945,712 | | | | 4,886,838 | |
Ginnie Mae, | | | | | |
Series 2023-134, Class F | | | | | |
(SOFR30A plus 1.00%) | | | | | |
6.35% | | | 08/20/53 | 2 | | | 788,238 | | | | 789,350 | |
Ginnie Mae, | | | | | |
Series 2024-30, Class AF | | | | | |
(SOFR30A plus 1.25%) | | | | | |
6.50% | | | 02/20/54 | 2 | | | 641,954 | | | | 644,997 | |
Ginnie Mae, | | | | | |
Series 2024-30, Class CF | | | | | |
(SOFR30A plus 1.25%) | | | | | |
6.50% | | | 02/20/54 | 2 | | | 1,523,633 | | | | 1,531,035 | |
UMBS (TBA) | | | | | |
2.00% | | | 10/01/54 | | | | 3,575,000 | | | | 2,953,828 | |
2.50% | | | 10/01/54 | | | | 5,975,000 | | | | 5,156,240 | |
3.00% | | | 10/01/54 | | | | 8,775,000 | | | | 7,875,729 | |
3.50% | | | 10/01/54 | | | | 12,725,000 | | | | 11,853,986 | |
4.00% | | | 10/01/54 | | | | 12,275,000 | | | | 11,791,199 | |
4.50% | | | 10/01/54 | | | | 12,875,000 | | | | 12,661,906 | |
5.00% | | | 10/01/54 | | | | 11,425,000 | | | | 11,418,373 | |
5.50% | | | 10/01/54 | | | | 5,725,000 | | | | 5,793,128 | |
| | | | | | | | | | | | | | |
| | | | 144,243,151 | |
| | | | | | | | | | | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $235,499,913) | | | | 231,117,032 | |
| | | | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.85%* | | | | | |
| |
California — 0.01% | | | | | |
| Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C | | | | | |
5.52% | | | 07/01/27 | | | | 50,000 | | | | 51,951 | |
| | | | | | | | | | | | | | |
| |
Florida — 0.06% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C | | | | | |
4.06% | | | 10/01/31 | | | | 280,000 | | | | 276,643 | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 245,000 | | | | 233,416 | |
| | | | | | | | | | | | | | |
| | | | 510,059 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 51 / Semi-Annual Report September 2024 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | | Principal Amount | | | Value |
| |
MUNICIPAL BONDS (continued) | | | | | |
| |
Massachusetts — 0.10% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | | 07/15/31 | | | $ | 908,843 | | | $ | 900,281 | |
| | | | | |
| |
Michigan — 0.08% | | | | | |
| University of Michigan Revenue Bonds, Series C | | | | | |
3.48% | | | 04/01/33 | | | | 750,000 | | | | 714,111 | |
| | | | | |
| |
New York — 0.60% | | | | | |
| City of New York General Obligation, Public Improvements, Series 2 | | | | | |
1.70% | | | 03/01/29 | | | | 250,000 | | | | 227,052 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | | 05/01/27 | | | | 1,465,000 | | | | 1,515,521 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3 | | | | | |
5.13% | | | 02/01/35 | | | | 718,000 | | | | 747,113 | |
5.15% | | | 02/01/36 | | | | 718,000 | | | | 744,855 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | | 590,000 | | | | 543,843 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D | | | | | |
5.50% | | | 03/15/30 | | | | 70,000 | | | | 71,499 | |
| New York State Urban Development Corp. Revenue Bonds, | | | | | |
Transit Improvements, Series B | | | | | |
2.01% | | | 03/15/30 | | | | 1,630,000 | | | | 1,465,119 | |
| | | | | |
| | | | 5,315,002 | |
| | | | | |
| |
Pennsylvania — 0.00% | | | | | |
| Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B | | | | | |
3.20% | | | 11/15/27 | | | | 40,000 | | | | 38,942 | |
| | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $7,589,968) | | | | 7,530,346 | |
| | | | | |
| |
U.S. TREASURY SECURITIES — 54.09% | | | | | |
U.S. Treasury Notes — 54.09% | | | | | |
U.S. Treasury Notes | | | | | |
3.50% | | | 09/30/26 | | | | 66,405,000 | | | | 66,220,830 | |
3.88% | | | 08/15/34 | | | | 82,690,000 | | | | 83,290,795 | |
U.S. Treasury Notes (WI) | | | | | |
3.38% | | | 09/30/29 | | | | 286,590,000 | | | | 285,772,772 | |
3.63% | | | 09/15/27 | | | | 37,445,000 | | | | 37,256,312 | |
4.00% | | | 08/31/26 | | | | 7,226,000 | | | | 7,236,726 | |
| | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $479,685,374) | | | | 479,777,435 | |
| | | | | |
| |
Total Bonds — 108.57% | | | | | |
(Cost $964,724,965) | | | | 962,953,398 | |
| | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | | | | Shares | | | Value |
|
COMMON STOCK — 0.06% | |
|
Communications — 0.06% | |
Intelsat Emergence SA3,4,5,9 | |
(Luxembourg) | | | | 15,282 | | | $ | 483,301 | |
| | | | | | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $511,544) | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 4.38% | |
|
Money Market Funds — 4.38% | |
Fidelity Investments Money Market Funds - Government | |
Portfolio | |
4.83%10,11 | | | | 1,327 | | | | 1,327 | |
TCW Central Cash Fund | |
0.04%10,12 | | | | 38,860,000 | | | | 38,860,000 | |
| | | | | | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $38,861,327) | | | | 38,861,327 | |
| | | | | | | | | | | | | | | | |
|
Total Investments - 113.01% | |
(Cost $1,004,097,836) | | | | 1,002,298,026 | |
| | | | | | | | | | | | | | | | |
| |
| Liabilities in Excess of Other Assets - (13.01)% | | | | (115,380,447 | ) |
| | | | | | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 886,917,579 | |
| | | | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,174,355, which is 0.25% of total net assets. |
| 6 | Payment-in-kind (“PIK”) security. |
| 7 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 9 | Non-income producing security. |
| 10 | Represents the current yield as of September 30, 2024. |
| 11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,327. |
| 12 | Affiliated investment. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 52 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EMTN): Euro Medium-Term Note
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(GBP): British Pound
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(NVS): Non-Voting Shares
(REIT): Real Estate Investment Trust
(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback
(SOFR): Secured Overnight Financing Rate
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(WI): When Issued
| | | | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
| | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | |
EUR 3,590,000 | | | USD 3,984,865 | | | | Citibank N.A. | | | | 10/11/24 | | | $ | 23,703 | |
EUR 379,000 | | | USD 412,006 | | | | Bank of America N.A. | | | | 10/11/24 | | | | 11,184 | |
EUR 499,000 | | | USD 543,972 | | | | Goldman Sachs International | | | | 10/11/24 | | | | 13,207 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 48,094 | |
| | | | | | | | | | | | | | | | |
| | | | |
USD 1,015,069 | | | EUR 917,000 | | | | Goldman Sachs International | | | | 10/11/24 | | | | (8,847) | |
USD 23,981,302 | | | EUR 22,047,000 | | | | Citibank N.A. | | | | 10/11/24 | | | | (636,219) | |
USD 324,996 | | | EUR 297,000 | | | | Bank of America N.A. | | | | 10/11/24 | | | | (6,632) | |
USD 1,336,745 | | | GBP 1,043,000 | | | | Citibank N.A. | | | | 10/11/24 | | | | (62,272) | |
USD 102,545 | | | GBP 79,000 | | | | Goldman Sachs International | | | | 10/11/24 | | | | (3,421) | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | (717,391) | |
| | | | | | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | | $ | (669,297) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | | 1,480 | | | | 12/31/24 | | | $ | 308,198,438 | | | $ | 822,358 | | | $ | 822,358 | |
U.S. Treasury Ten-Year Ultra Bond | | | 63 | | | | 12/19/24 | | | | 7,452,704 | | | | 21,057 | | | | 21,057 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 315,651,142 | | | | 843,415 | | | | 843,415 | |
| | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | |
U.S. Treasury Ultra Bond | | | 124 | | | | 12/19/24 | | | | (16,503,625) | | | | 146,173 | | | | 146,173 | |
U.S. Treasury Ten-Year Note | | | 92 | | | | 12/19/24 | | | | (10,513,875) | | | | 15,696 | | | | 15,696 | |
Euro-Bobl Future | | | 61 | | | | 12/06/24 | | | | (8,172,890) | | | | (64,723) | | | | (64,723) | |
Euro-Bund Future | | | 53 | | | | 12/06/24 | | | | (7,980,606) | | | | (51,283) | | | | (51,283) | |
Long Gilt Future | | | 1 | | | | 12/27/24 | | | | (132,029) | | | | 1,251 | | | | 1,251 | |
Euro-Buxl 30 Year | | | 1 | | | | 12/06/24 | | | | (152,095) | | | | (225) | | | | (225) | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (43,455,120) | | | | 46,889 | | | | 46,889 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 272,196,022 | | | $ | 890,304 | | | $ | 890,304 | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 53 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
|
BONDS – 112.06% | |
ASSET-BACKED SECURITIES — 4.04%** | |
AMMC CLO 30 Ltd., | |
Series 2024-30A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.68%) | |
6.97% | | | | 01/15/371,2,3 | | $ | 70,000 | | | $ | 70,328 | |
Apidos CLO XII, | |
Series 2013-12A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.08%) | |
6.38% | | | | 04/15/311,2,3 | | | 55,249 | | | | 55,289 | |
Dryden 72 CLO Ltd., | |
Series 2019-72A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
5.89% | | | | 05/15/321,2,3 | | | 75,000 | | | | 74,730 | |
FirstKey Homes Trust, | |
Series 2021-SFR2, Class E2 | |
2.36% | | | | 09/17/381 | | | 100,000 | | | | 93,381 | |
FirstKey Homes Trust, | |
Series 2022-SFR1, Class D | |
5.20% | | | | 05/19/391 | | | 70,000 | | | | 69,604 | |
GoldenTree Loan Management U.S. CLO 4 Ltd., | |
Series 2019-4A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | | | 04/24/311,2,3 | | | 88,902 | | | | 88,938 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | | | 01/17/731 | | | 26,077 | | | | 25,161 | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.42%) | |
6.72% | | | | 07/15/361,2,3 | | | 70,000 | | | | 70,131 | |
Palmer Square Loan Funding Ltd., | |
Series 2022-3A, Class A1BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.40%) | |
6.70% | | | | 04/15/311,2,3 | | | 115,000 | | | | 115,137 | |
Progress Residential Trust, | |
Series 2021-SFR11, Class E2 | |
3.53% | | | | 01/17/391 | | | 80,000 | | | | 73,573 | |
Regatta XIII Funding Ltd., | |
Series 2018-2A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
6.40% | | | | 07/15/311,2,3 | | | 57,813 | | | | 57,807 | |
Rockford Tower CLO Ltd., | |
Series 2019-2A, Class AR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.13%) | |
0.00% | | | | 08/20/321,2,3 | | | 70,000 | | | | 70,065 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | | | 05/10/374,5 | | | 31,781 | | | | 29,410 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | | 01/25/83 | 2 | | $ | 20,000 | | | $ | 20,600 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | | 04/26/83 | 2 | | | 20,000 | | | | 20,441 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | | 07/25/73 | 2 | | | 35,000 | | | | 35,843 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(SOFR90A plus 1.36%) | |
6.72% | | | 07/25/23 | 2 | | | 15,308 | | | | 15,262 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | | 07/26/83 | 2 | | | 20,000 | | | | 20,534 | |
SLM Student Loan Trust, | |
Series 2008-7, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | | 07/26/83 | 2 | | | 20,000 | | | | 20,327 | |
Vantage Data Centers Issuer LLC, | |
Series 2020-1A, Class A2 | |
1.65% | | | 09/15/45 | 1 | | | 85,000 | | | | 82,232 | |
Wachovia Student Loan Trust, | |
Series 2006-1, Class A6 | |
(SOFR90A plus 0.43%) | |
5.79% | | | 04/25/40 | 1,2 | | | 15,852 | | | | 15,642 | |
| | | | | | | | | | | | | | |
|
| Total Asset-Backed Securities | |
(Cost $1,108,271) | | | | 1,124,435 | |
| | | | | | | | | | | | | | |
|
| CORPORATES — 51.20%* | |
Banking — 8.36% | |
Bank of America Corp. | |
2.30% | | | 07/21/32 | 6 | | | 442,000 | | | | 382,878 | |
2.59% | | | 04/29/31 | 6 | | | 210,000 | | | | 190,780 | |
Bank of America Corp., | |
Series N | |
1.66% | | | 03/11/27 | 6 | | | 40,000 | | | | 38,455 | |
Bank of New York Mellon Corp. (The) | |
(MTN) | |
5.83% | | | 10/25/33 | 6 | | | 170,000 | | | | 184,193 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.80% | | | 05/24/32 | 3,6 | | | 155,000 | | | | 137,242 | |
JPMorgan Chase & Co. | |
1.58% | | | 04/22/27 | 6 | | | 205,000 | | | | 196,538 | |
1.95% | | | 02/04/32 | 6 | | | 365,000 | | | | 313,770 | |
2.96% | | | 01/25/33 | 6 | | | 135,000 | | | | 121,559 | |
PNC Financial Services Group, Inc. (The) | |
5.07% | | | 01/24/34 | 6 | | | 140,000 | | | | 142,367 | |
5.68% | | | 01/22/35 | 6 | | | 5,000 | | | | 5,307 | |
6.04% | | | 10/28/33 | 6 | | | 10,000 | | | | 10,816 | |
6.88% | | | 10/20/34 | 6 | | | 15,000 | | | | 17,194 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 54 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Banking (continued) | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
2.47% | | | 01/11/28 | 3,6 | | $ | 40,000 | | | $ | 38,102 | |
U.S. Bancorp | |
4.84% | | | 02/01/34 | 6 | | | 190,000 | | | | 190,002 | |
5.68% | | | 01/23/35 | 6 | | | 5,000 | | | | 5,303 | |
Wells Fargo & Co. | |
(MTN) | |
2.57% | | | 02/11/31 | 6 | | | 80,000 | | | | 72,698 | |
3.35% | | | 03/02/33 | 6 | | | 305,000 | | | | 279,118 | |
| | | | | | | | | | | | | | |
| | | | 2,326,322 | |
| | | | | | | | | | | | | | |
|
| Communications — 3.37% | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
2.30% | | | 02/01/32 | | | | 285,000 | | | | 229,850 | |
Cisco Systems, Inc. | |
5.05% | | | 02/26/34 | | | | 90,000 | | | | 94,562 | |
Comcast Corp. | |
1.95% | | | 01/15/31 | | | | 10,000 | | | | 8,684 | |
Discovery Communications LLC | |
3.63% | | | 05/15/30 | | | | 35,000 | | | | 31,515 | |
Fox Corp. | |
6.50% | | | 10/13/33 | | | | 65,000 | | | | 71,143 | |
Meta Platforms, Inc. | |
4.75% | | | 08/15/34 | | | | 100,000 | | | | 102,113 | |
Sprint Capital Corp. | |
8.75% | | | 03/15/32 | | | | 85,000 | | | | 105,642 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
4.74% | | | 03/20/25 | 1 | | | 9,375 | | | | 9,380 | |
5.15% | | | 03/20/28 | 1 | | | 87,500 | | | | 88,546 | |
T-Mobile USA, Inc. | |
2.55% | | | 02/15/31 | | | | 179,000 | | | | 159,621 | |
5.05% | | | 07/15/33 | | | | 35,000 | | | | 35,892 | |
| | | | | | | | | | | | | | |
| | | | 936,948 | |
| | | | | | | | | | | | | | |
|
Consumer Discretionary — 3.10% | |
Bacardi Ltd. | |
(Bermuda) | |
4.70% | | | 05/15/28 | 1,3 | | | 90,000 | | | | 89,993 | |
BAT Capital Corp. | |
4.39% | | | 08/15/37 | | | | 95,000 | | | | 86,470 | |
Choice Hotels International, Inc. | |
5.85% | | | 08/01/34 | | | | 40,000 | | | | 41,288 | |
Church & Dwight Co., Inc. | |
5.60% | | | 11/15/32 | | | | 20,000 | | | | 21,542 | |
Coca-Cola Co. (The) | |
4.65% | | | 08/14/34 | | | | 45,000 | | | | 46,062 | |
Constellation Brands, Inc. | |
2.88% | | | 05/01/30 | | | | 30,000 | | | | 27,687 | |
Diageo Capital BV | |
(Netherlands) | |
1.88% | | | 06/08/34 | 3 | | | 100,000 | | | | 100,342 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Consumer Discretionary (continued) | |
Imperial Brands Finance PLC | |
(United Kingdom) | |
4.25% | | | 07/21/25 | 1,3 | | $ | 30,000 | | | $ | 29,845 | |
JDE Peet’s NV | |
(Netherlands) | |
2.25% | | | 09/24/31 | 1,3 | | | 120,000 | | | | 100,616 | |
Kenvue, Inc. | |
4.90% | | | 03/22/33 | | | | 15,000 | | | | 15,536 | |
Philip Morris International, Inc. | |
5.75% | | | 11/17/32 | | | | 60,000 | | | | 64,494 | |
Reynolds American, Inc. | |
5.70% | | | 08/15/35 | | | | 50,000 | | | | 52,107 | |
WarnerMedia Holdings, Inc. | |
4.28% | | | 03/15/32 | | | | 210,000 | | | | 186,615 | |
| | | | | | | | | | | | | | |
| | | | 862,597 | |
| | | | | | | | | | | | | | |
|
| Diversified REITs — 1.75% | |
American Assets Trust LP | |
3.38% | | | 02/01/31 | | | | 25,000 | | | | 21,780 | |
6.15% | | | 10/01/34 | | | | 5,000 | | | | 5,058 | |
American Tower Corp. | |
2.30% | | | 09/15/31 | | | | 148,000 | | | | 127,537 | |
2.90% | | | 01/15/30 | | | | 15,000 | | | | 13,887 | |
5.65% | | | 03/15/33 | | | | 15,000 | | | | 15,850 | |
Crown Castle, Inc. | |
2.25% | | | 01/15/31 | | | | 120,000 | | | | 104,079 | |
3.30% | | | 07/01/30 | | | | 25,000 | | | | 23,388 | |
Digital Realty Trust LP | |
3.60% | | | 07/01/29 | | | | 10,000 | | | | 9,673 | |
Equinix, Inc. | |
2.50% | | | 05/15/31 | | | | 35,000 | | | | 30,931 | |
GLP Capital LP/GLP Financing II, Inc. | |
4.00% | | | 01/15/30 | | | | 35,000 | | | | 33,399 | |
5.30% | | | 01/15/29 | | | | 20,000 | | | | 20,364 | |
VICI Properties LP | |
5.13% | | | 05/15/32 | | | | 52,000 | | | | 52,295 | |
VICI Properties LP/VICI Note Co., Inc. | |
4.63% | | | 06/15/25 | 1 | | | 15,000 | | | | 14,929 | |
Weyerhaeuser Co. | |
3.38% | | | 03/09/33 | | | | 15,000 | | | | 13,712 | |
| | | | | | | | | | | | | | |
| | | | 486,882 | |
| | | | | | | | | | | | | | |
|
| Electric — 4.29% | |
Alliant Energy Finance LLC | |
1.40% | | | 03/15/26 | 1 | | | 90,000 | | | | 85,527 | |
5.95% | | | 03/30/29 | 1 | | | 35,000 | | | | 37,011 | |
Ameren Corp. | |
3.50% | | | 01/15/31 | | | | 50,000 | | | | 47,361 | |
Appalachian Power Co., | |
Series X | |
3.30% | | | 06/01/27 | | | | 20,000 | | | | 19,530 | |
Arizona Public Service Co. | |
6.35% | | | 12/15/32 | | | | 125,000 | | | | 137,503 | |
Berkshire Hathaway Energy Co. | |
1.65% | | | 05/15/31 | | | | 25,000 | | | | 21,174 | |
See accompanying Notes to Financial Statements.
|
| 55 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Electric (continued) | |
Black Hills Corp. | |
4.35% | | | 05/01/33 | | | $ | 36,000 | | | $ | 34,567 | |
Commonwealth Edison Co. | |
6.45% | | | 01/15/38 | | | | 20,000 | | | | 22,998 | |
Duke Energy Corp. | |
2.55% | | | 06/15/31 | | | | 35,000 | | | | 30,949 | |
Duke Energy Florida LLC | |
5.88% | | | 11/15/33 | | | | 110,000 | | | | 120,441 | |
Evergy Missouri West, Inc. | |
5.65% | | | 06/01/34 | 1 | | | 50,000 | | | | 52,979 | |
Eversource Energy | |
4.60% | | | 07/01/27 | | | | 30,000 | | | | 30,202 | |
5.13% | | | 05/15/33 | | | | 70,000 | | | | 71,383 | |
Exelon Corp. | |
5.30% | | | 03/15/33 | | | | 35,000 | | | | 36,569 | |
FirstEnergy Pennsylvania Electric Co. | |
4.00% | | | 04/15/25 | 1 | | | 75,000 | | | | 74,615 | |
FirstEnergy Transmission LLC | |
4.55% | | | 01/15/30 | 1 | | | 25,000 | | | | 25,227 | |
ITC Holdings Corp. | |
4.95% | | | 09/22/27 | 1 | | | 20,000 | | | | 20,298 | |
Jersey Central Power & Light Co. | |
2.75% | | | 03/01/32 | 1 | | | 90,000 | | | | 78,987 | |
Narragansett Electric Co. (The) | |
3.40% | | | 04/09/30 | 1 | | | 35,000 | | | | 33,300 | |
Oklahoma Gas and Electric Co. | |
5.40% | | | 01/15/33 | | | | 15,000 | | | | 15,793 | |
Public Service Co. of New Mexico | |
3.85% | | | 08/01/25 | | | | 40,000 | | | | 39,823 | |
Southwestern Electric Power Co. | |
5.30% | | | 04/01/33 | | | | 130,000 | | | | 134,198 | |
Southwestern Electric Power Co., | |
Series M | |
4.10% | | | 09/15/28 | | | | 15,000 | | | | 14,894 | |
Xcel Energy, Inc. | |
3.40% | | | 06/01/30 | | | | 10,000 | | | | 9,491 | |
| | | | | | | | | | | | | | |
| | | | 1,194,820 | |
| | | | | | | | | | | | | | |
|
| Energy — 2.72% | |
Aker BP ASA | |
(Norway) | |
3.10% | | | 07/15/31 | 1,3 | | | 67,000 | | | | 59,779 | |
Boston Gas Co. | |
3.76% | | | 03/16/32 | 1 | | | 25,000 | | | | 22,816 | |
CenterPoint Energy Resources Corp. | |
5.40% | | | 03/01/33 | | | | 130,000 | | | | 137,275 | |
East Ohio Gas Co. (The) | |
2.00% | | | 06/15/30 | 1 | | | 15,000 | | | | 13,071 | |
KeySpan Gas East Corp. | |
5.99% | | | 03/06/33 | 1 | | | 85,000 | | | | 89,247 | |
NiSource, Inc. | |
5.40% | | | 06/30/33 | | | | 75,000 | | | | 78,216 | |
Piedmont Natural Gas Co., Inc. | |
2.50% | | | 03/15/31 | | | | 10,000 | | | | 8,827 | |
5.40% | | | 06/15/33 | | | | 80,000 | | | | 83,875 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Energy (continued) | |
Plains All American Pipeline LP/PAA Finance Corp. | |
4.65% | | | 10/15/25 | | | $ | 30,000 | | | $ | 29,977 | |
Rockies Express Pipeline LLC | |
4.95% | | | 07/15/29 | 1 | | | 5,000 | | | | 4,786 | |
Southern Co. Gas Capital Corp. | |
4.95% | | | 09/15/34 | | | | 5,000 | | | | 5,053 | |
5.15% | | | 09/15/32 | | | | 20,000 | | | | 20,712 | |
5.75% | | | 09/15/33 | | | | 102,000 | | | | 109,706 | |
Southern Natural Gas Co. LLC | |
4.80% | | | 03/15/47 | 1 | | | 30,000 | | | | 26,806 | |
TransCanada PipeLines Ltd. | |
(Canada) | |
4.63% | | | 03/01/34 | 3 | | | 30,000 | | | | 29,624 | |
5.60% | | | 03/31/34 | 3 | | | 35,000 | | | | 36,761 | |
| | | | | | | | | | | | | | |
| | | | 756,531 | |
| | | | | | | | | | | | | | |
|
| Finance — 5.26% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | |
3.00% | | | 10/29/28 | 3 | | | 80,000 | | | | 75,601 | |
3.30% | | | 01/30/32 | 3 | | | 60,000 | | | | 54,115 | |
3.88% | | | 01/23/28 | 3 | | | 16,000 | | | | 15,738 | |
Air Lease Corp. | |
3.63% | | | 12/01/27 | | | | 26,000 | | | | 25,437 | |
4.63% | | | 10/01/28 | | | | 30,000 | | | | 30,123 | |
American Express Co. | |
6.49% | | | 10/30/31 | 6 | | | 100,000 | | | | 110,643 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/27 | 1,3 | | | 46,000 | | | | 42,949 | |
2.75% | | | 02/21/28 | 1,3 | | | 10,000 | | | | 9,339 | |
4.38% | | | 05/01/26 | 1,3 | | | 5,000 | | | | 4,956 | |
Citigroup, Inc. | |
2.52% | | | 11/03/32 | 6 | | | 225,000 | | | | 195,302 | |
2.56% | | | 05/01/32 | 6 | | | 70,000 | | | | 61,584 | |
3.06% | | | 01/25/33 | 6 | | | 32,000 | | | | 28,598 | |
Discover Financial Services | |
6.70% | | | 11/29/32 | | | | 25,000 | | | | 27,504 | |
Goldman Sachs Group, Inc. (The) | |
1.95% | | | 10/21/27 | 6 | | | 50,000 | | | | 47,677 | |
2.65% | | | 10/21/32 | 6 | | | 212,000 | | | | 186,425 | |
Intercontinental Exchange, Inc. | |
1.85% | | | 09/15/32 | | | | 50,000 | | | | 41,476 | |
Mastercard, Inc. | |
4.55% | | | 01/15/35 | | | | 80,000 | | | | 80,419 | |
Morgan Stanley | |
(MTN) | |
1.79% | | | 02/13/32 | 6 | | | 240,000 | | | | 203,301 | |
1.93% | | | 04/28/32 | 6 | | | 215,000 | | | | 182,506 | |
Nationwide Building Society | |
(United Kingdom) | |
1.50% | | | 10/13/26 | 1,3 | | | 25,000 | | | | 23,696 | |
Pipeline Funding Co. LLC | |
7.50% | | | 01/15/30 | 1 | | | 16,242 | | | | 17,560 | |
| | | | | | | | | | | | | | |
| | | | 1,464,949 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 56 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Food — 1.24% | |
General Mills, Inc. | |
4.95% | | | 03/29/33 | | | $ | 50,000 | | | $ | 51,336 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. | | | | | |
Sarl | |
(Luxembourg) | |
3.75% | | | 12/01/31 | 3 | | | 32,000 | | | | 29,439 | |
6.75% | | | 03/15/34 | 1,3 | | | 50,000 | | | | 55,413 | |
Kellanova | |
5.25% | | | 03/01/33 | | | | 30,000 | | | | 31,394 | |
Mondelez International, Inc. | |
0.75% | | | 03/17/33 | | | | 100,000 | | | | 91,513 | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | | | | 60,000 | | | | 53,369 | |
Smithfield Foods, Inc. | |
2.63% | | | 09/13/31 | 1 | | | 40,000 | | | | 33,925 | |
| | | | | | | | | | | | | | |
| | | | 346,389 | |
| | | | | | | | | | | | | | |
|
| Health Care — 8.43% | |
Alcon Finance Corp. | |
2.75% | | | 09/23/26 | 1 | | | 40,000 | | | | 38,830 | |
Amgen, Inc. | |
5.25% | | | 03/02/33 | | | | 165,000 | | | | 171,819 | |
Ascension Health, | |
Series B | |
2.53% | | | 11/15/29 | | | | 20,000 | | | | 18,603 | |
Barnabas Health, Inc., | |
Series 2012 | |
4.00% | | | 07/01/28 | | | | 15,000 | | | | 14,452 | |
Baxter International, Inc. | |
3.95% | | | 04/01/30 | | | | 10,000 | | | | 9,782 | |
Bayer U.S. Finance II LLC | |
4.38% | | | 12/15/28 | 1 | | | 45,000 | | | | 44,405 | |
Bayer U.S. Finance LLC | |
6.50% | | | 11/21/33 | 1 | | | 105,000 | | | | 114,027 | |
Becton Dickinson & Co. | |
3.70% | | | 06/06/27 | | | | 20,000 | | | | 19,758 | |
Bristol-Myers Squibb Co. | |
5.20% | | | 02/22/34 | | | | 135,000 | | | | 142,445 | |
Centene Corp. | |
3.00% | | | 10/15/30 | | | | 85,000 | | | | 76,123 | |
Cigna Group (The) | |
2.40% | | | 03/15/30 | | | | 105,000 | | | | 95,080 | |
CVS Health Corp. | |
3.25% | | | 08/15/29 | | | | 40,000 | | | | 37,829 | |
5.70% | | | 06/01/34 | | | | 150,000 | | | | 156,524 | |
DENTSPLY SIRONA, Inc. | |
3.25% | | | 06/01/30 | | | | 35,000 | | | | 32,150 | |
Elanco Animal Health, Inc. | |
6.65% | | | 08/28/28 | | | | 15,000 | | | | 15,587 | |
Elevance Health, Inc. | |
5.50% | | | 10/15/32 | | | | 60,000 | | | | 63,803 | |
Fresenius Medical Care U.S. Finance III, Inc. | |
1.88% | | | 12/01/26 | 1 | | | 20,000 | | | | 18,828 | |
GE HealthCare Technologies, Inc. | |
4.80% | | | 08/14/29 | | | | 65,000 | | | | 66,249 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Health Care (continued) | |
HCA, Inc. | |
3.63% | | | 03/15/32 | | | $ | 75,000 | | | $ | 69,432 | |
4.13% | | | 06/15/29 | | | | 65,000 | | | | 64,015 | |
| Health Care Service Corp. A Mutual Legal Reserve Co. | | | | | |
5.45% | | | 06/15/34 | 1 | | | 65,000 | | | | 67,628 | |
Humana, Inc. | |
3.70% | | | 03/23/29 | | | | 10,000 | | | | 9,734 | |
5.38% | | | 04/15/31 | | | | 150,000 | | | | 155,335 | |
Illumina, Inc. | |
2.55% | | | 03/23/31 | | | | 25,000 | | | | 21,766 | |
5.75% | | | 12/13/27 | | | | 15,000 | | | | 15,585 | |
IQVIA, Inc. | |
6.25% | | | 02/01/29 | | | | 35,000 | | | | 37,228 | |
Medtronic Global Holdings SCA | |
(Luxembourg) | |
4.50% | | | 03/30/33 | 3 | | | 20,000 | | | | 20,126 | |
Pfizer Investment Enterprises Pte Ltd. | |
(Slovenia) | |
4.75% | | | 05/19/33 | 3 | | | 35,000 | | | | 35,734 | |
Premier Health Partners, | |
Series G | |
2.91% | | | 11/15/26 | | | | 15,000 | | | | 14,262 | |
Providence St. Joseph Health Obligated Group, | |
Series H | |
2.75% | | | 10/01/26 | | | | 20,000 | | | | 19,386 | |
Regeneron Pharmaceuticals, Inc. | |
1.75% | | | 09/15/30 | | | | 20,000 | | | | 17,286 | |
Revvity, Inc. | |
2.55% | | | 03/15/31 | | | | 35,000 | | | | 30,654 | |
Roche Holdings, Inc. | |
4.59% | | | 09/09/34 | 1 | | | 65,000 | | | | 65,662 | |
5.59% | | | 11/13/33 | 1 | | | 100,000 | | | | 108,499 | |
Royalty Pharma PLC | |
(United Kingdom) | |
1.75% | | | 09/02/27 | 3 | | | 25,000 | | | | 23,304 | |
Smith & Nephew PLC | |
(United Kingdom) | |
2.03% | | | 10/14/30 | 3 | | | 30,000 | | | | 26,082 | |
STERIS Irish FinCo UnLtd Co. | |
(Ireland) | |
2.70% | | | 03/15/31 | 3 | | | 30,000 | | | | 26,736 | |
Stryker Corp. | |
3.38% | | | 09/11/32 | | | | 100,000 | | | | 112,911 | |
Thermo Fisher Scientific, Inc. | |
5.09% | | | 08/10/33 | | | | 34,000 | | | | 35,586 | |
UnitedHealth Group, Inc. | |
5.15% | | | 07/15/34 | | | | 170,000 | | | | 177,447 | |
Universal Health Services, Inc. | |
1.65% | | | 09/01/26 | | | | 35,000 | | | | 33,161 | |
Zoetis, Inc. | |
5.60% | | | 11/16/32 | | | | 20,000 | | | | 21,436 | |
| | | | | | | | | | | | | | |
| | | | 2,345,289 | |
| | | | | | | | | | | | | | |
|
| Health Care REITs — 0.19% | |
DOC DR LLC | |
4.30% | | | 03/15/27 | | | | 26,000 | | | | 25,980 | |
See accompanying Notes to Financial Statements.
|
| 57 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Health Care REITs (continued) | |
Healthcare Realty Holdings LP | |
3.10% | | | 02/15/30 | | | $ | 15,000 | | | $ | 13,793 | |
3.88% | | | 05/01/25 | | | | 4,000 | | | | 3,964 | |
Ventas Realty LP | |
4.13% | | | 01/15/26 | | | | 10,000 | | | | 9,955 | |
| | | | | | | | | | | | | | |
| | | | 53,692 | |
| | | | | | | | | | | | | | |
|
| Hotel & Resort REITs — 0.10% | |
Host Hotels & Resorts LP, | |
Series I | |
3.50% | | | 09/15/30 | | | | 30,000 | | | | 27,809 | |
| | | | | | | | | | | | | | |
|
| Industrial REITs — 0.84% | |
Americold Realty Operating Partnership LP | |
5.41% | | | 09/12/34 | | | | 45,000 | | | | 45,159 | |
LXP Industrial Trust | |
2.38% | | | 10/01/31 | | | | 25,000 | | | | 20,965 | |
2.70% | | | 09/15/30 | | | | 25,000 | | | | 22,254 | |
Prologis Euro Finance LLC | |
4.00% | | | 05/05/34 | | | | 100,000 | | | | 114,387 | |
Rexford Industrial Realty LP | |
2.13% | | | 12/01/30 | | | | 5,000 | | | | 4,334 | |
2.15% | | | 09/01/31 | | | | 30,000 | | | | 25,316 | |
| | | | | | | | | | | | | | |
| | | | 232,415 | |
| | | | | | | | | | | | | | |
|
| Industrials — 2.19% | |
Amcor Finance USA, Inc. | |
3.63% | | | 04/28/26 | | | | 25,000 | | | | 24,668 | |
5.63% | | | 05/26/33 | | | | 15,000 | | | | 15,835 | |
BAE Systems Holdings, Inc. | |
3.80% | | | 10/07/24 | 1 | | | 15,000 | | | | 14,995 | |
3.85% | | | 12/15/25 | 1 | | | 10,000 | | | | 9,904 | |
Berry Global, Inc. | |
1.57% | | | 01/15/26 | | | | 20,000 | | | | 19,254 | |
1.65% | | | 01/15/27 | | | | 20,000 | | | | 18,785 | |
5.65% | | | 01/15/34 | 1 | | | 85,000 | | | | 87,402 | |
Boeing Co. (The) | |
3.63% | | | 02/01/31 | | | | 100,000 | | | | 91,649 | |
4.88% | | | 05/01/25 | | | | 15,000 | | | | 14,957 | |
6.53% | | | 05/01/34 | 1 | | | 25,000 | | | | 26,830 | |
General Electric Co. | |
(MTN) | |
(CME Term SOFR 3-Month plus 0.64%) | |
5.88% | | | 05/05/26 | 2 | | | 10,000 | | | | 10,018 | |
Sealed Air Corp. | |
1.57% | | | 10/15/26 | 1 | | | 30,000 | | | | 28,188 | |
Smurfit Kappa Treasury ULC | |
(Ireland) | |
5.44% | | | 04/03/34 | 1,3 | | | 200,000 | | | | 208,647 | |
Sonoco Products Co. | |
3.13% | | | 05/01/30 | | | | 25,000 | | | | 23,302 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.63% | | | 04/28/26 | 1,3 | | | 15,000 | | | | 14,805 | |
| | | | | | | | | | | | | | |
| | | | 609,239 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Information Technology — 3.08% | |
Atlassian Corp. | |
5.50% | | | 05/15/34 | | | $ | 105,000 | | | $ | 110,002 | |
Broadcom, Inc. | |
2.60% | | | 02/15/33 | 1 | | | 65,000 | | | | 55,730 | |
3.42% | | | 04/15/33 | 1 | | | 20,000 | | | | 18,196 | |
Cadence Design Systems, Inc. | |
4.70% | | | 09/10/34 | | | | 110,000 | | | | 110,682 | |
Constellation Software, Inc. | |
(Canada) | |
5.46% | | | 02/16/34 | 1,3 | | | 100,000 | | | | 104,792 | |
Fiserv, Inc. | |
2.65% | | | 06/01/30 | | | | 20,000 | | | | 18,248 | |
5.63% | | | 08/21/33 | | | | 20,000 | | | | 21,184 | |
Micron Technology, Inc. | |
2.70% | | | 04/15/32 | | | | 15,000 | | | | 13,123 | |
Netflix, Inc. | |
3.63% | | | 06/15/25 | 1 | | | 20,000 | | | | 19,860 | |
Open Text Corp. | |
(Canada) | |
6.90% | | | 12/01/27 | 1,3 | | | 72,000 | | | | 76,015 | |
Oracle Corp. | |
2.88% | | | 03/25/31 | | | | 70,000 | | | | 63,701 | |
6.25% | | | 11/09/32 | | | | 90,000 | | | | 99,606 | |
Take-Two Interactive Software, Inc. | |
4.00% | | | 04/14/32 | | | | 65,000 | | | | 62,359 | |
Uber Technologies, Inc. | |
4.80% | | | 09/15/34 | | | | 85,000 | | | | 84,956 | |
| | | | | | | | | | | | | | |
| | | | 858,454 | |
| | | | | | | | | | | | | | |
|
| Insurance — 3.35% | |
Aon Corp. | |
2.80% | | | 05/15/30 | | | | 40,000 | | | | 36,845 | |
Aon Corp./Aon Global Holdings PLC | |
| | | |
2.60% | | | 12/02/31 | | | | 60,000 | | | | 53,040 | |
Athene Global Funding | |
1.61% | | | 06/29/26 | 1 | | | 5,000 | | | | 4,762 | |
Berkshire Hathaway Finance Corp. | |
2.00% | | | 03/18/34 | | | | 100,000 | | | | 102,329 | |
Brown & Brown, Inc. | |
4.20% | | | 03/17/32 | | | | 30,000 | | | | 28,799 | |
Equitable Financial Life Global Funding | |
1.30% | | | 07/12/26 | 1 | | | 25,000 | | | | 23,784 | |
Farmers Exchange Capital | |
7.05% | | | 07/15/28 | 1 | | | 20,000 | | | | 21,093 | |
Farmers Insurance Exchange | |
4.75% | | | 11/01/57 | 1,6 | | | 65,000 | | | | 53,538 | |
Marsh & McLennan Cos., Inc. | |
2.25% | | | 11/15/30 | | | | 30,000 | | | | 26,857 | |
Metropolitan Life Global Funding I | |
2.95% | | | 04/09/30 | 1 | | | 220,000 | | | | 205,344 | |
MMI Capital Trust I, | |
Series B | |
7.63% | | | 12/15/27 | | | | 50,000 | | | | 53,852 | |
Nationwide Mutual Insurance Co. | |
7.50% | | | 12/15/24 | 1,6 | | | 50,000 | | | | 50,140 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 58 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Insurance (continued) | |
New York Life Global Funding | |
5.00% | | | 01/09/34 | 1 | | $ | 160,000 | | | $ | 165,332 | |
New York Life Insurance Co. | |
5.88% | | | 05/15/33 | 1 | | | 65,000 | | | | 70,150 | |
Progressive Corp. (The) | |
3.20% | | | 03/26/30 | | | | 10,000 | | | | 9,533 | |
Willis North America, Inc. | |
5.35% | | | 05/15/33 | | | | 25,000 | | | | 25,750 | |
| | | | | | | | | | | | | | |
| | | | 931,148 | |
| | | | | | | | | | | | | | |
|
| Materials — 0.42% | |
Georgia-Pacific LLC | |
2.30% | | | 04/30/30 | 1 | | | 20,000 | | | | 18,069 | |
International Flavors & Fragrances, Inc. | |
2.30% | | | 11/01/30 | 1 | | | 95,000 | | | | 83,351 | |
3.27% | | | 11/15/40 | 1 | | | 20,000 | | | | 15,337 | |
| | | | | | | | | | | | | | |
| | | | 116,757 | |
| | | | | | | | | | | | | | |
|
| Office REITs — 0.32% | |
Hudson Pacific Properties LP | |
3.95% | | | 11/01/27 | | | | 25,000 | | | | 22,667 | |
Kilroy Realty LP | |
2.50% | | | 11/15/32 | | | | 40,000 | | | | 32,099 | |
3.05% | | | 02/15/30 | | | | 5,000 | | | | 4,475 | |
Piedmont Operating Partnership LP | |
2.75% | | | 04/01/32 | | | | 35,000 | | | | 28,424 | |
| | | | | | | | | | | | | | |
| | | | 87,665 | |
| | | | | | | | | | | | | | |
|
| Residential REITs — 0.68% | |
American Homes 4 Rent LP | |
2.38% | | | 07/15/31 | | | | 30,000 | | | | 25,848 | |
Essex Portfolio LP | |
2.65% | | | 03/15/32 | | | | 10,000 | | | | 8,714 | |
5.50% | | | 04/01/34 | | | | 70,000 | | | | 72,837 | |
Invitation Homes Operating Partnership LP | |
5.50% | | | 08/15/33 | | | | 70,000 | | | | 72,435 | |
UDR, Inc. | |
(MTN) | |
4.40% | | | 01/26/29 | | | | 10,000 | | | | 9,972 | |
| | | | | | | | | | | | | | |
| | | | 189,806 | |
| | | | | | | | | | | | | | |
|
| Retail — 0.07% | |
Starbucks Corp. | |
2.55% | | | 11/15/30 | | | | 20,000 | | | | 18,113 | |
| | | | | | | | | | | | | | |
|
| Services — 0.65% | |
Global Payments, Inc. | |
5.30% | | | 08/15/29 | | | | 60,000 | | | | 61,759 | |
5.95% | | | 08/15/52 | | | | 10,000 | | | | 10,311 | |
Moody’s Corp. | |
4.25% | | | 08/08/32 | | | | 20,000 | | | | 19,721 | |
Northwestern University | |
3.69% | | | 12/01/38 | | | | 20,000 | | | | 18,490 | |
RELX Capital, Inc. | |
3.00% | | | 05/22/30 | | | | 20,000 | | | | 18,735 | |
Republic Services, Inc. | |
2.90% | | | 07/01/26 | | | | 5,000 | | | | 4,900 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
CORPORATES (continued) | |
Services (continued) | |
S&P Global, Inc. | |
2.90% | | | 03/01/32 | | | $ | 10,000 | | | $ | 9,102 | |
Worldline SA | |
(France) | |
0.00% | | | 07/30/25 | 3,7 | | | 75 | | | | 9,362 | |
0.00% | | | 07/30/26 | 3,7 | | | 275 | | | | 27,965 | |
| | | | | | | | | | | | | | |
| | | | 180,345 | |
| | | | | | | | | | | | | | |
|
| Specialized REITs — 0.33% | |
CubeSmart LP | |
4.38% | | | 02/15/29 | | | | 15,000 | | | | 14,925 | |
Extra Space Storage LP | |
2.20% | | | 10/15/30 | | | | 40,000 | | | | 35,071 | |
NNN REIT, Inc. | |
5.60% | | | 10/15/33 | | | | 40,000 | | | | 41,911 | |
| | | | | | | | | | | | | | |
| | | | 91,907 | |
| | | | | | | | | | | | | | |
|
| Transportation — 0.46% | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | | 19,021 | | | | 17,792 | |
JetBlue Airways Pass-Through Trust, | |
Series 2019-1, Class AA | |
2.75% | | | 05/15/32 | | | | 26,160 | | | | 23,352 | |
Norfolk Southern Corp. | |
3.00% | | | 03/15/32 | | | | 15,000 | | | | 13,683 | |
Union Pacific Corp. | |
2.89% | | | 04/06/36 | | | | 20,000 | | | | 17,227 | |
United Airlines Pass-Through Trust, | |
Series 2023-1, Class A | |
5.80% | | | 01/15/36 | | | | 53,771 | | | | 56,525 | |
| | | | | | | | | | | | | | |
| | | | 128,579 | |
| | | | | | | | | | | | | | |
|
| Total Corporates | |
(Cost $14,031,476) | | | | 14,246,656 | |
| | | | | | | | | | | | | | |
|
| MORTGAGE-BACKED — 30.22%** | |
Non-Agency Commercial Mortgage-Backed — 8.73% | |
1211 Avenue of the Americas Trust, | |
Series 2015-1211, Class A1A2 | |
3.90% | | | 08/10/35 | 1 | | | 69,000 | | | | 67,775 | |
BFLD Mortgage Trust, | |
Series 2024-VICT, Class A | |
(CME Term SOFR 1-Month plus 1.89%) | |
6.99% | | | 07/15/41 | 1,2 | | | 39,000 | | | | 39,078 | |
BPR Trust, | |
Series 2022-OANA, Class A | |
(CME Term SOFR 1-Month plus 1.90%) | |
6.99% | | | 04/15/37 | 1,2 | | | 50,000 | | | | 50,229 | |
BX Trust, | |
Series 2019-OC11, Class C | |
3.86% | | | 12/09/41 | 1 | | | 79,000 | | | | 73,701 | |
BX Trust, | |
Series 2021-LBA, Class DV | |
(CME Term SOFR 1-Month plus 1.71%) | |
6.81% | | | 02/15/36 | 1,2 | | | 33,214 | | | | 32,399 | |
See accompanying Notes to Financial Statements.
|
| 59 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
Non-Agency Commercial Mortgage-Backed (continued) | |
BX Trust, | |
Series 2021-VIEW, Class A | |
(CME Term SOFR 1-Month plus 1.39%) | |
6.49% | | | 06/15/36 | 1,2 | | $ | 50,000 | | | $ | 49,064 | |
BX Trust, | |
Series 2023-DELC, Class B | |
(CME Term SOFR 1-Month plus 3.34%) | |
8.44% | | | 05/15/38 | 1,2 | | | 32,000 | | | | 32,359 | |
BXP Trust, | |
Series 2017-GM, Class B | |
3.54% | | | 06/13/39 | 1,6 | | | 100,000 | | | | 95,572 | |
CAMB Commercial Mortgage Trust, | |
Series 2019-LIFE, Class B | |
(CME Term SOFR 1-Month plus 1.55%) | |
6.64% | | | 12/15/37 | 1,2 | | | 67,000 | | | | 66,948 | |
CAMB Commercial Mortgage Trust, | |
Series 2019-LIFE, Class D | |
(CME Term SOFR 1-Month plus 2.05%) | |
7.14% | | | 12/15/37 | 1,2 | | | 33,000 | | | | 32,979 | |
Citigroup Commercial Mortgage Trust, | |
Series 2014-GC25, Class XA (IO) | |
0.77% | | | 10/10/47 | 6 | | | 87,867 | | | | 1 | |
Citigroup Commercial Mortgage Trust, | |
Series 2020-555, Class A | |
2.65% | | | 12/10/41 | 1 | | | 100,000 | | | | 88,439 | |
Commercial Mortgage Trust, | |
Series 2014-UBS3, Class XA (IO) | |
0.78% | | | 06/10/47 | 6 | | | 134,264 | | | | 3 | |
Commercial Mortgage Trust, | |
Series 2014-UBS5, Class XA (IO) | |
0.78% | | | 09/10/47 | 4,5,6 | | | 251,518 | | | | 3 | |
Commercial Mortgage Trust, | |
Series 2016-787S, Class A | |
3.55% | | | 02/10/36 | 1 | | | 35,000 | | | | 33,848 | |
Commercial Mortgage Trust, | |
Series 2024-277P, Class A | |
6.34% | | | 08/10/44 | 1 | | | 79,000 | | | | 83,079 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-B33, Class A2 | |
3.17% | | | 10/10/43 | 1 | | | 100,000 | | | | 88,821 | |
CSAIL Commercial Mortgage Trust, | |
Series 2015-C4, Class AS | |
4.17% | | | 11/15/48 | 6 | | | 50,000 | | | | 48,965 | |
CSAIL Commercial Mortgage Trust, | |
Series 2019-C18, Class A2 | |
2.84% | | | 12/15/52 | | | | 34,464 | | | | 34,386 | |
DOLP Trust, | |
Series 2021-NYC, Class A | |
2.96% | | | 05/10/41 | 1 | | | 106,000 | | | | 94,551 | |
Eleven Madison Mortgage Trust, | |
Series 2015-11MD, Class A | |
3.67% | | | 09/10/35 | 1,6 | | | 56,000 | | | | 54,528 | |
GS Mortgage Securities Corp. Trust, | |
Series 2020-UPTN, Class XA (IO) | |
0.45% | | | 02/10/37 | 1,6 | | | 375,000 | | | | 29 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2023-FUN, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.79%) | | | | | |
7.89% | | | 03/15/28 | 1,2 | | $ | 100,000 | | | $ | 100,394 | |
GS Mortgage Securities Trust, | | | | | |
Series 2010-C1, Class X (IO) | | | | | |
0.55% | | | 08/10/43 | 1,6 | | | 2,355,353 | | | | 6,725 | |
GS Mortgage Securities Trust, | | | | | |
Series 2011-GC5, Class XA (IO) | | | | | |
0.09% | | | 08/10/44 | 1,6 | | | 159,796 | | | | 2 | |
GWT, | | | | | |
Series 2024-WLF2, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.14%) | | | | | |
7.24% | | | 05/15/41 | 1,2 | | | 37,000 | | | | 37,114 | |
Houston Galleria Mall Trust, | | | | | |
Series 2015-HGLR, Class A1A2 | | | | | |
3.09% | | | 03/05/37 | 1 | | | 50,000 | | | | 49,376 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C22, Class XA (IO) | | | | | |
0.54% | | | 09/15/47 | 6 | | | 211,050 | | | | 3 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C25, Class XA (IO) | | | | | |
0.90% | | | 11/15/47 | 6 | | | 754,433 | | | | 13 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2010-C2, Class XB (IO) | | | | | |
1.41% | | | 11/15/43 | 1,6 | | | 425,656 | | | | 965 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2016-NINE, Class A | | | | | |
2.95% | | | 09/06/38 | 1,6 | | | 70,000 | | | | 67,465 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2022-ACB, Class A | | | | | |
(SOFR30A plus 1.40%) | | | | | |
6.74% | | | 03/15/39 | 1,2 | | | 100,000 | | | | 99,842 | |
Manhattan West Mortgage Trust, | | | | | |
Series 2020-1MW, Class B | | | | | |
2.41% | | | 09/10/39 | 1,6 | | | 100,000 | | | | 92,445 | |
MHC Commercial Mortgage Trust, | | | | | |
Series 2021-MHC, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.22%) | | | | | |
6.31% | | | 04/15/38 | 1,2 | | | 37,749 | | | | 37,559 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C19, Class XA (IO) | | | | | |
1.06% | | | 12/15/47 | 6 | | | 1,065,694 | | | | 26 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C22, Class XA (IO) | | | | | |
1.11% | | | 04/15/48 | 6 | | | 608,320 | | | | 533 | |
NRTH Mortgage Trust, | | | | | |
Series 2024-PARK, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.64%) | | | | | |
6.74% | | | 03/15/39 | 1,2 | | | 135,000 | | | | 135,279 | |
SCOTT Trust, | | | | | |
Series 2023-SFS, Class A | | | | | |
5.91% | | | 03/10/40 | 1 | | | 110,000 | | | | 113,510 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 60 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
| Non-Agency Commercial Mortgage-Backed (continued) | |
SMRT, | |
Series 2022-MINI, Class B | |
(CME Term SOFR 1-Month plus 1.35%) | |
6.45% | | | 01/15/39 | 1,2 | | $ | 33,000 | | | $ | 32,622 | |
SREIT Trust, | |
Series 2021-MFP, Class B | |
(CME Term SOFR 1-Month plus 1.19%) | |
6.29% | | | 11/15/38 | 1,2 | | | 47,843 | | | | 47,522 | |
SREIT Trust, | |
Series 2021-MFP2, Class C | |
(CME Term SOFR 1-Month plus 1.49%) | |
6.58% | | | 11/15/36 | 1,2 | | | 100,000 | | | | 99,220 | |
SREIT Trust, | |
Series 2021-PALM, Class C | |
(CME Term SOFR 1-Month plus 1.07%) | |
6.17% | | | 10/15/34 | 1,2 | | | 50,000 | | | | 49,355 | |
Taubman Centers Commercial Mortgage Trust, | |
Series 2022-DPM, Class A | |
(CME Term SOFR 1-Month plus 2.19%) | |
7.28% | | | 05/15/37 | 1,2 | | | 100,000 | | | | 100,376 | |
UBS Commercial Mortgage Trust, | |
Series 2019-C17, Class AS | |
3.20% | | | 10/15/52 | | | | 60,000 | | | | 54,026 | |
UBS-Barclays Commercial Mortgage Trust, | |
Series 2012-C3, Class XB (IO) | |
0.35% | | | 08/10/49 | 1,4,5,6 | | | 245,012 | | | | 252 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2014-LC18, Class XA (IO) | |
1.13% | | | 12/15/47 | 6 | | | 3,238,092 | | | | 81 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2015-NXS2, Class XA (IO) | |
0.72% | | | 07/15/58 | 6 | | | 1,961,894 | | | | 3,455 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2016-LC25, Class AS | |
4.01% | | | 12/15/59 | 6 | | | 52,000 | | | | 50,647 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2024-SVEN, Class A | |
6.01% | | | 06/10/37 | 1 | | | 100,000 | | | | 103,772 | |
WMRK Commercial Mortgage Trust, | |
Series 2022-WMRK, Class A | |
(CME Term SOFR 1-Month plus 2.79%) | |
7.89% | | | 11/15/27 | 1,2 | | | 80,000 | | | | 80,402 | |
| | | | | | | | | | | | | | |
| | | | 2,429,738 | |
| | | | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 5.77% | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-R11, Class M3 | |
(CME Term SOFR 1-Month plus 0.86%) | |
5.72% | | | 01/25/36 | 2 | | | 79,969 | | | | 78,181 | |
Asset-Backed Funding Certificates, | |
Series 2006-OPT1, Class A3D | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | | 09/25/36 | 2 | | | 55,000 | | | | 54,230 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Bear Stearns ARM Trust, | | | | | |
Series 2004-1, Class 12A5 | | | | | |
5.26% | | | 04/25/34 | 6 | | $ | 5,310 | | | $ | 4,759 | |
| Bombardier Capital Mortgage Securitization Corp., | | | | | |
Series 2000-A, Class A2 | | | | | |
7.58% | | | 06/15/30 | 6 | | | 19,426 | | | | 1,767 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2006-FRE1, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.26%) | | | | | |
5.12% | | | 04/25/36 | 2 | | | 61,952 | | | | 60,632 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2007-HE1, Class A4 | | | | | |
(CME Term SOFR 1-Month plus 0.40%) | | | | | |
5.26% | | | 06/25/37 | 2 | | | 85,000 | | | | 80,127 | |
CIM Trust, | | | | | |
Series 2021-R4, Class A1A | | | | | |
2.00% | | | 05/01/61 | 1,6 | | | 50,927 | | | | 45,992 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2005-OPT1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.74%) | | | | | |
5.60% | | | 02/25/35 | 2 | | | 33,237 | | | | 31,298 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2007-13, Class 2A1 | | | | | |
(CME Term SOFR 1-Month plus 1.01%) | | | | | |
5.87% | | | 10/25/47 | 2 | | | 16,493 | | | | 15,573 | |
CROSS Mortgage Trust, | | | | | |
| Series 2024-H6, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.13% | | | 09/25/69 | 1 | | | 100,000 | | | | 100,600 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2022-R01, Class 1M2 | | | | | |
(SOFR30A plus 1.90%) | | | | | |
7.18% | | | 12/25/41 | 1,2 | | | 50,000 | | | | 50,643 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2024-R01, Class 1M2 | | | | | |
(SOFR30A plus 1.80%) | | | | | |
7.08% | | | 01/25/44 | 1,2 | | | 50,000 | | | | 50,637 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2021-DNA6, Class M2 | | | | | |
(SOFR30A plus 1.50%) | | | | | |
6.78% | | | 10/25/41 | 1,2 | | | 50,000 | | | | 50,300 | |
GCAT Trust, | | | | | |
Series 2023-INV1, Class A7 | | | | | |
6.00% | | | 08/25/53 | 1,6 | | | 82,353 | | | | 83,422 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2005-AR6, Class 2A1 | | | | | |
5.20% | | | 09/25/35 | 6 | | | 7,690 | | | | 7,363 | |
Home Equity Asset Trust, | | | | | |
Series 2005-4, Class M6 | | | | | |
(CME Term SOFR 1-Month plus 1.19%) | | | | | |
4.31% | | | 10/25/35 | 2 | | | 72,944 | | | | 71,935 | |
Impac CMB Trust, | | | | | |
Series 2007-A, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.61%) | | | | | |
5.47% | | | 05/25/37 | 1,2 | | | 70,600 | | | | 67,136 | |
See accompanying Notes to Financial Statements.
|
| 61 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-FLX3, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | | 06/25/37 | 2 | | $ | 111,888 | | | $ | 102,837 | |
Long Beach Mortgage Loan Trust, | | | | | |
Series 2006-1, Class 1A | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
5.41% | | | 02/25/36 | 2 | | | 2,567 | | | | 2,526 | |
MFA Trust, | | | | | |
Series 2021-INV1, Class A3 | | | | | |
1.26% | | | 01/25/56 | 1,6 | | | 74,549 | | | | 71,458 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2004-5AR, Class 3A1 | | | | | |
5.84% | | | 07/25/34 | 6 | | | 7,686 | | | | 7,645 | |
New Residential Mortgage Loan Trust, | | | | | |
| Series 2022-NQM4, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.00% | | | 06/25/62 | 1 | | | 81,297 | | | | 80,829 | |
OBX Trust, | | | | | |
Series 2024-HYB1, Class A1 | | | | | |
3.60% | | | 03/25/53 | 1,6 | | | 75,999 | | | | 74,291 | |
OBX Trust, | | | | | |
| Series 2024-NQM14, Class A1 (STEP-reset date 11/25/24) | | | | | |
4.94% | | | 09/25/64 | 1 | | | 100,000 | | | | 99,915 | |
Saxon Asset Securities Trust, | | | | | |
Series 2007-2, Class A2A | | | | | |
(CME Term SOFR 1-Month plus 0.21%) | | | | | |
5.07% | | | 05/25/47 | 2 | | | 59,343 | | | | 42,697 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2004-AR1, Class 1A2 | | | | | |
(CME Term SOFR 1-Month plus 0.81%) | | | | | |
5.78% | | | 03/19/34 | 2 | | | 992 | | | | 938 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-BC6, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.27%) | | | | | |
5.13% | | | 01/25/37 | 2 | | | 102,813 | | | | 98,533 | |
Structured Asset Securities Corp., | | | | | |
Series 2005-WF1, Class M4 | | | | | |
(CME Term SOFR 1-Month plus 1.24%) | | | | | |
6.09% | | | 02/25/35 | 2 | | | 66,010 | | | | 66,722 | |
Verus Securitization Trust, | | | | | |
| Series 2023-4, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.81% | | | 05/25/68 | 1 | | | 93,742 | | | | 94,420 | |
| Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, | | | | | |
Series 2004-1, Class 2A1 | | | | | |
(CME Term SOFR 1-Month plus 0.71%) | | | | | |
5.57% | | | 04/25/34 | 2 | | | 9,399 | | | | 9,166 | |
| | | | | |
| | | | 1,606,572 | |
| | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.09% | |
Fannie Mae-Aces, | | | | | |
Series 2016-M2, Class X3 (IO) | | | | | |
2.04% | | | 04/25/36 | 6 | | | 41,489 | | | | 2 | |
Fannie Mae-Aces, | | | | | |
Series 2016-M4, Class X2 (IO) | | | | | |
2.72% | | | 01/25/39 | 6 | | | 248,474 | | | | 1,325 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K049, Class X3 (IO) | | | | | |
1.60% | | | 10/25/43 | 6 | | $ | 250,000 | | | $ | 3,042 | |
Ginnie Mae, | | | | | |
Series 2012-112, Class IO (IO) | | | | | |
0.11% | | | 02/16/53 | 6 | | | 1,656,945 | | | | 5,639 | |
Ginnie Mae, | | | | | |
Series 2013-1, Class IO (IO) | | | | | |
0.58% | | | 02/16/54 | 6 | | | 441,013 | | | | 5,066 | |
Ginnie Mae, | | | | | |
Series 2013-125, Class IO (IO) | | | | | |
0.24% | | | 10/16/54 | 6 | | | 648,117 | | | | 10,273 | |
| | | | | |
| | | | 25,347 | |
| | | | | |
| |
U.S. Agency Mortgage-Backed — 15.63% | | | | | |
Fannie Mae Pool BW9897 | | | | | |
4.50% | | | 10/01/52 | | | | 21,599 | | | | 21,264 | |
Fannie Mae REMICS, | | | | | |
Series 2011-116, Class SA (IO) | | | | | |
(-1.00 X SOFR30A plus 5.89%, 6.00% Cap) | | | | | |
0.61% | | | 11/25/41 | 2 | | | 43,979 | | | | 3,621 | |
Fannie Mae REMICS, | | | | | |
Series 2012-128, Class UA | | | | | |
2.50% | | | 06/25/42 | | | | 18,228 | | | | 16,020 | |
Fannie Mae REMICS, | | | | | |
Series 2013-5, Class GF | | | | | |
(SOFR30A plus 1.21%) | | | | | |
5.00% | | | 10/25/42 | 2 | | | 27,673 | | | | 25,671 | |
Fannie Mae REMICS, | | | | | |
Series 2024-73, Class FB | | | | | |
(SOFR30A plus 1.20%) | | | | | |
6.50% | | | 10/25/54 | 2 | | | 40,000 | | | | 40,192 | |
Freddie Mac Pool SD8189 | | | | | |
2.50% | | | 01/01/52 | | | | 41,443 | | | | 35,878 | |
Freddie Mac Pool SD8199 | | | | | |
2.00% | | | 03/01/52 | | | | 43,538 | | | | 36,015 | |
Freddie Mac REMICS, | | | | | |
Series 4064, Class TB | | | | | |
3.50% | | | 06/15/42 | | | | 98,618 | | | | 95,266 | |
Freddie Mac Strips, | | | | | |
Series 240, Class IO (IO) | | | | | |
5.50% | | | 07/15/36 | | | | 115,675 | | | | 22,554 | |
Ginnie Mae (TBA) | | | | | |
2.50% | | | 10/20/54 | | | | 100,000 | | | | 87,966 | |
4.00% | | | 10/20/54 | | | | 150,000 | | | | 145,041 | |
4.50% | | | 10/20/54 | | | | 250,000 | | | | 246,765 | |
5.00% | | | 10/20/54 | | | | 300,000 | | | | 300,527 | |
5.50% | | | 10/20/54 | | | | 100,000 | | | | 100,982 | |
Ginnie Mae II Pool MA8427 | | | | | |
4.50% | | | 11/20/52 | | | | 134,278 | | | | 132,679 | |
Ginnie Mae, | | | | | |
Series 2003-110, Class S (IO) | | | | | |
| (-1.00 X CME Term SOFR 1-Month plus 6.49%, 6.60% Cap) | | | | | |
1.52% | | | 10/20/33 | 2 | | | 134,240 | | | | 9,839 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 62 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae, | | | | | |
Series 2018-124, Class NW | | | | | |
3.50% | | | 09/20/48 | | | $ | 19,155 | | | $ | 17,913 | |
Ginnie Mae, | | | | | |
Series 2018-154, Class BP | | | | | |
3.50% | | | 11/20/48 | | | | 1,934 | | | | 1,858 | |
Ginnie Mae, | | | | | |
Series 2019-15, Class GT | | | | | |
3.50% | | | 02/20/49 | | | | 16,553 | | | | 15,581 | |
Ginnie Mae, | | | | | |
Series 2023-113, Class FD | | | | | |
(SOFR30A plus 1.35%) | | | | | |
6.50% | | | 08/20/53 | 2 | | | 43,982 | | | | 44,245 | |
UMBS (TBA) | | | | | |
2.00% | | | 10/01/54 | | | | 275,000 | | | | 227,218 | |
2.50% | | | 10/01/54 | | | | 250,000 | | | | 215,742 | |
3.00% | | | 10/01/54 | | | | 300,000 | | | | 269,256 | |
3.50% | | | 10/01/54 | | | | 500,000 | | | | 465,776 | |
4.00% | | | 10/01/54 | | | | 450,000 | | | | 432,264 | |
4.50% | | | 10/01/54 | | | | 825,000 | | | | 811,345 | |
5.00% | | | 10/01/54 | | | | 325,000 | | | | 324,811 | |
5.50% | | | 10/01/54 | | | | 200,000 | | | | 202,380 | |
| | | | | |
| | | | 4,348,669 | |
| | | | | |
Total Mortgage-Backed | | | | | |
(Cost $9,218,181) | | | | 8,410,326 | |
| | | | | |
| |
| MUNICIPAL BONDS — 1.65%* | | | | | |
California — 0.13% | | | | | |
| San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C | | | | | |
3.05% | | | 05/01/34 | | | | 20,000 | | | | 18,001 | |
| Santa Monica Community College District General Obligation Bonds | | | | | |
2.05% | | | 08/01/33 | | | | 20,000 | | | | 16,957 | |
| | | | | |
| | | | 34,958 | |
| | | | | |
| |
| Florida — 0.05% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D | | | | | |
3.50% | | | 10/01/31 | | | | 15,000 | | | | 14,291 | |
| | | | | |
| |
| Maryland — 0.23% | | | | | |
City of Baltimore Revenue Bonds, Series B | | | | | |
2.13% | | | 07/01/33 | | | | 15,000 | | | | 12,623 | |
| Maryland Economic Development Corp. Revenue Bonds, School Improvements | | | | | |
5.43% | | | 05/31/56 | | | | 50,000 | | | | 52,073 | |
| | | | | |
| | | | 64,696 | |
| | | | | |
| |
| Massachusetts — 0.08% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | | 07/15/31 | | | | 9,900 | | | | 9,807 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
MUNICIPAL BONDS (continued) | | | | | |
Massachusetts (continued) | | | | | |
| Massachusetts School Building Authority Revenue Bonds, Series B | | | | | |
2.97% | | | 10/15/32 | | | $ | 15,000 | | | $ | 13,683 | |
| | | | | |
| | | | 23,490 | |
| | | | | |
| |
| Michigan — 0.09% | | | | | |
University of Michigan Revenue Bonds, Series C | | | | | |
3.44% | | | 04/01/31 | | | | 25,000 | | | | 24,197 | |
| | | | | |
| |
| New York — 1.07% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 4,931 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.50% | | | 11/01/33 | | | | 50,000 | | | | 42,763 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | | 02/01/33 | | | | 100,000 | | | | 83,224 | |
| New York State Dormitory Authority Revenue Bonds, Series C | | | | | |
1.95% | | | 03/15/29 | | | | 75,000 | | | | 69,133 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | | 03/15/33 | | | | 50,000 | | | | 50,921 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B | | | | | |
2.97% | | | 03/15/34 | | | | 15,000 | | | | 13,247 | |
| New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F | | | | | |
2.00% | | | 03/15/33 | | | | 15,000 | | | | 12,434 | |
| New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B | | | | | |
2.59% | | | 03/15/35 | | | | 25,000 | | | | 21,285 | |
| | | | | |
| | | | 297,938 | |
| | | | | |
| |
| Total Municipal Bonds | | | | | |
(Cost $514,891) | | | | 459,570 | |
| | | | | |
| |
| U.S. TREASURY SECURITIES — 24.95% | | | | | |
U.S. Treasury Notes — 24.95% | | | | | |
U.S. Treasury Notes | | | | | |
3.50% | | | 09/30/26 | | | | 2,850,000 | | | | 2,842,096 | |
3.88% | | | 08/15/34 | | | | 739,000 | | | | 744,369 | |
U.S. Treasury Notes (WI) | | | | | |
3.38% | | | 09/30/29 | | | | 2,595,000 | | | | 2,587,600 | |
3.63% | | | 09/15/27 | | | | 450,000 | | | | 447,733 | |
4.00% | | | 08/31/26 | | | | 322,000 | | | | 322,478 | |
| | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
(Cost $6,957,612) | | | | 6,944,276 | |
| | | | | |
| |
| Total Bonds — 112.06% | | | | | |
(Cost $31,830,431) | | | | 31,185,263 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 63 / Semi-Annual Report September 2024 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
SHORT-TERM INVESTMENTS — 1.55% | | | | | |
Money Market Funds — 1.55% | | | | | |
TCW Central Cash Fund | | | | | |
0.04%8,9 | | | | | | | | | 430,000 | | | $ | 430,000 | |
| | | | | | | | | | | | | | |
| |
Total Short-Term Investments (Cost $430,000) | | | | | |
| |
Total Investments - 113.61% (Cost $32,260,431) | | | | 31,615,263 | |
| | | | | | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets - (13.61)% | | | | (3,787,873 | ) |
| | | | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 27,827,390 | |
| | | | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $29,665, which is 0.11% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 8 | Represents the current yield as of September 30, 2024. |
| * | 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
(IO): Interest Only
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(S&P): Standard & Poor’s
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(WI): When Issued
| | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | | Unrealized (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 120,892 | | EUR 110,400 | | Bank of America N.A. | | | 10/11/24 | | | $ | (2,380) | |
USD 397,630 | | EUR 360,000 | | Goldman Sachs International | | | 10/11/24 | | | | (4,343) | |
USD 28,478 | | EUR 26,000 | | Citibank N.A. | | | 10/11/24 | | | | (553) | |
| | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | $ | (7,276) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | 51 | | 12/31/24 | | $ | 10,620,352 | | | $ | 23,368 | | | $ | 23,368 | |
U.S. Treasury Five-Year Note | | 8 | | 12/31/24 | | | 879,062 | | | | 2,276 | | | | 2,276 | |
| | | | | | | | | | | | |
| | | 11,499,414 | | | | 25,644 | | | | 25,644 | |
| | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | 16 | | 12/19/24 | | | (1,892,750) | | | | 2,428 | | | | 2,428 | |
U.S. Treasury Ultra Bond | | 5 | | 12/19/24 | | | (665,469) | | | | 8,554 | | | | 8,554 | |
Euro-Bund Future | | 4 | | 12/06/24 | | | (602,310) | | | | (3,510) | | | | (3,510) | |
| | | | | | | | | | | | |
| | | (3,160,529) | | | | 7,472 | | | | 7,472 | |
| | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | $ | 8,338,885 | | | $ | 33,116 | | | $ | 33,116 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 64 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | 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 | | | 12/20/53 | | |
| USD-SOFR-
COMPOUND |
| | Annual | | 3.52% | | Annual | | $ | 69 | | | $ | (1,702) | | | $ | — | | | $ | (1,702) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | $ | 69 | | | $ | (1,702) | | | $ | — | | | $ | (1,702) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 65 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
BONDS – 108.05% | | | | | |
ASSET-BACKED SECURITIES — 8.46%** | | | | | |
Access Group, Inc., | | | | | |
Series 2015-1, Class A | | | | | |
(SOFR30A plus 0.81%) | | | | | |
6.09% | | | 07/25/56 | 1,2 | | $ | 613,893 | | | $ | 610,938 | |
AmeriCredit Automobile Receivables Trust, | | | | | |
Series 2020-3, Class D | | | | | |
1.49% | | | 09/18/26 | | | | 2,587,000 | | | | 2,537,020 | |
Barings CLO Ltd., | | | | | |
Series 2018-4A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.45% | | | 10/15/30 | 1,2,3 | | | 5,981,176 | | | | 5,986,499 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-N2, Class D | | | | | |
1.27% | | | 03/10/28 | | | | 875,058 | | | | 838,986 | |
Domino’s Pizza Master Issuer LLC, | | | | | |
Series 2015-1A, Class A2II | | | | | |
4.47% | | | 10/25/45 | 2 | | | 3,617,250 | | | | 3,603,748 | |
Domino’s Pizza Master Issuer LLC, | | | | | |
Series 2018-1A, Class A2I | | | | | |
4.12% | | | 07/25/48 | 2 | | | 2,145,140 | | | | 2,128,976 | |
Exeter Automobile Receivables Trust, | | | | | |
Series 2022-1A, Class D | | | | | |
3.02% | | | 06/15/28 | | | | 2,669,000 | | | | 2,615,522 | |
Flagship Credit Auto Trust, | | | | | |
Series 2019-4, Class D | | | | | |
3.12% | | | 01/15/26 | 2 | | | 827,289 | | | | 823,882 | |
Goal Capital Funding Trust, | | | | | |
Series 2006-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
5.78% | | | 08/25/42 | 1 | | | 915,976 | | | | 877,075 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | | 01/17/73 | 2 | | | 2,466,465 | | | | 2,379,855 | |
LCM XXIV Ltd., | | | | | |
Series 24A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.24%) | | | | | |
6.52% | | | 03/20/30 | 1,2,3 | | | 1,104,498 | | | | 1,104,057 | |
Madison Park Funding XVII Ltd., | | | | | |
Series 2015-17A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.26%) | | | | | |
6.54% | | | 07/21/30 | 1,2,3 | | | 7,516,820 | | | | 7,520,127 | |
Madison Park Funding XXIV Ltd., | | | | | |
Series 2016-24A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.12%) | | | | | |
6.40% | | | 10/20/29 | 1,2,3 | | | 4,379,626 | | | | 4,378,663 | |
Navient Private Education Refi Loan Trust, | | | | | |
Series 2021-CA, Class A | | | | | |
1.06% | | | 10/15/69 | 2 | | | 734,344 | | | | 662,387 | |
Navient Private Education Refi Loan Trust, | | | | | |
Series 2021-FA, Class A | | | | | |
1.11% | | | 02/18/70 | 2 | | | 3,625,481 | | | | 3,230,283 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Nelnet Student Loan Trust, | | | | | |
Series 2013-1A, Class A | | | | | |
(SOFR30A plus 0.71%) | | | | | |
5.99% | | 06/25/411,2 | | $ | 892,643 | | | $ | 887,281 | |
NYACK Park CLO Ltd., | | | | | |
Series 2021-1A, Class X | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 0.91%) | | | | | |
6.19% | | 10/20/341,2,3 | | | 753,348 | | | | 750,568 | |
OCP CLO Ltd., | | | | | |
Series 2014-6A, Class A1R2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.44% | | 10/17/301,2,3 | | | 4,120,233 | | | | 4,129,380 | |
Octagon Investment Partners XVII Ltd., | | | | | |
Series 2013-1A, Class BR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.66%) | | | | | |
6.95% | | 01/25/311,2,3 | | | 1,310,000 | | | | 1,310,603 | |
Palmer Square Loan Funding Ltd., | | | | | |
Series 2021-2A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.06%) | | | | | |
6.19% | | 05/20/291,2,3 | | | 110,112 | | | | 110,098 | |
Palmer Square Loan Funding Ltd., | | | | | |
Series 2022-3A, Class A1BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.40%) | | | | | |
6.70% | | 04/15/311,2,3 | | | 6,060,000 | | | | 6,067,211 | |
Reese Park CLO Ltd., | | | | | |
Series 2020-1A, Class XR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.16%) | | | | | |
6.46% | | 10/15/341,2,3 | | | 791,666 | | | | 791,294 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-3A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.45%) | | | | | |
6.73% | | 10/20/301,2,3 | | | 840,984 | | | | 841,582 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2018-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.36%) | | | | | |
6.49% | | 05/20/311,2,3 | | | 763,547 | | | | 764,417 | |
Santander Bank Auto Credit-Linked Notes, | | | | | |
Series 2022-B, Class E | | | | | |
8.68% | | 08/16/322 | | | 462,676 | | | | 464,456 | |
Santander Drive Auto Receivables Trust, | | | | | |
Series 2021-3, Class D | | | | | |
1.33% | | 09/15/27 | | | 4,559,409 | | | | 4,481,009 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | 05/10/374,5 | | | 5,402,733 | | | | 4,999,639 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class A4 | | | | | |
(SOFR90A plus 1.91%) | | | | | |
7.27% | | 07/25/221 | | | 1,562,506 | | | | 1,568,544 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 66 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(SOFR90A plus 1.36%) | | | | | |
6.72% | | | 07/25/23 | 1 | | $ | 1,276,679 | | | $ | 1,272,813 | |
SLM Student Loan Trust, | | | | | |
Series 2012-2, Class A | | | | | |
(SOFR30A plus 0.81%) | | | | | |
6.09% | | | 01/25/29 | 1 | | | 1,281,515 | | | | 1,251,055 | |
SLM Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(SOFR30A plus 0.71%) | | | | | |
5.99% | | | 02/26/29 | 1 | | | 2,311,237 | | | | 2,245,859 | |
| Student Loan Consolidation Center Student Loan Trust I, | | | | | |
Series 2002-2, Class B2 | | | | | |
(28 Day Auction Rate plus 0.00%) | | | | | |
1.61% | | | 07/01/42 | 1,2 | | | 2,800,000 | | | | 2,587,822 | |
Vantage Data Centers Issuer LLC, | | | | | |
Series 2020-1A, Class A2 | | | | | |
1.65% | | | 09/15/45 | 2 | | | 2,780,000 | | | | 2,689,479 | |
Voya CLO Ltd., | | | | | |
Series 2015-3A, Class A1R3 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.43% | | | 10/20/31 | 1,2,3 | | | 5,258,826 | | | | 5,255,303 | |
Voya CLO, | | | | | |
Series 2017-2A, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.24%) | | | | | |
6.54% | | | 06/07/30 | 1,2,3 | | | 2,574,983 | | | | 2,573,927 | |
World Omni Auto Receivables Trust, | | | | | |
Series 2021-D, Class B | | | | | |
1.52% | | | 11/15/27 | | | | 5,325,000 | | | | 5,131,413 | |
| | | | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $89,407,608) | | | | 89,471,771 | |
| | | | | | | | | | | | | | |
| |
BANK LOANS — 1.25%* | | | | | |
| |
Communications — 0.26% | | | | | |
CCI Buyer, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.60% | | | 12/17/27 | 1 | | | 66,883 | | | | 66,873 | |
Charter Communications Operating LLC, | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
7.08% | | | 02/01/27 | 1 | | | 2,222,429 | | | | 2,222,196 | |
Numericable U.S. LLC, | | | | | |
Term Loan B14, 1st Lien | | | | | |
(SOFR plus 5.50%) | | | | | |
10.80% | | | 08/15/28 | 1 | | | 74,737 | | | | 56,240 | |
Research Now LLC, | | | | | |
Term Loan | | | | | |
(SOFR plus 5.50%) | | | | | |
10.38% | | | 04/22/25 | 1 | | | 21,680 | | | | 21,770 | |
Virgin Media Bristol LLC, | | | | | |
Term Loan Y, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.66% | | | 03/31/31 | 1 | | | 33,750 | | | | 32,278 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications (continued) | | | | | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | | | | | | 03/09/271 | | | $ | 431,905 | | | $ | 395,778 | |
| | | | | |
| | | | | | | | | | | | | | | 2,795,135 | |
| | | | | |
| |
Consumer Discretionary — 0.08% | | | | | |
BrewCo Borrower LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
9.06% | | | | | | | 04/05/281 | | | | 74,106 | | | | 60,767 | |
(SOFR plus 6.25%) | | | | | |
11.55% | | | | | | | 04/05/281 | | | | 30,850 | | | | 27,302 | |
City Brewing Co. LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.56% | | | | | | | 04/05/281,6 | | | | 111,438 | | | | 58,784 | |
Hilton Worldwide Finance LLC, | | | | | |
Term Loan B4, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.57% | | | | | | | 11/08/301 | | | | 39,190 | | | | 39,226 | |
Naked Juice, LLC, | | | | | |
Term Loan, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 3.35%) | | | | | |
8.32% | | | | | | | 01/24/291,3 | | | | 684,089 | | | | 562,236 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.10%) | | | | | |
10.70% | | | | | | | 01/24/301 | | | | 136,414 | | | | 84,840 | |
Osmosis Buyer Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.34% | | | | | | | 07/31/281 | | | | 7,726 | | | | 7,725 | |
| | | | | |
| | | | | | | | | | | | | | | 840,880 | |
| | | | | |
| |
Diversified REITs — 0.01% | | | | | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.71% | | | | | | | 01/25/311 | | | | 62,055 | | | | 62,142 | |
| | | | | | | | | | | | | | | | |
| |
Electric — 0.02% | | | | | |
Alpha Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | | | | | | 09/19/311 | | | | 90,776 | | | | 90,906 | |
Edgewater Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | | | | | | 08/01/301 | | | | 31,512 | | | | 31,827 | |
Lackawanna Energy Center LLC, | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | | | | | | 08/06/291 | | | | 15,127 | | | | 15,260 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | | | | | | 08/06/291 | | | | 3,306 | | | | 3,334 | |
See accompanying Notes to Financial Statements.
|
| 67 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Electric (continued) | | | | | |
South Field Energy LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | | 08/29/31 | 1 | | $ | 24,929 | | | $ | 25,048 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | | 08/29/31 | 1 | | | 1,529 | | | | 1,536 | |
Vistra Operations Co. LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | | 12/20/30 | 1 | | | 18,502 | | | | 18,525 | |
| | | | | | | | | | | | | | |
| | | | 186,436 | |
| | | | | | | | | | | | | | |
| |
Entertainment — 0.04% | | | | | |
Showtime Acquisition LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.85% | | | 08/13/31 | 1 | | | 99,515 | | | | 99,111 | |
William Morris Endeavor Entertainment LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.86%) | | | | | |
7.71% | | | 05/18/25 | 1 | | | 303,408 | | | | 303,977 | |
| | | | | | | | | | | | | | |
| | | | 403,088 | |
| | | | | | | | | | | | | | |
| |
Finance — 0.05% | | | | | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B6, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.96% | | | 06/22/28 | 1 | | | 234,513 | | | | 235,273 | |
Deerfield Dakota Holding LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | | 04/09/27 | 1 | | | 172,070 | | | | 168,811 | |
Jane Street Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.61%) | | | | | |
7.65% | | | 01/26/28 | 1 | | | 115,543 | | | | 115,569 | |
| | | | | | | | | | | | | | |
| | | | 519,653 | |
| | | | | | | | | | | | | | |
| |
Food — 0.01% | | | | | |
8th Avenue Food & Provisions, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | | 10/01/25 | 1 | | | 24,018 | | | | 23,358 | |
United Natural Foods, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | | 04/25/31 | 1 | | | 125,724 | | | | 126,353 | |
| | | | | | | | | | | | | | |
| | | | 149,711 | |
| | | | | | | | | | | | | | |
| |
Health Care — 0.13% | | | | | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.15%) | | | | | |
7.40% | | | 11/15/27 | 1 | | | 105,912 | | | | 103,132 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B2, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 2.25%) | | | | | |
7.10% | | 05/05/281,3 | | $ | 308,398 | | | $ | 308,425 | |
Medline Borrower LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 10/23/281 | | | 259,070 | | | | 259,468 | |
Modivcare, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
10.08% | | 07/01/311 | | | 265,558 | | | | 251,534 | |
NSM Top Holdings Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
10.10% | | 05/14/291 | | | 31,559 | | | | 31,678 | |
Perrigo Investments LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.35%) | | | | | |
7.20% | | 04/20/291 | | | 350,735 | | | | 351,028 | |
Star Parent, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 09/27/301 | | | 96,216 | | | | 93,757 | |
| | | | | | | | | | | | |
| | | | 1,399,022 | |
| | | | | | | | | | | | |
| |
Health Care REITs — 0.12% | | | | | |
Healthpeak Properties, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 0.94%) | | | | | |
5.87% | | 02/22/271 | | | 331,629 | | | | 325,825 | |
5.87% | | 08/20/271 | | | 331,629 | | | | 325,825 | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 0.85%) | | | | | |
5.79% | | 03/01/291 | | | 669,298 | | | | 656,749 | |
| | | | | | | | | | | | |
| | | | 1,308,399 | |
| | | | | | | | | | | | |
| |
Industrials — 0.13% | | | | | |
Alliance Laundry Systems LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/19/311 | | | 33,330 | | | | 33,418 | |
Artera Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.47% | | 02/15/311 | | | 83,063 | | | | 81,181 | |
Berry Global, Inc., | | | | | |
Term Loan AA, 1st Lien | | | | | |
(SOFR plus 2.01%) | | | | | |
7.32% | | 07/01/291 | | | 1,134,436 | | | | 1,139,093 | |
Coherent Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.35% | | 07/02/291 | | | 23,632 | | | | 23,669 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 68 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials (continued) | | | | | |
Transdigm, Inc., | | | | | |
Term Loan I, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.35% | | | 08/24/28 | 1 | | $ | 117,569 | | | $ | 117,652 | |
| | | | | | | | | | | | | | |
| | | | 1,395,013 | |
| | | | | | | | | | | | | | |
| |
Information Technology — 0.18% | | | | | |
Arches Buyer, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.40% | | | 12/06/27 | 1 | | | 123,412 | | | | 118,639 | |
Athenahealth Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.10% | | | 02/15/29 | 1 | | | 240,483 | | | | 239,382 | |
BMC Software (Boxer/Bladelogic), | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
9.01% | | | 07/30/31 | 1 | | | 74,431 | | | | 74,372 | |
Buzz Merger Sub Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.70% | | | 01/29/27 | 1 | | | 69,379 | | | | 69,234 | |
Central Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.22% | | | 07/06/29 | 1 | | | 150,000 | | | | 148,625 | |
Delivery Hero SE, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
10.10% | | | 12/12/29 | 1 | | | 37,402 | | | | 37,619 | |
EagleView Technology Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
8.37% | | | 08/14/25 | 1 | | | 250,451 | | | | 239,719 | |
Gainwell Acquisition Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.70% | | | 10/01/27 | 1 | | | 633,544 | | | | 604,639 | |
Indy U.S. Holdco LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | | 03/06/28 | 1 | | | 30,901 | | | | 30,850 | |
MH Sub I LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | | 05/03/28 | 1 | | | 44,472 | | | | 44,243 | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.11%) | | | | | |
7.96% | | | 04/24/28 | 1 | | | 36,250 | | | | 35,235 | |
Renaissance Holding Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | | 04/05/30 | 1 | | | 74,078 | | | | 74,133 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Research Now Group LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.76%) | | | | | |
10.88% | | 10/16/281 | | $ | 44,969 | | | $ | 41,737 | |
Spin Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.26%) | | | | | |
9.26% | | 03/04/281 | | | 95,880 | | | | 84,355 | |
Xerox Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.60% - 8.85% | | 11/15/291 | | | 77,726 | | | | 77,580 | |
| | | | | | | | | | | | |
| | | | 1,920,362 | |
| | | | | | | | | | | | |
| |
Insurance — 0.10% | | | | | |
Acrisure LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | 02/16/271 | | | 181,324 | | | | 181,136 | |
AmWINS Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.36%) | | | | | |
7.21% | | 02/19/281 | | | 191,090 | | | | 191,000 | |
Asurion LLC, | | | | | |
Term Loan B10, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.95% | | 08/19/281 | | | 490,000 | | | | 482,738 | |
Term Loan B8, 1st Lien | | | | | |
(SOFR plus 3.36%) | | | | | |
8.41% | | 12/23/261 | | | 102,984 | | | | 103,018 | |
HUB International Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
8.26% | | 06/20/301 | | | 63,749 | | | | 63,728 | |
| | | | | | | | | | | | |
| | | | 1,021,620 | |
| | | | | | | | | | | | |
| |
Materials — 0.03% | | | | | |
Chemours Co. (The), | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/18/281 | | | 261,148 | | | | 261,637 | |
Mativ Holdings, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 2.60%) | | | | | |
7.45% | | 05/06/271 | | | 38,921 | | | | 38,629 | |
| | | | | | | | | | | | |
| | | | 300,266 | |
| | | | | | | | | | | | |
| |
Retail — 0.03% | | | | | |
1011778 BC Unlimited Liability Co., | | | | | |
Term Loan B6, 1st Lien (Canada) | | | | | |
(SOFR plus 1.75%) | | | | | |
6.60% | | 09/20/301,3 | | | 20,480 | | | | 20,308 | |
KFC Holding Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.86%) | | | | | |
6.88% | | 03/15/281 | | | 193,748 | | | | 194,838 | |
See accompanying Notes to Financial Statements.
|
| 69 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Retail (continued) | | | | | |
Peer Holding III BV, | | | | | |
Term Loan B5, 1st Lien (Netherlands) | | | | | |
(SOFR plus 3.00%) | | | | | |
7.60% | | 07/01/311,3 | | $ | 107,654 | | | $ | 108,125 | |
| | | | | | | | | | | | |
| | | | 323,271 | |
| | | | | | | | | | | | |
| |
Services — 0.06% | | | | | |
Boost Newco Borrower LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.10% | | 01/31/311 | | | 31,658 | | | | 31,711 | |
Clean Harbors, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.86%) | | | | | |
6.71% | | 10/08/281 | | | 69,488 | | | | 69,758 | |
Corp. Service Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.35% | | 11/02/291 | | | 88,563 | | | | 88,821 | |
Pre-Paid Legal Services, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 12/15/281 | | | 79,950 | | | | 79,990 | |
Ryan LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 11/14/301 | | | 36,469 | | | | 36,119 | |
Sabre GLBL, Inc., | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 5.10%) | | | | | |
9.95% | | 06/30/281 | | | 28,785 | | | | 27,464 | |
TransUnion Intermediate Holdings, Inc., | | | | | |
Term Loan B8, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.71% | | 06/24/311 | | | 87,536 | | | | 87,461 | |
TruGreen LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.95% | | 11/02/271 | | | 166,939 | | | | 161,847 | |
| | | | | | | | | | | | |
| | | | 583,171 | |
| | | | | | | | | | | | |
| |
Total Bank Loans (Cost $13,289,437) | | | | 13,208,169 | |
| | | | | | | | | | | | |
| |
CORPORATES — 27.75%* | | | | | |
| |
Banking — 6.65% | | | | | |
Bank of America Corp. | | | | | |
3.71% | | 04/24/287 | | | 944,000 | | | | 930,567 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
1.32% | | 06/19/267 | | | 7,263,000 | | | | 7,084,503 | |
2.55% | | 02/04/287 | | | 4,275,000 | | | | 4,107,753 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.01% | | 09/22/283,7 | | | 11,500,000 | | | | 10,735,252 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
ING Groep NV | | | | | |
(Netherlands) | | | | | |
3.87% | | 03/28/263,7 | | $ | 645,000 | | | $ | 641,892 | |
JPMorgan Chase & Co. | | | | | |
1.04% | | 02/04/277 | | | 14,051,000 | | | | 13,434,114 | |
2.08% | | 04/22/267 | | | 2,350,000 | | | | 2,313,631 | |
2.18% | | 06/01/287 | | | 879,000 | | | | 833,911 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | 05/11/273,7 | | | 2,175,000 | | | | 2,079,544 | |
3.57% | | 11/07/283,7 | | | 175,000 | | | | 170,563 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.58% | | 06/12/297 | | | 830,000 | | | | 863,977 | |
6.62% | | 10/20/277 | | | 4,570,000 | | | | 4,777,784 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.67% | | 06/14/273,7 | | | 3,007,000 | | | | 2,861,147 | |
U.S. Bancorp | | | | | |
4.65% | | 02/01/297 | | | 5,365,000 | | | | 5,417,959 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.39% | | 06/02/287 | | | 1,275,000 | | | | 1,212,506 | |
5.57% | | 07/25/297 | | | 12,460,000 | | | | 12,969,160 | |
| | | | | | | | | | | | |
| | | | 70,434,263 | |
| | | | | | | | | | | | |
| |
Communications — 0.63% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.50% | | 10/15/292,3 | | | 266,000 | | | | 187,202 | |
| Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
4.91% | | 07/23/25 | | | 397,000 | | | | 396,508 | |
Cox Communications, Inc. | | | | | |
7.63% | | 06/15/25 | | | 900,000 | | | | 915,008 | |
CSC Holdings LLC | | | | | |
11.75% | | 01/31/292 | | | 1,514,000 | | | | 1,463,438 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | 03/20/282 | | | 724,500 | | | | 733,158 | |
T-Mobile USA, Inc. | | | | | |
3.75% | | 04/15/27 | | | 3,015,000 | | | | 2,979,569 | |
| | | | | | | | | | | | |
| | | | 6,674,883 | |
| | | | | | | | | | | | |
| |
Consumer Discretionary — 1.51% | | | | | |
BAT Capital Corp. | | | | | |
3.56% | | 08/15/27 | | | 2,440,000 | | | | 2,391,281 | |
Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/292 | | | 250,000 | | | | 249,279 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
3.50% | | 07/26/262,3 | | | 5,205,000 | | | | 5,106,638 | |
| Spectrum Brands, Inc. | | | | | |
3.88% | | 03/15/312 | | | 87,000 | | | | 77,403 | |
WarnerMedia Holdings, Inc. | | | | | |
3.76% | | 03/15/27 | | | 8,400,000 | | | | 8,124,356 | |
| | | | | | | | | | | | |
| | | | 15,948,957 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 70 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Diversified REITs — 1.70% | | | | | |
American Tower Corp. | | | | | |
5.25% | | | 07/15/28 | | | $ | 7,290,000 | | | $ | 7,510,737 | |
Crown Castle, Inc. | | | | | |
3.80% | | | 02/15/28 | | | | 3,940,000 | | | | 3,868,911 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.00% | | | 01/15/30 | | | | 1,750,000 | | | | 1,669,954 | |
5.30% | | | 01/15/29 | | | | 2,179,000 | | | | 2,218,624 | |
VICI Properties LP | | | | | |
4.95% | | | 02/15/30 | | | | 40,000 | | | | 40,279 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
5.75% | | | 02/01/27 | 2 | | | 2,590,000 | | | | 2,637,873 | |
| | | | | | | | | | | | | | |
| | | | 17,946,378 | |
| | | | | | | | | | | | | | |
| |
Electric — 2.44% | | | | | |
Alliant Energy Finance LLC | | | | | |
1.40% | | | 03/15/26 | 2 | | | 6,540,000 | | | | 6,214,964 | |
5.95% | | | 03/30/29 | 2 | | | 805,000 | | | | 851,258 | |
Duke Energy Corp. | | | | | |
3.75% | | | 04/01/31 | | | | 2,500,000 | | | | 2,824,877 | |
4.30% | | | 03/15/28 | | | | 1,835,000 | | | | 1,837,788 | |
Eversource Energy | | | | | |
2.90% | | | 03/01/27 | | | | 5,425,000 | | | | 5,253,616 | |
FirstEnergy Pennsylvania Electric Co. | | | | | |
4.00% | | | 04/15/25 | 2 | | | 1,467,000 | | | | 1,459,466 | |
4.15% | | | 04/15/25 | 2 | | | 500,000 | | | | 498,186 | |
ITC Holdings Corp. | | | | | |
4.95% | | | 09/22/27 | 2 | | | 4,960,000 | | | | 5,033,987 | |
Jersey Central Power & Light Co. | | | | | |
4.30% | | | 01/15/26 | 2 | | | 1,868,000 | | | | 1,861,504 | |
| | | | | | | | | | | | | | |
| | | | 25,835,646 | |
| | | | | | | | | | | | | | |
| |
Energy — 0.29% | | | | | |
Energy Transfer LP | | | | | |
4.95% | | | 05/15/28 | | | | 1,150,000 | | | | 1,167,631 | |
Southern Co. Gas Capital Corp. | | | | | |
3.88% | | | 11/15/25 | | | | 1,950,000 | | | | 1,935,908 | |
| | | | | | | | | | | | | | |
| | | | 3,103,539 | |
| | | | | | | | | | | | | | |
| |
Finance — 4.63% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
2.45% | | | 10/29/26 | 3 | | | 500,000 | | | | 480,421 | |
Air Lease Corp. | | | | | |
3.63% | | | 04/01/27 | | | | 4,835,000 | | | | 4,761,984 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | 11/18/27 | 2,3 | | | 5,905,000 | | | | 5,513,414 | |
2.75% | | | 02/21/28 | 2,3 | | | 1,350,000 | | | | 1,260,736 | |
Capital One Financial Corp. | | | | | |
2.64% | | | 03/03/26 | 7 | | | 2,685,000 | | | | 2,655,166 | |
Citigroup, Inc. | | | | | |
1.46% | | | 06/09/27 | 7 | | | 5,000,000 | | | | 4,765,888 | |
3.52% | | | 10/27/28 | 7 | | | 4,987,000 | | | | 4,870,337 | |
5.83% | | | 10/30/24 | 7 | | | 3,023,000 | | | | 3,023,763 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | | 09/10/27 | 7 | | | 1,825,000 | | | | 1,730,116 | |
1.95% | | | 10/21/27 | 7 | | | 10,000,000 | | | | 9,535,373 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
Morgan Stanley | | | | | |
0.99% | | 12/10/267 | | $ | 5,000,000 | | | $ | 4,791,367 | |
1.59% | | 05/04/277 | | | 5,855,000 | | | | 5,605,805 | |
| | | | | | | | | | | | |
| | | | 48,994,370 | |
| | | | | | | | | | | | |
| |
Food — 0.42% | | | | | |
ELO SACA | | | | | |
(EMTN) | | | | | |
(France) | | | | | |
4.88% | | 12/08/283 | | | 500,000 | | | | 496,590 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. | | | | | |
Sarl | | | | | |
(Luxembourg) | | | | | |
3.00% | | 02/02/293 | | | 1,795,000 | | | | 1,672,027 | |
5.13% | | 02/01/283 | | | 2,205,000 | | | | 2,236,033 | |
| | | | | | | | | | | | |
| | | | 4,404,650 | |
| | | | | | | | | | | | |
| |
Health Care — 2.59% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | 01/30/282,3 | | | 745,000 | | | | 739,138 | |
Amgen, Inc. | | | | | |
5.15% | | 03/02/28 | | | 4,405,000 | | | | 4,538,771 | |
Bayer U.S. Finance II LLC | | | | | |
2.85% | | 04/15/252 | | | 385,000 | | | | 380,251 | |
Bayer U.S. Finance LLC | | | | | |
6.25% | | 01/21/292 | | | 6,230,000 | | | | 6,585,591 | |
Grifols SA, | | | | | |
Series REGS | | | | | |
(Spain) | | | | | |
3.88% | | 10/15/283 | | | 300,000 | | | | 311,397 | |
HCA, Inc. | | | | | |
3.13% | | 03/15/27 | | | 2,510,000 | | | | 2,439,801 | |
5.38% | | 09/01/26 | | | 2,520,000 | | | | 2,548,535 | |
5.88% | | 02/15/26 | | | 1,980,000 | | | | 2,001,112 | |
HCA, Inc. | | | | | |
(MTN) | | | | | |
7.58% | | 09/15/25 | | | 1,100,000 | | | | 1,128,208 | |
Illumina, Inc. | | | | | |
5.75% | | 12/13/27 | | | 2,275,000 | | | | 2,363,734 | |
Kedrion SpA | | | | | |
(Italy) | | | | | |
6.50% | | 09/01/292,3 | | | 370,000 | | | | 352,986 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/292 | | | 1,055,000 | | | | 663,106 | |
Premier Health Partners, | | | | | |
Series G | | | | | |
2.91% | | 11/15/26 | | | 3,500,000 | | | | 3,327,904 | |
| | | | | | | | | | | | |
| | | | 27,380,534 | |
| | | | | | | | | | | | |
| |
Health Care REITs — 0.81% | | | | | |
DOC DR LLC | | | | | |
4.30% | | 03/15/27 | | | 3,995,000 | | | | 3,991,922 | |
Healthcare Realty Holdings LP | | | | | |
3.50% | | 08/01/26 | | | 1,451,000 | | | | 1,427,348 | |
See accompanying Notes to Financial Statements.
|
| 71 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value | |
| |
CORPORATES (continued) | | | | | |
| |
Health Care REITs (continued) | | | | | |
3.63% | | | 01/15/28 | | | $ | 3,255,000 | | | $ | 3,135,550 | |
| | | | | | | | | | | | | | |
| | | | 8,554,820 | |
| | | | | | | | | | | | | | |
| |
Industrial REITs — 0.34% | | | | | |
LXP Industrial Trust | | | | | |
6.75% | | | 11/15/28 | | | | 3,325,000 | | | | 3,561,144 | |
| | | | | | | | | | | | | | |
| |
Industrials — 1.30% | | | | | |
Amcor Flexibles North America, Inc. | | | | | |
4.00% | | | 05/17/25 | | | | 4,125,000 | | | | 4,101,981 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., | | | | | |
Series REGS | | | | | |
(Canada) | | | | | |
2.13% | | | 08/15/26 | 3 | | | 300,000 | | | | 290,344 | |
Berry Global, Inc. | | | | | |
1.65% | | | 01/15/27 | | | | 2,000,000 | | | | 1,878,505 | |
4.88% | | | 07/15/26 | 2 | | | 636,000 | | | | 634,326 | |
Boeing Co. (The) | | | | | |
6.26% | | | 05/01/27 | 2 | | | 2,455,000 | | | | 2,537,007 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(CME Term SOFR 3-Month plus 0.64%) | | | | | |
5.88% | | | 05/05/26 | 1 | | | 2,235,000 | | | | 2,239,114 | |
(CME Term SOFR 3-Month plus 0.74%) | | | | | |
5.86% | | | 08/15/36 | 1 | | | 2,182,000 | | | | 2,061,077 | |
| | | | | | | | | | | | | | |
| | | | 13,742,354 | |
| | | | | | | | | | | | | | |
| |
Information Technology — 0.86% | | | | | |
Netflix, Inc. | | | | | |
3.63% | | | 06/15/25 | 2 | | | 3,207,000 | | | | 3,184,481 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | | 12/01/27 | 2,3 | | | 2,635,000 | | | | 2,781,938 | |
Uber Technologies, Inc. | | | | | |
4.30% | | | 01/15/30 | | | | 2,132,000 | | | | 2,125,073 | |
7.50% | | | 09/15/27 | 2 | | | 980,000 | | | | 999,937 | |
| | | | | | | | | | | | | | |
| | | | 9,091,429 | |
| | | | | | | | | | | | | | |
| |
Insurance — 1.27% | | | | | |
Aon Corp. | | | | | |
4.50% | | | 12/15/28 | | | | 1,442,000 | | | | 1,452,301 | |
MMI Capital Trust I, | | | | | |
Series B | | | | | |
7.63% | | | 12/15/27 | | | | 2,000,000 | | | | 2,154,082 | |
Nationwide Mutual Insurance Co. | | | | | |
7.50% | | | 12/15/24 | 2,7 | | | 5,550,000 | | | | 5,565,560 | |
Willis North America, Inc. | | | | | |
2.95% | | | 09/15/29 | | | | 35,000 | | | | 32,505 | |
4.65% | | | 06/15/27 | | | | 4,202,000 | | | | 4,238,960 | |
| | | | | | | | | | | | | | |
| | | | 13,443,408 | |
| | | | | | | | | | | | | | |
| |
Materials — 0.30% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
1.83% | | | 10/15/27 | 2 | | | 3,440,000 | | | | 3,188,140 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
Office REITs — 0.18% | | | | | |
Hudson Pacific Properties LP | | | | | |
3.25% | | 01/15/30 | | $ | 869,000 | | | $ | 659,359 | |
4.65% | | 04/01/29 | | | 1,460,000 | | | | 1,213,188 | |
| | | | | | | | | | | | |
| | | | 1,872,547 | |
| | | | | | | | | | | | |
| |
Retail — 0.02% | | | | | |
Papa John’s International, Inc. | | | | | |
3.88% | | 09/15/292 | | | 230,000 | | | | 213,036 | |
| | | | | | | | | | | | |
| |
Retail REITs — 0.18% | | | | | |
Federal Realty OP LP | | | | | |
7.48% | | 08/15/26 | | | 1,850,000 | | | | 1,926,845 | |
| | | | | | | | | | | | |
| |
Services — 0.74% | | | | | |
Global Payments, Inc. | | | | | |
2.15% | | 01/15/27 | | | 7,201,000 | | | | 6,868,164 | |
Worldline SA | | | | | |
(France) | | | | | |
0.00% | | 07/30/263,8 | | | 10,000 | | | | 1,016,896 | |
| | | | | | | | | | | | |
| | | | 7,885,060 | |
| | | | | | | | | | | | |
| |
Specialized REITs — 0.79% | | | | | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
(EMTN) | | | | | |
(Luxembourg) | | | | | |
1.00% | | 05/04/283 | | | 1,700,000 | | | | 1,731,754 | |
Extra Space Storage LP | | | | | |
3.88% | | 12/15/27 | | | 6,745,000 | | | | 6,661,657 | |
| | | | | | | | | | | | |
| | | | 8,393,411 | |
| | | | | | | | | | | | |
| |
Transportation — 0.10% | | | | | |
Delta Air Lines Pass-Through Trust, | | | | | |
Series 2020-1, Class AA | | | | | |
2.00% | | 06/10/28 | | | 1,194,494 | | | | 1,117,342 | |
| | | | | | | | | | | | |
| |
Total Corporates (Cost $288,900,271) | | | | 293,712,756 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 57.01%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 10.19% | |
| Arbor Realty Commercial Real Estate Notes Ltd., | | | | | |
Series 2021-FL3, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 1-Month plus 1.18%) | | | | | |
6.28% | | 08/15/341,2,3 | | | 2,596,386 | | | | 2,586,284 | |
Ashford Hospitality Trust, | | | | | |
Series 2018-KEYS, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.30%) | | | | | |
6.39% | | 06/15/351,2 | | | 160,677 | | | | 159,486 | |
BANK, | | | | | |
Series 2018-BN14, Class A2 | | | | | |
4.13% | | 09/15/60 | | | 3,362,079 | | | | 3,353,749 | |
Benchmark Mortgage Trust, | | | | | |
Series 2020-B17, Class A2 | | | | | |
2.21% | | 03/15/53 | | | 7,590,000 | | | | 7,171,554 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 72 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
BX Commercial Mortgage Trust, | | | | | |
Series 2020-VKNG, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
6.14% | | 10/15/371,2 | | $ | 4,627,225 | | | $ | 4,617,152 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-CIP, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
6.13% | | 12/15/381,2 | | | 4,212,541 | | | | 4,181,405 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-VINO, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.86% | | 05/15/381,2 | | | 3,859,970 | | | | 3,840,612 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-XL2, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.80%) | | | | | |
5.90% | | 10/15/381,2 | | | 2,710,976 | | | | 2,690,534 | |
BX, | | | | | |
Series 2021-MFM1, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.81%) | | | | | |
5.91% | | 01/15/341,2 | | | 374,520 | | | | 373,016 | |
BX, | | | | | |
Series 2021-MFM1, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.06%) | | | | | |
6.16% | | 01/15/341,2 | | | 1,354,500 | | | | 1,344,206 | |
BXP Trust, | | | | | |
Series 2017-GM, Class B | | | | | |
3.54% | | 06/13/392,7 | | | 2,465,000 | | | | 2,355,844 | |
CAMB Commercial Mortgage Trust, | | | | | |
Series 2019-LIFE, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.55%) | | | | | |
6.64% | | 12/15/371,2 | | | 3,128,000 | | | | 3,125,586 | |
Commercial Mortgage Trust, | | | | | |
Series 2015-PC1, Class A4 | | | | | |
3.62% | | 07/10/50 | | | 2,329,686 | | | | 2,323,017 | |
Commercial Mortgage Trust, | | | | | |
Series 2016-DC2, Class ASB | | | | | |
3.55% | | 02/10/49 | | | 57,120 | | | | 56,681 | |
DBGS Mortgage Trust, | | | | | |
Series 2018-BIOD, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.10%) | | | | | |
6.20% | | 05/15/351,2 | | | 2,327,977 | | | | 2,317,714 | |
Extended Stay America Trust, | | | | | |
Series 2021-ESH, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.19%) | | | | | |
6.29% | | 07/15/381,2 | | | 1,987,009 | | | | 1,986,127 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2023-FUN, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.09%) | | | | | |
7.19% | | 03/15/281,2 | | | 1,755,000 | | | | 1,761,079 | |
GS Mortgage Securities Trust, | | | | | |
Series 2011-GC5, Class AS | | | | | |
5.21% | | 08/10/442,7 | | | 2,130,710 | | | | 2,040,483 | |
GWT, | | | | | |
Series 2024-WLF2, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.69%) | | | | | |
6.79% | | 05/15/411,2 | | | 2,767,000 | | | | 2,771,801 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
HILT COMMERCIAL Mortgage Trust, | | | | | |
Series 2024-ORL, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.54%) | | | | | |
6.64% | | 05/15/371,2 | | $ | 2,480,000 | | | $ | 2,479,391 | |
Houston Galleria Mall Trust, | | | | | |
Series 2015-HGLR, Class A1A1 | | | | | |
3.09% | | 03/05/372 | | | 3,750,000 | | | | 3,707,227 | |
Houston Galleria Mall Trust, | | | | | |
Series 2015-HGLR, Class A1A2 | | | | | |
3.09% | | 03/05/372 | | | 5,050,000 | | | | 4,986,931 | |
HTL Commercial Mortgage Trust, | | | | | |
Series 2024-T53, Class A | | | | | |
6.07% | | 05/10/392,7 | | | 2,668,000 | | | | 2,729,105 | |
Independence Plaza Trust, | | | | | |
Series 2018-INDP, Class A | | | | | |
3.76% | | 07/10/352 | | | 3,294,364 | | | | 3,209,363 | |
Independence Plaza Trust, | | | | | |
Series 2018-INDP, Class B | | | | | |
3.91% | | 07/10/352 | | | 10,000,000 | | | | 9,717,791 | |
INTOWN Mortgage Trust, | | | | | |
Series 2022-STAY, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.49%) | | | | | |
7.59% | | 08/15/391,2 | | | 3,167,000 | | | | 3,181,439 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2013-LC11, Class XA (IO) | | | | | |
1.30% | | 04/15/467 | | | 1,252,736 | | | | 37 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2021-MHC, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.16%) | | | | | |
6.26% | | 04/15/381,2 | | | 4,932,362 | | | | 4,923,945 | |
MF1 Ltd., | | | | | |
Series 2020-FL4, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.81%) | | | | | |
6.90% | | 12/15/351,2 | | | 3,155,714 | | | | 3,155,899 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2015-C21, Class XA (IO) | | | | | |
0.96% | | 03/15/487 | | | 29,367,270 | | | | 2,267 | |
One New York Plaza Trust, | | | | | |
Series 2020-1NYP, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.06%) | | | | | |
6.16% | | 01/15/361,2 | | | 2,000,000 | | | | 1,912,640 | |
ReadyCap Commercial Mortgage Trust, | | | | | |
Series 2019-6, Class A | | | | | |
2.83% | | 10/25/522 | | | 1,929,558 | | | | 1,900,716 | |
Shelter Growth CRE Issuer Ltd., | | | | | |
Series 2021-FL3, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 1-Month plus 1.19%) | | | | | |
6.29% | | 09/15/361,2,3 | | | 1,211,634 | | | | 1,209,427 | |
SMRT, | | | | | |
Series 2022-MINI, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.00%) | | | | | |
6.10% | | 01/15/391,2 | | | 2,885,000 | | | | 2,861,980 | |
See accompanying Notes to Financial Statements.
|
| 73 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
SREIT Trust, | | | | | |
Series 2021-MFP2, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.94%) | | | | | |
6.03% | | 11/15/361,2 | | $ | 3,640,000 | | | $ | 3,619,513 | |
SREIT Trust, | | | | | |
Series 2021-PALM, Class E | | | | | |
(CME Term SOFR 1-Month plus 2.02%) | | | | | |
7.12% | | 10/15/341,2 | | | 2,500,000 | | | | 2,459,599 | |
UBS Commercial Mortgage Trust, | | | | | |
Series 2018-C12, Class A2 | | | | | |
4.15% | | 08/15/51 | | | 979,370 | | | | 971,101 | |
WB Commercial Mortgage Trust, | | | | | |
Series 2024-HQ, Class A | | | | | |
6.13% | | 03/15/402,7 | | | 2,978,000 | | | | 3,020,073 | |
Westfield Galleria at Roseville | | | | | |
8.58% | | 03/29/254,5,7 | | | 2,700,000 | | | | 2,709,990 | |
| | | | | | | | | | | | |
| | | | 107,814,764 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 16.23% | | | | | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-OP1, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | 04/25/361 | | | 5,876,262 | | | | 5,379,961 | |
| Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-R9, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.82%) | | | | | |
5.67% | | 11/25/351 | | | 4,671,464 | | | | 4,590,059 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-W2, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.85%) | | | | | |
5.70% | | 10/25/351 | | | 2,620,088 | | | | 2,575,933 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2006-HE3, Class A5 | | | | | |
(CME Term SOFR 1-Month plus 0.65%) | | | | | |
2.89% | | 03/25/361 | | | 1,795,722 | | | | 1,753,784 | |
Banc of America Alternative Loan Trust, | | | | | |
Series 2003-8, Class 1CB1 | | | | | |
5.50% | | 10/25/33 | | | 2,494,792 | | | | 2,488,539 | |
Bear Stearns ALT-A Trust, | | | | | |
Series 2004-10, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 1.01%) | | | | | |
5.87% | | 09/25/341 | | | 103,993 | | | | 140,545 | |
Bear Stearns ARM Trust, | | | | | |
Series 2004-3, Class 4A | | | | | |
6.12% | | 07/25/347 | | | 176,732 | | | | 171,631 | |
BNC Mortgage Loan Trust, | | | | | |
Series 2007-1, Class A4 | | | | | |
(CME Term SOFR 1-Month plus 0.27%) | | | | | |
5.13% | | 03/25/371 | | | 3,367,700 | | | | 3,243,759 | |
Chase Funding Trust, | | | | | |
Series 2002-2, Class 2A1 | | | | | |
(CME Term SOFR 1-Month plus 0.61%) | | | | | |
5.47% | | 05/25/321 | | | 817,860 | | | | 814,120 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Mortgage-Backed (continued) | | | | | |
Chase Mortgage Finance Trust, | | | | | |
Series 2007-A1, Class 8A1 | | | | | |
6.56% | | 02/25/377 | | $ | 1,914,939 | | | $ | 1,864,844 | |
Chase Mortgage Finance Trust, | | | | | |
Series 2007-A2, Class 2A3 | | | | | |
6.43% | | 06/25/357 | | | 375,175 | | | | 373,470 | |
| Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, | | | | | |
Series 2005-2A, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.29%) | | | | | |
5.15% | | 05/25/361,2 | | | 298,258 | | | | 274,166 | |
CIM Trust, | | | | | |
Series 2021-R3, Class A1A | | | | | |
1.95% | | 06/25/572,7 | | | 5,471,166 | | | | 5,034,845 | |
CIM Trust, | | | | | |
Series 2022-I1, Class A1 | | | | | |
4.35% | | 02/25/672,7 | | | 4,416,993 | | | | 4,397,820 | |
Citigroup Mortgage Loan Trust, | | | | | |
Series 2006-AMC1, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.40%) | | | | | |
5.26% | | 09/25/361,2 | | | 5,201,598 | | | | 5,009,494 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2006-14, Class 2A3 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | 02/25/371 | | | 1,947,301 | | | | 1,896,791 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2006-4, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.64%) | | | | | |
5.49% | | 07/25/361 | | | 2,216,741 | | | | 2,195,890 | |
Countrywide Asset-Backed Certificates Trust, | | | | | |
Series 2007-7, Class 1A | | | | | |
(CME Term SOFR 1-Month plus 0.31%) | | | | | |
5.17% | | 10/25/471 | | | 6,587,869 | | | | 6,237,548 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | | | | | |
Series 2004-14, Class 4A1 | | | | | |
6.56% | | 08/25/347 | | | 6,515 | | | | 5,992 | |
| Credit Suisse First Boston Mortgage Securities Corp., | | | | | |
Series 2004-AR1, Class 5A1 | | | | | |
6.28% | | 02/25/347 | | | 61,344 | | | | 60,933 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB4, Class A1A | | | | | |
(CME Term SOFR 1-Month plus 0.20%) | | | | | |
2.94% | | 04/25/371 | | | 161,377 | | | | 159,695 | |
| Credit-Based Asset Servicing and Securitization LLC, | | | | | |
Series 2007-CB5, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.17%) | | | | | |
3.14% | | 04/25/371 | | | 1,826,158 | | | | 1,167,992 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2022-R03, Class 1M1 | | | | | |
(SOFR30A plus 2.10%) | | | | | |
7.38% | | 03/25/421,2 | | | 3,518,628 | | | | 3,568,401 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2004-FF5, Class A3C | | | | | |
(CME Term SOFR 1-Month plus 1.11%) | | | | | |
5.97% | | 08/25/341 | | | 321,204 | | | | 294,691 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 74 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2005-FF8, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.89%) | | | | | |
5.75% | | 09/25/351 | | $ | 739,905 | | | $ | 749,201 | |
| First Horizon Alternative Mortgage Securities Trust, | | | | | |
Series 2004-AA3, Class A1 | | | | | |
5.76% | | 09/25/347 | | | 830 | | | | 853 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2022-DNA6, Class M1A | | | | | |
(SOFR30A plus 2.15%) | | | | | |
7.43% | | 09/25/421,2 | | | 1,128,851 | | | | 1,142,376 | |
Fremont Home Loan Trust, | | | | | |
Series 2005-E, Class 2A4 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 01/25/361 | | | 4,668,027 | | | | 4,476,445 | |
GMACM Home Equity Loan Trust, | | | | | |
Series 2000-HE2, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
3.47% | | 06/25/301 | | | 48,592 | | | | 44,449 | |
GSAMP Trust, | | | | | |
Series 2005-HE4, Class M3 | | | | | |
(CME Term SOFR 1-Month plus 0.89%) | | | | | |
5.75% | | 07/25/451 | | | 874,684 | | | | 866,241 | |
GSAMP Trust, | | | | | |
Series 2006-HE2, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | 03/25/461 | | | 2,224,738 | | | | 2,182,653 | |
GSR Mortgage Loan Trust, | | | | | |
Series 2005-AR7, Class 2A1 | | | | | |
5.05% | | 11/25/357 | | | 61,554 | | | | 59,445 | |
Impac CMB Trust, | | | | | |
Series 2005-5, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.43%) | | | | | |
5.61% | | 08/25/351 | | | 785,914 | | | | 740,766 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR8, Class 2A2A | | | | | |
(CME Term SOFR 1-Month plus 0.91%) | | | | | |
5.77% | | 11/25/341 | | | 406,222 | | | | 370,339 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | | | | | |
6.49% | | 09/25/28 | | | 95,918 | | | | 95,490 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2005-FRE1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.73%) | | | | | |
2.87% | | 10/25/351 | | | 2,351,238 | | | | 2,301,412 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2006-NC1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
5.45% | | 04/25/361 | | | 3,479,641 | | | | 3,495,473 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-CH4, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.34%) | | | | | |
5.20% | | 05/25/371 | | | 7,750,000 | | | | 7,561,951 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
Series 2007-CH5, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.27%) | | | | | |
5.13% | | 06/25/371 | | $ | 4,521,646 | | | $ | 4,505,738 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A1, Class 1A1 | | | | | |
6.84% | | 07/25/357 | | | 151,446 | | | | 151,217 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2007-A1, Class 5A2 | | | | | |
5.70% | | 07/25/357 | | | 55,644 | | | | 56,209 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2024-4, Class A4A | | | | | |
6.00% | | 10/25/542,7 | | | 4,361,172 | | | | 4,422,881 | |
| Lehman ABS Manufactured Housing Contract Trust, | | | | | |
Series 2001-B, Class AIOC (IO) | | | | | |
0.55% | | 04/15/404,5,7 | | | 37,168,682 | | | | 394,960 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2003-6, Class 4A2 | | | | | |
4.36% | | 01/25/347 | | | 1,893 | | | | 1,844 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-13, Class 3A1 | | | | | |
6.43% | | 11/21/347 | | | 253,789 | | | | 242,458 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-3, Class 3A3 | | | | | |
5.85% | | 04/25/347 | | | 31,534 | | | | 30,201 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2003-1, Class 1A1 | | | | | |
6.25% | | 12/25/32 | | | 507,414 | | | | 517,362 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2003-5, Class 4A1 | | | | | |
5.50% | | 07/25/33 | | | 1,279,300 | | | | 1,310,312 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2003-9, Class 4A1 | | | | | |
5.25% | | 11/25/33 | | | 1,406,787 | | | | 1,401,532 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2004-7, Class 1A1 | | | | | |
5.50% | | 07/25/34 | | | 1,175,423 | | | | 1,180,024 | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2006-HE1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.67%) | | | | | |
5.52% | | 01/25/361 | | | 4,126,160 | | | | 4,020,706 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2004-1, Class 4A1 | | | | | |
7.25% | | 10/25/327 | | | 74,078 | | | | 72,859 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2C | | | | | |
(CME Term SOFR 1-Month plus 0.47%) | | | | | |
5.33% | | 06/25/371 | | | 3,025,902 | | | | 3,016,133 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2004-A4, Class A1 | | | | | |
5.82% | | 08/25/347 | | | 332,549 | | | | 314,765 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2006-1, Class A | | | | | |
5.79% | | 10/15/402 | | | 2,014,906 | | | | 2,030,954 | |
See accompanying Notes to Financial Statements.
|
| 75 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Mid-State Trust, | | | | | |
Series 10W, Class A2 | | | | | |
5.82% | | 02/15/36 | | $ | 172,490 | | | $ | 171,036 | |
Morgan Stanley ABS Capital I Trust, | | | | | |
Series 2004-NC7, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
5.90% | | 07/25/341 | | | 654,384 | | | | 677,035 | |
MortgageIT Trust, | | | | | |
Series 2005-3, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.71%) | | | | | |
5.57% | | 08/25/351 | | | 74,327 | | | | 73,456 | |
MortgageIT Trust, | | | | | |
Series 2005-4, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.67%) | | | | | |
5.53% | | 10/25/351 | | | 1,511,326 | | | | 1,492,693 | |
Nationstar Home Equity Loan Trust, | | | | | |
Series 2007-B, Class 1AV1 | | | | | |
(CME Term SOFR 1-Month plus 0.33%) | | | | | |
5.19% | | 04/25/371 | | | 333,501 | | | | 333,517 | |
New Century Home Equity Loan Trust, | | | | | |
Series 2005-D, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.79%) | | | | | |
5.64% | | 02/25/361 | | | 3,766,444 | | | | 3,638,482 | |
NLT Trust, | | | | | |
Series 2021-INV2, Class A1 | | | | | |
1.16% | | 08/25/562,7 | | | 5,390,945 | | | | 4,602,559 | |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates, | | | | | |
Series 2005-5, Class 1APT | | | | | |
(CME Term SOFR 1-Month plus 0.67%) | | | | | |
5.53% | | 12/25/351 | | | 2,389,533 | | | | 2,350,474 | |
| Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, | | | | | |
Series 2005-WCW3, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.85%) | | | | | |
5.70% | | 08/25/351 | | | 1,528,121 | | | | 1,492,235 | |
PHH Alternative Mortgage Trust, | | | | | |
Series 2007-3, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.71%) | | | | | |
5.57% | | 07/25/371 | | | 3,643,404 | | | | 3,512,901 | |
PRPM LLC, | | | | | |
| Series 2020-4, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.61% | | 10/25/252 | | | 5,127,313 | | | | 5,131,175 | |
PRPM LLC, | | | | | |
| Series 2021-3, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.87% | | 04/25/262 | | | 5,317,808 | | | | 5,303,249 | |
PRPM LLC, | | | | | |
| Series 2022-3, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.56% | | 06/25/272 | | | 8,571,946 | | | | 8,556,030 | |
PRPM, LLC, | | | | | |
| Series 2021-10, Class A1 (STEP-reset date 10/25/24) | | | | | |
2.49% | | 10/25/262 | | | 4,371,316 | | | | 4,376,399 | |
PRPM, LLC, | | | | | |
| Series 2021-7, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.87% | | 08/25/262 | | | 8,127,042 | | | | 8,106,699 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QA3, Class NB1 | | | | | |
3.64% | | 03/25/357 | | $ | 843,971 | | | $ | 459,183 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2005-EFC1, Class M5 | | | | | |
(CME Term SOFR 1-Month plus 0.76%) | | | | | |
5.94% | | 05/25/351 | | | 739,565 | | | | 737,050 | |
Residential Asset Securities Corp., | | | | | |
Series 2005-KS11, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.74%) | | | | | |
5.60% | | 12/25/351 | | | 135,064 | | | | 135,009 | |
Saxon Asset Securities Trust, | | | | | |
Series 2006-2, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
5.40% | | 09/25/361 | | | 9,506,110 | | | | 8,957,524 | |
| Securitized Asset-Backed Receivables LLC Trust, | | | | | |
| Series 2006-CB1, Class AF2 (STEP-reset date 11/25/24) | | | | | |
2.83% | | 01/25/36 | | | 1,330,337 | | | | 1,135,350 | |
Soundview Home Loan Trust, | | | | | |
Series 2006-OPT4, Class 2A4 | | | | | |
(CME Term SOFR 1-Month plus 0.57%) | | | | | |
5.43% | | 06/25/361 | | | 2,891,566 | | | | 2,789,469 | |
| Specialty Underwriting & Residential Finance Trust, | | | | | |
Series 2005-BC2, Class M3 | | | | | |
(CME Term SOFR 1-Month plus 1.09%) | | | | | |
5.94% | | 12/25/351 | | | 856,142 | | | | 848,901 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, | | | | | |
Series 2006-BC6, Class A4 | | | | | |
(CME Term SOFR 1-Month plus 0.28%) | | | | | |
5.14% | | 01/25/371 | | | 570,816 | | | | 564,524 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | | | | | |
Series 2003-26A, Class 3A5 | | | | | |
6.46% | | 09/25/337 | | | 156,577 | | | | 152,342 | |
Terwin Mortgage Trust, | | | | | |
Series 2004-7HE, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.07% | | 07/25/341,2 | | | 56,874 | | | | 54,742 | |
VOLT XCIV LLC, | | | | | |
| Series 2021-NPL3, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.24% | | 02/27/512 | | | 3,212,646 | | | | 3,217,326 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2004-AR14, Class A1 | | | | | |
5.34% | | 01/25/357 | | | 234,058 | | | | 216,481 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2004-CB2, Class 2A | | | | | |
5.50% | | 07/25/34 | | | 421,211 | | | | 418,714 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR13, Class A1A1 | | | | | |
(CME Term SOFR 1-Month plus 0.69%) | | | | | |
5.55% | | 10/25/451 | | | 683,058 | | | | 670,592 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 76 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-AR2, Class 2A21 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 01/25/451 | | $ | 91,828 | | | $ | 92,357 | |
| | | | | | | | | | | | |
| | | | 171,725,656 | |
| | | | | | | | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 1.38% | |
Fannie Mae-Aces, | | | | | |
Series 2021-M1, Class A1 | | | | | |
0.87% | | 11/25/30 | | | 1,690,994 | | | | 1,571,814 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KJ34, Class A1 | | | | | |
0.68% | | 06/25/26 | | | 1,234,529 | | | | 1,213,531 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KJ37, Class A1 | | | | | |
1.68% | | 12/25/27 | | | 10,682,934 | | | | 10,131,179 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series Q004, Class AFL | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.74%) | | | | | |
5.78% | | 05/25/441 | | | 897,274 | | | | 897,387 | |
Ginnie Mae, | | | | | |
Series 2008-92, Class E | | | | | |
5.56% | | 03/16/447 | | | 818,080 | | | | 815,729 | |
| | | | | | | | | | | | |
| | | | 14,629,640 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Mortgage-Backed — 29.21% | | | | | |
Fannie Mae Pool 735861 | | | | | |
6.50% | | 09/01/33 | | | 3,944 | | | | 4,136 | |
Fannie Mae Pool 770900 | | | | | |
(RFUCCT1Y plus 1.55%) | | | | | |
6.93% | | 04/01/341 | | | 59,806 | | | | 60,474 | |
Fannie Mae Pool AE0083 | | | | | |
6.00% | | 01/01/40 | | | 373,355 | | | | 398,964 | |
Fannie Mae Pool AL0851 | | | | | |
6.00% | | 10/01/40 | | | 445,276 | | | | 475,818 | |
Fannie Mae REMICS, | | | | | |
Series 1997-76, Class FS | | | | | |
(SOFR30A plus 0.56%) | | | | | |
5.91% | | 09/17/271 | | | 2,146 | | | | 2,155 | |
Fannie Mae REMICS, | | | | | |
Series 2001-60, Class OF | | | | | |
(SOFR30A plus 1.06%) | | | | | |
6.34% | | 10/25/311 | | | 227,350 | | | | 229,059 | |
Fannie Mae REMICS, | | | | | |
Series 2007-64, Class FA | | | | | |
(SOFR30A plus 0.58%) | | | | | |
5.86% | | 07/25/371 | | | 134,073 | | | | 133,720 | |
Fannie Mae REMICS, | | | | | |
Series 2009-85, Class LF | | | | | |
(SOFR30A plus 1.31%) | | | | | |
6.59% | | 10/25/491 | | | 1,409,369 | | | | 1,443,508 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2009-96, Class FA | | | | | |
(SOFR30A plus 1.01%) | | | | | |
6.29% | | 11/25/491 | | $ | 851,042 | | | $ | 858,245 | |
Fannie Mae REMICS, | | | | | |
Series 2010-109, Class PF | | | | | |
(SOFR30A plus 0.51%) | | | | | |
5.79% | | 10/25/401 | | | 412,807 | | | | 410,203 | |
Fannie Mae REMICS, | | | | | |
Series 2010-26, Class S (IO) | | | | | |
(-1.00 X SOFR30A plus 6.12%, 6.23% Cap) | | | | | |
0.84% | | 11/25/361 | | | 2,711,811 | | | | 266,202 | |
Fannie Mae REMICS, | | | | | |
Series 2010-43, Class DP | | | | | |
5.00% | | 05/25/40 | | | 319,132 | | | | 324,745 | |
Fannie Mae REMICS, | | | | | |
Series 2010-6, Class BF | | | | | |
(SOFR30A plus 0.87%) | | | | | |
6.15% | | 02/25/401 | | | 757,912 | | | | 763,614 | |
Fannie Mae REMICS, | | | | | |
Series 2010-95, Class S (IO) | | | | | |
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap) | | | | | |
1.21% | | 09/25/401 | | | 2,253,298 | | | | 272,867 | |
Fannie Mae REMICS, | | | | | |
Series 2019-79, Class FA | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.89% | | 01/25/501 | | | 2,711,940 | | | | 2,679,536 | |
Fannie Mae REMICS, | | | | | |
Series 2020-10, Class FA | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.89% | | 03/25/501 | | | 4,904,289 | | | | 4,831,273 | |
Fannie Mae REMICS, | | | | | |
Series 2024-73, Class FB | | | | | |
(SOFR30A plus 1.20%) | | | | | |
6.50% | | 10/25/541 | | | 14,775,000 | | | | 14,845,904 | |
Freddie Mac Gold Pool A45796 | | | | | |
7.00% | | 01/01/33 | | | 624 | | | | 656 | |
Freddie Mac Gold Pool C46104 | | | | | |
6.50% | | 09/01/29 | | | 1,327 | | | | 1,361 | |
Freddie Mac REMICS, | | | | | |
Series 2174, Class PN | | | | | |
6.00% | | 07/15/29 | | | 115,495 | | | | 118,036 | |
Freddie Mac REMICS, | | | | | |
Series 2454, Class FQ | | | | | |
(SOFR30A plus 1.11%) | | | | | |
6.46% | | 06/15/311 | | | 1,965 | | | | 1,981 | |
Freddie Mac REMICS, | | | | | |
Series 2733, Class FB | | | | | |
(SOFR30A plus 0.71%) | | | | | |
6.06% | | 10/15/331 | | | 927,494 | | | | 928,613 | |
Freddie Mac REMICS, | | | | | |
Series 3071, Class TF | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | 04/15/351 | | | 104,113 | | | | 104,113 | |
See accompanying Notes to Financial Statements.
|
| 77 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac REMICS, | | | | | |
Series 3294, Class CB | | | | | |
5.50% | | 03/15/37 | | $ | 141,191 | | | $ | 147,397 | |
Freddie Mac REMICS, | | | | | |
Series 3300, Class FA | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | 08/15/351 | | | 266,788 | | | | 264,052 | |
Freddie Mac REMICS, | | | | | |
Series 3325, Class NF | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | 08/15/351 | | | 688,005 | | | | 680,948 | |
Freddie Mac REMICS, | | | | | |
Series 3524, Class FC | | | | | |
(SOFR30A plus 1.05%) | | | | | |
6.40% | | 06/15/381 | | | 177,738 | | | | 179,350 | |
Freddie Mac REMICS, | | | | | |
Series 3531, Class FM | | | | | |
(SOFR30A plus 1.01%) | | | | | |
6.36% | | 05/15/391 | | | 97,895 | | | | 98,634 | |
Freddie Mac REMICS, | | | | | |
Series 4959, Class JF | | | | | |
(SOFR30A plus 0.56%) | | | | | |
5.84% | | 03/25/501 | | | 4,333,198 | | | | 4,244,050 | |
Freddie Mac Strips, | | | | | |
Series 240, Class F30 | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | 07/15/361 | | | 809,725 | | | | 801,263 | |
Freddie Mac Strips, | | | | | |
Series 263, Class F5 | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.96% | | 06/15/421 | | | 950,589 | | | | 942,682 | |
Freddie Mac Strips, | | | | | |
Series 319, Class F2 | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.96% | | 11/15/431 | | | 4,439,059 | | | | 4,383,887 | |
Ginnie Mae (TBA) | | | | | |
4.00% | | 10/20/54 | | | 5,725,000 | | | | 5,535,729 | |
4.50% | | 10/20/54 | | | 17,550,000 | | | | 17,322,920 | |
5.00% | | 10/20/54 | | | 13,800,000 | | | | 13,824,219 | |
5.50% | | 10/20/54 | | | 5,450,000 | | | | 5,503,492 | |
Ginnie Mae II Pool 2020 | | | | | |
8.50% | | 06/20/25 | | | 25 | | | | 25 | |
Ginnie Mae II Pool 2286 | | | | | |
8.50% | | 09/20/26 | | | 15 | | | | 15 | |
Ginnie Mae II Pool 2487 | | | | | |
8.50% | | 09/20/27 | | | 410 | | | | 411 | |
Ginnie Mae II Pool 80059 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
4.88% | | 04/20/271 | | | 2,991 | | | | 2,987 | |
Ginnie Mae II Pool 80589 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
4.63% | | 03/20/321 | | | 7,299 | | | | 7,308 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Ginnie Mae II Pool 80610 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
4.88% | | 06/20/321 | | $ | 3,772 | | | $ | 3,806 | |
Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.63% | | 07/20/341 | | | 101,530 | | | | 102,556 | |
Ginnie Mae II Pool 81201 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.00%) | | | | | |
5.13% | | 01/20/351 | | | 3,279 | | | | 3,334 | |
Ginnie Mae II Pool 8599 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
5.00% | | 02/20/251 | | | 387 | | | | 386 | |
Ginnie Mae, | | | | | |
Series 2009-106, Class XI (IO) | | | | | |
| (-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap) | | | | | |
1.72% | | 05/20/371 | | | 1,782,372 | | | | 199,671 | |
Ginnie Mae, | | | | | |
Series 2013-53, Class AD | | | | | |
1.50% | | 12/20/26 | | | 113,926 | | | | 111,665 | |
Ginnie Mae, | | | | | |
Series 2023-113, Class FD | | | | | |
(SOFR30A plus 1.35%) | | | | | |
6.50% | | 08/20/531 | | | 6,839,155 | | | | 6,880,110 | |
Ginnie Mae, | | | | | |
Series 2024-143, Class FB | | | | | |
(SOFR30A plus 1.15%) | | | | | |
6.49% | | 09/20/541 | | | 14,050,000 | | | | 14,071,953 | |
Ginnie Mae, | | | | | |
Series 2024-144, Class FD | | | | | |
(SOFR30A plus 1.15%) | | | | | |
6.50% | | 09/20/54†,1 | | | 14,775,000 | | | | 14,774,891 | |
Ginnie Mae, | | | | | |
Series 2024-148, Class AF | | | | | |
(SOFR30A plus 1.18%) | | | | | |
6.50% | | 09/20/541 | | | 14,775,000 | | | | 14,864,564 | |
UMBS (TBA) | | | | | |
3.50% | | 10/01/39 | | | 14,500,000 | | | | 14,206,506 | |
3.50% | | 10/01/54 | | | 9,725,000 | | | | 9,059,333 | |
4.00% | | 10/01/39 | | | 25,200,000 | | | | 25,051,421 | |
4.00% | | 10/01/54 | | | 13,650,000 | | | | 13,112,006 | |
4.50% | | 10/01/39 | | | 36,900,000 | | | | 37,053,135 | |
4.50% | | 10/01/54 | | | 20,150,000 | | | | 19,816,497 | |
5.00% | | 10/01/39 | | | 36,600,000 | | | | 37,108,374 | |
5.00% | | 10/01/54 | | | 13,700,000 | | | | 13,692,054 | |
5.50% | | 10/01/54 | | | 5,900,000 | | | | 5,970,210 | |
| | | | | | | | | | | | |
| | | | 309,177,024 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $612,000,329) | | | | 603,347,084 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 78 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MUNICIPAL BONDS — 1.14%* | | | | | |
California — 0.25% | | | | | |
| Campbell Union School District General Obligation, School Improvements, Series B | | | | | |
5.41% | | 08/01/27 | | $ | 2,545,000 | | | $ | 2,615,442 | |
| | | | | | | | | | | | |
| |
| Florida — 0.12% | | | | | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.14% | | 10/01/28 | | | 445,000 | | | | 413,597 | |
2.29% | | 10/01/29 | | | 985,000 | | | | 903,277 | |
| | | | | | | | | | | | |
| | | | 1,316,874 | |
| | | | | | | | | | | | |
| |
| Maryland — 0.10% | | | | | |
| City of Baltimore General Obligation, School Improvements, Series C | | | | | |
5.00% | | 10/15/25 | | | 1,035,000 | | | | 1,037,583 | |
| | | | | | | | | | | | |
| |
| Massachusetts — 0.19% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | | | | | |
4.11% | | 07/15/31 | | | 2,073,112 | | | | 2,053,583 | |
| | | | | | | | | | | | |
| |
| New York — 0.48% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B2 | | | | | |
2.31% | | 11/01/26 | | | 4,060,000 | | | | 3,932,418 | |
| New York City Transitional Finance Authority Revenue Bonds, Public Improvements | | | | | |
3.19% | | 08/01/25 | | | 1,110,000 | | | | 1,099,455 | |
| | | | | | | | | | | | |
| | | | 5,031,873 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds (Cost $12,466,478) | | | | 12,055,355 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY SECURITIES — 12.44% | | | | | |
| |
U.S. Treasury Notes — 12.44% | | | | | |
U.S. Treasury Notes | | | | | |
3.50% | | 09/30/26 | | | 43,750,000 | | | | 43,628,662 | |
U.S. Treasury Notes (WI) | | | | | |
3.38% | | 09/30/29 | | | 23,905,000 | | | | 23,836,833 | |
3.63% | | 09/15/27 | | | 59,610,000 | | | | 59,309,622 | |
4.00% | | 08/31/26 | | | 4,860,000 | | | | 4,867,214 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $131,841,682) | | | | 131,642,331 | |
| | | | | | | | | | | | |
| |
Total Bonds — 108.05% (Cost $1,147,905,805) | | | | 1,143,437,466 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
SHORT-TERM INVESTMENTS — 12.34% | | | | | |
| |
Money Market Funds — 12.34% | | | | | |
TCW Central Cash Fund | | | | | |
0.04%9,10 | | | 130,640,000 | | | $ | 130,640,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments (Cost $130,640,000) | | | | | |
| |
Total Investments - 120.39% (Cost $1,278,545,805) | | | | 1,274,077,466 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets - (20.39)% | | | | (215,786,247 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 1,058,291,219 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $8,104,589, which is 0.77% of total net assets. |
| 6 | Payment-in-kind (“PIK”) security. |
| 7 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 9 | Represents the current yield as of September 30, 2024. |
| 10 | Affiliated investment. |
| † | Fair valued security. The aggregate value of fair valued securities is $14,774,891, which is 1.40% 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
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback
(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.
|
| 79 / Semi-Annual Report September 2024 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| | | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | |
EUR 430,000 | | | USD 470,224 | | | Citibank N.A. | | | 10/11/24 | | | $ | 9,910 | |
| | | | | | | | | | | | | | |
| | | | |
USD 539,069 | | | EUR 492,000 | | | Citibank N.A. | | | 10/11/24 | | | | (10,295) | |
USD 6,273,394 | | | EUR 5,771,000 | | | The Bank of New York Mellon | | | 10/11/24 | | | | (170,462) | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | (180,757) | |
| | | | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | | | $ | (170,847) | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | |
U.S. Treasury Two-Year Note | | 4,211 | | 12/31/24 | | $ | 876,907,854 | | | $ | 2,338,747 | | | $ | 2,338,747 | |
| | | | | | | | | | | | | | |
| | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | 1,500 | | 12/31/24 | | | (164,824,215) | | | | (131,175) | | | | (131,175) | |
| U.S. Treasury Ten-Year Ultra Bond | | 372 | | 12/19/24 | | | (44,006,440) | | | | 56,447 | | | | 56,447 | |
U.S. Treasury Ultra Bond | | 65 | | 12/19/24 | | | (8,651,094) | | | | 62,868 | | | | 62,868 | |
Euro-Bobl Future | | 34 | | 12/06/24 | | | (4,555,381) | | | | (39,509) | | | | (39,509) | |
Euro-Schatz Future | | 20 | | 12/06/24 | | | (2,392,253) | | | | (11,410) | | | | (11,410) | |
| | | | | | | | | | | | | | |
| | | | | (224,429,383) | | | | (62,779) | | | | (62,779) | |
| | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | $ | 652,478,471 | | | $ | 2,275,968 | | | $ | 2,275,968 | |
| | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 80 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 92.15% | | | | | |
| |
ASSET-BACKED SECURITIES — 15.92%** | | | | | |
AGL CLO 12 Ltd., | | | | | |
Series 2021-12A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.86%) | | | | | |
7.14% | | 07/20/341,2,3 | | $ | 125,000 | | | $ | 125,134 | |
AMSR Trust, | | | | | |
Series 2020-SFR1, Class H | | | | | |
5.30% | | 04/17/371 | | | 200,000 | | | | 198,479 | |
AMSR Trust, | | | | | |
Series 2020-SFR1, Class I | | | | | |
8.19% | | 04/17/371 | | | 100,000 | | | | 99,844 | |
BCRED CLO LLC, | | | | | |
Series 2023-1A, Class A | | | | | |
(CME Term SOFR 3-Month plus 2.30%) | | | | | |
7.58% | | 01/20/361,2 | | | 250,000 | | | | 251,428 | |
Bear Mountain Park CLO Ltd., | | | | | |
Series 2022-1A, Class BR | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
7.05% | | 07/15/371,2,3 | | | 200,000 | | | | 199,352 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2022-P3, Class R | | | | | |
0.00% | | 09/10/291 | | | 1,750 | | | | 197,011 | |
Cedar Funding II CLO Ltd., | | | | | |
Series 2013-1A, Class BRR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.61%) | | | | | |
6.89% | | 04/20/341,2,3 | | | 75,000 | | | | 74,992 | |
CoreVest American Finance Trust, | | | | | |
Series 2020-1, Class A2 | | | | | |
2.30% | | 03/15/501 | | | 140,000 | | | | 132,594 | |
Crystal River CDO, | | | | | |
Series 2005-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 0.62%) | | | | | |
5.64% | | 03/02/461,2,3,4,5 | | | 419,900 | | | | 42,445 | |
Diamond Infrastructure Funding LLC, | | | | | |
Series 2021-1A, Class C | | | | | |
3.48% | | 04/15/491 | | | 215,000 | | | | 199,860 | |
Elmwood CLO 30 Ltd., | | | | | |
Series 2024-6A, Class B | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
7.05% | | 07/17/371,2,3 | | | 250,000 | | | | 250,483 | |
FirstKey Homes Trust, | | | | | |
Series 2020-SFR1, Class F2 | | | | | |
4.28% | | 08/17/371 | | | 162,000 | | | | 159,070 | |
FirstKey Homes Trust, | | | | | |
Series 2020-SFR1, Class G | | | | | |
4.78% | | 08/17/371 | | | 265,000 | | | | 259,630 | |
FirstKey Homes Trust, | | | | | |
Series 2021-SFR2, Class C | | | | | |
1.71% | | 09/17/381 | | | 250,000 | | | | 234,569 | |
FirstKey Homes Trust, | | | | | |
Series 2022-SFR1, Class D | | | | | |
5.20% | | 05/19/391 | | | 350,000 | | | | 348,019 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Flatiron RR CLO 22 LLC, | | | | | |
Series 2021-2A, Class B | | | | | |
(CME Term SOFR 3-Month plus 1.86%) | | | | | |
7.16% | | 10/15/341,2 | | $ | 250,000 | | | $ | 250,020 | |
FRTKL, | | | | | |
Series 2021-SFR1, Class G | | | | | |
4.11% | | 09/17/381 | | | 300,000 | | | | 277,573 | |
GLS Auto Receivables Issuer Trust, | | | | | |
Series 2023-2A, Class D | | | | | |
6.31% | | 03/15/291 | | | 220,000 | | | | 225,895 | |
| GoldenTree Loan Management U.S. CLO 17 Ltd., | | | | | |
Series 2023-17A, Class D | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 5.00%) | | | | | |
10.28% | | 07/20/361,2,3 | | | 175,000 | | | | 178,134 | |
| GoldenTree Loan Management U.S. CLO 20 Ltd., | | | | | |
Series 2024-20A, Class B | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.80%) | | | | | |
7.13% | | 07/20/371,2,3 | | | 90,000 | | | | 90,276 | |
Golub Capital Partners CLO 42M-R, Ltd., | | | | | |
Series 2019-42RA, Class A2R | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 2.75%) | | | | | |
8.07% | | 01/20/361,2 | | | 175,000 | | | | 177,650 | |
Golub Capital Partners CLO 66B Ltd., | | | | | |
Series 2023-66A, Class A | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.95%) | | | | | |
7.23% | | 04/25/361,2,3 | | | 250,000 | | | | 251,170 | |
Golub Capital Partners CLO 69M, Ltd., | | | | | |
Series 2023-69A, Class B1 | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 3.25%) | | | | | |
8.35% | | 11/09/361,2 | | | 250,000 | | | | 252,487 | |
HPS Loan Management Ltd. | | | | | |
Series 10A-16, Class A1RR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.40%) | | | | | |
6.68% | | 04/20/341,2,3 | | | 85,000 | | | | 85,023 | |
HPS Loan Management Ltd., | | | | | |
Series 2023-18A, Class D | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 5.75%) | | | | | |
11.03% | | 07/20/361,2,3 | | | 175,000 | | | | 178,927 | |
HPS Loan Management Ltd., | | | | | |
Series 2024-19A, Class C2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 2.90%) | | | | | |
8.22% | | 04/15/371,2,3 | | | 250,000 | | | | 253,608 | |
KGS-Alpha SBA COOF Trust, | | | | | |
Series 2015-1, Class A (IO) | | | | | |
1.66% | | 10/25/351,6 | | | 640,649 | | | | 22,159 | |
See accompanying Notes to Financial Statements.
|
| 81 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Neuberger Berman Loan Advisers CLO 43 Ltd., | | | | | |
Series 2021-43A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.39%) | | | | | |
6.68% | | 07/17/351,2,3 | | $ | 85,000 | | | $ | 85,001 | |
Neuberger Berman Loan Advisers CLO 56 Ltd., | | | | | |
Series 2024-56A, Class SUB | | | | | |
(Cayman Islands) | | | | | |
0.00% | | 07/24/371,3,6 | | | 250,000 | | | | 218,678 | |
OCP CLO Ltd., | | | | | |
Series 2021-21A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.96%) | | | | | |
7.24% | | 07/20/341,2,3 | | | 50,000 | | | | 50,009 | |
OCP CLO Ltd., | | | | | |
Series 2023-28A, Class D | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 5.35%) | | | | | |
10.64% | | 07/16/361,2,3 | | | 250,000 | | | | 255,102 | |
Octagon Investment Partners 46 Ltd., | | | | | |
Series 2020-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.91%) | | | | | |
7.21% | | 07/15/361,2,3 | | | 125,000 | | | | 125,001 | |
OHA Credit Funding 7 Ltd., | | | | | |
Series 2020-7A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.30%) | | | | | |
6.58% | | 02/24/371,2,3 | | | 150,000 | | | | 150,044 | |
Palmer Square CLO Ltd., | | | | | |
Series 2024-3A, Class SUB | | | | | |
(Cayman Islands) | | | | | |
0.00% | | 07/20/371,3,6 | | | 250,000 | | | | 235,050 | |
Park Avenue Institutional Advisers CLO Ltd., | | | | | |
Series 2021-1A, Class A2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 2.01%) | | | | | |
7.29% | | 01/20/341,2,3 | | | 40,000 | | | | 40,004 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR6, Class G | | | | | |
4.00% | | 07/17/381 | | | 250,000 | | | | 235,261 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR7, Class F | | | | | |
3.83% | | 08/17/401 | | | 220,000 | | | | 201,289 | |
Progress Residential, | | | | | |
Series 2021-SFR1, Class F | | | | | |
2.76% | | 04/17/381 | | | 292,000 | | | | 279,498 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class E1 | | | | | |
2.54% | | 05/17/261 | | | 225,000 | | | | 216,131 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class F | | | | | |
3.44% | | 05/17/261 | | | 200,000 | | | | 191,607 | |
Progress Residential, | | | | | |
Series 2021-SFR4, Class F | | | | | |
3.41% | | 05/17/381 | | | 320,000 | | | | 301,636 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Rad CLO 22 Ltd., | | | | | |
Series 2023-22A, Class D | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 5.00%) | | | | | |
10.28% | | 01/20/371,2,3 | | $ | 100,000 | | | $ | 103,001 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2017-3A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.45%) | | | | | |
6.73% | | 10/20/301,2,3 | | | 57,668 | | | | 57,708 | |
Rockford Tower CLO Ltd., | | | | | |
Series 2021-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.91%) | | | | | |
7.19% | | 07/20/341,2,3 | | | 75,000 | | | | 75,001 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | 05/10/374,5 | | | 59,589 | | | | 55,143 | |
SLC Student Loan Trust, | | | | | |
Series 2004-1, Class B | | | | | |
(SOFR90A plus 0.55%) | | | | | |
5.92% | | 08/15/312 | | | 83,735 | | | | 73,853 | |
SLM Student Loan Trust, | | | | | |
Series 2007-7, Class B | | | | | |
(SOFR90A plus 1.01%) | | | | | |
6.37% | | 10/27/702 | | | 215,000 | | | | 215,518 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class B | | | | | |
(SOFR90A plus 1.46%) | | | | | |
6.82% | | 01/25/832 | | | 340,000 | | | | 350,191 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class B | | | | | |
(SOFR90A plus 1.46%) | | | | | |
6.82% | | 04/26/832 | | | 340,000 | | | | 347,488 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | 04/25/732 | | | 340,000 | | | | 353,850 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | 07/25/732 | | | 235,000 | | | | 240,663 | |
Stratus CLO Ltd., | | | | | |
Series 2021-3A, Class SUB | | | | | |
(Cayman Islands) | | | | | |
0.00% | | 12/29/291,3,6 | | | 250,000 | | | | 30,000 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-A, Class B | | | | | |
7.61% | | 01/16/461 | | | 225,557 | | | | 231,468 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-B, Class B | | | | | |
7.97% | | 08/15/361 | | | 260,027 | | | | 269,231 | |
Textainer Marine Containers VII Ltd., | | | | | |
Series 2021-2A, Class A | | | | | |
(Bermuda) | | | | | |
2.23% | | 04/20/461,3 | | | 181,667 | | | | 167,735 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 82 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
TIF Funding II LLC, | | | | | |
Series 2021-1A, Class A | | | | | |
1.65% | | 02/20/461 | | $ | 378,513 | | | $ | 340,162 | |
Trestles CLO V Ltd., | | | | | |
Series 2021-5A, Class A1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.43%) | | | | | |
6.71% | | 10/20/341,2,3 | | | 90,000 | | | | 90,127 | |
Tricon American Homes, | | | | | |
Series 2020-SFR1, Class D | | | | | |
2.55% | | 07/17/381 | | | 133,000 | | | | 127,716 | |
Tricon American Homes, | | | | | |
Series 2020-SFR1, Class F | | | | | |
4.88% | | 07/17/381 | | | 244,000 | | | | 242,762 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $11,097,936) | | | | 10,971,760 | |
| | | | | | | | | | | | |
| |
| CORPORATES — 23.71%* | | | | | |
| |
Banking — 4.50% | | | | | |
Bank of America Corp. | | | | | |
3.42% | | 12/20/286 | | | 35,000 | | | | 34,064 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
1.32% | | 06/19/266 | | | 100,000 | | | | 97,542 | |
1.53% | | 12/06/256 | | | 165,000 | | | | 163,834 | |
1.92% | | 10/24/316 | | | 585,000 | | | | 504,749 | |
3.82% | | 01/20/286 | | | 110,000 | | | | 108,831 | |
Bank of America Corp., | | | | | |
Series RR, NVS | | | | | |
4.38%6,7 | | | 15,000 | | | | 14,598 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.10% | | 06/04/263,6 | | | 330,000 | | | | 323,720 | |
2.36% | | 08/18/313,6 | | | 50,000 | | | | 44,038 | |
JPMorgan Chase & Co. | | | | | |
1.04% | | 02/04/276 | | | 250,000 | | | | 239,024 | |
1.56% | | 12/10/256 | | | 505,000 | | | | 501,198 | |
1.58% | | 04/22/276 | | | 55,000 | | | | 52,730 | |
2.07% | | 06/01/296 | | | 205,000 | | | | 189,763 | |
JPMorgan Chase & Co., | | | | | |
NVS | | | | | |
1.05% | | 11/19/266 | | | 5,000 | | | | 4,807 | |
PNC Financial Services Group, Inc. (The) | | | | | |
6.88% | | 10/20/346 | | | 85,000 | | | | 97,432 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.67% | | 06/14/273,6 | | | 50,000 | | | | 47,575 | |
U.S. Bancorp | | | | | |
4.84% | | 02/01/346 | | | 80,000 | | | | 80,001 | |
5.84% | | 06/12/346 | | | 15,000 | | | | 16,036 | |
U.S. Bancorp, | | | | | |
NVS | | | | | |
3.70%6,7 | | | 15,000 | | | | 13,844 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | 02/11/266 | | | 240,000 | | | | 237,438 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
2.39% | | 06/02/286 | | $ | 45,000 | | | $ | 42,794 | |
2.57% | | 02/11/316 | | | 95,000 | | | | 86,329 | |
3.35% | | 03/02/336 | | | 175,000 | | | | 160,150 | |
5.57% | | 07/25/296 | | | 40,000 | | | | 41,634 | |
| | | | | | | | | | | | |
| | | | 3,102,131 | |
| | | | | | | | | | | | |
| |
| Communications — 2.71% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.50% | | 10/15/291,3 | | | 58,000 | | | | 40,819 | |
8.13% | | 02/01/271,3 | | | 5,000 | | | | 4,070 | |
Cable One, Inc. | | | | | |
4.00% | | 11/15/301 | | | 40,000 | | | | 31,900 | |
| CCO Holdings, LLC/CCO Holdings Capital Corp. | | | | | |
4.50% | | 06/01/331 | | | 75,000 | | | | 63,763 | |
Charter Communications Operating LLC/Charter | | | | | |
Communications Operating Capital | | | | | |
3.70% | | 04/01/51 | | | 54,000 | | | | 34,466 | |
3.90% | | 06/01/52 | | | 149,000 | | | | 97,693 | |
4.80% | | 03/01/50 | | | 50,000 | | | | 38,267 | |
6.65% | | 02/01/34 | | | 50,000 | | | | 52,296 | |
Cogent Communications Group LLC, | | | | | |
7.00% | | 06/15/271 | | | 38,000 | | | | 38,681 | |
CSC Holdings LLC | | | | | |
6.50% | | 02/01/291 | | | 92,000 | | | | 76,221 | |
7.50% | | 04/01/281 | | | 28,000 | | | | 18,710 | |
11.75% | | 01/31/291 | | | 89,000 | | | | 86,028 | |
Frontier Communications Holdings LLC | | | | | |
5.88% | | 10/15/271 | | | 75,000 | | | | 75,359 | |
8.63% | | 03/15/311 | | | 111,000 | | | | 119,828 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
6.50% | | 03/15/301,3 | | | 28,000 | | | | 26,922 | |
Scripps Escrow, Inc. | | | | | |
5.88% | | 07/15/271 | | | 66,000 | | | | 57,570 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/441 | | | 200,000 | | | | 161,158 | |
Sirius XM Radio, Inc. | | | | | |
3.88% | | 09/01/311 | | | 90,000 | | | | 78,512 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
4.74% | | 03/20/251 | | | 22,500 | | | | 22,513 | |
5.15% | | 03/20/281 | | | 367,500 | | | | 371,892 | |
Time Warner Cable LLC | | | | | |
5.50% | | 09/01/41 | | | 154,000 | | | | 133,949 | |
5.88% | | 11/15/40 | | | 10,000 | | | | 9,063 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | 02/15/26 | | | 66,000 | | | | 64,176 | |
VZ Secured Financing BV | | | | | |
(Netherlands) | | | | | |
5.00% | | 01/15/321,3 | | | 175,000 | | | | 161,351 | |
| | | | | | | | | | | | |
| | | | 1,865,207 | |
| | | | | | | | | | | | |
| |
| Consumer Discretionary — 1.30% | | | | | |
BAT Capital Corp. | | | | | |
2.73% | | 03/25/31 | | | 25,000 | | | | 22,354 | |
See accompanying Notes to Financial Statements.
|
| 83 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
5.65% | | 03/16/52 | | $ | 125,000 | | | $ | 122,026 | |
Central Garden & Pet Co. | | | | | |
4.13% | | 10/15/30 | | | 40,000 | | | | 37,248 | |
Edgewell Personal Care Co. | | | | | |
5.50% | | 06/01/281 | | | 32,000 | | | | 31,817 | |
Everi Holdings, Inc. | | | | | |
5.00% | | 07/15/291 | | | 73,000 | | | | 72,789 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
6.13% | | 07/27/271,3 | | | 70,000 | | | | 72,835 | |
JDE Peet’s NV | | | | | |
(Netherlands) | | | | | |
2.25% | | 09/24/311,3 | | | 200,000 | | | | 167,693 | |
Spectrum Brands, Inc. | | | | | |
3.88% | | 03/15/311 | | | 8,000 | | | | 7,118 | |
WarnerMedia Holdings, Inc. | | | | | |
4.28% | | 03/15/32 | | | 40,000 | | | | 35,546 | |
5.05% | | 03/15/42 | | | 70,000 | | | | 57,242 | |
5.14% | | 03/15/52 | | | 345,000 | | | | 266,255 | |
| | | | | | | | | | | | |
| | | | 892,923 | |
| | | | | | | | | | | | |
| |
| Diversified REITs — 0.63% | | | | | |
American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 30,000 | | | | 26,136 | |
6.15% | | 10/01/34 | | | 35,000 | | | | 35,411 | |
Crown Castle, Inc. | | | | | |
3.80% | | 02/15/28 | | | 160,000 | | | | 157,113 | |
Digital Intrepid Holding BV | | | | | |
(Netherlands) | | | | | |
0.63% | | 07/15/313 | | | 100,000 | | | | 91,584 | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.00% | | 01/15/31 | | | 50,000 | | | | 46,930 | |
5.38% | | 04/15/26 | | | 25,000 | | | | 25,121 | |
5.75% | | 06/01/28 | | | 25,000 | | | | 25,688 | |
VICI Properties LP | | | | | |
4.95% | | 02/15/30 | | | 5,000 | | | | 5,035 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
4.13% | | 08/15/301 | | | 12,000 | | | | 11,409 | |
4.50% | | 01/15/281 | | | 9,000 | | | | 8,885 | |
| | | | | | | | | | | | |
| | | | 433,312 | |
| | | | | | | | | | | | |
| |
| Electric — 1.72% | | | | | |
Alliant Energy Finance, LLC | | | | | |
3.60% | | 03/01/321 | | | 55,000 | | | | 50,055 | |
Alpha Generation LLC | | | | | |
6.75% | | 10/15/321 | | | 40,000 | | | | 40,619 | |
American Electric Power Co., Inc. | | | | | |
5.63% | | 03/01/33 | | | 60,000 | | | | 63,413 | |
Arizona Public Service Co. | | | | | |
6.35% | | 12/15/32 | | | 195,000 | | | | 214,505 | |
Commonwealth Edison Co. | | | | | |
5.30% | | 02/01/53 | | | 130,000 | | | | 133,482 | |
Duke Energy Carolinas LLC | | | | | |
5.35% | | 01/15/53 | | | 30,000 | | | | 31,000 | |
Duke Energy Corp. | | | | | |
3.75% | | 04/01/31 | | | 100,000 | | | | 112,995 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Electric (continued) | | | | | |
3.85% | | 06/15/34 | | $ | 100,000 | | | $ | 112,483 | |
Entergy Texas, Inc. | | | | | |
3.45% | | 12/01/27 | | | 150,000 | | | | 146,201 | |
FirstEnergy Pennsylvania Electric Co. | | | | | |
4.00% | | 04/15/251 | | | 75,000 | | | | 74,615 | |
FirstEnergy Transmission LLC | | | | | |
2.87% | | 09/15/281 | | | 39,000 | | | | 36,905 | |
Jersey Central Power & Light Co. | | | | | |
4.30% | | 01/15/261 | | | 100,000 | | | | 99,652 | |
Tucson Electric Power Co. | | | | | |
5.50% | | 04/15/53 | | | 65,000 | | | | 66,654 | |
| | | | | | | | | | | | |
| | | | 1,182,579 | |
| | | | | | | | | | | | |
| |
| Energy — 1.03% | | | | | |
Energy Transfer LP | | | | | |
5.00% | | 05/15/50 | | | 65,000 | | | | 58,772 | |
5.50% | | 06/01/27 | | | 3,000 | | | | 3,078 | |
Global Partners LP/GLP Finance Corp. | | | | | |
6.88% | | 01/15/29 | | | 41,000 | | | | 41,249 | |
8.25% | | 01/15/321 | | | 75,000 | | | | 77,986 | |
KeySpan Gas East Corp. | | | | | |
5.99% | | 03/06/331 | | | 65,000 | | | | 68,248 | |
Kinder Morgan Energy Partners LP | | | | | |
5.00% | | 08/15/42 | | | 45,000 | | | | 41,886 | |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | | | |
8.38% | | 02/15/321 | | | 30,000 | | | | 30,939 | |
Petroleos Mexicanos | | | | | |
(Mexico) | | | | | |
6.35% | | 02/12/483 | | | 5,000 | | | | 3,461 | |
Southern Co. Gas Capital Corp. | | | | | |
3.88% | | 11/15/25 | | | 70,000 | | | | 69,494 | |
Sunoco LP/Sunoco Finance Corp. | | | | | |
4.50% | | 05/15/29 | | | 56,000 | | | | 53,869 | |
4.50% | | 04/30/30 | | | 9,000 | | | | 8,627 | |
TransCanada PipeLines Ltd. | | | | | |
(Canada) | | | | | |
4.63% | | 03/01/343 | | | 5,000 | | | | 4,937 | |
TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | 02/15/26 | | | 73,000 | | | | 71,859 | |
| USA Compression Partners LP/USA Compression Finance Corp. | | | | | |
7.13% | | 03/15/291 | | | 40,000 | | | | 41,237 | |
Venture Global Calcasieu Pass LLC | | | | | |
3.88% | | 08/15/291 | | | 60,000 | | | | 56,758 | |
Venture Global LNG, Inc. | | | | | |
7.00% | | 01/15/301 | | | 35,000 | | | | 35,966 | |
9.50% | | 02/01/291 | | | 35,000 | | | | 39,410 | |
| | | | | | | | | | | | |
| | | | 707,776 | |
| | | | | | | | | | | | |
| |
| Finance — 2.92% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | | | | | |
(Ireland) | | | | | |
2.45% | | 10/29/263 | | | 75,000 | | | | 72,063 | |
5.75% | | 06/06/283 | | | 35,000 | | | | 36,499 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 84 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Finance (continued) | | | | | |
Air Lease Corp. | | | | | |
(MTN) | | | | | |
2.30% | | 02/01/25 | | $ | 75,000 | | | $ | 74,281 | |
American Express Co., | | | | | |
NVS | | | | | |
3.55%6,7 | | | 15,000 | | | | 14,266 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | 11/18/271,3 | | | 185,000 | | | | 172,732 | |
3.25% | | 02/15/271,3 | | | 15,000 | | | | 14,473 | |
Charles Schwab Corp. (The) | | | | | |
Series K, NVS | | | | | |
5.00%6,7 | | | 15,000 | | | | 14,715 | |
Citigroup, Inc. | | | | | |
2.52% | | 11/03/326 | | | 140,000 | | | | 121,522 | |
2.98% | | 11/05/306 | | | 20,000 | | | | 18,611 | |
3.52% | | 10/27/286 | | | 5,000 | | | | 4,883 | |
GGAM Finance Ltd. | | | | | |
(Cayman Islands) | | | | | |
8.00% | | 02/15/271,3 | | | 35,000 | | | | 36,610 | |
8.00% | | 06/15/281,3 | | | 68,000 | | | | 72,962 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | 09/10/276 | | | 235,000 | | | | 222,782 | |
1.95% | | 10/21/276 | | | 10,000 | | | | 9,536 | |
Goldman Sachs Group, Inc. (The), | | | | | |
Series VAR | | | | | |
1.09% | | 12/09/266 | | | 625,000 | | | | 599,641 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | | | |
4.38% | | 02/01/29 | | | 33,000 | | | | 28,882 | |
9.00% | | 06/15/301 | | | 77,000 | | | | 77,564 | |
9.75% | | 01/15/291 | | | 15,000 | | | | 15,577 | |
Jane Street Group/JSG Finance, Inc. | | | | | |
4.50% | | 11/15/291 | | | 74,000 | | | | 71,340 | |
Morgan Stanley | | | | | |
2.19% | | 04/28/266 | | | 180,000 | | | | 177,231 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
2.24% | | 07/21/326 | | | 90,000 | | | | 77,516 | |
Morgan Stanley | | | | | |
(MTN) | | | | | |
1.93% | | 04/28/326 | | | 35,000 | | | | 29,710 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
2.97% | | 02/16/281,3,6 | | | 50,000 | | | | 48,228 | |
| | | | | | | | | | | | |
| | | | 2,011,624 | |
| | | | | | | | | | | | |
| |
| Food — 0.52% | | | | | |
B&G Foods, Inc. | | | | | |
5.25% | | 04/01/25 | | | 11,000 | | | | 10,996 | |
ELO SACA | | | | | |
(EMTN) | | | | | |
(France) | | | | | |
6.00% | | 03/22/293 | | | 100,000 | | | | 103,537 | |
| H-Food Holdings LLC/Hearthside Finance Co., Inc. | | | | | |
8.50% | | 06/01/261 | | | 66,000 | | | | 4,843 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Food (continued) | | | | | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl | | | | | |
(Luxembourg) | | | | | |
3.75% | | 12/01/313 | | $ | 52,000 | | | $ | 47,838 | |
5.50% | | 01/15/303 | | | 25,000 | | | | 25,336 | |
6.50% | | 12/01/523 | | | 10,000 | | | | 10,670 | |
6.75% | | 03/15/341,3 | | | 47,000 | | | | 52,088 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 36,000 | | | | 32,021 | |
4.25% | | 04/15/31 | | | 25,000 | | | | 23,770 | |
6.25% | | 07/01/33 | | | 10,000 | | | | 10,617 | |
Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/311 | | | 45,000 | | | | 38,166 | |
| | | | | | | | | | | | |
| | | | 359,882 | |
| | | | | | | | | | | | |
| |
| Gaming — 0.16% | | | | | |
Penn Entertainment, Inc. | | | | | |
4.13% | | 07/01/291 | | | 79,000 | | | | 72,064 | |
5.63% | | 01/15/271 | | | 36,000 | | | | 35,702 | |
| | | | | | | | | | | | |
| | | | 107,766 | |
| | | | | | | | | | | | |
| |
| Health Care — 1.95% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | 01/30/281,3 | | | 104,000 | | | | 103,182 | |
AbbVie, Inc. | | | | | |
3.60% | | 05/14/25 | | | 50,000 | | | | 49,691 | |
Bayer U.S. Finance II LLC | | | | | |
2.85% | | 04/15/251 | | | 20,000 | | | | 19,753 | |
4.63% | | 06/25/381 | | | 156,000 | | | | 141,817 | |
4.88% | | 06/25/481 | | | 50,000 | | | | 43,402 | |
Bayer U.S. Finance LLC | | | | | |
6.88% | | 11/21/531 | | | 70,000 | | | | 78,480 | |
Catalent Pharma Solutions, Inc. | | | | | |
3.13% | | 02/15/291 | | | 115,000 | | | | 113,068 | |
Centene Corp. | | | | | |
3.00% | | 10/15/30 | | | 129,000 | | | | 115,527 | |
CommonSpirit Health | | | | | |
2.78% | | 10/01/30 | | | 40,000 | | | | 36,393 | |
Encompass Health Corp. | | | | | |
4.50% | | 02/01/28 | | | 20,000 | | | | 19,642 | |
Fortrea Holdings, Inc. | | | | | |
7.50% | | 07/01/301 | | | 35,000 | | | | 35,321 | |
Fresenius Medical Care U.S. Finance III, Inc. | | | | | |
1.88% | | 12/01/261 | | | 30,000 | | | | 28,242 | |
Grifols SA | | | | | |
(Spain) | | | | | |
4.75% | | 10/15/281,3 | | | 124,000 | | | | 116,410 | |
HAH Group Holding Co. LLC | | | | | |
9.75% | | 10/01/311 | | | 35,000 | | | | 35,308 | |
HCA, Inc. | | | | | |
5.25% | | 04/15/25 | | | 12,000 | | | | 12,019 | |
5.63% | | 09/01/28 | | | 14,000 | | | | 14,540 | |
Kedrion SpA | | | | | |
(Italy) | | | | | |
6.50% | | 09/01/291,3 | | | 70,000 | | | | 66,781 | |
See accompanying Notes to Financial Statements.
|
| 85 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care (continued) | | | | | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/291 | | $ | 154,000 | | | $ | 96,795 | |
Option Care Health, Inc. | | | | | |
4.38% | | 10/31/291 | | | 72,000 | | | | 68,450 | |
Prestige Brands, Inc. | | | | | |
3.75% | | 04/01/311 | | | 116,000 | | | | 106,405 | |
Sotera Health Holdings LLC | | | | | |
7.38% | | 06/01/311 | | | 30,000 | | | | 31,209 | |
Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | | 15,000 | | | | 14,212 | |
| | | | | | | | | | | | |
| | | | 1,346,647 | |
| | | | | | | | | | | | |
| |
| Health Care REITs — 0.12% | | | | | |
Healthcare Realty Holdings LP | | | | | |
2.05% | | 03/15/31 | | | 10,000 | | | | 8,247 | |
3.10% | | 02/15/30 | | | 5,000 | | | | 4,597 | |
3.63% | | 01/15/28 | | | 70,000 | | | | 67,431 | |
| | | | | | | | | | | | |
| | | | 80,275 | |
| | | | | | | | | | | | |
| |
| Industrial REITs — 0.28% | | | | | |
LXP Industrial Trust | | | | | |
2.38% | | 10/01/31 | | | 55,000 | | | | 46,124 | |
2.70% | | 09/15/30 | | | 35,000 | | | | 31,155 | |
Prologis Euro Finance LLC | | | | | |
4.00% | | 05/05/34 | | | 100,000 | | | | 114,388 | |
Rexford Industrial Realty LP | | | | | |
2.15% | | 09/01/31 | | | 5,000 | | | | 4,219 | |
| | | | | | | | | | | | |
| | | | 195,886 | |
| | | | | | | | | | | | |
| |
| Industrials — 1.33% | | | | | |
Advanced Drainage Systems, Inc. | | | | | |
6.38% | | 06/15/301 | | | 14,000 | | | | 14,308 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | | | | | |
(Canada) | | | | | |
4.13% | | 08/15/261,3 | | | 25,000 | | | | 22,550 | |
5.25% | | 08/15/271,3 | | | 90,000 | | | | 64,569 | |
Artera Services LLC | | | | | |
8.50% | | 02/15/311 | | | 65,000 | | | | 64,496 | |
Berry Global, Inc. | | | | | |
1.65% | | 01/15/27 | | | 5,000 | | | | 4,697 | |
4.88% | | 07/15/261 | | | 24,000 | | | | 23,937 | |
5.50% | | 04/15/28 | | | 115,000 | | | | 118,034 | |
5.65% | | 01/15/341 | | | 20,000 | | | | 20,565 | |
Boeing Co. (The) | | | | | |
4.88% | | 05/01/25 | | | 10,000 | | | | 9,971 | |
5.81% | | 05/01/50 | | | 80,000 | | | | 77,343 | |
6.53% | | 05/01/341 | | | 35,000 | | | | 37,562 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(CME Term SOFR 3-Month plus 0.74%) | | | | | |
5.86% | | 08/15/362 | | | 325,000 | | | | 306,989 | |
OT Merger Corp. | | | | | |
7.88% | | 10/15/291 | | | 123,000 | | | | 51,022 | |
TransDigm, Inc. | | | | | |
6.75% | | 08/15/281 | | | 97,000 | | | | 99,992 | |
| | | | | | | | | | | | |
| | | | 916,035 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Information Technology — 0.81% | | | | | |
Gen Digital, Inc. | | | | | |
6.75% | | 09/30/271 | | $ | 65,000 | | | $ | 66,886 | |
| Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL | | | | | |
8.75% | | 05/01/291 | | | 25,000 | | | | 25,564 | |
NCR Voyix Corp. | | | | | |
5.13% | | 04/15/291 | | | 13,000 | | | | 12,728 | |
Netflix, Inc. | | | | | |
5.88% | | 02/15/25 | | | 50,000 | | | | 50,181 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/271,3 | | | 178,000 | | | | 187,926 | |
Oracle Corp. | | | | | |
6.50% | | 04/15/38 | | | 70,000 | | | | 79,630 | |
Uber Technologies, Inc. | | | | | |
4.30% | | 01/15/30 | | | 135,000 | | | | 134,561 | |
| | | | | | | | | | | | |
| | | | 557,476 | |
| | | | | | | | | | | | |
| |
| Insurance — 0.87% | | | | | |
Acrisure LLC/Acrisure Finance, Inc. | | | | | |
6.00% | | 08/01/291 | | | 39,000 | | | | 37,657 | |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | | | | | |
6.75% | | 10/15/271 | | | 66,000 | | | | 65,832 | |
Athene Global Funding | | | | | |
1.61% | | 06/29/261 | | | 30,000 | | | | 28,570 | |
1.99% | | 08/19/281 | | | 100,000 | | | | 90,861 | |
3.21% | | 03/08/271 | | | 25,000 | | | | 24,049 | |
Farmers Exchange Capital II | | | | | |
6.15% | | 11/01/531,6 | | | 50,000 | | | | 47,449 | |
Farmers Insurance Exchange | | | | | |
4.75% | | 11/01/571,6 | | | 25,000 | | | | 20,592 | |
Metropolitan Life Global Funding I | | | | | |
4.30% | | 08/25/291 | | | 150,000 | | | | 150,492 | |
Nationwide Mutual Insurance Co. | | | | | |
7.50% | | 12/15/241,6 | | | 75,000 | | | | 75,210 | |
| Teachers Insurance & Annuity Association of America | | | | | |
4.27% | | 05/15/471 | | | 65,000 | | | | 56,779 | |
| | | | | | | | | | | | |
| | | | 597,491 | |
| | | | | | | | | | | | |
| |
| Materials — 0.69% | | | | | |
ATI, Inc. | | | | | |
7.25% | | 08/15/30 | | | 35,000 | | | | 37,336 | |
Axalta Coating Systems, LLC | | | | | |
3.38% | | 02/15/291 | | | 76,000 | | | | 71,247 | |
Clearwater Paper Corp. | | | | | |
4.75% | | 08/15/281 | | | 112,000 | | | | 105,537 | |
International Flavors & Fragrances, Inc. | | | | | |
1.83% | | 10/15/271 | | | 110,000 | | | | 101,946 | |
2.30% | | 11/01/301 | | | 66,000 | | | | 57,907 | |
3.27% | | 11/15/401 | | | 5,000 | | | | 3,834 | |
3.47% | | 12/01/501 | | | 15,000 | | | | 10,661 | |
4.38% | | 06/01/47 | | | 20,000 | | | | 16,830 | |
Valvoline, Inc. | | | | | |
3.63% | | 06/15/311 | | | 80,000 | | | | 71,620 | |
| | | | | | | | | | | | |
| | | | 476,918 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 86 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Office REITs — 0.17% | | | | | |
Hudson Pacific Properties LP | | | | | |
3.25% | | 01/15/30 | | $ | 120,000 | | | $ | 91,051 | |
3.95% | | 11/01/27 | | | 10,000 | | | | 9,067 | |
4.65% | | 04/01/29 | | | 15,000 | | | | 12,464 | |
5.95% | | 02/15/28 | | | 5,000 | | | | 4,586 | |
| | | | | | | | | | | | |
| | | | 117,168 | |
| | | | | | | | | | | | |
| |
| Residential REITs — 0.31% | | | | | |
American Homes 4 Rent LP | | | | | |
3.38% | | 07/15/51 | | | 40,000 | | | | 28,215 | |
4.30% | | 04/15/52 | | | 50,000 | | | | 41,433 | |
Invitation Homes Operating Partnership LP | | | | | |
2.00% | | 08/15/31 | | | 170,000 | | | | 142,765 | |
5.50% | | 08/15/33 | | | 5,000 | | | | 5,174 | |
| | | | | | | | | | | | |
| | | | 217,587 | |
| | | | | | | | | | | | |
| |
| Retail — 0.34% | | | | | |
Ferrellgas LP/Ferrellgas Finance Corp. | | | | | |
5.88% | | 04/01/291 | | | 85,000 | | | | 79,648 | |
| Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. | | | | | |
6.75% | | 01/15/301 | | | 26,000 | | | | 24,222 | |
FirstCash, Inc. | | | | | |
6.88% | | 03/01/321 | | | 40,000 | | | | 41,254 | |
Michaels Cos., Inc. (The) | | | | | |
7.88% | | 05/01/291 | | | 93,000 | | | | 54,779 | |
Papa John’s International, Inc. | | | | | |
3.88% | | 09/15/291 | | | 35,000 | | | | 32,419 | |
| | | | | | | | | | | | |
| | | | 232,322 | |
| | | | | | | | | | | | |
| |
| Services — 0.44% | | | | | |
Adtalem Global Education, Inc. | | | | | |
5.50% | | 03/01/281 | | | 76,000 | | | | 75,341 | |
HealthEquity, Inc. | | | | | |
4.50% | | 10/01/291 | | | 75,000 | | | | 72,620 | |
Hertz Corp. (The) | | | | | |
4.63% | | 12/01/261 | | | 3,000 | | | | 2,366 | |
VT Topco, Inc. | | | | | |
8.50% | | 08/15/301 | | | 70,000 | | | | 74,802 | |
Worldline SA | | | | | |
(France) | | | | | |
0.00% | | 07/30/253,8 | | | 300 | | | | 37,449 | |
0.00% | | 07/30/263,8 | | | 400 | | | | 40,676 | |
| | | | | | | | | | | | |
| | | | 303,254 | |
| | | | | | | | | | | | |
| |
| Specialized REITs — 0.60% | | | | | |
Annington Funding PLC | | | | | |
(EMTN) | | | | | |
(United Kingdom) | | | | | |
2.31% | | 10/06/323 | | | 100,000 | | | | 105,546 | |
| Blackstone Property Partners Europe Holdings SARL | | | | | |
(EMTN) | | | | | |
(Luxembourg) | | | | | |
1.63% | | 04/20/303 | | | 100,000 | | | | 99,122 | |
Extra Space Storage LP | | | | | |
2.40% | | 10/15/31 | | | 50,000 | | | | 43,045 | |
2.55% | | 06/01/31 | | | 15,000 | | | | 13,075 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Specialized REITs (continued) | | | | | |
Greystar Real Estate Partners LLC | | | | | |
7.75% | | 09/01/301 | | $ | 35,000 | | | $ | 37,235 | |
Realty Income Corp. | | | | | |
4.88% | | 07/06/30 | | | 100,000 | | | | 119,375 | |
| | | | | | | | | | | | |
| | | | 417,398 | |
| | | | | | | | | | | | |
| |
| Transportation — 0.31% | | | | | |
JetBlue Airways Pass-Through Trust, | | | | | |
Series 2020-1, Class A | | | | | |
4.00% | | 11/15/32 | | | 77,097 | | | | 73,625 | |
United Airlines Pass-Through Trust, | | | | | |
Series 2023-1, Class A | | | | | |
5.80% | | 01/15/36 | | | 131,984 | | | | 138,743 | |
| | | | | | | | | | | | |
| | | | 212,368 | |
| | | | | | | | | | | | |
| |
Total Corporates (Cost $16,176,140) | | | | 16,334,025 | |
| | | | | | | | | | | | |
| |
| MORTGAGE-BACKED — 52.37%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 6.24% | |
1211 Avenue of the Americas Trust, | | | | | |
Series 2015-1211, Class A1A2 | | | | | |
3.90% | | 08/10/351 | | | 137,000 | | | | 134,567 | |
1211 Avenue of the Americas Trust, | | | | | |
Series 2015-1211, Class B | | | | | |
4.23% | | 08/10/351,6 | | | 150,000 | | | | 146,515 | |
280 Park Avenue Mortgage Trust, | | | | | |
Series 2017-280P, Class E | | | | | |
(CME Term SOFR 1-Month plus 2.42%) | | | | | |
7.54% | | 09/15/341,2 | | | 150,000 | | | | 139,160 | |
Banc of America Commercial Mortgage Trust, | | | | | |
Series 2015-UBS7, Class XE (IO) | | | | | |
1.25% | | 09/15/481,6 | | | 1,500,000 | | | | 15,493 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2019-BPR, Class AMP | | | | | |
3.29% | | 11/05/321 | | | 100,000 | | | | 97,087 | |
BANK, | | | | | |
Series 2020-BN25, Class AS | | | | | |
2.84% | | 01/15/63 | | | 258,000 | | | | 229,531 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-VOLT, Class F | | | | | |
(CME Term SOFR 1-Month plus 2.51%) | | | | | |
7.61% | | 09/15/361,2 | | | 100,000 | | | | 99,379 | |
BX Trust, | | | | | |
Series 2021-LBA, Class DV | | | | | |
(CME Term SOFR 1-Month plus 1.71%) | | | | | |
6.81% | | 02/15/361,2 | | | 229,335 | | | | 223,710 | |
BXHPP Trust, | | | | | |
Series 2021-FILM, Class C | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.31% | | 08/15/361,2 | | | 120,000 | | | | 112,791 | |
BXHPP Trust, | | | | | |
Series 2021-FILM, Class D | | | | | |
(CME Term SOFR 1-Month plus 1.61%) | | | | | |
6.71% | | 08/15/361,2 | | | 100,000 | | | | 92,885 | |
See accompanying Notes to Financial Statements.
|
| 87 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2014-GC25, Class XA (IO) | | | | | |
0.77% | | 10/10/476 | | $ | 622,722 | | | $ | 9 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2016-P4, Class XA (IO) | | | | | |
2.05% | | 07/10/496 | | | 1,930,185 | | | | 44,438 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2018-C5, Class AS | | | | | |
4.41% | | 06/10/516 | | | 222,000 | | | | 216,735 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2020-555, Class G | | | | | |
3.62% | | 12/10/411,6 | | | 200,000 | | | | 153,922 | |
COBALT CMBS Commercial Mortgage Trust, | | | | | |
Series 2007-C2, Class X (IO) | | | | | |
0.65% | | 04/15/471,6 | | | 852,871 | | | | 3,817 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-CR12, Class XA (IO) | | | | | |
0.74% | | 10/10/466 | | | 128,874 | | | | 3 | |
Commercial Mortgage Trust, | | | | | |
Series 2020-CBM, Class XCP (IO) | | | | | |
0.72% | | 02/10/371,6 | | | 1,667,987 | | | | 27 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2014-USA, Class X1 (IO) | | | | | |
0.69% | | 09/15/371,6 | | | 9,783,817 | | | | 15,504 | |
CSAIL Commercial Mortgage Trust, | | | | | |
Series 2015-C1, Class XA (IO) | | | | | |
0.87% | | 04/15/506 | | | 1,084,207 | | | | 572 | |
DROP Mortgage Trust, | | | | | |
Series 2021-FILE, Class D | | | | | |
(CME Term SOFR 1-Month plus 2.86%) | | | | | |
7.96% | | 10/15/431,2 | | | 150,000 | | | | 123,127 | |
FREMF Mortgage Trust, | | | | | |
Series 2017-K66, Class X2A (IO) | | | | | |
0.10% | | 06/25/271 | | | 41,928,411 | | | | 84,096 | |
FREMF Mortgage Trust, | | | | | |
Series 2017-K726, Class X2B (IO) | | | | | |
0.10% | | 07/25/491 | | | 4,303,859 | | | | 31 | |
Frost CMBS DAC, | | | | | |
Series 2021-1X, Class EUA | | | | | |
(Ireland) | | | | | |
(3-Month Euribor plus 1.15%) | | | | | |
4.71% | | 11/20/332,3 | | | 97,325 | | | | 106,952 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2020-UPTN, Class XA (IO) | | | | | |
0.45% | | 02/10/371,6 | | | 940,000 | | | | 73 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2021-STAR, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.51%) | | | | | |
6.61% | | 12/15/361,2 | | | 150,000 | | | | 147,598 | |
GS Mortgage Securities Trust, | | | | | |
Series 2014-GC24, Class XA (IO) | | | | | |
0.61% | | 09/10/476 | | | 324,228 | | | | 5 | |
GS Mortgage Securities Trust, | | | | | |
Series 2015-GC32, Class XA (IO) | | | | | |
0.83% | | 07/10/486 | | | 4,287,933 | | | | 13,057 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
Harvest Commercial Capital Loan Trust, | | | | | |
Series 2019-1, Class A | | | | | |
3.29% | | 09/25/461,6 | | $ | 8,864 | | | $ | 8,777 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C22, Class XA (IO) | | | | | |
0.54% | | 09/15/476 | | | 871,361 | | | | 13 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C25, Class XA (IO) | | | | | |
0.90% | | 11/15/476 | | | 2,435,368 | | | | 43 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | |
Series 2014-C26, Class XA (IO) | | | | | |
0.97% | | 01/15/486 | | | 1,541,951 | | | | 30 | |
JPMDB Commercial Mortgage Securities Trust, | | | | | |
Series 2018-C8, Class XEF (IO) | | | | | |
1.92% | | 06/15/511,6 | | | 1,157,000 | | | | 62,851 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2016-NINE, Class A | | | | | |
2.95% | | 09/06/381,6 | | | 225,000 | | | | 216,850 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-ICON, Class C | | | | | |
4.54% | | 01/05/341 | | | 72,000 | | | | 70,008 | |
Ladder Capital Commercial Mortgage Trust, | | | | | |
Series 2013-GCP, Class XA (IO) | | | | | |
1.31% | | 02/15/361,6 | | | 1,364,354 | | | | 43,374 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class D | | | | | |
3.04% | | 02/12/401,6 | | | 286,000 | | | | 200,105 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2013-C9, Class XB (IO) | | | | | |
0.16% | | 05/15/461,6 | | | 7,802,042 | | | | 4,050 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | |
Series 2014-C19, Class XA (IO) | | | | | |
1.06% | | 12/15/476 | | | 1,612,572 | | | | 40 | |
Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2018-ALXA, Class E | | | | | |
4.46% | | 01/15/431,6 | | | 180,000 | | | | 149,900 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class A1 | | | | | |
3.87% | | 01/05/431,6 | | | 220,000 | | | | 191,254 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class D | | | | | |
4.53% | | 01/05/431,6 | | | 200,000 | | | | 145,993 | |
SHER Trust, | | | | | |
Series 2024-DAL, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.24%) | | | | | |
7.34% | | 04/15/371,2 | | | 113,000 | | | | 112,108 | |
SHER Trust, | | | | | |
Series 2024-DAL, Class C | | | | | |
(CME Term SOFR 1-Month plus 2.89%) | | | | | |
7.99% | | 04/15/371,2 | | | 113,000 | | | | 111,963 | |
SMRT, | | | | | |
Series 2022-MINI, Class E | | | | | |
(CME Term SOFR 1-Month plus 2.70%) | | | | | |
7.80% | | 01/15/391,2 | | | 100,000 | | | | 95,486 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 88 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
| Non-Agency Commercial Mortgage-Backed (continued) | | | | | |
SREIT Trust, | | | | | |
Series 2021-PALM, Class C | | | | | |
(CME Term SOFR 1-Month plus 1.07%) | | | | | |
6.17% | | 10/15/341,2 | | $ | 230,000 | | | $ | 227,032 | |
VASA Trust, | | | | | |
Series 2021-VASA, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.36%) | | | | | |
6.46% | | 07/15/391,2 | | | 300,000 | | | | 259,388 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2015-NXS2, Class XA (IO) | | | | | |
0.72% | | 07/15/586 | | | 2,967,976 | | | | 5,227 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2016-NXS6, Class XA (IO) | | | | | |
1.74% | | 11/15/496 | | | 3,193,782 | | | | 62,070 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2019-JWDR, Class F | | | | | |
4.71% | | 09/15/311,6 | | | 135,000 | | | | 130,457 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2013-C14, Class XA (IO) | | | | | |
0.48% | | 06/15/466 | | | 60,232 | | | | 1 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C21, Class XA (IO) | | | | | |
0.70% | | 08/15/476 | | | 135,049 | | | | 2 | |
| | | | | | | | | | | | |
| | | | 4,298,106 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 29.09% | | | | | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2007-ASP1, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.87%) | | | | | |
5.73% | | 03/25/372 | | | 357,986 | | | | 146,895 | |
ACE Securities Corp. Home Equity Loan Trust, | | | | | |
Series 2007-HE1, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.41%) | | | | | |
5.27% | | 01/25/372 | | | 555,825 | | | | 303,664 | |
Ajax Mortgage Loan Trust, | | | | | |
| Series 2021-C, Class A (STEP-reset date 10/25/24) | | | | | |
5.12% | | 01/25/611 | | | 222,709 | | | | 222,867 | |
Alternative Loan Trust, | | | | | |
Series 2005-10CB, Class 1A8 | | | | | |
5.50% | | 05/25/35 | | | 287,293 | | | | 240,775 | |
Alternative Loan Trust, | | | | | |
Series 2005-59, Class 1A1 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.74% | | 11/20/352 | | | 296,013 | | | | 280,392 | |
Alternative Loan Trust, | | | | | |
Series 2007-15CB, Class A7 | | | | | |
6.00% | | 07/25/37 | | | 452,341 | | | | 291,366 | |
American Home Mortgage Assets Trust, | | | | | |
Series 2007-1, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
5.82% | | 02/25/472 | | | 700,077 | | | | 250,902 | |
APS Resecuritization Trust, | | | | | |
Series 2016-3, Class 3MZ | | | | | |
1.64% | | 09/27/461,6 | | | 388,052 | | | | 216,102 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Banc of America Funding Trust, | | | | | |
Series 2006-7, Class T2A3 | | | | | |
5.69% | | 10/25/366 | | $ | 206,062 | | | $ | 182,109 | |
Banc of America Funding Trust, | | | | | |
Series 2014-R5, Class 1A2 | | | | | |
(TSFR6M plus 1.93%) | | | | | |
4.30% | | 09/26/451,2 | | | 232,048 | | | | 168,466 | |
Banc of America Funding Trust, | | | | | |
Series 2015-R3, Class 1A2 | | | | | |
3.59% | | 03/27/361,6 | | | 362,486 | | | | 312,288 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2006-NC4, Class A4 | | | | | |
(CME Term SOFR 1-Month plus 0.35%) | | | | | |
5.21% | | 10/25/362 | | | 175,000 | | | | 158,590 | |
Carrington Mortgage Loan Trust, | | | | | |
Series 2007-RFC1, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.25%) | | | | | |
5.11% | | 12/25/362 | | | 81,556 | | | | 79,977 | |
CIM Trust, | | | | | |
Series 2020-R6, Class A1 | | | | | |
2.25% | | 12/25/601,6 | | | 285,544 | | | | 252,368 | |
CIM Trust, | | | | | |
| Series 2021-NR1, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.57% | | 07/25/551 | | | 114,839 | | | | 114,618 | |
CIM Trust, | | | | | |
| Series 2021-NR2, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.57% | | 07/25/591 | | | 73,578 | | | | 73,375 | |
CIM Trust, | | | | | |
Series 2021-R1, Class A2 | | | | | |
2.40% | | 08/25/561,6 | | | 306,054 | | | | 277,588 | |
CIM Trust, | | | | | |
Series 2021-R3, Class A1A | | | | | |
1.95% | | 06/25/571,6 | | | 52,990 | | | | 48,764 | |
CIM Trust, | | | | | |
Series 2021-R5, Class A1B | | | | | |
2.00% | | 08/25/611,6 | | | 115,000 | | | | 78,642 | |
CIM Trust, | | | | | |
| Series 2022-NR1, Class A1 (STEP-reset date 11/25/24) | | | | | |
5.00% | | 07/25/621 | | | 79,072 | | | | 78,300 | |
CIM Trust, | | | | | |
| Series 2023-NR1, Class A1 (STEP-reset date 11/25/24) | | | | | |
6.00% | | 06/25/621 | | | 224,291 | | | | 227,737 | |
CIM Trust, | | | | | |
| Series 2023-NR2, Class A1 (STEP-reset date 11/25/24) | | | | | |
6.00% | | 06/25/621 | | | 275,843 | | | | 275,071 | |
CIM Trust, | | | | | |
| Series 2023-R3, Class A1A | | | | | |
4.50% | | 01/25/631,6 | | | 220,806 | | | | 209,475 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
| Series 2005-WF2, Class AF6A (STEP-reset date 11/25/24) | | | | | |
6.13% | | 08/25/35 | | | 294,426 | | | | 270,005 | |
COLT Mortgage Loan Trust, | | | | | |
Series 2021-2, Class A1 | | | | | |
0.92% | | 08/25/661,6 | | | 94,915 | | | | 79,483 | |
See accompanying Notes to Financial Statements.
|
| 89 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
COLT Mortgage Loan Trust, | | | | | |
Series 2021-HX1, Class A1 | | | | | |
1.11% | | 10/25/661,6 | | $ | 297,403 | | | $ | 253,919 | |
Conseco Finance Corp., | | | | | |
Series 1999-5, Class A5 | | | | | |
7.86% | | 03/01/306 | | | 69,545 | | | | 22,424 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2015-12R, Class 2A2 | | | | | |
3.29% | | 11/30/371,6 | | | 83,406 | | | | 75,086 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2021-RPL4, Class A1 | | | | | |
4.07% | | 12/27/601,6 | | | 189,778 | | | | 189,251 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB2, Class A2C (STEP-reset date 11/25/24) | | | | | |
3.55% | | 02/25/37 | | | 209,392 | | | | 127,632 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, | | | | | |
| Series 2007-CB3, Class A3 (STEP-reset date 11/25/24) | | | | | |
3.30% | | 03/25/37 | | | 786,181 | | | | 282,467 | |
CSMC Mortgage-Backed Trust, | | | | | |
Series 2007-5, Class 1A9 | | | | | |
7.00% | | 08/25/376 | | | 427,360 | | | | 254,718 | |
CSMC Trust, | | | | | |
Series 2021-RPL7, Class A1 | | | | | |
1.93% | | 07/27/611,6 | | | 307,639 | | | | 306,881 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, | | | | | |
Series 2007-AR3, Class 2A5 | | | | | |
(CME Term SOFR 1-Month plus 0.51%) | | | | | |
5.37% | | 06/25/372 | | | 269,684 | | | | 231,590 | |
Ellington Financial Mortgage Trust, | | | | | |
Series 2021-3, Class A1 | | | | | |
1.24% | | 09/25/661,6 | | | 77,104 | | | | 64,627 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2019-R04, Class 2B1 | | | | | |
(SOFR30A plus 5.36%) | | | | | |
10.64% | | 06/25/391,2 | | | 156,672 | | | | 166,313 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2019-R06, Class 2B1 | | | | | |
(SOFR30A plus 3.86%) | | | | | |
9.14% | | 09/25/391,2 | | | 61,943 | | | | 64,466 | |
Fannie Mae Connecticut Avenue Securities, | | | | | |
Series 2021-R03, Class 1B1 | | | | | |
(SOFR30A plus 2.75%) | | | | | |
8.03% | | 12/25/411,2 | | | 150,000 | | | | 153,636 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FF18, Class A2B | | | | | |
(CME Term SOFR 1-Month plus 0.33%) | | | | | |
5.19% | | 12/25/372 | | | 251,915 | | | | 229,835 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF1, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
5.41% | | 01/25/382 | | | 698,432 | | | | 367,377 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-FF2, Class A2B | | | | | |
(CME Term SOFR 1-Month plus 0.31%) | | | | | |
5.17% | | 03/25/372 | | $ | 506,871 | | | $ | 244,374 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2021-HQA2, Class M2 | | | | | |
(SOFR30A plus 2.05%) | | | | | |
7.33% | | 12/25/331,2 | | | 110,103 | | | | 112,389 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2022-DNA1, Class M1B | | | | | |
(SOFR30A plus 1.85%) | | | | | |
7.13% | | 01/25/421,2 | | | 150,000 | | | | 152,195 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | | | | | |
Series 2022-DNA1, Class M2 | | | | | |
(SOFR30A plus 2.50%) | | | | | |
7.78% | | 01/25/421,2 | | | 200,000 | | | | 204,639 | |
Fremont Home Loan Trust, | | | | | |
Series 2005-A, Class M4 | | | | | |
(CME Term SOFR 1-Month plus 1.13%) | | | | | |
5.99% | | 01/25/352 | | | 286,455 | | | | 256,387 | |
GMACM Mortgage Corp. Loan Trust, | | | | | |
Series 2006-AR1, Class 1A1 | | | | | |
3.62% | | 04/19/366 | | | 174,067 | | | | 142,316 | |
GreenPoint Mortgage Funding Trust, | | | | | |
Series 2005-AR1, Class A2 | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
5.41% | | 06/25/452 | | | 56,608 | | | | 49,818 | |
GSAA Home Equity Trust, | | | | | |
Series 2006-1, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 01/25/362 | | | 654,341 | | | | 277,887 | |
GSAA Home Equity Trust, | | | | | |
Series 2006-10, Class AF3 | | | | | |
5.98% | | 06/25/366 | | | 566,804 | | | | 142,069 | |
GSAA Home Equity Trust, | | | | | |
Series 2006-6, Class AF3 | | | | | |
5.73% | | 03/25/366 | | | 519,920 | | | | 148,173 | |
GSAA Home Equity Trust, | | | | | |
Series 2007-4, Class A2 | | | | | |
(CME Term SOFR 1-Month plus 0.51%) | | | | | |
5.37% | | 03/25/372 | | | 1,003,364 | | | | 284,275 | |
GSAA Home Equity Trust, | | | | | |
| Series 2007-5, Class 1AF6 (STEP-reset date 11/25/24) | | | | | |
5.91% | | 05/25/37 | | | 669,940 | | | | 236,172 | |
GSAA Home Equity Trust, | | | | | |
Series 2007-5, Class 2A1B | | | | | |
(CME Term SOFR 1-Month plus 0.39%) | | | | | |
5.25% | | 04/25/472 | | | 1,739,354 | | | | 350,424 | |
GSAA Trust, | | | | | |
| Series 2006-7, Class AF3 (STEP-reset date 11/25/24) | | | | | |
6.72% | | 03/25/46 | | | 663,182 | | | | 249,199 | |
GSAMP Trust, | | | | | |
Series 2007-NC1, Class A2C | | | | | |
(CME Term SOFR 1-Month plus 0.41%) | | | | | |
5.27% | | 12/25/462 | | | 240,096 | | | | 119,424 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 90 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2005-3, Class 1A | | | | | |
(CME Term SOFR 1-Month plus 0.63%) | | | | | |
5.60% | | 06/19/352 | | $ | 284,573 | | | $ | 161,214 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2006-4, Class 1A1A | | | | | |
(CME Term SOFR 1-Month plus 0.47%) | | | | | |
5.44% | | 05/19/462 | | | 583,328 | | | | 296,143 | |
HarborView Mortgage Loan Trust, | | | | | |
Series 2006-5, Class 1A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.91%) | | | | | |
6.03% | | 07/19/472 | | | 308,802 | | | | 102,827 | |
HSI Asset Loan Obligation Trust, | | | | | |
Series 2007-2, Class 2A12 | | | | | |
6.00% | | 09/25/37 | | | 191,584 | | | | 147,254 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2007-OPT1, Class 1A | | | | | |
(CME Term SOFR 1-Month plus 0.25%) | | | | | |
5.11% | | 12/25/362 | | | 186,585 | | | | 161,091 | |
Impac CMB Trust, | | | | | |
Series 2004-4, Class 1A2 | | | | | |
(CME Term SOFR 1-Month plus 0.73%) | | | | | |
5.59% | | 09/25/342 | | | 27,286 | | | | 27,125 | |
Impac CMB Trust, | | | | | |
Series 2004-6, Class 1A2 | | | | | |
(CME Term SOFR 1-Month plus 0.89%) | | | | | |
5.75% | | 10/25/342 | | | 43,195 | | | | 43,032 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2005-AR25, Class 2A1 | | | | | |
3.88% | | 12/25/356 | | | 193,853 | | | | 161,354 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2007-AR5, Class 2A1 | | | | | |
3.44% | | 05/25/376 | | | 185,641 | | | | 148,229 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A3 | | | | | |
6.61% | | 02/25/28 | | | 21,906 | | | | 21,967 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1997-1, Class A4 | | | | | |
6.75% | | 02/25/28 | | | 9,222 | | | | 9,250 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A4 | | | | | |
6.49% | | 09/25/28 | | | 16,379 | | | | 16,306 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | | | | | |
Series 1998-1, Class A5 | | | | | |
6.96% | | 09/25/286 | | | 39,479 | | | | 39,468 | |
JPMorgan Mortgage Acquisition Trust, | | | | | |
| Series 2007-HE1, Class AF6 (STEP-reset date 11/25/24) | | | | | |
4.34% | | 03/25/47 | | | 573,466 | | | | 383,284 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Long Beach Mortgage Loan Trust, | | | | | |
Series 2006-9, Class 2A3 | | | | | |
(CME Term SOFR 1-Month plus 0.43%) | | | | | |
5.29% | | 10/25/362 | | $ | 384,145 | | | $ | 126,238 | |
Luminent Mortgage Trust, | | | | | |
Series 2006-5, Class A1A | | | | | |
(CME Term SOFR 1-Month plus 0.49%) | | | | | |
5.35% | | 07/25/362 | | | 243,108 | | | | 153,305 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2007-1, Class I1A | | | | | |
(CME Term SOFR 1-Month plus 0.50%) | | | | | |
5.36% | | 01/25/472 | | | 425,562 | | | | 182,690 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2007-2, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.41%) | | | | | |
5.27% | | 03/25/472 | | | 212,752 | | | | 191,752 | |
MASTR Alternative Loan Trust, | | | | | |
Series 2006-2, Class 2A1 | | | | | |
(CME Term SOFR 1-Month plus 0.51%) | | | | | |
5.37% | | 03/25/362,4,5 | | | 2,399,670 | | | | 234,946 | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2007-HE1, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.32%) | | | | | |
5.18% | | 05/25/372 | | | 101,847 | | | | 98,382 | |
MASTR Asset-Backed Securities Trust, | | | | | |
Series 2007-HE1, Class A4 | | | | | |
(CME Term SOFR 1-Month plus 0.39%) | | | | | |
5.25% | | 05/25/372 | | | 300,000 | | | | 252,596 | |
Merrill Lynch Alternative Note Asset Trust, | | | | | |
Series 2007-A3, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 04/25/372,4,5 | | | 1,696,107 | | | | 71,239 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2B | | | | | |
(CME Term SOFR 1-Month plus 0.45%) | | | | | |
5.31% | | 05/25/372 | | | 338,711 | | | | 243,256 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2006-RM2, Class A1A | | | | | |
(CME Term SOFR 1-Month plus 0.48%) | | | | | |
5.34% | | 05/25/372 | | | 428,754 | | | | 122,988 | |
Mid-State Capital Corp. Trust, | | | | | |
Series 2005-1, Class A | | | | | |
5.75% | | 01/15/40 | | | 38,838 | | | | 38,867 | |
Mid-State Trust XI, | | | | | |
Series 11, Class B | | | | | |
8.22% | | 07/15/38 | | | 2,417 | | | | 2,455 | |
Morgan Stanley ABS Capital I, Inc., Trust, | | | | | |
Series 2006-HE4, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.41%) | | | | | |
5.27% | | 06/25/362 | | | 584,150 | | | | 302,769 | |
Morgan Stanley Home Equity Loan Trust, | | | | | |
Series 2007-1, Class A3 | | | | | |
(CME Term SOFR 1-Month plus 0.25%) | | | | | |
5.11% | | 12/25/362 | | | 580,627 | | | | 284,707 | |
See accompanying Notes to Financial Statements.
|
| 91 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2004-7AR, Class 2A4 | | | | | |
5.76% | | 09/25/346 | | $ | 64,728 | | | $ | 63,131 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
| Series 2006-15XS, Class A4A (STEP-reset date 11/25/24) | | | | | |
6.70% | | 11/25/36 | | | 415,592 | | | | 94,794 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2006-7, Class 5A2 | | | | | |
5.96% | | 06/25/366 | | | 884,801 | | | | 257,417 | |
Morgan Stanley Mortgage Loan Trust, | | | | | |
Series 2007-11AR, Class 2A3 | | | | | |
2.91% | | 06/25/376 | | | 293,393 | | | | 158,099 | |
New Residential Mortgage Loan Trust, | | | | | |
Series 2022-NQM2, Class A2 | | | | | |
3.70% | | 03/27/621,6 | | | 250,000 | | | | 202,208 | |
Nomura Resecuritization Trust, | | | | | |
Series 2015-4R, Class 2A2 | | | | | |
(CME Term SOFR 1-Month plus 0.42%) | | | | | |
3.16% | | 10/26/361,2 | | | 301,716 | | | | 263,807 | |
OBX Trust, | | | | | |
Series 2022-NQM1, Class A1 | | | | | |
2.31% | | 11/25/611,6 | | | 215,698 | | | | 194,558 | |
Option One Mortgage Loan Trust, | | | | | |
Series 2006-3, Class 1A1 | | | | | |
(CME Term SOFR 1-Month plus 0.39%) | | | | | |
5.25% | | 02/25/372 | | | 173,323 | | | | 110,151 | |
PRET LLC, | | | | | |
| Series 2022-RN2, Class A2 (STEP-reset date 10/25/24) | | | | | |
6.50% | | 06/25/521 | | | 197,000 | | | | 192,135 | |
PRET LLC, | | | | | |
| Series 2024-NPL3, Class A1 (STEP-reset date 10/25/24) | | | | | |
7.52% | | 04/27/541 | | | 217,455 | | | | 220,868 | |
PRPM LLC, | | | | | |
| Series 2020-4, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.61% | | 10/25/251 | | | 60,321 | | | | 60,367 | |
PRPM LLC, | | | | | |
| Series 2021-4, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.87% | | 04/25/261 | | | 158,234 | | | | 158,109 | |
PRPM LLC, | | | | | |
| Series 2021-5, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.79% | | 06/25/261 | | | 76,093 | | | | 75,813 | |
PRPM LLC, | | | | | |
| Series 2021-9, Class A1 (STEP-reset date 10/25/24) | | | | | |
2.36% | | 10/25/261 | | | 100,899 | | | | 100,986 | |
PRPM LLC, | | | | | |
| Series 2022-1, Class A1 (STEP-reset date 10/25/24) | | | | | |
3.72% | | 02/25/271 | | | 160,972 | | | | 159,717 | |
PRPM LLC, | | | | | |
| Series 2022-4, Class A2 (STEP-reset date 10/25/24) | | | | | |
5.00% | | 08/25/271 | | | 170,000 | | | | 165,938 | |
PRPM, LLC, | | | | | |
Series 2021-8, Class A1 | | | | | |
4.74% | | 09/25/261,6 | | | 61,328 | | | | 61,026 | |
Residential Accredit Loans Trust, | | | | | |
Series 2005-QA3, Class NB1 | | | | | |
3.64% | | 03/25/356 | | | 108,238 | | | | 58,890 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Residential Accredit Loans Trust, | | | | | |
Series 2006-QS5, Class A6 | | | | | |
6.00% | | 05/25/36 | | $ | 238,875 | | | $ | 198,995 | |
Residential Accredit Loans Trust, | | | | | |
Series 2007-QS1, Class 1A5 | | | | | |
(CME Term SOFR 1-Month plus 0.66%) | | | | | |
5.52% | | 01/25/372 | | | 282,984 | | | | 205,296 | |
Residential Asset Securities Corp., | | | | | |
Series 2005-KS11, Class M3 | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.63% | | 12/25/352 | | | 164,736 | | | | 161,232 | |
Residential Asset Securitization Trust, | | | | | |
Series 2005-A5, Class A8 | | | | | |
5.50% | | 05/25/35 | | | 356,362 | | | | 251,709 | |
SG Mortgage Securities Trust, | | | | | |
Series 2006-OPT2, Class A3D | | | | | |
(CME Term SOFR 1-Month plus 0.32%) | | | | | |
5.18% | | 10/25/362 | | | 250,000 | | | | 187,271 | |
Starwood Mortgage Residential Trust, | | | | | |
Series 2021-6, Class A1 | | | | | |
1.92% | | 11/25/661,6 | | | 182,526 | | | | 161,106 | |
| Structured Adjustable Rate Mortgage Loan Trust, | | | | | |
Series 2004-12, Class 2A | | | | | |
5.60% | | 09/25/346 | | | 59,891 | | | | 58,294 | |
| Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2005-AR8, Class A1B | | | | | |
(CME Term SOFR 1-Month plus 0.28%) | | | | | |
5.14% | | 02/25/362 | | | 282,296 | | | | 248,718 | |
Structured Asset Mortgage Investments II Trust, | | | | | |
Series 2006-AR7, Class A1A | | | | | |
(CME Term SOFR 1-Month plus 0.53%) | | | | | |
5.39% | | 08/25/362 | | | 346,593 | | | | 285,594 | |
Terwin Mortgage Trust, | | | | | |
Series 2004-7HE, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.07% | | 07/25/341,2 | | | 48,749 | | | | 46,921 | |
Towd Point Mortgage Trust, | | | | | |
Series 2017-4, Class A2 | | | | | |
3.00% | | 06/25/571,6 | | | 350,000 | | | | 329,318 | |
Towd Point Mortgage Trust, | | | | | |
Series 2019-HY2, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 2.01%) | | | | | |
6.87% | | 05/25/581,2 | | | 210,000 | | | | 216,617 | |
TRK Trust, | | | | | |
Series 2021-INV2, Class A1 | | | | | |
1.97% | | 11/25/561,6 | | | 223,278 | | | | 197,176 | |
VOLT XCIV LLC, | | | | | |
Series 2021-NPL3, Class A1 (STEP-reset date 10/25/24) | | | | | |
5.24% | | 02/27/511 | | | 42,380 | | | | 42,441 | |
WaMu Asset-Backed Certificates, | | | | | |
Series 2007-HE1, Class 2A4 | | | | | |
(CME Term SOFR 1-Month plus 0.57%) | | | | | |
5.43% | | 01/25/372 | | | 503,959 | | | | 236,005 | |
| | | | | | | | | | | | |
| | | | 20,049,223 | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 92 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.53% | |
Fannie Mae-Aces, | | | | | |
Series 2016-M11, Class X2 (IO) | | | | | |
3.10% | | 07/25/396 | | $ | 238,597 | | | $ | 4,475 | |
Freddie Mac Multifamily PC REMIC Trust, | | | | | |
Series 2019-P002, Class X (IO) | | | | | |
1.14% | | 07/25/336 | | | 535,000 | | | | 31,500 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K040, Class X3 (IO) | | | | | |
2.12% | | 11/25/426 | | | 228,277 | | | | 22 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series K047, Class X3 (IO) | | | | | |
1.55% | | 06/25/436 | | | 1,676,868 | | | | 14,567 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KC04, Class X1 (IO) | | | | | |
1.40% | | 12/25/266 | | | 2,200,536 | | | | 42,815 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, | | | | | |
Series KC05, Class X1 (IO) | | | | | |
1.36% | | 06/25/276 | | | 1,809,409 | | | | 41,394 | |
Ginnie Mae, | | | | | |
Series 2009-114, Class IO (IO) | | | | | |
0.00% | | 10/16/496 | | | 4,006,555 | | | | 40 | |
Ginnie Mae, | | | | | |
Series 2010-148, Class IO (IO) | | | | | |
0.30% | | 09/16/506 | | | 1,323,073 | | | | 13,601 | |
Ginnie Mae, | | | | | |
Series 2012-123, Class IO (IO) | | | | | |
0.62% | | 12/16/516 | | | 1,948,881 | | | | 32,067 | |
Ginnie Mae, | | | | | |
Series 2012-125, Class IO (IO) | | | | | |
0.17% | | 02/16/536 | | | 6,213,426 | | | | 38,672 | |
Ginnie Mae, | | | | | |
Series 2012-27, Class IO (IO) | | | | | |
0.22% | | 04/16/536 | | | 2,571,302 | | | | 5,224 | |
Ginnie Mae, | | | | | |
Series 2013-156, Class IO (IO) | | | | | |
0.23% | | 06/16/556 | | | 3,392,371 | | | | 14,213 | |
Ginnie Mae, | | | | | |
Series 2013-163, Class IO (IO) | | | | | |
1.01% | | 02/16/466 | | | 983,487 | | | | 13,831 | |
Ginnie Mae, | | | | | |
Series 2013-63, Class IO (IO) | | | | | |
0.78% | | 09/16/516 | | | 3,456,191 | | | | 83,473 | |
Ginnie Mae, | | | | | |
Series 2013-74, Class IO (IO) | | | | | |
0.51% | | 12/16/536 | | | 494,744 | | | | 3,558 | |
Ginnie Mae, | | | | | |
Series 2014-103, Class IO (IO) | | | | | |
0.19% | | 05/16/556 | | | 833,824 | | | | 4,385 | |
Ginnie Mae, | | | | | |
Series 2014-125, Class IO (IO) | | | | | |
0.90% | | 11/16/546 | | | 486,620 | | | | 13,672 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Ginnie Mae, | | | | | |
Series 2015-47, Class IO (IO) | | | | | |
0.36% | | 10/16/566 | | $ | 513,281 | | | $ | 6,216 | |
| | | | | | | | | | | | |
| | | | 363,725 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Mortgage-Backed — 16.51% | | | | | |
Fannie Mae Pool CB0176 | | | | | |
2.50% | | 04/01/51 | | | 126,008 | | | | 108,856 | |
Fannie Mae Pool FS2660 | | | | | |
2.50% | | 02/01/52 | | | 148,838 | | | | 128,627 | |
Fannie Mae Pool FS6380 | | | | | |
2.50% | | 02/01/52 | | | 118,924 | | | | 102,767 | |
Fannie Mae Pool FS8864 | | | | | |
4.00% | | 02/01/53 | | | 297,829 | | | | 286,187 | |
Fannie Mae Pool MA4547 | | | | | |
2.00% | | 02/01/52 | | | 844,110 | | | | 698,385 | |
Fannie Mae Pool MA4563 | | | | | |
2.50% | | 03/01/52 | | | 799,846 | | | | 690,778 | |
Fannie Mae Pool MA4624 | | | | | |
3.00% | | 06/01/52 | | | 564,330 | | | | 506,904 | |
Fannie Mae REMICS, | | | | | |
Series 2000-45, Class SA (IO) | | | | | |
(-1.00 X SOFR30A plus 7.84%, 7.95% Cap) | | | | | |
2.49% | | 12/18/302 | | | 3,215 | | | | 57 | |
Fannie Mae REMICS, | | | | | |
Series 2001-42, Class SB | | | | | |
(-16.00 X SOFR30A plus 126.17%, 8.50% Cap) | | | | | |
8.50% | | 09/25/312 | | | 157 | | | | 158 | |
Fannie Mae REMICS, | | | | | |
Series 2003-124, Class TS | | | | | |
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap) | | | | | |
9.80% | | 01/25/342 | | | 1,857 | | | | 2,053 | |
Fannie Mae REMICS, | | | | | |
Series 2005-92, Class US (IO) | | | | | |
(-1.00 X SOFR30A plus 5.99%, 6.10% Cap) | | | | | |
0.71% | | 10/25/252 | | | 1,527 | | | | 2 | |
Fannie Mae REMICS, | | | | | |
Series 2006-125, Class SM (IO) | | | | | |
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap) | | | | | |
1.81% | | 01/25/372 | | | 368,977 | | | | 40,568 | |
Fannie Mae REMICS, | | | | | |
Series 2008-50, Class SA (IO) | | | | | |
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap) | | | | | |
0.66% | | 11/25/362 | | | 416,110 | | | | 36,957 | |
Fannie Mae REMICS, | | | | | |
Series 2010-43, Class KS (IO) | | | | | |
(-1.00 X SOFR30A plus 6.31%, 6.42% Cap) | | | | | |
1.03% | | 05/25/402 | | | 409,604 | | | | 45,895 | |
Freddie Mac Pool RA6427 | | | | | |
3.00% | | 12/01/51 | | | 203,245 | | | | 182,425 | |
Freddie Mac Pool SD3246 | | | | | |
4.00% | | 08/01/52 | | | 367,240 | | | | 353,056 | |
Freddie Mac Pool SD5846 | | | | | |
2.00% | | 08/01/52 | | | 420,248 | | | | 347,637 | |
Freddie Mac Pool SD8220 | | | | | |
3.00% | | 06/01/52 | | | 380,377 | | | | 342,005 | |
See accompanying Notes to Financial Statements.
|
| 93 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Pool SD8245 | |
4.50% | | 09/01/52 | | $ | 571,339 | | | $ | 562,657 | |
Freddie Mac REMICS, | |
Series 3247, Class SI (IO) | |
(-1.00 X SOFR30A plus 6.54%, 0.15% Cap) | |
0.15% | | 08/15/362 | | | 5,197,244 | | | | 21,575 | |
Freddie Mac REMICS, | |
Series 3289, Class SD (IO) | |
(-1.00 X SOFR30A plus 6.01%, 6.12% Cap) | |
0.66% | | 03/15/372 | | | 438,712 | | | | 33,761 | |
Ginnie Mae (TBA) | |
4.00% | | 10/20/54 | | | 725,000 | | | | 701,031 | |
4.50% | | 10/20/54 | | | 650,000 | | | | 641,590 | |
5.00% | | 10/20/54 | | | 850,000 | | | | 851,492 | |
5.50% | | 10/20/54 | | | 375,000 | | | | 378,680 | |
Ginnie Mae II Pool MA8151 | |
4.50% | | 07/20/52 | | | 388,200 | | | | 383,578 | |
Ginnie Mae, | |
Series 2013-25, Class SA (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.09%, 6.20% Cap) | | | | | |
1.12% | | 02/20/432 | | | 1,092,186 | | | | 134,032 | |
UMBS (TBA) | |
2.00% | | 10/01/54 | | | 475,000 | | | | 392,467 | |
2.50% | | 10/01/54 | | | 400,000 | | | | 345,188 | |
3.00% | | 10/01/54 | | | 425,000 | | | | 381,446 | |
3.50% | | 10/01/54 | | | 600,000 | | | | 558,931 | |
4.00% | | 10/01/54 | | | 75,000 | | | | 72,044 | |
4.50% | | 10/01/54 | | | 700,000 | | | | 688,414 | |
5.00% | | 10/01/54 | | | 825,000 | | | | 824,521 | |
5.50% | | 10/01/54 | | | 525,000 | | | | 531,247 | |
| | | | | | | | | | | | |
| | | | 11,375,971 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $42,296,093) | | | | 36,087,025 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.15%* | |
California — 0.04% | |
| California Health Facilities Financing Authority Revenue Bonds, Series A | | | | | |
3.00% | | 08/15/51 | | | 20,000 | | | | 16,234 | |
| California State University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.37% | | 11/01/35 | | | 10,000 | | | | 8,178 | |
| | | | | | | | | | | | |
| | | | 24,412 | |
| | | | | | | | | | | | |
Florida — 0.02% | |
| County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B | | | | | |
2.86% | | 10/01/35 | | | 15,000 | | | | 12,760 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MUNICIPAL BONDS (continued) | | | | | |
New York — 0.09% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3 | | | | | |
1.85% | | 08/01/32 | | $ | 75,000 | | | $ | 62,654 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds (Cost $114,818) | | | | 99,826 | |
| | | | | | | | | | | | |
| |
Total Bonds — 92.15% (Cost $69,684,987) | | | | 63,492,636 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| Issues | | | | | | Shares | | | Value |
| |
COMMON STOCK — 0.11% | | | | | |
| |
Communications — 0.04% | | | | | |
Intelsat Emergence SA3,4,5,9 | | | | | |
(Luxembourg) | | | 1,042 | | | | 32,954 | |
| | | | | | | | | | | | |
| |
| Finance — 0.07% | | | | | |
AGNC Investment Corp. | | | 4,500 | | | | 47,070 | |
| | | | | | | | | | | | |
| |
Total Common Stock (Cost $90,045) | | | | 80,024 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 18.49% | | | | | |
| |
Money Market Funds — 18.49% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%10 | | | 578,684 | | | | 578,684 | |
TCW Central Cash Fund | | | | | |
0.04%10,11 | | | 12,159,000 | | | | 12,159,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments (Cost $12,737,684) | | | | 12,737,684 | |
| | | | | | | | | | | | |
| |
Total Investments - 110.75% (Cost $82,512,716) | | | | 76,310,344 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets - (10.75)% | | | | (7,406,177 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 68,904,167 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $436,727, which is 0.63% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Perpetual security with no stated maturity date. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 9 | Non-income producing security. |
| 10 | Represents the current yield as of September 30, 2024. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 94 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| 11 | Affiliated investment. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CDO): Collateralized Debt Obligation
(CLO): Collateralized Loan Obligation
(EMTN): Euro Medium-Term Note
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(GBP): British Pound
(GMTN): Global Medium-Term Note
(IO): Interest Only
(MTN): Medium-Term Note
(NVS): Non-Voting Shares
(REIT): Real Estate Investment Trust
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(TSFR): Term Secured Overnight Financing Rate
See accompanying Notes to Financial Statements.
|
| 95 / Semi-Annual Report September 2024 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
| | | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | |
EUR 84,000 | | | USD 93,505 | | | Citibank N.A. | | | 10/11/24 | | | $ | 289 | |
| | | | | | | | | | | | | | |
| | | | |
USD 1,005,675 | | | EUR 924,000 | | | Citibank N.A. | | | 10/11/24 | | | | (26,057) | |
USD 102,545 | | | GBP 79,000 | | | Goldman Sachs International | | | 10/11/24 | | | | (3,420) | |
| | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | (29,477) | |
| | | | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | | | $ | (29,188) | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
| | | | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | 96 | | 12/31/24 | | $ | 10,548,750 | | | $ | 28,803 | | | $ | 28,803 | |
U.S. Treasury Two-Year Note | | 38 | | 12/31/24 | | | 7,913,203 | | | | 21,096 | | | | 21,096 | |
| | | | | | | | | | | | | | |
| | | | | 18,461,953 | | | | 49,899 | | | | 49,899 | |
| | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | 19 | | 12/19/24 | | | (2,247,641) | | | | 5,514 | | | | 5,514 | |
U.S. Treasury Ultra Bond | | 17 | | 12/19/24 | | | (2,262,594) | | | | 21,379 | | | | 21,379 | |
Euro-Bund Future | | 3 | | 12/06/24 | | | (451,732) | | | | (2,950) | | | | (2,950) | |
Euro-Bobl Future | | 2 | | 12/06/24 | | | (267,964) | | | | (2,324) | | | | (2,324) | |
Long Gilt Future | | 1 | | 12/27/24 | | | (132,029) | | | | 1,251 | | | | 1,251 | |
| | | | | | | | | | | | | | |
| | | | | (5,361,960) | | | | 22,870 | | | | 22,870 | |
| | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | $ | 13,099,993 | | | $ | 72,769 | | | $ | 72,769 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | 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 | | | 12/20/53 | | |
| USD-SOFR-
COMPOUND |
| | Annual | | 3.52% | | Annual | | $ | 157 | | | $ | (3,874) | | | $ | — | | | $ | (3,874) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | $ | 157 | | | $ | (3,874) | | | $ | — | | | $ | (3,874) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 96 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
BONDS – 105.98% | | | | | |
| |
ASSET-BACKED SECURITIES — 20.59%** | | | | | |
Aligned Data Centers Issuer LLC, | | | | | |
Series 2021-1A, Class A2 | | | | | |
1.94% | | 08/15/461 | | $ | 175,000 | | | $ | 165,953 | |
Allegro CLO IX Ltd., | | | | | |
Series 2018-3A, Class B1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.85%) | | | | | |
7.14% | | 10/16/311,2,3 | | | 70,000 | | | | 69,997 | |
Allegro CLO X Ltd., | | | | | |
Series 2019-1A, Class BRR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.60%) | | | | | |
6.73% | | 04/20/321,2,3 | | | 50,000 | | | | 50,035 | |
Allegro CLO XI Ltd., | | | | | |
Series 2019-2A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.90%) | | | | | |
7.18% | | 01/19/331,2,3 | | | 35,000 | | | | 35,043 | |
Bayview Opportunity Master Fund VII LLC, | | | | | |
Series 2024-EDU1, Class D | | | | | |
(SOFR30A plus 2.75%) | | | | | |
8.03% | | 06/25/471,2 | | | 36,078 | | | | 36,538 | |
Cedar Funding VIII CLO Ltd., | | | | | |
Series 2017-8A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.91%) | | | | | |
7.20% | | 10/17/341,2,3 | | | 50,000 | | | | 50,001 | |
CIFC Funding Ltd., | | | | | |
Series 2018-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.66%) | | | | | |
6.94% | | 04/18/311,2,3 | | | 50,000 | | | | 49,890 | |
CIFC Funding Ltd., | | | | | |
Series 2022-1A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.32%) | | | | | |
6.61% | | 04/17/351,2,3 | | | 50,000 | | | | 49,991 | |
CyrusOne Data Centers Issuer I LLC, | | | | | |
Series 2024-1A, Class A2 | | | | | |
4.76% | | 03/22/491 | | | 85,000 | | | | 82,674 | |
Dryden 40 Senior Loan Fund, | | | | | |
Series 2015-40A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.27% | | 08/15/311,2,3 | | | 51,233 | | | | 51,251 | |
Dryden 72 CLO Ltd., | | | | | |
Series 2019-72A, Class BRR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.65%) | | | | | |
6.44% | | 05/15/321,2,3 | | | 115,000 | | | | 114,459 | |
Frontier Issuer LLC, | | | | | |
Series 2023-1, Class A2 | | | | | |
6.60% | | 08/20/531 | | | 110,000 | | | | 113,159 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Golub Capital Partners CLO 50B-R Ltd., | | | | | |
Series 2020-50A, Class AJR | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.60%) | | | | | |
6.88% | | 04/20/351,2,3 | | $ | 70,000 | | | $ | 70,008 | |
GoodLeap Sustainable Home Solutions Trust, | | | | | |
Series 2022-1GS, Class A | | | | | |
2.70% | | 01/20/491 | | | 72,110 | | | | 62,090 | |
GoodLeap Sustainable Home Solutions Trust, | | | | | |
Series 2023-1GS, Class A | | | | | |
5.52% | | 02/22/551 | | | 86,032 | | | | 85,673 | |
GoodLeap Sustainable Home Solutions Trust, | | | | | |
Series 2023-2GS, Class A | | | | | |
5.70% | | 05/20/551 | | | 45,528 | | | | 45,912 | |
Hertz Vehicle Financing III LP, | | | | | |
Series 2021-2A, Class B | | | | | |
2.12% | | 12/27/271 | | | 50,000 | | | | 46,984 | |
Hotwire Funding LLC, | | | | | |
Series 2024-1A, Class A2 | | | | | |
5.89% | | 06/20/541 | | | 25,000 | | | | 25,685 | |
HPS Loan Management Ltd. | | | | | |
Series 15A-19, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.32%) | | | | | |
6.60% | | 01/22/351,2,3 | | | 60,000 | | | | 60,028 | |
HPS Loan Management Ltd., | | | | | |
Series 2021-16A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.96%) | | | | | |
7.24% | | 01/23/351,2,3 | | | 50,000 | | | | 50,006 | |
Loanpal Solar Loan Ltd., | | | | | |
Series 2021-1GS, Class A | | | | | |
2.29% | | 01/20/481 | | | 139,286 | | | | 114,911 | |
Madison Park Funding XVII Ltd., | | | | | |
Series 2015-17A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.26%) | | | | | |
6.54% | | 07/21/301,2,3 | | | 38,530 | | | | 38,547 | |
Madison Park Funding XXVII Ltd., | | | | | |
Series 2018-27A, Class A2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.61%) | | | | | |
6.89% | | 04/20/301,2,3 | | | 50,000 | | | | 50,003 | |
Madison Park Funding XXXIX Ltd., | | | | | |
Series 2021-39A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
6.82% | | 10/22/341,2,3 | | | 105,000 | | | | 105,122 | |
Mosaic Solar Loan Trust, | | | | | |
Series 2020-2A, Class A | | | | | |
1.44% | | 08/20/461 | | | 44,554 | | | | 38,209 | |
Nelnet Student Loan Trust, | | | | | |
Series 2012-1A, Class B | | | | | |
(SOFR30A plus 1.11%) | | | | | |
6.39% | | 06/25/421,2 | | | 100,000 | | | | 98,726 | |
See accompanying Notes to Financial Statements.
|
| 97 / Semi-Annual Report September 2024 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Neuberger Berman Loan Advisers CLO 50 Ltd., | | | | | |
Series 2022-50A, Class BR | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.65%) | | | | | |
6.93% | | 07/23/361,2,3 | | $ | 80,000 | | | $ | 80,184 | |
OCP CLO Ltd., | | | | | |
Series 2017-13A, Class A2R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.81%) | | | | | |
7.11% | | 07/15/301,2,3 | | | 50,000 | | | | 50,001 | |
Octagon Investment Partners 39 Ltd., | | | | | |
Series 2018-3A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.43% | | 10/20/301,2,3 | | | 65,531 | | | | 65,640 | |
OSD CLO Ltd., | | | | | |
Series 2021-23A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.13%) | | | | | |
6.42% | | 04/17/311,2,3 | | | 28,902 | | | | 28,868 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class E1 | | | | | |
2.54% | | 05/17/261 | | | 40,000 | | | | 38,423 | |
Sixth Street CLO XVII Ltd., | | | | | |
Series 2021-17A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.50%) | | | | | |
6.78% | | 01/20/341,2,3 | | | 60,000 | | | | 60,004 | |
SLM Student Loan Trust, | | | | | |
Series 2012-2, Class A | | | | | |
(SOFR30A plus 0.81%) | | | | | |
6.09% | | 01/25/292 | | | 29,880 | | | | 29,170 | |
Sofi Professional Loan Program Trust, | | | | | |
Series 2021-B, Class AFX | | | | | |
1.14% | | 02/15/471 | | | 34,072 | | | | 30,015 | |
Switch ABS Issuer LLC, | | | | | |
Series 2024-1A, Class A2 | | | | | |
6.28% | | 03/25/541 | | | 75,000 | | | | 76,711 | |
Symphony CLO XIX Ltd., | | | | | |
Series 2018-19A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.61%) | | | | | |
6.90% | | 04/16/311,2,3 | | | 50,000 | | | | 49,740 | |
Vantage Data Centers Issuer LLC, | | | | | |
Series 2020-1A, Class A2 | | | | | |
1.65% | | 09/15/451 | | | 50,000 | | | | 48,372 | |
Voya CLO Ltd., | | | | | |
Series 2014-4A, Class A2RA | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.86%) | | | | | |
7.16% | | 07/14/311,2,3 | | | 50,000 | | | | 49,998 | |
Voya CLO Ltd., | | | | | |
Series 2015-3A, Class A1R3 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.43% | | 10/20/311,2,3 | | | 38,795 | | | | 38,769 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Voya CLO Ltd., | | | | | |
Series 2020-1A, Class CR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 2.36%) | | | | | |
7.65% | | 07/16/341,2,3 | | $ | 50,000 | | | $ | 50,007 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $2,456,258) | | | | 2,456,797 | |
| | | | | | | | | | | | |
| |
| MORTGAGE-BACKED — 76.83%** | | | | | |
Non-Agency Commercial Mortgage-Backed — 26.05% | |
1211 Avenue of the Americas Trust, | | | | | |
Series 2015-1211, Class A1A2 | | | | | |
3.90% | | 08/10/351 | | | 23,000 | | | | 22,592 | |
245 Park Avenue Trust, | | | | | |
Series 2017-245P, Class E | | | | | |
3.78% | | 06/05/371,4 | | | 100,000 | | | | 88,068 | |
280 Park Avenue Mortgage Trust, | | | | | |
Series 2017-280P, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.18%) | | | | | |
6.30% | | 09/15/341,2 | | | 58,000 | | | | 56,619 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | | | | | |
Series 2018-PARK, Class A | | | | | |
4.23% | | 08/10/381,4 | | | 100,000 | | | | 96,032 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2022-AHP, Class D | | | | | |
(CME Term SOFR 1-Month plus 2.44%) | | | | | |
7.54% | | 01/17/391,2 | | | 100,000 | | | | 97,435 | |
BX Trust, | | | | | |
Series 2022-CLS, Class B | | | | | |
6.30% | | 10/13/271 | | | 100,000 | | | | 94,212 | |
BX Trust, | | | | | |
Series 2023-LIFE, Class B | | | | | |
5.39% | | 02/15/281 | | | 100,000 | | | | 97,652 | |
BX Trust, | | | | | |
Series 2024-BIO, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.94%) | | | | | |
7.04% | | 02/15/411,2 | | | 65,000 | | | | 64,685 | |
BXHPP Trust, | | | | | |
Series 2021-FILM, Class C | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.31% | | 08/15/361,2 | | | 30,000 | | | | 28,198 | |
BXP Trust, | | | | | |
Series 2017-GM, Class C | | | | | |
3.54% | | 06/13/391,4 | | | 100,000 | | | | 94,755 | |
Century Plaza Towers, | | | | | |
Series 2019-CPT, Class A | | | | | |
2.87% | | 11/13/391 | | | 140,000 | | | | 125,366 | |
Commercial Mortgage Trust, | | | | | |
Series 2017-PANW, Class A | | | | | |
3.24% | | 10/10/291 | | | 100,000 | | | | 97,384 | |
Commercial Mortgage Trust, | | | | | |
Series 2017-PANW, Class E | | | | | |
4.13% | | 10/10/291,4 | | | 130,000 | | | | 115,798 | |
CONE Trust, | | | | | |
Series 2024-DFW1, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.64%) | | | | | |
6.74% | | 08/15/411,2 | | | 59,000 | | | | 59,104 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 98 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial Mortgage-Backed (continued) | |
CONE Trust, | | | | | |
Series 2024-DFW1, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.29%) | | | | | |
7.39% | | 08/15/411,2 | | $ | 50,000 | | | $ | 50,120 | |
DBUBS Mortgage Trust, | | | | | |
Series 2017-BRBK, Class F | | | | | |
3.65% | | 10/10/341,4 | | | 150,000 | | | | 146,165 | |
DOLP Trust, | | | | | |
Series 2021-NYC, Class A | | | | | |
2.96% | | 05/10/411 | | | 100,000 | | | | 89,199 | |
Eleven Madison Mortgage Trust, | | | | | |
Series 2015-11MD, Class A | | | | | |
3.67% | | 09/10/351,4 | | | 23,000 | | | | 22,395 | |
Grace Trust, | | | | | |
Series 2020-GRCE, Class A | | | | | |
2.35% | | 12/10/401 | | | 100,000 | | | | 86,727 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-30HY, Class D | | | | | |
3.56% | | 07/10/391,4 | | | 100,000 | | | | 86,504 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-55HY, Class F | | | | | |
3.04% | | 12/10/411,4 | | | 100,000 | | | | 75,661 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, | | | | | |
Series 2019-ICON, Class XB (IO) | | | | | |
0.79% | | 01/05/341,4 | | | 10,000,000 | | | | 83,427 | |
KREST Commercial Mortgage Securities Trust, | | | | | |
Series 2021-CHIP, Class C | | | | | |
3.02% | | 11/05/441,4 | | | 125,000 | | | | 86,418 | |
Life Mortgage Trust, | | | | | |
Series 2021-BMR, Class C | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.31% | | 03/15/381,2 | | | 79,313 | | | | 77,904 | |
Manhattan West Mortgage Trust, | | | | | |
Series 2020-1MW, Class D | | | | | |
2.41% | | 09/10/391,4 | | | 50,000 | | | | 44,810 | |
MFT Mortgage Trust, | | | | | |
Series 2020-B6, Class B | | | | | |
3.39% | | 08/10/401,4 | | | 150,000 | | | | 98,183 | |
MHC Trust, | | | | | |
Series 2021-MHC2, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.21%) | | | | | |
6.31% | | 05/15/381,2 | | | 120,000 | | | | 119,105 | |
MHC Trust, | | | | | |
Series 2021-MHC2, Class D | | | | | |
(CME Term SOFR 1-Month plus 1.61%) | | | | | |
6.71% | | 05/15/381,2 | | | 112,000 | | | | 110,770 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class D | | | | | |
3.04% | | 02/12/401,4 | | | 100,000 | | | | 69,967 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2021-PLZA, Class A | | | | | |
2.57% | | 11/09/431 | | | 110,000 | | | | 86,719 | |
NYC Commercial Mortgage Trust, | | | | | |
Series 2021-909, Class A | | | | | |
2.94% | | 04/10/431 | | | 100,000 | | | | 81,208 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
NYC Trust, | | | | | |
Series 2024-3ELV, Class C | | | | | |
(CME Term SOFR 1-Month plus 2.84%) | | | | | |
7.94% | | 08/15/291,2 | | $ | 100,000 | | | $ | 100,833 | |
One New York Plaza Trust, | | | | | |
Series 2020-1NYP, Class AJ | | | | | |
(CME Term SOFR 1-Month plus 1.36%) | | | | | |
6.46% | | 01/15/361,2 | | | 150,000 | | | | 140,161 | |
SFO Commercial Mortgage Trust, | | | | | |
Series 2021-555, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.61%) | | | | | |
6.71% | | 05/15/381,2 | | | 100,000 | | | | 94,271 | |
TTAN, | | | | | |
Series 2021-MHC, Class C | | | | | |
(CME Term SOFR 1-Month plus 1.46%) | | | | | |
6.56% | | 03/15/381,2 | | | 81,016 | | | | 80,593 | |
VASA Trust, | | | | | |
Series 2021-VASA, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.36%) | | | | | |
6.46% | | 07/15/391,2 | | | 100,000 | | | | 86,463 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2024-SVEN, Class C | | | | | |
6.53% | | 06/10/371,4 | | | 50,000 | | | | 51,605 | |
| | | | | | | | | | | | |
| | | | 3,107,108 | |
| | | | | | | | | | | | |
| |
| Non-Agency Mortgage-Backed — 8.41% | | | | | |
BINOM Securitization Trust, | | | | | |
Series 2022-RPL1, Class M1 | | | | | |
3.00% | | 02/25/611,4 | | | 50,000 | | | | 40,808 | |
Cascade MH Asset Trust, | | | | | |
Series 2019-MH1, Class A | | | | | |
4.00% | | 11/25/441,4 | | | 37,609 | | | | 35,701 | |
Cascade MH Asset Trust, | | | | | |
Series 2021-MH1, Class A1 | | | | | |
1.75% | | 02/25/461 | | | 60,109 | | | | 54,343 | |
Cascade MH Asset Trust, | | | | | |
| Series 2022-MH1, Class A (STEP-reset date 11/25/24) | | | | | |
4.25% | | 08/25/541 | | | 87,773 | | | | 82,423 | |
CIM Trust, | | | | | |
Series 2020-R6, Class A1A | | | | | |
2.25% | | 12/25/601,4 | | | 48,711 | | | | 43,539 | |
Credit Suisse Mortgage Capital Certificates, | | | | | |
Series 2021-RP11, Class CERT | | | | | |
3.78% | | 10/27/611 | | | 47,817 | | | | 38,758 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2020-RPL4, Class A1 | | | | | |
2.00% | | 01/25/601,4 | | | 56,812 | | | | 51,104 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2020-RPL6, Class A1 | | | | | |
3.44% | | 03/25/591,4 | | | 103,864 | | | | 103,677 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2021-RPL3, Class M3 | | | | | |
3.98% | | 01/25/601,4 | | | 90,000 | | | | 74,243 | |
Credit Suisse Mortgage Capital Trust, | | | | | |
Series 2021-RPL4, Class A1 | | | | | |
4.07% | | 12/27/601,4 | | | 65,508 | | | | 65,327 | |
See accompanying Notes to Financial Statements.
|
| 99 / Semi-Annual Report September 2024 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Legacy Mortgage Asset Trust, | | | | | |
| Series 2021-GS4, Class A1 (STEP-reset date 10/25/24) | | | | | |
4.65% | | 11/25/601 | | $ | 48,647 | | | $ | 48,712 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-2, Class A2B | | | | | |
(CME Term SOFR 1-Month plus 0.45%) | | | | | |
5.31% | | 05/25/372 | | | 21,290 | | | | 15,290 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, | | | | | |
Series 2007-3, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.61%) | | | | | |
5.47% | | 06/25/372 | | | 47,634 | | | | 47,632 | |
MFA Trust, | | | | | |
Series 2023-INV2, Class B1 | | | | | |
8.00% | | 10/25/581,4 | | | 30,000 | | | | 30,253 | |
PRKCM Trust, | | | | | |
Series 2021-AFC1, Class A1 | | | | | |
1.51% | | 08/25/561,4 | | | 34,308 | | | | 29,076 | |
Soundview Home Loan Trust, | | | | | |
Series 2007-OPT2, Class 2A4 | | | | | |
(CME Term SOFR 1-Month plus 0.36%) | | | | | |
5.22% | | 07/25/372 | | | 135,294 | | | | 109,197 | |
Towd Point Mortgage Trust, | | | | | |
Series 2015-1, Class B1 | | | | | |
4.72% | | 10/25/531,4 | | | 45,000 | | | | 43,870 | |
Towd Point Mortgage Trust, | | | | | |
Series 2019-2, Class M1 | | | | | |
3.75% | | 12/25/581,4 | | | 100,000 | | | | 89,320 | |
| | | | | | | | | | | | |
| | | | 1,003,273 | |
| | | | | | | | | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 2.09% | |
Freddie Mac Multifamily ML Certificates, | | | | | |
Series 2021-ML12, Class XUS (IO) | | | | | |
1.30% | | 07/25/414 | | | 1,068,090 | | | | 99,777 | |
Ginnie Mae, | | | | | |
Series 2021-17, Class IO (IO) | | | | | |
1.05% | | 01/16/614 | | | 703,855 | | | | 54,994 | |
Ginnie Mae, | | | | | |
Series 2021-36, Class IO (IO) | | | | | |
1.29% | | 03/16/634 | | | 608,072 | | | | 50,196 | |
Ginnie Mae, | | | | | |
Series 2023-127, Class IO (IO) | | | | | |
0.41% | | 07/16/574 | | | 2,717,521 | | | | 44,521 | |
| | | | | | | | | | | | |
| | | | 249,488 | |
| | | | | | | | | | | | |
| |
| U.S. Agency Mortgage-Backed — 40.28% | | | | | |
Fannie Mae Pool AL9266 | | | | | |
3.00% | | 10/01/46 | | | 112,725 | | | | 103,638 | |
Fannie Mae Pool BQ1226 | | | | | |
2.00% | | 09/01/50 | | | 120,276 | | | | 100,188 | |
Fannie Mae Pool BV9977 | | | | | |
3.50% | | 06/01/52 | | | 85,783 | | | | 79,955 | |
Fannie Mae Pool BW0000 | | | | | |
4.00% | | 07/01/52 | | | 86,482 | | | | 83,142 | |
Fannie Mae Pool CB2074 | | | | | |
2.50% | | 11/01/51 | | | 146,282 | | | | 127,321 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae Pool CB4211 | | | | | |
4.50% | | 07/01/52 | | $ | 111,339 | | | $ | 109,682 | |
Fannie Mae Pool FM5254 | | | | | |
2.00% | | 12/01/50 | | | 143,166 | | | | 119,139 | |
Fannie Mae Pool FM6400 | | | | | |
2.00% | | 03/01/51 | | | 93,017 | | | | 77,850 | |
Fannie Mae Pool FS1334 | | | | | |
2.00% | | 11/01/51 | | | 146,201 | | | | 121,381 | |
Fannie Mae Pool FS1598 | | | | | |
2.00% | | 04/01/52 | | | 109,944 | | | | 90,947 | |
Fannie Mae Pool MA4398 | | | | | |
2.00% | | 08/01/51 | | | 153,967 | | | | 127,830 | |
Fannie Mae Pool MA4783 | | | | | |
4.00% | | 10/01/52 | | | 123,281 | | | | 118,462 | |
Fannie Mae REMICS, | | | | | |
Series 2019-25, Class PA | | | | | |
3.00% | | 05/25/48 | | | 173,909 | | | | 164,437 | |
Freddie Mac Gold Pool G67708 | | | | | |
3.50% | | 03/01/48 | | | 34,713 | | | | 32,941 | |
Freddie Mac Pool QA7550 | | | | | |
3.00% | | 03/01/50 | | | 60,236 | | | | 54,848 | |
Freddie Mac Pool QA8518 | | | | | |
3.00% | | 04/01/50 | | | 71,083 | | | | 64,862 | |
Freddie Mac Pool QC8921 | | | | | |
2.50% | | 10/01/51 | | | 126,882 | | | | 110,647 | |
Freddie Mac Pool QD1841 | | | | | |
2.00% | | 11/01/51 | | | 125,477 | | | | 103,893 | |
Freddie Mac Pool RA4201 | | | | | |
2.00% | | 12/01/50 | | | 87,246 | | | | 72,793 | |
Freddie Mac Pool RA5552 | | | | | |
3.00% | | 07/01/51 | | | 208,847 | | | | 189,217 | |
Freddie Mac Pool RA5855 | | | | | |
2.50% | | 09/01/51 | | | 180,361 | | | | 156,718 | |
Freddie Mac Pool RA6071 | | | | | |
2.00% | | 10/01/51 | | | 130,970 | | | | 109,068 | |
Freddie Mac Pool RA6528 | | | | | |
2.50% | | 02/01/52 | | | 21,102 | | | | 18,291 | |
Freddie Mac Pool RA7091 | | | | | |
2.50% | | 03/01/52 | | | 131,375 | | | | 113,461 | |
Freddie Mac Pool RA7543 | | | | | |
4.00% | | 06/01/52 | | | 108,759 | | | | 104,753 | |
Freddie Mac Pool SD7511 | | | | | |
3.50% | | 01/01/50 | | | 31,024 | | | | 29,367 | |
Freddie Mac Pool SD7549 | | | | | |
2.00% | | 01/01/52 | | | 129,326 | | | | 108,517 | |
Freddie Mac Pool SD8211 | | | | | |
2.00% | | 05/01/52 | | | 143,058 | | | | 118,340 | |
Freddie Mac Pool SD8222 | | | | | |
4.00% | | 06/01/52 | | | 86,378 | | | | 83,055 | |
Freddie Mac REMICS, | | | | | |
Series 3067, Class FA | | | | | |
(SOFR30A plus 0.46%) | | | | | |
5.81% | | 11/15/352 | | | 47,262 | | | | 46,821 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 100 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Freddie Mac REMICS, | | | | | |
Series 3071, Class TF | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | 04/15/352 | | $ | 2,407 | | | $ | 2,407 | |
Freddie Mac REMICS, | | | | | |
Series 4139, Class DA | | | | | |
1.25% | | 12/15/27 | | | 13,064 | | | | 12,515 | |
Ginnie Mae (TBA) | | | | | |
2.50% | | 10/20/54 | | | 150,000 | | | | 131,950 | |
4.50% | | 10/20/54 | | | 200,000 | | | | 197,412 | |
5.00% | | 10/20/54 | | | 100,000 | | | | 100,176 | |
5.50% | | 10/20/54 | | | 25,000 | | | | 25,245 | |
Ginnie Mae, | | | | | |
Series 2023-113, Class FD | | | | | |
(SOFR30A plus 1.35%) | | | | | |
6.50% | | 08/20/532 | | | 65,973 | | | | 66,368 | |
Ginnie Mae, | | | | | |
Series 2023-134, Class F | | | | | |
(SOFR30A plus 1.00%) | | | | | |
6.35% | | 08/20/532 | | | 111,070 | | | | 111,227 | |
Ginnie Mae, | | | | | |
Series 2024-144, Class FD | | | | | |
(SOFR30A plus 1.15%) | | | | | |
6.50% | | 09/20/54†,2 | | | 115,000 | | | | 114,999 | |
Ginnie Mae, | | | | | |
Series 2024-148, Class AF | | | | | |
(SOFR30A plus 1.18%) | | | | | |
6.50% | | 09/20/542 | | | 115,000 | | | | 115,697 | |
Ginnie Mae, | | | | | |
Series 2024-84, Class LF | | | | | |
(SOFR30A plus 1.05%) | | | | | |
6.40% | | 05/20/542 | | | 122,636 | | | | 122,711 | |
Ginnie Mae, | | | | | |
Series 2024-95, Class FW | | | | | |
(SOFR30A plus 1.10%) | | | | | |
6.45% | | 06/20/542 | | | 103,941 | | | | 104,298 | |
Ginnie Mae, | | | | | |
Series 2024-97, Class FW | | | | | |
(SOFR30A plus 1.15%) | | | | | |
6.50% | | 06/20/542 | | | 99,633 | | | | 99,998 | |
UMBS (TBA) | | | | | |
3.00% | | 10/01/54 | | | 75,000 | | | | 67,314 | |
4.00% | | 10/01/54 | | | 175,000 | | | | 168,103 | |
4.50% | | 10/01/54 | | | 175,000 | | | | 172,104 | |
5.00% | | 10/01/54 | | | 125,000 | | | | 124,927 | |
5.50% | | 10/01/54 | | | 125,000 | | | | 126,487 | |
| | | | | | | | | | | | |
| | | | 4,805,502 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $9,238,138) | | | | 9,165,371 | |
| | | | | | | | | | | | |
| |
| U.S. TREASURY SECURITIES — 8.56% | | | | | |
U.S. Treasury Bonds — 4.15% | | | | | |
U.S. Treasury Bonds (WI) | | | | | |
4.25% | | 08/15/54 | | | 485,000 | | | | 495,458 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
U.S. TREASURY SECURITIES (continued) | | | | | |
| |
U.S. Treasury Notes — 4.41% | | | | | |
U.S. Treasury Notes | | | | | |
3.50% | | 09/30/26 | | $ | 197,000 | | | $ | 196,454 | |
3.88% | | 08/15/34 | | | 238,000 | | | | 239,729 | |
U.S. Treasury Notes (WI) | | | | | |
3.38% | | 09/30/29 | | | 36,000 | | | | 35,897 | |
3.63% | | 09/15/27 | | | 54,000 | | | | 53,728 | |
| | | | | | | | | | | | |
| | | | 525,808 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $1,015,076) | | | | 1,021,266 | |
| | | | | | | | | | | | |
| |
Total Bonds — 105.98% (Cost $12,709,472) | | | | 12,643,434 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 4.09% | | | | | |
| |
Money Market Funds — 4.09% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
4.83%5 | | | 58,355 | | | | 58,355 | |
TCW Central Cash Fund | | | | | |
0.04%5,6 | | | 430,000 | | | | 430,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments (Cost $488,355) | | | | 488,355 | |
| | | | | | | | | | | | |
| |
Total Investments - 110.07% (Cost $13,197,827) | | | | 13,131,789 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (10.07)% | | | | (1,201,909 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 11,929,880 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 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 | Represents the current yield as of September 30, 2024. |
| † | Fair valued security. The aggregate value of fair valued securities is $114,999, which is 0.96% 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 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.
|
| 101 / Semi-Annual Report September 2024 |
Sustainable Securitized Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(IO): Interest Only
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(WI): When Issued
| | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | 16 | | 12/19/24 | | $ | 1,892,750 | | | $ | 4,918 | | | $ | 4,918 | |
U.S. Treasury Two-Year Note | | 12 | | 12/31/24 | | | 2,498,906 | | | | 3,771 | | | | 3,771 | |
U.S. Treasury Five-Year Note | | 3 | | 12/31/24 | | | 329,649 | | | | 935 | | | | 935 | |
U.S. Treasury Ultra Bond | | 1 | | 12/19/24 | | | 133,094 | | | | (298) | | | | (298) | |
| | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | $ | 4,854,399 | | | $ | 9,326 | | | $ | 9,326 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 102 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
BONDS – 108.93% | |
|
ASSET-BACKED SECURITIES — 5.34%** | |
Academic Loan Funding Trust, | |
Series 2012-1A, Class A2 | |
(SOFR30A plus 1.21%) | |
6.49% | | 12/27/441,2 | | $ | 9,486,000 | | | $ | 9,367,789 | |
AGL CLO 1 Ltd., | |
Series 2019-1A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.19% | | 10/20/341,2,3 | | | 24,800,000 | | | | 24,801,984 | |
AGL CLO 17 Ltd., | |
Series 2022-17A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.33%) | |
6.61% | | 01/21/351,2,3 | | | 30,520,000 | | | | 30,538,312 | |
Allegro CLO XIII Ltd., | |
Series 2021-1A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.24% | | 07/20/341,2,3 | | | 15,610,000 | | | | 15,612,185 | |
AMMC CLO 15 Ltd., | |
Series 2014-15A, Class AR3 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.38%) | |
6.68% | | 01/15/321,2,3 | | | 19,150,616 | | | | 19,179,917 | |
AMMC CLO 22 Ltd., | |
Series 2018-22A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.71%) | |
7.00% | | 04/25/311,2,3 | | | 19,750,000 | | | | 19,732,028 | |
AMMC CLO 26 Ltd., | |
Series 2023-26A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.95%) | |
7.25% | | 04/15/361,2,3 | | | 8,250,000 | | | | 8,278,463 | |
AMMC CLO 30 Ltd., | |
Series 2024-30A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.68%) | |
6.97% | | 01/15/371,2,3 | | | 24,070,000 | | | | 24,182,888 | |
AMSR Trust, | |
Series 2021-SFR1, Class G | |
4.61% | | 06/17/382 | | | 15,250,000 | | | | 14,067,417 | |
Apidos CLO XV, | |
Series 2013-15A, Class BRR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.81%) | |
7.09% | | 04/20/311,2,3 | | | 10,000,000 | | | | 10,000,300 | |
Apidos CLO XVIII, | |
Series 2018-18A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.19% | | 10/22/301,2,3 | | | 11,200,000 | | | | 11,215,568 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Apidos CLO XXV, | |
Series 2016-25A, Class A1R2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | 10/20/311,2,3 | | $ | 38,563,981 | | | $ | 38,586,733 | |
Ares XXXVII CLO Ltd., | |
Series 2015-4A, Class A1RR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.08%) | |
6.38% | | 10/15/301,2,3 | | | 36,674,007 | | | | 36,715,815 | |
Barings CLO Ltd., | |
Series 2018-4A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.45% | | 10/15/301,2,3 | | | 16,822,058 | | | | 16,837,030 | |
BCRED MML CLO, LLC, | |
Series 2022-1A, Class A1 | |
(CME Term SOFR 3-Month plus 1.65%) | |
6.93% | | 04/20/351,2 | | | 48,400,000 | | | | 48,458,564 | |
BlueMountain CLO XXXII Ltd., | |
Series 2021-32A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.26% | | 10/15/341,2,3 | | | 15,000,000 | | | | 14,999,550 | |
BlueMountain Fuji U.S. CLO I Ltd., | |
Series 2017-1A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.24%) | |
6.52% | | 07/20/291,2,3 | | | 7,605,281 | | | | 7,612,126 | |
Brazos Education Loan Authority, Inc., | |
Series 2012-1, Class A1 | |
(SOFR30A plus 0.81%) | |
6.09% | | 12/26/351 | | | 5,187 | | | | 5,183 | |
Carvana Auto Receivables Trust, | |
Series 2021-N1, Class R | |
0.00% | | 01/10/282 | | | 53,821 | | | | 5,902,237 | |
Carvana Auto Receivables Trust, | |
Series 2021-P4, Class R | |
0.00% | | 09/11/282 | | | 43,250 | | | | 8,584,260 | |
Carvana Auto Receivables Trust, | |
Series 2023-N1, Class R | |
0.00% | | 04/10/302 | | | 30,000 | | | | 10,352,398 | |
Carvana Auto Receivables Trust, | |
Series 2023-N1, Class XS | |
0.00% | | 04/10/302,4,5 | | | 318,802,414 | | | | 4,687,990 | |
Carvana Auto Receivables Trust, | |
Series 2023-N3, Class R | |
0.00% | | 09/10/302 | | | 30,900 | | | | 8,831,099 | |
Cedar Funding II CLO Ltd., | |
Series 2013-1A, Class BRR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.61%) | |
6.89% | | 04/20/341,2,3 | | | 4,800,000 | | | | 4,799,520 | |
|
| See accompanying Notes to Financial Statements. |
|
| 103 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Cedar Funding V CLO Ltd., | |
Series 2016-5A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 2.01%) | |
7.30% | | 07/17/311,2,3 | | $ | 7,000,000 | | | $ | 7,000,630 | |
Cedar Funding VIII CLO Ltd., | |
Series 2017-8A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.20% | | 10/17/341,2,3 | | | 9,550,000 | | | | 9,550,191 | |
CIFC Funding 2014 Ltd., | |
Series 2014-1A, Class BR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.66%) | |
6.94% | | 01/18/311,2,3 | | | 8,000,000 | | | | 7,987,360 | |
CIFC Funding Ltd., | |
Series 2013-2A, Class A2L2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.76%) | |
7.04% | | 10/18/301,2,3 | | | 10,500,000 | | | | 10,497,690 | |
CIFC Funding Ltd., | |
Series 2017-4A, Class A2R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.81%) | |
7.09% | | 10/24/301,2,3 | | | 3,475,000 | | | | 3,474,965 | |
CIFC Funding Ltd., | |
Series 2018-1A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.66%) | |
6.94% | | 04/18/311,2,3 | | | 9,950,000 | | | | 9,928,210 | |
CIFC Funding Ltd., | |
Series 2020-2A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.14% | | 10/20/341,2,3 | | | 9,000,000 | | | | 9,000,360 | |
CIFC Funding Ltd., | |
Series 2021-6A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.21% | | 10/15/341,2,3 | | | 20,000,000 | | | | 20,000,400 | |
CIFC Funding Ltd., | |
Series 2022-1A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.32%) | |
6.61% | | 04/17/351,2,3 | | | 25,000,000 | | | | 24,995,500 | |
CIFC Funding Ltd., | |
Series 2023-2A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.75%) | |
7.03% | | 01/21/371,2,3 | | | 14,000,000 | | | | 14,079,520 | |
CIT Education Loan Trust, | |
Series 2007-1, Class B | |
(SOFR90A plus 0.56%) | |
5.91% | | 06/25/421,2 | | | 10,252,232 | | | | 9,510,807 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Clear Creek CLO LTD. | |
Series 2015-1A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.46%) | |
6.74% | | 10/20/301,2,3 | | $ | 6,039,805 | | | $ | 6,043,006 | |
College Loan Corp. Trust, | |
Series 2005-2, Class B | |
(SOFR90A plus 0.75%) | |
6.11% | | 01/15/371 | | | 1,032,953 | | | | 956,677 | |
CVC Cordatus Loan Fund VIII DAC, | |
Series 8X, Class BRR | |
(Ireland) | |
(3-Month Euribor plus 1.40%) | |
5.09% | | 07/15/341,3 | | | 8,200,000 | | | | 9,025,409 | |
CyrusOne Data Centers Issuer I LLC, | |
Series 2023-2A, Class A2 | |
5.56% | | 11/20/482 | | | 22,650,000 | | | | 22,945,052 | |
Dryden 30 Senior Loan Fund, | |
Series 2013-30A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.51%) | |
6.63% | | 11/15/281,2,3 | | | 1,500,000 | | | | 1,492,995 | |
Dryden 40 Senior Loan Fund, | |
Series 2015-40A, Class AR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.27% | | 08/15/311,2,3 | | | 18,630,297 | | | | 18,636,817 | |
Dryden 65 CLO Ltd., | |
Series 2018-65A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.14% | | 07/18/301,2,3 | | | 3,500,000 | | | | 3,500,000 | |
Dryden 92 CLO Ltd., | |
Series 2021-92A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.04% | | 11/20/341,2,3 | | | 22,500,000 | | | | 22,501,800 | |
Dryden XXVI Senior Loan Fund, | |
Series 2013-26A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.16%) | |
6.46% | | 04/15/291,2,3 | | | 13,240,247 | | | | 13,255,871 | |
Eaton Vance CLO Ltd., | |
Series 2013-1A, Class A13R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.51%) | |
6.81% | | 01/15/341,2,3 | | | 23,850,000 | | | | 23,851,192 | |
Elmwood CLO XI Ltd., | |
Series 2021-4A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.14% | | 10/20/341,2,3 | | | 16,000,000 | | | | 16,023,200 | |
Fillmore Park CLO Ltd., | |
Series 2018-1A, Class B1B2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.81%) | |
7.11% | | 07/15/301,2,3 | | | 8,000,000 | | | | 7,999,920 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 104 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
FirstKey Homes Trust, | |
Series 2021-SFR1, Class F1 | |
3.24% | | 08/17/382 | | $ | 12,416,000 | | | $ | 11,707,637 | |
FirstKey Homes Trust, | |
Series 2021-SFR2, Class F1 | |
2.91% | | 09/17/382 | | | 12,677,000 | | | | 11,781,289 | |
Goal Capital Funding Trust, | |
Series 2006-1, Class B | |
(LIBOR USD 3-Month plus 0.45%) | |
5.78% | | 08/25/421 | | | 957,993 | | | | 917,308 | |
GoldenTree Loan Management U.S. CLO 8 Ltd., | |
Series 2020-8A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.41%) | |
6.69% | | 10/20/341,2,3 | | | 36,180,000 | | | | 36,194,834 | |
Golub Capital Partners CLO 64B Ltd., | |
Series 2022-64A, Class B | |
(United Kingdom) | |
(CME Term SOFR 3-Month plus 3.30%) | |
8.58% | | 10/25/351,2,3 | | | 8,800,000 | | | | 8,809,680 | |
Golub Capital Partners CLO 66B Ltd., | |
Series 2023-66A, Class A | |
(United Kingdom) | |
(CME Term SOFR 3-Month plus 1.95%) | |
7.23% | | 04/25/361,2,3 | | | 20,000,000 | | | | 20,093,600 | |
Greenwood Park CLO Ltd., | |
Series 2018-1A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.66%) | |
6.96% | | 04/15/311,2,3 | | | 10,000,000 | | | | 9,989,900 | |
HPS Loan Management Ltd. | |
Series 15A-19, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.32%) | |
6.60% | | 01/22/351,2,3 | | | 35,720,000 | | | | 35,736,431 | |
HPS Loan Management Ltd., | |
Series 13A-18, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.13%) | |
6.43% | | 10/15/301,2,3 | | | 42,209,059 | | | | 42,215,390 | |
HPS Loan Management Ltd., | |
Series 2021-16A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.24% | | 01/23/351,2,3 | | | 19,250,000 | | | | 19,252,503 | |
HPS Loan Management Ltd., | |
Series 2023-17A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.90%) | |
7.18% | | 04/23/361,2,3 | | | 17,400,000 | | | | 17,460,204 | |
HPS Loan Management Ltd., | |
Series 2023-18A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 2.95%) | |
8.23% | | 07/20/361,2,3 | | | 10,000,000 | | | | 10,125,100 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Invesco U.S. CLO Ltd., | |
Series 2023-2A, Class A | |
(United Kingdom) | |
(CME Term SOFR 3-Month plus 1.80%) | |
7.08% | | 04/21/361,2,3 | | $ | 12,600,000 | | | $ | 12,634,020 | |
J.G. Wentworth XXX LLC, | |
Series 2013-3A, Class A | |
4.08% | | 01/17/732 | | | 454,177 | | | | 438,229 | |
J.G. Wentworth XXXII LLC, | |
Series 2014-2A, Class A | |
3.61% | | 01/17/732 | | | 28,580,325 | | | | 26,500,361 | |
LCM Loan Income Fund I Ltd., | |
Series 1A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.71%) | |
6.99% | | 04/20/311,2,3 | | | 7,500,000 | | | | 7,504,875 | |
LCM XIV LP, | |
Series 14A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.30%) | |
6.58% | | 07/20/311,2,3 | | | 5,925,074 | | | | 5,929,696 | |
LCM XIV LP, | |
Series 14A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.84%) | |
7.12% | | 07/20/311,2,3 | | | 3,385,000 | | | | 3,383,680 | |
Madison Park Funding XLVIII Ltd., | |
Series 2021-48A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.41%) | |
6.69% | | 04/19/331,2,3 | | | 30,163,908 | | | | 30,235,999 | |
Madison Park Funding XVII Ltd., | |
Series 2015-17A, Class BR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.76%) | |
7.04% | | 07/21/301,2,3 | | | 10,000,000 | | | | 9,992,000 | |
Madison Park Funding XXIV Ltd., | |
Series 2016-24A, Class AR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.12%) | |
6.40% | | 10/20/291,2,3 | | | 40,257,526 | | | | 40,248,669 | |
Madison Park Funding XXIX Ltd., | |
Series 2018-29A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.18%) | |
6.46% | | 10/18/301,2,3 | | | 46,481,212 | | | | 46,531,411 | |
Madison Park Funding XXXVIII Ltd., | |
Series 2021-38A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.38%) | |
6.67% | | 07/17/341,2,3 | | | 10,500,000 | | | | 10,506,615 | |
Magnetite XII Ltd., | |
Series 2015-12A, Class AR4 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.45% | | 10/15/311,2,3 | | | 34,859,093 | | | | 34,880,008 | |
|
| See accompanying Notes to Financial Statements. |
|
| 105 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Magnetite XXIII Ltd., | |
Series 2019-23A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.20% | | 01/25/351,2,3 | | $ | 20,000,000 | | | $ | 20,002,800 | |
Magnetite XXV Ltd., | |
Series 2020-25A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.46%) | |
6.75% | | 01/25/321,2,3 | | | 23,026,037 | | | | 23,035,938 | |
MetroNet, | |
Series 2023-3, Class A | |
7.95% | | 04/20/532,4,5 | | | 24,026,000 | | | | 24,565,646 | |
Navient Student Loan Trust, | |
Series 2014-1, Class A3 | |
(SOFR30A plus 0.62%) | |
5.90% | | 06/25/311 | | | 318,499 | | | | 314,584 | |
Navient Student Loan Trust, | |
Series 2015-1, Class A2 | |
(SOFR30A plus 0.71%) | |
5.99% | | 04/25/401 | | | 34,136,375 | | | | 33,753,946 | |
Neuberger Berman Loan Advisers CLO 33 Ltd., | |
Series 2019-33A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.15% | | 10/16/331,2,3 | | | 23,000,000 | | | | 23,001,610 | |
Neuberger Berman Loan Advisers CLO 47 Ltd., | |
Series 2022-47A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.30%) | |
6.60% | | 04/14/351,2,3 | | | 32,050,000 | | | | 32,093,268 | |
NYACK Park CLO Ltd., | |
Series 2021-1A, Class B1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.86%) | |
7.14% | | 10/20/341,2,3 | | | 20,000,000 | | | | 20,000,800 | |
OCP CLO Ltd., | |
Series 2014-6A, Class A1R2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.44% | | 10/17/301,2,3 | | | 6,320,960 | | | | 6,334,993 | |
OCP CLO Ltd., | |
Series 2017-13A, Class A2R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.81%) | |
7.11% | | 07/15/301,2,3 | | | 5,675,000 | | | | 5,675,114 | |
OCP CLO Ltd., | |
Series 2020-19A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.24% | | 10/20/341,2,3 | | | 15,500,000 | | | | 15,502,480 | |
Octagon 67 Ltd., | |
Series 2023-1A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.80%) | |
7.08% | | 04/25/361,2,3 | | | 21,210,000 | | | | 21,278,296 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Octagon Investment Partners 27 Ltd., | |
Series 2016-1A, Class A2R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.61%) | |
6.91% | | 07/15/301,2,3 | | $ | 10,000,000 | | | $ | 10,000,600 | |
Octagon Investment Partners 44 Ltd., | |
Series 2019-1A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.26% | | 10/15/341,2,3 | | | 18,800,000 | | | | 18,801,692 | |
Octagon Investment Partners 46 Ltd., | |
Series 2020-2A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.21% | | 07/15/361,2,3 | | | 7,250,000 | | | | 7,250,073 | |
Octagon Investment Partners XXI Ltd., | |
Series 2014-1A, Class A2R3 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.66%) | |
6.78% | | 02/14/311,2,3 | | | 1,470,000 | | | | 1,466,707 | |
OHA Credit Funding 3 Ltd., | |
Series 2019-3A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.40%) | |
6.68% | | 07/02/351,2,3 | | | 33,250,000 | | | | 33,267,290 | |
OHA Credit Funding 5 Ltd., | |
Series 2020-5A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.43%) | |
6.71% | | 04/18/331,2,3 | | | 14,875,000 | | | | 14,885,413 | |
OHA Credit Funding 7 Ltd., | |
Series 2020-7A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.30%) | |
6.58% | | 02/24/371,2,3 | | | 6,960,000 | | | | 6,962,018 | |
Palmer Square CLO Ltd., | |
Series 2018-1A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.52%) | |
6.80% | | 04/18/371,2,3 | | | 23,000,000 | | | | 23,058,880 | |
Palmer Square CLO Ltd., | |
Series 2021-4A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.21% | | 10/15/341,2,3 | | | 19,500,000 | | | | 19,386,900 | |
Progress Residential Trust, | |
Series 2021-SFR2, Class H | |
5.00% | | 04/19/382 | | | 21,439,000 | | | | 20,755,402 | |
Progress Residential Trust, | |
Series 2021-SFR6, Class E2 | |
2.53% | | 07/17/382 | | | 3,973,000 | | | | 3,775,545 | |
Progress Residential Trust, | |
Series 2021-SFR6, Class F | |
3.42% | | 07/17/382 | | | 10,437,000 | | | | 9,908,679 | |
Progress Residential Trust, | |
Series 2021-SFR6, Class G | |
4.00% | | 07/17/382 | | | 8,896,000 | | | | 8,371,526 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 106 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Progress Residential Trust, | |
Series 2021-SFR7, Class F | |
3.83% | | 08/17/402 | | $ | 23,777,000 | | | $ | 21,754,807 | |
Progress Residential Trust, | |
Series 2021-SFR8, Class E1 | |
2.38% | | 10/17/382 | | | 17,400,000 | | | | 16,464,764 | |
Progress Residential Trust, | |
Series 2021-SFR8, Class E2 | |
2.53% | | 10/17/382 | | | 13,425,000 | | | | 12,708,453 | |
Progress Residential Trust, | |
Series 2021-SFR8, Class F | |
3.18% | | 10/17/382 | | | 61,665,000 | | | | 57,904,853 | |
Progress Residential Trust, | |
Series 2021-SFR8, Class G | |
4.01% | | 10/17/382 | | | 19,482,000 | | | | 18,144,777 | |
Progress Residential, | |
Series 2021-SFR1, Class E | |
2.11% | | 04/17/382 | | | 3,000,000 | | | | 2,868,545 | |
Progress Residential, | |
Series 2021-SFR3, Class E1 | |
2.54% | | 05/17/262 | | | 3,055,000 | | | | 2,934,577 | |
Progress Residential, | |
Series 2021-SFR3, Class G | |
4.25% | | 05/17/262 | | | 3,190,000 | | | | 3,044,964 | |
Rad CLO 18 Ltd., | |
Series 2023-18A, Class A1 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.95%) | |
7.25% | | 04/15/361,2,3 | | | 29,590,000 | | | | 29,690,014 | |
Rad CLO 4 Ltd., | |
Series 2019-4A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.23%) | |
6.51% | | 04/25/321,2,3 | | | 11,588,675 | | | | 11,588,675 | |
Recette CLO Ltd., | |
Series 2015-1A, Class ARR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.34%) | |
6.62% | | 04/20/341,2,3 | | | 32,680,000 | | | | 32,697,974 | |
Regatta XIV Funding Ltd., | |
Series 2018-3A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
6.38% | | 10/25/311,2,3 | | | 46,406,610 | | | | 46,414,499 | |
Regatta XX Funding Ltd., | |
Series 2021-2A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.26% | | 10/15/341,2,3 | | | 17,000,000 | | | | 17,002,040 | |
Rockford Tower CLO Ltd., | |
Series 2017-2A, Class AR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.28%) | |
6.58% | | 10/15/291,2,3 | | | 4,120,944 | | | | 4,119,296 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Rockford Tower CLO Ltd., | |
Series 2017-3A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.45%) | |
6.73% | | 10/20/301,2,3 | | $ | 2,155,323 | | | $ | 2,156,853 | |
Rockford Tower CLO Ltd., | |
Series 2019-2A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.04% | | 08/20/321,2,3 | | | 20,000,000 | | | | 20,003,200 | |
Rockford Tower CLO Ltd., | |
Series 2020-1A, Class A1R | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.52%) | |
6.80% | | 01/20/361,2,3 | | | 22,730,000 | | | | 22,751,594 | |
Sixth Street CLO XVII Ltd., | |
Series 2021-17A, Class A | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.50%) | |
6.78% | | 01/20/341,2,3 | | | 12,975,000 | | | | 12,975,778 | |
Sixth Street CLO XX Ltd., | |
Series 2021-20A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.19% | | 10/20/341,2,3 | | | 25,000,000 | | | | 25,003,250 | |
Skyline Aircraft Finance LLC, | |
Series 2021-1, Class A | |
3.23% | | 05/10/374,5 | | | 25,575,587 | | | | 23,667,407 | |
SLC Student Loan Trust, | |
Series 2004-1, Class B | |
(SOFR90A plus 0.55%) | |
5.92% | | 08/15/311 | | | 160,966 | | | | 141,970 | |
SLM Student Loan Trust, | |
Series 2003-12, Class B | |
(SOFR90A plus 0.85%) | |
6.22% | | 12/15/681 | | | 26,544 | | | | 25,401 | |
SLM Student Loan Trust, | |
Series 2006-2, Class A6 | |
(SOFR90A plus 0.43%) | |
5.79% | | 01/25/411 | | | 17,746,346 | | | | 17,318,210 | |
SLM Student Loan Trust, | |
Series 2006-8, Class A6 | |
(SOFR90A plus 0.42%) | |
5.78% | | 01/25/411 | | | 19,275,231 | | | | 18,698,022 | |
SLM Student Loan Trust, | |
Series 2007-1, Class A6 | |
(SOFR90A plus 0.40%) | |
5.76% | | 01/27/421 | | | 18,941,979 | | | | 18,406,525 | |
SLM Student Loan Trust, | |
Series 2007-1, Class B | |
(SOFR90A plus 0.48%) | |
5.84% | | 01/27/421 | | | 2,214,132 | | | | 2,077,451 | |
SLM Student Loan Trust, | |
Series 2007-6, Class B | |
(SOFR90A plus 1.11%) | |
6.47% | | 04/27/431 | | | 2,741,950 | | | | 2,651,048 | |
|
| See accompanying Notes to Financial Statements. |
|
| 107 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, | |
Series 2007-7, Class A4 | |
(SOFR90A plus 0.59%) | |
5.95% | | 01/25/221 | | $ | 109,589 | | | $ | 107,719 | |
SLM Student Loan Trust, | |
Series 2008-2, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | 01/25/831 | | | 38,874,000 | | | | 40,039,240 | |
SLM Student Loan Trust, | |
Series 2008-3, Class A3 | |
(SOFR90A plus 1.26%) | |
6.62% | | 10/25/211 | | | 7,147 | | | | 7,102 | |
SLM Student Loan Trust, | |
Series 2008-3, Class B | |
(SOFR90A plus 1.46%) | |
6.82% | | 04/26/831 | | | 2,260,000 | | | | 2,309,773 | |
SLM Student Loan Trust, | |
Series 2008-4, Class A4 | |
(SOFR90A plus 1.91%) | |
7.27% | | 07/25/221 | | | 806,981 | | | | 810,100 | |
SLM Student Loan Trust, | |
Series 2008-4, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 04/25/731 | | | 8,849,000 | | | | 9,209,455 | |
SLM Student Loan Trust, | |
Series 2008-5, Class A4 | |
(SOFR90A plus 1.96%) | |
7.32% | | 07/25/231 | | | 11,178,103 | | | | 11,201,720 | |
SLM Student Loan Trust, | |
Series 2008-5, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/25/731 | | | 37,199,000 | | | | 38,095,444 | |
SLM Student Loan Trust, | |
Series 2008-6, Class A4 | |
(SOFR90A plus 1.36%) | |
6.72% | | 07/25/231 | | | 6,009,880 | | | | 5,991,685 | |
SLM Student Loan Trust, | |
Series 2008-6, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/26/831 | | | 31,424,000 | | | | 32,263,725 | |
SLM Student Loan Trust, | |
Series 2008-7, Class B | |
(SOFR90A plus 2.11%) | |
7.47% | | 07/26/831 | | | 17,206,000 | | | | 17,487,485 | |
SLM Student Loan Trust, | |
Series 2012-1, Class A3 | |
(SOFR30A plus 1.06%) | |
6.34% | | 09/25/281 | | | 325,410 | | | | 321,052 | |
SLM Student Loan Trust, | |
Series 2012-2, Class A | |
(SOFR30A plus 0.81%) | |
6.09% | | 01/25/291 | | | 7,193,579 | | | | 7,022,600 | |
SLM Student Loan Trust, | |
Series 2012-7, Class A3 | |
(SOFR30A plus 0.76%) | |
6.04% | | 05/26/261 | | | 12,459,353 | | | | 12,179,046 | |
| | | | | | | | | | | | |
| | | | |
| 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 | | $ | 17,000,000 | | | $ | 15,711,774 | |
Symphony CLO XX Ltd., | |
Series 2018-20A, Class AR2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.10%) | |
6.39% | | 01/16/321,2,3 | | | 36,028,351 | | | | 35,995,926 | |
Symphony CLO XXIX Ltd., | |
Series 2021-29A, Class B | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.91%) | |
7.21% | | 01/15/341,2,3 | | | 14,500,000 | | | | 14,501,160 | |
United Auto Credit Securitization Trust, | |
Series 2022-2, Class R1 | |
0.00% | | 04/10/292 | | | 33,600 | | | | 2 | |
Vantage Data Centers Jersey Borrower Spv Ltd., | |
Series 2024-1A, Class A2 | |
(United Kingdom) | |
6.17% | | 05/28/392,3 | | | 12,435,000 | | | | 16,960,782 | |
Voya CLO Ltd., | |
Series 2015-3A, Class A1R3 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | 10/20/311,2,3 | | | 17,673,104 | | | | 17,661,263 | |
Voya CLO Ltd., | |
Series 2016-3A, Class A1R2 | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.15%) | |
6.43% | | 10/18/311,2,3 | | | 31,519,110 | | | | 31,581,833 | |
Voya CLO Ltd., | |
Series 2019-4A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 2.01%) | |
7.31% | | 01/15/351,2,3 | | | 17,500,000 | | | | 17,501,750 | |
Voya CLO Ltd., | |
Series 2020-2A, Class BR | |
(Cayman Islands) | |
(CME Term SOFR 3-Month plus 1.96%) | |
7.24% | | 07/19/341,2,3 | | | 11,625,000 | | | | 11,626,744 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $2,247,879,255) | | | | 2,303,928,894 | |
| | | | | | | | | | | | |
|
BANK LOANS — 1.43%* | |
|
Communications — 0.13% | |
CCI Buyer, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% | | 12/17/271 | | | 4,897,855 | | | | 4,897,096 | |
CSC Holdings LLC, | |
Term Loan B5, 1st Lien | |
(LIBOR plus 2.50%) | |
7.44% | | 04/15/271 | | | 6,224,606 | | | | 5,713,317 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 108 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications (continued) | | | | | |
Frontier Communications Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.76% | | 07/01/311 | | $ | 6,985,000 | | | $ | 7,046,119 | |
Numericable U.S. LLC, | | | | | |
Term Loan B14, 1st Lien | | | | | |
(SOFR plus 5.50%) | | | | | |
10.80% | | 08/15/281 | | | 5,029,454 | | | | 3,784,664 | |
Research Now LLC, | | | | | |
Term Loan | | | | | |
(SOFR plus 5.50%) | | | | | |
10.38% | | 04/22/251 | | | 1,620,806 | | | | 1,627,556 | |
Virgin Media Bristol LLC, | | | | | |
Term Loan Y, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.66% | | 03/31/311 | | | 3,035,831 | | | | 2,903,439 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | 03/09/271 | | | 30,632,429 | | | | 28,070,179 | |
| | | | | |
| | | | 54,042,370 | |
| | | | | |
| |
Consumer Discretionary — 0.12% | | | | | |
BrewCo Borrower LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
9.06% | | 04/05/281 | | | 5,119,112 | | | | 4,197,672 | |
(SOFR plus 6.25%) | | | | | |
11.55% | | 04/05/281 | | | 1,975,168 | | | | 1,748,023 | |
City Brewing Co. LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.56% | | 04/05/281,6 | | | 7,539,382 | | | | 3,977,024 | |
Hilton Worldwide Finance LLC, | | | | | |
Term Loan B4, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.57% | | 11/08/301 | | | 1,603,094 | | | | 1,604,561 | |
Naked Juice, LLC, | | | | | |
Term Loan, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 3.35%) | | | | | |
8.32% | | 01/24/291,3 | | | 41,714,586 | | | | 34,284,175 | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.10%) | | | | | |
10.70% | | 01/24/301 | | | 4,735,415 | | | | 2,945,097 | |
Osmosis Buyer Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.34% | | 07/31/281 | | | 1,486,333 | | | | 1,486,258 | |
Prestige Brands, Inc., | | | | | |
Term Loan B5, 1st Lien | | | | | |
(SOFR plus 2.11%) | | | | | |
6.96% | | 07/03/281 | | | 54,545 | | | | 54,688 | |
| | | | | |
| | | | 50,297,498 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Diversified REITs — 0.03% | | | | | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.71% | | 01/25/311 | | $ | 4,629,061 | | | $ | 4,635,565 | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 01/25/311 | | | 9,930,135 | | | | 9,944,087 | |
| | | | | |
| | | | 14,579,652 | |
| | | | | |
| |
Electric — 0.03% | | | | | |
Alpha Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 09/19/311 | | | 6,900,164 | | | | 6,910,032 | |
Edgewater Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 08/01/301 | | | 2,354,854 | | | | 2,378,402 | |
Lackawanna Energy Center LLC, | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | 08/06/291 | | | 1,134,461 | | | | 1,144,387 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | 08/06/291 | | | 247,903 | | | | 250,073 | |
South Field Energy LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/311 | | | 1,857,161 | | | | 1,866,057 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/311 | | | 113,906 | | | | 114,451 | |
Vistra Operations Co. LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 12/20/301 | | | 1,384,682 | | | | 1,386,344 | |
| | | | | |
| | | | 14,049,746 | |
| | | | | |
| |
Entertainment — 0.03% | | | | | |
Elanco Animal Health, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.85%) | | | | | |
7.05% | | 08/01/271 | | | 1,502,941 | | | | 1,501,175 | |
Showtime Acquisition LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.85% | | 08/13/311 | | | 7,390,946 | | | | 7,360,938 | |
William Morris Endeavor Entertainment LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.86%) | | | | | |
7.71% | | 05/18/251 | | | 2,862,508 | | | | 2,867,875 | |
| | | | | |
| | | | 11,729,988 | |
| | | | | |
| |
Finance — 0.07% | | | | | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B6, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.96% | | 06/22/281 | | | 9,831,619 | | | | 9,863,474 | |
|
| See accompanying Notes to Financial Statements. |
|
| 109 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Finance (continued) | | | | | |
Deerfield Dakota Holding LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 04/09/271 | | $ | 8,283,835 | | | $ | 8,126,939 | |
Jane Street Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.61%) | | | | | |
7.65% | | 01/26/281 | | | 8,335,067 | | | | 8,336,942 | |
Telenet Financing USD LLC, | | | | | |
Term Loan AR, 1st Lien | | | | | |
(SOFR plus 2.11%) | | | | | |
7.21% | | 04/30/281 | | | 4,630,109 | | | | 4,472,407 | |
| | | | | |
| | | | 30,799,762 | |
| | | | | |
| |
Food — 0.02% | | | | | |
8th Avenue Food & Provisions, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 10/01/251 | | | 1,095,733 | | | | 1,065,601 | |
United Natural Foods, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 04/25/311 | | | 8,373,052 | | | | 8,414,917 | |
| | | | | |
| | | | 9,480,518 | |
| | | | | |
| |
Gaming — 0.05% | | | | | |
Caesars Entertainment, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 02/06/311 | | | 8,224,409 | | | | 8,236,623 | |
Churchill Downs, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.10%) | | | | | |
6.95% | | 03/17/281 | | | 10,565,513 | | | | 10,565,513 | |
Penn National Gaming, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.70% | | 05/03/291 | | | 3,390,629 | | | | 3,402,292 | |
| | | | | |
| | | | 22,204,428 | |
| | | | | |
| |
Health Care — 0.17% | | | | | |
Bausch + Lomb Corp., | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(SOFR plus 3.35%) | | | | | |
8.27% | | 05/10/271,3 | | | 3,708,349 | | | | 3,699,597 | |
Term Loan, 1st Lien (Canada) | | | | | |
(SOFR plus 4.00%) | | | | | |
8.85% | | 09/29/281,3 | | | 1,831,994 | | | | 1,833,149 | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.15%) | | | | | |
7.40% | | 11/15/271 | | | 3,113,883 | | | | 3,032,143 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B2, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 2.25%) | | | | | |
7.10% | | 05/05/281,3 | | | 23,597,334 | | | | 23,599,457 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Medline Borrower LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 10/23/281 | | $ | 13,248,010 | | | $ | 13,268,346 | |
Modivcare, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
10.08% | | 07/01/311 | | | 20,319,409 | | | | 19,246,341 | |
NSM Top Holdings Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
10.10% | | 05/14/291 | | | 2,372,506 | | | | 2,381,474 | |
Perrigo Investments LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.35%) | | | | | |
7.20% | | 04/20/291 | | | 526,102 | | | | 526,542 | |
Star Parent, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 09/27/301 | | | 6,326,515 | | | | 6,164,810 | |
| | | | | |
| | | | 73,751,859 | |
| | | | | |
| |
Health Care REITs — 0.13% | | | | | |
Healthpeak Properties, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 0.94%) | | | | | |
5.87% | | 02/22/271 | | | 13,772,696 | | | | 13,531,674 | |
5.87% | | 08/20/271 | | | 13,772,696 | | | | 13,531,674 | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 0.85%) | | | | | |
5.79% | | 03/01/291 | | | 27,796,272 | | | | 27,275,092 | |
| | | | | |
| | | | 54,338,440 | |
| | | | | |
| |
Industrials — 0.19% | | | | | |
Alliance Laundry Systems LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/19/311 | | | 4,942,656 | | | | 4,955,680 | |
Artera Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.47% | | 02/15/311 | | | 6,100,355 | | | | 5,962,121 | |
ASP Blade Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.26%) | | | | | |
8.87% | | 10/13/281 | | | 666,922 | | | | 496,024 | |
Berry Global, Inc., | | | | | |
Term Loan AA, 1st Lien | | | | | |
(SOFR plus 2.01%) | | | | | |
7.32% | | 07/01/291 | | | 38,004,928 | | | | 38,160,939 | |
Coherent Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.35% | | 07/02/291 | | | 1,768,547 | | | | 1,771,305 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 110 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials (continued) | | | | | |
Michaels Cos., Inc. (The), | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.51%) | | | | | |
9.12% | | 04/15/281 | | $ | 27,322,200 | | | $ | 21,680,166 | |
Transdigm, Inc., | | | | | |
Term Loan I, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.35% | | 08/24/281 | | | 8,895,406 | | | | 8,901,677 | |
| | | | | |
| | | | 81,927,912 | |
| | | | | |
| |
Information Technology — 0.21% | | | | | |
Arches Buyer, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.40% | | 12/06/271 | | | 5,440,096 | | | | 5,229,673 | |
Athenahealth Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.10% | | 02/15/291 | | | 7,002,161 | | | | 6,970,091 | |
BMC Software (Boxer/Bladelogic), | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
9.01% | | 07/30/311 | | | 5,657,733 | | | | 5,653,235 | |
Buzz Merger Sub Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.70% | | 01/29/271 | | | 3,351,712 | | | | 3,344,724 | |
Central Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.22% | | 07/06/291 | | | 5,948,600 | | | | 5,894,081 | |
EagleView Technology Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
8.37% | | 08/14/251 | | | 18,936,591 | | | | 18,125,158 | |
Gainwell Acquisition Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.70% | | 10/01/271 | | | 17,670,139 | | | | 16,863,939 | |
Indy U.S. Holdco LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 03/06/281 | | | 2,302,636 | | | | 2,298,802 | |
Match Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.90%) | | | | | |
6.71% | | 02/13/271 | | | 1,793,280 | | | | 1,791,039 | |
MH Sub I LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 05/03/281 | | | 2,994,123 | | | | 2,978,718 | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.11%) | | | | | |
7.96% | | 04/24/281 | | | 2,792,221 | | | | 2,714,039 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Renaissance Holding Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 04/05/301 | | $ | 5,392,400 | | | $ | 5,396,391 | |
Research Now Group LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.76%) | | | | | |
10.88% | | 10/16/281 | | | 3,273,501 | | | | 3,038,234 | |
Spin Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.26%) | | | | | |
9.26% | | 03/04/281 | | | 3,151,358 | | | | 2,772,549 | |
Xerox Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.60% - 8.85% | | 11/15/291 | | | 5,863,037 | | | | 5,852,044 | |
| | | | | |
| | | | 88,922,717 | |
| | | | | |
| |
Insurance — 0.10% | | | | | |
Acrisure LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | 02/16/271 | | | 7,534,571 | | | | 7,526,735 | |
Term Loan B6, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.21% | | 11/06/301 | | | 2,992,500 | | | | 2,969,129 | |
AmWINS Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.36%) | | | | | |
7.21% | | 02/19/281 | | | 25,145,981 | | | | 25,134,163 | |
Asurion LLC, | | | | | |
Term Loan B4, 2nd Lien | | | | | |
(SOFR plus 5.36%) | | | | | |
10.21% | | 01/20/291 | | | 3,290,000 | | | | 3,052,758 | |
Term Loan B8, 1st Lien | | | | | |
(SOFR plus 3.36%) | | | | | |
8.41% | | 12/23/261 | | | 6,292,940 | | | | 6,295,016 | |
| | | | | |
| | | | 44,977,801 | |
| | | | | |
| |
Materials — 0.03% | | | | | |
Chemours Co. (The), | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/18/281 | | | 11,158,715 | | | | 11,179,638 | |
Mativ Holdings, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 2.60%) | | | | | |
7.45% | | 05/06/271 | | | 3,157,435 | | | | 3,133,754 | |
| | | | | |
| | | | 14,313,392 | |
| | | | | |
| |
Retail — 0.05% | | | | | |
1011778 BC Unlimited Liability Co., | | | | | |
Term Loan B6, 1st Lien (Canada) | | | | | |
(SOFR plus 1.75%) | | | | | |
6.60% | | 09/20/301,3 | | | 6,686,414 | | | | 6,630,315 | |
|
| See accompanying Notes to Financial Statements. |
|
| 111 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Retail (continued) | | | | | |
KFC Holding Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.86%) | | | | | |
6.88% | | 03/15/281 | | $ | 8,540,554 | | | $ | 8,588,595 | |
Peer Holding III BV, | | | | | |
Term Loan B5, 1st Lien (Netherlands) | | | | | |
(SOFR plus 3.00%) | | | | | |
7.60% | | 07/01/311,3 | | | 8,092,988 | | | | 8,128,395 | |
| | | | | |
| | | | 23,347,305 | |
| | | | | |
| |
Services — 0.07% | | | | | |
Boost Newco Borrower LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.10% | | 01/31/311 | | | 2,409,935 | | | | 2,413,948 | |
Clean Harbors, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.86%) | | | | | |
6.71% | | 10/08/281 | | | 5,021,881 | | | | 5,041,341 | |
Pre-Paid Legal Services, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 12/15/281 | | | 4,914,914 | | | | 4,917,372 | |
Ryan LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 11/14/301 | | | 2,787,122 | | | | 2,760,407 | |
Sabre GLBL, Inc., | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 5.10%) | | | | | |
9.95% | | 06/30/281 | | | 2,163,925 | | | | 2,064,612 | |
TransUnion Intermediate Holdings, Inc., | | | | | |
Term Loan B7, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 12/01/281 | | | 5,520,768 | | | | 5,524,218 | |
Term Loan B8, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.71% | | 06/24/311 | | | 1,188,098 | | | | 1,187,088 | |
TruGreen LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.95% | | 11/02/271 | | | 4,034,366 | | | | 3,911,317 | |
| | | | | |
| | | | 27,820,303 | |
| | | | | |
| |
| Total Bank Loans | | | | | |
(Cost $634,072,921) | | | | 616,583,691 | |
| | | | | |
| |
CORPORATES — 17.04%* | | | | | |
| |
Banking — 3.24% | | | | | |
Bank of America Corp. | | | | | |
1.73% | | 07/22/277 | | | 82,743,000 | | | | 79,033,015 | |
2.30% | | 07/21/327 | | | 2,000 | | | | 1,732 | |
2.59% | | 04/29/317 | | | 1,736,000 | | | | 1,577,115 | |
2.69% | | 04/22/327 | | | 2,174,000 | | | | 1,940,025 | |
3.42% | | 12/20/287 | | | 1,587,000 | | | | 1,544,580 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
1.92% | | 10/24/317 | | $ | 18,688,000 | | | $ | 16,124,360 | |
2.09% | | 06/14/297 | | | 221,298,000 | | | | 204,458,287 | |
2.50% | | 02/13/317 | | | 201,000 | | | | 182,247 | |
3.97% | | 03/05/297 | | | 336,000 | | | | 332,057 | |
(CME Term SOFR 3-Month plus 0.91%) | | | | | |
5.93% | | 12/01/261 | | | 50,000,000 | | | | 49,607,572 | |
Bank of America Corp., | | | | | |
Series N | | | | | |
1.66% | | 03/11/277 | | | 138,723,000 | | | | 133,365,794 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.01% | | 09/22/283,7 | | | 40,670,000 | | | | 37,965,450 | |
2.21% | | 08/17/293,7 | | | 39,557,000 | | | | 36,296,010 | |
4.76% | | 06/09/283,7 | | | 3,116,000 | | | | 3,139,201 | |
JPMorgan Chase & Co. | | | | | |
1.04% | | 02/04/277 | | | 15,825,000 | | | | 15,130,228 | |
1.47% | | 09/22/277 | | | 10,000,000 | | | | 9,477,193 | |
1.56% | | 12/10/257 | | | 163,875,000 | | | | 162,641,410 | |
1.58% | | 04/22/277 | | | 19,179,000 | | | | 18,387,288 | |
1.95% | | 02/04/327 | | | 47,125,000 | | | | 40,510,767 | |
2.01% | | 03/13/267 | | | 2,732,000 | | | | 2,695,295 | |
2.07% | | 06/01/297 | | | 3,013,000 | | | | 2,789,047 | |
2.18% | | 06/01/287 | | | 2,490,000 | | | | 2,362,275 | |
2.55% | | 11/08/327 | | | 18,461,000 | | | | 16,250,020 | |
2.58% | | 04/22/327 | | | 19,039,000 | | | | 16,991,618 | |
2.95% | | 02/24/287 | | | 23,236,000 | | | | 22,539,091 | |
2.96% | | 01/25/337 | | | 12,277,000 | | | | 11,054,620 | |
3.70% | | 05/06/307 | | | 2,876,000 | | | | 2,798,903 | |
4.01% | | 04/23/297 | | | 2,671,000 | | | | 2,644,546 | |
4.45% | | 12/05/297 | | | 8,325,000 | | | | 8,367,380 | |
5.01% | | 01/23/307 | | | 10,505,000 | | | | 10,779,385 | |
JPMorgan Chase & Co., | | | | | |
NVS | | | | | |
1.05% | | 11/19/267 | | | 13,390,000 | | | | 12,873,260 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.07% | | 01/24/347 | | | 25,580,000 | | | | 26,012,586 | |
5.68% | | 01/22/357 | | | 20,690,000 | | | | 21,958,966 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.53% | | 08/21/263,7 | | | 6,354,000 | | | | 6,168,209 | |
1.67% | | 06/14/273,7 | | | 42,806,000 | | | | 40,729,718 | |
2.47% | | 01/11/283,7 | | | 20,406,000 | | | | 19,437,891 | |
3.82% | | 11/03/283,7 | | | 2,200,000 | | | | 2,152,689 | |
U.S. Bancorp | | | | | |
4.65% | | 02/01/297 | | | 70,000 | | | | 70,691 | |
4.84% | | 02/01/347 | | | 42,368,000 | | | | 42,368,328 | |
5.68% | | 01/23/357 | | | 12,540,000 | | | | 13,300,880 | |
5.85% | | 10/21/337 | | | 2,400,000 | | | | 2,560,500 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | 02/11/267 | | | 16,673,000 | | | | 16,495,006 | |
2.39% | | 06/02/287 | | | 66,030,000 | | | | 62,793,559 | |
2.88% | | 10/30/307 | | | 161,948,000 | | | | 150,307,503 | |
3.35% | | 03/02/337 | | | 15,107,000 | | | | 13,825,025 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 112 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | | | | | |
| |
Banking (continued) | | | | | |
3.53% | | 03/24/287 | | $ | 35,510,000 | | | $ | 34,850,122 | |
4.90% | | 07/25/337 | | | 4,193,000 | | | | 4,244,966 | |
5.57% | | 07/25/297 | | | 14,844,000 | | | | 15,450,579 | |
| | | | | |
| | | | 1,396,586,989 | |
| | | | | |
| |
Communications — 2.04% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.13% | | 07/15/292,3 | | | 1,720,000 | | | | 1,208,760 | |
5.50% | | 10/15/292,3 | | | 5,909,000 | | | | 4,158,566 | |
8.13% | | 02/01/272,3 | | | 5,825,000 | | | | 4,741,798 | |
C&W Senior Finance Ltd. | | | | | |
(Cayman Islands) | | | | | |
6.88% | | 09/15/272,3 | | | 2,200,000 | | | | 2,188,732 | |
Cable One, Inc. | | | | | |
4.00% | | 11/15/302 | | | 9,776,000 | | | | 7,796,423 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | | | | | |
2.30% | | 02/01/32 | | | 10,000,000 | | | | 8,064,902 | |
3.70% | | 04/01/51 | | | 3,627,000 | | | | 2,314,978 | |
3.90% | | 06/01/52 | | | 17,587,000 | | | | 11,530,999 | |
4.80% | | 03/01/50 | | | 122,389,000 | | | | 93,668,903 | |
5.38% | | 04/01/38 | | | 505,000 | | | | 462,253 | |
5.38% | | 05/01/47 | | | 116,802,000 | | | | 98,123,654 | |
5.75% | | 04/01/48 | | | 33,533,000 | | | | 29,294,662 | |
Charter Communications Operating, LLC/Charter | |
Communications Operating Capital | | | | | |
5.13% | | 07/01/49 | | | 14,837,000 | | | | 11,924,572 | |
CommScope LLC, | | | | | |
4.75% | | 09/01/292 | | | 9,190,000 | | | | 7,386,722 | |
CSC Holdings LLC | | | | | |
4.50% | | 11/15/312 | | | 835,000 | | | | 608,850 | |
4.63% | | 12/01/302 | | | 4,879,000 | | | | 2,482,013 | |
5.38% | | 02/01/282 | | | 19,384,000 | | | | 16,354,640 | |
5.75% | | 01/15/302 | | | 21,758,000 | | | | 11,284,476 | |
6.50% | | 02/01/292 | | | 55,551,000 | | | | 46,023,571 | |
11.25% | | 05/15/282 | | | 3,010,000 | | | | 2,910,956 | |
11.75% | | 01/31/292 | | | 15,044,000 | | | | 14,541,588 | |
Frontier Communications Holdings LLC | | | | | |
5.00% | | 05/01/282 | | | 5,383,000 | | | | 5,340,557 | |
8.63% | | 03/15/312 | | | 9,269,000 | | | | 10,006,169 | |
Global Switch Finance BV | | | | | |
(EMTN) | | | | | |
(Netherlands) | | | | | |
1.38% | | 10/07/303 | | | 63,777,000 | | | | 65,583,881 | |
Intelsat Jackson Holdings SA | | | | | |
(Luxembourg) | | | | | |
6.50% | | 03/15/302,3 | | | 1,872,000 | | | | 1,799,950 | |
SES GLOBAL Americas Holdings, Inc. | | | | | |
5.30% | | 03/25/442 | | | 55,170,000 | | | | 44,455,481 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
Spectrum Co. III LLC | | | | | |
4.74% | | 03/20/252 | | | 11,751,125 | | | | 11,757,922 | |
5.15% | | 03/20/282 | | | 210,766,500 | | | | 213,285,187 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Communications (continued) | | | | | |
TDC Net A/S, | | | | | |
(EMTN) | | | | | |
(Germany) | | | | | |
6.50% | | 06/01/313 | | $ | 11,800,000 | | | $ | 14,494,584 | |
Time Warner Cable LLC | | | | | |
4.50% | | 09/15/42 | | | 20,502,000 | | | | 15,748,460 | |
5.50% | | 09/01/41 | | | 37,297,000 | | | | 32,440,951 | |
5.88% | | 11/15/40 | | | 2,016,000 | | | | 1,826,975 | |
T-Mobile USA, Inc. | | | | | |
4.70% | | 01/15/35 | | | 68,630,000 | | | | 68,422,350 | |
VZ Secured Financing BV, | | | | | |
Series REGS | | | | | |
(Netherlands) | | | | | |
3.50% | | 01/15/323 | | | 15,755,000 | | | | 16,216,828 | |
Zayo Group Holdings, Inc. | | | | | |
4.00% | | 03/01/272 | | | 3,817,000 | | | | 3,414,186 | |
| | | | | |
| | | | 881,865,499 | |
| | | | | |
| |
Consumer Discretionary — 0.85% | | | | | |
Altria Group, Inc. | | | | | |
3.70% | | 02/04/51 | | | 995,000 | | | | 735,971 | |
Anheuser-Busch InBev SA | | | | | |
(EMTN) | | | | | |
(Belgium) | | | | | |
3.95% | | 03/22/443 | | | 1,815,000 | | | | 2,077,330 | |
Bacardi Ltd. | | | | | |
(Bermuda) | | | | | |
5.15% | | 05/15/382,3 | | | 2,881,000 | | | | 2,813,661 | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
3.50% | | 07/26/262,3 | | | 20,000,000 | | | | 19,622,046 | |
Pernod Ricard SA | | | | | |
(EMTN) | | | | | |
(France) | | | | | |
3.63% | | 05/07/343 | | | 11,500,000 | | | | 13,070,175 | |
Reynolds American, Inc. | | | | | |
5.85% | | 08/15/45 | | | 55,332,000 | | | | 55,406,163 | |
Spectrum Brands, Inc. | | | | | |
3.88% | | 03/15/312 | | | 3,153,000 | | | | 2,805,194 | |
WarnerMedia Holdings, Inc. | | | | | |
5.05% | | 03/15/42 | | | 35,342,000 | | | | 28,900,818 | |
5.14% | | 03/15/52 | | | 269,225,000 | | | | 207,775,651 | |
5.39% | | 03/15/62 | | | 42,245,000 | | | | 32,367,216 | |
| | | | | |
| | | | 365,574,225 | |
| | | | | |
| |
Diversified REITs — 0.79% | | | | | |
American Assets Trust LP | | | | | |
3.38% | | 02/01/31 | | | 6,447,000 | | | | 5,616,569 | |
6.15% | | 10/01/34 | | | 31,835,000 | | | | 32,208,877 | |
American Tower Corp. | | | | | |
1.88% | | 10/15/30 | | | 13,336,000 | | | | 11,505,588 | |
2.70% | | 04/15/31 | | | 42,899,000 | | | | 38,357,529 | |
5.55% | | 07/15/33 | | | 10,425,000 | | | | 10,938,275 | |
5.65% | | 03/15/33 | | | 4,974,000 | | | | 5,255,984 | |
Crown Castle, Inc. | | | | | |
2.10% | | 04/01/31 | | | 23,220,000 | | | | 19,872,628 | |
|
| See accompanying Notes to Financial Statements. |
|
| 113 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Diversified REITs (continued) | |
Digital Dutch Finco BV | |
(Netherlands) | |
1.25% | | | 02/01/313 | | $ | 26,308,000 | | | $ | 25,514,469 | |
Digital Intrepid Holding BV | |
(Netherlands) | |
0.63% | | | 07/15/313 | | | 26,530,000 | | | | 24,297,370 | |
1.38% | | | 07/18/323 | | | 22,395,000 | | | | 21,136,405 | |
GLP Capital LP/GLP Financing II, Inc. | |
4.00% | | | 01/15/30 | | | 30,398,000 | | | | 29,007,579 | |
4.00% | | | 01/15/31 | | | 7,310,000 | | | | 6,861,214 | |
5.30% | | | 01/15/29 | | | 13,180,000 | | | | 13,419,670 | |
5.38% | | | 04/15/26 | | | 3,126,000 | | | | 3,141,079 | |
5.75% | | | 06/01/28 | | | 24,498,000 | | | | 25,172,162 | |
VICI Properties LP | |
4.95% | | | 02/15/30 | | | 9,655,000 | | | | 9,722,330 | |
VICI Properties LP/VICI Note Co., Inc. | |
3.88% | | | 02/15/292 | | | 6,903,000 | | | | 6,614,529 | |
4.13% | | | 08/15/302 | | | 3,627,000 | | | | 3,448,189 | |
4.50% | | | 01/15/282 | | | 17,425,000 | | | | 17,202,570 | |
Vonovia SE | |
(Georgia) | |
1.00% | | | 06/16/333 | | | 3,300,000 | | | | 2,944,042 | |
2.25% | | | 04/07/303 | | | 4,500,000 | | | | 4,760,316 | |
Vonovia SE | |
(EMTN) | |
(Georgia) | |
0.75% | | | 09/01/323 | | | 6,600,000 | | | | 5,933,865 | |
Vonovia SE, | |
(EMTN) | |
(Georgia) | |
5.00% | | | 11/23/303 | | | 11,700,000 | | | | 14,103,895 | |
WP Carey, Inc. | |
4.25% | | | | | | 07/23/32 | | | 3,655,000 | | | | 4,213,663 | |
| | | | | |
| | | | 341,248,797 | |
| | | | | |
|
Electric — 1.54% | |
Alliant Energy Finance LLC | |
5.95% | | | 03/30/292 | | | 4,120,000 | | | | 4,356,749 | |
Alliant Energy Finance, LLC | |
3.60% | | | 03/01/322 | | | 4,515,000 | | | | 4,109,066 | |
Alpha Generation LLC | |
6.75% | | | 10/15/322 | | | 7,940,000 | | | | 8,062,891 | |
Amprion GmbH | |
(EMTN) | |
(Georgia) | |
0.63% | | | 09/23/333 | | | 4,400,000 | | | | 3,891,716 | |
4.00% | | | 05/21/443 | | | 5,800,000 | | | | 6,563,394 | |
4.13% | | | 09/07/343 | | | 5,000,000 | | | | 5,905,127 | |
Appalachian Power Co. | |
4.45% | | | 06/01/45 | | | 100,000 | | | | 87,025 | |
5.65% | | | 04/01/34 | | | 18,900,000 | | | | 19,908,421 | |
Appalachian Power Co., | |
Series Z | |
3.70% | | | 05/01/50 | | | 9,450,000 | | | | 7,170,730 | |
Arizona Public Service Co. | |
6.35% | | | 12/15/32 | | | 20,904,000 | | | | 22,994,954 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Electric (continued) | |
Black Hills Corp. | |
4.35% | | 05/01/33 | | $ | 2,785,000 | | | $ | 2,674,141 | |
6.15% | | 05/15/34 | | | 8,020,000 | | | | 8,665,569 | |
Comision Federal de Electricidad, | |
Series REGS | |
(Mexico) | |
3.88% | | 07/26/333 | | | 4,340,000 | | | | 3,662,265 | |
Duke Energy Carolinas LLC | |
4.00% | | 09/30/42 | | | 3,090,000 | | | | 2,702,316 | |
4.25% | | 12/15/41 | | | 14,683,000 | | | | 13,336,668 | |
5.35% | | 01/15/53 | | | 8,611,000 | | | | 8,898,112 | |
5.40% | | 01/15/54 | | | 15,000,000 | | | | 15,637,878 | |
Duke Energy Corp. | |
3.75% | | 04/01/31 | | | 2,290,000 | | | | 2,587,588 | |
3.85% | | 06/15/34 | | | 86,657,000 | | | | 97,474,532 | |
Duke Energy Florida LLC | |
5.88% | | 11/15/33 | | | 7,960,000 | | | | 8,715,576 | |
6.20% | | 11/15/53 | | | 35,000,000 | | | | 40,288,402 | |
Duke Energy Progress LLC | |
5.35% | | 03/15/53 | | | 5,000,000 | | | | 5,175,320 | |
E.ON SE | |
(Georgia) | |
3.50% | | 10/26/373 | | | 6,500,000 | | | | 7,235,151 | |
3.75% | | 01/15/363 | | | 1,600,000 | | | | 1,824,582 | |
Elia Group SA | |
(Belgium) | |
3.88% | | 06/11/313 | | | 10,200,000 | | | | 11,545,831 | |
Elia Transmission Belgium SA | |
(Belgium) | |
3.75% | | 01/16/363 | | | 10,500,000 | | | | 11,974,447 | |
Eurogrid GmbH | |
(EMTN) | |
(Georgia) | |
0.74% | | 04/21/333 | | | 3,700,000 | | | | 3,334,694 | |
Eversource Energy | |
5.95% | | 02/01/29 | | | 8,980,000 | | | | 9,510,399 | |
FirstEnergy Pennsylvania Electric Co. | |
3.25% | | 03/15/282 | | | 125,000 | | | | 120,395 | |
4.00% | | 04/15/252 | | | 35,719,000 | | | | 35,535,563 | |
4.15% | | 04/15/252 | | | 28,335,000 | | | | 28,232,166 | |
4.30% | | 01/15/292 | | | 13,381,000 | | | | 13,318,561 | |
5.15% | | 03/30/262 | | | 3,000,000 | | | | 3,026,170 | |
FirstEnergy Transmission LLC | |
2.87% | | 09/15/282 | | | 40,514,000 | | | | 38,337,481 | |
4.35% | | 01/15/252 | | | 23,330,000 | | | | 23,267,970 | |
Interstate Power and Light Co. | |
5.70% | | 10/15/33 | | | 15,980,000 | | | | 17,034,472 | |
Jersey Central Power & Light Co. | |
2.75% | | 03/01/322 | | | 820,000 | | | | 719,655 | |
4.30% | | 01/15/262 | | | 8,645,000 | | | | 8,614,937 | |
6.40% | | 05/15/36 | | | 2,404,000 | | | | 2,713,441 | |
MVM Energetika Zrt | |
(Hungary) | |
6.50% | | 03/13/313 | | | 3,727,000 | | | | 3,873,470 | |
New England Power Co. | |
5.94% | | 11/25/522 | | | 15,670,000 | | | | 16,892,852 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 114 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Electric (continued) | |
Niagara Mohawk Power Corp. | |
3.03% | | | 06/27/502 | | $ | 3,543,000 | | | $ | 2,400,616 | |
4.28% | | | 10/01/342 | | | 4,375,000 | | | | 4,101,400 | |
Public Service Co. of New Mexico | |
3.85% | | | 08/01/25 | | | 14,390,000 | | | | 14,326,113 | |
Southwestern Electric Power Co. | |
5.30% | | | 04/01/33 | | | 41,156,000 | | | | 42,484,977 | |
Southwestern Electric Power Co., | |
Series K | |
2.75% | | | 10/01/26 | | | 26,488,000 | | | | 25,686,827 | |
Southwestern Electric Power Co., | |
Series L | |
3.85% | | | 02/01/48 | | | 19,395,000 | | | | 15,144,464 | |
TenneT Holding BV | |
(EMTN) | |
(Netherlands) | |
2.75% | | | 05/17/423 | | | 22,220,000 | | | | 21,773,988 | |
4.50% | | | 10/28/343 | | | 4,035,000 | | | | 4,964,041 | |
4.75% | | | | | | 10/28/423 | | | 3,866,000 | | | | 4,764,487 | |
| | | | | |
| | | | 665,627,590 | |
| | | | | |
|
Energy — 0.60% | |
Boston Gas Co. | |
3.76% | | | 03/16/322 | | | 20,917,000 | | | | 19,089,910 | |
6.12% | | | 07/20/532 | | | 13,275,000 | | | | 14,030,100 | |
Brooklyn Union Gas Co. (The) | |
6.39% | | | 09/15/332 | | | 35,315,000 | | | | 38,440,909 | |
6.42% | | | 07/18/542 | | | 10,000,000 | | | | 10,910,044 | |
Ecopetrol SA | |
(Colombia) | |
8.88% | | | 01/13/333 | | | 5,000,000 | | | | 5,367,619 | |
Galaxy Pipeline Assets Bidco Ltd. | |
(United Kingdom) | |
2.16% | | | 03/31/342,3 | | | 11,988,247 | | | | 10,657,604 | |
KazMunayGas National Co. JSC | |
(Kazakhstan) | |
3.50% | | | 04/14/332,3 | | | 1,800,000 | | | | 1,569,603 | |
KazMunayGas National Co. JSC, | |
Series REGS | |
(Kazakhstan) | |
3.50% | | | 04/14/333 | | | 15,883,000 | | | | 13,850,004 | |
KazMunayGas National Co. JSC, | |
Series REGS (EMTN) | |
(Kazakhstan) | |
5.38% | | | 04/24/303 | | | 6,856,000 | | | | 6,908,409 | |
KeySpan Gas East Corp. | |
5.99% | | | 03/06/332 | | | 5,530,000 | | | | 5,806,321 | |
National Gas Transmission PLC, | |
(EMTN) | |
(United Kingdom) | |
4.25% | | | 04/05/303 | | | 26,895,000 | | | | 31,420,860 | |
Pertamina Persero PT | |
(Indonesia) | |
3.10% | | | 08/27/302,3 | | | 18,071,000 | | | | 16,643,396 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Energy (continued) | |
Petroleos Mexicanos | |
(Mexico) | |
6.35% | | | 02/12/483 | | $ | 9,556,000 | | | $ | 6,615,508 | |
6.75% | | | 09/21/473 | | | 21,706,000 | | | | 15,553,518 | |
Piedmont Natural Gas Co., Inc. | |
2.50% | | | 03/15/31 | | | 7,272,000 | | | | 6,419,102 | |
5.40% | | | 06/15/33 | | | 10,545,000 | | | | 11,055,806 | |
QazaqGaz NC JSC, | |
Series REGS | |
(Kazakhstan) | |
4.38% | | | 09/26/273 | | | 6,350,000 | | | | 6,189,269 | |
Southern Co. Gas Capital Corp. | |
4.40% | | | 05/30/47 | | | 50,000 | | | | 43,599 | |
TC PipeLines LP | |
4.38% | | | 03/13/25 | | | 2,198,000 | | | | 2,191,268 | |
TransCanada PipeLines Ltd. | |
(Canada) | |
5.85% | | | 03/15/363 | | | 2,878,000 | | | | 3,058,761 | |
TransMontaigne Partners LP/TLP Finance Corp. | |
6.13% | | | | | | 02/15/26 | | | 34,635,000 | | | | 34,093,573 | |
| | | | | |
| | | | 259,915,183 | |
| | | | | |
|
Finance — 2.08% | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust | |
(Ireland) | |
2.45% | | | 10/29/263 | | | 11,203,000 | | | | 10,764,306 | |
3.00% | | | 10/29/283 | | | 58,242,000 | | | | 55,039,592 | |
Air Lease Corp. | |
2.20% | | | 01/15/27 | | | 18,695,000 | | | | 17,812,727 | |
3.25% | | | 03/01/25 | | | 19,930,000 | | | | 19,778,585 | |
3.25% | | | 10/01/29 | | | 5,000,000 | | | | 4,703,208 | |
4.63% | | | 10/01/28 | | | 2,000,000 | | | | 2,008,187 | |
Air Lease Corp. | |
(MTN) | |
2.30% | | | 02/01/25 | | | 35,195,000 | | | | 34,857,711 | |
2.88% | | | 01/15/26 | | | 10,055,000 | | | | 9,850,086 | |
3.00% | | | 02/01/30 | | | 2,000,000 | | | | 1,844,958 | |
Alta Wind Holdings LLC | |
7.00% | | | 06/30/352,4,5 | | | 2,943,121 | | | | 2,921,151 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | | 11/18/272,3 | | | 171,755,000 | | | | 160,365,196 | |
2.88% | | | 02/15/252,3 | | | 15,755,000 | | | | 15,601,086 | |
3.25% | | | 02/15/272,3 | | | 12,880,000 | | | | 12,427,438 | |
4.38% | | | 05/01/262,3 | | | 2,405,000 | | | | 2,383,641 | |
| CBRE Global Investors Open-Ended Funds SCA SICAV-SIF-Pan European Core Fund | | | | | |
(EMTN) | |
(Luxembourg) | |
4.75% | | | 03/27/343 | | | 2,765,000 | | | | 3,251,967 | |
Citigroup, Inc. | |
1.46% | | | 06/09/277 | | | 22,971,000 | | | | 21,895,442 | |
2.52% | | | 11/03/327 | | | 13,213,000 | | | | 11,469,018 | |
2.57% | | | 06/03/317 | | | 868,000 | | | | 781,402 | |
2.67% | | | 01/29/317 | | | 3,838,000 | | | | 3,497,811 | |
2.98% | | | 11/05/307 | | | 5,739,000 | | | | 5,340,540 | |
|
| See accompanying Notes to Financial Statements. |
|
| 115 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Finance (continued) | |
3.06% | | | 01/25/337 | | $ | 24,311,000 | | | $ | 21,726,329 | |
3.98% | | | 03/20/307 | | | 3,965,000 | | | | 3,885,268 | |
5.83% | | | 10/30/247 | | | 672,000 | | | | 672,170 | |
EverBank Financial Corp. | |
5.75% | | | 07/02/25 | | | 4,045,000 | | | | 4,033,607 | |
Goldman Sachs Group, Inc. (The) | |
1.43% | | | 03/09/277 | | | 97,484,000 | | | | 93,288,621 | |
1.54% | | | 09/10/277 | | | 75,070,000 | | | | 71,167,015 | |
1.95% | | | 10/21/277 | | | 1,337,000 | | | | 1,274,879 | |
2.38% | | | 07/21/327 | | | 449,000 | | | | 389,642 | |
3.50% | | | 04/01/25 | | | 31,914,000 | | | | 31,718,756 | |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | |
4.38% | | | 02/01/29 | | | 7,695,000 | | | | 6,734,620 | |
9.00% | | | 06/15/302 | | | 10,539,000 | | | | 10,616,198 | |
9.75% | | | 01/15/292 | | | 17,562,000 | | | | 18,237,853 | |
Morgan Stanley | |
0.99% | | | 12/10/267 | | | 15,176,000 | | | | 14,542,757 | |
2.94% | | | 01/21/337 | | | 7,840,000 | | | | 7,014,200 | |
Morgan Stanley | |
(GMTN) | |
1.51% | | | 07/20/277 | | | 1,000,000 | | | | 951,259 | |
2.24% | | | 07/21/327 | | | 31,942,000 | | | | 27,511,210 | |
Morgan Stanley | |
(MTN) | |
1.16% | | | 10/21/257 | | | 147,211,000 | | | | 146,772,487 | |
1.79% | | | 02/13/327 | | | 6,138,000 | | | | 5,199,411 | |
1.93% | | | 04/28/327 | | | 2,890,000 | | | | 2,453,222 | |
2.63% | | | 02/18/267 | | | 11,200,000 | | | | 11,096,289 | |
Nationwide Building Society | |
(United Kingdom) | |
2.97% | | | 02/16/282,3,7 | | | 15,875,000 | | | | 15,312,519 | |
4.30% | | | | | | 03/08/292,3,7 | | | 7,240,000 | | | | 7,175,874 | |
| | | | | |
| | | | 898,368,238 | |
| | | | | |
|
Food — 0.54% | |
ELO SACA | |
(EMTN) | |
(France) | |
4.88% | | | 12/08/283 | | | 1,000,000 | | | | 993,179 | |
6.00% | | | 03/22/293 | | | 30,500,000 | | | | 31,578,644 | |
| JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. | |
Sarl | |
(Luxembourg) | |
4.38% | | | 02/02/523 | | | 71,462,000 | | | | 56,902,584 | |
6.75% | | | 03/15/342,3 | | | 1,376,000 | | | | 1,524,958 | |
7.25% | | | 11/15/532,3 | | | 5,461,000 | | | | 6,364,679 | |
Mondelez International, Inc. | |
0.75% | | | 03/17/33 | | | 21,735,000 | | | | 19,890,281 | |
Pilgrim’s Pride Corp. | |
3.50% | | | 03/01/32 | | | 69,264,000 | | | | 61,609,073 | |
6.88% | | | 05/15/34 | | | 10,000,000 | | | | 11,114,955 | |
Smithfield Foods, Inc. | |
2.63% | | | 09/13/312 | | | 14,435,000 | | | | 12,242,875 | |
3.00% | | | 10/15/302 | | | 8,890,000 | | | | 7,923,394 | |
4.25% | | | | | | 02/01/272 | | | 24,855,000 | | | | 24,476,359 | |
| | | | | |
| | | | 234,620,981 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Gaming — 0.01% | |
Flutter Treasury DAC, | |
(Ireland) | |
5.00% | | 04/29/292,3 | | $ | 2,320,000 | | | $ | 2,673,489 | |
| | | | | |
|
Health Care — 1.42% | |
1375209 BC Ltd. | |
(Canada) | |
9.00% | | 01/30/282,3 | | | 31,048,000 | | | | 30,803,720 | |
Bayer U.S. Finance II LLC | |
2.85% | | 04/15/252 | | | 2,805,000 | | | | 2,770,401 | |
3.95% | | 04/15/452 | | | 17,489,000 | | | | 13,290,943 | |
4.38% | | 12/15/282 | | | 37,587,000 | | | | 37,089,948 | |
4.40% | | 07/15/442 | | | 69,196,000 | | | | 56,750,325 | |
4.63% | | 06/25/382 | | | 46,534,000 | | | | 42,303,103 | |
4.88% | | 06/25/482 | | | 44,314,000 | | | | 38,466,412 | |
5.50% | | 08/15/252 | | | 13,932,000 | | | | 13,966,569 | |
5.50% | | 07/30/352 | | | 3,820,000 | | | | 3,832,324 | |
Bayer U.S. Finance LLC | |
6.50% | | 11/21/332 | | | 27,162,000 | | | | 29,497,219 | |
6.88% | | 11/21/532 | | | 28,175,000 | | | | 31,588,281 | |
Catalent Pharma Solutions, Inc. | |
3.50% | | 04/01/302 | | | 2,735,000 | | | | 2,691,737 | |
Catalent Pharma Solutions, Inc., | |
Series REGS | |
2.38% | | 03/01/28 | | | 11,070,000 | | | | 12,163,780 | |
Centene Corp. | |
3.00% | | 10/15/30 | | | 48,742,000 | | | | 43,651,475 | |
Fresenius Finance Ireland PLC | |
(EMTN) | |
(Ireland) | |
0.88% | | 10/01/313 | | | 4,910,000 | | | | 4,625,404 | |
Fresenius Medical Care U.S. Finance III, Inc. | |
1.88% | | 12/01/262 | | | 67,592,000 | | | | 63,630,369 | |
Grifols SA, | |
Series REGS | |
(Spain) | |
1.63% | | 02/15/253 | | | 777,410 | | | | 856,244 | |
3.88% | | 10/15/283 | | | 48,610,000 | | | | 50,456,708 | |
HCA, Inc. | |
2.38% | | 07/15/31 | | | 563,000 | | | | 486,851 | |
5.88% | | 02/15/26 | | | 3,915,000 | | | | 3,956,745 | |
Illumina, Inc. | |
2.55% | | 03/23/31 | | | 200,000 | | | | 174,131 | |
Johnson & Johnson | |
3.55% | | 06/01/44 | | | 1,575,000 | | | | 1,802,587 | |
Kedrion SpA | |
(Italy) | |
6.50% | | 09/01/292,3 | | | 17,368,000 | | | | 16,569,357 | |
Lonza Finance International NV | |
(EMTN) | |
(Belgium) | |
3.88% | | 04/24/363 | | | 18,170,000 | | | | 20,957,850 | |
Medtronic Global Holdings SCA | |
(Luxembourg) | |
1.63% | | 03/07/313 | | | 3,560,000 | | | | 3,677,863 | |
3.38% | | 10/15/343 | | | 3,370,000 | | | | 3,831,690 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 116 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Health Care (continued) | |
Medtronic, Inc. | |
4.15% | | | 10/15/43 | | $ | 3,570,000 | | | $ | 4,197,150 | |
ModivCare Escrow Issuer, Inc. | |
5.00% | | | 10/01/292 | | | 42,786,000 | | | | 26,892,582 | |
MSD Netherlands Capital BV | |
(Netherlands) | |
3.70% | | | 05/30/443 | | | 1,345,000 | | | | 1,524,296 | |
Premier Health Partners, | |
Series G | |
2.91% | | | 11/15/26 | | | 2,229,000 | | | | 2,119,399 | |
Royalty Pharma PLC | |
(United Kingdom) | |
1.75% | | | 09/02/273 | | | 1,295,000 | | | | 1,207,150 | |
Sartorius Finance BV | |
(Netherlands) | |
4.88% | | | 09/14/353 | | | 1,400,000 | | | | 1,681,141 | |
Stryker Corp. | |
3.38% | | | 09/11/32 | | | 845,000 | | | | 954,096 | |
Universal Health Services, Inc. | |
1.65% | | | | | | 09/01/26 | | | 45,000,000 | | | | 42,635,073 | |
| | | | | |
| | | | 611,102,923 | |
| | | | | |
|
Health Care REITs — 0.18% | |
DOC DR LLC | |
3.95% | | | 01/15/28 | | | 1,245,000 | | | | 1,227,216 | |
4.30% | | | 03/15/27 | | | 1,017,000 | | | | 1,016,216 | |
Healthcare Realty Holdings LP | |
2.05% | | | 03/15/31 | | | 20,129,000 | | | | 16,599,533 | |
2.40% | | | 03/15/30 | | | 29,082,000 | | | | 25,408,658 | |
3.63% | | | 01/15/28 | | | 25,359,000 | | | | 24,428,389 | |
3.88% | | | | | | 05/01/25 | | | 9,381,000 | | | | 9,296,711 | |
| | | | | |
| | | | 77,976,723 | |
| | | | | |
|
Industrial REITs — 0.11% | |
LXP Industrial Trust | |
6.75% | | | 11/15/28 | | | 4,015,000 | | | | 4,300,148 | |
Prologis Euro Finance LLC | |
0.50% | | | 02/16/32 | | | 11,611,000 | | | | 10,566,670 | |
1.00% | | | 02/06/35 | | | 10,355,000 | | | | 8,966,806 | |
1.00% | | | 02/16/41 | | | 5,698,000 | | | | 4,158,798 | |
4.63% | | | | | | 05/23/33 | | | 14,915,000 | | | | 17,958,764 | |
| | | | | |
| | | | 45,951,186 | |
| | | | | |
|
Industrials — 0.81% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |
(Canada) | |
4.13% | | | 08/15/262,3 | | | 2,950,000 | | | | 2,660,956 | |
5.25% | | | 08/15/272,3 | | | 66,603,000 | | | | 48,498,033 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., | |
Series REGS | |
(Canada) | |
2.13% | | | 08/15/263 | | | 3,470,000 | | | | 3,358,315 | |
Artera Services LLC | |
8.50% | | | 02/15/312 | | | 1,855,000 | | | | 1,840,623 | |
Berry Global, Inc. | |
1.57% | | | 01/15/26 | | | 37,992,000 | | | | 36,574,258 | |
1.65% | | | 01/15/27 | | | 16,949,000 | | | | 15,919,391 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
|
Industrials (continued) | |
4.88% | | | 07/15/262 | | $ | 38,211,000 | | | $ | 38,110,406 | |
5.65% | | | 01/15/342 | | | 1,570,000 | | | | 1,614,372 | |
Boeing Co. (The) | |
4.88% | | | 05/01/25 | | | 19,940,000 | | | | 19,882,761 | |
5.81% | | | 05/01/50 | | | 35,720,000 | | | | 34,533,796 | |
5.93% | | | 05/01/60 | | | 15,000,000 | | | | 14,409,872 | |
6.26% | | | 05/01/272 | | | 3,855,000 | | | | 3,983,772 | |
6.53% | | | 05/01/342 | | | 45,980,000 | | | | 49,345,400 | |
General Electric Co. | |
(MTN) | |
(CME Term SOFR 3-Month plus 0.64%) | |
5.88% | | | 05/05/261 | | | 1,785,000 | | | | 1,788,286 | |
(CME Term SOFR 3-Month plus 0.74%) | |
5.86% | | | 08/15/361 | | | 11,550,000 | | | | 10,909,916 | |
Honeywell International, Inc. | |
3.75% | | | 03/01/36 | | | 47,920,000 | | | | 54,387,049 | |
OT Merger Corp. | |
7.88% | | | | | | 10/15/292 | | | 30,592,000 | | | | 12,689,848 | |
| | | | | |
| | | | 350,507,054 | |
| | | | | |
|
Information Technology — 0.10% | |
| Helios Software Holdings, Inc./ION Corporate Solutions | |
| Finance SARL | | | | | |
8.75% | | | 05/01/292 | | | 2,895,000 | | | | 2,960,273 | |
Open Text Corp. | |
(Canada) | |
6.90% | | | 12/01/272,3 | | | 3,061,000 | | | | 3,231,694 | |
Uber Technologies, Inc. | |
4.30% | | | 01/15/30 | | | 24,250,000 | | | | 24,171,207 | |
5.35% | | | | | | 09/15/54 | | | 12,420,000 | | | | 12,332,940 | |
| | | | | |
| | | | 42,696,114 | |
| | | | | |
|
Insurance — 0.90% | |
Athene Global Funding | |
1.61% | | | 06/29/262 | | | 61,330,000 | | | | 58,406,517 | |
Farmers Exchange Capital | |
7.05% | | | 07/15/282 | | | 13,283,000 | | | | 14,009,134 | |
7.20% | | | 07/15/482 | | | 18,415,000 | | | | 18,550,794 | |
Farmers Exchange Capital II | |
6.15% | | | 11/01/532,7 | | | 59,331,000 | | | | 56,304,007 | |
Farmers Exchange Capital III | |
5.45% | | | 10/15/542,7 | | | 62,425,000 | | | | 56,118,036 | |
Farmers Insurance Exchange | |
4.75% | | | 11/01/572,7 | | | 23,060,000 | | | | 18,993,755 | |
Metropolitan Life Global Funding I | |
3.30% | | | 03/21/292 | | | 16,005,000 | | | | 15,449,992 | |
Nationwide Mutual Insurance Co. | |
7.50% | | | 12/15/242,7 | | | 42,571,000 | | | | 42,690,354 | |
Protective Life Global Funding | |
1.90% | | | 07/06/282 | | | 47,980,000 | | | | 44,237,215 | |
| Teachers Insurance & Annuity Association of America | |
3.30% | | | 05/15/502 | | | 82,665,000 | | | | 60,509,406 | |
4.27% | | | | | | 05/15/472 | | | 3,496,000 | | | | 3,053,815 | |
| | | | | |
| | | | 388,323,025 | |
| | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 117 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
Materials — 0.28% | |
Corp. Nacional del Cobre de Chile, | |
Series REGS | |
(Chile) | |
5.13% | | | 02/02/333 | | $ | 11,110,000 | | | $ | 11,090,402 | |
| Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, | |
Series REGS | |
(Indonesia) | |
5.45% | | | 05/15/303 | | | 14,861,000 | | | | 15,158,274 | |
International Flavors & Fragrances, Inc. | |
1.83% | | | 10/15/272 | | | 1,615,000 | | | | 1,496,758 | |
2.30% | | | 11/01/302 | | | 48,565,000 | | | | 42,610,029 | |
3.27% | | | 11/15/402 | | | 10,351,000 | | | | 7,937,392 | |
3.47% | | | 12/01/502 | | | 9,947,000 | | | | 7,069,380 | |
5.00% | | | | | | 09/26/48 | | | 39,415,000 | | | | 36,312,380 | |
| | | | | |
| | | | 121,674,615 | |
| | | | | |
|
Office REITs — 0.18% | |
Hudson Pacific Properties LP | |
3.25% | | | 01/15/30 | | | 64,707,000 | | | | 49,096,805 | |
3.95% | | | 11/01/27 | | | 15,005,000 | | | | 13,604,898 | |
4.65% | | | 04/01/29 | | | 11,336,000 | | | | 9,419,658 | |
5.95% | | | 02/15/28 | | | 1,090,000 | | | | 999,729 | |
Kilroy Realty LP | |
2.50% | | | | | | 11/15/32 | | | 2,705,000 | | | | 2,170,687 | |
| | | | | |
| | | | 75,291,777 | |
| | | | | |
|
Residential REITs — 0.16% | |
American Homes 4 Rent LP | |
3.38% | | | 07/15/51 | | | 17,118,000 | | | | 12,074,449 | |
Invitation Homes Operating Partnership LP | |
2.00% | | | 08/15/31 | | | 30,593,000 | | | | 25,691,924 | |
2.70% | | | 01/15/34 | | | 29,588,000 | | | | 24,800,409 | |
5.50% | | | | | | 08/15/33 | | | 7,089,000 | | | | 7,335,578 | |
| | | | | |
| | | | 69,902,360 | |
| | | | | |
|
Retail — 0.20% | |
Ferrellgas LP/Ferrellgas Finance Corp. | |
5.88% | | | 04/01/292 | | | 31,222,000 | | | | 29,256,232 | |
Michaels Cos., Inc. (The) | |
7.88% | | | 05/01/292 | | | 80,931,000 | | | | 47,669,664 | |
Papa John’s International, Inc. | |
3.88% | | | | | | 09/15/292 | | | 8,985,000 | | | | 8,322,291 | |
| | | | | |
| | | | 85,248,187 | |
| | | | | |
|
Retail REITs — 0.05% | |
Federal Realty OP LP | |
7.48% | | | 08/15/26 | | | 18,825,000 | | | | 19,606,950 | |
| | | | | |
|
Services — 0.09% | |
Worldline SA | |
(France) | |
0.00% | | | 07/30/253,8 | | | 104,010 | | | | 12,983,723 | |
0.00% | | | | | | 07/30/263,8 | | | 265,300 | | | | 26,978,265 | |
| | | | | |
| | | | 39,961,988 | |
| | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
CORPORATES (continued) | |
Specialized REITs — 0.43% | |
Annington Funding PLC | |
(EMTN) | |
(United Kingdom) | |
2.31% | | | 10/06/323 | | $ | 45,583,000 | | | $ | 48,111,220 | |
3.94% | | | 07/12/473 | | | 6,700,000 | | | | 6,495,330 | |
Annington Funding PLC, | |
(EMTN) | |
(United Kingdom) | |
3.69% | | | 07/12/343 | | | 1,100,000 | | | | 1,241,849 | |
Blackstone Property Partners Europe Holdings SARL | |
(EMTN) | |
(Luxembourg) | |
1.00% | | | 05/04/283 | | | 20,141,000 | | | | 20,517,208 | |
1.75% | | | 03/12/293 | | | 24,019,000 | | | | 24,675,474 | |
Extra Space Storage LP | |
2.20% | | | 10/15/30 | | | 1,090,000 | | | | 955,673 | |
2.35% | | | 03/15/32 | | | 9,030,000 | | | | 7,628,943 | |
2.40% | | | 10/15/31 | | | 14,348,000 | | | | 12,352,049 | |
2.55% | | | 06/01/31 | | | 4,000,000 | | | | 3,486,776 | |
3.88% | | | 12/15/27 | | | 1,578,000 | | | | 1,558,502 | |
3.90% | | | 04/01/29 | | | 1,430,000 | | | | 1,397,398 | |
LEG Immobilien SE | |
(EMTN) | |
(Georgia) | |
0.88% | | | 03/30/333 | | | 8,100,000 | | | | 7,228,970 | |
1.50% | | | 01/17/343 | | | 3,800,000 | | | | 3,489,286 | |
Realty Income Corp. | |
4.88% | | | 07/06/30 | | | 14,180,000 | | | | 16,927,376 | |
5.13% | | | | | | 07/06/34 | | | 24,905,000 | | | | 30,721,867 | |
| | | | | |
| | | | 186,787,921 | |
| | | | | |
|
Transportation — 0.39% | |
American Airlines Pass-Through Trust, | |
Series 2017-2, Class AA | |
3.35% | | | 10/15/29 | | | 13,468,191 | | | | 12,737,244 | |
Delta Air Lines Pass-Through Trust, | |
Series 2020-1, Class AA | |
2.00% | | | 06/10/28 | | | 68,585,265 | | | | 64,155,392 | |
JetBlue Airways Pass-Through Trust, | |
Series 2020-1, Class A | |
4.00% | | | 11/15/32 | | | 8,210,837 | | | | 7,841,066 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | 19,004,725 | | | | 19,004,725 | |
U.S. Airways Pass-Through Trust, | |
Series 2012-2, Class A | |
4.63% | | | 06/03/25 | | | 5,472 | | | | 5,435 | |
United Airlines Pass-Through Trust, | |
Series 2013-1, Class A | |
4.30% | | | 08/15/25 | | | 9,483,869 | | | | 9,383,121 | |
United Airlines Pass-Through Trust, | |
Series 2018-1, Class AA | |
3.50% | | | 03/01/30 | | | 24,796,162 | | | | 23,464,143 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 118 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
CORPORATES (continued) | |
|
Transportation (continued) | |
United Airlines Pass-Through Trust, | |
Series 2023-1, Class A | |
5.80% | | 01/15/36 | | $ | 28,560,294 | | | $ | 30,022,988 | |
| | | | | | | | | | | | |
| | | | 166,614,114 | |
| | | | | | | | | | | | |
|
Water — 0.05% | |
Suez SACA | |
(EMTN) | |
(France) | |
2.88% | | 05/24/343 | | | 20,300,000 | | | | 21,376,815 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $7,622,834,717) | | | | 7,349,502,743 | |
| | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.65% | |
|
Foreign Government Obligations — 0.65% | |
Brazilian Government International Bond | |
(Brazil) | |
6.00% | | 10/20/333 | | | 20,120,000 | | | | 20,451,342 | |
6.13% | | 03/15/343 | | | 11,393,000 | | | | 11,643,703 | |
Colombia Government International Bond | |
(Colombia) | |
3.00% | | 01/30/303 | | | 5,971,000 | | | | 5,128,398 | |
3.13% | | 04/15/313 | | | 15,729,000 | | | | 13,028,561 | |
8.00% | | 04/20/333 | | | 1,670,000 | | | | 1,798,088 | |
Costa Rica Government International Bond, | |
Series REGS | |
(Costa Rica) | |
6.55% | | 04/03/343 | | | 5,000,000 | | | | 5,343,818 | |
Dominican Republic International Bond | |
(Dominican Republic) | |
4.50% | | 01/30/302,3 | | | 25,047,000 | | | | 23,984,994 | |
Dominican Republic International Bond, | |
Series REGS | |
(Dominican Republic) | |
4.88% | | 09/23/323 | | | 8,500,000 | | | | 8,111,958 | |
Finance Department Government of Sharjah | |
(United Arab Emirates) | |
6.50% | | 11/23/322,3 | | | 6,705,000 | | | | 7,212,293 | |
Guatemala Government Bond, | |
Series REGS | |
(Guatemala) | |
5.25% | | 08/10/293 | | | 19,100,000 | | | | 18,903,485 | |
6.60% | | 06/13/363 | | | 7,300,000 | | | | 7,676,208 | |
Hungary Government International Bond | |
(Hungary) | |
2.13% | | 09/22/312,3 | | | 13,773,000 | | | | 11,445,891 | |
Mexico Government International Bond | |
(Mexico) | |
2.66% | | 05/24/313 | | | 9,190,000 | | | | 7,910,509 | |
3.50% | | 02/12/343 | | | 14,767,000 | | | | 12,596,842 | |
4.75% | | 04/27/323 | | | 2,350,000 | | | | 2,266,473 | |
4.88% | | 05/19/333 | | | 8,399,000 | | | | 8,060,236 | |
6.35% | | 02/09/353 | | | 11,940,000 | | | | 12,547,173 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
Oman Government International Bond, | |
Series REGS | |
(Oman) | |
5.63% | | 01/17/283 | | $ | 10,500,000 | | | $ | 10,760,020 | |
Panama Government International Bond | |
(Panama) | |
2.25% | | 09/29/323 | | | 6,782,000 | | | | 5,266,837 | |
3.16% | | 01/23/303 | | | 13,946,000 | | | | 12,503,371 | |
6.40% | | 02/14/353 | | | 6,225,000 | | | | 6,378,225 | |
Paraguay Government International Bond, | |
Series REGS | |
(Papua New Guinea) | |
4.95% | | 04/28/313 | | | 14,150,000 | | | | 14,127,478 | |
| Republic of South Africa Government International Bond | |
(South Africa) | |
4.30% | | 10/12/283 | | | 1,556,000 | | | | 1,509,047 | |
4.85% | | 09/30/293 | | | 9,814,000 | | | | 9,540,676 | |
5.88% | | 06/22/303 | | | 5,535,000 | | | | 5,593,624 | |
5.88% | | 04/20/323 | | | 10,600,000 | | | | 10,580,124 | |
Romanian Government International Bond | |
(Romania) | |
6.63% | | 02/17/282,3 | | | 2,840,000 | | | | 2,974,278 | |
Romanian Government International Bond, | |
Series REGS | |
(Romania) | |
3.00% | | 02/14/313 | | | 26,000,000 | | | | 22,742,252 | |
| | | | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $286,387,304) | | | | 280,085,904 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 54.47%** | |
|
Non-Agency Commercial Mortgage-Backed — 4.13% | |
1301 Properties Owner LP | |
2.08% | | 09/07/251,4,5 | | | 47,327,027 | | | | 47,038,332 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2018-PARK, Class A | |
4.23% | | 08/10/382,7 | | | 122,930,000 | | | | 118,052,015 | |
BGME Trust, | |
Series 2021-VR, Class A | |
3.09% | | 01/10/432,7 | | | 20,000,000 | | | | 16,824,538 | |
BGME Trust, | |
Series 2021-VR, Class B | |
3.09% | | 01/10/432,7 | | | 32,137,000 | | | | 25,944,673 | |
Blackstone Industrial Portfolio - Proj Foxtrot | |
2.23% | | 04/09/251,4,5 | | | 77,281,109 | | | | 76,021,427 | |
BMO Mortgage Trust, | |
Series 2022-C2, Class A5 | |
4.97% | | 07/15/547 | | | 21,624,000 | | | | 22,079,998 | |
BX Commercial Mortgage Trust, | |
Series 2020-VIV4, Class A | |
2.84% | | 03/09/442 | | | 130,165,000 | | | | 118,160,975 | |
BX Commercial Mortgage Trust, | |
Series 2022-CSMO, Class A | |
(CME Term SOFR 1-Month plus 2.11%) | |
7.21% | | 06/15/271,2 | | | 32,924,000 | | | | 33,072,408 | |
|
| See accompanying Notes to Financial Statements. |
|
| 119 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
BX Commercial Mortgage Trust, | |
Series 2022-CSMO, Class B | |
(CME Term SOFR 1-Month plus 3.14%) | |
8.24% | | 06/15/271,2 | | $ | 90,170,000 | | | $ | 90,781,533 | |
BX Trust, | |
Series 2019-OC11, Class A | |
3.20% | | 12/09/412 | | | 42,270,000 | | | | 39,332,053 | |
BXHPP Trust, | |
Series 2021-FILM, Class A | |
(CME Term SOFR 1-Month plus 0.76%) | |
5.86% | | 08/15/361,2 | | | 57,000,000 | | | | 54,808,743 | |
BXHPP Trust, | |
Series 2021-FILM, Class B | |
(CME Term SOFR 1-Month plus 1.01%) | |
6.11% | | 08/15/361,2 | | | 16,602,000 | | | | 15,678,821 | |
BXHPP Trust, | |
Series 2021-FILM, Class C | |
(CME Term SOFR 1-Month plus 1.21%) | |
6.31% | | 08/15/361,2 | | | 15,057,000 | | | | 14,152,428 | |
BXHPP Trust, | |
Series 2021-FILM, Class D | |
(CME Term SOFR 1-Month plus 1.61%) | |
6.71% | | 08/15/361,2 | | | 11,500,000 | | | | 10,681,739 | |
CALI Mortgage Trust, | |
Series 2019-101C, Class XA (IO) | |
0.44% | | 03/10/392,7 | | | 272,551,000 | | | | 3,423,990 | |
CENT Trust, | |
Series 2023-CITY, Class A | |
(CME Term SOFR 1-Month plus 2.62%) | |
7.72% | | 09/15/381,2 | | | 88,590,000 | | | | 88,944,821 | |
Century Plaza Towers, | |
Series 2019-CPT, Class A | |
2.87% | | 11/13/392 | | | 27,645,000 | | | | 24,755,216 | |
Citigroup Commercial Mortgage Trust, | |
Series 2020-555, Class A | |
2.65% | | 12/10/412 | | | 5,000,000 | | | | 4,421,938 | |
Citigroup Commercial Mortgage Trust, | |
Series 2022-GC48, Class A5 | |
4.74% | | 05/15/547 | | | 26,458,000 | | | | 26,449,925 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-MDR, Class A | |
(CME Term SOFR 1-Month plus 4.81%) | |
9.91% | | 08/15/251,2,4,5 | | | 85,000,000 | | | | 84,823,570 | |
DC Office Trust, | |
Series 2019-MTC, Class A | |
2.97% | | 09/15/452 | | | 31,135,000 | | | | 27,652,040 | |
Fontainebleau Miami Beach Trust, | |
Series 2019-FBLU, Class A | |
3.14% | | 12/10/362 | | | 20,000,000 | | | | 19,815,282 | |
Frost CMBS DAC, | |
Series 2021-1X, Class EUA | |
(Ireland) | |
(3-Month Euribor plus 1.15%) | |
4.71% | | 11/20/331,3 | | | 2,968,406 | | | | 3,262,041 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Hudson Yards Mortgage Trust, | |
Series 2019-30HY, Class A | |
3.23% | | 07/10/392 | | $ | 84,915,000 | | | $ | 78,648,664 | |
Hudson Yards Mortgage Trust, | |
Series 2019-55HY, Class A | |
3.04% | | 12/10/412,7 | | | 81,025,000 | | | | 73,732,669 | |
LoanCore Issuer Ltd., | |
Series 2021-CRE5, Class A | |
(Cayman Islands) | |
(CME Term SOFR 1-Month plus 1.41%) | |
6.51% | | 07/15/361,2,3 | | | 20,675,134 | | | | 20,615,940 | |
MDR CRE MTGE | |
10.22% | | 08/15/251,2,4,5 | | | 25,500,000 | | | | 25,303,650 | |
MF1 Ltd., | |
Series 2022-FL8, Class A | |
(Cayman Islands) | |
(CME Term SOFR 1-Month plus 1.35%) | |
6.31% | | 02/19/371,2,3 | | | 24,216,585 | | | | 24,158,157 | |
MKT Mortgage Trust, | |
Series 2020-525M, Class A | |
2.69% | | 02/12/402 | | | 8,500,000 | | | | 7,311,254 | |
NRTH Mortgage Trust, | |
Series 2024-PARK, Class A | |
(CME Term SOFR 1-Month plus 1.64%) | |
6.74% | | 03/15/391,2 | | | 21,267,000 | | | | 21,311,029 | |
One Bryant Park Trust, | |
Series 2019-OBP, Class A | |
2.52% | | 09/15/542 | | | 147,667,000 | | | | 131,593,639 | |
Project Colt (Acquired 03/08/2022, cost $100,000,000) | |
7.05% | | 03/10/271,4,5 | | | 100,000,000 | | | | 99,750,000 | |
Queens Center Mortgage Trust, | |
Series 2013-QCA, Class A | |
3.28% | | 01/11/372 | | | 9,170,000 | | | | 8,992,538 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A1 | |
3.87% | | 01/05/432,7 | | | 56,465,000 | | | | 49,087,001 | |
SFAVE Commercial Mortgage Securities Trust, | |
Series 2015-5AVE, Class A2B | |
4.14% | | 01/05/432,7 | | | 8,710,000 | | | | 7,696,461 | |
SHOW 2022-BIZ A | |
Series 2022-BIZ, Class A | |
(CME Term SOFR 1-Month plus 2.98%) | |
8.10% | | 01/15/271,2 | | | 68,000,000 | | | | 54,845,784 | |
SREIT Trust, | |
Series 2021-PALM, Class G | |
(CME Term SOFR 1-Month plus 3.73%) | |
8.83% | | 10/15/341,2 | | | 40,000,000 | | | | 39,503,280 | |
Taurus UK DAC, | |
Series 2021-UK1A, Class A | |
(Ireland) | |
(SONIA plus 0.85%) | |
5.83% | | 05/17/311,2,3 | | | 4,765,002 | | | | 6,365,683 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 120 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Taurus UK DAC, | |
Series 2021-UK1X, Class C | |
(Ireland) | |
(SONIA plus 1.65%) | |
6.63% | | 05/17/311,3 | | $ | 975,833 | | | $ | 1,298,977 | |
Taurus UK DAC, | |
Series 2021-UK1X, Class D | |
(Ireland) | |
(SONIA plus 2.60%) | |
7.58% | | 05/17/311,3 | | | 5,618,732 | | | | 7,494,472 | |
Taurus UK DAC, | |
Series 2021-UK1X, Class E | |
(Ireland) | |
(SONIA plus 3.65%) | |
8.63% | | 05/17/311,3 | | | 5,761,682 | | | | 7,635,434 | |
Taurus UK DAC, | |
Series 2021-UK4X, Class D | |
(Ireland) | |
(SONIA plus 2.10%) | |
7.08% | | 08/17/311,3 | | | 2,795,554 | | | | 3,728,210 | |
Taurus UK DAC, | |
Series 2021-UK5, Class B | |
(Ireland) | |
(SONIA plus 1.65%) | |
6.63% | | 05/17/311,3 | | | 3,094,000 | | | | 4,157,164 | |
Westfield Galleria at Roseville | |
8.58% | | 03/29/254,5,7 | | | 141,900,000 | | | | 142,425,030 | |
| | | | | | | | | | | | |
| | | | 1,781,833,542 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 10.95% | |
Aames Mortgage Trust, | |
Series 2002-1, Class A3 (STEP-reset date 11/25/24) | |
7.40% | | 06/25/32 | | | 15,825 | | | | 15,617 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2004-IN1, Class A1 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | 05/25/341 | | | 119,285 | | | | 114,376 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE3, Class A2C | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | 06/25/361 | | | 2,224,121 | | | | 1,644,090 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP2, Class A1 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | 06/25/371 | | | 24,057,487 | | | | 17,506,395 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-10, Class 6A1 | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | 01/25/361 | | | 127,535 | | | | 118,145 | |
Adjustable Rate Mortgage Trust, | |
Series 2007-3, Class 2A1 | |
6.17% | | 11/25/372,7 | | | 24,675,207 | | | | 16,592,399 | |
Ajax Mortgage Loan Trust, | |
Series 2019-F, Class A1 (STEP-reset date 10/25/24) | |
2.86% | | 07/25/592 | | | 82,210 | | | | 79,328 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Alternative Loan Trust, | |
Series 2004-30CB, Class 1A6 | |
5.50% | | 02/25/35 | | $ | 22,057,934 | | | $ | 21,674,311 | |
Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 1,818 | | | | 1,877 | |
Alternative Loan Trust, | |
Series 2005-76, Class 2A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | |
6.12% | | 02/25/361 | | | 28,560,515 | | | | 25,587,871 | |
Alternative Loan Trust, | |
Series 2005-84, Class 1A1 | |
5.11% | | 02/25/367 | | | 23,409 | | | | 19,935 | |
Alternative Loan Trust, | |
Series 2006-HY13, Class 4A1 | |
4.71% | | 02/25/377 | | | 613,335 | | | | 538,671 | |
Alternative Loan Trust, | |
Series 2007-J1, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | 03/25/371 | | | 529,574 | | | | 146,309 | |
American Home Mortgage Assets Trust, | |
Series 2006-3, Class 2A12 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.15%) | |
6.27% | | 10/25/461 | | | 29,414,798 | | | | 20,066,684 | |
American Home Mortgage Assets Trust, | |
Series 2007-1, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | |
5.82% | | 02/25/471 | | | 43,408,243 | | | | 15,557,154 | |
American Home Mortgage Assets Trust, | |
Series 2007-2, Class A1 | |
(CME Term SOFR 1-Month plus 0.24%) | |
5.09% | | 03/25/471 | | | 21,785,876 | | | | 18,155,750 | |
American Home Mortgage Investment Trust, | |
Series 2004-3, Class 2A | |
(TSFR6M plus 1.93%) | |
4.89% | | 10/25/341 | | | 2,308,148 | | | | 2,277,608 | |
Argent Securities, Inc., Asset-Backed Pass-Through | |
Certificates, | |
Series 2005-W2, Class M1 | |
(CME Term SOFR 1-Month plus 0.85%) | |
5.70% | | 10/25/351 | | | 49,436 | | | | 48,603 | |
Argent Securities, Inc., Asset-Backed Pass-Through | |
Certificates, | |
Series 2005-W3, Class M1 | |
(CME Term SOFR 1-Month plus 0.77%) | |
5.63% | | 11/25/351 | | | 9,427,086 | | | | 9,163,778 | |
Asset-Backed Funding Certificates, | |
Series 2006-OPT3, Class A3B | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | 11/25/361 | | | 38,553,180 | | | | 15,786,486 | |
|
| See accompanying Notes to Financial Statements. |
|
| 121 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2A | |
(CME Term SOFR 1-Month plus 0.86%) | |
5.72% | | 06/25/371 | | $ | 19,614,060 | | | $ | 16,170,374 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
(CME Term SOFR 1-Month plus 1.11%) | |
5.97% | | 06/25/371 | | | 14,328,758 | | | | 11,812,522 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE6, Class A5 | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | 11/25/361 | | | 10,956,773 | | | | 10,652,401 | |
Banc of America Funding Trust, | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | | 9,837 | | | | 10,048 | |
Banc of America Funding Trust, | |
Series 2006-D, Class 3A1 | |
5.20% | | 05/20/367 | | | 2,300,298 | | | | 2,069,849 | |
Banc of America Funding Trust, | |
Series 2006-E, Class 2A1 | |
6.29% | | 06/20/367 | | | 27,370 | | | | 24,854 | |
Banc of America Funding Trust, | |
Series 2006-H, Class 3A1 | |
5.03% | | 09/20/467 | | | 498,591 | | | | 411,427 | |
Banc of America Mortgage Trust, | |
Series 2004-F, Class 1A1 | |
6.63% | | 07/25/347 | | | 12,336 | | | | 11,921 | |
Banc of America Mortgage Trust, | |
Series 2005-C, Class 2A2 | |
5.85% | | 04/25/357 | | | 72,604 | | | | 72,059 | |
Banc of America Mortgage Trust, | |
Series 2007-1, Class 1A24 | |
6.00% | | 03/25/37 | | | 317,723 | | | | 270,997 | |
Banc of America Mortgage Trust, | |
Series 2007-3, Class 1A1 | |
6.00% | | 09/25/37 | | | 127,908 | | | | 105,016 | |
BCAP LLC Trust, | |
Series 2007-AA2, Class 2A5 | |
6.00% | | 04/25/37 | | | 203,803 | | | | 90,872 | |
BCAP LLC Trust, | |
Series 2007-AA5, Class A1 | |
(CME Term SOFR 1-Month plus 1.41%) | |
6.27% | | 09/25/471 | | | 11,479,860 | | | | 10,127,347 | |
Bear Stearns ALT-A Trust, | |
Series 2005-4, Class 22A2 | |
5.03% | | 05/25/357 | | | 4,964 | | | | 4,809 | |
Bear Stearns ALT-A Trust, | |
Series 2006-4, Class 32A1 | |
4.55% | | 07/25/367 | | | 1,211,718 | | | | 524,794 | |
Bear Stearns ARM Trust, | |
Series 2004-1, Class 13A2 | |
4.79% | | 04/25/347 | | | 3,048 | | | | 2,930 | |
Bear Stearns ARM Trust, | |
Series 2004-10, Class 14A1 | |
4.81% | | 01/25/357 | | | 1,582,773 | | | | 1,538,882 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ARM Trust, | |
Series 2006-4, Class 2A1 | |
4.40% | | 10/25/367 | | $ | 159,657 | | | $ | 141,719 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2005-AC5, Class 2A3 | |
(CME Term SOFR 1-Month plus 0.36%) | |
5.22% | | 08/25/201 | | | 892,572 | | | | 533,422 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | 03/25/36 | | | 55,663 | | | | 55,663 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-HE9, Class 3A | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | 11/25/361 | | | 2,172,926 | | | | 2,144,337 | |
Bear Stearns Asset-Backed Securities I Trust, | |
| Series 2007-AC1, Class A3 (STEP-reset date 11/25/24) | |
6.55% | | 02/25/37 | | | 24,140,632 | | | | 21,948,018 | |
Bear Stearns Asset-Backed Securities Trust, | |
| Series 2003-AC7, Class A1 (STEP-reset date 11/25/24) | |
5.50% | | 01/25/34 | | | 387,300 | | | | 327,776 | |
Bear Stearns Asset-Backed Securities Trust, | |
| Series 2003-AC7, Class A2 (STEP-reset date 11/25/24) | |
5.75% | | 01/25/34 | | | 349,177 | | | | 295,442 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2006-AR3, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 10/25/361 | | | 850,510 | | | | 764,983 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2006-AR5, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.27%) | |
5.13% | | 12/25/461 | | | 11,854,362 | | | | 10,642,795 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR5, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.45%) | |
5.31% | | 06/25/471 | | | 1,891,521 | | | | 1,660,900 | |
Carrington Mortgage Loan Trust, | |
Series 2006-NC3, Class A4 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | 08/25/361 | | | 46,429,000 | | | | 37,996,839 | |
Carrington Mortgage Loan Trust, | |
Series 2006-OPT1, Class M1 | |
(CME Term SOFR 1-Month plus 0.64%) | |
5.49% | | 02/25/361 | | | 14,178 | | | | 14,056 | |
Carrington Mortgage Loan Trust, | |
Series 2007-RFC1, Class A4 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | 10/25/361 | | | 22,415,000 | | | | 20,111,821 | |
Chase Funding Trust, | |
Series 2003-5, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.71%) | |
5.57% | | 07/25/331 | | | 2,947 | | | | 2,937 | |
Chase Funding Trust, | |
Series 2004-2, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 02/26/351 | | | 3,159 | | | | 3,108 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 122 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Chase Mortgage Finance Trust, | |
Series 2006-A1, Class 1A2 | |
4.75% | | 09/25/367 | | $ | 306,306 | | | $ | 282,412 | |
Chase Mortgage Finance Trust, | |
Series 2006-S3, Class 2A1 | |
5.50% | | 11/25/21 | | | 1,301,032 | | | | 457,919 | |
Chase Mortgage Finance Trust, | |
Series 2007-A2, Class 2A3 | |
6.43% | | 06/25/357 | | | 569,375 | | | | 566,787 | |
ChaseFlex Trust, | |
Series 2005-2, Class 4A2 | |
5.50% | | 06/25/36 | | | 289,935 | | | | 111,472 | |
ChaseFlex Trust, | |
Series 2006-2, Class A2B | |
(CME Term SOFR 1-Month plus 0.31%) | |
4.37% | | 09/25/361 | | | 3,711,726 | | | | 3,037,341 | |
CIM Trust, | |
Series 2019-R1, Class A | |
3.25% | | 10/25/582,7 | | | 35,916,150 | | | | 32,845,187 | |
CIM Trust, | |
Series 2019-R3, Class A | |
2.63% | | 06/25/582,7 | | | 73,101,331 | | | | 67,690,835 | |
CIM Trust, | |
Series 2019-R4, Class A1 | |
3.00% | | 10/25/592,7 | | | 75,844,444 | | | | 70,888,852 | |
CIM Trust, | |
Series 2020-R1, Class A1 | |
2.85% | | 10/27/592,7 | | | 116,625,497 | | | | 104,863,396 | |
CIM Trust, | |
Series 2020-R3, Class A1A | |
4.00% | | 01/26/602,7 | | | 89,595,392 | | | | 85,922,528 | |
CIM Trust, | |
Series 2020-R6, Class A1 | |
2.25% | | 12/25/602,7 | | | 69,359,283 | | | | 61,300,837 | |
CIM Trust, | |
Series 2020-R6, Class A1A | |
2.25% | | 12/25/602,7 | | | 42,500,926 | | | | 37,988,007 | |
CIM Trust, | |
Series 2020-R7, Class A1A | |
2.25% | | 12/27/612,7 | | | 174,023,897 | | | | 156,261,278 | |
CIM Trust, | |
Series 2021-R1, Class A2 | |
2.40% | | 08/25/562,7 | | | 62,469,457 | | | | 56,659,191 | |
CIM Trust, | |
Series 2021-R2, Class A2 | |
2.50% | | 01/25/572,7 | | | 55,822,951 | | | | 51,296,569 | |
CIM Trust, | |
Series 2021-R3, Class A1A | |
1.95% | | 06/25/572,7 | | | 170,899,256 | | | | 157,270,194 | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | 05/01/612,7 | | | 156,448,731 | | | | 141,289,475 | |
CIM Trust, | |
Series 2021-R5, Class A1 | |
2.00% | | 08/25/612,7 | | | 36,396,131 | | | | 30,792,335 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
CIM Trust, | |
Series 2021-R5, Class A1A | |
2.00% | | 08/25/612,7 | | $ | 145,194,705 | | | $ | 124,888,442 | |
CIM Trust, | |
Series 2022-I1, Class A1 | |
4.35% | | 02/25/672,7 | | | 33,294,555 | | | | 33,150,033 | |
CIM Trust, | |
| Series 2022-NR1, Class A1 (STEP-reset date 11/25/24) | |
5.00% | | 07/25/622 | | | 78,199,393 | | | | 77,435,862 | |
CIM Trust, | |
Series 2023-R1, Class A1A | |
5.40% | | 04/25/622,7 | | | 258,918,387 | | | | 251,356,987 | |
CIM Trust, | |
Series 2023-R3, Class A1 | |
4.50% | | 01/25/632,7 | | | 36,471,233 | | | | 34,300,377 | |
CIM Trust, | |
Series 2023-R3, Class A1A | |
4.50% | | 01/25/632,7 | | | 206,261,961 | | | | 195,676,638 | |
Citicorp Mortgage Securities, Inc., | |
Series 2005-1, Class 1A12 | |
5.00% | | 02/25/35 | | | 68,270 | | | | 66,519 | |
Citicorp Residential Mortgage Trust, | |
| Series 2007-1, Class A5 (STEP-reset date 11/25/24) | |
4.75% | | 03/25/37 | | | 70,645 | | | | 70,259 | |
Citigroup Mortgage Loan Trust, | |
Series 2005-9, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | 11/25/351 | | | 88,009 | | | | 74,081 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-AR2, Class 1A1 | |
5.59% | | 03/25/367 | | | 5,845,529 | | | | 4,544,598 | |
Citigroup Mortgage Loan Trust, | |
| Series 2006-WF2, Class A1 (STEP-reset date 11/25/24) | |
4.55% | | 05/25/36 | | | 27,723,594 | | | | 14,338,554 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-6, Class 1A4A | |
4.56% | | 03/25/377 | | | 111,994 | | | | 108,623 | |
Citigroup Mortgage Loan Trust, | |
Series 2007-AR5, Class 1A1A | |
5.22% | | 04/25/377 | | | 43,974 | | | | 39,542 | |
Citigroup Mortgage Loan Trust, | |
Series 2014-5, Class 2A2 | |
(LIBOR USD 1-Month plus 1.75%) | |
5.02% | | 02/20/361,2 | | | 4,911,443 | | | | 4,530,104 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-5, Class 3A2A | |
5.52% | | 10/25/357 | | | 299,133 | | | | 264,390 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2005-13, Class AF4 | |
5.81% | | 04/25/367 | | | 108,280 | | | | 99,699 | |
Countrywide Asset-Backed Certificates Trust, | |
Series 2007-13, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.91%) | |
5.77% | | 10/25/471 | | | 6,098,908 | | | | 5,743,730 | |
|
| See accompanying Notes to Financial Statements. |
|
| 123 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2001-HYB1, Class 1A1 | |
6.75% | | | | | | 06/19/317 | | $ | 4,814 | | | $ | 4,774 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2003-J8, Class 1A4 | |
5.25% | | | | | | 09/25/23 | | | 20,352 | | | | 19,178 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2004-14, Class 4A1 | |
6.56% | | | | | | 08/25/347 | | | 526,642 | | | | 484,384 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2004-25, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.77%) | |
5.63% | | | | | | 02/25/351 | | | 57,562 | | | | 53,798 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2004-7, Class 2A1 | |
5.58% | | | | | | 06/25/347 | | | 39,860 | | | | 36,475 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2004-HYB3, Class 1A | |
6.84% | | | | | | 06/20/347 | | | 8,007 | | | | 7,842 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2004-HYB4, Class 2A1 | |
5.93% | | | | | | 09/20/347 | | | 361,925 | | | | 334,535 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2005-11, Class 1A2 | |
4.49% | | | | | | 04/25/357 | | | 436,510 | | | | 347,038 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2007-HY5, Class 1A1 | |
5.32% | | | | | | 09/25/477 | | | 464,146 | | | | 366,645 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2007-HYB1, Class 1A1 | |
3.81% | | | | | | 03/25/377 | | | 866,141 | | | | 708,450 | |
| Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2003-AR20, Class 2A4 | |
5.76% | | | | | | 08/25/337 | | | 3,644 | | | | 3,538 | |
| Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2005-6, Class 8A1 | |
4.50% | | | | | | 07/25/20 | | | 2,632 | | | | 2,365 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, | |
Series 2004-1, Class 2A1 | |
6.50% | | | | | | 02/25/34 | | | 4,771 | | | | 4,780 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, | |
Series 2004-AR5, Class 6A1 | |
6.34% | | | | | | 06/25/347 | | | 36,505 | | | | 35,980 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2021-RP11, Class CERT | |
3.78% | | | | | | 10/27/612 | | | 8,843,239 | | | | 7,167,937 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2022-RPL1, Class CERT | |
4.23% | | | | | | 04/25/612 | | | 8,863,278 | | | | 7,739,742 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-2, Class 5A1 | |
(CME Term SOFR 1-Month plus 0.81%) | |
5.67% | | | | | | 03/25/361 | | | 2,979,280 | | | | 925,439 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Credit Suisse Mortgage Capital Trust, | |
Series 2015-6R, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.31%) | |
7.38% | | | | | | 11/27/461,2 | | $ | 715,878 | | | $ | 714,048 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-NQM6, Class A1 | |
1.17% | | | | | | 07/25/662,7 | | | 6,035,621 | | | | 5,195,100 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-RP11, Class PT | |
3.75% | | | | | | 10/25/612,7 | | | 210,518,034 | | | | 174,047,279 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2021-RP11, Class SA (IO) | |
0.00% | | | | | | 10/25/612,4,5,7 | | | 167,521 | | | | 162,778 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class PT | |
4.67% | | | | | | 04/25/612,7 | | | 212,863,430 | | | | 188,842,558 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class SA (IO) | |
0.00% | | | | | | 04/25/612,4,5,7 | | | 423,819 | | | | 412,472 | |
| Credit-Based Asset Servicing and Securitization LLC, | |
| Series 2003-CB1, Class AF (STEP-reset date 11/25/24) | | | | | |
3.95% | | | | | | 01/25/33 | | | 3,659 | | | | 3,498 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB7, Class A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 10/25/361 | | | 31,887,469 | | | | 22,811,084 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB8, Class A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 10/25/361 | | | 8,165,128 | | | | 7,411,706 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB9, Class A3 | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | | | | 11/25/361 | | | 21,779,940 | | | | 9,947,275 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB1, Class AF4 (STEP-reset date 11/25/24) | |
3.19% | | | | | | 01/25/37 | | | 5,876,968 | | | | 1,707,186 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB1, Class AF5 (STEP-reset date 11/25/24) | |
3.19% | | | | | | 01/25/37 | | | 11,044,222 | | | | 3,207,244 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB5, Class A2 | |
(CME Term SOFR 1-Month plus 0.28%) | |
3.14% | | | | | | 04/25/371 | | | 18,992,106 | | | | 12,143,858 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2C (STEP-reset date 11/25/24) | |
3.55% | | | | | | 02/25/37 | | | 21,705,187 | | | | 13,230,129 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2D (STEP-reset date 11/25/24) | |
3.55% | | | | | | 02/25/37 | | | 15,891,428 | | | | 9,686,425 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2E (STEP-reset date 11/25/24) | |
3.55% | | | | | | 02/25/37 | | | 2,889,832 | | | | 1,761,461 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 124 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
CSAB Mortgage-Backed Trust, | |
| Series 2006-4, Class A6B (STEP-reset date 11/25/24) | |
6.28% | | | | | | 12/25/36 | | $ | 5,268,016 | | | $ | 261,736 | |
Deephaven Residential Mortgage Trust, | |
Series 2021-4, Class A1 | |
1.93% | | | | | | 11/25/662,7 | | | 20,712,302 | | | | 18,382,342 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR3, Class A1 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | | | | | 08/25/361 | | | 1,688,619 | | | | 1,509,571 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR4, Class A1 | |
(CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | | | | | 12/25/361 | | | 1,348,190 | | | | 468,288 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR4, Class A2 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | | | | | 12/25/361 | | | 24,745,825 | | | | 8,113,010 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2006-AR6, Class A6 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | | | | | 02/25/371 | | | 307,360 | | | | 264,424 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2007-3, Class 1A1 | |
(CME Term SOFR 1-Month plus 1.81%) | |
7.02% | | | | | | 10/25/471 | | | 16,636,722 | | | | 13,278,584 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2007-AR3, Class 2A4 | |
(CME Term SOFR 1-Month plus 0.81%) | |
5.67% | | | | | | 06/25/371 | | | 14,888,383 | | | | 12,878,625 | |
Deutsche ALT-A Securities Mortgage Loan Trust, | |
Series 2007-OA3, Class A1 | |
(CME Term SOFR 1-Month plus 0.25%) | |
5.25% | | | | | | 07/25/471 | | | 25,441,187 | | | | 24,211,721 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | |
Series 2005-6, Class 1A7 | |
5.50% | | | | | | 12/25/35 | | | 220,404 | | | | 178,921 | |
| Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, | |
Series 2006-AR1, Class 2A1 | |
3.91% | | | | | | 02/25/367 | | | 478,586 | | | | 320,994 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.83%) | |
5.80% | | | | | | 01/19/451 | | | 985,684 | | | | 755,954 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR3, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.56% | | | | | | 07/19/451 | | | 57,313 | | | | 54,349 | |
DSLA Mortgage Loan Trust, | |
Series 2006-AR2, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.28% | | | | | | 10/19/361 | | | 12,781,789 | | | | 7,987,143 | |
DSLA Mortgage Loan Trust, | |
Series 2007-AR1, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.25%) | |
5.22% | | | | | | 03/19/371 | | | 5,049,360 | | | | 4,384,204 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Equity One Mortgage Pass-Through Trust, | |
Series 2002-4, Class M1 | |
5.22% | | | | | | 02/25/337 | | $ | 3,870 | | | $ | 3,788 | |
Equity One Mortgage Pass-Through Trust, | |
| Series 2002-5, Class M1 (STEP-reset date 11/25/24) | |
5.80% | | | | | | 11/25/32 | | | 25,817 | | | | 25,106 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2019-R07, Class 1B1 | |
(SOFR30A plus 3.51%) | |
8.79% | | | | | | 10/25/391,2 | | | 11,107,050 | | | | 11,517,595 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2021-R01, Class 1B1 | |
(SOFR30A plus 3.10%) | |
8.38% | | | | | | 10/25/411,2 | | | 5,660,000 | | | | 5,838,615 | |
Fannie Mae Connecticut Avenue Securities, | |
Series 2022-R01, Class 1M2 | |
(SOFR30A plus 1.90%) | |
7.18% | | | | | | 12/25/411,2 | | | 28,907,099 | | | | 29,279,093 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2C | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | | | | | 10/25/361 | | | 8,813,343 | | | | 5,855,847 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF13, Class A2D | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | | | | | 10/25/361 | | | 555,748 | | | | 369,517 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2B | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | | | | | 12/25/371 | | | 4,396,231 | | | | 4,010,904 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2C | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | | | | | 12/25/371 | | | 12,090,029 | | | | 11,029,356 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF18, Class A2D | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | | | | | 12/25/371 | | | 8,762,460 | | | | 7,996,472 | |
First Franklin Mortgage Loan Trust, | |
Series 2006-FF5, Class 1A | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | | | | 04/25/361 | | | 2,700,771 | | | | 2,677,058 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF1, Class A2C | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 01/25/381 | | | 48,669,657 | | | | 25,603,491 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 03/25/371 | | | 43,967,798 | | | | 23,025,483 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2B | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | | | | | 03/25/371 | | | 19,587,744 | | | | 9,443,686 | |
|
| See accompanying Notes to Financial Statements. |
|
| 125 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2C | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | 03/25/371 | | $ | 11,229,340 | | | $ | 5,428,260 | |
First Franklin Mortgage Loan Trust, | |
Series 2007-FF2, Class A2D | |
(CME Term SOFR 1-Month plus 0.55%) | |
5.41% | | | 03/25/371 | | | 33,217,678 | | | | 16,089,627 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA2, Class 1A1 | |
6.36% | | | 08/25/347 | | | 2,364,267 | | | | 2,298,447 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA3, Class A1 | |
5.76% | | | | | | 09/25/347 | | | 5,287 | | | | 5,429 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2004-AA4, Class A1 | |
5.96% | | | 10/25/347 | | | 336,982 | | | | 331,622 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA10, Class 1A1 | |
5.85% | | | 12/25/357 | | | 5,860,589 | | | | 4,859,382 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA12, Class 2A1 | |
5.62% | | | 02/25/367 | | | 6,067,803 | | | | 3,915,684 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA4, Class 2A1 | |
5.68% | | | | | | 06/25/357 | | | 6,099,709 | | | | 5,680,859 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA7, Class 2A1 | |
5.97% | | | 09/25/357 | | | 4,455,347 | | | | 3,940,830 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA8, Class 2A1 | |
5.83% | | | 10/25/357 | | | 6,977,129 | | | | 4,163,900 | |
First Horizon Alternative Mortgage Securities Trust, | |
Series 2005-AA9, Class 2A1 | |
6.08% | | | 11/25/357 | | | 6,082,326 | | | | 5,324,833 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2004-AR6, Class 2A1 | |
4.72% | | | 12/25/347 | | | 66,980 | | | | 65,481 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2006-AR4, Class 1A2 | |
5.09% | | | 01/25/377 | | | 40,679 | | | | 21,860 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2007-AR3, Class 1A1 | |
5.06% | | | | | | 11/25/377 | | | 67,930 | | | | 29,104 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2022-DNA2, Class M1B | |
(SOFR30A plus 2.40%) | |
7.68% | | | | | | 02/25/421,2 | | | 18,930,000 | | | | 19,384,475 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | |
Series 2022-DNA3, Class M1B | |
(SOFR30A plus 2.90%) | |
8.18% | | | | | | 04/25/421,2 | | | 7,000,000 | | | | 7,248,599 | |
GMACM Home Equity Loan Trust, | |
Series 2000-HE2, Class A1 | |
(CME Term SOFR 1-Month plus 0.55%) | |
3.47% | | | | | | 06/25/301 | | | 7,345 | | | | 6,718 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2005-AR6, Class 3A1 | |
4.47% | | | | | | 11/19/357 | | $ | 161,846 | | | $ | 139,593 | |
GMACM Mortgage Corp. Loan Trust, | |
Series 2006-AR2, Class 1A1 | |
4.52% | | | | | | 05/19/367 | | | 1,455,445 | | | | 838,449 | |
GreenPoint Mortgage Funding Trust, | |
Series 2005-AR4, Class G41B | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | | | | | 10/25/451 | | | 6,240,756 | | | | 5,605,947 | |
GreenPoint Mortgage Funding Trust, | |
Series 2006-OH1, Class A1 | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | | | | | 01/25/371 | | | 8,509,557 | | | | 7,639,601 | |
GS Mortgage-Backed Securities Corp. Trust, | |
Series 2022-PJ2, Class A4 | |
2.50% | | | | | | 06/25/522,7 | | | 26,599,963 | | | | 22,403,414 | |
GS Mortgage-Backed Securities Corp. Trust, | |
Series 2022-PJ4, Class A4 | |
2.50% | | | | | | 09/25/522,7 | | | 63,070,559 | | | | 53,198,931 | |
GS Mortgage-Backed Securities Trust, | |
Series 2018-RPL1, Class A1A | |
3.75% | | | | | | 10/25/572 | | | 14,573,020 | | | | 14,309,987 | |
GS Mortgage-Backed Securities Trust, | |
Series 2021-PJ9, Class A2 | |
2.50% | | | | | | 02/26/522,7 | | | 8,002,213 | | | | 6,750,328 | |
GS Mortgage-Backed Securities Trust, | |
Series 2022-PJ5, Class A4 | |
2.50% | | | | | | 10/25/522,7 | | | 71,149,282 | | | | 59,924,401 | |
GS Mortgage-Backed Securities Trust, | |
Series 2022-PJ6, Class A3 | |
2.50% | | | | | | 01/25/532,7 | | | 91,899,712 | | | | 77,346,087 | |
GS Mortgage-Backed Securities Trust, | |
Series 2023-PJ1, Class A3 | |
3.00% | | | | | | 02/25/532,7 | | | 92,072,406 | | | | 80,172,250 | |
GSAA Home Equity Trust, | |
Series 2005-11, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | | | | | 10/25/351 | | | 43,165 | | | | 44,461 | |
GSAA Home Equity Trust, | |
Series 2005-11, Class 3A2 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | | | | | 10/25/351 | | | 4,955 | | | | 5,424 | |
GSAA Home Equity Trust, | |
Series 2005-6, Class M1 | |
(CME Term SOFR 1-Month plus 0.76%) | |
5.61% | | | | | | 06/25/351 | | | 10,541 | | | | 10,466 | |
GSAMP Trust, | |
Series 2005-AHL2, Class A2D | |
(CME Term SOFR 1-Month plus 0.81%) | |
5.67% | | | | | | 12/25/351 | | | 15,282,525 | | | | 14,597,079 | |
GSAMP Trust, | |
Series 2007-HE2, Class A1 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.20% | | | | | | 03/25/471 | | | 61,872,861 | | | | 51,452,525 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 126 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
GSMSC Resecuritization Trust, | |
Series 2015-3R, Class 1B | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 01/26/371,2 | | $ | 12,384,766 | | | $ | 11,126,027 | |
GSR Mortgage Loan Trust, | |
Series 2004-9, Class 3A1 | |
5.90% | | | | | | 08/25/347 | | | 1,200 | | | | 1,143 | |
GSR Mortgage Loan Trust, | |
Series 2004-9, Class 5A7 | |
5.66% | | | | | | 08/25/347 | | | 20,709 | | | | 20,663 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR5, Class 2A3 | |
5.35% | | | | | | 10/25/357 | | | 1,723,129 | | | | 941,536 | |
GSR Mortgage Loan Trust, | |
Series 2005-AR6, Class 4A5 | |
6.13% | | | | | | 09/25/357 | | | 34,810 | | | | 31,476 | |
GSR Mortgage Loan Trust, | |
Series 2007-AR2, Class 2A1 | |
5.23% | | | | | | 05/25/377 | | | 1,158,528 | | | | 632,063 | |
HarborView Mortgage Loan Trust, | |
Series 2004-1, Class 2A | |
6.42% | | | | | | 04/19/347 | | | 2,986 | | | | 2,762 | |
HarborView Mortgage Loan Trust, | |
Series 2004-11, Class 3A2A | |
(CME Term SOFR 1-Month plus 0.79%) | |
5.76% | | | | | | 01/19/351 | | | 139,890 | | | | 137,894 | |
HarborView Mortgage Loan Trust, | |
Series 2004-3, Class 1A | |
5.67% | | | | | | 05/19/347 | | | 26,794 | | | | 25,673 | |
HarborView Mortgage Loan Trust, | |
Series 2004-5, Class 2A6 | |
5.34% | | | | | | 06/19/347 | | | 984 | | | | 941 | |
HarborView Mortgage Loan Trust, | |
Series 2005-3, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.56% | | | | | | 06/19/351 | | | 122,115 | | | | 118,797 | |
HarborView Mortgage Loan Trust, | |
Series 2006-1, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.56% | | | | | | 03/19/361 | | | 9,064,640 | | | | 8,247,446 | |
HarborView Mortgage Loan Trust, | |
Series 2006-10, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.86% | | | | | | 11/19/361 | | | 46,656,224 | | | | 36,924,893 | |
HarborView Mortgage Loan Trust, | |
Series 2006-4, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.44% | | | | | | 05/19/461 | | | 28,662,947 | | | | 14,551,562 | |
HarborView Mortgage Loan Trust, | |
Series 2006-5, Class 1A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.91%) | |
6.03% | | | | | | 07/19/471 | | | 33,194,659 | | | | 11,053,387 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
HarborView Mortgage Loan Trust, | |
Series 2006-7, Class 1A | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.50% | | | | | | 09/19/461 | | $ | 47,572,273 | | | $ | 39,928,959 | |
HarborView Mortgage Loan Trust, | |
Series 2007-7, Class 1A1 | |
(CME Term SOFR 1-Month plus 2.11%) | |
6.97% | | | | | | 10/25/371 | | | 14,890,189 | | | | 11,705,261 | |
HarborView Mortgage Loan Trust, | |
Series 2007-7, Class 2A1A | |
(CME Term SOFR 1-Month plus 2.11%) | |
6.97% | | | | | | 10/25/371 | | | 11,008,262 | | | | 10,301,563 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-HE1, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 10/25/361 | | | 50,469,257 | | | | 14,438,654 | |
Impac CMB Trust, | |
Series 2004-8, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.81%) | |
5.67% | | | | | | 10/25/341 | | | 26,866 | | | | 26,732 | |
Impac CMB Trust, | |
Series 2005-1, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.63%) | |
5.49% | | | | | | 04/25/351 | | | 1,199,857 | | | | 1,150,780 | |
Impac Secured Assets Trust, | |
Series 2006-3, Class A1 | |
(CME Term SOFR 1-Month plus 0.45%) | |
5.31% | | | | | | 11/25/361 | | | 3,324,314 | | | | 2,945,134 | |
Impac Secured Assets Trust, | |
Series 2006-5, Class 1A1C | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | | | | | 02/25/371 | | | 5,868,713 | | | | 5,237,979 | |
Impac Secured Assets Trust, | |
Series 2007-2, Class 1A1B | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | | | | | 05/25/371 | | | 27,034,630 | | | | 22,527,238 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR4, Class 1A | |
5.19% | | | | | | 08/25/347 | | | 547,153 | | | | 527,864 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR7, Class A2 | |
(CME Term SOFR 1-Month plus 0.97%) | |
5.83% | | | | | | 09/25/341 | | | 32,506 | | | | 28,355 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR1, Class 4A1 | |
4.79% | | | | | | 03/25/357 | | | 30,507 | | | | 30,096 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR19, Class A1 | |
3.85% | | | | | | 10/25/357 | | | 16,648,714 | | | | 13,485,400 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | | | | | 04/25/351 | | | 320,261 | | | | 257,177 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR19, Class 1A2 | |
4.03% | | | | | | 08/25/367 | | | 9,841,893 | | | | 6,334,472 | |
|
| See accompanying Notes to Financial Statements. |
|
| 127 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR27, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | | | | | 10/25/361 | | $ | 10,135,357 | | | $ | 9,189,363 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR35, Class 2A3A | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | | | | | 01/25/371 | | | 24,457,969 | | | | 21,641,465 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 1A1 | |
3.88% | | | | | | 05/25/367 | | | 2,424,268 | | | | 2,073,029 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 2A1 | |
3.94% | | | | | | 05/25/367 | | | 16,901,203 | | | | 11,636,123 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR1, Class 1A2 | |
4.01% | | | | | | 03/25/377 | | | 279,789 | | | | 217,412 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR11, Class 1A1 | |
3.23% | | | | | | 06/25/377 | | | 2,239,905 | | | | 1,953,712 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR7, Class 1A1 | |
3.60% | | | | | | 11/25/377 | | | 1,252,506 | | | | 1,044,410 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, | |
Series 1997-1, Class A3 | |
6.61% | | | | | | 02/25/28 | | | 13,566 | | | | 13,604 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-A2, Class 5A1 | |
4.42% | | | | | | 05/25/367 | | | 3,792,424 | | | | 2,181,766 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-WF1, Class A3A (STEP-reset date 11/25/24) | |
6.33% | | | | | | 07/25/36 | | | 27,274,117 | | | | 7,740,324 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-WF1, Class A6 (STEP-reset date 11/25/24) | |
6.50% | | | | | | 07/25/36 | | | 3,803,310 | | | | 1,078,883 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AF1 | |
(CME Term SOFR 1-Month plus 0.21%) | |
4.34% | | | | | | 03/25/471 | | | 97,103 | | | | 62,711 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-HE1, Class AF2 (STEP-reset date 11/25/24) | |
4.34% | | | | | | 03/25/47 | | | 6,352,299 | | | | 4,247,616 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-HE1, Class AF3 (STEP-reset date 11/25/24) | |
4.34% | | | | | | 05/25/35 | | | 5,346,235 | | | | 3,574,293 | |
JPMorgan Mortgage Acquisition Trust, | |
| Series 2007-HE1, Class AF4 (STEP-reset date 11/25/24) | |
4.34% | | | | | | 03/25/47 | | | 2,430,107 | | | | 1,624,098 | |
JPMorgan Mortgage Acquisition Trust, | |
Series 2007-HE1, Class AV4 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 03/25/471 | | | 240,000 | | | | 228,478 | |
JPMorgan Mortgage Trust, | |
Series 2003-A2, Class 2A3 | |
5.84% | | | | | | 11/25/337 | | | 38,101 | | | | 35,749 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Trust, | |
Series 2004-A4, Class 1A3 | |
7.80% | | | | | | 09/25/347 | | $ | 75,668 | | | $ | 71,838 | |
JPMorgan Mortgage Trust, | |
Series 2005-A5, Class TA1 | |
6.96% | | | | | | 08/25/357 | | | 34,430 | | | | 32,665 | |
JPMorgan Mortgage Trust, | |
Series 2005-S2, Class 4A3 | |
5.50% | | | | | | 09/25/20 | | | 1,603,731 | | | | 1,059,219 | |
JPMorgan Mortgage Trust, | |
Series 2006-A2, Class 5A3 | |
6.58% | | | | | | 11/25/337 | | | 774 | | | | 756 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 2A1 | |
4.93% | | | | | | 05/25/367 | | | 417,011 | | | | 356,612 | |
JPMorgan Mortgage Trust, | |
Series 2006-A3, Class 3A3 | |
4.50% | | | | | | 05/25/367 | | | 269,689 | | | | 221,877 | |
JPMorgan Mortgage Trust, | |
Series 2006-A4, Class 1A1 | |
5.34% | | | | | | 06/25/367 | | | 234,094 | | | | 165,441 | |
JPMorgan Mortgage Trust, | |
Series 2006-A4, Class 1A4 | |
5.34% | | | | | | 06/25/367 | | | 754,644 | | | | 533,330 | |
JPMorgan Mortgage Trust, | |
Series 2006-A5, Class 2A4 | |
5.70% | | | | | | 08/25/367 | | | 199,121 | | | | 160,032 | |
JPMorgan Mortgage Trust, | |
Series 2007-A1, Class 5A2 | |
5.70% | | | | | | 07/25/357 | | | 428,586 | | | | 432,938 | |
JPMorgan Mortgage Trust, | |
Series 2007-A3, Class 2A3 | |
5.34% | | | | | | 05/25/377 | | | 1,039,514 | | | | 862,643 | |
JPMorgan Mortgage Trust, | |
Series 2007-A3, Class 3A2 | |
5.02% | | | | | | 05/25/377 | | | 175,765 | | | | 154,438 | |
JPMorgan Mortgage Trust, | |
Series 2007-A4, Class 1A1 | |
4.76% | | | | | | 06/25/377 | | | 1,553,307 | | | | 1,212,569 | |
JPMorgan Mortgage Trust, | |
Series 2007-A4, Class 2A3 | |
5.08% | | | | | | 06/25/377 | | | 206,731 | | | | 163,329 | |
JPMorgan Mortgage Trust, | |
Series 2021-13, Class A3A | |
2.00% | | | | | | 04/25/522,7 | | | 44,229,336 | | | | 35,716,241 | |
JPMorgan Mortgage Trust, | |
Series 2021-14, Class A3A | |
2.00% | | | | | | 05/25/522,7 | | | 33,737,572 | | | | 26,574,546 | |
Lehman ABS Mortgage Loan Trust, | |
Series 2007-1, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | | | | | 06/25/371,2 | | | 166,452 | | | | 112,168 | |
Lehman XS Trust, | |
Series 2005-5N, Class 3A1A | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | | | | 11/25/351 | | | 863,612 | | | | 855,550 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 128 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Lehman XS Trust, | |
Series 2005-7N, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | | | | | 12/25/351 | | $ | 222,510 | | | $ | 203,631 | |
Lehman XS Trust, | |
Series 2006-12N, Class A31A | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | | | | | 08/25/461 | | | 6,549,057 | | | | 6,496,575 | |
Lehman XS Trust, | |
Series 2006-14N, Class 3A2 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | | | | | 08/25/361 | | | 22,035 | | | | 22,599 | |
Lehman XS Trust, | |
Series 2006-5, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | | | | | 04/25/361 | | | 16,968,046 | | | | 14,314,458 | |
Lehman XS Trust, | |
Series 2006-8, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.27%) | |
5.08% | | | | | | 06/25/361 | | | 21,916,189 | | | | 19,008,266 | |
Lehman XS Trust, | |
Series 2007-4N, Class 1A3 | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | | | | | 03/25/471 | | | 12,750,494 | | | | 10,934,163 | |
Long Beach Mortgage Loan Trust, | |
Series 2004-4, Class M1 | |
(CME Term SOFR 1-Month plus 1.01%) | |
5.87% | | | | | | 10/25/341 | | | 43,678 | | | | 42,074 | |
Luminent Mortgage Trust, | |
Series 2006-5, Class A1A | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | | | | | 07/25/361 | | | 25,203,818 | | | | 15,893,694 | |
Luminent Mortgage Trust, | |
Series 2006-6, Class A1 | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | | | | | 10/25/461 | | | 8,503,894 | | | | 7,687,129 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
4.36% | | | | | | 01/25/347 | | | 10,033 | | | | 9,774 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
6.41% | | | | | | 11/25/337 | | | 236,613 | | | | 232,817 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
6.43% | | | | | | 11/21/347 | | | 1,325,222 | | | | 1,266,055 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-8, Class 2A1 | |
5.67% | | | | | | 09/25/347 | | | 1,064,418 | | | | 1,022,137 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2006-2, Class 5A1 | |
5.22% | | | | | | 05/25/367 | | | 4,624,864 | | | | 1,692,465 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-1, Class I1A | |
(CME Term SOFR 1-Month plus 0.50%) | |
5.36% | | | | | | 01/25/471 | | | 78,761,325 | | | | 33,811,638 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A3 | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | | | | 11/25/361 | | $ | 11,945,338 | | | $ | 3,753,316 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A4 | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | | | | | 11/25/361 | | | 3,318,149 | | | | 1,042,396 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A3 | |
(CME Term SOFR 1-Month plus 0.32%) | |
5.18% | | | | | | 05/25/371 | | | 10,224,694 | | | | 9,876,838 | |
MASTR Seasoned Securitization Trust, | |
Series 2004-1, Class 4A1 | |
7.25% | | | | | | 10/25/327 | | | 6,496 | | | | 6,389 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 04/25/371 | | | 121,691,902 | | | | 54,766,990 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A2B | |
(CME Term SOFR 1-Month plus 0.45%) | |
5.31% | | | | | | 04/25/371 | | | 24,596,188 | | | | 9,782,076 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A2C | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | | | | | 04/25/371 | | | 51,525,126 | | | | 20,648,169 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-2, Class A2C | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | | | | | 05/25/371 | | | 24,881,145 | | | | 17,924,287 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-2, Class A2D | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | | | | | 05/25/371 | | | 12,287,390 | | | | 8,877,906 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-3, Class A2C | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | | | | | 06/25/371 | | | 4,129,025 | | | | 4,115,695 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-3, Class A2D | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | | | | | 06/25/371 | | | 6,153,676 | | | | 6,153,432 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-4, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | | | | | 07/25/371 | | | 9,667,975 | | | | 9,505,754 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-4, Class 2A3 | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | | | | | 07/25/371 | | | 7,086,866 | | | | 6,996,446 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A6, Class 2A | |
7.05% | | | | | | 10/25/337 | | | 125,703 | | | | 122,719 | |
|
| See accompanying Notes to Financial Statements. |
|
| 129 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2004-A4, Class A1 | |
5.82% | | | | | | 08/25/347 | | $ | 483,278 | | | $ | 457,432 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2005-A10, Class A | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | | | | | 02/25/361 | | | 3,647 | | | | 3,563 | |
Merrill Lynch Mortgage Investors Trust, | |
| Series 2006-WMC2, Class A2B (STEP-reset date 11/25/24) | |
3.94% | | | | | | 03/25/37 | | | 26,670,643 | | | | 5,672,163 | |
Merrill Lynch Mortgage Investors Trust, | |
| Series 2006-WMC2, Class A2D (STEP-reset date 11/25/24) | |
3.94% | | | | | | 03/25/37 | | | 20,874,194 | | | | 4,434,583 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2007-2, Class 1A1 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.40%) | |
6.78% | | | | | | 08/25/361 | | | 1,427,682 | | | | 1,270,430 | |
Mid-State Capital Corp. Trust, | |
Series 2005-1, Class A | |
5.75% | | | | | | 01/15/40 | | | 3,524,100 | | | | 3,526,758 | |
Mid-State Capital Corp. Trust, | |
Series 2006-1, Class A | |
5.79% | | | | | | 10/15/402 | | | 4,713,572 | | | | 4,751,112 | |
Mid-State Trust XI, | |
Series 11, Class A1 | |
4.86% | | | | | | 07/15/38 | | | 65,001 | | | | 64,727 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-11AR, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | | | | | 01/25/351 | | | 55,427 | | | | 52,217 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
5.76% | | | | | | 09/25/347 | | | 218,456 | | | | 213,069 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2005-2AR, Class A | |
(CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | | | | | 04/25/351 | | | 562,667 | | | | 563,279 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-7, Class 5A2 | |
5.96% | | | | | | 06/25/367 | | | 652,123 | | | | 189,723 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-7AX, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | | | | | 04/25/371 | | | 4,023,794 | | | | 1,106,905 | |
Mortgage Funding PLC, | |
Series 2008-1, Class A3 | |
(United Kingdom) | |
(SONIA plus 1.22%) | |
6.20% | | | | | | 03/13/461,3 | | | 9,900,000 | | | | 13,225,900 | |
MortgageIT Trust, | |
Series 2005-1, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | | | | | 02/25/351 | | | 1,255,122 | | | | 1,273,251 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
MortgageIT Trust, | |
Series 2005-4, Class A1 | |
(CME Term SOFR 1-Month plus 0.67%) | |
5.53% | | | | | | 10/25/351 | | $ | 1,226,447 | | | $ | 1,211,326 | |
MortgageIT Trust, | |
Series 2005-5, Class A1 | |
(CME Term SOFR 1-Month plus 0.63%) | |
5.49% | | | | | | 12/25/351 | | | 277,450 | | | | 271,973 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-C, Class 2AV4 | |
(CME Term SOFR 1-Month plus 0.36%) | |
5.22% | | | | | | 06/25/371 | | | 3,661,001 | | | | 3,548,281 | |
New Century Home Equity Loan Trust, | |
Series 2005-1, Class M1 | |
(CME Term SOFR 1-Month plus 0.79%) | |
5.64% | | | | | | 03/25/351 | | | 42,983 | | | | 44,235 | |
NLT Trust, | |
Series 2021-INV3, Class PT | |
0.00% | | | | | | 11/25/562,7 | | | 146,536,168 | | | | 139,498,329 | |
Oakwood Mortgage Investors, Inc., | |
Series 2000-A, Class A5 | |
8.16% | | | | | | 09/15/297 | | | 20,571,005 | | | | 3,648,619 | |
OBX Trust, | |
Series 2021-J3, Class A1 | |
2.50% | | | | | | 10/25/512,7 | | | 38,423,308 | | | | 32,413,999 | |
OBX Trust, | |
Series 2021-NQM4, Class A1 | |
1.96% | | | | | | 10/25/612,7 | | | 4,506,556 | | | | 3,883,260 | |
Ownit Mortgage Loan Trust, | |
Series 2006-4, Class A1 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.67% | | | | | | 05/25/371 | | | 3,838,691 | | | | 3,764,749 | |
Ownit Mortgage Loan Trust, | |
Series 2006-4, Class A2D | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.87% | | | | | | 05/25/371 | | | 14,219,298 | | | | 11,554,597 | |
Popular ABS Mortgage Pass-Through Trust, | |
| Series 2005-6, Class A5 (STEP-reset date 11/25/24) | |
3.33% | | | | | | 01/25/36 | | | 16,719,289 | | | | 15,564,800 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
(CME Term SOFR 1-Month plus 0.42%) | |
5.28% | | | | | | 06/25/471 | | | 18,677,636 | | | | 17,403,567 | |
Popular ABS, Inc., | |
| Series 1998-1, Class A2 (STEP-reset date 11/25/24) | |
7.48% | | | | | | 11/25/29 | | | 44,357 | | | | 42,717 | |
PRET LLC, | |
| Series 2022-RN2, Class A1 (STEP-reset date 10/25/24) | |
5.00% | | | | | | 06/25/522 | | | 179,809,748 | | | | 178,721,413 | |
PRPM LLC, | |
Series 2022-3, Class A1 (STEP-reset date 10/25/24) | |
5.56% | | | | | | 06/25/272 | | | 26,930,197 | | | | 26,880,193 | |
PRPM LLC, | |
Series 2022-4, Class A1 (STEP-reset date 10/25/24) | |
5.00% | | | | | | 08/25/272 | | | 51,466,981 | | | | 51,208,946 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 130 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans Trust, | |
Series 2005-QA4, Class A41 | |
4.63% | | | | | | 04/25/357 | | $ | 5,893 | | | $ | 5,869 | |
Residential Accredit Loans Trust, | |
Series 2005-QO5, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | |
6.12% | | | | | | 01/25/461 | | | 3,218,989 | | | | 2,593,154 | |
Residential Accredit Loans Trust, | |
Series 2006-QA1, Class A11 | |
5.46% | | | | | | 01/25/367 | | | 89,748 | | | | 68,428 | |
Residential Accredit Loans Trust, | |
Series 2006-QA1, Class A21 | |
5.24% | | | | | | 01/25/367 | | | 7,627,640 | | | | 5,621,609 | |
Residential Accredit Loans Trust, | |
Series 2006-QA7, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.48%) | |
5.34% | | | | | | 08/25/361 | | | 12,535,950 | | | | 11,381,082 | |
Residential Accredit Loans Trust, | |
Series 2006-QS10, Class AV (IO) | |
0.56% | | | | | | 08/25/364,5,7 | | | 11,328,825 | | | | 200,014 | |
Residential Accredit Loans Trust, | |
Series 2006-QS12, Class 2A9 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | | | | | 09/25/361 | | | 115,301 | | | | 80,148 | |
Residential Accredit Loans Trust, | |
Series 2006-QS2, Class 1AV (IO) | |
0.47% | | | | | | 02/25/364,5,7 | | | 41,606,250 | | | | 537,636 | |
Residential Accredit Loans Trust, | |
Series 2006-QS7, Class AV (IO) | |
0.72% | | | | | | 06/25/364,5,7 | | | 18,371,329 | | | | 366,232 | |
Residential Accredit Loans Trust, | |
Series 2006-QS8, Class AV (IO) | |
0.78% | | | | | | 08/25/364,5,7 | | | 46,086,327 | | | | 1,358,828 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 2A4 | |
(CME Term SOFR 1-Month plus 0.66%) | |
5.52% | | | | | | 01/25/371 | | | 8,607,339 | | | | 5,793,467 | |
Residential Accredit Loans Trust, | |
Series 2007-QS10, Class AV (IO) | |
0.48% | | | | | | 09/25/374,5,7 | | | 35,921,325 | | | | 647,148 | |
Residential Accredit Loans Trust, | |
Series 2007-QS4, Class 3AV (IO) | |
0.36% | | | | | | 03/25/374,5,7 | | | 22,297,687 | | | | 246,095 | |
Residential Accredit Loans Trust, | |
Series 2007-QS5, Class AV (IO) | |
0.28% | | | | | | 03/25/374,5,7 | | | 24,774,710 | | | | 297,653 | |
Residential Accredit Loans Trust, | |
Series 2007-QS6, Class AV (IO) | |
0.34% | | | | | | 04/25/374,5,7 | | | 54,168,382 | | | | 467,273 | |
Residential Accredit Loans Trust, | |
Series 2007-QS7, Class 2AV (IO) | |
0.38% | | | | | | 06/25/374,5,7 | | | 20,599,440 | | | | 212,697 | |
Residential Accredit Loans Trust, | |
Series 2007-QS8, Class AV (IO) | |
0.43% | | | | | | 06/25/374,5,7 | | | 48,313,402 | | | | 638,476 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Residential Asset Mortgage Products Trust, | |
Series 2004-SL3, Class A4 | |
8.50% | | | | | | 12/25/31 | | $ | 10,530 | | | $ | 4,977 | |
Residential Asset Securities Corp., | |
Series 2006-KS3, Class M1 | |
(CME Term SOFR 1-Month plus 0.44%) | |
5.46% | | | | | | 04/25/361 | | | 159,510 | | | | 157,907 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 1A1 | |
6.21% | | | | | | 12/25/347 | | | 118,027 | | | | 118,503 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 2A1 | |
4.00% | | | | | | 12/25/347 | | | 9,472 | | | | 8,558 | |
Residential Asset Securitization Trust, | |
Series 2004-IP2, Class 3A1 | |
6.83% | | | | | | 12/25/347 | | | 232,515 | | | | 225,254 | |
Residential Asset Securitization Trust, | |
Series 2006-A7CB, Class 1A3 | |
6.25% | | | | | | 07/25/36 | | | 1,471,666 | | | | 1,148,576 | |
Residential Funding Mortgage Securities Trust, | |
Series 2005-SA5, Class 1A | |
3.91% | | | | | | 11/25/357 | | | 1,767,291 | | | | 974,425 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-SA3, Class 3A1 | |
6.11% | | | | | | 09/25/367 | | | 109,111 | | | | 98,436 | |
Residential Funding Mortgage Securities Trust, | |
Series 2006-SA4, Class 2A1 | |
5.56% | | | | | | 11/25/367 | | | 30,616 | | | | 25,528 | |
Residential Funding Mortgage Securities Trust, | |
Series 2007-SA2, Class 2A2 | |
5.44% | | | | | | 04/25/377 | | | 745,537 | | | | 641,137 | |
Saxon Asset Securities Trust, | |
| Series 2001-2, Class AF6 (STEP-reset date 11/25/24) | |
6.81% | | | | | | 06/25/16 | | | 3 | | | | 3 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2C | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | | | | | 05/25/471 | | | 147,728 | | | | 106,285 | |
Securitized Asset-Backed Receivables LLC Trust, | |
| Series 2006-CB1, Class AF2 (STEP-reset date 11/25/24) | |
2.83% | | | | | | 01/25/36 | | | 5,244,998 | | | | 4,476,241 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-CB5, Class A3 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 06/25/361 | | | 179,567 | | | | 120,863 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR1, Class A2A | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | | | | | 02/25/371 | | | 5,019,118 | | | | 2,211,298 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR1, Class A2B | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | | | | | 02/25/371 | | | 24,846,202 | | | | 10,940,874 | |
|
| See accompanying Notes to Financial Statements. |
|
| 131 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR2, Class A2 | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | | | | | 02/25/371 | | $ | 32,152,623 | | | $ | 13,729,508 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR5, Class A2A | |
(CME Term SOFR 1-Month plus 0.24%) | |
5.10% | | | | | | 05/25/371 | | | 10,426,849 | | | | 7,937,238 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR5, Class A2C | |
(CME Term SOFR 1-Month plus 0.46%) | |
5.32% | | | | | | 05/25/371 | | | 7,863,839 | | | | 5,985,891 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC1, Class A2B | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | | | | | 12/25/361 | | | 24,717,769 | | | | 12,118,514 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC2, Class A2B | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | | | | | 01/25/371 | | | 12,066,296 | | | | 10,479,701 | |
Sequoia Mortgage Trust, | |
Series 2003-8, Class A1 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.72% | | | | | | 01/20/341 | | | 377 | | | | 362 | |
Sequoia Mortgage Trust, | |
Series 2004-3, Class A | |
(TSFR6M plus 0.93%) | |
6.23% | | | | | | 05/20/341 | | | 13,465 | | | | 13,555 | |
Sequoia Mortgage Trust, | |
Series 2004-4, Class A | |
(TSFR6M plus 0.95%) | |
6.25% | | | | | | 05/20/341 | | | 43,934 | | | | 41,760 | |
SG Mortgage Securities Trust, | |
Series 2007-NC1, Class A2 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | | | | | 12/25/361,2 | | | 11,336,787 | | | | 6,742,595 | |
Soundview Home Loan Trust, | |
Series 2005-OPT1, Class M2 | |
(CME Term SOFR 1-Month plus 0.79%) | |
5.64% | | | | | | 06/25/351 | | | 3,071,399 | | | | 3,017,668 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-1, Class 3A3 | |
6.36% | | | | | | 02/25/347 | | | 5,072 | | | | 4,821 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-12, Class 2A | |
5.60% | | | | | | 09/25/347 | | | 1,358,553 | | | | 1,322,326 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-14, Class 1A | |
5.82% | | | | | | 10/25/347 | | | 17,143 | | | | 16,287 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-14, Class 2A | |
6.27% | | | | | | 10/25/347 | | | 1,918,825 | | | | 1,890,730 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-15, Class A | |
6.28% | | | | | | 10/25/347 | | | 1,088,044 | | | | 956,825 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-17, Class A1 | |
4.61% | | | | | | 11/25/347 | | $ | 20,250 | | | $ | 18,365 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-20, Class 1A2 | |
5.28% | | | | | | 01/25/357 | | | 236,348 | | | | 222,498 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-12, Class 3A1 | |
5.63% | | | | | | 06/25/357 | | | 251,435 | | | | 221,224 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-18, Class 7A3 | |
4.76% | | | | | | 09/25/357 | | | 8,719,082 | | | | 4,741,632 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2006-12, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | | | | | 01/25/371 | | | 12,802,091 | | | | 11,264,908 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2005-AR8, Class A1A | |
(CME Term SOFR 1-Month plus 0.67%) | |
5.53% | | | | | | 02/25/361 | | | 212,906 | | | | 178,054 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2005-AR8, Class A3 | |
| (Federal Reserve US 12-Month Cumulative Average plus 2.00%) | |
7.06% | | | | | | 02/25/361 | | | 6,867,942 | | | | 5,860,228 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR7, Class A1A | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | | | | | 08/25/361 | | | 8,892,839 | | | | 7,327,738 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR8, Class A1BG | |
(CME Term SOFR 1-Month plus 0.23%) | |
5.09% | | | | | | 10/25/361 | | | 7,667,520 | | | | 6,754,816 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2007-AR6, Class A1 | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.50%) | |
6.62% | | | | | | 08/25/471 | | | 75,187,414 | | | | 62,765,054 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | |
Series 1997-2, Class 2A4 | |
7.25% | | | | | | 03/28/30 | | | 90 | | | | 94 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | |
Series 2003-26A, Class 3A5 | |
6.46% | | | | | | 09/25/337 | | | 62,999 | | | | 61,295 | |
Structured Asset Securities Corp. Trust, | |
Series 2005-5, Class 2A4 | |
5.50% | | | | | | 04/25/35 | | | 739,582 | | | | 707,039 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-3, Class 1A1 | |
6.76% | | | | | | 06/25/377 | | | 962,531 | | | | 490,250 | |
Thornburg Mortgage Securities Trust, | |
Series 2004-4, Class 2A | |
5.22% | | | | | | 12/25/447 | | | 53,954 | | | | 51,043 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 132 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
Wachovia Mortgage Loan Trust, | |
Series 2006-ALT1, Class A3 | |
(CME Term SOFR 1-Month plus 0.57%) | |
1.78% | | | | | | 01/25/371 | | $ | 9,370,644 | | | $ | 3,558,350 | |
Wachovia Mortgage Loan Trust, | |
Series 2006-AMN1, Class A3 | |
(CME Term SOFR 1-Month plus 0.59%) | |
1.93% | | | | | | 08/25/361 | | | 14,607,765 | | | | 5,070,560 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | | | | | 01/25/371 | | | 2,752,268 | | | | 1,286,399 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A4 | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | | | | | 01/25/371 | | | 8,528,543 | | | | 3,993,937 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-AR6, Class A1 | |
7.27% | | | | | | 06/25/337 | | | 1,037,445 | | | | 1,018,928 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR3, Class A2 | |
5.71% | | | | | | 06/25/347 | | | 11,610 | | | | 10,762 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-3, Class 2A3 | |
(CME Term SOFR 1-Month plus 0.66%) | |
5.50% | | | | | | 05/25/351 | | | 1,070,284 | | | | 813,535 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-4, Class CB13 | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | | | | | 06/25/351 | | | 2,327,256 | | | | 1,966,033 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR1, Class A1A | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | | | | | 01/25/451 | | | 277,415 | | | | 272,953 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
(CME Term SOFR 1-Month plus 0.69%) | |
5.55% | | | | | | 10/25/451 | | | 1,754,473 | | | | 1,722,452 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
4.85% | | | | | | 12/25/357 | | | 1,128,223 | | | | 1,033,164 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR15, Class A1A1 | |
(CME Term SOFR 1-Month plus 0.63%) | |
5.49% | | | | | | 11/25/451 | | | 12,780,204 | | | | 12,104,227 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR17, Class A1A1 | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | | | | | 12/25/451 | | | 5,617,159 | | | | 5,087,570 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR19, Class A1A2 | |
(CME Term SOFR 1-Month plus 0.69%) | |
5.55% | | | | | | 12/25/451 | | | 5,103,770 | | | | 5,099,980 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
|
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.73%) | |
5.59% | | | | | | 01/25/451 | | $ | 304,723 | | | $ | 307,483 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(CME Term SOFR 1-Month plus 0.77%) | |
5.63% | | | | | | 01/25/451 | | | 25,915 | | | | 26,064 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A23 | |
(CME Term SOFR 1-Month plus 0.87%) | |
5.73% | | | | | | 01/25/451 | | | 1,082,070 | | | | 1,091,936 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR6, Class 2A1A | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | | | | | 04/25/451 | | | 50,937 | | | | 51,245 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR8, Class 1A1A | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | | | | | 07/25/451 | | | 52,915 | | | | 51,067 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR10, Class 1A4 | |
4.92% | | | | | | 09/25/367 | | | 5,728,058 | | | | 4,860,150 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR16, Class 3A1 | |
4.06% | | | | | | 12/25/367 | | | 344,292 | | | | 305,899 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | |
6.12% | | | | | | 02/25/461 | | | 7,464,505 | | | | 6,892,544 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.94%) | |
4.52% | | | | | | 05/25/461 | | | 2,545,381 | | | | 2,347,644 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | |
6.10% | | | | | | 07/25/461 | | | 4,343,690 | | | | 4,005,686 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY7, Class 4A2 | |
5.06% | | | | | | 07/25/377 | | | 133,344 | | | | 118,851 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OA1, Class A1A | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.70%) | |
5.82% | | | | | | 02/25/471 | | | 6,954,975 | | | | 6,030,601 | |
WaMu MSC Mortgage Pass-Through Certificates, | |
Series 2002-AR1, Class 1A1 | |
6.58% | | | | | | 11/25/307 | | | 42,256 | | | | 42,614 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | | | | | 11/25/37 | | | 66,127 | | | | 58,633 | |
|
| See accompanying Notes to Financial Statements. |
|
| 133 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR1, Class 1A1 | |
6.51% | | | | | | 03/25/367 | | $ | 1,061,290 | | | $ | 1,042,009 | |
| | | | | | | | | | | | | | |
| | | | 4,723,955,417 | |
| | | | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 0.71% | |
Ginnie Mae, | |
Series 2020-193, Class AC | |
1.25% | | | | | | 09/16/62 | | | 32,699,463 | | | | 24,794,192 | |
Ginnie Mae, | |
Series 2020-193, Class IO (IO) | |
0.78% | | | | | | 09/16/627 | | | 547,724,457 | | | | 29,976,247 | |
Ginnie Mae, | |
Series 2021-10, Class IO (IO) | |
0.99% | | | | | | 05/16/637 | | | 59,831,626 | | | | 4,365,950 | |
Ginnie Mae, | |
Series 2021-14, Class AB | |
1.34% | | | | | | 06/16/63 | | | 41,723,879 | | | | 31,922,556 | |
Ginnie Mae, | |
Series 2021-150, Class IO (IO) | |
1.03% | | | | | | 11/16/637 | | | 33,071,224 | | | | 2,260,263 | |
Ginnie Mae, | |
Series 2021-17, Class IO (IO) | |
1.05% | | | | | | 01/16/617 | | | 131,972,780 | | | | 10,311,350 | |
Ginnie Mae, | |
Series 2021-2, Class AH | |
1.50% | | | | | | 06/16/63 | | | 97,135,125 | | | | 75,320,936 | |
Ginnie Mae, | |
Series 2021-21, Class AH | |
1.40% | | | | | | 06/16/63 | | | 66,910,279 | | | | 51,386,826 | |
Ginnie Mae, | |
Series 2021-31, Class B | |
1.25% | | | | | | 01/16/61 | | | 72,716,198 | | | | 54,864,269 | |
Ginnie Mae, | |
Series 2021-31, Class IO (IO) | |
0.94% | | | | | | 01/16/617 | | | 111,201,016 | | | | 7,714,693 | |
Ginnie Mae, | |
Series 2022-32, Class IO (IO) | |
0.53% | | | | | | 02/01/627 | | | 269,404,084 | | | | 11,236,440 | |
| | | | | | | | | | | | | | |
| | | | 304,153,722 | |
| | | | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 38.68% | |
Fannie Mae Pool 190375 | |
5.50% | | | | | | 11/01/36 | | | 279,059 | | | | 292,381 | |
Fannie Mae Pool 190396 | |
4.50% | | | | | | 06/01/39 | | | 3,952 | | | | 3,984 | |
Fannie Mae Pool 313182 | |
7.50% | | | | | | 10/01/26 | | | 153 | | | | 154 | |
Fannie Mae Pool 394854 | |
6.50% | | | | | | 05/01/27 | | | 110 | | | | 112 | |
Fannie Mae Pool 545191 | |
7.00% | | | | | | 09/01/31 | | | 1,096 | | | | 1,160 | |
Fannie Mae Pool 545756 | |
7.00% | | | | | | 06/01/32 | | | 229 | | | | 244 | |
Fannie Mae Pool 613142 | |
7.00% | | | | | | 11/01/31 | | | 4,323 | | | | 4,579 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool 625666 | |
7.00% | | | | | | 01/01/32 | | $ | 1,373 | | | $ | 1,454 | |
Fannie Mae Pool 633698 | |
7.50% | | | | | | 02/01/31 | | | 15,108 | | | | 16,204 | |
Fannie Mae Pool 655928 | |
7.00% | | | | | | 08/01/32 | | | 45,708 | | | | 48,757 | |
Fannie Mae Pool 725257 | |
5.50% | | | | | | 02/01/34 | | | 373,772 | | | | 388,508 | |
Fannie Mae Pool 734830 | |
4.50% | | | | | | 08/01/33 | | | 4,900 | | | | 4,937 | |
Fannie Mae Pool 734922 | |
4.50% | | | | | | 09/01/33 | | | 594,740 | | | | 604,189 | |
Fannie Mae Pool 735207 | |
7.00% | | | | | | 04/01/34 | | | 8,675 | | | | 9,253 | |
Fannie Mae Pool 735224 | |
5.50% | | | | | | 02/01/35 | | | 1,287,197 | | | | 1,340,034 | |
Fannie Mae Pool 735651 | |
4.50% | | | | | | 06/01/35 | | | 1,519,219 | | | | 1,531,014 | |
Fannie Mae Pool 740297 | |
5.50% | | | | | | 10/01/33 | | | 780 | | | | 811 | |
Fannie Mae Pool 745147 | |
4.50% | | | | | | 12/01/35 | | | 9,212 | | | | 9,284 | |
Fannie Mae Pool 753168 | |
4.50% | | | | | | 12/01/33 | | | 3,192 | | | | 3,216 | |
Fannie Mae Pool 815422 | |
4.50% | | | | | | 02/01/35 | | | 16,999 | | | | 17,131 | |
Fannie Mae Pool 839109 | |
(RFUCCT1Y plus 1.91%) | |
6.16% | | | | | | 11/01/351 | | | 3,001 | | | | 3,065 | |
Fannie Mae Pool 844773 | |
(RFUCCT1Y plus 1.56%) | |
5.81% | | | | | | 12/01/351 | | | 1,386 | | | | 1,403 | |
Fannie Mae Pool 888412 | |
7.00% | | | | | | 04/01/37 | | | 62,320 | | | | 68,875 | |
Fannie Mae Pool 889184 | |
5.50% | | | | | | 09/01/36 | | | 1,355,167 | | | | 1,408,828 | |
Fannie Mae Pool AB1613 | |
4.00% | | | | | | 10/01/40 | | | 13,032,735 | | | | 12,928,006 | |
Fannie Mae Pool AB1803 | |
4.00% | | | | | | 11/01/40 | | | 15,599,982 | | | | 15,497,119 | |
Fannie Mae Pool AB3679 | |
3.50% | | | | | | 10/01/41 | | | 5,427,386 | | | | 5,225,795 | |
Fannie Mae Pool AB3864 | |
3.50% | | | | | | 11/01/41 | | | 4,105,368 | | | | 3,958,342 | |
Fannie Mae Pool AB4045 | |
3.50% | | | | | | 12/01/41 | | | 5,237,746 | | | | 5,057,610 | |
Fannie Mae Pool AB4262 | |
3.50% | | | | | | 01/01/32 | | | 2,328,085 | | | | 2,293,012 | |
Fannie Mae Pool AB6385 | |
3.00% | | | | | | 10/01/42 | | | 188,106 | | | | 173,807 | |
Fannie Mae Pool AB9703 | |
3.50% | | | | | | 06/01/43 | | | 9,640,556 | | | | 9,181,906 | |
Fannie Mae Pool AC8279 | |
4.50% | | | | | | 08/01/39 | | | 5,741 | | | | 5,788 | |
Fannie Mae Pool AE0138 | |
4.50% | | | | | | 03/01/40 | | | 22,516 | | | | 22,750 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 134 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AE0482 | |
5.50% | | | | 01/01/38 | | $ | 3,067,464 | | | $ | 3,188,927 | |
Fannie Mae Pool AH3780 | |
4.00% | | | | 02/01/41 | | | 6,130,003 | | | | 6,089,583 | |
Fannie Mae Pool AJ1404 | |
4.00% | | | | 09/01/41 | | | 8,009,013 | | | | 7,912,889 | |
Fannie Mae Pool AL0209 | |
4.50% | | | | 05/01/41 | | | 9,398,745 | | | | 9,521,770 | |
Fannie Mae Pool AL0851 | |
6.00% | | | | 10/01/40 | | | 5,379,556 | | | | 5,748,547 | |
Fannie Mae Pool AL2521 | |
3.50% | | | | 09/01/42 | | | 62,476 | | | | 59,608 | |
Fannie Mae Pool AL4597 | |
4.00% | | | | 01/01/44 | | | 24,845,232 | | | | 24,550,755 | |
Fannie Mae Pool AL6348 | |
3.50% | | | | 02/01/45 | | | 21,817 | | | | 20,779 | |
Fannie Mae Pool AL7092 | |
3.00% | | | | 07/01/45 | | | 34,535 | | | | 31,913 | |
Fannie Mae Pool AL8037 | |
4.50% | | | | 07/01/34 | | | 67,512 | | | | 68,169 | |
Fannie Mae Pool AL8256 | |
3.00% | | | | 08/01/43 | | | 313,254 | | | | 291,361 | |
Fannie Mae Pool AL8356 | |
4.50% | | | | 07/01/34 | | | 158,605 | | | | 159,795 | |
Fannie Mae Pool AL8960 | |
4.50% | | | | 05/01/46 | | | 14,656,509 | | | | 14,710,640 | |
Fannie Mae Pool AL9106 | |
4.50% | | | | 02/01/46 | | | 18,626,454 | | | | 18,695,246 | |
Fannie Mae Pool AL9217 | |
3.50% | | | | 10/01/46 | | | 13,361,838 | | | | 12,721,379 | |
Fannie Mae Pool AL9472 | |
4.00% | | | | 10/01/43 | | | 3,055,252 | | | | 3,011,720 | |
Fannie Mae Pool AL9722 | |
4.50% | | | | 08/01/46 | | | 61,232,487 | | | | 61,458,635 | |
Fannie Mae Pool AL9846 | |
4.50% | | | | 02/01/47 | | | 64,186,467 | | | | 64,423,525 | |
Fannie Mae Pool AS8663 | |
4.50% | | | | 01/01/47 | | | 10,844,728 | | | | 10,865,619 | |
Fannie Mae Pool AS9830 | |
4.00% | | | | 06/01/47 | | | 20,325,526 | | | | 19,801,294 | |
Fannie Mae Pool AS9972 | |
4.00% | | | | 07/01/47 | | | 18,633,275 | | | | 18,152,689 | |
Fannie Mae Pool AT9649 | |
4.00% | | | | 07/01/43 | | | 104,463 | | | | 103,224 | |
Fannie Mae Pool AU3739 | |
3.50% | | | | 08/01/43 | | | 18,142,345 | | | | 17,468,936 | |
Fannie Mae Pool BD2450 | |
3.50% | | | | 01/01/47 | | | 37,708 | | | | 35,713 | |
Fannie Mae Pool BM5164 | |
4.00% | | | | 11/01/48 | | | 22,518,917 | | | | 22,012,440 | |
Fannie Mae Pool BM5507 | |
3.00% | | | | 09/01/48 | | | 4,996,816 | | | | 4,576,896 | |
Fannie Mae Pool BN4316 | |
4.00% | | | | 01/01/49 | | | 15,236 | | | | 14,925 | |
Fannie Mae Pool BQ6913 | |
2.00% | | | | 12/01/51 | | | 414,926,169 | | | | 343,680,554 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool BQ7006 | |
2.00% | | | | 01/01/52 | | $ | 99,685,236 | | | $ | 82,537,701 | |
Fannie Mae Pool BU1452 | |
2.00% | | | | 01/01/52 | | | 251,753,003 | | | | 208,291,135 | |
Fannie Mae Pool BV2994 | |
2.50% | | | | 04/01/52 | | | 2,512,297 | | | | 2,169,718 | |
Fannie Mae Pool BV8459 | |
3.00% | | | | 04/01/52 | | | 130,170,174 | | | | 117,089,079 | |
Fannie Mae Pool BW9897 | |
4.50% | | | | 10/01/52 | | | 84,559,429 | | | | 83,248,307 | |
Fannie Mae Pool CA0862 | |
3.50% | | | | 09/01/47 | | | 1,978,246 | | | | 1,869,266 | |
Fannie Mae Pool CA0996 | |
3.50% | | | | 01/01/48 | | | 27,237 | | | | 25,817 | |
Fannie Mae Pool CA1187 | |
3.50% | | | | 02/01/48 | | | 31,217,686 | | | | 29,497,187 | |
Fannie Mae Pool CA1191 | |
3.50% | | | | 11/01/47 | | | 2,312,117 | | | | 2,184,745 | |
Fannie Mae Pool CA1710 | |
4.50% | | | | 05/01/48 | | | 69,241 | | | | 69,079 | |
Fannie Mae Pool CA1711 | |
4.50% | | | | 05/01/48 | | | 6,647,050 | | | | 6,631,486 | |
Fannie Mae Pool CA2208 | |
4.50% | | | | 08/01/48 | | | 14,820,364 | | | | 14,785,660 | |
Fannie Mae Pool CA2327 | |
4.00% | | | | 09/01/48 | | | 20,962,115 | | | | 20,490,653 | |
Fannie Mae Pool CA2493 | |
4.50% | | | | 10/01/48 | | | 3,813,342 | | | | 3,804,412 | |
Fannie Mae Pool CA3633 | |
3.50% | | | | 06/01/49 | | | 15,056,788 | | | | 14,272,669 | |
Fannie Mae Pool CA4011 | |
3.50% | | | | 08/01/49 | | | 14,272,374 | | | | 13,256,222 | |
Fannie Mae Pool CA5689 | |
3.00% | | | | 05/01/50 | | | 52,036,677 | | | | 47,562,549 | |
Fannie Mae Pool CB0610 | |
2.50% | | | | 05/01/51 | | | 55,376,016 | | | | 48,358,786 | |
Fannie Mae Pool CB2313 | |
2.50% | | | | 12/01/51 | | | 138,603,461 | | | | 120,782,363 | |
Fannie Mae Pool CB2365 | |
2.00% | | | | 09/01/51 | | | 149,301,756 | | | | 123,758,226 | |
Fannie Mae Pool CB2767 | |
2.00% | | | | 01/01/52 | | | 66,560,949 | | | | 55,378,330 | |
Fannie Mae Pool CB3582 | |
3.00% | | | | 05/01/52 | | | 15,324,137 | | | | 13,848,935 | |
Fannie Mae Pool CB3619 | |
4.00% | | | | 05/01/52 | | | 149,619,548 | | | | 143,864,653 | |
Fannie Mae Pool CB5675 | |
4.50% | | | | 02/01/53 | | | 47,213,525 | | | | 46,505,144 | |
Fannie Mae Pool CB6854 | |
4.50% | | | | 08/01/53 | | | 34,447,478 | | | | 33,950,933 | |
Fannie Mae Pool FM2310 | |
3.00% | | | | 01/01/48 | | | 7,934,377 | | | | 7,263,538 | |
Fannie Mae Pool FM2318 | |
3.50% | | | | 09/01/49 | | | 133,136,600 | | | | 126,022,450 | |
Fannie Mae Pool FM2388 | |
3.50% | | | | 04/01/48 | | | 13,567,279 | | | | 12,895,948 | |
|
| See accompanying Notes to Financial Statements. |
|
| 135 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool FM9672 | |
2.50% | | | | 12/01/51 | | $ | 113,880,993 | | | $ | 98,348,806 | |
Fannie Mae Pool FS1571 | |
2.00% | | | | 04/01/52 | | | 34,844,770 | | | | 28,824,263 | |
Fannie Mae Pool FS1598 | |
2.00% | | | | 04/01/52 | | | 93,276,802 | | | | 77,160,362 | |
Fannie Mae Pool FS1622 | |
2.00% | | | | 03/01/52 | | | 184,659,999 | | | | 153,009,890 | |
Fannie Mae Pool FS2536 | |
2.50% | | | | 02/01/52 | | | 3,486,087 | | | | 3,019,075 | |
Fannie Mae Pool FS2943 | |
2.00% | | | | 02/01/51 | | | 38,360,940 | | | | 31,869,493 | |
Fannie Mae Pool FS3275 | |
3.00% | | | | 04/01/52 | | | 18,813,779 | | | | 16,931,974 | |
Fannie Mae Pool FS5494 | |
3.00% | | | | 07/01/52 | | | 147,081,380 | | | | 132,243,867 | |
Fannie Mae Pool FS5635 | |
4.00% | | | | 11/01/52 | | | 66,912,128 | | | | 64,296,574 | |
Fannie Mae Pool FS6789 | |
3.00% | | | | 12/01/52 | | | 71,667,244 | | | | 64,465,241 | |
Fannie Mae Pool FS7252 | |
5.00% | | | | 11/01/53 | | | 78,083,113 | | | | 78,055,642 | |
Fannie Mae Pool MA1146 | |
4.00% | | | | 08/01/42 | | | 15,293,684 | | | | 15,068,172 | |
Fannie Mae Pool MA1177 | |
3.50% | | | | 09/01/42 | | | 20,446,523 | | | | 19,483,168 | |
Fannie Mae Pool MA1404 | |
3.50% | | | | 04/01/43 | | | 42,778 | | | | 40,743 | |
Fannie Mae Pool MA1432 | |
3.00% | | | | 05/01/33 | | | 30,477 | | | | 29,454 | |
Fannie Mae Pool MA1459 | |
3.00% | | | | 06/01/33 | | | 14,468 | | | | 13,976 | |
Fannie Mae Pool MA1527 | |
3.00% | | | | 08/01/33 | | | 21,257,579 | | | | 20,530,196 | |
Fannie Mae Pool MA1561 | |
3.00% | | | | 09/01/33 | | | 13,534,629 | | | | 13,069,395 | |
Fannie Mae Pool MA1582 | |
3.50% | | | | 09/01/43 | | | 7,124,992 | | | | 6,786,020 | |
Fannie Mae Pool MA1584 | |
3.50% | | | | 09/01/33 | | | 20,068,533 | | | | 19,670,114 | |
Fannie Mae Pool MA1608 | |
3.50% | | | | 10/01/33 | | | 14,171,655 | | | | 13,890,490 | |
Fannie Mae Pool MA1982 | |
3.50% | | | | 08/01/34 | | | 28,573 | | | | 27,970 | |
Fannie Mae Pool MA2895 | |
3.00% | | | | 02/01/47 | | | 35,972 | | | | 32,949 | |
Fannie Mae Pool MA2960 | |
4.00% | | | | 04/01/47 | | | 17,425,242 | | | | 16,975,616 | |
Fannie Mae Pool MA3027 | |
4.00% | | | | 06/01/47 | | | 13,062,515 | | | | 12,725,461 | |
Fannie Mae Pool MA3120 | |
3.50% | | | | 09/01/47 | | | 1,014,071 | | | | 958,207 | |
Fannie Mae Pool MA3182 | |
3.50% | | | | 11/01/47 | | | 21,591,540 | | | | 20,402,086 | |
Fannie Mae Pool MA3210 | |
3.50% | | | | 12/01/47 | | | 37,459,742 | | | | 35,396,126 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool MA3238 | |
3.50% | | | | 01/01/48 | | $ | 32,384,636 | | | $ | 30,600,602 | |
Fannie Mae Pool MA3276 | |
3.50% | | | | 02/01/48 | | | 12,688,676 | | | | 11,989,671 | |
Fannie Mae Pool MA3305 | |
3.50% | | | | 03/01/48 | | | 16,925,762 | | | | 15,980,934 | |
Fannie Mae Pool MA3332 | |
3.50% | | | | 04/01/48 | | | 46,343,854 | | | | 43,756,853 | |
Fannie Mae Pool MA3537 | |
4.50% | | | | 12/01/48 | | | 8,765,072 | | | | 8,744,547 | |
Fannie Mae Pool MA3811 | |
3.00% | | | | 10/01/49 | | | 5,260,775 | | | | 4,687,480 | |
Fannie Mae Pool MA3846 | |
3.00% | | | | 11/01/49 | | | 28,723 | | | | 25,592 | |
Fannie Mae Pool MA3942 | |
3.00% | | | | 02/01/50 | | | 10,240,155 | | | | 9,124,230 | |
Fannie Mae Pool MA3997 | |
3.00% | | | | 04/01/50 | | | 12,709,907 | | | | 11,255,593 | |
Fannie Mae Pool MA4128 | |
2.00% | | | | 09/01/40 | | | 111,991,628 | | | | 97,745,128 | |
Fannie Mae Pool MA4158 | |
2.00% | | | | 10/01/50 | | | 159,831,832 | | | | 133,122,626 | |
Fannie Mae Pool MA4237 | |
2.00% | | | | 01/01/51 | | | 2,170,337 | | | | 1,801,365 | |
Fannie Mae Pool MA4281 | |
2.00% | | | | 03/01/51 | | | 35,275,579 | | | | 29,306,027 | |
Fannie Mae Pool MA4305 | |
2.00% | | | | 04/01/51 | | | 79,213,543 | | | | 65,783,975 | |
Fannie Mae Pool MA4333 | |
2.00% | | | | 05/01/41 | | | 65,046,834 | | | | 56,667,006 | |
Fannie Mae Pool MA4492 | |
2.00% | | | | 12/01/51 | | | 87,389,407 | | | | 72,356,961 | |
Fannie Mae Pool MA4493 | |
2.50% | | | | 12/01/51 | | | 140,049,550 | | | | 121,287,898 | |
Fannie Mae Pool MA4547 | |
2.00% | | | | 02/01/52 | | | 17,404,321 | | | | 14,399,692 | |
Fannie Mae Pool MA4548 | |
2.50% | | | | 02/01/52 | | | 165,226,752 | | | | 142,989,892 | |
Fannie Mae Pool MA4562 | |
2.00% | | | | 03/01/52 | | | 137,259,212 | | | | 113,543,457 | |
Fannie Mae Pool MA4563 | |
2.50% | | | | 03/01/52 | | | 202,070,874 | | | | 174,516,348 | |
Fannie Mae Pool MA4577 | |
2.00% | | | | 04/01/52 | | | 122,311,077 | | | | 101,178,072 | |
Fannie Mae Pool MA4578 | |
2.50% | | | | 04/01/52 | | | 328,815,931 | | | | 283,978,361 | |
Fannie Mae Pool MA4626 | |
4.00% | | | | 06/01/52 | | | 480,439,613 | | | | 461,957,106 | |
Fannie Mae Pool MA4701 | |
4.50% | | | | 08/01/52 | | | 54,913,909 | | | | 54,021,979 | |
Fannie Mae Pool MA4733 | |
4.50% | | | | 09/01/52 | | | 303,716,856 | | | | 298,814,505 | |
Fannie Mae Pool MA5038 | |
5.00% | | | | 06/01/53 | | | 236,180,326 | | | | 236,097,235 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 136 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 1999-11, Class Z | |
5.50% | | 03/25/29 | | $ | 6,367 | | | $ | 6,421 | |
Fannie Mae REMICS, | |
Series 2001-52, Class YZ | |
6.50% | | 10/25/31 | | | 44,888 | | | | 46,605 | |
Fannie Mae REMICS, | |
Series 2005-122, Class SG (IO) | |
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap) | |
1.21% | | 11/25/351 | | | 8,763 | | | | 171 | |
Fannie Mae REMICS, | |
Series 2005-92, Class US (IO) | |
(-1.00 X SOFR30A plus 5.99%, 6.10% Cap) | |
0.71% | | 10/25/251 | | | 7,270 | | | | 11 | |
Fannie Mae REMICS, | |
Series 2006-4, Class WE | |
4.50% | | 02/25/36 | | | 20,118 | | | | 20,229 | |
Fannie Mae REMICS, | |
Series 2006-49, Class SE | |
(-4.00 X SOFR30A plus 28.54%, 29.00% Cap) | |
7.42% | | 04/25/361 | | | 506,444 | | | | 564,658 | |
Fannie Mae REMICS, | |
Series 2007-17, Class SI (IO) | |
(-1.00 X SOFR30A plus 6.29%, 6.40% Cap) | |
1.01% | | 03/25/371 | | | 582,478 | | | | 43,549 | |
Fannie Mae REMICS, | |
Series 2007-34, Class SB (IO) | |
(-1.00 X SOFR30A plus 6.00%, 6.11% Cap) | |
0.72% | | 04/25/371 | | | 1,243,332 | | | | 117,323 | |
Fannie Mae REMICS, | |
Series 2007-64, Class FA | |
(SOFR30A plus 0.58%) | |
5.86% | | 07/25/371 | | | 1,779 | | | | 1,774 | |
Fannie Mae REMICS, | |
Series 2008-24, Class NA | |
6.75% | | 06/25/37 | | | 123,861 | | | | 130,980 | |
Fannie Mae REMICS, | |
Series 2010-116, Class SE (IO) | |
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap) | |
1.21% | | 10/25/401 | | | 1,566,675 | | | | 151,212 | |
Fannie Mae REMICS, | |
Series 2010-17, Class SB (IO) | |
(-1.00 X SOFR30A plus 6.24%, 6.35% Cap) | |
0.96% | | 03/25/401 | | | 3,261,648 | | | | 358,331 | |
Fannie Mae REMICS, | |
Series 2010-43, Class KS (IO) | |
(-1.00 X SOFR30A plus 6.31%, 6.42% Cap) | |
1.03% | | 05/25/401 | | | 5,773,308 | | | | 646,882 | |
Fannie Mae REMICS, | |
Series 2011-101, Class HE | |
4.00% | | 10/25/41 | | | 6,616,496 | | | | 6,606,416 | |
Fannie Mae REMICS, | |
Series 2011-111, Class DB | |
4.00% | | 11/25/41 | | | 6,279,821 | | | | 6,172,894 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2012-84, Class VZ | |
3.50% | | 08/25/42 | | $ | 5,297,166 | | | $ | 5,079,801 | |
Fannie Mae REMICS, | |
Series 2013-101, Class BO (PO) | |
0.00% | | 10/25/438 | | | 8,177,300 | | | | 6,330,078 | |
Fannie Mae REMICS, | |
Series 2013-101, Class CO (PO) | |
0.00% | | 10/25/438 | | | 4,855,688 | | | | 3,770,776 | |
Fannie Mae REMICS, | |
Series 2016-45, Class AF | |
(SOFR30A plus 0.61%) | |
5.89% | | 07/25/461 | | | 6,092,434 | | | | 6,019,428 | |
Fannie Mae REMICS, | |
Series 2016-72, Class FA | |
(SOFR30A plus 0.61%) | |
5.89% | | 10/25/461 | | | 12,578,802 | | | | 12,426,928 | |
Fannie Mae REMICS, | |
Series 2016-74, Class GF | |
(SOFR30A plus 0.61%) | |
5.89% | | 10/25/461 | | | 9,799,317 | | | | 9,682,473 | |
Fannie Mae REMICS, | |
Series 2016-75, Class FL | |
(SOFR30A plus 0.61%) | |
5.89% | | 10/25/461 | | | 9,759,548 | | | | 9,643,563 | |
Fannie Mae REMICS, | |
Series 2018-29, Class AP | |
3.50% | | 11/25/46 | | | 15,983,637 | | | | 15,787,779 | |
Fannie Mae REMICS, | |
Series 2018-38, Class LA | |
3.00% | | 06/25/48 | | | 12,161,438 | | | | 11,151,493 | |
Fannie Mae REMICS, | |
Series 2018-38, Class PA | |
3.50% | | 06/25/47 | | | 14,581 | | | | 14,287 | |
Fannie Mae REMICS, | |
Series 2018-45, Class GA | |
3.00% | | 06/25/48 | | | 13,664,994 | | | | 12,531,387 | |
Fannie Mae REMICS, | |
Series 2018-57, Class QA | |
3.50% | | 05/25/46 | | | 6,437 | | | | 6,388 | |
Fannie Mae REMICS, | |
Series 2018-86, Class JA | |
4.00% | | 05/25/47 | | | 425,255 | | | | 422,992 | |
Fannie Mae REMICS, | |
Series 2018-94, Class KD | |
3.50% | | 12/25/48 | | | 2,900,594 | | | | 2,724,754 | |
Fannie Mae REMICS, | |
Series 2019-1, Class AB | |
3.50% | | 02/25/49 | | | 1,127,191 | | | | 1,067,622 | |
Fannie Mae REMICS, | |
Series 2019-1, Class KP | |
3.25% | | 02/25/49 | | | 1,134,783 | | | | 1,060,322 | |
Fannie Mae REMICS, | |
Series 2019-26, Class JE | |
3.00% | | 06/25/49 | | | 3,281,616 | | | | 2,988,068 | |
|
| See accompanying Notes to Financial Statements. |
|
| 137 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, | |
Series 2019-45, Class PA | |
3.00% | | 08/25/49 | | $ | 12,923,163 | | | $ | 11,731,614 | |
Fannie Mae REMICS, | |
Series 2019-52, Class PA | |
3.00% | | 09/25/49 | | | 3,621,015 | | | | 3,309,424 | |
Fannie Mae REMICS, | |
Series 2019-67, Class FE | |
(SOFR30A plus 0.56%) | |
5.84% | | 11/25/491 | | | 24,378,439 | | | | 24,019,550 | |
Fannie Mae REMICS, | |
Series 2019-79, Class FA | |
(SOFR30A plus 0.61%) | |
5.89% | | 01/25/501 | | | 69,134 | | | | 68,308 | |
Fannie Mae Trust, | |
Series 2003-W2, Class 2A9 | |
5.90% | | 07/25/42 | | | 13,926 | | | | 14,116 | |
Freddie Mac Gold Pool A24156 | |
6.50% | | 10/01/31 | | | 28,941 | | | | 30,169 | |
Freddie Mac Gold Pool A25162 | |
5.50% | | 05/01/34 | | | 608,392 | | | | 633,131 | |
Freddie Mac Gold Pool A39012 | |
5.50% | | 06/01/35 | | | 14,973 | | | | 15,626 | |
Freddie Mac Gold Pool A54856 | |
5.00% | | 01/01/34 | | | 1,331,420 | | | | 1,364,043 | |
Freddie Mac Gold Pool A61164 | |
5.00% | | 04/01/36 | | | 4,217 | | | | 4,322 | |
Freddie Mac Gold Pool A97038 | |
4.00% | | 02/01/41 | | | 4,771,293 | | | | 4,719,201 | |
Freddie Mac Gold Pool C01492 | |
5.00% | | 02/01/33 | | | 162,427 | | | | 166,402 | |
Freddie Mac Gold Pool C04546 | |
3.00% | | 02/01/43 | | | 9,050,515 | | | | 8,407,926 | |
Freddie Mac Gold Pool C04573 | |
3.00% | | 03/01/43 | | | 11,094,309 | | | | 10,311,772 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | 09/01/29 | | | 2,873 | | | | 2,946 | |
Freddie Mac Gold Pool C55789 | |
7.50% | | 10/01/27 | | | 372 | | | | 373 | |
Freddie Mac Gold Pool G00992 | |
7.00% | | 11/01/28 | | | 185 | | | | 192 | |
Freddie Mac Gold Pool G01515 | |
5.00% | | 02/01/33 | | | 198,900 | | | | 203,768 | |
Freddie Mac Gold Pool G02579 | |
5.00% | | 12/01/34 | | | 313,703 | | | | 321,552 | |
Freddie Mac Gold Pool G02884 | |
6.00% | | 04/01/37 | | | 998,910 | | | | 1,068,328 | |
Freddie Mac Gold Pool G02955 | |
5.50% | | 03/01/37 | | | 1,451,596 | | | | 1,522,450 | |
Freddie Mac Gold Pool G03357 | |
5.50% | | 08/01/37 | | | 318,578 | | | | 334,253 | |
Freddie Mac Gold Pool G03676 | |
5.50% | | 12/01/37 | | | 973,921 | | | | 1,021,842 | |
Freddie Mac Gold Pool G03783 | |
5.50% | | 01/01/38 | | | 741,242 | | | | 777,712 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool G03985 | |
6.00% | | 03/01/38 | | $ | 5,118 | | | $ | 5,475 | |
Freddie Mac Gold Pool G04438 | |
5.50% | | 05/01/38 | | | 2,119,513 | | | | 2,226,067 | |
Freddie Mac Gold Pool G04703 | |
5.50% | | 08/01/38 | | | 1,650,874 | | | | 1,733,608 | |
Freddie Mac Gold Pool G04706 | |
5.50% | | 09/01/38 | | | 67,883 | | | | 71,294 | |
Freddie Mac Gold Pool G05866 | |
4.50% | | 02/01/40 | | | 6,906,311 | | | | 7,015,844 | |
Freddie Mac Gold Pool G06361 | |
4.00% | | 03/01/41 | | | 9,385 | | | | 9,333 | |
Freddie Mac Gold Pool G06498 | |
4.00% | | 04/01/41 | | | 9,349,004 | | | | 9,283,816 | |
Freddie Mac Gold Pool G06499 | |
4.00% | | 03/01/41 | | | 4,098,895 | | | | 4,057,038 | |
Freddie Mac Gold Pool G07408 | |
3.50% | | 06/01/43 | | | 10,147,040 | | | | 9,780,754 | |
Freddie Mac Gold Pool G07786 | |
4.00% | | 08/01/44 | | | 79,332,313 | | | | 78,440,680 | |
Freddie Mac Gold Pool G07848 | |
3.50% | | 04/01/44 | | | 49,660,434 | | | | 47,727,843 | |
Freddie Mac Gold Pool G07849 | |
3.50% | | 05/01/44 | | | 6,589,414 | | | | 6,306,795 | |
Freddie Mac Gold Pool G07924 | |
3.50% | | 01/01/45 | | | 7,339,232 | | | | 7,014,592 | |
Freddie Mac Gold Pool G07925 | |
4.00% | | 02/01/45 | | | 5,257,907 | | | | 5,195,796 | |
Freddie Mac Gold Pool G08676 | |
3.50% | | 11/01/45 | | | 17,988,340 | | | | 17,105,096 | |
Freddie Mac Gold Pool G08681 | |
3.50% | | 12/01/45 | | | 12,035,670 | | | | 11,444,708 | |
Freddie Mac Gold Pool G08698 | |
3.50% | | 03/01/46 | | | 621 | | | | 589 | |
Freddie Mac Gold Pool G08710 | |
3.00% | | 06/01/46 | | | 72,671,960 | | | | 66,639,400 | |
Freddie Mac Gold Pool G08711 | |
3.50% | | 06/01/46 | | | 5,116,113 | | | | 4,850,912 | |
Freddie Mac Gold Pool G08715 | |
3.00% | | 08/01/46 | | | 99,472,509 | | | | 91,215,214 | |
Freddie Mac Gold Pool G08721 | |
3.00% | | 09/01/46 | | | 10,058,976 | | | | 9,223,972 | |
Freddie Mac Gold Pool G08722 | |
3.50% | | 09/01/46 | | | 22,636,577 | | | | 21,463,179 | |
Freddie Mac Gold Pool G08726 | |
3.00% | | 10/01/46 | | | 108,147,653 | | | | 99,170,227 | |
Freddie Mac Gold Pool G08727 | |
3.50% | | 10/01/46 | | | 20,168,391 | | | | 19,122,935 | |
Freddie Mac Gold Pool G08732 | |
3.00% | | 11/01/46 | | | 66,570,438 | | | | 61,044,371 | |
Freddie Mac Gold Pool G08741 | |
3.00% | | 01/01/47 | | | 42,560,536 | | | | 39,027,550 | |
Freddie Mac Gold Pool G08742 | |
3.50% | | 01/01/47 | | | 32,388,532 | | | | 30,709,628 | |
Freddie Mac Gold Pool G08747 | |
3.00% | | 02/01/47 | | | 14,989,020 | | | | 13,744,769 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 138 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool G08757 | |
3.50% | | 04/01/47 | | $ | 11,817,912 | | | $ | 11,179,680 | |
Freddie Mac Gold Pool G08758 | |
4.00% | | 04/01/47 | | | 9,086 | | | | 8,861 | |
Freddie Mac Gold Pool G08762 | |
4.00% | | 05/01/47 | | | 9,083,602 | | | | 8,858,834 | |
Freddie Mac Gold Pool G08779 | |
3.50% | | 09/01/47 | | | 45,403 | | | | 42,951 | |
Freddie Mac Gold Pool G08784 | |
3.50% | | 10/01/47 | | | 40,160 | | | | 37,991 | |
Freddie Mac Gold Pool G08792 | |
3.50% | | 12/01/47 | | | 34,503 | | | | 32,639 | |
Freddie Mac Gold Pool G08826 | |
5.00% | | 06/01/48 | | | 6,533,424 | | | | 6,635,066 | |
Freddie Mac Gold Pool G08833 | |
5.00% | | 07/01/48 | | | 3,732,950 | | | | 3,793,375 | |
Freddie Mac Gold Pool G08838 | |
5.00% | | 09/01/48 | | | 1,946,597 | | | | 1,976,881 | |
Freddie Mac Gold Pool G08840 | |
5.00% | | 08/01/48 | | | 567,279 | | | | 576,105 | |
Freddie Mac Gold Pool G08843 | |
4.50% | | 10/01/48 | | | 4,632,001 | | | | 4,626,178 | |
Freddie Mac Gold Pool G08844 | |
5.00% | | 10/01/48 | | | 5,299,820 | | | | 5,382,270 | |
Freddie Mac Gold Pool G08848 | |
4.50% | | 11/01/48 | | | 808,977 | | | | 807,960 | |
Freddie Mac Gold Pool G08849 | |
5.00% | | 11/01/48 | | | 1,830,767 | | | | 1,859,248 | |
Freddie Mac Gold Pool G60023 | |
3.50% | | 04/01/45 | | | 7,837,531 | | | | 7,511,314 | |
Freddie Mac Gold Pool G60080 | |
3.50% | | 06/01/45 | | | 82,477,396 | | | | 78,720,323 | |
Freddie Mac Gold Pool G60138 | |
3.50% | | 08/01/45 | | | 65,709,352 | | | | 62,892,313 | |
Freddie Mac Gold Pool G60238 | |
3.50% | | 10/01/45 | | | 25,356,720 | | | | 24,201,668 | |
Freddie Mac Gold Pool G60344 | |
4.00% | | 12/01/45 | | | 60,876 | | | | 59,926 | |
Freddie Mac Gold Pool G67700 | |
3.50% | | 08/01/46 | | | 19,345,427 | | | | 18,438,276 | |
Freddie Mac Gold Pool G67703 | |
3.50% | | 04/01/47 | | | 139,417,880 | | | | 132,880,263 | |
Freddie Mac Gold Pool G67707 | |
3.50% | | 01/01/48 | | | 72,491,966 | | | | 69,186,335 | |
Freddie Mac Gold Pool G67711 | |
4.00% | | 03/01/48 | | | 41,267,621 | | | | 40,424,685 | |
Freddie Mac Gold Pool G67713 | |
4.00% | | 06/01/48 | | | 367,165 | | | | 359,394 | |
Freddie Mac Gold Pool G67714 | |
4.00% | | 07/01/48 | | | 60,230 | | | | 58,897 | |
Freddie Mac Gold Pool G67717 | |
4.00% | | 11/01/48 | | | 50,305,851 | | | | 49,192,110 | |
Freddie Mac Gold Pool H00790 | |
5.50% | | 05/01/37 | | | 3,779 | | | | 3,966 | |
Freddie Mac Gold Pool H05069 | |
5.50% | | 05/01/37 | | | 59,428 | | | | 62,354 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool Q05804 | |
4.00% | | 01/01/42 | | $ | 16,115,815 | | | $ | 16,026,756 | |
Freddie Mac Gold Pool U99097 | |
3.50% | | 07/01/43 | | | 23,824,586 | | | | 22,716,117 | |
Freddie Mac Gold Pool V80356 | |
3.50% | | 08/01/43 | | | 17,148,114 | | | | 16,480,776 | |
Freddie Mac Pool QD3162 | |
2.00% | | 12/01/51 | | | 130,620,150 | | | | 108,191,791 | |
Freddie Mac Pool QD7213 | |
2.00% | | 02/01/52 | | | 89,958,133 | | | | 74,415,096 | |
Freddie Mac Pool QE0312 | |
2.00% | | 04/01/52 | | | 6,141,081 | | | | 5,080,020 | |
Freddie Mac Pool QE0521 | |
2.50% | | 04/01/52 | | | 2,777,926 | | | | 2,399,126 | |
Freddie Mac Pool RA4201 | |
2.00% | | 12/01/50 | | | 7,992,498 | | | | 6,668,494 | |
Freddie Mac Pool RA4398 | |
2.00% | | 01/01/51 | | | 69,160,359 | | | | 57,703,536 | |
Freddie Mac Pool RA4542 | |
2.50% | | 02/01/51 | | | 42,115,886 | | | | 36,393,819 | |
Freddie Mac Pool RA5285 | |
2.50% | | 05/01/51 | | | 104,065,264 | | | | 90,736,951 | |
Freddie Mac Pool RA6507 | |
2.00% | | 12/01/51 | | | 119,075,618 | | | | 98,858,058 | |
Freddie Mac Pool RB5077 | |
2.00% | | 10/01/40 | | | 84,817,086 | | | | 74,027,471 | |
Freddie Mac Pool RE6029 | |
3.00% | | 02/01/50 | | | 3,447,179 | | | | 3,071,522 | |
Freddie Mac Pool SD1178 | |
2.00% | | 03/01/52 | | | 15,257,153 | | | | 12,623,205 | |
Freddie Mac Pool SD2148 | |
4.50% | | 01/01/53 | | | 47,478,139 | | | | 46,780,492 | |
Freddie Mac Pool SD2322 | |
4.50% | | 09/01/52 | | | 137,370,351 | | | | 135,283,987 | |
Freddie Mac Pool SD3302 | |
2.00% | | 10/01/51 | | | 56,831,991 | | | | 47,126,421 | |
Freddie Mac Pool SD3631 | |
3.00% | | 07/01/52 | | | 71,752,733 | | | | 64,486,552 | |
Freddie Mac Pool SD3890 | |
3.00% | | 08/01/52 | | | 92,099,822 | | | | 83,083,058 | |
Freddie Mac Pool SD4636 | |
3.00% | | 01/01/53 | | | 104,414,156 | | | | 93,961,787 | |
Freddie Mac Pool SD5846 | |
2.00% | | 08/01/52 | | | 60,244,207 | | | | 49,835,165 | |
Freddie Mac Pool SD7502 | |
3.50% | | 07/01/49 | | | 5,995,675 | | | | 5,667,656 | |
Freddie Mac Pool SD7503 | |
3.50% | | 08/01/49 | | | 13,174,279 | | | | 12,470,312 | |
Freddie Mac Pool SD7511 | |
3.50% | | 01/01/50 | | | 13,602,476 | | | | 12,875,628 | |
Freddie Mac Pool SD8121 | |
2.00% | | 01/01/51 | | | 108,207 | | | | 90,037 | |
Freddie Mac Pool SD8182 | |
2.00% | | 12/01/51 | | | 24,971,879 | | | | 20,676,296 | |
Freddie Mac Pool SD8188 | |
2.00% | | 01/01/52 | | | 39,577,677 | | | | 32,757,380 | |
|
| See accompanying Notes to Financial Statements. |
|
| 139 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Pool SD8189 | |
2.50% | | 01/01/52 | | $ | 330,569,938 | | | $ | 286,182,941 | |
Freddie Mac Pool SD8193 | |
2.00% | | 02/01/52 | | | 74,353,596 | | | | 61,517,419 | |
Freddie Mac Pool SD8199 | |
2.00% | | 03/01/52 | | | 124,687,675 | | | | 103,144,040 | |
Freddie Mac Pool SD8204 | |
2.00% | | 04/01/52 | | | 92,500,842 | | | | 76,518,473 | |
Freddie Mac Pool SD8205 | |
2.50% | | 04/01/52 | | | 284,964,914 | | | | 246,106,899 | |
Freddie Mac Pool SD8211 | |
2.00% | | 05/01/52 | | | 11,150,808 | | | | 9,224,163 | |
Freddie Mac Pool SD8213 | |
3.00% | | 05/01/52 | | | 131,806,792 | | | | 118,390,476 | |
Freddie Mac Pool SD8220 | |
3.00% | | 06/01/52 | | | 180,059,750 | | | | 161,895,393 | |
Freddie Mac Pool SD8245 | |
4.50% | | 09/01/52 | | | 100,758,311 | | | | 99,227,225 | |
Freddie Mac Pool SD8266 | |
4.50% | | 11/01/52 | | | 291,060,116 | | | | 286,547,130 | |
Freddie Mac Pool SD8328 | |
4.50% | | 06/01/53 | | | 89,357,150 | | | | 87,872,601 | |
Freddie Mac Pool ZA5103 | |
3.50% | | 12/01/47 | | | 104,399 | | | | 98,645 | |
Freddie Mac Pool ZA5128 | |
3.50% | | 12/01/47 | | | 343,669 | | | | 324,729 | |
Freddie Mac Pool ZM1779 | |
3.00% | | 09/01/46 | | | 11,005,830 | | | | 10,080,928 | |
Freddie Mac Pool ZM2285 | |
3.00% | | 12/01/46 | | | 12,954,217 | | | | 11,865,577 | |
Freddie Mac Pool ZS4693 | |
3.00% | | 12/01/46 | | | 12,951,326 | | | | 11,862,929 | |
Freddie Mac Pool ZS4768 | |
3.50% | | 05/01/48 | | | 890,986 | | | | 841,250 | |
Freddie Mac Pool ZT0277 | |
3.50% | | 10/01/46 | | | 1,278,570 | | | | 1,213,604 | |
Freddie Mac REMICS, | |
Series 1980, Class Z | |
7.00% | | 07/15/27 | | | 12,916 | | | | 13,199 | |
Freddie Mac REMICS, | |
Series 2098, Class TZ | |
6.00% | | 01/15/28 | | | 55,634 | | | | 55,842 | |
Freddie Mac REMICS, | |
Series 2174, Class PN | |
6.00% | | 07/15/29 | | | 4,748 | | | | 4,853 | |
Freddie Mac REMICS, | |
Series 2313, Class LA | |
6.50% | | 05/15/31 | | | 1,643 | | | | 1,665 | |
Freddie Mac REMICS, | |
Series 2433, Class SA | |
(-2.60 X SOFR30A plus 20.63%, 20.93% Cap) | |
6.74% | | 02/15/321 | | | 3,401 | | | | 3,946 | |
Freddie Mac REMICS, | |
Series 2481, Class AW | |
6.50% | | 08/15/32 | | | 4,063 | | | | 4,091 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 3019, Class SW (IO) | |
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap) | |
1.74% | | 08/15/351 | | $ | 496,862 | | | $ | 59,528 | |
Freddie Mac REMICS, | |
Series 3063, Class YG | |
5.50% | | 11/15/35 | | | 1,303,517 | | | | 1,356,577 | |
Freddie Mac REMICS, | |
Series 3300, Class SA (IO) | |
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap) | |
1.74% | | 08/15/351 | | | 219,674 | | | | 26,319 | |
Freddie Mac REMICS, | |
Series 3752, Class XL | |
4.50% | | 11/15/40 | | | 22,364,681 | | | | 22,530,172 | |
Freddie Mac REMICS, | |
Series 3891, Class HS (IO) | |
(-1.00 X SOFR30A plus 5.84%, 5.95% Cap) | |
0.49% | | 07/15/411 | | | 2,822,265 | | | | 281,230 | |
Freddie Mac REMICS, | |
Series 3904, Class JB | |
4.50% | | 08/15/41 | | | 5,346,898 | | | | 5,383,482 | |
Freddie Mac REMICS, | |
Series 3925, Class LB | |
4.50% | | 09/15/41 | | | 9,215,000 | | | | 9,221,651 | |
Freddie Mac REMICS, | |
Series 3928, Class JD | |
4.00% | | 09/15/41 | | | 13,382,483 | | | | 13,348,155 | |
Freddie Mac REMICS, | |
Series 4102, Class TC | |
2.50% | | 09/15/41 | | | 3,935,930 | | | | 3,830,289 | |
Freddie Mac REMICS, | |
Series 4161, Class BA | |
2.50% | | 12/15/41 | | | 5,890,080 | | | | 5,758,644 | |
Freddie Mac REMICS, | |
Series 4656, Class EZ | |
4.00% | | 02/15/47 | | | 209,821 | | | | 203,149 | |
Freddie Mac REMICS, | |
Series 4818, Class CA | |
3.00% | | 04/15/48 | | | 1,024,134 | | | | 931,942 | |
Freddie Mac REMICS, | |
Series 4846, Class PA | |
4.00% | | 06/15/47 | | | 71,918 | | | | 71,601 | |
Freddie Mac REMICS, | |
Series 4852, Class CA | |
4.00% | | 11/15/47 | | | 4,986,721 | | | | 4,948,770 | |
Freddie Mac REMICS, | |
Series 4860, Class BH | |
3.50% | | 10/15/48 | | | 2,121,757 | | | | 2,072,199 | |
Freddie Mac REMICS, | |
Series 4860, Class PA | |
3.50% | | 02/15/49 | | | 1,800,730 | | | | 1,695,475 | |
Freddie Mac REMICS, | |
Series 4879, Class BC | |
3.00% | | 04/15/49 | | | 617,852 | | | | 570,585 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 140 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, | |
Series 4896, Class DA | |
3.00% | | 01/15/49 | | $ | 581,226 | | | $ | 537,304 | |
Freddie Mac REMICS, | |
Series 4937, Class MF | |
(SOFR30A plus 0.56%) | |
5.84% | | 12/25/491 | | | 4,704,929 | | | | 4,579,329 | |
Freddie Mac Strips, | |
Series 309, Class PO (PO) | |
0.00% | | 08/15/438 | | | 10,056,528 | | | | 8,039,429 | |
Freddie Mac Strips, | |
Series 319, Class F2 | |
(SOFR30A plus 0.61%) | |
5.96% | | 11/15/431 | | | 1,753,732 | | | | 1,731,935 | |
Ginnie Mae (TBA) | |
2.50% | | 10/20/54 | | | 573,425,000 | | | | 504,421,903 | |
4.00% | | 10/20/54 | | | 475,975,000 | | | | 460,239,029 | |
4.50% | | 10/20/54 | | | 306,475,000 | | | | 302,509,520 | |
5.00% | | 10/20/54 | | | 565,900,000 | | | | 566,893,154 | |
5.50% | | 10/20/54 | | | 314,600,000 | | | | 317,687,799 | |
Ginnie Mae I Pool 782817 | |
4.50% | | 11/15/39 | | | 7,708,550 | | | | 7,823,862 | |
Ginnie Mae I Pool AA5452 | |
3.50% | | 07/15/42 | | | 62,651 | | | | 59,998 | |
Ginnie Mae II Pool 2631 | |
7.00% | | 08/20/28 | | | 503 | | | | 523 | |
Ginnie Mae II Pool 3388 | |
4.50% | | 05/20/33 | | | 1,248 | | | | 1,270 | |
Ginnie Mae II Pool 3427 | |
4.50% | | 08/20/33 | | | 667 | | | | 679 | |
Ginnie Mae II Pool 3554 | |
4.50% | | 05/20/34 | | | 547 | | | | 557 | |
Ginnie Mae II Pool 4058 | |
5.00% | | 12/20/37 | | | 376 | | | | 388 | |
Ginnie Mae II Pool 4342 | |
5.00% | | 01/20/39 | | | 528 | | | | 544 | |
Ginnie Mae II Pool 4520 | |
5.00% | | 08/20/39 | | | 10,054 | | | | 10,360 | |
Ginnie Mae II Pool 5140 | |
4.50% | | 08/20/41 | | | 22,312 | | | | 22,669 | |
Ginnie Mae II Pool 5175 | |
4.50% | | 09/20/41 | | | 24,238 | | | | 24,626 | |
Ginnie Mae II Pool 5281 | |
4.50% | | 01/20/42 | | | 6,865 | | | | 6,975 | |
Ginnie Mae II Pool 783591 | |
4.50% | | 07/20/41 | | | 8,601 | | | | 8,738 | |
Ginnie Mae II Pool 80968 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
3.63% | | 07/20/341 | | | 4,926 | | | | 4,976 | |
Ginnie Mae II Pool 81267 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
4.63% | | 03/20/351 | | | 6,400 | | | | 6,418 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool 81432 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.63% | | 08/20/351 | | $ | 7,969 | | | $ | 8,058 | |
Ginnie Mae II Pool 81497 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
3.75% | | 10/20/351 | | | 6,903 | | | | 6,962 | |
Ginnie Mae II Pool 8631 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
5.00% | | 05/20/251 | | | 197 | | | | 197 | |
Ginnie Mae II Pool 8644 | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%) | | | | | |
5.50% | | 06/20/251 | | | 161 | | | | 161 | |
Ginnie Mae II Pool MA0627 | |
4.50% | | 12/20/42 | | | 28,766 | | | | 29,227 | |
Ginnie Mae II Pool MA0701 | |
4.50% | | 01/20/43 | | | 27,636 | | | | 28,079 | |
Ginnie Mae II Pool MA1157 | |
3.50% | | 07/20/43 | | | 26,748 | | | | 25,598 | |
Ginnie Mae II Pool MA1997 | |
4.50% | | 06/20/44 | | | 7,116 | | | | 7,180 | |
Ginnie Mae II Pool MA2374 | |
5.00% | | 11/20/44 | | | 149,542 | | | | 154,128 | |
Ginnie Mae II Pool MA2756 | |
4.50% | | 04/20/45 | | | 14,785 | | | | 14,919 | |
Ginnie Mae II Pool MA2828 | |
4.50% | | 05/20/45 | | | 610,626 | | | | 614,146 | |
Ginnie Mae II Pool MA2894 | |
4.50% | | 06/20/45 | | | 235,743 | | | | 237,871 | |
Ginnie Mae II Pool MA3036 | |
4.50% | | 08/20/45 | | | 23,021 | | | | 23,153 | |
Ginnie Mae II Pool MA3309 | |
3.00% | | 12/20/45 | | | 4,823 | | | | 4,464 | |
Ginnie Mae II Pool MA3456 | |
4.50% | | 02/20/46 | | | 153,265 | | | | 154,148 | |
Ginnie Mae II Pool MA3521 | |
3.50% | | 03/20/46 | | | 17,831,154 | | | | 16,980,566 | |
Ginnie Mae II Pool MA3524 | |
5.00% | | 03/20/46 | | | 7,791 | | | | 8,030 | |
Ginnie Mae II Pool MA3597 | |
3.50% | | 04/20/46 | | | 45,057,510 | | | | 42,962,857 | |
Ginnie Mae II Pool MA3600 | |
5.00% | | 04/20/46 | | | 4,264,937 | | | | 4,395,743 | |
Ginnie Mae II Pool MA3662 | |
3.00% | | 05/20/46 | | | 1,735,236 | | | | 1,596,483 | |
Ginnie Mae II Pool MA3663 | |
3.50% | | 05/20/46 | | | 12,733,346 | | | | 12,095,305 | |
Ginnie Mae II Pool MA3665 | |
4.50% | | 05/20/46 | | | 65,124 | | | | 65,499 | |
Ginnie Mae II Pool MA3666 | |
5.00% | | 05/20/46 | | | 2,426,087 | | | | 2,500,496 | |
Ginnie Mae II Pool MA3738 | |
4.50% | | 06/20/46 | | | 270,368 | | | | 272,809 | |
|
| See accompanying Notes to Financial Statements. |
|
| 141 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool MA3739 | |
5.00% | | 06/20/46 | | $ | 1,499,985 | | | $ | 1,545,990 | |
Ginnie Mae II Pool MA3805 | |
4.50% | | 07/20/46 | | | 2,122,243 | | | | 2,134,474 | |
Ginnie Mae II Pool MA3806 | |
5.00% | | 07/20/46 | | | 111,409 | | | | 114,825 | |
Ginnie Mae II Pool MA3873 | |
3.00% | | 08/20/46 | | | 13,430,423 | | | | 12,356,497 | |
Ginnie Mae II Pool MA3876 | |
4.50% | | 08/20/46 | | | 2,349,591 | | | | 2,370,806 | |
Ginnie Mae II Pool MA3877 | |
5.00% | | 08/20/46 | | | 497,760 | | | | 513,026 | |
Ginnie Mae II Pool MA3937 | |
3.50% | | 09/20/46 | | | 10,308,862 | | | | 9,792,307 | |
Ginnie Mae II Pool MA3939 | |
4.50% | | 09/20/46 | | | 1,295,309 | | | | 1,313,976 | |
Ginnie Mae II Pool MA4003 | |
3.00% | | 10/20/46 | | | 5,381,352 | | | | 4,951,047 | |
Ginnie Mae II Pool MA4006 | |
4.50% | | 10/20/46 | | | 1,382,489 | | | | 1,394,972 | |
Ginnie Mae II Pool MA4007 | |
5.00% | | 10/20/46 | | | 2,576,106 | | | | 2,654,536 | |
Ginnie Mae II Pool MA4069 | |
3.50% | | 11/20/46 | | | 32,281,502 | | | | 30,663,944 | |
Ginnie Mae II Pool MA4071 | |
4.50% | | 11/20/46 | | | 3,747,080 | | | | 3,780,914 | |
Ginnie Mae II Pool MA4072 | |
5.00% | | 11/20/46 | | | 832,550 | | | | 857,920 | |
Ginnie Mae II Pool MA4126 | |
3.00% | | 12/20/46 | | | 92,938,795 | | | | 85,507,206 | |
Ginnie Mae II Pool MA4127 | |
3.50% | | 12/20/46 | | | 36,330,358 | | | | 34,542,769 | |
Ginnie Mae II Pool MA4129 | |
4.50% | | 12/20/46 | | | 12,722,722 | | | | 12,837,601 | |
Ginnie Mae II Pool MA4196 | |
3.50% | | 01/20/47 | | | 8,453 | | | | 8,030 | |
Ginnie Mae II Pool MA4198 | |
4.50% | | 01/20/47 | | | 102,322 | | | | 102,914 | |
Ginnie Mae II Pool MA4199 | |
5.00% | | 01/20/47 | | | 2,396,960 | | | | 2,470,004 | |
Ginnie Mae II Pool MA4264 | |
4.50% | | 02/20/47 | | | 29,862,111 | | | | 30,034,916 | |
Ginnie Mae II Pool MA4265 | |
5.00% | | 02/20/47 | | | 539,145 | | | | 555,680 | |
Ginnie Mae II Pool MA4324 | |
5.00% | | 03/20/47 | | | 2,942,798 | | | | 3,033,055 | |
Ginnie Mae II Pool MA4382 | |
3.50% | | 04/20/47 | | | 20,539,662 | | | | 19,459,608 | |
Ginnie Mae II Pool MA4384 | |
4.50% | | 04/20/47 | | | 1,229,288 | | | | 1,231,099 | |
Ginnie Mae II Pool MA4385 | |
5.00% | | 04/20/47 | | | 4,972,949 | | | | 5,125,354 | |
Ginnie Mae II Pool MA4453 | |
4.50% | | 05/20/47 | | | 66,113,947 | | | | 66,211,375 | |
Ginnie Mae II Pool MA4454 | |
5.00% | | 05/20/47 | | | 11,050,598 | | | | 11,314,605 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool MA4510 | |
3.50% | | 06/20/47 | | $ | 28,016 | | | $ | 26,603 | |
Ginnie Mae II Pool MA4511 | |
4.00% | | 06/20/47 | | | 3,971,698 | | | | 3,883,334 | |
Ginnie Mae II Pool MA4512 | |
4.50% | | 06/20/47 | | | 228,049 | | | | 228,385 | |
Ginnie Mae II Pool MA4513 | |
5.00% | | 06/20/47 | | | 203,553 | | | | 208,455 | |
Ginnie Mae II Pool MA4586 | |
3.50% | | 07/20/47 | | | 33,523,236 | | | | 31,832,859 | |
Ginnie Mae II Pool MA4588 | |
4.50% | | 07/20/47 | | | 35,776 | | | | 35,829 | |
Ginnie Mae II Pool MA4589 | |
5.00% | | 07/20/47 | | | 9,763,476 | | | | 9,986,203 | |
Ginnie Mae II Pool MA4652 | |
3.50% | | 08/20/47 | | | 2,550,285 | | | | 2,416,181 | |
Ginnie Mae II Pool MA4655 | |
5.00% | | 08/20/47 | | | 11,318,405 | | | | 11,576,603 | |
Ginnie Mae II Pool MA4719 | |
3.50% | | 09/20/47 | | | 31,703,279 | | | | 30,036,199 | |
Ginnie Mae II Pool MA4720 | |
4.00% | | 09/20/47 | | | 78,452 | | | | 76,706 | |
Ginnie Mae II Pool MA4722 | |
5.00% | | 09/20/47 | | | 221,327 | | | | 226,389 | |
Ginnie Mae II Pool MA4781 | |
5.00% | | 10/20/47 | | | 2,743,549 | | | | 2,809,094 | |
Ginnie Mae II Pool MA4836 | |
3.00% | | 11/20/47 | | | 72,248,271 | | | | 66,439,425 | |
Ginnie Mae II Pool MA4837 | |
3.50% | | 11/20/47 | | | 79,022,779 | | | | 74,867,458 | |
Ginnie Mae II Pool MA4838 | |
4.00% | | 11/20/47 | | | 26,157,579 | | | | 25,585,504 | |
Ginnie Mae II Pool MA4840 | |
5.00% | | 11/20/47 | | | 844,874 | | | | 864,147 | |
Ginnie Mae II Pool MA4900 | |
3.50% | | 12/20/47 | | | 5,066,553 | | | | 4,800,134 | |
Ginnie Mae II Pool MA4901 | |
4.00% | | 12/20/47 | | | 17,618,170 | | | | 17,226,194 | |
Ginnie Mae II Pool MA4961 | |
3.00% | | 01/20/48 | | | 247,908 | | | | 228,380 | |
Ginnie Mae II Pool MA4963 | |
4.00% | | 01/20/48 | | | 28,953,463 | | | | 28,309,294 | |
Ginnie Mae II Pool MA5078 | |
4.00% | | 03/20/48 | | | 43,868 | | | | 42,892 | |
Ginnie Mae II Pool MA5137 | |
4.00% | | 04/20/48 | | | 9,329,086 | | | | 9,104,396 | |
Ginnie Mae II Pool MA5399 | |
4.50% | | 08/20/48 | | | 2,105,826 | | | | 2,104,273 | |
Ginnie Mae II Pool MA5466 | |
4.00% | | 09/20/48 | | | 3,852,496 | | | | 3,759,709 | |
Ginnie Mae II Pool MA5467 | |
4.50% | | 09/20/48 | | | 19,667 | | | | 19,653 | |
Ginnie Mae II Pool MA5528 | |
4.00% | | 10/20/48 | | | 17,717,941 | | | | 17,291,206 | |
Ginnie Mae II Pool MA5530 | |
5.00% | | 10/20/48 | | | 3,190,973 | | | | 3,230,759 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 142 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool MA5651 | |
4.00% | | 12/20/48 | | $ | 6,371 | | | $ | 6,218 | |
Ginnie Mae II Pool MA6030 | |
3.50% | | 07/20/49 | | | 7,198,596 | | | | 6,674,881 | |
Ginnie Mae II Pool MA6080 | |
3.00% | | 08/20/49 | | | 1,565 | | | | 1,397 | |
Ginnie Mae II Pool MA6081 | |
3.50% | | 08/20/49 | | | 3,031,873 | | | | 2,811,297 | |
Ginnie Mae II Pool MA6209 | |
3.00% | | 10/20/49 | | | 2,967,761 | | | | 2,649,008 | |
Ginnie Mae II Pool MA6210 | |
3.50% | | 10/20/49 | | | 1,475,147 | | | | 1,367,827 | |
Ginnie Mae II Pool MA7589 | |
2.50% | | 09/20/51 | | | 88,918,456 | | | | 78,290,807 | |
Ginnie Mae II Pool MA8347 | |
4.50% | | 10/20/52 | | | 251,166,745 | | | | 248,176,871 | |
Ginnie Mae, | |
Series 2003-86, Class ZK | |
5.00% | | 10/20/33 | | | 2,532,857 | | | | 2,589,489 | |
Ginnie Mae, | |
Series 2007-35, Class PY (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.64%, 6.75% Cap) | |
1.54% | | 06/16/371 | | | 5,482,963 | | | | 682,541 | |
Ginnie Mae, | |
Series 2009-106, Class SD (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.14%, 6.25% Cap) | |
1.17% | | 03/20/361 | | | 4,565,986 | | | | 426,968 | |
Ginnie Mae, | |
Series 2009-106, Class XI (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap) | |
1.72% | | 05/20/371 | | | 11,327,051 | | | | 1,268,920 | |
Ginnie Mae, | |
Series 2009-124, Class SC (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.37%, 6.48% Cap) | |
1.40% | | 12/20/391 | | | 1,892,231 | | | | 234,194 | |
Ginnie Mae, | |
Series 2009-66, Class XS (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap) | |
1.59% | | 07/16/391 | | | 9,933 | | | | 466 | |
Ginnie Mae, | |
Series 2009-8, Class PS (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.19%, 6.30% Cap) | |
1.09% | | 08/16/381 | | | 3,847 | | | | 16 | |
Ginnie Mae, | |
Series 2010-4, Class SL (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.29%, 6.40% Cap) | |
1.19% | | 01/16/401 | | | 24,475 | | | | 2,834 | |
Ginnie Mae, | |
Series 2010-4, Class SM (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 5.69%, 5.80% Cap) | |
0.59% | | 01/16/401 | | | 4,450,014 | | | | 446,983 | |
Ginnie Mae, | |
Series 2010-6, Class BS (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 6.39%, 6.50% Cap) | |
1.29% | | 09/16/391 | | | 44,720 | | | | 62 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, | |
Series 2011-146, Class EI (IO) | |
5.00% | | 11/16/41 | | $ | 59,276 | | | $ | 11,773 | |
Ginnie Mae, | |
Series 2014-108, Class PA | |
2.63% | | 12/20/39 | | | 3,862,686 | | | | 3,715,592 | |
Ginnie Mae, | |
Series 2018-124, Class NW | |
3.50% | | 09/20/48 | | | 588,693 | | | | 550,540 | |
Ginnie Mae, | |
Series 2019-1, Class NP | |
3.50% | | 01/20/49 | | | 5,353,779 | | | | 5,065,408 | |
Ginnie Mae, | |
Series 2019-119, Class JE | |
3.00% | | 09/20/49 | | | 3,911,752 | | | | 3,569,217 | |
Ginnie Mae, | |
Series 2019-15, Class GT | |
3.50% | | 02/20/49 | | | 6,272,191 | | | | 5,903,937 | |
Ginnie Mae, | |
Series 2019-44, Class CA | |
3.50% | | 12/20/48 | | | 22,915 | | | | 22,820 | |
Ginnie Mae, | |
Series 2019-71, Class PT | |
3.00% | | 06/20/49 | | | 691,187 | | | | 630,580 | |
Ginnie Mae, | |
Series 2019-86, Class C | |
2.50% | | 03/20/49 | | | 8,729,871 | | | | 7,533,721 | |
Ginnie Mae, | |
Series 2019-90, Class HE | |
3.00% | | 07/20/49 | | | 5,745,769 | | | | 5,240,838 | |
Ginnie Mae, | |
Series 2022-201, Class FB | |
(SOFR30A plus 1.25%) | |
6.50% | | 11/20/521 | | | 8,984,895 | | | | 9,028,514 | |
Ginnie Mae, | |
Series 2023-134, Class F | |
(SOFR30A plus 1.00%) | |
6.35% | | 08/20/531 | | | 54,173,421 | | | | 54,249,892 | |
Ginnie Mae, | |
Series 2024-30, Class DF | |
(SOFR30A plus 1.30%) | |
6.50% | | 02/20/541 | | | 85,471,890 | | | | 86,029,510 | |
UMBS (TBA) | |
2.00% | | 10/01/54 | | | 260,400,000 | | | | 215,154,328 | |
2.50% | | 10/01/54 | | | 211,075,000 | | | | 182,151,182 | |
3.00% | | 10/01/54 | | | 238,200,000 | | | | 213,789,026 | |
3.50% | | 10/01/54 | | | 715,675,000 | | | | 666,687,762 | |
4.00% | | 10/01/54 | | | 450,200,000 | | | | 432,456,042 | |
4.50% | | 10/01/54 | | | 458,725,000 | | | | 451,132,643 | |
5.00% | | 10/01/54 | | | 562,175,000 | | | | 561,848,938 | |
5.50% | | 10/01/54 | | | 574,150,000 | | | | 580,982,385 | |
| | | | | | | | | | | | |
| | | | 16,686,075,162 | |
| | | | | | | | | | | | |
|
| Total Mortgage-Backed | |
(Cost $24,694,777,101) | | | | 23,496,017,843 | |
| | | | | | | | | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 143 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
| MUNICIPAL BONDS — 0.41%* | | | | | |
| California — 0.07% | | | | | |
| Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A | | | | | |
5.00% | | 05/15/44 | | $ | 185,000 | | | $ | 194,394 | |
| Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N | | | | | |
3.01% | | 05/15/50 | | | 17,955,000 | | | | 13,038,427 | |
3.26% | | 05/15/60 | | | 16,810,000 | | | | 12,039,432 | |
| University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP | | | | | |
3.93% | | 05/15/45 | | | 6,615,000 | | | | 6,252,496 | |
| | | | | |
| | | | 31,524,749 | |
| | | | | |
| |
| Colorado — 0.01% | | | | | |
| City & County of Denver Airport System Revenue Bonds, Series C | | | | | |
2.39% | | 11/15/31 | | | 6,010,000 | | | | 5,336,152 | |
| | | | | |
| |
| New Jersey — 0.00% | | | | | |
| Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B | | | | | |
5.47% | | 05/15/27 | | | 185,000 | | | | 189,589 | |
| New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F | | | | | |
3.73% | | 01/01/36 | | | 300,000 | | | | 280,494 | |
| | | | | |
| | | | 470,083 | |
| | | | | |
| |
| New York — 0.33% | | | | | |
| City of New York General Obligation Bonds, Public Improvements, Series D | | | | | |
5.99% | | 12/01/36 | | | 2,000,000 | | | | 2,143,725 | |
| City of New York General Obligation Bonds, Public Improvements, Series F | | | | | |
3.62% | | 04/01/31 | | | 3,145,000 | | | | 3,043,495 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements | | | | | |
5.51% | | 08/01/37 | | | 20,415,000 | | | | 21,408,694 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2 | | | | | |
2.15% | | 05/01/25 | | | 430,000 | | | | 424,370 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3 | | | | | |
2.00% | | 08/01/35 | | | 4,055,000 | | | | 3,169,452 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D | | | | | |
2.40% | | 11/01/32 | | | 12,135,000 | | | | 10,518,781 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E | | | | | |
1.97% | | 02/01/33 | | | 3,090,000 | | | | 2,571,614 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI | | | | | |
4.00% | | 08/01/33 | | | 6,450,000 | | | | 6,243,192 | |
| | | | | | | | | | | | |
| | | | |
| 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 SU | | | | | |
3.88% | | 08/01/31 | | $ | 3,135,000 | | | $ | 3,073,746 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 | | | | | |
5.27% | | 05/01/27 | | | 13,135,000 | | | | 13,587,962 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series A, Subseries A-2 | | | | | |
4.60% | | 05/01/31 | | | 820,000 | | | | 837,307 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3 | | | | | |
5.13% | | 02/01/35 | | | 1,250,000 | | | | 1,300,684 | |
5.15% | | 02/01/36 | | | 1,250,000 | | | | 1,296,752 | |
| New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G | | | | | |
2.45% | | 11/01/34 | | | 3,000,000 | | | | 2,499,932 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements | | | | | |
5.29% | | 03/15/33 | | | 44,990,000 | | | | 45,818,446 | |
5.43% | | 03/15/39 | | | 21,300,000 | | | | 21,974,150 | |
| New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A | | | | | |
4.00% | | 03/15/47 | | | 155,000 | | | | 154,586 | |
| New York State Urban Development Corp. Revenue Bonds, Public Improvements | | | | | |
5.77% | | 03/15/39 | | | 135,000 | | | | 140,574 | |
| | | | | |
| | | | 140,207,462 | |
| | | | | |
| |
| Texas — 0.00% | | | | | |
| Texas A&M University Revenue Bonds, University & College Improvements, Series B | | | | | |
2.69% | | 05/15/25 | | | 350,000 | | | | 346,757 | |
| | | | | |
| |
| Total Municipal Bonds | | | | | |
| (Cost $201,667,235) | | | | 177,885,203 | |
| | | | | |
| |
| U.S. TREASURY SECURITIES — 29.59% | | | | | |
| |
| U.S. Treasury Bonds — 10.39% | | | | | |
| U.S. Treasury Bonds | | | | | |
4.63% | | 05/15/44 | | | 307,325,000 | | | | 325,860,539 | |
U.S. Treasury Bonds (WI) | | | | | |
4.13% | | 08/15/44 | | | 2,291,608,000 | | | | 2,274,599,983 | |
4.25% | | 08/15/54 | | | 1,842,296,000 | | | | 1,882,020,508 | |
| | | | | |
| | | | 4,482,481,030 | |
| | | | | |
| |
| U.S. Treasury Notes — 19.20% | | | | | |
| U.S. Treasury Notes | | | | | |
3.50% | | 09/30/26 | | | 111,826,000 | | | | 111,515,857 | |
3.63% | | 08/31/29 | | | 1,409,147,000 | | | | 1,413,715,722 | |
3.88% | | 08/15/34 | | | 2,396,909,000 | | | | 2,414,324,054 | |
U.S. Treasury Notes (WI) | | | | | |
3.38% | | 09/30/29 | | | 4,289,265,000 | | | | 4,277,033,904 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 144 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | |
| Issues | | | Maturity Date | | | Principal Amount | | | Value |
|
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes (continued) | |
4.00% | | | | 08/31/26 | | | $ | 64,254,000 | | | $ | 64,349,377 | |
| | | | | | | | | | | | | | | | |
| | | | 8,280,938,914 | |
| | | | | | | | | | | | | | | | |
|
| Total U.S. Treasury Securities | |
(Cost $12,789,354,592) | | | | 12,763,419,944 | |
| | | | | | | | | | | | | | | | |
|
| Total Bonds — 108.93% | |
(Cost $48,476,973,125) | | | | 46,987,424,222 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | |
| Issues | | | | | | Shares | | | Value |
|
COMMON STOCK — 0.18% | |
Communications — 0.18% | |
Intelsat Emergence SA3,4,5,9 | |
(Luxembourg) | | | | 2,400,250 | | | | 75,909,106 | |
| | | | | | | | | | | | | | | | |
|
| Total Common Stock | |
(Cost $80,342,605) | |
| | | | | | | | | | | | | | | | |
| | | |
| Issues | | | Maturity Date | | | Principal Amount/Shares | | | Value |
|
SHORT-TERM INVESTMENTS — 4.26% | |
Money Market Funds — 4.26% | |
TCW Central Cash Fund | |
0.04%10,11 | | | | 1,837,370,000 | | | | 1,837,370,000 | |
| | | | | | | | | | | | | | | | |
|
| Total Short-Term Investments | |
(Cost $1,837,370,000) | |
|
| Total Investments - 113.37% | |
(Cost $50,394,685,730) | | | | 48,900,703,328 | |
| | | | | | | | | | | | | | | | |
| |
| Liabilities in Excess of Other Assets - (13.37)% | | | | (5,765,142,299 | ) |
| | | | | | | | | | | | | | | | |
Net Assets - 100.00% | | | $ | 43,135,561,029 | |
| | | | | | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | Foreign denominated security issued by foreign domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $612,660,611, which is 1.42% of total net assets. |
| 6 | Payment-in-kind (“PIK”) security. |
| 7 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 9 | Non-income producing security. |
| 10 | Represents the current yield as of September 30, 2024. |
| 11 | Affiliated investment. |
| * | 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
(NVS): Non-Voting Shares
(PO): Principal Only
(REIT): Real Estate Investment Trust
(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback
(SOFR): Secured Overnight Financing Rate
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(TSFR): Term Secured Overnight Financing Rate
(USD): U.S. Dollar
(WI): When Issued
|
| See accompanying Notes to Financial Statements. |
|
| 145 / Semi-Annual Report September 2024 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
EUR 96,319,000 | | USD 105,897,457 | | Citibank N.A. | | 10/11/24 | | $ | 1,651,642 | |
EUR 49,769,000 | | USD 54,202,683 | | Bank of America N.A. | | 10/11/24 | | | 1,369,023 | |
EUR 29,844,000 | | USD 32,469,689 | | Goldman Sachs International | | 10/11/24 | | | 853,906 | |
EUR 20,641,000 | | USD 22,492,841 | | State Street Global Markets LLC | | 10/11/24 | | | 554,751 | |
GBP 9,500,000 | | USD 12,496,150 | | Citibank N.A. | | 10/11/24 | | | 246,574 | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | 4,675,896 | |
| | | | | | | | | | |
USD 45,541,302 | | EUR 41,101,000 | | Goldman Sachs International | | 10/11/24 | | | (351,780) | |
USD 6,111,148 | | EUR 5,590,000 | | The Bank of New York Mellon | | 10/11/24 | | | (130,606) | |
USD 958,193,168 | | EUR 880,933,000 | | Bank of America N.A. | | 10/11/24 | | | (25,450,256) | |
USD 52,802,164 | | EUR 48,351,000 | | Citibank N.A. | | 10/11/24 | | | (1,186,212) | |
USD 123,218,952 | | GBP 96,142,000 | | Citibank N.A. | | 10/11/24 | | | (5,740,096) | |
| | | | | | | | | | |
| | | | |
| | | | | | | | | (32,858,950) | |
| | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | $ | (28,183,054) | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized Appreciation (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
| U.S. Treasury Two-Year Note | | 67,593 | | | 12/31/24 | | | $ | 14,075,714,213 | | | $ | 35,341,570 | | | $ | 35,341,570 | |
| U.S. Treasury Ten-Year Ultra Bond | | 2,986 | | | 12/19/24 | | | | 353,234,484 | | | | 990,015 | | | | 990,015 | |
| U.S. Treasury Ultra Bond | | 2,270 | | | 12/19/24 | | | | 302,122,813 | | | | (698,210) | | | | (698,210) | |
| U.S. Treasury Five-Year Note | | 1,698 | | | 12/31/24 | | | | 186,581,011 | | | | 486,538 | | | | 486,538 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | 14,917,652,521 | | | | 36,119,913 | | | | 36,119,913 | |
| | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | |
| U.S. Treasury Ten-Year Note | | 4,568 | | | 12/19/24 | | | | (522,036,750) | | | | 796,603 | | | | 796,603 | |
| Euro-Bund Future | | 3,835 | | | 12/06/24 | | | | (577,464,582) | | | | (3,470,350) | | | | (3,470,350) | |
| Euro-Bobl Future | | 1,030 | | | 12/06/24 | | | | (138,001,257) | | | | (1,093,050) | | | | (1,093,050) | |
| Euro-Schatz Future | | 263 | | | 12/06/24 | | | | (31,458,129) | | | | (150,009) | | | | (150,009) | |
| Long Gilt Future | | 222 | | | 12/27/24 | | | | (29,310,456) | | | | 277,897 | | | | 277,897 | |
| Euro-Buxl 30 Year | | 161 | | | 12/06/24 | | | | (24,487,342) | | | | (36,129) | | | | (36,129) | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | (1,322,758,516) | | | | (3,675,038) | | | | (3,675,038) | |
| | | | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 13,594,894,005 | | | $ | 32,444,875 | | | $ | 32,444,875 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | Received by the Fund | | Paid by the Fund | | | | | | | | | | | | | |
| | | | | | | | | |
| Description | | Maturity Date | | Rate | | Frequency | | Rate | | | Frequency | | | Notional Amount (000’s) | | | Value | | | Premiums (Received) | | | Unrealized Appreciation (Depreciation) | |
SWAPS: INTEREST RATE | | | | | | | | | | | | | | | | | | | | | | | | |
| Interest Rate Swap1 | | 06/16/53 | | GBP-SONIA-OIS
USD-SOFR- | | Annual | | | 3.25% | | | | Annual | | | $ | 11,460 | | | $ | 1,533,697 | | | $ | (171,660) | | | $ | 1,705,357 | |
| Interest Rate Swap1 | | 12/20/53 | | COMPOUND | | Annual | | | 3.52% | | | | Annual | | | | 461,741 | | | | (11,392,915) | | | | — | | | | (11,392,915) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
TOTAL SWAPS CONTRACTS | | | | | | | | | | $ | 473,201 | | | $ | (9,859,218) | | | $ | (171,660) | | | $ | (9,687,558) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 146 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 107.68% | | | | | |
| |
ASSET-BACKED SECURITIES — 7.26%** | | | | | |
Aligned Data Centers Issuer LLC, | | | | | |
Series 2021-1A, Class A2 | | | | | |
1.94% | | | | | | 08/15/461 | | $ | 240,000 | | | $ | 227,593 | |
AmeriCredit Automobile Receivables Trust, | | | | | |
Series 2022-2, Class C | | | | | |
5.32% | | | | | | 04/18/28 | | | 320,000 | | | | 324,796 | |
AMMC CLO XI Ltd., | | | | | |
Series 2012-11A, Class A1R2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.27%) | | | | | |
6.53% | | | | | | 04/30/311,2,3 | | | 89,621 | | | | 89,693 | |
Dryden 40 Senior Loan Fund, | | | | | |
Series 2015-40A, Class AR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.27% | | | | | | 08/15/311,2,3 | | | 232,879 | | | | 232,960 | |
Dryden 72 CLO Ltd., | | | | | |
Series 2019-72A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.10%) | | | | | |
5.89% | | | | | | 05/15/321,2,3 | | | 250,000 | | | | 249,100 | |
GoldenTree Loan Management U.S. CLO 4 Ltd., | | | | | |
Series 2019-4A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.43% | | | | | | 04/24/311,2,3 | | | 222,254 | | | | 222,345 | |
Hotwire Funding LLC, | | | | | |
Series 2024-1A, Class A2 | | | | | |
5.89% | | | | | | 06/20/541 | | | 60,000 | | | | 61,643 | |
HPS Loan Management Ltd., | | | | | |
Series 13A-18, Class A1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.13%) | | | | | |
6.43% | | | | | | 10/15/301,2,3 | | | 217,572 | | | | 217,605 | |
Madison Park Funding XXIX Ltd., | | | | | |
Series 2018-29A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.18%) | | | | | |
6.46% | | | | | | 10/18/301,2,3 | | | 232,989 | | | | 233,240 | |
Navient Private Education Refi Loan Trust, | | | | | |
Series 2021-CA, Class A | | | | | |
1.06% | | | | | | 10/15/691 | | | 303,063 | | | | 273,366 | |
Navient Private Education Refi Loan Trust, | | | | | |
Series 2021-FA, Class A | | | | | |
1.11% | | | | | | 02/18/701 | | | 197,753 | | | | 176,197 | |
OCP CLO Ltd., | | | | | |
Series 2014-6A, Class A1R2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.44% | | | | | | 10/17/301,2,3 | | | 163,501 | | | | 163,864 | |
Palmer Square Loan Funding Ltd., | | | | | |
Series 2022-3A, Class A1BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.40%) | | | | | |
6.70% | | | | | | 04/15/311,2,3 | | | 250,000 | | | | 250,298 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
Regatta XIV Funding Ltd., | | | | | |
Series 2018-3A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.10%) | | | | | |
6.38% | | | | | | 10/25/311,2,3 | | $ | 294,353 | | | $ | 294,403 | |
Vantage Data Centers Issuer LLC, | | | | | |
Series 2021-1A, Class A2 | | | | | |
2.17% | | | | | | 10/15/461 | | | 200,000 | | | | 189,867 | |
Voya CLO Ltd., | | | | | |
Series 2015-3A, Class A1R3 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.15%) | | | | | |
6.43% | | | | | | 10/20/311,2,3 | | | 215,526 | | | | 215,381 | |
| | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $3,413,290) | | | | 3,422,351 | |
| | | | | |
| |
CORPORATES — 25.92%* | | | | | |
| |
Banking — 8.22% | | | | | |
Bank of America Corp. | | | | | |
3.42% | | | 12/20/284 | | | 70,000 | | | | 68,129 | |
Bank of America Corp. | | | | | |
(MTN) | | | | | |
3.82% | | | 01/20/284 | | | 985,000 | | | | 974,530 | |
HSBC Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.01% | | | 09/22/283,4 | | | 85,000 | | | | 79,347 | |
2.10% | | | 06/04/263,4 | | | 180,000 | | | | 176,575 | |
JPMorgan Chase & Co. | | | | | |
1.04% | | | 02/04/274 | | | 1,185,000 | | | | 1,132,975 | |
Lloyds Banking Group PLC | | | | | |
(United Kingdom) | | | | | |
1.63% | | | 05/11/273,4 | | | 125,000 | | | | 119,514 | |
PNC Financial Services Group, Inc. (The) | | | | | |
5.58% | | | 06/12/294 | | | 55,000 | | | | 57,251 | |
6.62% | | | 10/20/274 | | | 40,000 | | | | 41,819 | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
1.67% | | | 06/14/273,4 | | | 105,000 | | | | 99,907 | |
U.S. Bancorp | | | | | |
4.65% | | | 02/01/294 | | | 200,000 | | | | 201,974 | |
Wells Fargo & Co. | | | | | |
(MTN) | | | | | |
2.16% | | | 02/11/264 | | | 930,000 | | | | 920,072 | |
| | | | | |
| | | | 3,872,093 | |
| | | | | |
| |
Communications — 0.44% | | | | | |
Altice France SA | | | | | |
(France) | | | | | |
5.50% | | | 10/15/291,3 | | | 11,000 | | | | 7,741 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | |
4.75% | | | 03/01/301 | | | 5,000 | | | | 4,598 | |
T-Mobile USA, Inc. | | | | | |
2.25% | | | 02/15/26 | | | 200,000 | | | | 194,472 | |
| | | | | |
| | | | 206,811 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| 147 / Semi-Annual Report September 2024 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Consumer Discretionary — 0.92% | | | | | |
Imperial Brands Finance PLC | | | | | |
(United Kingdom) | | | | | |
6.13% | | | | | | 07/27/271,3 | | $ | 135,000 | | | $ | 140,466 | |
Spectrum Brands, Inc. | | | | | |
3.88% | | | | | | 03/15/311 | | | 4,000 | | | | 3,559 | |
WarnerMedia Holdings, Inc. | | | | | |
3.76% | | | | | | 03/15/27 | | | 300,000 | | | | 290,156 | |
| | | | | |
| | | | 434,181 | |
| | | | | |
| |
| Diversified REITs — 1.44% | | | | | |
American Tower Corp. | | | | | |
5.25% | | | | | | 07/15/28 | | | 250,000 | | | | 257,570 | |
Crown Castle, Inc. | | | | | |
3.80% | | | | | | 02/15/28 | | | 135,000 | | | | 132,564 | |
VICI Properties LP/VICI Note Co., Inc. | | | | | |
5.75% | | | | | | 02/01/271 | | | 285,000 | | | | 290,268 | |
| | | | | |
| | | | 680,402 | |
| | | | | |
| |
| Electric — 1.56% | | | | | |
Alliant Energy Finance LLC | | | | | |
5.95% | | | | | | 03/30/291 | | | 135,000 | | | | 142,757 | |
Eversource Energy | | | | | |
2.90% | | | | | | 03/01/27 | | | 200,000 | | | | 193,682 | |
FirstEnergy Pennsylvania Electric Co. | | | | | |
4.00% | | | | | | 04/15/251 | | | 250,000 | | | | 248,716 | |
4.15% | | | | | | 04/15/251 | | | 150,000 | | | | 149,456 | |
| | | | | |
| | | | 734,611 | |
| | | | | |
| |
| Energy — 1.05% | | | | | |
Southern Co. Gas Capital Corp. | | | | | |
3.88% | | | | | | 11/15/25 | | | 500,000 | | | | 496,387 | |
| | | | | |
| |
| Finance — 6.15% | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | |
(Ireland) | | | | | |
2.45% | | | | | | 10/29/263 | | | 300,000 | | | | 288,252 | |
Air Lease Corp. | | | | | |
3.63% | | | | | | 04/01/27 | | | 200,000 | | | | 196,980 | |
Avolon Holdings Funding Ltd. | | | | | |
(Cayman Islands) | | | | | |
2.53% | | | | | | 11/18/271,3 | | | 283,000 | | | | 264,233 | |
Citigroup, Inc. | | | | | |
1.46% | | | | | | 06/09/274 | | | 815,000 | | | | 776,840 | |
Goldman Sachs Group, Inc. (The) | | | | | |
1.54% | | | | | | 09/10/274 | | | 405,000 | | | | 383,944 | |
Morgan Stanley | | | | | |
0.99% | | | | | | 12/10/264 | | | 605,000 | | | | 579,755 | |
Morgan Stanley | | | | | |
(GMTN) | | | | | |
1.51% | | | | | | 07/20/274 | | | 225,000 | | | | 214,033 | |
Nationwide Building Society | | | | | |
(United Kingdom) | | | | | |
2.97% | | | | | | 02/16/281,3,4 | | | 200,000 | | | | 192,914 | |
| | | | | |
| | | | 2,896,951 | |
| | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Health Care — 1.97% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | | | | | 01/30/281,3 | | $ | 35,000 | | | $ | 34,725 | |
Amgen, Inc. | | | | | |
5.15% | | | | | | 03/02/28 | | | 195,000 | | | | 200,922 | |
Bayer U.S. Finance LLC | | | | | |
6.25% | | | | | | 01/21/291 | | | 220,000 | | | | 232,557 | |
Grifols SA | | | | | |
(Spain) | | | | | |
4.75% | | | | | | 10/15/281,3 | | | 35,000 | | | | 32,858 | |
HCA, Inc. | | | | | |
5.38% | | | | | | 02/01/25 | | | 175,000 | | | | 175,109 | |
5.88% | | | | | | 02/15/26 | | | 250,000 | | | | 252,665 | |
| | | | | |
| | | | 928,836 | |
| | | | | |
| |
| Health Care REITs — 0.45% | | | | | |
Healthcare Realty Holdings LP | | | | | |
3.63% | | | | | | 01/15/28 | | | 220,000 | | | | 211,927 | |
| | | | | |
| |
| Industrials — 1.14% | | | | | |
Amcor Flexibles North America, Inc. | | | | | |
4.00% | | | | | | 05/17/25 | | | 300,000 | | | | 298,326 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |
(Canada) | | | | | |
4.13% | | | | | | 08/15/261,3 | | | 10,000 | | | | 9,020 | |
Berry Global, Inc. | | | | | |
5.50% | | | | | | 04/15/28 | | | 225,000 | | | | 230,936 | |
| | | | | |
| | | | 538,282 | |
| | | | | |
| |
| Insurance — 0.79% | | | | | |
Nationwide Mutual Insurance Co. | | | | | |
7.50% | | | | | | 12/15/241,4 | | | 370,000 | | | | 371,037 | |
| | | | | |
| |
| Materials — 0.29% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
1.83% | | | | | | 10/15/271 | | | 150,000 | | | | 139,018 | |
| | | | | |
| |
| Retail — 0.02% | | | | | |
Papa John’s International, Inc. | | | | | |
3.88% | | | | | | 09/15/291 | | | 10,000 | | | | 9,262 | |
| | | | | |
| |
| Services — 0.75% | | | | | |
Adtalem Global Education, Inc. | | | | | |
5.50% | | | | | | 03/01/281 | | | 10,000 | | | | 9,913 | |
Global Payments, Inc. | | | | | |
2.15% | | | | | | 01/15/27 | | | 300,000 | | | | 286,134 | |
Worldline SA | | | | | |
(France) | | | | | |
0.00% | | | | | | 07/30/253,5 | | | 200 | | | | 24,966 | |
0.00% | | | | | | 07/30/263,5 | | | 300 | | | | 30,507 | |
| | | | | |
| | | | 351,520 | |
| | | | | |
| |
| Specialized REITs — 0.73% | | | | | |
Extra Space Storage LP | | | | | |
3.88% | | | | | | 12/15/27 | | | 205,000 | | | | 202,467 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 148 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
Specialized REITs (continued) | | | | | |
5.70% | | 04/01/28 | | $ | 135,000 | | | $ | 140,592 | |
| | | | | |
| | | | 343,059 | |
| | | | | |
Total Corporates | | | | | |
(Cost $11,951,912) | | | | 12,214,377 | |
| | | | | |
| |
MORTGAGE-BACKED — 45.02%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 6.08% | |
BPR Trust, | | | | | |
Series 2021-WILL, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.86%) | | | | | |
6.96% | | 06/15/381,2 | | | 197,577 | | | | 196,755 | |
BPR Trust, | | | | | |
Series 2022-OANA, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.90%) | | | | | |
6.99% | | 04/15/371,2 | | | 152,000 | | | | 152,695 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-21M, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.84%) | | | | | |
5.94% | | 10/15/361,2 | | | 134,983 | | | | 134,133 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-VINO, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.77%) | | | | | |
5.86% | | 05/15/381,2 | | | 144,190 | | | | 143,467 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-XL2, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.80%) | | | | | |
5.90% | | 10/15/381,2 | | | 128,179 | | | | 127,212 | |
BX, | | | | | |
Series 2021-MFM1, Class A | | | | | |
(CME Term SOFR 1-Month plus 0.81%) | | | | | |
5.91% | | 01/15/341,2 | | | 76,961 | | | | 76,652 | |
CAMB Commercial Mortgage Trust, | | | | | |
Series 2019-LIFE, Class B | | | | | |
(CME Term SOFR 1-Month plus 1.55%) | | | | | |
6.64% | | 12/15/371,2 | | | 150,000 | | | | 149,884 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2021-PRM2, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.06%) | | | | | |
6.16% | | 10/15/381,2 | | | 152,000 | | | | 151,336 | |
Fontainebleau Miami Beach Trust, | | | | | |
Series 2019-FBLU, Class A | | | | | |
3.14% | | 12/10/361 | | | 150,000 | | | | 148,615 | |
FS Rialto, | | | | | |
Series 2019-FL1, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 1-Month plus 1.31%) | | | | | |
6.41% | | 12/16/361,2,3 | | | 162,153 | | | | 162,252 | |
Great Wolf Trust, | | | | | |
Series 2024-WOLF, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.54%) | | | | | |
6.64% | | 03/15/391,2 | | | 152,000 | | | | 151,908 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2023-FUN, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.09%) | | | | | |
7.19% | | 03/15/281,2 | | | 125,000 | | | | 125,433 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
HILT COMMERCIAL Mortgage Trust, | | | | | |
Series 2024-ORL, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.54%) | | | | | |
6.64% | | 05/15/371,2 | | $ | 100,000 | | | $ | 99,975 | |
Hilton USA Trust, | | | | | |
Series 2016-HHV, Class A | | | | | |
3.72% | | 11/05/381 | | | 103,000 | | | | 100,823 | |
INTOWN Mortgage Trust, | | | | | |
Series 2022-STAY, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.49%) | | | | | |
7.59% | | 08/15/391,2 | | | 150,000 | | | | 150,684 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |
Series 2016-NINE, Class A | | | | | |
2.95% | | 09/06/381,4 | | | 163,000 | | | | 157,096 | |
MF1 Ltd., | | | | | |
Series 2020-FL4, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.81%) | | | | | |
6.90% | | 12/15/351,2 | | | 131,398 | | | | 131,406 | |
NRTH Mortgage Trust, | | | | | |
Series 2024-PARK, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.64%) | | | | | |
6.74% | | 03/15/391,2 | | | 150,000 | | | | 150,311 | |
PGA Trust, | | | | | |
Series 2024-RSR2, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.89%) | | | | | |
6.99% | | 06/15/391,2 | | | 173,000 | | | | 172,652 | |
WB Commercial Mortgage Trust, | | | | | |
Series 2024-HQ, Class A | | | | | |
6.13% | | 03/15/401,4 | | | 177,000 | | | | 179,501 | |
| | | | | |
| | | | 2,862,790 | |
| | | | | |
| |
| Non-Agency Mortgage-Backed — 8.22% | | | | | |
Aames Mortgage Trust, | | | | | |
Series 2002-1, Class A3 (STEP-reset date 11/25/24) | |
7.40% | | 06/25/32 | | | 7,912 | | | | 7,808 | |
Adjustable Rate Mortgage Trust, | | | | | |
Series 2005-1, Class 1 A1 | | | | | |
5.99% | | 05/25/354 | | | 13,165 | | | | 13,086 | |
Ajax Mortgage Loan Trust, | | | | | |
Series 2019-F, Class A1 (STEP-reset date 10/25/24) | |
2.86% | | 07/25/591 | | | 106,568 | | | | 102,832 | |
Alternative Loan Trust, | | | | | |
Series 2004-J6, Class 2 A1 | | | | | |
6.50% | | 11/25/31 | | | 14,883 | | | | 15,364 | |
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- | |
Through Certificates, | |
Series 2005-R10, Class M3 | | | | | |
(CME Term SOFR 1-Month plus 0.79%) | | | | | |
5.64% | | 01/25/362
| | | 236,808 | | | | 233,836 | |
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- | |
Through Certificates, | | | | | |
Series 2005-R3, Class M4 | | | | | |
(CME Term SOFR 1-Month plus 1.04%) | | | | | |
5.90% | | 05/25/352 | | | 104,105 | | | | 103,270 | |
See accompanying Notes to Financial Statements.
|
| 149 / Semi-Annual Report September 2024 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Banc of America Funding Trust, | | | | | |
Series 2003-2, Class 1A1 | | | | | |
6.50% | | 06/25/32 | | $ | 2,346 | | | $ | 2,397 | |
Citigroup Mortgage Loan Trust, | | | | | |
Series 2007-AMC4, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.38%) | | | | | |
5.24% | | 05/25/372 | | | 107,181 | | | | 106,012 | |
Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2006-WFH4, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.55%) | | | | | |
5.40% | | 11/25/362 | | | 419,759 | | | | 417,334 | |
Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2002-AR31, Class 4A2 | | | | | |
6.52% | | 11/25/324 | | | 13,766 | | | | 13,740 | |
First Franklin Mortgage Loan Trust, | |
Series 2005-FF8, Class M2 | |
(CME Term SOFR 1-Month plus 0.89%) | | | | | |
5.75% | | 09/25/352 | | | 200,625 | | | | 203,146 | |
First Franklin Mortgage Loan Trust, | | | | | |
Series 2006-FFH1, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.67%) | | | | | |
5.52% | | 01/25/362 | | | 439,928 | | | | 430,122 | |
GSAMP Trust, | | | | | |
Series 2005-HE5, Class M3 | | | | | |
(CME Term SOFR 1-Month plus 0.80%) | | | | | |
5.66% | | 11/25/352 | | | 27,950 | | | | 27,858 | |
HSI Asset Securitization Corp. Trust, | | | | | |
Series 2006-OPT2, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.70%) | | | | | |
5.55% | | 01/25/362 | | | 206,293 | | | | 203,396 | |
IndyMac Index Mortgage Loan Trust, | | | | | |
Series 2004-AR6, Class 6A1 | | | | | |
5.91% | | 10/25/344 | | | 66,497 | | | | 62,220 | |
JPMorgan Mortgage Trust, | | | | | |
Series 2005-A2, Class 9A1 | | | | | |
6.13% | | 04/25/354 | | | 32,450 | | | | 31,642 | |
MASTR Adjustable Rate Mortgages Trust, | | | | | |
Series 2004-12, Class 5A1 | | | | | |
6.83% | | 10/25/344 | | | 7,654 | | | | 7,439 | |
MASTR Seasoned Securitization Trust, | | | | | |
Series 2004-1, Class 4A1 | | | | | |
7.25% | | 10/25/324 | | | 14,384 | | | | 14,147 | |
Merrill Lynch Mortgage Investors Trust, | | | | | |
Series 2003-A1, Class 2A | | | | | |
(TSFR12M plus 2.34%) | | | | | |
6.54% | | 12/25/322 | | | 88,888 | | | | 88,718 | |
MortgageIT Trust, | | | | | |
Series 2005-1, Class 1A1 | | | | | |
(CME Term SOFR 1-Month plus 0.75%) | | | | | |
5.61% | | 02/25/352 | | | 274,840 | | | | 278,810 | |
Ownit Mortgage Loan Trust, | | | | | |
Series 2006-3, Class A2D | | | | | |
(CME Term SOFR 1-Month plus 0.65%) | | | | | |
5.51% | | 03/25/372 | | | 347,494 | | | | 333,873 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Park Place Securities, Inc., Asset-Backed Pass-Through | |
Certificates, | | | | | |
Series 2004-WHQ2, Class M4 | | | | | |
(CME Term SOFR 1-Month plus 1.69%) | | | | | |
6.54% | | 02/25/352 | | $ | 234,195 | | | $ | 229,951 | |
PRPM LLC, | | | | | |
Series 2021-3, Class A1 (STEP-reset date 10/25/24) | |
4.87% | | 04/25/261 | | | 150,433 | | | | 150,021 | |
Residential Asset Mortgage Products Trust, | | | | | |
Series 2004-SL1, Class A2 | | | | | |
8.50% | | 11/25/31 | | | 34,120 | | | | 11,141 | |
Residential Asset Securities Corp., | | | | | |
Series 2006-KS3, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.44%) | | | | | |
5.46% | | 04/25/362 | | | 152,660 | | | | 151,126 | |
Residential Asset Securitization Trust, | | | | | |
Series 2004-IP2, Class 2A1 | | | | | |
4.00% | | 12/25/344 | | | 47,002 | | | | 42,466 | |
Soundview Home Loan Trust, | | | | | |
Series 2005-OPT1, Class M2 | | | | | |
(CME Term SOFR 1-Month plus 0.79%) | | | | | |
5.64% | | 06/25/352 | | | 272,962 | | | | 268,186 | |
Structured Asset Investment Loan Trust, | | | | | |
Series 2005-HE3, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 0.83%) | | | | | |
5.69% | | 09/25/352 | | | 44,633 | | | | 44,230 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | |
Series 2006-EQ1A, Class A1 | | | | | |
(CME Term SOFR 1-Month plus 0.38%) | | | | | |
5.24% | | 07/25/361,2 | | | 19,782 | | | | 19,762 | |
Terwin Mortgage Trust, | | | | | |
Series 2006-5, Class 1A2B | | | | | |
(CME Term SOFR 1-Month plus 0.53%) | | | | | |
5.39% | | 07/25/371,2 | | | 184,082 | | | | 182,711 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2003-AR6, Class A1 | | | | | |
7.27% | | 06/25/334 | | | 18,430 | | | | 18,102 | |
WaMu Mortgage Pass-Through Certificates, | | | | | |
Series 2005-4, Class CB13 | | | | | |
(CME Term SOFR 1-Month plus 0.61%) | | | | | |
5.47% | | 06/25/352 | | | 70,426 | | | | 59,495 | |
| | | | | |
| | | | 3,874,241 | |
| | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 2.75% | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series KJ34, Class A1 | | | | | |
0.68% | | 06/25/26 | | | 112,686 | | | | 110,769 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series KS07, Class X (IO) | | | | | |
0.72% | | 09/25/254 | | | 3,257,239 | | | | 18,236 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 150 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | | | | | |
Series Q004, Class AFL | | | | | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.74%) | |
5.78% | | 05/25/442 | | $ | 86,138 | | | $ | 86,149 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series Q010, Class APT1 | | | | | |
6.98% | | 04/25/464 | | | 27,115 | | | | 27,153 | |
Ginnie Mae, | | | | | |
Series 2008-92, Class E | | | | | |
5.56% | | 03/16/444 | | | 56,804 | | | | 56,641 | |
Ginnie Mae, | | | | | |
Series 2010-159, Class D | | | | | |
4.56% | | 09/16/444 | | | 89,329 | | | | 88,753 | |
Ginnie Mae, | | | | | |
Series 2011-165, Class IO (IO) | | | | | |
0.00% | | 10/16/514 | | | 2,039,932 | | | | 20 | |
Ginnie Mae, | | | | | |
Series 2011-92, Class C | | | | | |
3.72% | | 04/16/524 | | | 490,175 | | | | 477,857 | |
Ginnie Mae, | | | | | |
Series 2012-135, Class IO (IO) | | | | | |
0.34% | | 01/16/534 | | | 1,534,899 | | | | 17,310 | |
Ginnie Mae, | | | | | |
Series 2014-157, Class C | | | | | |
3.15% | | 10/16/544 | | | 425,500 | | | | 412,767 | |
| | | | | |
| | | | 1,295,655 | |
| | | | | |
| |
| U.S. Agency Mortgage-Backed — 27.97% | | | | | |
Fannie Mae Pool 254548 | | | | | |
5.50% | | 12/01/32 | | | 35,643 | | | | 37,028 | |
Fannie Mae Pool 555098 | | | | | |
(RFUCCT1Y plus 1.62%) | | | | | |
5.91% | | 11/01/322 | | | 4,449 | | | | 4,509 | |
Fannie Mae Pool 555424 | | | | | |
5.50% | | 05/01/33 | | | 24,706 | | | | 25,684 | |
Fannie Mae Pool 655133 | | | | | |
7.00% | | 08/01/32 | | | 4,463 | | | | 4,761 | |
Fannie Mae Pool 655151 | | | | | |
7.00% | | 08/01/32 | | | 3,122 | | | | 3,330 | |
Fannie Mae Pool 762525 | | | | | |
6.50% | | 11/01/33 | | | 7,372 | | | | 7,852 | |
Fannie Mae Pool 770900 | | | | | |
(RFUCCT1Y plus 1.55%) | | | | | |
6.93% | | 04/01/342 | | | 40,120 | | | | 40,568 | |
Fannie Mae Pool AE0443 | | | | | |
6.50% | | 10/01/39 | | | 32,773 | | | | 35,498 | |
Fannie Mae Pool AL0851 | | | | | |
6.00% | | 10/01/40 | | | 27,662 | | | | 29,560 | |
Fannie Mae REMICS, | | | | | |
Series 2001-42, Class SB | | | | | |
(-16.00 X SOFR30A plus 126.17%, 8.50% Cap) | | | | | |
8.50% | | 09/25/312 | | | 427 | | | | 428 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2001-60, Class OF | | | | | |
(SOFR30A plus 1.06%) | | | | | |
6.34% | | 10/25/312 | | $ | 33,099 | | | $ | 33,348 | |
Fannie Mae REMICS, | | | | | |
Series 2002-30, Class FB | | | | | |
(SOFR30A plus 1.11%) | | | | | |
6.39% | | 08/25/312 | | | 29,010 | | | | 29,213 | |
Fannie Mae REMICS, | | | | | |
Series 2003-124, Class TS | | | | | |
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap) | | | | | |
9.80% | | 01/25/342 | | | 5,424 | | | | 5,999 | |
Fannie Mae REMICS, | | | | | |
Series 2004-60, Class FW | | | | | |
(SOFR30A plus 0.56%) | | | | | |
5.84% | | 04/25/342 | | | 51,564 | | | | 51,758 | |
Fannie Mae REMICS, | | | | | |
Series 2004-96, Class MT | | | | | |
(-17.50 X SOFR30A plus 123.12%, 7.00% Cap) | | | | | |
7.00% | | 12/25/342 | | | 10,049 | | | | 10,880 | |
Fannie Mae REMICS, | | | | | |
Series 2005-73, Class DF | | | | | |
(SOFR30A plus 0.36%) | | | | | |
5.64% | | 08/25/352 | | | 42,070 | | | | 41,767 | |
Fannie Mae REMICS, | | | | | |
Series 2007-68, Class SC (IO) | | | | | |
(-1.00 X SOFR30A plus 6.59%, 6.70% Cap) | | | | | |
1.31% | | 07/25/372 | | | 41,262 | | | | 4,869 | |
Fannie Mae REMICS, | | | | | |
Series 2010-109, Class PF | | | | | |
(SOFR30A plus 0.51%) | | | | | |
5.79% | | 10/25/402 | | | 25,091 | | | | 24,933 | |
Fannie Mae REMICS, | | | | | |
Series 2010-26, Class S (IO) | | | | | |
(-1.00 X SOFR30A plus 6.12%, 6.23% Cap) | | | | | |
0.84% | | 11/25/362 | | | 150,114 | | | | 14,736 | |
Fannie Mae REMICS, | | | | | |
Series 2010-95, Class FB | | | | | |
(SOFR30A plus 0.51%) | | | | | |
5.79% | | 09/25/402 | | | 26,070 | | | | 25,913 | |
Fannie Mae REMICS, | | | | | |
Series 2011-47, Class GF | | | | | |
(SOFR30A plus 0.68%) | | | | | |
5.96% | | 06/25/412 | | | 498,800 | | | | 497,265 | |
Fannie Mae REMICS, | | | | | |
Series 2018-79, Class FA | | | | | |
(SOFR30A plus 0.36%) | | | | | |
5.64% | | 11/25/482 | | | 35,116 | | | | 34,533 | |
Fannie Mae REMICS, | | | | | |
Series 2019-79, Class FA | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.89% | | 01/25/502 | | | 86,418 | | | | 85,385 | |
Fannie Mae REMICS, | | | | | |
Series 2020-10, Class FA | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.89% | | 03/25/502 | | | 248,024 | | | | 244,331 | |
See accompanying Notes to Financial Statements.
|
| 151 / Semi-Annual Report September 2024 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, | | | | | |
Series 2024-73, Class FB | | | | | |
(SOFR30A plus 1.20%) | | | | | |
6.50% | | | | | | 10/25/542 | | $ | 530,000 | | | $ | 532,543 | |
Freddie Mac REMICS, | | | | | |
Series 2368, Class AF | | | | | |
(SOFR30A plus 1.06%) | | | | | |
6.41% | | | | | | 10/15/312 | | | 25,757 | | | | 25,944 | |
Freddie Mac REMICS, | | | | | |
Series 2733, Class FB | | | | | |
(SOFR30A plus 0.71%) | | | | | |
6.06% | | | | | | 10/15/332 | | | 236,437 | | | | 236,722 | |
Freddie Mac REMICS, | | | | | |
Series 3085, Class FW | | | | | |
(SOFR30A plus 0.81%) | | | | | |
6.16% | | | | | | 08/15/352 | | | 163,799 | | | | 164,440 | |
Freddie Mac REMICS, | | | | | |
Series 3300, Class FA | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | | | | | 08/15/352 | | | 152,442 | | | | 150,878 | |
Freddie Mac REMICS, | | | | | |
Series 3325, Class NF | | | | | |
(SOFR30A plus 0.41%) | | | | | |
5.76% | | | | | | 08/15/352 | | | 30,623 | | | | 30,309 | |
Freddie Mac REMICS, | | | | | |
Series 3895, Class BF | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.96% | | | | | | 07/15/412 | | | 97,594 | | | | 97,088 | |
Freddie Mac Strips, | | | | | |
Series 263, Class F5 | | | | | |
(SOFR30A plus 0.61%) | | | | | |
5.96% | | | | | | 06/15/422 | | | 127,792 | | | | 126,729 | |
Ginnie Mae (TBA) | | | | | |
4.00% | | | | | | 10/20/54 | | | 250,000 | | | | 241,735 | |
4.50% | | | | | | 10/20/54 | | | 775,000 | | | | 764,972 | |
5.00% | | | | | | 10/20/54 | | | 625,000 | | | | 626,097 | |
5.50% | | | | | | 10/20/54 | | | 300,000 | | | | 302,945 | |
Ginnie Mae II Pool 80546 | | | | | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
3.75% | | | | | | 10/20/312 | | | 3,095 | | | | 3,107 | |
Ginnie Mae II Pool 80610 | | | | | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
4.88% | | | | | | 06/20/322 | | | 44,810 | | | | 45,222 | |
Ginnie Mae II Pool 80614 | | | | | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
3.63% | | | | | | 07/20/322 | | | 4,335 | | | | 4,369 | |
Ginnie Mae II Pool 80687 | | | | | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
4.88% | | | | | | 04/20/332 | | | 36,576 | | | | 36,742 | |
| | | | | | | | | | | | | | |
| | | | |
| 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%) | |
3.63% | | | | | | 08/20/252 | | $ | 1,723 | | | $ | 1,716 | |
Ginnie Mae II Pool MA0331 | | | | | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 1.50%) | |
3.63% | | | | | | 08/20/422 | | | 34,677 | | | | 35,229 | |
Ginnie Mae, | | | | | |
Series 2004-2, Class FW | |
(CME Term SOFR 1-Month plus 1.51%) | |
6.72% | | | | | | 01/16/342 | | | 213,008 | | | | 215,569 | |
Ginnie Mae, | | | | | |
Series 2009-92, Class FC | |
(CME Term SOFR 1-Month plus 0.91%) | |
6.01% | | | | | | 10/16/392 | | | 52,422 | | | | 52,930 | |
Ginnie Mae, | | | | | |
Series 2010-19, Class FD | |
(CME Term SOFR 1-Month plus 0.56%) | |
5.66% | | | | | | 07/16/392 | | | 4,351 | | | | 4,351 | |
Ginnie Mae, | | | | | |
Series 2011-70, Class IL (IO) | |
(-1.00 X CME Term SOFR 1-Month plus 6.99%, 0.60% Cap) | |
0.60% | | | | | | 06/16/372 | | | 829,448 | | | | 15,557 | |
Ginnie Mae, | | | | | |
Series 2023-113, Class FD | |
(SOFR30A plus 1.35%) | |
6.50% | | | | | | 08/20/532 | | | 483,799 | | | | 486,696 | |
Ginnie Mae, | | | | | |
Series 2024-143, Class FB | |
(SOFR30A plus 1.15%) | |
6.49% | | | | | | 09/20/542 | | | 435,000 | | | | 435,680 | |
Ginnie Mae, | | | | | |
Series 2024-144, Class FD | |
(SOFR30A plus 1.15%) | |
6.50% | | | | | | 09/20/54†,2 | | | 530,000 | | | | 529,996 | |
Ginnie Mae, | | | | | |
Series 2024-148, Class AF | |
(SOFR30A plus 1.18%) | |
6.50% | | | | | | 09/20/542 | | | 530,000 | | | | 533,213 | |
UMBS (TBA) | |
3.50% | | | | | | 10/01/39 | | | 425,000 | | | | 416,398 | |
4.00% | | | | | | 10/01/39 | | | 750,000 | | | | 745,578 | |
4.00% | | | | | | 10/01/54 | | | 525,000 | | | | 504,308 | |
4.50% | | | | | | 10/01/39 | | | 1,500,000 | | | | 1,506,225 | |
4.50% | | | | | | 10/01/54 | | | 700,000 | | | | 688,414 | |
5.00% | | | | | | 10/01/39 | | | 1,525,000 | | | | 1,546,182 | |
5.00% | | | | | | 10/01/54 | | | 525,000 | | | | 524,696 | |
5.50% | | | | | | 10/01/54 | | | 250,000 | | | | 252,975 | |
| | | | | |
| | | | 13,179,703 | |
| | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $21,481,900) | | | | 21,212,389 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 152 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
| |
MUNICIPAL BONDS — 0.24%* | | | | | |
| |
Massachusetts — 0.24% | | | | | |
| Commonwealth of Massachusetts Revenue Bonds, Series B | |
4.11% | | | | 07/15/31 | | | $ | 112,863 | | | $ | 111,800 | |
| | | | | |
|
Total Municipal Bonds | |
(Cost $110,417) | | | | | |
|
| U.S. TREASURY SECURITIES — 29.24% | |
| |
| U.S. Agency Discount Notes — 3.94% | | | | | |
U.S. International Development Finance Corp., | |
Series 2 | |
1.49% | | | | 08/15/31 | | | | 2,028,108 | | | | 1,859,094 | |
| | | | | |
| |
U.S. Treasury Notes — 25.30% | | | | | |
U.S. Treasury Notes | |
3.50% | | | | 09/30/26 | | | | 8,995,000 | | | | 8,970,053 | |
U.S. Treasury Notes (WI) | |
3.38% | | | | 09/30/29 | | | | 700,000 | | | | 698,004 | |
3.63% | | | | 09/15/27 | | | | 840,000 | | | | 835,767 | |
4.00% | | | | 08/31/26 | | | | 1,415,000 | | | | 1,417,101 | |
| | | | | |
| | | | 11,920,925 | |
| | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $13,975,919) | | | | 13,780,019 | |
| | | | | |
| |
Total Bonds — 107.68% | | | | | |
(Cost $50,933,438) | | | | 50,740,936 | |
| | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
|
SHORT-TERM INVESTMENTS — 10.00% | |
| |
Money Market Funds — 10.00% | | | | | |
TCW Central Cash Fund | |
0.04%6,7 | | | | | | | | 4,712,000 | | | | 4,712,000 | |
| | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $4,712,000) | | | | | |
| |
Total Investments - 117.68% | | | | | |
(Cost $55,645,438) | | | | 55,452,936 | |
| | | | | |
| |
| Liabilities in Excess of Other Assets - (17.68)% | | | | (8,329,266 | ) |
| | | | | |
| |
Net Assets - 100.00% | | | $ | 47,123,670 | |
| | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 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 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 6 | Represents the current yield as of September 30, 2024. |
| † | Fair valued security. The aggregate value of fair valued securities is $529,996, which is 1.12% 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
(MTN): Medium-Term Note
(REIT): Real Estate Investment Trust
(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback
(SOFR): Secured Overnight Financing Rate
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(TSFR): Term Secured Overnight Financing Rate
(WI): When Issued
| | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement
Date | | | Unrealized
(Depreciation) |
| | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | |
USD 54,703 | | EUR 50,100 | | Citibank N.A. | | | 10/11/24 | | | $ | (1,239) | |
| | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 153 / Semi-Annual Report September 2024 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | Expiration Date | | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
U.S. Treasury Two-Year Note | | 99 | | | 12/31/24 | | | $ | 20,615,977 | | | $ | 55,407 | | | $ | 55,407 | |
| | | | | | | | | | | | | | | | | | |
|
FUTURES CONTRACTS: SHORT POSITIONS | |
U.S. Treasury Five-Year Note | | 74 | | | 12/31/24 | | | | (8,131,328) | | | | (6,471) | | | | (6,471) | |
U.S. Treasury Ten-Year Ultra Bond | | 16 | | | 12/19/24 | | | | (1,892,750) | | | | 2,428 | | | | 2,428 | |
U.S. Treasury Ultra Bond | | 2 | | | 12/19/24 | | | | (266,187) | | | | 1,934 | | | | 1,934 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | (10,290,265) | | | | (2,109) | | | | (2,109) | |
| | | | | | | | | | | | | | | | | | |
| | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 10,325,712 | | | $ | 53,298 | | | $ | 53,298 | |
| | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 154 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
BONDS – 98.08% | | | | | |
| |
ASSET-BACKED SECURITIES — 13.29%** | | | | | |
321 Henderson Receivables VI LLC, | | | | | |
Series 2010-1A, Class B | | | | | |
9.31% | | | 07/15/611 | | $ | 111,023 | | | $ | 112,771 | |
AMSR Trust, | | | | | |
Series 2020-SFR1, Class G | | | | | |
4.31% | | | | | | 04/17/371 | | | 10,503,000 | | | | 10,384,914 | |
AMSR Trust, | | | | | |
Series 2020-SFR3, Class H | | | | | |
6.50% | | | | | | 09/17/371 | | | 6,000,000 | | | | 5,964,539 | |
AMSR Trust, | | | | | |
Series 2022-SFR3, Class E1 | | | | | |
4.00% | | | | | | 10/17/391 | | | 10,000,000 | | | | 9,512,140 | |
Blackrock Rainier CLO VI Ltd., | | | | | |
Series 2021-6A, Class A | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.96%) | | | | | |
7.24% | | | | | | 04/20/331,2,3 | | | 10,000,000 | | | | 10,000,500 | |
BlueMountain Fuji U.S. CLO I Ltd., | | | | | |
Series 2017-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.76%) | | | | | |
7.04% | | | | | | 07/20/291,2,3 | | | 5,500,000 | | | | 5,492,630 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-N3, Class R | | | | | |
0.00% | | | | | | 06/12/281 | | | 19,250 | | | | 1,265,744 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-N4, Class R | | | | | |
0.00% | | | | | | 09/12/281 | | | 26,800 | | | | 1,384,641 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2021-P4, Class R | | | | | |
0.00% | | | | | | 09/11/281 | | | 14,200 | | | | 2,818,416 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2022-N1, Class R | | | | | |
0.00% | | | | | | 12/11/281 | | | 71,000 | | | | 4,936,410 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2022-P2, Class R | | | | | |
1.00% | | | | | | 05/10/291 | | | 54,850 | | | | 7,645,370 | |
Carvana Auto Receivables Trust, | | | | | |
Series 2023-P3, Class R | | | | | |
0.00% | | | | | | 08/12/301 | | | 16,200 | | | | 2,825,385 | |
CIFC Funding 2014 Ltd., | | | | | |
Series 2014-1A, Class BR2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.66%) | | | | | |
6.94% | | | | | | 01/18/311,2,3 | | | 8,525,000 | | | | 8,511,531 | |
CIT Education Loan Trust, | | | | | |
Series 2007-1, Class B | | | | | |
(SOFR90A plus 0.56%) | | | | | |
5.91% | | | | | | 06/25/421,2 | | | 1,789,220 | | | | 1,659,827 | |
Clover CLO LLC, | | | | | |
Series 2018-1A, Class B1RR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.95%) | | | | | |
7.27% | | | | | | 04/20/371,2,3 | | | 9,300,000 | | | | 9,337,665 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
|
ASSET-BACKED SECURITIES (continued) | |
CoreVest American Finance Trust, | | | | | |
Series 2019-3, Class XA (IO) | | | | | |
2.14% | | | | | | 10/15/521,4 | | $ | 1,767,336 | | | $ | 16,494 | |
CoreVest American Finance Trust, | | | | | |
Series 2020-1, Class A2 | | | | | |
2.30% | | | | | | 03/15/501 | | | 5,197,000 | | | | 4,922,092 | |
CoreVest American Finance Trust, | | | | | |
Series 2020-4, Class XA (IO) | | | | | |
3.99% | | | | | | 12/15/521,4 | | | 12,619,970 | | | | 472,107 | |
CoreVest American Finance Trust, | | | | | |
Series 2020-4, Class XB (IO) | | | | | |
2.94% | | | | | | 12/15/521,4 | | | 12,500,000 | | | | 746,607 | |
CoreVest American Finance Trust, | | | | | |
Series 2021-3, Class XA (IO) | | | | | |
2.53% | | | | | | 10/15/541,4 | | | 60,753,721 | | | | 2,339,766 | |
DataBank Issuer, | | | | | |
Series 2021-1A, Class A2 | | | | | |
2.06% | | | | | | 02/27/511 | | | 6,047,860 | | | | 5,769,743 | |
Elmwood CLO 30 Ltd., | | | | | |
Series 2024-6A, Class B | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
7.05% | | | | | | 07/17/371,2,3 | | | 6,000,000 | | | | 6,011,580 | |
Exeter Automobile Receivables Trust, | | | | | |
Series 2023-3A, Class D | | | | | |
6.68% | | | | | | 04/16/29 | | | 6,120,000 | | | | 6,336,677 | |
Flexential Issuer, | | | | | |
Series 2021-1A, Class C | | | | | |
6.93% | | | | | | 11/27/511 | | | 9,755,000 | | | | 9,374,494 | |
FRTKL, | | | | | |
Series 2021-SFR1, Class G | | | | | |
4.11% | | | | | | 09/17/381 | | | 9,435,000 | | | | 8,729,657 | |
GBX Leasing, | | | | | |
Series 2022-1, Class A | | | | | |
2.87% | | | | | | 02/20/521 | | | 9,049,380 | | | | 8,383,983 | |
Goal Capital Funding Trust, | | | | | |
Series 2006-1, Class B | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
5.78% | | | | | | 08/25/422 | | | 168,069 | | | | 160,931 | |
GoldenTree Loan Management U.S. CLO 20 Ltd., | | | | | |
Series 2024-20A, Class B | | | | | |
(United Kingdom) | | | | | |
(CME Term SOFR 3-Month plus 1.80%) | | | | | |
7.13% | | | | | | 07/20/371,2,3 | | | 5,240,000 | | | | 5,256,087 | |
Hertz Vehicle Financing III LP, | | | | | |
Series 2021-2A, Class C | | | | | |
2.52% | | | | | | 12/27/271 | | | 5,569,500 | | | | 5,198,300 | |
Hertz Vehicle Financing LLC, | | | | | |
Series 2022-4A, Class D | | | | | |
6.56% | | | | | | 09/25/261 | | | 4,532,000 | | | | 4,471,536 | |
Hotwire Funding LLC, | | | | | |
Series 2024-1A, Class A2 | | | | | |
5.89% | | | | | | 06/20/541 | | | 2,445,000 | | | | 2,511,949 | |
|
| See accompanying Notes to Financial Statements. |
|
| 155 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
HPS Loan Management Ltd., | | | | | |
Series 2024-20A, Class B1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.85%) | | | | | |
7.09% | | | | | | 07/25/371,2,3 | | $ | 4,850,000 | | | $ | 4,867,363 | |
LAD Auto Receivables Trust, | | | | | |
Series 2023-3A, Class D | | | | | |
6.92% | | | | | | 12/16/301 | | | 4,000,000 | | | | 4,192,831 | |
Madison Park Funding XXVII Ltd., | | | | | |
Series 2018-27A, Class A2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.61%) | | | | | |
6.89% | | | | | | 04/20/301,2,3 | | | 2,330,000 | | | | 2,330,140 | |
Madison Park Funding XXXIX Ltd., | | | | | |
Series 2021-39A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
6.82% | | | | | | 10/22/341,2,3 | | | 8,000,000 | | | | 8,009,264 | |
Magnetite XXI Ltd., | | | | | |
Series 2019-21A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.61%) | | | | | |
6.89% | | | | | | 04/20/341,2,3 | | | 8,000,000 | | | | 8,010,240 | |
MetroNet, | | | | | |
Series 2023-3, Class A | | | | | |
7.95% | | | | | | 04/20/531,5,6 | | | 2,650,000 | | | | 2,709,521 | |
Nelnet Student Loan Trust, | | | | | |
Series 2006-2, Class B | | | | | |
(SOFR90A plus 0.46%) | | | | | |
5.82% | | | | | | 01/25/382 | | | 2,083,625 | | | | 1,882,158 | |
OHA Credit Funding 8 Ltd., | | | | | |
Series 2021-8A, Class B1 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.76%) | | | | | |
7.04% | | | | | | 01/18/341,2,3 | | | 6,650,000 | | | | 6,650,333 | |
Owl Rock CLO XV LLC, | | | | | |
Series 2024-15A, Class A | | | | | |
(CME Term SOFR 3-Month plus 2.30%) | | | | | |
7.58% | | | | | | 01/20/361,2 | | | 4,650,000 | | | | 4,697,435 | |
Palmer Square CLO Ltd., | | | | | |
Series 2024-3A, Class SUB | | | | | |
(Cayman Islands) | | | | | |
0.00% | | | | | | 07/20/371,3,4 | | | 3,975,000 | | | | 3,737,295 | |
Park Avenue Institutional Advisers CLO Ltd., | | | | | |
Series 2021-1A, Class A2 | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 2.01%) | | | | | |
7.29% | | | | | | 01/20/341,2,3 | | | 4,850,000 | | | | 4,850,534 | |
Progress Residential Trust, | | | | | |
Series 2021-SFR2, Class G | | | | | |
4.25% | | | | | | 04/19/381 | | | 7,956,000 | | | | 7,778,143 | |
Progress Residential, | | | | | |
Series 2021-SFR1, Class F | | | | | |
2.76% | | | | | | 04/17/381 | | | 4,237,000 | | | | 4,055,598 | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class F | | | | | |
3.44% | | | | | | 05/17/261 | | | 3,700,000 | | | | 3,544,738 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
Progress Residential, | | | | | |
Series 2021-SFR3, Class G | | | | | |
4.25% | | | | | | 05/17/261 | | $ | 15,752,000 | | | $ | 15,035,824 | |
Rad CLO 22 Ltd., | | | | | |
Series 2023-22A, Class D | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 5.00%) | | | | | |
10.28% | | | | | | 01/20/371,2,3 | | | 3,940,000 | | | | 4,058,239 | |
Rad CLO 7 Ltd., | | | | | |
Series 2020-7A, Class B1R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.90%) | | | | | |
7.19% | | | | | | 04/17/361,2,3 | | | 7,280,000 | | | | 7,287,280 | |
Regata XII Funding Ltd., | | | | | |
Series 2019-1A, Class BR | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.86%) | | | | | |
7.16% | | | | | | 10/15/321,2,3 | | | 3,890,000 | | | | 3,890,311 | |
Sabey Data Center Issuer LLC, | | | | | |
Series 2020-1, Class A2 | | | | | |
3.81% | | | | | | 04/20/451 | | | 7,905,000 | | | | 7,808,942 | |
Skyline Aircraft Finance LLC, | | | | | |
Series 2021-1, Class A | | | | | |
3.23% | | | | | | 05/10/375,6 | | | 8,183,552 | | | | 7,572,982 | |
SLC Student Loan Trust, | | | | | |
Series 2004-1, Class B | | | | | |
(SOFR90A plus 0.55%) | | | | | |
5.92% | | | | | | 08/15/312 | | | 260,147 | | | | 229,446 | |
SLM Student Loan EDC Repackaging Trust, | | | | | |
Series 2013-M1, Class M1R | | | | | |
0.00% | | | | | | 10/28/291 | | | 6,250 | | | | 1,701,866 | |
SLM Student Loan Trust, | | | | | |
Series 2003-12, Class B | | | | | |
(SOFR90A plus 0.85%) | | | | | |
6.22% | | | | | | 12/15/682 | | | 2,089,121 | | | | 1,999,175 | |
SLM Student Loan Trust, | | | | | |
Series 2003-4, Class A5D | | | | | |
(SOFR90A plus 1.01%) | | | | | |
6.38% | | | | | | 03/15/331,2 | | | 972,166 | | | | 957,588 | |
SLM Student Loan Trust, | | | | | |
Series 2003-7, Class B | | | | | |
(SOFR90A plus 0.83%) | | | | | |
6.20% | | | | | | 09/15/392 | | | 1,444,433 | | | | 1,374,630 | |
SLM Student Loan Trust, | | | | | |
Series 2004-10, Class B | | | | | |
(SOFR90A plus 0.63%) | | | | | |
5.99% | | | | | | 01/25/402 | | | 5,350,589 | | | | 5,026,197 | |
SLM Student Loan Trust, | | | | | |
Series 2004-2, Class B | | | | | |
(SOFR90A plus 0.73%) | | | | | |
6.09% | | | | | | 07/25/392 | | | 264,085 | | | | 252,641 | |
SLM Student Loan Trust, | | | | | |
Series 2005-3, Class B | | | | | |
(SOFR90A plus 0.41%) | | | | | |
5.77% | | | | | | 04/25/402 | | | 1,778,935 | | | | 1,685,011 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 156 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2006-8, Class B | | | | | |
(SOFR90A plus 0.49%) | | | | | |
5.85% | | | | | | 01/25/412 | | $ | 1,847,988 | | | $ | 1,731,440 | |
SLM Student Loan Trust, | | | | | |
Series 2007-7, Class B | | | | | |
(SOFR90A plus 1.01%) | | | | | |
6.37% | | | | | | 10/27/702 | | | 2,195,000 | | | | 2,200,288 | |
SLM Student Loan Trust, | | | | | |
Series 2007-8, Class B | | | | | |
(SOFR90A plus 1.26%) | | | | | |
6.62% | | | | | | 04/27/832 | | | 2,960,991 | | | | 2,846,845 | |
SLM Student Loan Trust, | | | | | |
Series 2008-2, Class B | | | | | |
(SOFR90A plus 1.46%) | | | | | |
6.82% | | | | | | 01/25/832 | | | 1,000,000 | | | | 1,029,975 | |
SLM Student Loan Trust, | | | | | |
Series 2008-3, Class B | | | | | |
(SOFR90A plus 1.46%) | | | | | |
6.82% | | | | | | 04/26/832 | | | 710,000 | | | | 725,637 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class A4 | | | | | |
(SOFR90A plus 1.91%) | | | | | |
7.27% | | | | | | 07/25/222 | | | 422,403 | | | | 424,035 | |
SLM Student Loan Trust, | | | | | |
Series 2008-4, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | | | | | 04/25/732 | | | 710,000 | | | | 738,921 | |
SLM Student Loan Trust, | | | | | |
Series 2008-5, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | | | | | 07/25/732 | | | 7,315,000 | | | | 7,491,281 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class A4 | | | | | |
(SOFR90A plus 1.36%) | | | | | |
6.72% | | | | | | 07/25/232 | | | 5,428,180 | | | | 5,411,746 | |
SLM Student Loan Trust, | | | | | |
Series 2008-6, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | | | | | 07/26/832 | | | 710,000 | | | | 728,973 | |
SLM Student Loan Trust, | | | | | |
Series 2008-7, Class B | | | | | |
(SOFR90A plus 2.11%) | | | | | |
7.47% | | | | | | 07/26/832 | | | 820,000 | | | | 833,415 | |
SLM Student Loan Trust, | | | | | |
Series 2012-1, Class A3 | | | | | |
(SOFR30A plus 1.06%) | | | | | |
6.34% | | | | | | 09/25/282 | | | 427,306 | | | | 421,583 | |
SLM Student Loan Trust, | | | | | |
Series 2012-2, Class A | | | | | |
(SOFR30A plus 0.81%) | | | | | |
6.09% | | | | | | 01/25/292 | | | 660,677 | | | | 644,974 | |
SLM Student Loan Trust, | | | | | |
Series 2012-7, Class B | | | | | |
(SOFR30A plus 1.91%) | | | | | |
7.19% | | | | | | 09/25/432 | | | 2,200,000 | | | | 2,206,840 | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | Principal Amount | | | Value |
| |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, | | | | | |
Series 2014-1, Class A3 | | | | | |
(SOFR30A plus 0.71%) | | | | | |
5.99% | | | | | | 02/26/292 | | $ | 562,238 | | | $ | 546,334 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-A, Class B | | | | | |
7.61% | | | | | | 01/16/461 | | | 1,233,516 | | | | 1,265,840 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-B, Class B | | | | | |
7.97% | | | | | | 08/15/361 | | | 936,099 | | | | 969,233 | |
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 | | | | 138,633 | |
TCI-Flatiron CLO Ltd., | | | | | |
Series 2017-1A, Class B | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.82%) | | | | | |
6.92% | | | | | | 11/18/301,2,3 | | | 5,090,000 | | | | 5,087,201 | |
Textainer Marine Containers VII Ltd., | | | | | |
Series 2020-3A, Class A | | | | | |
(Bermuda) | | | | | |
2.11% | | | | | | 09/20/451,3 | | | 5,533,200 | | | | 5,173,838 | |
TIAA CLO IV Ltd. | | | | | |
Series 2018-1A, Class A2R | | | | | |
(Cayman Islands) | | | | | |
(CME Term SOFR 3-Month plus 1.75%) | | | | | |
7.03% | | | | | | 01/20/321,2,3 | | | 8,000,000 | | | | 7,994,960 | |
TIF Funding II LLC, | | | | | |
Series 2020-1A, Class A | | | | | |
2.09% | | | | | | 08/20/451 | | | 2,462,350 | | | | 2,298,856 | |
TIF Funding II, LLC, | | | | | |
Series 2021-1A, Class B | | | | | |
2.54% | | | | | | 02/20/461 | | | 2,794,625 | | | | 2,522,440 | |
Triton Container Finance VIII, LLC, | | | | | |
Series 2021-1A, Class B | | | | | |
2.58% | | | | | | 03/20/461 | | | 2,153,163 | | | | 1,958,988 | |
Vantage Data Centers Jersey Borrower Spv Ltd., | | | | | |
Series 2024-1A, Class A2 | | | | | |
(United Kingdom) | | | | | |
6.17% | | | | | | 05/28/391,3 | | | 3,000,000 | | | | 4,091,865 | |
Westlake Automobile Receivables Trust, | | | | | |
Series 2023-3A, Class D | | | | | |
6.47% | | | | | | 03/15/291 | | | 9,640,000 | | | | 9,942,910 | |
Westlake Automobile Receivables Trust, | | | | | |
Series 2024-1A, Class D | | | | | |
6.02% | | | 10/15/291 | | | 6,390,000 | | | | 6,571,784 | |
| | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $389,943,451) | | | | 354,749,046 | |
| | | | | |
| |
BANK LOANS — 3.41%* | | | | | |
| |
Automotive — 0.01% | | | | | |
First Brands Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.51% | | | | | | 03/30/272 | | | 250,883 | | | | 248,649 | |
| | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| 157 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Communications — 0.20% | | | | | |
CCI Buyer, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
8.60% | | 12/17/272 | | $ | 1,458,438 | | | $ | 1,458,212 | |
CSC Holdings LLC, | | | | | |
Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
7.44% | | 04/15/272 | | | 896,800 | | | | 823,137 | |
Numericable U.S. LLC, | | | | | |
Term Loan B14, 1st Lien | | | | | |
(SOFR plus 5.50%) | | | | | |
10.80% | | 08/15/282 | | | 608,137 | | | | 457,623 | |
Research Now LLC, | | | | | |
Term Loan | | | | | |
(SOFR plus 5.50%) | | | | | |
10.38% | | 04/22/252 | | | 213,621 | | | | 214,511 | |
Virgin Media Bristol LLC, | | | | | |
Term Loan N, 1st Lien | | | | | |
(SOFR plus 2.61%) | | | | | |
7.71% | | 01/31/282 | | | 938,024 | | | | 898,937 | |
Zayo Group Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.00%) | | | | | |
7.96% | | 03/09/272 | | | 563,487 | | | | 516,354 | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 03/09/272 | | | 1,031,800 | | | | 953,966 | |
| | | | | |
| | | | 5,322,740 | |
| | | | | |
| |
| Consumer Discretionary — 0.18% | | | | | |
ADMI Corp., | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 3.49%) | | | | | |
8.33% | | 12/23/272 | | | 557,158 | | | | 543,647 | |
BrewCo Borrower LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
9.06% | | 04/05/282 | | | 594,720 | | | | 487,670 | |
(SOFR plus 6.25%) | | | | | |
11.55% | | 04/05/282 | | | 247,576 | | | | 219,105 | |
City Brewing Co. LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.26%) | | | | | |
10.56% | | 04/05/282,7 | | | 933,300 | | | | 492,316 | |
Hanesbrands, Inc., | | | | | |
Term Loan A, 1st Lien | | | | | |
(SOFR plus 2.10%) | | | | | |
6.95% | | 11/19/262 | | | 719,102 | | | | 712,810 | |
Hilton Worldwide Finance LLC, | | | | | |
Term Loan B4, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.57% | | 11/08/302 | | | 92,264 | | | | 92,348 | |
Naked Juice, LLC, | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 6.10%) | | | | | |
10.70% | | 01/24/302 | | | 1,110,195 | | | | 690,464 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
Osmosis Buyer Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.34% | | 07/31/282 | | $ | 380,034 | | | $ | 380,014 | |
Triton Water Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.51%) | | | | | |
8.12% | | 03/31/282 | | | 1,195,603 | | | | 1,194,886 | |
| | | | | |
| | | | 4,813,260 | |
| | | | | |
| |
| Diversified REITs — 0.03% | | | | | |
SBA Senior Finance II LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 1.75%) | | | | | |
6.71% | | 01/25/312 | | | 674,214 | | | | 675,162 | |
| | | | | |
| |
| Electric — 0.07% | | | | | |
Alpha Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 09/19/312 | | | 983,692 | | | | 985,099 | |
Edgewater Generation LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 08/01/302 | | | 320,691 | | | | 323,898 | |
Lackawanna Energy Center LLC, | | | | | |
Term Loan B2, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | 08/06/292 | | | 154,327 | | | | 155,677 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
9.86% | | 08/06/292 | | | 33,724 | | | | 34,019 | |
South Field Energy LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/312 | | | 256,299 | | | | 257,527 | |
Term Loan C, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 08/29/312 | | | 15,720 | | | | 15,795 | |
Vistra Operations Co. LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 12/20/302 | | | 188,763 | | | | 188,989 | |
| | | | | |
| | | | 1,961,004 | |
| | | | | |
| |
| Entertainment — 0.06% | | | | | |
Showtime Acquisition LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.85% | | 08/13/312 | | | 1,019,668 | | | | 1,015,528 | |
William Morris Endeavor Entertainment LLC, | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.86%) | | | | | |
7.71% | | 05/18/252 | | | 582,285 | | | | 583,377 | |
| | | | | |
| | | | 1,598,905 | |
| | | | | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 158 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Finance — 0.08% | | | | | |
Avolon TLB Borrower 1 U.S. LLC, | | | | | |
Term Loan B6, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.96% | | 06/22/282 | | $ | 452,534 | | | $ | 454,001 | |
Deerfield Dakota Holding LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 04/09/272 | | | 197,111 | | | | 193,378 | |
Jane Street Group LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.61%) | | | | | |
7.65% | | 01/26/282 | | | 960,043 | | | | 960,258 | |
Telenet Financing USD LLC, | | | | | |
Term Loan AR, 1st Lien | | | | | |
(SOFR plus 2.11%) | | | | | |
7.21% | | 04/30/282 | | | 472,296 | | | | 456,210 | |
| | | | | |
| | | | 2,063,847 | |
| | | | | |
| |
| Food — 0.04% | | | | | |
8th Avenue Food & Provisions, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 10/01/252 | | | 139,320 | | | | 135,489 | |
United Natural Foods, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 04/25/312 | | | 1,010,314 | | | | 1,015,366 | |
| | | | | |
| | | | 1,150,855 | |
| | | | | |
| |
| Gaming — 0.09% | | | | | |
Caesars Entertainment, Inc., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 02/06/312 | | | 1,213,210 | | | | 1,215,012 | |
Ontario Gaming Gta Ltd. Partnership, | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(SOFR plus 4.25%) | | | | | |
8.89% | | 08/01/302,3 | | | 610,306 | | | | 610,495 | |
Penn National Gaming, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.70% | | 05/03/292 | | | 600,099 | | | | 602,163 | |
| | | | | |
| | | | 2,427,670 | |
| | | | | |
| |
| Health Care — 0.39% | | | | | |
ADMI Corp., | | | | | |
Term Loan B1, 1st Lien | | | | | |
(SOFR plus 5.75%) | | | | | |
10.60% | | 12/23/272 | | | 284,067 | | | | 284,865 | |
Bausch + Lomb Corp., | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(SOFR plus 3.35%) | | | | | |
8.27% | | 05/10/272,3 | | | 307,592 | | | | 306,866 | |
Catalent Pharma Solutions, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 2.11%) | | | | | |
7.03% | | 02/22/282 | | | 1,200,516 | | | | 1,201,080 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Grifols Worldwide Operations USA, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.15%) | | | | | |
7.40% | | 11/15/272 | | $ | 865,473 | | | $ | 842,754 | |
Jazz Financing Lux SARL, | | | | | |
Term Loan B2, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 2.25%) | | | | | |
7.10% | | 05/05/282,3 | | | 3,046,498 | | | | 3,046,773 | |
Medline Borrower LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.60% | | 10/23/282 | | | 444,100 | | | | 444,782 | |
Modivcare, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
10.08% | | 07/01/312 | | | 2,623,307 | | | | 2,484,770 | |
NSM Top Holdings Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
10.10% | | 05/14/292 | | | 322,454 | | | | 323,673 | |
Pathway Vet Alliance LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 03/31/272 | | | 1,105,303 | | | | 936,053 | |
Star Parent, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.35% | | 09/27/302 | | | 407,641 | | | | 397,221 | |
U.S. Renal Care, Inc., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.11%) | | | | | |
9.96% | | 06/20/282 | | | 206,172 | | | | 188,750 | |
| | | | | |
| | | | 10,457,587 | |
| | | | | |
| |
| Health Care REITs — 0.23% | | | | | |
Aveanna Healthcare LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.85%) | | | | | |
8.91% | | 07/17/282 | | | 2,910,585 | | | | 2,849,826 | |
Healthpeak Properties, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 0.94%) | | | | | |
5.87% | | 02/22/272 | | | 824,832 | | | | 810,397 | |
5.87% | | 08/20/272 | | | 824,832 | | | | 810,398 | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 0.85%) | | | | | |
5.79% | | 03/01/292 | | | 1,664,689 | | | | 1,633,476 | |
| | | | | |
| | | | 6,104,097 | |
| | | | | |
| |
| Industrials — 0.54% | | | | | |
Alliance Laundry Systems LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.50%) | | | | | |
8.35% | | 08/19/312 | | | 340,662 | | | | 341,559 | |
|
| See accompanying Notes to Financial Statements. |
|
| 159 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Industrials (continued) | | | | | |
Artera Services LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.50%) | | | | | |
9.47% | | 02/15/312 | | $ | 683,393 | | | $ | 667,907 | |
ASP Blade Holdings, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.26%) | | | | | |
8.87% | | 10/13/282 | | | 511,354 | | | | 380,320 | |
Berry Global, Inc., | | | | | |
Term Loan AA, 1st Lien | | | | | |
(SOFR plus 2.01%) | | | | | |
7.32% | | 07/01/292 | | | 1,758,651 | | | | 1,765,870 | |
Coherent Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.50%) | | | | | |
7.35% | | 07/02/292 | | | 241,092 | | | | 241,468 | |
DG Investment Intermediate Holdings 2, Inc., | | | | | |
Delayed-Draw Term Loan, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.69% | | 03/31/282 | | | 48,008 | | | | 47,963 | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.75%) | | | | | |
8.69% | | 03/31/282 | | | 597,219 | | | | 596,660 | |
DTI Holdco, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 04/26/292 | | | 240,081 | | | | 241,325 | |
Michaels Cos., Inc. (The), | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.51%) | | | | | |
9.12% | | 04/15/282 | | | 3,386,250 | | | | 2,686,990 | |
Plaze, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.86%) | | | | | |
8.71% | | 08/03/262 | | | 3,368,750 | | | | 3,146,985 | |
Term Loan B, 1st Lien (Luxembourg) | | | | | |
(SOFR plus 3.61%) | | | | | |
8.46% | | 08/03/262,3 | | | 1,667,694 | | | | 1,557,910 | |
ProAmpac PG Borrower LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.00%) | | | | | |
9.12% - 9.30% | | 09/15/282 | | | 1,339,380 | | | | 1,343,063 | |
Transdigm, Inc., | | | | | |
Term Loan I, 1st Lien | | | | | |
(SOFR plus 2.75%) | | | | | |
7.35% | | 08/24/282 | | | 1,277,491 | | | | 1,278,392 | |
| | | | | |
| | | | 14,296,412 | |
| | | | | |
| |
| Information Technology — 0.65% | | | | | |
Arches Buyer, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.35%) | | | | | |
8.40% | | 12/06/272 | | | 580,696 | | | | 558,235 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
| |
Information Technology (continued) | | | | | |
Athenahealth Group, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.10% | | 02/15/292 | | $ | 436,351 | | | $ | 434,353 | |
BMC Software (Boxer/Bladelogic), | | | | | |
Term Loan, 2nd Lien | | | | | |
(SOFR plus 5.75%) | | | | | |
11.01% | | 07/03/322 | | | 1,264,027 | | | | 1,246,122 | |
Buzz Merger Sub Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.85%) | | | | | |
7.70% | | 01/29/272 | | | 348,084 | | | | 347,359 | |
Central Parent LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.25%) | | | | | |
8.22% | | 07/06/292 | | | 300,000 | | | | 297,251 | |
Delivery Hero SE, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 5.00%) | | | | | |
10.10% | | 12/12/292 | | | 380,048 | | | | 382,252 | |
EagleView Technology Co., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.76%) | | | | | |
8.37% | | 08/14/252 | | | 5,025,064 | | | | 4,809,740 | |
Gainwell Acquisition Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.10%) | | | | | |
8.70% | | 10/01/272 | | | 2,180,702 | | | | 2,081,207 | |
Indy U.S. Holdco LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 4.75%) | | | | | |
9.60% | | 03/06/282 | | | 315,601 | | | | 315,076 | |
Iron Mountain Information Management LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 2.00%) | | | | | |
6.85% | | 01/31/312 | | | 495,338 | | | | 493,171 | |
MH Sub I LLC, | | | | | |
Term Loan B3, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 05/03/282 | | | 280,118 | | | | 278,676 | |
NortonLifeLock, Inc., | | | | | |
Term Loan A2, 1st Lien | | | | | |
(SOFR plus 1.60%) | | | | | |
6.45% | | 09/10/272 | | | 1,290,796 | | | | 1,290,157 | |
RealPage, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(SOFR plus 3.11%) | | | | | |
7.96% | | 04/24/282 | | | 570,003 | | | | 554,043 | |
Renaissance Holding Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 4.25%) | | | | | |
9.10% | | 04/05/302 | | | 596,171 | | | | 596,612 | |
Research Now Group LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(SOFR plus 5.76%) | | | | | |
10.88% | | 10/16/282 | | | 365,628 | | | | 339,351 | |
|
| See accompanying Notes to Financial Statements. |
|
| Semi-Annual Report September 2024 / 160 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Information Technology (continued) | |
Spin Holdco, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.26%) | |
9.26% | | | 03/04/282 | | | $ | 2,149,521 | | | $ | 1,891,137 | |
Xerox Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.00%) | |
8.60% - 8.85% | | | 11/15/292 | | | | 1,567,747 | | | | 1,564,808 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 17,479,550 | |
| | | | | | | | | | | | | | |
|
| Insurance — 0.26% | |
Acrisure LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 3.00%) | |
7.96% | | | 02/16/272 | | | | 1,783,473 | | | | 1,781,618 | |
AmWINS Group, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 2.36%) | |
7.21% | | | 02/19/282 | | | | 2,700,344 | | | | 2,699,075 | |
Asurion LLC, | |
Term Loan B10, 1st Lien | |
(SOFR plus 4.10%) | |
8.95% | | | 08/19/282 | | | | 980,000 | | | | 965,476 | |
Term Loan B4, 2nd Lien | |
(SOFR plus 5.36%) | |
10.21% | | | 01/20/292 | | | | 300,000 | | | | 278,367 | |
Term Loan B8, 1st Lien | |
(SOFR plus 3.36%) | |
8.41% | | | 12/23/262 | | | | 1,090,022 | | | | 1,090,382 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,814,918 | |
| | | | | | | | | | | | | | |
|
| Materials — 0.16% | |
Amer Rock Salt Co. LLC, | |
Delayed-Draw Term Loan | |
(SOFR plus 4.00%) | |
9.00% | | | 06/12/282 | | | | 381,851 | | | | 381,851 | |
Term Loan, 1st Lien | |
(SOFR plus 4.00%) | |
9.32% | | | 06/12/282 | | | | 358,791 | | | | 358,791 | |
Chemours Co. (The), | |
Term Loan B3, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | | 08/18/282 | | | | 509,899 | | | | 510,855 | |
Herens U.S. Holdco Corp., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.03%) | |
8.99% | | | 07/03/282 | | | | 1,679,432 | | | | 1,575,047 | |
Schweitzer-Mauduit International, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | | 04/20/282 | | | | 1,567,868 | | | | 1,569,177 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 4,395,721 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
| BANK LOANS (continued) | |
|
| Retail — 0.23% | |
1011778 BC Unlimited Liability Co., | |
Term Loan B6, 1st Lien (Canada) | |
(SOFR plus 1.75%) | |
6.60% | | | 09/20/302,3 | | | $ | 1,007,394 | | | $ | 998,942 | |
BW Gas & Convenience Holdings LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 3.61%) | |
8.46% | | | 03/31/282 | | | | 3,483,000 | | | | 3,485,194 | |
KFC Holding Co., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.88% | | | 03/15/282 | | | | 455,825 | | | | 458,389 | |
Peer Holding III BV, | |
Term Loan B5, 1st Lien (Netherlands) | |
(SOFR plus 3.00%) | |
7.60% | | | 07/01/312,3 | | | | 1,099,940 | | | | 1,104,753 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,047,278 | |
| | | | | | | | | | | | | | |
|
| Services — 0.17% | |
Boost Newco Borrower LLC, | |
Term Loan B1, 1st Lien | |
(SOFR plus 2.50%) | |
7.10% | | | 01/31/312 | | | | 314,033 | | | | 314,556 | |
City Football Group Ltd., | |
Term Loan B1, 1st Lien (United Kingdom) | |
(SOFR plus 3.11%) | |
7.97% | | | 07/21/302,3 | | | | 485,642 | | | | 484,428 | |
Clean Harbors, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 1.86%) | |
6.71% | | | 10/08/282 | | | | 1,152,810 | | | | 1,157,278 | |
Element Materials Technology Group U.S. Holdings, Inc., | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | | | | | |
9.42% | | | 06/25/292 | | | | 278,784 | | | | 279,831 | |
Pre-Paid Legal Services, Inc., | |
Term Loan, 1st Lien | |
(SOFR plus 3.86%) | |
8.71% | | | 12/15/282 | | | | 530,835 | | | | 531,101 | |
Ryan LLC, | |
Term Loan, 1st Lien | |
(SOFR plus 3.50%) | |
8.35% | | | 11/14/302 | | | | 396,726 | | | | 392,924 | |
Sabre GLBL, Inc., | |
Term Loan B2, 1st Lien | |
(SOFR plus 5.10%) | |
9.95% | | | 06/30/282 | | | | 294,105 | | | | 280,607 | |
TransUnion Intermediate Holdings, Inc., | |
Term Loan B7, 1st Lien | |
(SOFR plus 2.00%) | |
6.85% | | | 12/01/282 | | | | 597,344 | | | | 597,717 | |
Term Loan B8, 1st Lien | |
(SOFR plus 1.75%) | |
6.71% | | | 06/24/312 | | | | 262,142 | | | | 261,919 | |
See accompanying Notes to Financial Statements.
|
| 161 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
BANK LOANS (continued) | | | | | |
|
Services (continued) | |
TruGreen LP, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.10%) | |
8.95% | | 11/02/272 | | $ | 169,059 | | | $ | 163,903 | |
| | | | | |
| | | | 4,464,264 | |
| | | | | |
| |
| Transportation — 0.02% | | | | | |
Third Coast Infrastructure LLC, | |
Term Loan B, 1st Lien | |
(SOFR plus 4.25%) | |
9.10% | | 09/25/302 | | | 667,940 | | | | 664,600 | |
| | | | | |
| |
| Total Bank Loans | | | | | |
(Cost $93,234,009) | | | | 90,986,519 | |
| | | | | |
| |
| CORPORATES — 18.80%* | | | | | |
| |
| Banking — 4.31% | | | | | |
Bank of America Corp. | |
1.73% | | 07/22/274 | | | 611,000 | | | | 583,604 | |
Bank of America Corp. | |
(MTN) | |
1.32% | | 06/19/264 | | | 4,222,000 | | | | 4,118,240 | |
1.92% | | 10/24/314 | | | 7,570,000 | | | | 6,531,539 | |
2.09% | | 06/14/294 | | | 8,194,000 | | | | 7,570,476 | |
(CME Term SOFR 3-Month plus 0.91%) | |
5.93% | | 12/01/262 | | | 4,400,000 | | | | 4,365,466 | |
Bank of America Corp., | |
Series N | |
1.66% | | 03/11/274 | | | 10,309,000 | | | | 9,910,887 | |
Bank of America Corp., | |
Series RR, NVS | |
4.38%4,8 | | | | | 2,340,000 | | | | 2,277,317 | |
HSBC Holdings PLC | |
(United Kingdom) | |
2.10% | | 06/04/263,4 | | | 2,480,000 | | | | 2,432,807 | |
2.21% | | 08/17/293,4 | | | 2,005,000 | | | | 1,839,712 | |
4.76% | | 06/09/283,4 | | | 2,260,000 | | | | 2,276,827 | |
JPMorgan Chase & Co. | |
1.56% | | 12/10/254 | | | 19,055,000 | | | | 18,911,561 | |
1.58% | | 04/22/274 | | | 10,250,000 | | | | 9,826,879 | |
2.07% | | 06/01/294 | | | 4,005,000 | | | | 3,707,313 | |
2.08% | | 04/22/264 | | | 3,505,000 | | | | 3,450,756 | |
JPMorgan Chase & Co., | |
NVS | |
1.05% | | 11/19/264 | | | 805,000 | | | | 773,934 | |
PNC Financial Services Group, Inc. (The) | |
5.07% | | 01/24/344 | | | 995,000 | | | | 1,011,827 | |
6.88% | | 10/20/344 | | | 1,755,000 | | | | 2,011,691 | |
Santander UK Group Holdings PLC | |
(United Kingdom) | |
1.67% | | 06/14/273,4 | | | 2,620,000 | | | | 2,492,918 | |
U.S. Bancorp | |
4.84% | | 02/01/344 | | | 3,285,000 | | | | 3,285,025 | |
5.68% | | 01/23/354 | | | 335,000 | | | | 355,327 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Banking (continued) | |
U.S. Bancorp, | |
NVS | |
3.70%4,8 | | | | $ | 1,980,000 | | | $ | 1,827,388 | |
Wells Fargo & Co. | |
(MTN) | |
2.16% | | 02/11/264 | | | 4,550,000 | | | | 4,501,426 | |
2.57% | | 02/11/314 | | | 1,406,000 | | | | 1,277,672 | |
5.57% | | 07/25/294 | | | 18,960,000 | | | | 19,734,774 | |
| | | | | |
| | | | 115,075,366 | |
| | | | | |
|
Communications — 1.82% | |
Altice France SA | |
(France) | |
5.50% | | 10/15/291,3 | | | 980,000 | | | | 689,693 | |
8.13% | | 02/01/271,3 | | | 825,000 | | | | 671,585 | |
C&W Senior Finance Ltd. | |
(Cayman Islands) | |
6.88% | | 09/15/271,3 | | | 300,000 | | | | 298,463 | |
Cable One, Inc. | |
4.00% | | 11/15/301 | | | 1,592,000 | | | | 1,269,630 | |
CCO Holdings LLC/CCO Holdings Capital Corp. | |
4.50% | | 08/15/301 | | | 955,000 | | | | 865,455 | |
Charter Communications Operating LLC/Charter | |
Communications Operating Capital | |
4.80% | | 03/01/50 | | | 4,765,000 | | | | 3,646,834 | |
5.38% | | 05/01/47 | | | 3,050,000 | | | | 2,562,260 | |
5.75% | | 04/01/48 | | | 2,347,000 | | | | 2,050,356 | |
6.65% | | 02/01/34 | | | 800,000 | | | | 836,741 | |
CSC Holdings LLC | |
4.63% | | 12/01/301 | | | 500,000 | | | | 254,357 | |
5.38% | | 02/01/281 | | | 500,000 | | | | 421,859 | |
6.50% | | 02/01/291 | | | 3,093,000 | | | | 2,562,527 | |
7.50% | | 04/01/281 | | | 537,000 | | | | 358,840 | |
11.25% | | 05/15/281 | | | 1,000,000 | | | | 967,095 | |
11.75% | | 01/31/291 | | | 726,000 | | | | 701,754 | |
Frontier Communications Holdings LLC | |
5.00% | | 05/01/281 | | | 2,600,000 | | | | 2,579,500 | |
5.88% | | 10/15/271 | | | 385,000 | | | | 386,842 | |
8.63% | | 03/15/311 | | | 854,000 | | | | 921,919 | |
Global Switch Finance BV | |
(EMTN) | |
(Netherlands) | |
1.38% | | 10/07/303 | | | 4,505,000 | | | | 4,632,632 | |
SES GLOBAL Americas Holdings, Inc. | |
5.30% | | 03/25/441 | | | 7,494,000 | | | | 6,038,597 | |
Sirius XM Radio, Inc. | |
3.88% | | 09/01/311 | | | 2,715,000 | | | | 2,368,440 | |
TDC Net A/S, | |
(EMTN) | |
(Germany) | |
6.50% | | 06/01/313 | | | 500,000 | | | | 614,177 | |
Tele Columbus AG | |
(Georgia) | |
10.00% | | 01/01/291,3,7 | | | 2,384,713 | | | | 2,113,970 | |
Time Warner Cable LLC | |
4.50% | | 09/15/42 | | | 775,000 | | | | 595,311 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 162 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Communications (continued) | |
5.50% | | 09/01/41 | | $ | 4,443,000 | | | $ | 3,864,524 | |
5.88% | | 11/15/40 | | | 1,180,000 | | | | 1,069,360 | |
VZ Secured Financing BV | |
(Netherlands) | |
5.00% | | 01/15/321,3 | | | 2,495,000 | | | | 2,300,406 | |
VZ Secured Financing BV, | |
Series REGS | |
(Netherlands) | |
3.50% | | 01/15/323 | | | 2,800,000 | | | | 2,882,077 | |
| | | | | |
| | | | 48,525,204 | |
| | | | | |
| |
| Consumer Discretionary — 0.96% | | | | | |
Bacardi Ltd. | |
(Bermuda) | |
5.15% | | 05/15/381,3 | | | 1,500,000 | | | | 1,464,940 | |
BAT Capital Corp. | |
4.76% | | 09/06/49 | | | 3,794,000 | | | | 3,272,759 | |
Becle, SAB de CV | |
(Mexico) | |
2.50% | | 10/14/311,3 | | | 4,450,000 | | | | 3,709,474 | |
Central Garden & Pet Co. | |
4.13% | | 04/30/311 | | | 398,000 | | | | 364,982 | |
Everi Holdings, Inc. | |
5.00% | | 07/15/291 | | | 1,296,000 | | | | 1,292,261 | |
Reynolds American, Inc. | |
5.85% | | 08/15/45 | | | 205,000 | | | | 205,275 | |
Spectrum Brands, Inc. | |
3.88% | | 03/15/311 | | | 308,000 | | | | 274,025 | |
WarnerMedia Holdings, Inc. | |
4.28% | | 03/15/32 | | | 1,932,000 | | | | 1,716,853 | |
5.05% | | 03/15/42 | | | 6,713,000 | | | | 5,489,536 | |
5.14% | | 03/15/52 | | | 10,032,000 | | | | 7,742,243 | |
| | | | | |
| | | | 25,532,348 | |
| | | | | |
| |
| Diversified REITs — 0.72% | | | | | |
American Assets Trust LP | |
3.38% | | 02/01/31 | | | 4,005,000 | | | | 3,489,121 | |
American Tower Corp. | |
2.70% | | 04/15/31 | | | 3,045,000 | | | | 2,722,643 | |
Digital Dutch Finco BV | |
(Netherlands) | |
1.00% | | 01/15/323 | | | 1,930,000 | | | | 1,794,350 | |
Digital Intrepid Holding BV | |
(Netherlands) | |
1.38% | | 07/18/323 | | | 1,000,000 | | | | 943,800 | |
GLP Capital LP/GLP Financing II, Inc. | |
5.75% | | 06/01/28 | | | 6,241,000 | | | | 6,412,746 | |
VICI Properties LP | |
4.95% | | 02/15/30 | | | 360,000 | | | | 362,511 | |
VICI Properties LP/VICI Note Co., Inc. | |
3.88% | | 02/15/291 | | | 865,000 | | | | 828,852 | |
4.13% | | 08/15/301 | | | 113,000 | | | | 107,429 | |
4.63% | | 06/15/251 | | | 250,000 | | | | 248,821 | |
Vonovia SE | |
(Georgia) | |
1.00% | | 06/16/333 | | | 300,000 | | | | 267,640 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Diversified REITs (continued) | |
Vonovia SE | |
(EMTN) | |
(Georgia) | |
0.75% | | 09/01/323 | | $ | 1,100,000 | | | $ | 988,978 | |
Vonovia SE, | |
(EMTN) | |
(Georgia) | |
5.00% | | 11/23/303 | | | 200,000 | | | | 241,092 | |
WP Carey, Inc. | |
4.25% | | 07/23/32 | | | 650,000 | | | | 749,352 | |
| | | | | |
| | | | 19,157,335 | |
| | | | | |
| |
| Electric — 1.33% | | | | | |
Alliant Energy Finance, LLC | |
3.60% | | 03/01/321 | | | 8,130,000 | | | | 7,399,049 | |
Alpha Generation LLC | |
6.75% | | 10/15/321 | | | 620,000 | | | | 629,596 | |
Amprion GmbH | |
(EMTN) | |
(Georgia) | |
4.00% | | 05/21/443 | | | 700,000 | | | | 792,134 | |
Cleco Power LLC | |
6.00% | | 12/01/40 | | | 825,000 | | | | 866,132 | |
Comision Federal de Electricidad, | |
Series REGS | |
(Mexico) | |
3.88% | | 07/26/333 | | | 650,000 | | | | 548,496 | |
Dominion Energy, Inc. | |
7.91% | | 10/01/544 | | | 2,515,000 | | | | 2,514,312 | |
Duke Energy Corp. | |
3.75% | | 04/01/31 | | | 3,850,000 | | | | 4,350,311 | |
3.85% | | 06/15/34 | | | 3,840,000 | | | | 4,319,353 | |
E.ON SE | |
(Georgia) | |
3.50% | | 10/26/373 | | | 500,000 | | | | 556,550 | |
Elia Group SA | |
(Belgium) | |
3.88% | | 06/11/313 | | | 600,000 | | | | 679,167 | |
Elia Transmission Belgium SA | |
(Belgium) | |
3.75% | | 01/16/363 | | | 600,000 | | | | 684,254 | |
FirstEnergy Pennsylvania Electric Co. | |
4.00% | | 04/15/251 | | | 2,625,000 | | | | 2,611,519 | |
FirstEnergy Transmission LLC | |
2.87% | | 09/15/281 | | | 3,153,000 | | | | 2,983,613 | |
MVM Energetika Zrt | |
(Hungary) | |
6.50% | | 03/13/313 | | | 1,053,000 | | | | 1,094,383 | |
National Grid Electricity Transmission PLC | |
(EMTN) | |
(United Kingdom) | |
0.82% | | 07/07/323 | | | 1,000,000 | | | | 928,128 | |
Southwestern Electric Power Co., | |
Series M | |
4.10% | | 09/15/28 | | | 2,190,000 | | | | 2,174,439 | |
See accompanying Notes to Financial Statements.
|
| 163 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Electric (continued) | |
TenneT Holding BV | |
(EMTN) | |
(Netherlands) | |
2.75% | | 05/17/423 | | $ | 830,000 | | | $ | 813,340 | |
4.75% | | 10/28/423 | | | 1,155,000 | | | | 1,423,430 | |
| | | | | |
| | | | 35,368,206 | |
| | | | | |
| |
| Energy — 1.00% | | | | | |
Ecopetrol SA | |
(Colombia) | |
8.88% | | 01/13/333 | | | 780,000 | | | | 837,349 | |
Energy Transfer LP, | |
Series B, NVS | |
6.63%4,8 | | | | | 3,251,000 | | | | 3,221,619 | |
Energy Transfer Operating LP | |
5.30% | | 04/15/47 | | | 1,000,000 | | | | 943,211 | |
Galaxy Pipeline Assets Bidco Ltd. | |
(United Kingdom) | |
2.16% | | 03/31/341,3 | | | 1,620,800 | | | | 1,440,898 | |
KazMunayGas National Co. JSC, | |
Series REGS | |
(Kazakhstan) | |
3.50% | | 04/14/333 | | | 1,586,000 | | | | 1,382,995 | |
KazMunayGas National Co. JSC, | |
Series REGS (EMTN) | |
(Kazakhstan) | |
5.38% | | 04/24/303 | | | 2,424,000 | | | | 2,442,530 | |
National Gas Transmission PLC, | |
(EMTN) | |
(United Kingdom) | |
4.25% | | 04/05/303 | | | 970,000 | | | | 1,133,231 | |
NGL Energy Operating LLC/NGL Energy Finance Corp. | |
8.38% | | 02/15/321 | | | 1,080,000 | | | | 1,113,787 | |
Pertamina Persero PT | |
(Indonesia) | |
3.10% | | 08/27/301,3 | | | 4,079,000 | | | | 3,756,760 | |
Petroleos Mexicanos | |
(Mexico) | |
6.35% | | 02/12/483 | | | 652,000 | | | | 451,372 | |
6.75% | | 09/21/473 | | | 998,000 | | | | 715,121 | |
QazaqGaz NC JSC, | |
Series REGS | |
(Kazakhstan) | |
4.38% | | 09/26/273 | | | 650,000 | | | | 633,547 | |
Southern Co. Gas Capital Corp. | |
3.88% | | 11/15/25 | | | 2,410,000 | | | | 2,392,584 | |
TransMontaigne Partners LP/TLP Finance Corp. | |
6.13% | | 02/15/26 | | | 3,526,000 | | | | 3,470,880 | |
Venture Global LNG, Inc. | |
7.00% | | 01/15/301 | | | 1,218,000 | | | | 1,251,614 | |
9.50% | | 02/01/291 | | | 1,241,000 | | | | 1,397,365 | |
| | | | | |
| | | | 26,584,863 | |
| | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
| |
| Finance — 2.38% | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | |
(Ireland) | |
3.00% | | 10/29/283 | | $ | 10,100,000 | | | $ | 9,544,656 | |
American Express Co., | |
NVS | |
3.55%4,8 | | | | | 2,350,000 | | | | 2,235,060 | |
Avolon Holdings Funding Ltd. | |
(Cayman Islands) | |
2.53% | | 11/18/271,3 | | | 5,278,000 | | | | 4,927,994 | |
2.88% | | 02/15/251,3 | | | 3,555,000 | | | | 3,520,270 | |
CBRE Global Investors Open-Ended Funds SCA SICAV- | |
SIF-Pan European Core Fund | |
(EMTN) | |
(Luxembourg) | |
4.75% | | 03/27/343 | | | 1,155,000 | | | | 1,358,416 | |
Charles Schwab Corp. (The) | |
Series K, NVS | |
5.00%4,8 | | | | | 2,020,000 | | | | 1,981,661 | |
Citigroup, Inc. | |
2.98% | | 11/05/304 | | | 2,380,000 | | | | 2,214,756 | |
3.98% | | 03/20/304 | | | 3,600,000 | | | | 3,527,608 | |
GGAM Finance Ltd. | |
(Cayman Islands) | |
8.00% | | 06/15/281,3 | | | 1,582,000 | | | | 1,697,448 | |
Goldman Sachs Group, Inc. (The) | |
1.95% | | 10/21/274 | | | 4,295,000 | | | | 4,095,443 | |
Goldman Sachs Group, Inc. (The), | |
Series VAR | |
1.09% | | 12/09/264 | | | 16,885,000 | | | | 16,199,906 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | |
4.38% | | 02/01/29 | | | 576,000 | | | | 504,112 | |
9.00% | | 06/15/301 | | | 1,293,000 | | | | 1,302,471 | |
9.75% | | 01/15/291 | | | 2,065,000 | | | | 2,144,469 | |
Morgan Stanley | |
(GMTN) | |
3.77% | | 01/24/294 | | | 2,160,000 | | | | 2,125,095 | |
Morgan Stanley | |
(MTN) | |
1.16% | | 10/21/254 | | | 2,382,000 | | | | 2,374,904 | |
Nationwide Building Society | |
(United Kingdom) | |
2.97% | | 02/16/281,3,4 | | | 3,835,000 | | | | 3,699,119 | |
| | | | | |
| | | | 63,453,388 | |
| | | | | |
| |
| Food — 0.72% | | | | | |
ELO SACA | |
(EMTN) | |
(France) | |
6.00% | | 03/22/293 | | | 3,500,000 | | | | 3,623,779 | |
H-Food Holdings LLC/Hearthside Finance Co., Inc. | |
8.50% | | 06/01/261 | | | 3,012,000 | | | | 221,020 | |
JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. | |
Sarl | |
(Luxembourg) | |
3.00% | | 05/15/323 | | | 2,940,000 | | | | 2,552,529 | |
3.75% | | 12/01/313 | | | 781,000 | | | | 718,491 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 164 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Food (continued) | |
6.50% | | 12/01/523 | | $ | 1,555,000 | | | $ | 1,659,220 | |
6.75% | | 03/15/341,3 | | | 2,419,000 | | | | 2,680,867 | |
Mondelez International, Inc. | | | | | |
0.75% | | 03/17/33 | | | 1,315,000 | | | | 1,203,392 | |
Pilgrim’s Pride Corp. | | | | | |
3.50% | | 03/01/32 | | | 382,000 | | | | 339,782 | |
4.25% | | 04/15/31 | | | 1,035,000 | | | | 984,069 | |
Post Holdings, Inc. | | | | | |
4.63% | | 04/15/301 | | | 1,370,000 | | | | 1,311,777 | |
Smithfield Foods, Inc. | | | | | |
2.63% | | 09/13/311 | | | 4,690,000 | | | | 3,977,768 | |
| | | | | |
| | | | 19,272,694 | |
| | | | | |
| |
| Gaming — 0.02% | | | | | |
Flutter Treasury DAC, | | | | | |
(Ireland) | | | | | |
5.00% | | 04/29/291,3 | | | 500,000 | | | | 576,183 | |
| | | | | |
| |
| Health Care — 1.29% | | | | | |
1375209 BC Ltd. | | | | | |
(Canada) | | | | | |
9.00% | | 01/30/281,3 | | | 3,981,000 | | | | 3,949,678 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | 12/15/281 | | | 3,059,000 | | | | 3,018,548 | |
4.63% | | 06/25/381 | | | 2,775,000 | | | | 2,522,695 | |
4.88% | | 06/25/481 | | | 1,915,000 | | | | 1,662,300 | |
5.50% | | 08/15/251 | | | 2,000,000 | | | | 2,004,963 | |
Bayer U.S. Finance LLC | | | | | |
6.88% | | 11/21/531 | | | 3,643,000 | | | | 4,084,334 | |
Catalent Pharma Solutions, Inc. | | | | | |
3.50% | | 04/01/301 | | | 2,626,000 | | | | 2,584,461 | |
Fresenius Finance Ireland PLC | | | | | |
(EMTN) | | | | | |
(Ireland) | | | | | |
0.88% | | 10/01/313 | | | 1,000,000 | | | | 942,037 | |
Grifols SA | | | | | |
(Spain) | | | | | |
4.75% | | 10/15/281,3 | | | 470,000 | | | | 441,233 | |
Grifols SA, | | | | | |
Series REGS | | | | | |
(Spain) | | | | | |
3.88% | | 10/15/283 | | | 2,940,000 | | | | 3,051,691 | |
HAH Group Holding Co. LLC | | | | | |
9.75% | | 10/01/311 | | | 1,340,000 | | | | 1,351,778 | |
Kedrion SpA | | | | | |
(Italy) | | | | | |
6.50% | | 09/01/291,3 | | | 1,135,000 | | | | 1,082,809 | |
Lonza Finance International NV | | | | | |
(EMTN) | | | | | |
(Belgium) | | | | | |
3.88% | | 04/24/363 | | | 600,000 | | | | 692,059 | |
ModivCare Escrow Issuer, Inc. | | | | | |
5.00% | | 10/01/291 | | | 5,252,000 | | | | 3,301,076 | |
Prime Healthcare Services, Inc. | | | | | |
9.38% | | 09/01/291 | | | 505,000 | | | | 520,603 | |
Sotera Health Holdings LLC | | | | | |
7.38% | | 06/01/311 | | | 1,255,000 | | | | 1,305,585 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Health Care (continued) | |
Universal Health Services, Inc. | | | | | |
1.65% | | 09/01/26 | | $ | 1,500,000 | | | $ | 1,421,169 | |
2.65% | | 01/15/32 | | | 590,000 | | | | 508,740 | |
| | | | | |
| | | | 34,445,759 | |
| | | | | |
| |
| Health Care REITs — 0.18% | | | | | |
Healthcare Realty Holdings LP | | | | | |
2.05% | | 03/15/31 | | | 391,000 | | | | 322,441 | |
3.50% | | 08/01/26 | | | 2,257,000 | | | | 2,220,210 | |
3.63% | | 01/15/28 | | | 625,000 | | | | 602,064 | |
3.88% | | 05/01/25 | | | 1,695,000 | | | | 1,679,770 | |
| | | | | |
| | | | 4,824,485 | |
| | | | | |
| |
| Industrial REITs — 0.09% | | | | | |
LXP Industrial Trust | | | | | |
2.70% | | 09/15/30 | | | 2,000,000 | | | | 1,780,318 | |
Prologis Euro Finance LLC | | | | | |
4.63% | | 05/23/33 | | | 610,000 | | | | 734,485 | |
| | | | | |
| | | | 2,514,803 | |
| | | | | |
| |
| Industrials — 1.04% | | | | | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |
(Canada) | | | | | |
4.13% | | 08/15/261,3 | | | 867,000 | | | | 782,051 | |
5.25% | | 08/15/271,3 | | | 4,441,000 | | | | 3,342,608 | |
Artera Services LLC | | | | | |
8.50% | | 02/15/311 | | | 590,000 | | | | 585,427 | |
Berry Global, Inc. | | | | | |
1.65% | | 01/15/27 | | | 105,000 | | | | 98,622 | |
4.88% | | 07/15/261 | | | 556,000 | | | | 554,536 | |
5.65% | | 01/15/341 | | | 2,300,000 | | | | 2,365,004 | |
Boeing Co. (The) | | | | | |
5.81% | | 05/01/50 | | | 2,690,000 | | | | 2,600,669 | |
6.53% | | 05/01/341 | | | 1,245,000 | | | | 1,336,125 | |
General Electric Co. | | | | | |
(MTN) | | | | | |
(CME Term SOFR 3-Month plus 0.74%) | | | | | |
5.86% | | 08/15/362 | | | 10,370,000 | | | | 9,795,310 | |
Honeywell International, Inc. | | | | | |
3.75% | | 03/01/36 | | | 1,670,000 | | | | 1,895,375 | |
4.13% | | 11/02/34 | | | 630,000 | | | | 744,370 | |
OT Merger Corp. | | | | | |
7.88% | | 10/15/291 | | | 5,555,000 | | | | 2,304,266 | |
TK Elevator U.S. Newco, Inc. | | | | | |
5.25% | | 07/15/271 | | | 1,345,000 | | | | 1,332,066 | |
| | | | | |
| | | | 27,736,429 | |
| | | | | |
| |
| Information Technology — 0.46% | | | | | |
Helios Software Holdings, Inc./ION Corporate Solutions | |
Finance SARL | | | | | |
8.75% | | 05/01/291 | | | 1,005,000 | | | | 1,027,660 | |
Open Text Corp. | | | | | |
(Canada) | | | | | |
6.90% | | 12/01/271,3 | | | 5,545,000 | | | | 5,854,211 | |
See accompanying Notes to Financial Statements.
|
| 165 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Information Technology (continued) | |
| Uber Technologies, Inc. | |
4.30% | | 01/15/30 | | $ | 5,300,000 | | | $ | 5,282,779 | |
| | | | | | | | | | | | |
| | | | 12,164,650 | |
| | | | | | | | | | | | |
|
| Insurance — 0.64% | |
| Acrisure LLC/Acrisure Finance, Inc. | |
6.00% | | 08/01/291 | | | 1,059,000 | | | | 1,022,531 | |
| Athene Global Funding | |
1.99% | | 08/19/281 | | | 3,445,000 | | | | 3,130,167 | |
2.72% | | 01/07/291 | | | 1,535,000 | | | | 1,420,050 | |
3.21% | | 03/08/271 | | | 2,225,000 | | | | 2,140,368 | |
| Farmers Exchange Capital | |
7.20% | | 07/15/481 | | | 150,000 | | | | 151,106 | |
| Farmers Exchange Capital II | |
6.15% | | 11/01/531,4 | | | 2,500,000 | | | | 2,372,453 | |
| Farmers Insurance Exchange | |
4.75% | | 11/01/571,4 | | | 3,800,000 | | | | 3,129,934 | |
| Nationwide Mutual Insurance Co. | |
7.50% | | 12/15/241,4 | | | 3,825,000 | | | | 3,835,724 | |
| | | | | | | | | | | | |
| | | | 17,202,333 | |
| | | | | | | | | | | | |
|
| Materials — 0.54% | |
| Corp. Nacional del Cobre de Chile, | |
| Series REGS | |
| (Chile) | |
5.13% | | 02/02/333 | | | 3,232,000 | | | | 3,226,299 | |
| Indonesia Asahan Aluminium PT/Mineral Industri Indonesia | |
| Persero PT, | |
| Series REGS | |
| (Indonesia) | |
5.45% | | 05/15/303 | | | 3,600,000 | | | | 3,672,013 | |
| International Flavors & Fragrances, Inc. | |
2.30% | | 11/01/301 | | | 7,835,000 | | | | 6,874,284 | |
3.27% | | 11/15/401 | | | 130,000 | | | | 99,687 | |
3.47% | | 12/01/501 | | | 605,000 | | | | 429,976 | |
4.38% | | 06/01/47 | | | 150,000 | | | | 126,225 | |
| | | | | | | | | | | | |
| | | | 14,428,484 | |
| | | | | | | | | | | | |
|
| Office REITs — 0.15% | |
| Hudson Pacific Properties LP | |
3.25% | | 01/15/30 | | | 1,780,000 | | | | 1,350,585 | |
3.95% | | 11/01/27 | | | 2,702,000 | | | | 2,449,879 | |
4.65% | | 04/01/29 | | | 85,000 | | | | 70,631 | |
5.95% | | 02/15/28 | | | 55,000 | | | | 50,445 | |
| | | | | | | | | | | | |
| | | | 3,921,540 | |
| | | | | | | | | | | | |
|
| Residential REITs — 0.23% | |
| American Homes 4 Rent LP | |
4.30% | | 04/15/52 | | | 3,234,000 | | | | 2,679,901 | |
| Invitation Homes Operating Partnership LP | |
2.70% | | 01/15/34 | | | 3,325,000 | | | | 2,786,986 | |
4.15% | | 04/15/32 | | | 144,000 | | | | 137,702 | |
5.50% | | 08/15/33 | | | 525,000 | | | | 543,261 | |
| | | | | | | | | | | | |
| | | | 6,147,850 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Retail — 0.30% | |
| Ferrellgas LP/Ferrellgas Finance Corp. | |
5.88% | | 04/01/291 | | $ | 3,499,000 | | | $ | 3,278,700 | |
| Michaels Cos., Inc. (The) | |
7.88% | | 05/01/291 | | | 5,775,000 | | | | 3,401,568 | |
| Papa John’s International, Inc. | |
3.88% | | 09/15/291 | | | 1,565,000 | | | | 1,449,570 | |
| | | | | | | | | | | | |
| | | | 8,129,838 | |
| | | | | | | | | | | | |
|
| Services — 0.11% | |
| Adtalem Global Education, Inc. | |
5.50% | | 03/01/281 | | | 25,000 | | | | 24,784 | |
| Worldline SA | |
| (France) | |
0.00% | | 07/30/263,9 | | | 28,200 | | | | 2,867,648 | |
| | | | | | | | | | | | |
| | | | 2,892,432 | |
| | | | | | | | | | | | |
|
| Specialized REITs — 0.40% | |
| Add Hero Holdings Ltd., | |
| Series IAI | |
| (United Kingdom) | |
8.50% | | 09/30/293,5,6,10 | | | 429,052 | | | | 25,927 | |
9.00% | | 09/30/303,5,6,11 | | | 330,832 | | | | 9,046 | |
9.80% | | 09/30/313,5,6,12 | | | 431,727 | | | | 11,390 | |
| Annington Funding PLC | |
| (EMTN) | |
| (United Kingdom) | |
2.31% | | 10/06/323 | | | 2,100,000 | | | | 2,216,475 | |
3.18% | | 07/12/293 | | | 395,000 | | | | 479,407 | |
| Blackstone Property Partners Europe Holdings SARL | |
| (EMTN) | |
| (Luxembourg) | |
1.00% | | 05/04/283 | | | 1,340,000 | | | | 1,365,029 | |
1.75% | | 03/12/293 | | | 1,225,000 | | | | 1,258,481 | |
| China Aoyuan Group Ltd., | |
| Series IAI | |
| (Cayman Islands) | |
0.00% | | 09/30/283,5,6,9 | | | 58,465 | | | | 1,227 | |
5.50% | | 09/30/313,5,6,7 | | | 246,505 | | | | 2,806 | |
| China Aoyuan Group Ltd., | |
| Series IAI (STEP-reset date 03/30/25) | |
| (Cayman Islands) | |
0.00%3,6,8 | | | | | 654,162 | | | | 7,532 | |
| China SCE Group Holdings Ltd. | |
| (Cayman Islands) | |
7.00% | | 05/02/253,5,6,13,14 | | | 1,070,000 | | | | 61,553 | |
| Extra Space Storage LP | |
2.35% | | 03/15/32 | | | 2,010,000 | | | | 1,698,137 | |
| LEG Immobilien SE | |
| (EMTN) | |
| (Georgia) | |
0.88% | | 03/30/333 | | | 400,000 | | | | 356,986 | |
1.50% | | 01/17/343 | | | 100,000 | | | | 91,823 | |
| Realty Income Corp. | |
4.88% | | 07/06/30 | | | 710,000 | | | | 847,563 | |
5.13% | | 07/06/34 | | | 1,505,000 | | | | 1,856,511 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 166 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value |
| |
CORPORATES (continued) | | | | | |
|
Specialized REITs (continued) | |
| Sunac China Holdings Ltd. | |
| (Cayman Islands) | |
1.00% | | 09/30/321,3,5,6,7 | | $ | 354,827 | | | $ | 36,075 | |
6.00% | | 09/30/251,3,5,6,15 | | | 303,011 | | | | 38,141 | |
6.25% | | 09/30/261,3,5,6,16 | | | 303,747 | | | | 33,214 | |
6.50% | | 09/30/271,3,5,6,17 | | | 608,969 | | | | 60,648 | |
6.75% | | 09/30/281,3,5,6,18 | | | 915,668 | | | | 83,848 | |
7.00% | | 09/30/291,3,5,6,19 | | | 917,883 | | | | 73,317 | |
7.25% | | 09/30/301,3,5,6,20 | | | 432,211 | | | | 31,959 | |
| Times China Holdings Ltd. | |
| (Cayman Islands) | |
6.75% | | 07/08/253,5,6,13,14 | | | 1,040,000 | | | | 26,971 | |
| Zhenro Properties Group Ltd. | |
| (Cayman Islands) | |
6.63% | | 01/07/263,5,6,13,14 | | | 1,810,000 | | | | 18,100 | |
| | | | | | | | | | | | |
| | | | 10,692,166 | |
| | | | | | | | | | | | |
|
Transportation — 0.06% | |
| American Airlines Pass-Through Trust, | |
| Series 2015-2, Class AA | |
3.60% | | 09/22/27 | | | 1,693,980 | | | | 1,640,199 | |
| U.S. Airways Pass-Through Trust, | |
| Series 2012-1, Class A | |
5.90% | | 10/01/24 | | | 39,142 | | | | 39,142 | |
| | | | | | | | | | | | |
| | | | 1,679,341 | |
| | | | | | | | | | | | |
|
Water — 0.05% | |
| Suez SACA | |
| (EMTN) | |
| (France) | |
2.88% | | 05/24/343 | | | 1,300,000 | | | | 1,368,959 | |
| | | | | |
| |
Total Corporates | | | | | |
(Cost $514,639,720) | | | | 501,694,656 | |
| | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 1.86% | |
|
Foreign Government Obligations — 1.86% | |
| Brazilian Government International Bond | |
| (Brazil) | |
6.00% | | 10/20/333 | | | 1,230,000 | | | | 1,250,256 | |
6.13% | | 01/22/323 | | | 1,500,000 | | | | 1,544,488 | |
6.13% | | 03/15/343 | | | 1,310,000 | | | | 1,338,827 | |
| Colombia Government International Bond | |
| (Colombia) | |
3.00% | | 01/30/303 | | | 1,598,000 | | | | 1,372,497 | |
3.13% | | 04/15/313 | | | 2,027,000 | | | | 1,678,994 | |
8.00% | | 04/20/333 | | | 200,000 | | | | 215,340 | |
| Costa Rica Government International Bond, | |
| Series REGS | |
| (Costa Rica) | |
6.55% | | 04/03/343 | | | 2,150,000 | | | | 2,297,842 | |
| Dominican Republic International Bond | |
| (Dominican Republic) | |
4.50% | | 01/30/301,3 | | | 3,900,000 | | | | 3,734,638 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity
Date | | | Principal
Amount | | | Value |
|
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
|
Foreign Government Obligations (continued) | |
| Dominican Republic International Bond, | |
| Series REGS | |
| (Dominican Republic) | |
4.88% | | | | 09/23/323 | | | $ | 600,000 | | | $ | 572,609 | |
| Finance Department Government of Sharjah | | | | | |
| (United Arab Emirates) | |
6.50% | | | | 11/23/321,3 | | | | 1,629,000 | | | | 1,752,248 | |
| Guatemala Government Bond, | |
| Series REGS | |
| (Guatemala) | |
5.25% | | | | 08/10/293 | | | | 3,050,000 | | | | 3,018,619 | |
6.60% | | | | 06/13/363 | | | | 1,300,000 | | | | 1,366,996 | |
| Hungary Government International Bond | |
| (Hungary) | |
2.13% | | | | 09/22/311,3 | | | | 3,147,000 | | | | 2,615,278 | |
| Mexico Government International Bond | |
| (Mexico) | |
2.66% | | | | 05/24/313 | | | | 2,472,000 | | | | 2,127,832 | |
4.88% | | | | 05/19/333 | | | | 2,259,000 | | | | 2,167,886 | |
6.35% | | | | 02/09/353 | | | | 3,850,000 | | | | 4,045,780 | |
| Oman Government International Bond, | |
| Series REGS | |
| (Oman) | |
5.63% | | | | 01/17/283 | | | | 2,640,000 | | | | 2,705,376 | |
| Panama Government International Bond | |
| (Panama) | |
2.25% | | | | 09/29/323 | | | | 700,000 | | | | 543,613 | |
3.16% | | | | 01/23/303 | | | | 3,006,000 | | | | 2,695,048 | |
6.40% | | | | 02/14/353 | | | | 460,000 | | | | 471,323 | |
| Paraguay Government International Bond, | |
| Series REGS | |
| (Papua New Guinea) | |
4.95% | | | | 04/28/313 | | | | 2,185,000 | | | | 2,181,522 | |
| Peruvian Government International Bond | | | | | |
| (Peru) | | | | | | | | | | | | | | | | |
3.00% | | | | 01/15/343 | | | | 2,000,000 | | | | 1,718,931 | |
| Republic of South Africa Government International Bond | |
| (South Africa) | |
4.30% | | | | 10/12/283 | | | | 827,000 | | | | 802,045 | |
4.85% | | | | 09/30/293 | | | | 1,283,000 | | | | 1,247,268 | |
5.88% | | | | 06/22/303 | | | | 875,000 | | | | 884,267 | |
5.88% | | | | 04/20/323 | | | | 1,064,000 | | | | 1,062,005 | |
| Romanian Government International Bond | |
| (Romania) | |
6.63% | | | | 02/17/281,3 | | | | 450,000 | | | | 471,276 | |
| Romanian Government International Bond, | |
| Series REGS | |
| (Romania) | |
3.00% | | | | 02/14/313 | | | | 4,400,000 | | | | 3,848,689 | |
| | | | | |
| |
Total Foreign Government Obligations | | | | | |
(Cost $50,451,307) | | | | 49,731,493 | |
| | | | | |
See accompanying Notes to Financial Statements.
|
| 167 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED — 60.40%** | | | | | |
|
Non-Agency Commercial Mortgage-Backed — 9.45% | |
1345 Avenue of the Americas & Park Avenue Plaza Trust, | |
Series 2005-1, Class A3 | | | | | |
5.28% | | 08/10/351 | | $ | 7,801,704 | | | $ | 7,707,079 | |
245 Park Avenue Trust, | | | | | |
Series 2017-245P, Class A | | | | | |
3.51% | | 06/05/371 | | | 5,000,000 | | | | 4,782,644 | |
280 Park Avenue Mortgage Trust, | | | | | |
Series 2017-280P, Class E | | | | | |
(CME Term SOFR 1-Month plus 2.42%) | | | | | |
7.54% | | 09/15/341,2 | | | 2,744,000 | | | | 2,545,705 | |
A10 Bridge Asset Financing, | | | | | |
Series 2021-D, Class A1FL | | | | | |
(SOFR30A plus 1.45%) | | | | | |
6.79% | | 10/01/381,2 | | | 2,408,122 | | | | 2,338,343 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2015-200P, Class D | | | | | |
3.72% | | 04/14/331,4 | | | 3,407,500 | | | | 3,314,123 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2015-200P, Class F | | | | | |
3.72% | | 04/14/331,4 | | | 4,000,000 | | | | 3,844,021 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2018-PARK, Class A | | | | | |
4.23% | | 08/10/381,4 | | | 7,985,000 | | | | 7,668,147 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2020-BHP3, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.01%) | | | | | |
7.11% | | 03/15/371,2 | | | 5,000,000 | | | | 4,991,830 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, | |
Series 2020-BOC, Class X (IO) | | | | | |
0.57% | | 01/15/321,4 | | | 98,610,000 | | | | 855,777 | |
Blackstone Industrial Portfolio - Proj Foxtrot | | | | | |
2.23% | | 04/09/252,5,6 | | | 2,602,462 | | | | 2,560,042 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2020-VIVA, Class D | | | | | |
3.67% | | 03/11/441,4 | | | 5,000,000 | | | | 4,517,573 | |
BX Commercial Mortgage Trust, | | | | | |
Series 2021-XL2, Class J | | | | | |
(CME Term SOFR 1-Month plus 4.00%) | | | | | |
9.10% | | 10/15/381,2 | | | 7,980,000 | | | | 7,868,970 | |
BX Trust, | | | | | |
Series 2019-OC11, Class A | | | | | |
3.20% | | 12/09/411 | | | 7,060,000 | | | | 6,569,300 | |
BX Trust, | | | | | |
Series 2021-LBA, Class EJV | | | | | |
(CME Term SOFR 1-Month plus 2.11%) | | | | | |
7.21% | | 02/15/361,2 | | | 1,500,000 | | | | 1,472,329 | |
BX Trust, | | | | | |
Series 2024-PAT, Class A | | | | | |
(CME Term SOFR 1-Month plus 2.09%) | | | | | |
7.19% | | 03/15/411,2 | | | 5,236,000 | | | | 5,262,752 | |
BXHPP Trust, | | | | | |
Series 2021-FILM, Class E | | | | | |
(CME Term SOFR 1-Month plus 2.11%) | | | | | |
7.21% | | 08/15/361,2 | | | 3,917,000 | | | | 3,541,296 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
CAMB Commercial Mortgage Trust, | | | | | |
Series 2019-LIFE, Class F | | | | | |
(CME Term SOFR 1-Month plus 2.85%) | | | | | |
7.94% | | 12/15/371,2 | | $ | 9,700,000 | | | $ | 9,613,377 | |
CAMB Commercial Mortgage Trust, | | | | | |
Series 2019-LIFE, Class G | | | | | |
(CME Term SOFR 1-Month plus 3.55%) | | | | | |
8.64% | | 12/15/371,2 | | | 8,503,000 | | | | 8,351,931 | |
CD Mortgage Trust, | | | | | |
Series 2016-CD1, Class XA (IO) | | | | | |
1.48% | | 08/10/494 | | | 56,908,050 | | | | 845,904 | |
Citigroup Commercial Mortgage Trust, | | | | | |
Series 2015-GC27, Class XA (IO) | | | | | |
1.39% | | 02/10/484 | | | 25,030,258 | | | | 34,384 | |
Commercial Mortgage Trust, | | | | | |
Series 2012-CR4, Class XA (IO) | | | | | |
1.29% | | 10/15/454 | | | 59,404,062 | | | | 654,876 | |
Commercial Mortgage Trust, | | | | | |
Series 2013-CR8, Class F | | | | | |
4.00% | | 06/10/461,4 | | | 5,221,000 | | | | 5,068,612 | |
Commercial Mortgage Trust, | | | | | |
Series 2017-PANW, Class D | | | | | |
4.34% | | 10/10/291,4 | | | 4,440,000 | | | | 4,061,490 | |
Commercial Mortgage Trust, | | | | | |
Series 2020-CBM, Class XCP (IO) | | | | | |
0.72% | | 02/10/371,4 | | | 68,872,262 | | | | 1,099 | |
CSAIL Commercial Mortgage Trust, | | | | | |
Series 2019-C16, Class XA (IO) | | | | | |
1.70% | | 06/15/524 | | | 88,909,431 | | | | 5,018,110 | |
CSMC, | | | | | |
Series 2021-BPNY, Class A | | | | | |
(CME Term SOFR 1-Month plus 3.83%) | | | | | |
8.93% | | 08/15/261,2 | | | 12,253,472 | | | | 10,886,596 | |
DOLP Trust, | | | | | |
Series 2021-NYC, Class D | | | | | |
3.70% | | 05/10/411,4 | | | 4,740,000 | | | | 3,775,043 | |
DROP Mortgage Trust, | | | | | |
Series 2021-FILE, Class D | | | | | |
(CME Term SOFR 1-Month plus 2.86%) | | | | | |
7.96% | | 10/15/431,2 | | | 3,145,000 | | | | 2,581,563 | |
Fontainebleau Miami Beach Trust, | | | | | |
Series 2019-FBLU, Class F | | | | | |
4.09% | | 12/10/361,4 | | | 2,410,000 | | | | 2,365,781 | |
FREMF Mortgage Trust, | | | | | |
Series 2019-KF71, Class B | | | | | |
(SOFR30A plus 2.41%) | | | | | |
7.76% | | 10/25/291,2 | | | 685,859 | | | | 639,332 | |
FREMF Mortgage Trust, | | | | | |
Series 2020-KF75, Class B | | | | | |
(SOFR30A plus 2.36%) | | | | | |
7.71% | | 12/25/291,2 | | | 1,328,890 | | | | 1,231,561 | |
FREMF Mortgage Trust, | | | | | |
Series 2020-KF88, Class C | | | | | |
(SOFR30A plus 9.11%) | | | | | |
14.46% | | 09/25/301,2 | | | 3,435,756 | | | | 3,476,421 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 168 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Grace Trust, | | | | | |
Series 2020-GRCE, Class A | | | | | |
2.35% | | 12/10/401 | | $ | 8,000,000 | | | $ | 6,938,187 | |
Grace Trust, | | | | | |
Series 2020-GRCE, Class D | | | | | |
2.77% | | 12/10/401,4 | | | 2,950,000 | | | | 2,430,992 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2020-UPTN, Class XA (IO) | | | | | |
0.45% | | 02/10/371,4 | | | 40,999,000 | | | | 3,186 | |
GS Mortgage Securities Corp. Trust, | | | | | |
Series 2023-FUN, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.79%) | | | | | |
7.89% | | 03/15/281,2 | | | 5,160,000 | | | | 5,180,354 | |
GSCG Trust, | | | | | |
Series 2019-600C, Class G | | | | | |
4.12% | | 09/06/341,4 | | | 9,212,000 | | | | 192,886 | |
Hilton USA Trust, | | | | | |
Series 2016-HHV, Class F | | | | | |
4.33% | | 11/05/381,4 | | | 7,840,000 | | | | 7,488,596 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-55HY, Class A | | | | | |
3.04% | | 12/10/411,4 | | | 6,555,000 | | | | 5,965,043 | |
Hudson Yards Mortgage Trust, | | | | | |
Series 2019-55HY, Class F | | | | | |
3.04% | | 12/10/411,4 | | | 6,891,000 | | | | 5,213,784 | |
ILPT Commercial Mortgage Trust, | | | | | |
Series 2022-LPFX, Class A | | | | | |
3.38% | | 03/15/321 | | | 11,770,000 | | | | 10,425,195 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |
Series 2022-NLP, Class H | | | | | |
(CME Term SOFR 1-Month plus 5.01%) | | | | | |
10.11% | | 04/15/371,2 | | | 5,320,724 | | | | 3,911,369 | |
Life Mortgage Trust, | | | | | |
Series 2021-BMR, Class G | | | | | |
(CME Term SOFR 1-Month plus 3.06%) | | | | | |
8.16% | | 03/15/381,2 | | | 5,724,843 | | | | 5,522,831 | |
MF1 Ltd., | | | | | |
Series 2020-FL4, Class B | | | | | |
(CME Term SOFR 1-Month plus 2.86%) | | | | | |
7.95% | | 12/15/351,2 | | | 6,000,000 | | | | 5,994,200 | |
MF1 Ltd., | | | | | |
Series 2020-FL4, Class D | | | | | |
(CME Term SOFR 1-Month plus 4.21%) | | | | | |
9.30% | | 12/15/351,2 | | | 4,481,000 | | | | 4,454,812 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class C | | | | | |
3.04% | | 02/12/401,4 | | | 4,970,000 | | | | 3,752,245 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class D | | | | | |
3.04% | | 02/12/401,4 | | | 7,500,000 | | | | 5,247,520 | |
MKT Mortgage Trust, | | | | | |
Series 2020-525M, Class XA (IO) | | | | | |
0.29% | | 02/12/401,4 | | | 147,585,000 | | | | 1,504,430 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C22, Class XA (IO) | | | | | |
1.11% | | 04/15/484 | | | 62,847,066 | | | | 55,079 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Commercial Mortgage-Backed (continued) | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |
Series 2015-C24, Class XA (IO) | | | | | |
0.82% | | | | 05/15/484 | | | $ | 98,251,327 | | | $ | 286,717 | |
Morgan Stanley Capital I Trust, | | | | | |
Series 2018-MP, Class A | | | | | |
4.42% | | | | 07/11/401,4 | | | | 2,500,000 | | | | 2,288,365 | |
Natixis Commercial Mortgage Securities Trust, | | | | | |
Series 2018-ALXA, Class E | | | | | |
4.46% | | | | 01/15/431,4 | | | | 1,095,000 | | | | 911,889 | |
NRTH Mortgage Trust, | | | | | |
Series 2024-PARK, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.64%) | | | | | |
6.74% | | | | 03/15/391,2 | | | | 5,335,000 | | | | 5,346,045 | |
One New York Plaza Trust, | | | | | |
Series 2020-1NYP, Class AJ | | | | | |
(CME Term SOFR 1-Month plus 1.36%) | | | | | |
6.46% | | | | 01/15/361,2 | | | | 2,630,000 | | | | 2,457,497 | |
PGA Trust, | | | | | |
Series 2024-RSR2, Class A | | | | | |
(CME Term SOFR 1-Month plus 1.89%) | | | | | |
6.99% | | | | 06/15/391,2 | | | | 8,873,000 | | | | 8,855,152 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class A2B | | | | | |
4.14% | | | | 01/05/431,4 | | | | 1,840,000 | | | | 1,625,888 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class C | | | | | |
4.53% | | | | 01/05/431,4 | | | | 10,000,000 | | | | 7,727,130 | |
SFAVE Commercial Mortgage Securities Trust, | | | | | |
Series 2015-5AVE, Class D | | | | | |
4.53% | | | | 01/05/431,4 | | | | 13,330,000 | | | | 9,730,440 | |
SMRT, | | | | | |
Series 2022-MINI, Class F | | | | | |
(CME Term SOFR 1-Month plus 3.35%) | | | | | |
8.45% | | | | 01/15/391,2 | | | | 5,000,000 | | | | 4,733,666 | |
Wells Fargo Commercial Mortgage Trust, | | | | | |
Series 2016-C33, Class XA (IO) | | | | | |
1.72% | | | | 03/15/594 | | | | 73,115,374 | | | | 1,133,573 | |
Westfield Galleria at Roseville | | | | | |
8.58% | | | | 03/29/254,5,6 | | | | 4,300,000 | | | | 4,315,910 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2013-C14, Class XA (IO) | | | | | |
0.48% | | | | 06/15/464 | | | | 1,499,177 | | | | 14 | |
WF-RBS Commercial Mortgage Trust, | | | | | |
Series 2014-C23, Class XA (IO) | | | | | |
0.53% | | | | 10/15/574 | | | | 26,193,197 | | | | 354 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 252,139,360 | |
| | | | | | | | | | | | | | | | |
| |
Non-Agency Mortgage-Backed — 28.50% | | | | | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE3, Class A2C | | | | | |
(CME Term SOFR 1-Month plus 0.41%) | | | | | |
5.27% | | | | 06/25/362 | | | | 4,296,380 | | | | 3,175,922 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2006-NC3, Class A2C | | | | | |
(CME Term SOFR 1-Month plus 0.43%) | | | | | |
5.29% | | | | 12/25/362 | | | | 51,082,824 | | | | 13,466,674 | |
See accompanying Notes to Financial Statements.
|
| 169 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP1, Class A1 | |
(CME Term SOFR 1-Month plus 0.43%) | | | | | |
5.29% | | 03/25/372
| | $ | 27,082,539 | | | $ | 11,777,687 | |
ACE Securities Corp. Home Equity Loan Trust, | |
Series 2007-ASP1, Class A2D | |
(CME Term SOFR 1-Month plus 0.87%) | | | | | |
5.73% | | 03/25/372
| | | 2,147,913 | | | | 881,368 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-4, Class 5A1 | |
4.60% | | 08/25/354
| | | 1,099,787 | | | | 882,425 | |
Adjustable Rate Mortgage Trust, | | | | | |
Series 2007-1, Class 1A1 | | | | | |
5.49% | | 03/25/374
| | | 1,009,959 | | | | 819,520 | |
Alternative Loan Trust, | | | | | |
Series 2005-74T1, Class A1 | | | | | |
6.00% | | 01/25/36 | | | 5,146,542 | | | | 2,952,500 | |
Alternative Loan Trust, | | | | | |
Series 2005-76, Class 1A1 | | | | | |
(Federal Reserve US 12-Month Cumulative Average plus | |
1.48%) | |
6.60% | | 01/25/362
| | | 2,259,356 | | | | 2,123,011 | |
Alternative Loan Trust, | | | | | |
Series 2006-HY12, Class A5 | | | | | |
4.46% | | 08/25/364
| | | 1,689,899 | | | | 1,575,489 | |
American Home Mortgage Investment Trust, | | | | | |
Series 2006-1, Class 11A1 | | | | | |
(CME Term SOFR 1-Month plus 0.39%) | | | | | |
5.25% | | 03/25/462
| | | 7,372,258 | | | | 6,552,306 | |
American Home Mortgage Investment Trust, | |
Series 2006-1, Class 12A1 | |
(CME Term SOFR 1-Month plus 0.51%) | | | | | |
5.37% | | 03/25/462
| | | 2,285,400 | | | | 1,999,647 | |
Argent Securities, Inc., Asset-Backed Pass-Through | |
Certificates, | |
Series 2006-W3, Class A2C | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 04/25/362
| | | 37,368,469 | | | | 11,315,489 | |
Asset-Backed Funding Certificates, | | | | | |
Series 2007-WMC1, Class A1A | | | | | |
(CME Term SOFR 1-Month plus 1.36%) | | | | | |
6.22% | | 06/25/372
| | | 15,231,604 | | | | 11,033,191 | |
Asset-Backed Funding Certificates, | | | | | |
Series 2007-WMC1, Class A2B | | | | | |
(CME Term SOFR 1-Month plus 1.11%) | | | | | |
5.97% | | 06/25/372
| | | 2,796,464 | | | | 2,305,384 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | |
Series 2004-HE9, Class M1 | | | | | |
(CME Term SOFR 1-Month plus 1.09%) | | | | | |
5.94% | | 12/25/342
| | | 974,549 | | | | 902,534 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | |
Series 2006-HE5, Class A5 | | | | | |
(CME Term SOFR 1-Month plus 0.59%) | | | | | |
2.92% | | 07/25/362
| | | 7,303,464 | | | | 7,111,282 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | 10/25/33 | | $ | 323,172 | | | $ | 322,362 | |
Banc of America Funding Trust, | |
Series 2006-D, Class 3A1 | |
5.20% | | 05/20/364
| | | 552,477 | | | | 497,129 | |
Banc of America Funding Trust, | |
Series 2015-R3, Class 6A2 | |
4.92% | | 05/27/361,4
| | | 7,799,289 | | | | 7,514,659 | |
Banc of America Mortgage Trust, | |
Series 2005-K, Class 2A1 | |
5.07% | | 12/25/354
| | | 497,069 | | | | 453,497 | |
BCAP LLC Trust, | |
Series 2007-AA1, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 03/25/372
| | | 2,203,269 | | | | 1,953,024 | |
Bear Stearns ALT-A Trust, | |
Series 2005-2, Class 2A4 | |
4.16% | | 04/25/354
| | | 594,115 | | | | 543,161 | |
Bear Stearns ALT-A Trust, | |
Series 2005-8, Class 11A1 | |
(CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | 10/25/352
| | | 4,382,702 | | | | 3,900,358 | |
Bear Stearns ARM Trust, | |
Series 2005-9, Class A1 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.30%) | |
7.08% | | 10/25/352
| | | 741,021 | | | | 704,784 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2005-AC6, Class 1A3 | |
5.50% | | 09/25/354
| | | 242,115 | | | | 232,484 | |
Bear Stearns Asset-Backed Securities I Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | 03/25/36 | | | 6,530 | | | | 6,530 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | 09/25/472
| | | 3,958,184 | | | | 3,690,503 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 2A1 | |
(CME Term SOFR 1-Month plus 0.32%) | |
5.18% | | 06/25/372
| | | 3,105,368 | | | | 2,944,957 | |
Carrington Mortgage Loan Trust, | |
Series 2006-NC4, Class A4 | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | 10/25/362
| | | 14,364,300 | | | | 13,017,306 | |
Carrington Mortgage Loan Trust, | |
Series 2006-OPT1, Class M1 | |
(CME Term SOFR 1-Month plus 0.64%) | |
5.49% | | 02/25/362
| | | 331,117 | | | | 328,280 | |
Cascade MH Asset Trust, | |
Series 2022-MH1, Class A (STEP-reset date 11/25/24) | |
4.25% | | 08/25/541
| | | 6,218,745 | | | | 5,839,633 | |
Chase Mortgage Finance Trust, | |
Series 2007-A1, Class 8A1 | |
6.56% | | 02/25/374
| | | 309,347 | | | | 301,254 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 170 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
CIM Trust, | |
Series 2019-R3, Class A | |
2.63% | | 06/25/581,4
| | $ | 5,047,575 | | | $ | 4,673,985 | |
CIM Trust, | |
Series 2020-R1, Class A1 | |
2.85% | | 10/27/591,4
| | | 8,970,867 | | | | 8,066,123 | |
CIM Trust, | |
Series 2020-R3, Class A1A | |
4.00% | | 01/26/601,4
| | | 5,252,922 | | | | 5,037,584 | |
CIM Trust, | |
Series 2020-R6, Class A1A | |
2.25% | | 12/25/601,4
| | | 4,286,604 | | | | 3,831,435 | |
CIM Trust, | |
Series 2020-R7, Class A1A | |
2.25% | | 12/27/611,4
| | | 6,667,310 | | | | 5,986,777 | |
CIM Trust, | |
Series 2021-NR3, Class A1 (STEP-reset date 11/25/24) | |
5.57% | | 06/25/571
| | | 2,011,226 | | | | 2,012,799 | |
CIM Trust, | |
Series 2021-NR4, Class A1 (STEP-reset date 11/25/24) | |
2.82% | | 10/25/611
| | | 8,855,254 | | | | 8,820,793 | |
CIM Trust, | |
Series 2021-R3, Class A1B | |
1.95% | | 06/25/571,4
| | | 18,287,000 | | | | 14,427,766 | |
CIM Trust, | |
Series 2021-R4, Class A1A | |
2.00% | | 05/01/611,4
| | | 8,657,574 | | | | 7,818,690 | |
CIM Trust, | |
Series 2021-R4, Class A1B | |
2.00% | | 05/01/611,4
| | | 10,243,493 | | | | 7,785,398 | |
CIM Trust, | |
Series 2021-R5, Class A1A | |
2.00% | | 08/25/611,4
| | | 7,907,767 | | | | 6,801,823 | |
CIM Trust, | |
Series 2023-NR1, Class A1 (STEP-reset date 11/25/24) | |
6.00% | | 06/25/621
| | | 10,146,780 | | | | 10,302,699 | |
CIM Trust, | |
Series 2023-R1, Class A1A | |
5.40% | | 04/25/621,4
| | | 11,327,679 | | | | 10,996,868 | |
CIM Trust, | |
Series 2023-R3, Class A1B | |
4.50% | | 01/25/631,4
| | | 11,509,316 | | | | 9,410,019 | |
Citigroup Mortgage Loan Trust, | |
Series 2005-9, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | 11/25/352
| | | 36,106 | | | | 30,392 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2C | |
(CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | 12/25/362
| | | 5,917,916 | | | | 4,046,523 | |
Citigroup Mortgage Loan Trust, | |
Series 2006-HE3, Class A2D | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | 12/25/362
| | | 6,324,491 | | | | 4,325,296 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
| |
Non-Agency Mortgage-Backed (continued) | | | | | |
Countrywide Home Loan Mortgage Pass-Through Trust, | |
Series 2005-3, Class 1A2 | |
(CME Term SOFR 1-Month plus 0.69%) | |
5.55% | | 04/25/352
| | $ | 2,171,060 | | | $ | 2,039,979 | |
Credit Suisse First Boston Mortgage Securities Corp., | |
Series 2003-AR26, Class 3A1 | |
6.53% | | 11/25/334
| | | 175,578 | | | | 169,072 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through | |
Certificates, | |
Series 2004-AR5, Class 9A1 | |
4.25% | | 06/25/344
| | | 27,779 | | | | 26,718 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2022-RPL1, Class CERT | |
4.23% | | 04/25/611
| | | 442,300 | | | | 386,232 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2006-8, Class 3A1 | |
6.00% | | 10/25/21 | | | 20,021 | | | | 5,371 | |
Credit Suisse Mortgage Capital Trust, | |
Series 2022-RPL1, Class PT | |
4.67% | | 04/25/611,4
| | | 10,465,127 | | | | 9,284,175 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB2, Class AF3 (STEP-reset date 11/25/24) | |
3.03% | | 12/25/36 | | | 609,867 | | | | 515,264 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2006-CB9, Class A2 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | 11/25/362
| | | 6,751,654 | | | | 3,083,488 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB1, Class AF2 (STEP-reset date 11/25/24) | |
3.19% | | 01/25/37 | | | 2,384,370 | | | | 692,994 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB4, Class A1A | |
(CME Term SOFR 1-Month plus 0.20%) | |
2.94% | | 04/25/372
| | | 120,373 | | | | 119,118 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Series 2007-CB5, Class A1 | |
(CME Term SOFR 1-Month plus 0.17%) | |
3.14% | | 04/25/372
| | | 1,206,488 | | | | 771,657 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2B (STEP-reset date 11/25/24) | |
3.55% | | 02/25/37 | | | 3,783,791 | | | | 2,306,363 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB2, Class A2C (STEP-reset date 11/25/24) | |
3.55% | | 02/25/37 | | | 905,619 | | | | 552,009 | |
Credit-Based Asset Servicing and Securitization LLC, | |
Mortgage Loan Trust, | |
Series 2007-CB3, Class A3 (STEP-reset date 11/25/24) | |
3.30% | | 03/25/37 | | | 5,162,589 | | | | 1,854,867 | |
CSMC Mortgage-Backed Trust, | |
Series 2006-1, Class 1A4 | |
5.50% | | 02/25/36 | | | 2,409,236 | | | | 2,138,018 | |
CSMC Trust, | |
Series 2021-RPL7, Class A1 | |
1.93% | | 07/27/611,4
| | | 6,700,494 | | | | 6,683,976 | |
See accompanying Notes to Financial Statements.
|
| 171 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| CSMCM Trust, | |
| Series 2018-SP3, Class CERT | |
4.97% | | 10/25/581,4
| | $ | 11,521,269 | | | $ | 10,071,068 | |
| DSLA Mortgage Loan Trust, | |
| Series 2004-AR4, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.83%) | |
5.80% | | 01/19/452
| | | 391,436 | | | | 300,205 | |
| DSLA Mortgage Loan Trust, | |
| Series 2005-AR6, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.69%) | |
5.66% | | 10/19/452
| | | 3,108,759 | | | | 2,795,404 | |
| DSLA Mortgage Loan Trust, | |
| Series 2006-AR2, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.31%) | |
5.28% | | 10/19/362
| | | 5,091,848 | | | | 3,181,817 | |
| DSLA Mortgage Loan Trust, | |
| Series 2007-AR1, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.25%) | |
5.22% | | 03/19/372
| | | 1,100,186 | | | | 955,258 | |
| Fannie Mae Connecticut Avenue Securities, | |
| Series 2019-R06, Class 2B1 | |
| (SOFR30A plus 3.86%) | |
9.14% | | 09/25/391,2
| | | 5,203,196 | | | | 5,415,157 | |
| Fannie Mae Connecticut Avenue Securities, | |
| Series 2021-R01, Class 1B1 | |
| (SOFR30A plus 3.10%) | |
8.38% | | 10/25/411,2
| | | 2,500,000 | | | | 2,578,893 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF13, Class A2C | |
| (CME Term SOFR 1-Month plus 0.43%) | |
5.29% | | 10/25/362
| | | 11,233,380 | | | | 7,463,791 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF18, Class A2D | |
| (CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | 12/25/372
| | | 638,575 | | | | 582,753 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF4, Class A3 | |
| (CME Term SOFR 1-Month plus 0.67%) | |
4.71% | | 03/25/362
| | | 513,375 | | | | 512,501 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF5, Class M1 | |
| (CME Term SOFR 1-Month plus 0.52%) | |
5.37% | | 04/25/362
| | | 3,860,000 | | | | 3,099,093 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2006-FF9, Class 2A4 | |
| (CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 06/25/362
| | | 10,218,000 | | | | 9,311,344 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2007-FF1, Class A2D | |
| (CME Term SOFR 1-Month plus 0.55%) | |
5.41% | | 01/25/382
| | | 3,675,956 | | | | 1,933,562 | |
| First Franklin Mortgage Loan Trust, | |
| Series 2007-FF2, Class A2B | |
| (CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | 03/25/372
| | | 506,871 | | | | 244,374 | |
| | | | | | | | | | | | |
| | | | |
| 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 | |
5.76% | | 09/25/344
| | $ | 82,628 | | | $ | 84,841 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2004-AA3, Class A3 | |
5.76% | | 09/25/344
| | | 127,056 | | | | 130,460 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA10, Class 1A1 | |
5.85% | | 12/25/354
| | | 608,031 | | | | 504,157 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA12, Class 2A1 | |
5.62% | | 02/25/364
| | | 813,127 | | | | 524,729 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA3, Class 3A1 | |
6.57% | | 05/25/354
| | | 734,709 | | | | 677,804 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA7, Class 2A1 | |
5.97% | | 09/25/354
| | | 1,015,423 | | | | 898,159 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA8, Class 2A1 | |
5.83% | | 10/25/354
| | | 1,386,954 | | | | 827,724 | |
| First Horizon Alternative Mortgage Securities Trust, | |
| Series 2005-AA9, Class 2A1 | |
6.08% | | 11/25/354
| | | 763,023 | | | | 667,996 | |
| First Horizon Mortgage Pass-Through Trust, | |
| Series 2005-AR4, Class 1A1 | |
4.17% | | 09/25/354
| | | 1,180,531 | | | | 768,877 | |
| First Horizon Mortgage Pass-Through Trust, | |
| Series 2005-AR5, Class 2A1 | |
5.74% | | 11/25/354
| | | 478,779 | | | | 374,303 | |
| First Horizon Mortgage Pass-Through Trust, | |
| Series 2007-AR2, Class 1A2 | |
7.28% | | 08/25/374
| | | 50,140 | | | | 15,454 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | |
| Series 2021-HQA2, Class M2 | |
| (SOFR30A plus 2.05%) | |
7.33% | | 12/25/331,2
| | | 4,587,635 | | | | 4,682,880 | |
| Freddie Mac Structured Agency Credit Risk Debt Notes, | |
| Series 2022-DNA1, Class M1B | |
| (SOFR30A plus 1.85%) | |
7.13% | | 01/25/421,2
| | | 3,485,000 | | | | 3,536,000 | |
| GMACM Mortgage Corp. Loan Trust, | |
| Series 2005-AR5, Class 3A1 | |
4.84% | | 09/19/354
| | | 805,720 | | | | 643,071 | |
| GMACM Mortgage Corp. Loan Trust, | |
| Series 2006-AR1, Class 1A1 | |
3.62% | | 04/19/364
| | | 2,552,261 | | | | 2,086,719 | |
| GreenPoint Manufactured Housing, | |
| Series 2000-1, Class A4 | |
8.14% | | 03/20/304
| | | 3,873,111 | | | | 2,519,967 | |
| GreenPoint Mortgage Funding Trust, | |
| Series 2007-AR1, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | 03/25/472
| | | 7,672,633 | | | | 7,073,600 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 172 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| GSAMP Trust, | |
| Series 2007-FM2, Class A1 | |
| (CME Term SOFR 1-Month plus 0.25%) | |
5.11% | | 01/25/372
| | $ | 16,333,173 | | | $ | 9,622,259 | |
| GSR Mortgage Loan Trust, | |
| Series 2005-7F, Class 3A3 (IO) | |
| (-1.00 X CME Term SOFR 1-Month plus 5.39%, 5.50% Cap) | |
0.53% | | 09/25/352,5,6
| | | 9,208 | | | | 553 | |
| GSR Mortgage Loan Trust, | |
| Series 2005-AR4, Class 5A1 | |
6.21% | | 07/25/354
| | | 254,566 | | | | 243,414 | |
| GSR Mortgage Loan Trust, | |
| Series 2006-AR2, Class 2A1 | |
4.39% | | 04/25/364
| | | 157,339 | | | | 105,480 | |
| HarborView Mortgage Loan Trust, | |
| Series 2005-10, Class 2A1A | |
| (CME Term SOFR 1-Month plus 0.73%) | |
5.70% | | 11/19/352
| | | 841,607 | | | | 564,459 | |
| HarborView Mortgage Loan Trust, | |
| Series 2006-7, Class 1A | |
| (CME Term SOFR 1-Month plus 0.53%) | |
5.50% | | 09/19/462
| | | 7,704,594 | | | | 6,466,717 | |
| HarborView Mortgage Loan Trust, | |
| Series 2007-6, Class 1A1A | |
| (CME Term SOFR 1-Month plus 0.31%) | |
5.28% | | 08/19/372
| | | 8,612,291 | | | | 7,197,750 | |
| Home Equity Mortgage Loan Asset-Backed Trust, | |
| Series 2005-D, Class AII4 | |
| (CME Term SOFR 1-Month plus 0.81%) | |
5.67% | | 03/25/362
| | | 590,642 | | | | 586,364 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2005-OPT1, Class M1 | |
| (CME Term SOFR 1-Month plus 0.74%) | |
5.60% | | 11/25/352
| | | 461,744 | | | | 457,152 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2006-HE1, Class 1A1 | |
| (CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | 10/25/362
| | | 10,598,544 | | | | 3,032,117 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2006-HE2, Class 1A | |
| (CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | 12/25/362
| | | 25,410,151 | | | | 10,117,628 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2006-WMC1, Class A1 | |
| (CME Term SOFR 1-Month plus 0.21%) | |
5.07% | | 07/25/362
| | | 9,743,134 | | | | 4,274,867 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2006-WMC1, Class A2 | |
| (CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | 07/25/362
| | | 10,783,772 | | | | 4,763,847 | |
| HSI Asset Securitization Corp. Trust, | |
| Series 2006-WMC1, Class A4 | |
| (CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 07/25/362
| | | 9,429,904 | | | | 4,247,739 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount | | | Value |
|
MORTGAGE-BACKED (continued) | |
|
| Non-Agency Mortgage-Backed (continued) | |
| Impac CMB Trust, | |
| Series 2005-2, Class 1A1 | |
| (CME Term SOFR 1-Month plus 0.63%) | |
5.49% | | 04/25/352
| | $ | 1,465,006 | | | $ | 1,408,545 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2005-AR14, Class 1A1A | |
| (CME Term SOFR 1-Month plus 0.67%) | |
5.53% | | 07/25/352
| | | 7,406,607 | | | | 5,338,630 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2005-AR19, Class A1 | |
3.85% | | 10/25/354
| | | 1,667,091 | | | | 1,350,338 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2006-AR27, Class 1A3 | |
| (CME Term SOFR 1-Month plus 0.65%) | |
5.51% | | 10/25/362
| | | 4,694,911 | | | | 1,933,004 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2006-AR4, Class A2A | |
| (CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 05/25/462
| | | 9,299,487 | | | | 9,236,415 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2006-AR9, Class 3A3 | |
3.53% | | 06/25/364
| | | 2,541,663 | | | | 2,216,191 | |
| IndyMac Index Mortgage Loan Trust, | |
| Series 2007-FLX4, Class 2A1 | |
| (CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 07/25/372
| | | 10,651,365 | | | | 9,959,717 | |
| IndyMac Manufactured Housing Contract Pass-Through | |
| Certificates, | |
| Series 1998-1, Class A4 | |
6.49% | | 09/25/28 | | | 10,528 | | | | 10,481 | |
| JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-WMC4, Class A1A | |
| (CME Term SOFR 1-Month plus 0.24%) | |
5.10% | | 12/25/362
| | | 6,561,700 | | | | 4,113,143 | |
| JPMorgan Mortgage Acquisition Trust, | |
| Series 2006-WMC4, Class A4 | |
| (CME Term SOFR 1-Month plus 0.26%) | |
5.12% | | 12/25/362
| | | 8,383,423 | | | | 4,490,413 | |
| JPMorgan Mortgage Trust, | |
| Series 2006-A3, Class 2A1 | |
4.93% | | 05/25/364
| | | 14,848 | | | | 12,698 | |
| Legacy Mortgage Asset Trust, | |
| Series 2017-RPL1, Class A | |
| (CME Term SOFR 1-Month plus 1.86%) | |
6.71% | | 01/28/701,2
| | | 4,554 | | | | 4,559 | |
| Lehman XS Trust, | |
| Series 2005-5N, Class 3A1A | |
| (CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | 11/25/352
| | | 395,888 | | | | 392,193 | |
| Lehman XS Trust, | |
| Series 2006-17, Class 1A3 | |
| (CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 08/25/462
| | | 10,624,284 | | | | 9,132,321 | |
See accompanying Notes to Financial Statements.
|
| 173 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Lehman XS Trust, | |
Series 2006-GP2, Class 1A5A | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | 06/25/462 | | $ | 3,153,789 | | | $ | 2,981,423 | |
Lehman XS Trust, | |
Series 2007-18N, Class 1A1 | |
(CME Term SOFR 1-Month plus 1.81%) | |
6.67% | | 10/25/372 | | | 2,520,934 | | | | 2,368,682 | |
Long Beach Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 03/25/462 | | | 5,467,837 | | | | 4,394,841 | |
Long Beach Mortgage Loan Trust, | |
Series 2006-9, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | 10/25/362 | | | 47,294,291 | | | | 15,482,174 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
6.41% | | 11/25/334 | | | 68,326 | | | | 67,230 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-15, Class 8A1 | |
6.34% | | 10/25/344 | | | 58,862 | | | | 58,604 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
5.85% | | 04/25/344 | | | 19,577 | | | | 18,750 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2006-OA2, Class 1A1 | |
(Federal Reserve US 12-Month Cumulative Average plus | |
| 0.80%) | | | | | | | | | | |
5.92% | | 12/25/462 | | | 15,018,298 | | | | 10,758,170 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-WMC1, Class A3 | |
(CME Term SOFR 1-Month plus 0.47%) | |
5.33% | | 02/25/362 | | | 15,532,600 | | | | 5,401,819 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A4 | |
(CME Term SOFR 1-Month plus 0.39%) | |
5.25% | | 05/25/372 | | | 3,150,000 | | | | 2,652,256 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-WMC1, Class A2 | |
(CME Term SOFR 1-Month plus 0.21%) | |
5.07% | | 01/25/372 | | | 15,721,640 | | | | 4,287,130 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-A3, Class A2D | |
(CME Term SOFR 1-Month plus 0.77%) | |
5.63% | | 04/25/372,5,6 | | | 883,581 | | | | 37,112 | |
Merrill Lynch Alternative Note Asset Trust, | |
Series 2007-OAR2, Class A2 | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | 04/25/372 | | | 6,164,575 | | | | 5,056,390 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-1, Class A2C | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 04/25/372 | | | 15,843,820 | | | | 6,349,249 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-4, Class 2A4 | |
(CME Term SOFR 1-Month plus 0.61%) | |
5.47% | | 07/25/372 | | $ | 371,686 | | | $ | 370,313 | |
Merrill Lynch First Franklin Mortgage Loan Trust, | |
Series 2007-5, Class 1A | |
(CME Term SOFR 1-Month plus 0.96%) | |
5.82% | | 10/25/372 | | | 21,129,389 | | | | 12,557,084 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2003-A6, Class 2A | |
7.05% | | 10/25/334 | | | 60,177 | | | | 58,748 | |
Merrill Lynch Mortgage Investors Trust, | |
Series 2007-2, Class 1A1 | |
(US Treasury Yield Curve Rate T Note Constant Maturity | |
1-Year plus 2.40%) | |
6.78% | | 08/25/362 | | | 535,700 | | | | 476,695 | |
Morgan Stanley ABS Capital I Trust, | |
Series 2006-NC2, Class A2D | |
(CME Term SOFR 1-Month plus 0.69%) | |
5.55% | | 02/25/362 | | | 506,751 | | | | 502,255 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A3 | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | 06/25/362 | | | 8,579,002 | | | | 4,446,558 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2006-HE4, Class A4 | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | 06/25/362 | | | 9,151,858 | | | | 4,774,875 | |
Morgan Stanley ABS Capital I, Inc., Trust, | |
Series 2007-NC3, Class A2C | |
(CME Term SOFR 1-Month plus 0.30%) | |
5.16% | | 05/25/372 | | | 19,074,489 | | | | 14,685,432 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2006-3, Class A4 | |
(CME Term SOFR 1-Month plus 0.63%) | |
5.49% | | 04/25/362 | | | 10,802,442 | | | | 7,423,507 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
5.76% | | 09/25/344 | | | 113,273 | | | | 110,480 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
5.25% | | 02/25/21 | | | 33,394 | | | | 30,264 | |
MortgageIT Trust, | |
Series 2005-2, Class 2A | |
(CME Term SOFR 1-Month plus 1.76%) | |
6.97% | | 05/25/352 | | | 464,347 | | | | 438,447 | |
New York Mortgage Trust, | |
Series 2005-3, Class A1 | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | 02/25/362 | | | 115,522 | | | | 114,331 | |
Nomura Asset Acceptance Corp., | |
Series 2005-AR4, Class 4A1 | |
5.52% | | 08/25/354 | | | 1,278,616 | | | | 1,179,802 | |
Oakwood Mortgage Investors, Inc., | |
Series 2000-A, Class A5 | |
8.16% | | 09/15/294 | | | 10,211,723 | | | | 1,811,224 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 174 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Option One Mortgage Loan Trust, | |
Series 2007-4, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.29%) | |
5.15% | | 04/25/372 | | $ | 12,049,800 | | | $ | 6,987,026 | |
Option One Mortgage Loan Trust, | |
Series 2007-5, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.28%) | |
5.14% | | 05/25/372 | | | 17,196,519 | | | | 9,236,926 | |
Ownit Mortgage Loan Trust, | |
Series 2006-2, Class A1 | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | 01/25/372 | | | 2,585,219 | | | | 2,501,281 | |
PHH Alternative Mortgage Trust, | |
Series 2007-2, Class 1A4 | |
(CME Term SOFR 1-Month plus 0.71%) | |
5.57% | | 05/25/372 | | | 5,012,664 | | | | 4,459,790 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
(CME Term SOFR 1-Month plus 0.42%) | |
5.28% | | 06/25/472 | | | 4,180,973 | | | | 3,895,774 | |
PRET LLC, | |
Series 2022-RN2, Class A2 (STEP-reset date 10/25/24) | |
6.50% | | 06/25/521 | | | 16,833,000 | | | | 16,417,334 | |
PRET, LLC, | |
Series 2022-RN1, Class A1 (STEP-reset date 10/25/24) | |
3.72% | | 07/25/511 | | | 12,876,549 | | | | 12,776,208 | |
PRPM LLC, | |
Series 2021-9, Class A1 (STEP-reset date 10/25/24) | |
2.36% | | 10/25/261 | | | 12,058,468 | | | | 12,068,833 | |
PRPM, LLC, | |
Series 2021-8, Class A1 | |
4.74% | | 09/25/261,4 | | | 6,831,809 | | | | 6,798,145 | |
RAAC Trust, | |
Series 2005-SP1, Class 4A1 | |
7.00% | | 09/25/34 | | | 20,674 | | | | 20,531 | |
Residential Accredit Loans Trust, | |
Series 2005-QA13, Class 2A1 | |
5.38% | | 12/25/354 | | | 1,183,096 | | | | 1,036,803 | |
Residential Accredit Loans Trust, | |
Series 2005-QA4, Class A41 | |
4.63% | | 04/25/354 | | | 481 | | | | 479 | |
Residential Accredit Loans Trust, | |
Series 2005-QA7, Class A21 | |
5.79% | | 07/25/354 | | | 383,584 | | | | 364,198 | |
Residential Accredit Loans Trust, | |
Series 2005-QA8, Class CB21 | |
5.55% | | 07/25/354 | | | 481,289 | | | | 268,782 | |
Residential Accredit Loans Trust, | |
Series 2006-QS13, Class 2A1 | |
5.75% | | 09/25/21 | | | 2,284 | | | | 1,386 | |
Residential Accredit Loans Trust, | |
Series 2006-QS16, Class A6 | |
6.00% | | 11/25/36 | | | 296,892 | | | | 236,147 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans Trust, | |
Series 2007-QA3, Class A1 | |
(CME Term SOFR 1-Month plus 0.31%) | |
5.17% | | 05/25/372 | | $ | 12,871,837 | | | $ | 12,131,256 | |
Residential Accredit Loans Trust, | |
Series 2007-QH6, Class A1 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | 07/25/372 | | | 6,280,823 | | | | 5,737,775 | |
Residential Accredit Loans Trust, | |
Series 2007-QS1, Class 2AV (IO) | |
0.17% | | 01/25/374,5,6 | | | 1,257,196 | | | | 6,255 | |
Residential Asset Securitization Trust, | |
Series 2006-A9CB, Class A9 | |
6.00% | | 09/25/36 | | | 4,932,191 | | | | 1,593,453 | |
Residential Funding Mortgage Securities Trust, | |
Series 2007-SA2, Class 1A | |
4.75% | | 04/25/374 | | | 185,519 | | | | 97,573 | |
Saxon Asset Securities Trust, | |
Series 2007-2, Class A2C | |
(CME Term SOFR 1-Month plus 0.35%) | |
5.21% | | 05/25/472 | | | 11,931,843 | | | | 8,584,534 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-CB1, Class AF4 (STEP-reset date 11/25/24) | |
2.83% | | 01/25/36 | | | 3,364,968 | | | | 2,871,221 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2006-WM4, Class A1 | |
(CME Term SOFR 1-Month plus 0.49%) | |
5.35% | | 11/25/361,2 | | | 8,196,705 | | | | 3,775,362 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR2, Class A2 | |
(CME Term SOFR 1-Month plus 0.57%) | |
5.43% | | 02/25/372 | | | 5,508,327 | | | | 2,352,113 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-BR4, Class A2B | |
(CME Term SOFR 1-Month plus 0.51%) | |
5.37% | | 05/25/372 | | | 8,945,069 | | | | 5,506,478 | |
Securitized Asset-Backed Receivables LLC Trust, | |
Series 2007-NC1, Class A2B | |
(CME Term SOFR 1-Month plus 0.41%) | |
5.27% | | 12/25/362 | | | 5,277,293 | | | | 2,587,327 | |
Soundview Home Loan Trust, | |
Series 2007-OPT1, Class 2A3 | |
(CME Term SOFR 1-Month plus 0.32%) | |
5.18% | | 06/25/372 | | | 17,065,283 | | | | 11,526,106 | |
Soundview Home Loan Trust, | |
Series 2007-WMC1, Class 3A3 | |
(CME Term SOFR 1-Month plus 0.37%) | |
5.23% | | 02/25/372 | | | 940,260 | | | | 272,805 | |
Specialty Underwriting & Residential Finance Trust, | |
Series 2007-BC2, Class A1 | |
(CME Term SOFR 1-Month plus 0.34%) | |
5.20% | | 04/25/372 | | | 18,463,967 | | | | 13,483,524 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-12, Class 2A | |
5.60% | | 09/25/344 | | | 219,064 | | | | 213,223 | |
See accompanying Notes to Financial Statements.
|
| 175 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2004-2, Class 4A2 | |
5.86% | | 03/25/344 | | $ | 503,739 | | | $ | 477,904 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-12, Class 3A1 | |
5.63% | | 06/25/354 | | | 166,614 | | | | 146,595 | |
Structured Adjustable Rate Mortgage Loan Trust, | |
Series 2005-7, Class 1A3 | |
4.99% | | 04/25/354 | | | 1,682,606 | | | | 1,542,500 | |
Structured Asset Investment Loan Trust, | |
Series 2004-6, Class A3 | |
(CME Term SOFR 1-Month plus 0.91%) | |
5.77% | | 07/25/342 | | | 6,169,253 | | | | 6,309,655 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR5, Class 1A1 | |
(CME Term SOFR 1-Month plus 0.53%) | |
5.39% | | 05/25/362 | | | 173,810 | | | | 116,685 | |
Structured Asset Mortgage Investments II Trust, | |
Series 2006-AR7, Class A1BG | |
(CME Term SOFR 1-Month plus 0.23%) | |
5.09% | | 08/25/362 | | | 5,519,981 | | | | 4,856,191 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | |
Series 2005-2XS, Class 2A2 | |
(CME Term SOFR 1-Month plus 1.61%) | |
6.82% | | 02/25/352 | | | 18,036 | | | | 18,939 | |
Structured Asset Securities Corp. Mortgage Loan Trust, | |
Series 2005-4XS, Class 2A1A | |
(CME Term SOFR 1-Month plus 1.86%) | |
7.07% | | 03/25/352 | | | 678,062 | | | | 653,942 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-4, Class 3A1 | |
5.03% | | 10/25/374 | | | 615,208 | | | | 542,676 | |
SunTrust Adjustable Rate Mortgage Loan Trust, | |
Series 2007-S1, Class 5A1 | |
5.35% | | 01/25/374 | | | 11,451 | | | | 11,116 | |
Towd Point Mortgage Trust, | |
Series 2017-4, Class B1 | |
3.64% | | 06/25/571,4 | | | 8,650,000 | | | | 7,706,259 | |
Towd Point Mortgage Trust, | |
Series 2019-1, Class B1 | |
3.78% | | 03/25/581,4 | | | 7,087,000 | | | | 5,996,720 | |
VOLT XCIV LLC, | |
Series 2021-NPL3, Class A1 (STEP-reset date 10/25/24) | |
5.24% | | 02/27/511 | | | 5,078,714 | | | | 5,086,113 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.19% | | 01/25/372 | | | 4,869,736 | | | | 2,276,094 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE2, Class 2A2 | |
(CME Term SOFR 1-Month plus 0.33%) | |
5.41% | | 02/25/372 | | | 27,499,546 | | | | 8,802,253 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR13, Class A1A | |
(CME Term SOFR 1-Month plus 0.83%) | |
5.69% | | 11/25/342 | | | 86,294 | | | | 83,619 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
5.34% | | 01/25/354 | | $ | 271,226 | | | $ | 250,857 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
4.85% | | 12/25/354 | | | 9,452 | | | | 8,656 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR16, Class 1A3 | |
4.81% | | 12/25/354 | | | 716,967 | | | | 654,793 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
(CME Term SOFR 1-Month plus 0.77%) | |
5.63% | | 01/25/452 | | | 256,522 | | | | 258,000 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class A1A | |
(Federal Reserve US 12-Month Cumulative Average plus 1.00%) | |
6.12% | | 02/25/462 | | | 2,875,982 | | | | 2,655,612 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.94%) | |
4.52% | | 05/25/462 | | | 1,198,726 | | | | 1,105,604 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
(Federal Reserve US 12-Month Cumulative Average plus | |
0.98%) | |
6.10% | | 07/25/462 | | | 2,420,781 | | | | 2,232,408 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY3, Class 1A1 | |
3.82% | | 03/25/374 | | | 1,378,904 | | | | 1,121,222 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OC1, Class A1 | |
(CME Term SOFR 1-Month plus 0.59%) | |
5.45% | | 01/25/472 | | | 3,981,783 | | | | 3,557,004 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | 11/25/37 | | | 1,118,180 | | | | 991,475 | |
Wells Fargo Home Equity Asset-Backed Securities Trust, | |
Series 2007-1, Class A3 | |
(CME Term SOFR 1-Month plus 0.75%) | |
5.61% | | 03/25/372 | | | 4,690,000 | | | | 4,472,164 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR14, Class 2A1 | |
7.40% | | 10/25/364 | | | 220,717 | | | | 198,860 | |
Wells Fargo Mortgage-Backed Securities Trust, | |
Series 2006-AR4, Class 1A1 | |
6.34% | | 04/25/364 | | | 57,600 | | | | 55,197 | |
| | | | | |
| | | | 760,761,182 | |
| | | | | |
|
| U.S. Agency Commercial Mortgage-Backed — 0.75% | |
Fannie Mae-Aces, | |
Series 2016-M11, Class X2 (IO) | |
3.10% | | 07/25/394 | | | 9,695,351 | | | | 181,849 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 176 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Fannie Mae-Aces, | |
Series 2016-M2, Class X3 (IO) | |
2.04% | | 04/25/364 | | $ | 5,125,796 | | | $ | 256 | |
Fannie Mae-Aces, | |
Series 2016-M4, Class X2 (IO) | |
2.72% | | 01/25/394 | | | 17,132,807 | | | | 91,376 | |
Fannie Mae-Aces, | |
Series 2019-M29, Class X4 (IO) | |
0.70% | | 03/25/294 | | | 117,375,779 | | | | 2,827,796 | |
Freddie Mac Multifamily PC REMIC Trust, | |
Series 2019-P002, Class X (IO) | |
1.14% | | 07/25/334 | | | 14,520,699 | | | | 854,955 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K041, Class X3 (IO) | |
1.70% | | 11/25/424 | | | 160,569,309 | | | | 197,500 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K043, Class X3 (IO) | |
1.69% | | 02/25/434 | | | 58,000,000 | | | | 162,713 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K051, Class X3 (IO) | |
1.67% | | 10/25/434 | | | 44,864,940 | | | | 737,266 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K053, Class X3 (IO) | |
1.70% | | 03/25/444 | | | 78,150,000 | | | | 1,587,164 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K054, Class X1 (IO) | |
1.28% | | 01/25/264 | | | 50,476,917 | | | | 557,391 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K055, Class X3 (IO) | |
1.70% | | 04/25/444 | | | 32,000,000 | | | | 748,381 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K056, Class X1 (IO) | |
1.37% | | 05/25/264 | | | 52,642,058 | | | | 870,157 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series K057, Class X1 (IO) | |
1.28% | | 07/25/264 | | | 114,863,810 | | | | 1,706,417 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC05, Class X1 (IO) | |
1.36% | | 06/25/274 | | | 80,654,403 | | | | 1,845,139 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KC07, Class X1 (IO) | |
0.83% | | 09/25/264 | | | 81,005,774 | | | | 656,754 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KIR1, Class X (IO) | |
1.16% | | 03/25/264 | | | 108,171,526 | | | | 1,278,122 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Commercial Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KL05, Class X1HG (IO) | |
1.37% | | 12/25/274 | | $ | 49,531,000 | | | $ | 1,278,937 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS06, Class X (IO) | |
1.18% | | 08/25/264 | | | 63,459,995 | | | | 572,980 | |
Freddie Mac Multifamily Structured Pass-Through | |
Certificates, | |
Series KS07, Class X (IO) | |
0.72% | | 09/25/254 | | | 97,251,840 | | | | 544,464 | |
Ginnie Mae, | |
Series 2011-152, Class IO (IO) | |
0.00% | | 08/16/514 | | | 4,450,782 | | | | 75 | |
Ginnie Mae, | |
Series 2012-112, Class IO (IO) | |
0.11% | | 02/16/534 | | | 18,019,278 | | | | 61,320 | |
Ginnie Mae, | |
Series 2012-78, Class IO (IO) | |
0.07% | | 06/16/524 | | | 27,435,450 | | | | 17,817 | |
Ginnie Mae, | |
Series 2014-103, Class IO (IO) | |
0.19% | | 05/16/554 | | | 13,724,266 | | | | 72,180 | |
Ginnie Mae, | |
Series 2014-125, Class IO (IO) | |
0.90% | | 11/16/544 | | | 8,218,208 | | | | 230,889 | |
Ginnie Mae, | |
Series 2023-127, Class IO (IO) | |
0.41% | | 07/16/574 | | | 178,450,571 | | | | 2,923,538 | |
| | | | | |
| | | | 20,005,436 | |
| | | | | |
| |
| U.S. Agency Mortgage-Backed — 21.70% | | | | | |
Fannie Mae Pool CB0176 | |
2.50% | | 04/01/51 | | | 3,223,452 | | | | 2,784,682 | |
Fannie Mae Pool FM8658 | |
2.50% | | 09/01/51 | | | 7,303,519 | | | | 6,308,244 | |
Fannie Mae Pool FM9086 | |
2.50% | | 10/01/51 | | | 11,730,543 | | | | 10,131,074 | |
Fannie Mae Pool FS1598 | |
2.00% | | 04/01/52 | | | 15,409,687 | | | | 12,747,189 | |
Fannie Mae Pool FS6925 | |
2.50% | | 12/01/51 | | | 19,230,591 | | | | 16,618,576 | |
Fannie Mae Pool FS6943 | |
3.00% | | 06/01/52 | | | 24,597,585 | | | | 22,077,828 | |
Fannie Mae Pool FS7252 | |
5.00% | | 11/01/53 | | | 12,833,271 | | | | 12,828,756 | |
Fannie Mae Pool FS8274 | |
2.00% | | 04/01/52 | | | 17,204,458 | | | | 14,231,858 | |
Fannie Mae Pool MA4547 | |
2.00% | | 02/01/52 | | | 15,881,443 | | | | 13,139,719 | |
Fannie Mae Pool MA4563 | |
2.50% | | 03/01/52 | | | 24,657,550 | | | | 21,295,229 | |
Fannie Mae Pool MA4599 | |
3.00% | | 05/01/52 | | | 7,321,698 | | | | 6,574,029 | |
See accompanying Notes to Financial Statements.
|
| 177 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool MA4733 | |
4.50% | | 09/01/52 | | $ | 17,174,229 | | | $ | 16,897,016 | |
Fannie Mae Pool MA5037 | |
4.50% | | 06/01/53 | | | 2,091,519 | | | | 2,056,772 | |
Fannie Mae REMICS, | |
Series 2006-11, Class PS | |
(-3.67 X SOFR30A plus 24.15%, 24.57% Cap) | |
4.79% | | 03/25/362 | | | 9,136 | | | | 11,146 | |
Fannie Mae REMICS, | |
Series 2006-8, Class HJ (IO) | |
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap) | |
1.21% | | 03/25/362 | | | 378,048 | | | | 39,051 | |
Fannie Mae REMICS, | |
Series 2007-52, Class LS (IO) | |
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap) | |
0.66% | | 06/25/372 | | | 20,232 | | | | 1,930 | |
Fannie Mae REMICS, | |
Series 2007-77, Class SK (IO) | |
(-1.00 X SOFR30A plus 5.76%, 5.87% Cap) | |
0.48% | | 08/25/372 | | | 45,091 | | | | 3,940 | |
Fannie Mae REMICS, | |
Series 2007-88, Class JI (IO) | |
(-1.00 X SOFR30A plus 6.34%, 6.45% Cap) | |
1.06% | | 04/25/372 | | | 412,229 | | | | 42,269 | |
Fannie Mae REMICS, | |
Series 2008-18, Class SM (IO) | |
(-1.00 X SOFR30A plus 6.89%, 7.00% Cap) | |
1.61% | | 03/25/382 | | | 30,232 | | | | 3,645 | |
Fannie Mae REMICS, | |
Series 2008-62, Class SN (IO) | |
(-1.00 X SOFR30A plus 6.09%, 6.20% Cap) | |
0.81% | | 07/25/382 | | | 59,920 | | | | 4,893 | |
Fannie Mae REMICS, | |
Series 2010-116, Class SE (IO) | |
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap) | |
1.21% | | 10/25/402 | | | 22,251 | | | | 2,148 | |
Fannie Mae REMICS, | |
Series 2013-5, Class GF | |
(SOFR30A plus 1.21%) | |
5.00% | | 10/25/422 | | | 124,529 | | | | 115,519 | |
Fannie Mae REMICS, | |
Series 2014-49, Class CF | |
(SOFR30A plus 1.11%) | |
6.00% | | 07/25/432 | | | 4,570,881 | | | | 4,413,505 | |
Freddie Mac Pool SD5323 | |
4.00% | | 01/01/54 | | | 6,544,872 | | | | 6,288,023 | |
Freddie Mac Pool SD8199 | |
2.00% | | 03/01/52 | | | 39,319,371 | | | | 32,525,739 | |
Freddie Mac Pool SD8213 | |
3.00% | | 05/01/52 | | | 9,737,604 | | | | 8,746,435 | |
Freddie Mac Pool SD8220 | |
3.00% | | 06/01/52 | | | 15,254,878 | | | | 13,715,972 | |
Freddie Mac Pool SD8244 | |
4.00% | | 09/01/52 | | | 22,594,323 | | | | 21,714,624 | |
Freddie Mac Pool SD8256 | |
4.00% | | 10/01/52 | | | 17,900,560 | | | | 17,200,838 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity
Date | | Principal
Amount | | | Value | |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Pool SD8265 | |
4.00% | | 11/01/52 | | $ | 26,635,595 | | | $ | 25,590,302 | |
Freddie Mac Pool SD8275 | |
4.50% | | 12/01/52 | | | 32,725,792 | | | | 32,218,368 | |
Freddie Mac Pool SD8347 | |
4.50% | | 08/01/53 | | | 10,527,002 | | | | 10,352,110 | |
Freddie Mac REMICS, | |
Series 3339, Class JS | |
(-6.50 X SOFR30A plus 42.09%, 42.84% Cap) | |
7.37% | | 07/15/372 | | | 5,361 | | | | 7,613 | |
Freddie Mac REMICS, | |
Series 3404, Class AS (IO) | |
(-1.00 X SOFR30A plus 5.78%, 5.90% Cap) | |
0.44% | | 01/15/382 | | | 27,790 | | | | 2,540 | |
Freddie Mac REMICS, | |
Series 3439, Class SC (IO) | |
(-1.00 X SOFR30A plus 5.79%, 5.90% Cap) | |
0.44% | | 04/15/382 | | | 22,124 | | | | 1,579 | |
Freddie Mac REMICS, | |
Series 3885, Class PO (PO) | |
0.00% | | 11/15/339 | | | 7,576 | | | | 6,395 | |
Freddie Mac REMICS, | |
Series 4030, Class HS (IO) | |
(-1.00 X SOFR30A plus 6.50%, 6.61% Cap) | |
1.15% | | 04/15/422 | | | 52,534 | | | | 6,371 | |
Freddie Mac REMICS, | |
Series 4993, Class OP (PO) | |
0.00% | | 10/25/589 | | | 1,518,369 | | | | 1,385,979 | |
Ginnie Mae (TBA) | |
4.00% | | 10/20/54 | | | 23,225,000 | | | | 22,457,170 | |
4.50% | | 10/20/54 | | | 26,575,000 | | | | 26,231,146 | |
5.00% | | 10/20/54 | | | 32,600,000 | | | | 32,657,213 | |
5.50% | | 10/20/54 | | | 20,225,000 | | | | 20,423,508 | |
Ginnie Mae II Pool MA8427 | |
4.50% | | 11/20/52 | | | 13,450,173 | | | | 13,290,063 | |
Ginnie Mae, | |
Series 2011-146, Class EI (IO) | |
5.00% | | 11/16/41 | | | 51,332 | | | | 10,195 | |
Ginnie Mae, | |
Series 2011-70, Class IL (IO) | |
(-1.00 X CME Term SOFR 1-Month plus 6.99%, 0.60% Cap) | |
0.60% | | 06/16/372 | | | 303,519 | | | | 5,693 | |
Ginnie Mae, | |
Series 2011-81, Class IC (IO) | |
(-1.00 X CME Term SOFR 1-Month plus 6.61%, 0.62% Cap) | |
0.62% | | 07/20/352 | | | 343,043 | | | | 5,585 | |
Ginnie Mae, | |
Series 2013-135, Class CS (IO) | |
(-1.00 X CME Term SOFR 1-Month plus 6.09%, 6.20% Cap) | |
0.99% | | 09/16/432 | | | 1,207,507 | | | | 138,757 | |
Ginnie Mae, | |
Series 2017-136, Class IO (IO) | |
5.00% | | 09/20/47 | | | 226,793 | | | | 51,890 | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 178 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | Maturity Date | | | Principal Amount | | | Value |
| |
MORTGAGE-BACKED (continued) | | | | | |
|
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, | | | | | |
Series 2024-30, Class AF | | | | | |
(SOFR30A plus 1.25%) | | | | | |
6.50% | | |
| 02/20/542
|
| | $ | 1,031,018 | | | $ | 1,035,904 | |
UMBS (TBA) | | | | | |
2.00% | | | | 10/01/54 | | | | 15,225,000 | | | | 12,579,588 | |
2.50% | | | | 10/01/54 | | | | 14,825,000 | | | | 12,793,515 | |
3.00% | | | | 10/01/54 | | | | 15,000,000 | | | | 13,462,785 | |
3.50% | | | | 10/01/54 | | | | 25,575,000 | | | | 23,824,417 | |
4.50% | | | | 10/01/54 | | | | 26,675,000 | | | | 26,233,502 | |
5.00% | | | | 10/01/54 | | | | 20,075,000 | | | | 20,063,357 | |
5.50% | | | | 10/01/54 | | | | 21,450,000 | | | | 21,705,255 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 579,061,449 | |
| | | | | | | | | | | | | | | | |
| |
Total Mortgage-Backed | | | | | |
(Cost $1,850,801,006) | | | | 1,611,967,427 | |
| | | | | | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.32%* | | | | | |
| |
Florida — 0.16% | | | | | |
County of Miami-Dade Aviation Revenue Bonds, Airport and | |
Marina Improvements, Series B | | | | | | | | | |
2.81% | | | | 10/01/34 | | | | 1,000,000 | | | | 863,272 | |
2.86% | | | | 10/01/35 | | | | 1,750,000 | | | | 1,488,611 | |
County of Miami-Dade Aviation Revenue Bonds, Airport and | |
Marina Improvements, Series D | | | | | | | | | |
3.35% | | | | 10/01/29 | | | | 2,000,000 | | | | 1,930,294 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | 4,282,177 | |
| | | | | | | | | | | | | | | | |
New York — 0.16% | | | | | |
New York City Transitional Finance Authority Future Tax | |
Secured Revenue Bonds, Public Improvements, Subseries | |
FI | | | | | | | | | |
3.95% | | | | 08/01/32 | | | | 1,000,000 | | | | 976,430 | |
New York State Dormitory Authority Revenue Bonds, | |
University & College Improvements | |
5.29% | | | | 03/15/33 | | | | 3,100,000 | | | | 3,157,083 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,133,513 | |
| | | | | | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $9,258,849) | | | | 8,415,690 | |
| | | | | | | | | | | | | | | | |
| |
Total Bonds — 98.08% | | | | | |
(Cost $2,908,328,342) | | | | 2,617,544,831 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| Issues | | | | | | | | Shares | | | Value |
| |
COMMON STOCK — 0.40% | | | | | |
| |
Communications — 0.17% | | | | | |
Intelsat Emergence SA3,5,6,13 | | | | | |
(Luxembourg) | | | | 141,371 | | | | 4,470,929 | |
| | | | | | | | | | | | | | | | |
| |
Finance — 0.23% | | | | | |
AGNC Investment Corp. | | | | 582,000 | | | | 6,087,720 | |
| | | | | | | | | | | | | | | | |
| |
Specialized REITs — 0.00% | | | | | |
Aoyuan New Shares3,5,6,13 | | | | | | | | | |
(Cayman Islands) | | | | 408,855 | | | | 16,317 | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | | | Shares | | | Value |
| |
COMMON STOCK — 0.40% (continued) | | | | | |
| |
Specialized REITs — 0.00% (continued) | | | | | |
China Aoyuan Group Ltd.3,13 | | | | | |
(Switzerland) | | | 163,541 | | | $ | 6,527 | |
| | | | | | | | | | | | |
| | | | 22,844 | |
| | | | | | | | | | | | |
| |
Total Common Stock | | | | | |
(Cost $11,876,450) | | | | 10,581,493 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | |
| Issues | | | | Maturity Date | | Principal Amount/Shares | | | Value |
| |
SHORT-TERM INVESTMENTS — 9.72% | | | | | |
| |
Money Market Funds — 9.72% | | | | | |
Fidelity Investments Money Market Funds - Government | |
Portfolio | | | | | |
4.83%21,22 | | | | | 15,255,815 | | | | 15,255,815 | |
TCW Central Cash Fund | | | | | |
0.04%21,23 | | | | | 244,190,000 | | | | 244,190,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $259,445,815) | | | | 259,445,815 | |
| | | | | | | | | | | | |
| |
Total Investments - 108.20% | | | | | |
(Cost $3,179,650,607) | | | | 2,887,572,139 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (8.20)% | | | | (218,853,632 | ) |
| | | | | | | | | | | | |
| |
Net Assets - 100.00% | | | $ | 2,668,718,507 | |
| | | | | | | | | | | | |
| 1 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2024. |
| 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 $22,211,375, which is 0.83% of total net assets. |
| 7 | Payment-in-kind (“PIK”) security. |
| 8 | Perpetual security with no stated maturity date. |
| 9 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2024. |
| 10 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 7.50% cash or 8.50% payment-in-kind interest. |
| 11 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.00% cash or 9.00% payment-in-kind interest. |
| 12 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.80% cash or 9.80% payment-in-kind interest. |
| 13 | Non-income producing security. |
| 14 | Security is currently in default with regard to scheduled interest or principal payments. |
| 15 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.00% cash or 6.00% payment-in-kind interest. |
| 16 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.25% cash or 6.25% payment-in-kind interest. |
| 17 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.50% cash or 6.50% payment-in-kind interest. |
| 18 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.75% cash or 6.75% payment-in-kind interest. |
| 19 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 6.00% cash or 7.00% payment-in-kind interest. |
See accompanying Notes to Financial Statements.
|
| 179 / Semi-Annual Report September 2024 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| 20 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 6.25% cash or 7.25% payment-in-kind interest. |
| 21 | Represents the current yield as of September 30, 2024. |
| 22 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,605,218. |
| 23 | Affiliated investment. |
| * | 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
(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
(NVS): Non-Voting Shares
(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
| | | | | | | | | | | | | | | | |
| | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | | |
EUR 3,932,000 | | USD 4,337,775 | | Citibank N.A. | | | | 10/11/24 | | | $ | 52,668 | |
EUR 1,955,000 | | USD 2,126,626 | | Bank of America N.A. | | | | 10/11/24 | | | | 56,313 | |
EUR 5,665,000 | | USD 6,198,118 | | Goldman Sachs International | | | | 10/11/24 | | | | 127,380 | |
GBP 181,000 | | USD 238,085 | | Citibank N.A. | | | | 10/11/24 | | | | 4,698 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | 241,059 | |
| | | | | | | | | | | | | | | | |
| | | | |
USD 1,741,492 | | EUR 1,581,000 | | Bank of America N.A. | | | | 10/11/24 | | | | (23,842) | |
USD 3,791,628 | | EUR 3,420,000 | | Goldman Sachs International | | | | 10/11/24 | | | | (27,120) | |
USD 64,956,865 | | EUR 59,731,000 | | Citibank N.A. | | | | 10/11/24 | | | | (1,738,338) | |
USD 33,421 | | EUR 30,000 | | The Bank of New York Mellon | | | | 10/11/24 | | | | (77) | |
USD 6,615,351 | | GBP 5,159,000 | | Goldman Sachs International | | | | 10/11/24 | | | | (304,619) | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | (2,093,996) | |
| | | | | | | | | | | | | | | | |
NET UNREALIZED DEPRECIATION | | | | | | | | | | $ | (1,852,937) | |
| | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Number of
Contracts | | Expiration Date | | Notional Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | |
U.S. Treasury Five-Year Note | | 4,180 | | 12/31/24 | | $ | 459,310,146 | | | $ | 1,393,325 | | | $ | 1,393,325 | |
U.S. Treasury Two-Year Note | | 2,897 | | 12/31/24 | | | 603,277,619 | | | | 1,586,025 | | | | 1,586,025 | |
| | | | | | | | | | | | | | | | |
| | | | | | | 1,062,587,765 | | | | 2,979,350 | | | | 2,979,350 | |
| | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | |
U.S. Treasury Ten-Year Ultra Bond | | 2,005 | | 12/19/24 | | | (237,185,245) | | | | 305,304 | | | | 305,304 | |
U.S. Treasury Ultra Bond | | 524 | | 12/19/24 | | | (69,741,125) | | | | 500,991 | | | | 500,991 | |
Euro-Bund Future | | 217 | | 12/06/24 | | | (32,675,310) | | | | (205,134) | | | | (205,134) | |
Euro-Bobl Future | | 74 | | 12/06/24 | | | (9,914,653) | | | | (85,990) | | | | (85,990) | |
Long Gilt Future | | 23 | | 12/27/24 | | | (3,036,669) | | | | 28,762 | | | | 28,762 | |
Euro-Schatz Future | | 13 | | 12/06/24 | | | (1,554,965) | | | | (7,416) | | | | (7,416) | |
Euro-Buxl 30 Year | | 13 | | 12/06/24 | | | (1,977,239) | | | | (2,919) | | | | (2,919) | |
| | | | | | | | | | | | | | | | |
| | | | | | | (356,085,206) | | | | 533,598 | | | | 533,598 | |
| | | | | | | | | | | | | | | | |
TOTAL FUTURES CONTRACTS | | | | | | $ | 706,502,559 | | | $ | 3,512,948 | | | $ | 3,512,948 | |
| | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 180 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | 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 | | 12/20/53 | |
| USD-SOFR-
COMPOUND |
| | | Annual | | | | 3.52% | | | | Annual | | | $ | 21,211 | | | $ | (523,356) | | | $ | — | | | $ | (523,356) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| TOTAL SWAPS CONTRACTS | | | | | | | | | | | | | | | $ | 21,211 | | | $ | (523,356) | | | $ | — | | | $ | (523,356) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 181 / Semi-Annual Report September 2024 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
TCW Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | ALPHATRAK 500 FUND | | | | CORPORATE BOND
FUND | | | | | FLOATING RATE
INCOME FUND | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Investments, at value - Unaffiliated (Cost $23,918,673, $5,279,523 and $285,497,901, respectively) (Note 2) | | | | $ | 24,813,880 | | | | | | | | | $ | 4,817,213 | | | | | | | | | | | | | $ | 284,630,982 | | | | | |
Investments, at value - Affiliated (Cost $9,700,000, $119,000 and $33,020,000, respectively) (Note 5) | | | | | 9,700,000 | | | | | | | | | | 119,000 | | | | | | | | | | | | | | 33,020,000 | | | | | |
Cash and cash equivalents (Note 2) | | | | | — | | | | | | | | | | 976 | | | | | | | | | | | | | | 1,304,286 | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | | — | | | | | | | | | | 10,175 | | | | | | | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | | 2,752,000 | | | | | | | | | | 50,000 | | | | | | | | | | | | | | — | | | | | |
Receivable for securities sold | | | | | 2,998,717 | | | | | | | | | | 7,828 | | | | | | | | | | | | | | 10,200,851 | | | | | |
Dividends and interest receivable | | | | | 122,330 | | | | | | | | | | 41,208 | | | | | | | | | | | | | | 1,857,156 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | | 66,011 | | | | | | | | | | 516 | | | | | | | | | | | | | | — | | | | | |
Due from Adviser (Note 6) | | | | | 18,246 | | | | | | | | | | 20,069 | | | | | | | | | | | | | | 7,894 | | | | | |
Receivable for capital stock sold | | | | | 10,963 | | | | | | | | | | 21 | | | | | | | | | | | | | | 82,732 | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | | — | | | | | | | | | | 7 | | | | | | | | | | | | | | 1,667 | | | | | |
Unrealized appreciation on foreign currency transactions | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | 82 | | | | | |
Other assets | | | | | 8,634 | | | | | | | | | | — | | | | | | | | | | | | | | 14,638 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | | | 40,490,781 | | | | | | | | | | 5,067,013 | | | | | | | | | | | | | | 331,120,288 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | | 1,412,394 | | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | |
Payable for securities purchased | | | | | 8,513,730 | | | | | | | | | | 21,127 | | | | | | | | | | | | | | 34,959,360 | | | | | |
Payable for capital stock redeemed | | | | | 32,349 | | | | | | | | | | 10,653 | | | | | | | | | | | | | | 100,074 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | | — | | | | | | | | | | 107 | | | | | | | | | | | | | | — | | | | | |
Unrealized depreciation on swap contracts | | | | | — | | | | | | | | | | 1,900 | | | | | | | | | | | | | | — | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | | — | | | | | | | | | | 4,500 | | | | | | | | | | | | | | — | | | | | |
Distributions payable | | | | | — | | | | | | | | | | 538 | | | | | | | | | | | | | | 420,788 | | | | | |
Net unrealized depreciation on unfunded commitments (Note 8) | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | 651 | | | | | |
Advisory fees payable (Note 6) | | | | | 9,821 | | | | | | | | | | 1,629 | | | | | | | | | | | | | | 133,911 | | | | | |
Accrued trustees fees and expenses | | | | | 47 | | | | | | | | | | 12 | | | | | | | | | | | | | | 761 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | | | — | | | | | | | | | | 511 | | | | | | | | | | | | | | 1,519 | | | | | |
Administrative fees payable | | | | | 30,459 | | | | | | | | | | 21,897 | | | | | | | | | | | | | | 46,918 | | | | | |
Miscellaneous expense payable | | | | | 11,231 | | | | | | | | | | 11,388 | | | | | | | | | | | | | | 12,745 | | | | | |
Audit fees payable | | | | | 21,121 | | | | | | | | | | 14,180 | | | | | | | | | | | | | | 17,859 | | | | | |
Accrued other expenses | | | | | 9,178 | | | | | | | | | | 4,550 | | | | | | | | | | | | | | 31,058 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | | | 10,040,330 | | | | | | | | | | 92,992 | | | | | | | | | | | | | | 35,725,644 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 30,450,451 | | | | | | | | | $ | 4,974,021 | | | | | | | | | | | | | $ | 295,394,644 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 2,289,978, 265,688 and 757,672, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 30,450,451 | | | | | | | | | $ | 2,496,666 | | | | | | | | | | | | | $ | 7,185,189 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | | $ | 13.30 | | | | | | | | | $ | 9.40 | | | | | | | | | | | | | $ | 9.48 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 0, 263,588 and 30,396,501, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | | N/A | | | | | | | | | $ | 2,477,355 | | | | | | | | | | | | | $ | 288,209,455 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | | N/A | | | | | | | | | $ | 9.40 | | | | | | | | | | | | | $ | 9.48 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | | | $ | 27,670,673 | | | | | | | | | $ | 7,281,009 | | | | | | | | | | | | | $ | 320,359,698 | | | | | |
Accumulated Earnings (Loss) | | | | | 2,779,778 | | | | | | | | | | (2,306,988) | | | | | | | | | | | | | | (24,965,054) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 30,450,451 | | | | | | | | | $ | 4,974,021 | | | | | | | | | | | | | $ | 295,394,644 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 183 |
TCW Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | HIGH YIELD BOND FUND | | | | INTERMEDIATE BOND FUND | | | | | INVESTMENT GRADE
CREDIT FUND | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Investments, at value - Unaffiliated (Cost $434,899,518, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
$965,237,836 and $31,830,431, respectively) (Note 2) | | | | $ | 434,687,536 | | | | | | | | | $ | 963,438,026 | | | | | | | | | | | | | $ | 31,185,263 | | | | | |
Investments, at value - Affiliated (Cost $46,200,000, $38,860,000 and $430,000, respectively) (Note 5) | | | | | 46,200,000 | | | | | | | | | | 38,860,000 | | | | | | | | | | | | | | 430,000 | | | | | |
Cash and cash equivalents (Note 2) | | | | | 313,761 | | | | | | | | | | 10,414,174 | | | | | | | | | | | | | | 82,750 | | | | | |
Foreign Currency, at value (Cost $0, $12,137 and $492, respectively) | | | | | — | | | | | | | | | | 12,137 | | | | | | | | | | | | | | 492 | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | | 315,411 | | | | | | | | | | 915,962 | | | | | | | | | | | | | | 9,118 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | | 1,050,000 | | | | | | | | | | 2,000,000 | | | | | | | | | | | | | | 100,000 | | | | | |
Dividends and interest receivable | | | | | 5,798,229 | | | | | | | | | | 3,632,772 | | | | | | | | | | | | | | 181,774 | | | | | |
Receivable for securities sold | | | | | 4,005,299 | | | | | | | | | | 8,924,920 | | | | | | | | | | | | | | 402,412 | | | | | |
Receivable for capital stock sold | | | | | 380,837 | | | | | | | | | | 2,129,390 | | | | | | | | | | | | | | 74,635 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | | 26,156 | | | | | | | | | | 138,818 | | | | | | | | | | | | | | 12,156 | | | | | |
Due from Adviser (Note 6) | | | | | 17,875 | | | | | | | | | | 235 | | | | | | | | | | | | | | 24,998 | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | | 11,661 | | | | | | | | | | 48,094 | | | | | | | | | | | | | | — | | | | | |
Unrealized appreciation on foreign currency transactions | | | | | 4,735 | | | | | | | | | | 7,637 | | | | | | | | | | | | | | 63 | | | | | |
Other assets | | | | | 26,423 | | | | | | | | | | 1,963 | | | | | | | | | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | | | 492,837,923 | | | | | | | | | | 1,030,524,128 | | | | | | | | | | | | | | 32,503,661 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign bank overdraft (Cost $79,261, $0 and $0, respectively) | | | | | 79,287 | | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | |
Payable for securities purchased | | | | | 14,313,974 | | | | | | | | | | 119,534,122 | | | | | | | | | | | | | | 4,423,147 | | | | | |
Payable for capital stock redeemed | | | | | 6,461,706 | | | | | | | | | | 21,806,575 | | | | | | | | | | | | | | 160,865 | | | | | |
Distributions payable | | | | | 418,248 | | | | | | | | | | 408,501 | | | | | | | | | | | | | | 586 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | | 339,658 | | | | | | | | | | 717,391 | | | | | | | | | | | | | | 7,276 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | | 235,808 | | | | | | | | | | 599,839 | | | | | | | | | | | | | | 22,360 | | | | | |
Unrealized depreciation on swap contracts | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | 1,702 | | | | | |
Net unrealized depreciation on unfunded commitments (Note 8) | | | | | 913 | | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | |
Advisory fees payable (Note 6) | | | | | 192,659 | | | | | | | | | | 260,305 | | | | | | | | | | | | | | 7,997 | | | | | |
Accrued trustees fees and expenses | | | | | 971 | | | | | | | | | | 1,743 | | | | | | | | | | | | | | 14 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | | | 22,007 | | | | | | | | | | 2,793 | | | | | | | | | | | | | | 1,639 | | | | | |
Administrative fees payable | | | | | 26,234 | | | | | | | | | | 45,677 | | | | | | | | | | | | | | 25,890 | | | | | |
Accrued other expenses | | | | | 97,352 | | | | | | | | | | 229,603 | | | | | | | | | | | | | | 24,795 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | | | 22,188,817 | | | | | | | | | | 143,606,549 | | | | | | | | | | | | | | 4,676,271 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 470,649,106 | | | | | | | | | $ | 886,917,579 | | | | | | | | | | | | | $ | 27,827,390 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 11,301,146, 1,661,440 and 996,774, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 106,898,719 | | | | | | | | | $ | 15,979,113 | | | | | | | | | | | | | $ | 7,947,121 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | | $ | 9.46 | | | | | | | | | $ | 9.62 | | | | | | | | | | | | | $ | 7.97 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 38,467,009, 90,593,001 and 2,493,518, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 363,750,387 | | | | | | | | | $ | 870,938,466 | | | | | | | | | | | | | $ | 19,880,269 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | $ | 9.46 | | | | | | | | | $ | 9.61 | | | | | | | | | | | | | $ | 7.97 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | | | $ | 599,130,669 | | | | | | | | | $ | 966,637,444 | | | | | | | | | | | | | $ | 30,348,937 | | | | | |
Accumulated Earnings (Loss) | | | | | (128,481,563) | | | | | | | | | | (79,719,865) | | | | | | | | | | | | | | (2,521,547) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 470,649,106 | | | | | | | | | $ | 886,917,579 | | | | | | | | | | | | | $ | 27,827,390 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 184 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | LOW DURATION BOND FUND | | | | STRATEGIC INCOME FUND | | | | | SUSTAINABLE SECURITIZED
FUND | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Investments, at value - Unaffiliated (Cost $1,147,905,805, $70,353,716 and $12,767,827, respectively) (Note 2) | | | | $ | 1,143,437,466 | | | | | | | | | $ | 64,151,344 | | | | | | | | | | | | | $ | 12,701,789 | | | | | |
Investments, at value - Affiliated (Cost $130,640,000, $12,159,000 and $430,000, respectively) (Note 5) | | | | | 130,640,000 | | | | | | | | | | 12,159,000 | | | | | | | | | | | | | | 430,000 | | | | | |
Cash and cash equivalents (Note 2) | | | | | 13,132,653 | | | | | | | | | | 29,374 | | | | | | | | | | | | | | — | | | | | |
Foreign Currency, at value (Cost $3,985, $309 and $0, respectively) | | | | | 3,985 | | | | | | | | | | 309 | | | | | | | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | | 214,970 | | | | | | | | | | 20,747 | | | | | | | | | | | | | | — | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | | 4,650,000 | | | | | | | | | | 200,000 | | | | | | | | | | | | | | 100,000 | | | | | |
Receivable for securities sold | | | | | 7,937,514 | | | | | | | | | | 746,307 | | | | | | | | | | | | | | — | | | | | |
Dividends and interest receivable | | | | | 4,238,161 | | | | | | | | | | 444,418 | | | | | | | | | | | | | | 52,460 | | | | | |
Receivable for capital stock sold | | | | | 1,027,551 | | | | | | | | | | 69,350 | | | | | | | | | | | | | | — | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | | 793,377 | | | | | | | | | | 23,333 | | | | | | | | | | | | | | — | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | | 9,910 | | | | | | | | | | 289 | | | | | | | | | | | | | | — | | | | | |
Unrealized appreciation on foreign currency transactions | | | | | 2,036 | | | | | | | | | | 286 | | | | | | | | | | | | | | 2 | | | | | |
Due from Adviser (Note 6) | | | | | — | | | | | | | | | | 25,055 | | | | | | | | | | | | | | 21,078 | | | | | |
Other assets | | | | | 1,848 | | | | | | | | | | 8,686 | | | | | | | | | | | | | | 9,572 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | | | 1,306,089,471 | | | | | | | | | | 77,878,498 | | | | | | | | | | | | | | 13,314,901 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | | — | | | | | | | | | | — | | | | | | | | | | | | | | 58,022 | | | | | |
Payable for securities purchased | | | | | 242,060,161 | | | | | | | | | | 8,629,235 | | | | | | | | | | | | | | 1,233,142 | | | | | |
Payable for capital stock redeemed | | | | | 2,964,892 | | | | | | | | | | 119,961 | | | | | | | | | | | | | | 31,925 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | | 1,583,054 | | | | | | | | | | 50,047 | | | | | | | | | | | | | | 14,633 | | | | | |
Distributions payable | | | | | 362,252 | | | | | | | | | | 2,681 | | | | | | | | | | | | | | — | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | | 180,757 | | | | | | | | | | 29,477 | | | | | | | | | | | | | | — | | | | | |
Unrealized depreciation on swap contracts | | | | | — | | | | | | | | | | 3,874 | | | | | | | | | | | | | | — | | | | | |
Advisory fees payable (Note 6) | | | | | 264,489 | | | | | | | | | | 36,485 | | | | | | | | | | | | | | 3,818 | | | | | |
Accrued trustees fees and expenses | | | | | 4,011 | | | | | | | | | | 118 | | | | | | | | | | | | | | 14 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | | | 20,300 | | | | | | | | | | 8,926 | | | | | | | | | | | | | | 117 | | | | | |
Administrative fees payable | | | | | 52,884 | | | | | | | | | | 45,255 | | | | | | | | | | | | | | 21,303 | | | | | |
Accrued other expenses | | | | | 305,452 | | | | | | | | | | 48,272 | | | | | | | | | | | | | | 22,047 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | | | 247,798,252 | | | | | | | | | | 8,974,331 | | | | | | | | | | | | | | 1,385,021 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 1,058,291,219 | | | | | | | | | $ | 68,904,167 | | | | | | | | | | | | | $ | 11,929,880 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 15,225,470, 6,984,082 and 79,489, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 128,883,315 | | | | | | | | | $ | 43,812,332 | | | | | | | | | | | | | $ | 707,412 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | | $ | 8.46 | | | | | | | | | $ | 6.27 | | | | | | | | | | | | | $ | 8.90 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 109,785,916, 4,000,789 and 1,259,791, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 929,396,953 | | | | | | | | | $ | 25,091,835 | | | | | | | | | | | | | $ | 11,222,468 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | $ | 8.47 | | | | | | | | | $ | 6.27 | | | | | | | | | | | | | $ | 8.91 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 1,002, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 10,951 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | $ | 10.93 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | | | $ | 1,249,754,260 | | | | | | | | | $ | 79,398,910 | | | | | | | | | | | | | $ | 13,136,292 | | | | | |
Accumulated Earnings (Loss) | | | | | (191,463,041) | | | | | | | | | | (10,494,743) | | | | | | | | | | | | | | (1,206,412) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 1,058,291,219 | | | | | | | | | $ | 68,904,167 | | | | | | | | | | | | | $ | 11,929,880 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 185 |
TCW Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | TOTAL RETURN BOND FUND | | | | ULTRA SHORT BOND FUND | | | | | UNCONSTRAINED
BOND FUND | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | |
Investments, at value - Unaffiliated (Cost $48,557,315,730, $50,933,438 and $2,935,460,607, respectively) (Note 2) | | | | $ | 47,063,333,328 | | | | | | | | | $ | 50,740,936 | | | | | | | | | | | | | $ | 2,643,382,139 | | | | | |
Investments, at value - Affiliated (Cost $1,837,370,000, $4,712,000 and $244,190,000, respectively) (Note 5) | | | | | 1,837,370,000 | | | | | | | | | | 4,712,000 | | | | | | | | | | | | | | 244,190,000 | | | | | |
Cash and cash equivalents (Note 2) | | | | | — | | | | | | | | | | 165,752 | | | | | | | | | | | | | | — | | | | | |
Foreign Currency, at value (Cost $5,623,626, $24 and $5,454,894, respectively) | | | | | 5,615,453 | | | | | | | | | | 24 | | | | | | | | | | | | | | 5,448,935 | | | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | | 155,644,719 | | | | | | | | | | — | | | | | | | | | | | | | | 6,617,829 | | | | | |
Cash on deposit with brokers for collateral on futures (Note 2) | | | | | 126,750,000 | | | | | | | | | | 207,000 | | | | | | | | | | | | | | 5,950,000 | | | | | |
Receivable for securities sold | | | | | 2,084,802,239 | | | | | | | | | | 1,032,090 | | | | | | | | | | | | | | 22,728,333 | | | | | |
Dividends and interest receivable | | | | | 212,754,404 | | | | | | | | | | 118,868 | | | | | | | | | | | | | | 15,925,110 | | | | | |
Receivable for capital stock sold | | | | | 64,858,972 | | | | | | | | | | 10,756 | | | | | | | | | | | | | | 3,219,650 | | | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | | 4,675,896 | | | | | | | | | | — | | | | | | | | | | | | | | 241,059 | | | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | | 2,232,712 | | | | | | | | | | 36,984 | | | | | | | | | | | | | | 1,449,055 | | | | | |
Unrealized appreciation on swap contracts | | | | | 1,705,357 | | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | |
Unrealized appreciation on foreign currency transactions | | | | | 297,617 | | | | | | | | | | — | | | | | | | | | | | | | | 19,618 | | | | | |
Due from Adviser (Note 6) | | | | | — | | | | | | | | | | 23,242 | | | | | | | | | | | | | | 549 | | | | | |
Other assets | | | | | 41,185 | | | | | | | | | | 4,371 | | | | | | | | | | | | | | 14,322 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total assets | | | | | 51,560,081,882 | | | | | | | | | | 57,052,023 | | | | | | | | | | | | | | 2,949,186,599 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank overdraft | | | | | 9,016,025 | | | | | | | | | | — | | | | | | | | | | | | | | 699,511 | | | | | |
Payable for securities purchased | | | | | 8,183,822,014 | | | | | | | | | | 9,731,570 | | | | | | | | | | | | | | 262,553,678 | | | | | |
Payable for capital stock redeemed | | | | | 122,917,427 | | | | | | | | | | 68,556 | | | | | | | | | | | | | | 6,839,758 | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | | 32,858,950 | | | | | | | | | | 1,239 | | | | | | | | | | | | | | 2,093,996 | | | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | | 29,452,332 | | | | | | | | | | 37,125 | | | | | | | | | | | | | | 2,660,280 | | | | | |
Distributions payable | | | | | 13,136,911 | | | | | | | | | | 609 | | | | | | | | | | | | | | 3,066,803 | | | | | |
Unrealized depreciation on swap contracts | | | | | 11,392,915 | | | | | | | | | | — | | | | | | | | | | | | | | 523,356 | | | | | |
Premiums received for swap contracts | | | | | 171,660 | | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | |
Advisory fees payable (Note 6) | | | | | 12,694,580 | | | | | | | | | | 9,638 | | | | | | | | | | | | | | 1,422,635 | | | | | |
Accrued trustees fees and expenses | | | | | 149,972 | | | | | | | | | | 223 | | | | | | | | | | | | | | 4,232 | | | | | |
Accrued distribution (12b-1) and service fees payable | | | | | 849,998 | | | | | | | | | | 1,554 | | | | | | | | | | | | | | 27,966 | | | | | |
Administrative fees payable | | | | | 674,269 | | | | | | | | | | 27,012 | | | | | | | | | | | | | | 82,362 | | | | | |
Accrued other expenses | | | | | 7,383,800 | | | | | | | | | | 50,827 | | | | | | | | | | | | | | 493,515 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | | | 8,424,520,853 | | | | | | | | | | 9,928,353 | | | | | | | | | | | | | | 280,468,092 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 43,135,561,029 | | | | | | | | | $ | 47,123,670 | | | | | | | | | | | | | $ | 2,668,718,507 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 356,300,751, 2,826,529 and 12,998,046, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 3,326,993,335 | | | | | | | | | $ | 11,769,550 | | | | | | | | | | | | | $ | 136,793,468 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | | $ | 9.34 | | | | | | | | | $ | 4.16 | | | | | | | | | | | | | $ | 10.52 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 2,827,202,138, 8,475,651 and 198,473,833, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 26,388,288,378 | | | | | | | | | $ | 35,354,120 | | | | | | | | | | | | | $ | 2,086,924,189 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | $ | 9.33 | | | | | | | | | $ | 4.17 | | | | | | | | | | | | | $ | 10.51 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I-2 Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 6,417,917, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 59,902,382 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I-2 share | | | | $ | 9.33 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 67,373,125, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 629,596,453 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | $ | 9.34 | | | | | | | | | | N/A | | | | | | | | | | | | | | N/A | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class Shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets (Applicable to 1,454,425,925, 0 and 42,338,454, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | $ | 12,730,780,481 | | | | | | | | | | N/A | | | | | | | | | | | | | $ | 445,000,850 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | | | $ | 8.75 | | | | | | | | | | N/A | | | | | | | | | | | | | $ | 10.51 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 186 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ASSETS: | | TOTAL RETURN BOND FUND | | | | ULTRA SHORT BOND FUND | | | | | UNCONSTRAINED
BOND FUND | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in Capital (Note 9) | | | | $ | 55,570,671,636 | | | | | | | | | $ | 59,592,895 | | | | | | | | | | | | | $ | 3,181,688,046 | | | | | |
Accumulated Earnings (Loss) | | | | | (12,435,110,607) | | | | | | | | | | (12,469,225) | | | | | | | | | | | | | | (512,969,539) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | | $ | 43,135,561,029 | | | | | | | | | $ | 47,123,670 | | | | | | | | | | | | | $ | 2,668,718,507 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 187 |
TCW Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND | | | | | | | CORPORATE BOND
FUND | | | | | | | FLOATING RATE
INCOME FUND | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | | | | | $ | 606,849 | | | | | | | | | | | | | | | $ | 105,252 | | | | | | | | | | | | | | | $ | 13,054,118 | | | | | | | | | |
Dividends | | | | | | | 71,677 | | | | | | | | | | | | | | | | 2,737 | | | | | | | | | | | | | | | | 678,736 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | | | | | 678,526 | | | | | | | | | | | | | | | | 107,989 | | | | | | | | | | | | | | | | 13,732,854 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | | | | 58,608 | | | | | | | | | | | | | | | | 9,954 | | | | | | | | | | | | | | | | 817,585 | | | | | | | | | |
Administration fees | | | | | | | 62,307 | | | | | | | | | | | | | | | | 54,708 | | | | | | | | | | | | | | | | 109,082 | | | | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | — | | | | | | | | | | | | | | | | 3,251 | | | | | | | | | | | | | | | | 12,630 | | | | | | | | | |
Professional fees | | | | | | | 21,267 | | | | | | | | | | | | | | | | 14,373 | | | | | | | | | | | | | | | | 22,193 | | | | | | | | | |
Custodian fees | | | | | | | 15,531 | | | | | | | | | | | | | | | | 22,307 | | | | | | | | | | | | | | | | 13,393 | | | | | | | | | |
Transfer agent fees | | | | | | | 12,586 | | | | | | | | | | | | | | | | 16,415 | | | | | | | | | | | | | | | | 72,715 | | | | | | | | | |
Registration and filing fees | | | | | | | 9,673 | | | | | | | | | | | | | | | | 16,430 | | | | | | | | | | | | | | | | 30,373 | | | | | | | | | |
Interest expense | | | | | | | 5,920 | | | | | | | | | | | | | | | | 6 | | | | | | | | | | | | | | | | — | | | | | | | | | |
Trustees’ fees and expenses | | | | | | | 333 | | | | | | | | | | | | | | | | 57 | | | | | | | | | | | | | | | | 3,385 | | | | | | | | | |
Commitment fee | | | | | | | 116 | | | | | | | | | | | | | | | | 19 | | | | | | | | | | | | | | | | 1,204 | | | | | | | | | |
Miscellaneous expenses | | | | | | | 7,244 | | | | | | | | | | | | | | | | 6,079 | | | | | | | | | | | | | | | | 10,907 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | | | | 193,585 | | | | | | | | | | | | | | | | 143,599 | | | | | | | | | | | | | | | | 1,093,467 | | | | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | | | | (121,732 | ) | | | | | | | | | | | | | | | (127,899 | ) | | | | | | | | | | | | | | | (42,804 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | | | | 71,853 | | | | | | | | | | | | | | | | 15,700 | | | | | | | | | | | | | | | | 1,050,663 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 606,673 | | | | | | | | | | | | | | | | 92,289 | | | | | | | | | | | | | | | | 12,682,191 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts: | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 4,324 | | | | | | | | | | | | | | | | (40,162 | ) | | | | | | | | | | | | | | | (2,241,149 | ) | | | | | | | | |
Futures contracts | | | | | | | 1,717,669 | | | | | | | | | | | | | | | | 12,000 | | | | | | | | | | | | | | | | 2,824 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | 30,952 | | | | | | | | | |
Foreign currency transactions | | | | | | | — | | | | | | | | | | | | | | | | 5 | | | | | | | | | | | | | | | | (24,046 | ) | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | 134 | | | | | | | | | | | | | | | | — | | | | | | | | | |
| | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 749,031 | | | | | | | | | | | | | | | | 239,494 | | | | | | | | | | | | | | | | 1,929,090 | | | | | | | | | |
Futures contracts | | | | | | | 30,371 | | | | | | | | | | | | | | | | 10,327 | | | | | | | | | | | | | | | | 350 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | — | | | | | | | | | | | | | | | | (100 | ) | | | | | | | | | | | | | | | (13,450 | ) | | | | | | | | |
Foreign currency transactions | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | (6,118 | ) | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | (2,798 | ) | | | | | | | | | | | | | | | — | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized gain (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | | | | 2,501,395 | | | | | | | | | | | | | | | | 218,900 | | | | | | | | | | | | | | | | (321,547 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | | | | $ | 3,108,068 | | | | | | | | | | | | | | | $ | 311,189 | | | | | | | | | | | | | | | $ | 12,360,644 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 188 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND
FUND | | | | | | | | | INTERMEDIATE
BOND FUND | | | | | | | INVESTMENT GRADE
CREDIT FUND | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | | | | | $ | 16,118,870 | | | | | | | | | | | | | | | $ | 20,258,308 | | | | | | | | | | | | | | | $ | 631,388 | | | | | | | | | |
Dividends | | | | | | | 923,132 | | | | | | | | | | | | | | | | 1,277,479 | | | | | | | | | | | | | | | | 31,058 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | | | | | 17,042,002 | | | | | | | | | | | | | | | | 21,535,787 | | | | | | | | | | | | | | | | 662,446 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | | | | 1,156,494 | | | | | | | | | | | | | | | | 1,633,151 | | | | | | | | | | | | | | | | 46,210 | | | | | | | | | |
Administration fees | | | | | | | 71,697 | | | | | | | | | | | | | | | | 99,952 | | | | | | | | | | | | | | | | 63,894 | | | | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | 136,720 | | | | | | | | | | | | | | | | 18,172 | | | | | | | | | | | | | | | | 8,904 | | | | | | | | | |
Transfer agent fees | | | | | | | 149,854 | | | | | | | | | | | | | | | | 376,707 | | | | | | | | | | | | | | | | 25,675 | | | | | | | | | |
Registration and filing fees | | | | | | | 28,852 | | | | | | | | | | | | | | | | 35,982 | | | | | | | | | | | | | | | | 20,458 | | | | | | | | | |
Professional fees | | | | | | | 23,250 | | | | | | | | | | | | | | | | 28,811 | | | | | | | | | | | | | | | | 14,670 | | | | | | | | | |
Custodian fees | | | | | | | 15,944 | | | | | | | | | | | | | | | | 41,267 | | | | | | | | | | | | | | | | 30,326 | | | | | | | | | |
Trustees’ fees and expenses | | | | | | | 5,254 | | | | | | | | | | | | | | | | 10,819 | | | | | | | | | | | | | | | | 288 | | | | | | | | | |
Commitment fee | | | | | | | 1,858 | | | | | | | | | | | | | | | | 3,982 | | | | | | | | | | | | | | | | 106 | | | | | | | | | |
Interest expense | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | 685 | | | | | | | | | |
Miscellaneous expenses | | | | | | | 29,254 | | | | | | | | | | | | | | | | 31,857 | | | | | | | | | | | | | | | | 6,534 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | | | | 1,619,177 | | | | | | | | | | | | | | | | 2,280,700 | | | | | | | | | | | | | | | | 217,750 | | | | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | | | | (94,664 | ) | | | | | | | | | | | | | | | (632 | ) | | | | | | | | | | | | | | | (144,892 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | | | | 1,524,513 | | | | | | | | | | | | | | | | 2,280,068 | | | | | | | | | | | | | | | | 72,858 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 15,517,489 | | | | | | | | | | | | | | | | 19,255,719 | | | | | | | | | | | | | | | | 589,588 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts: | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Affiliated | | | | | | | (26,920,367 | ) | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Investments - Unaffiliated | | | | | | | (3,534,606 | ) | | | | | | | | | | | | | | | 14,231,106 | | | | | | | | | | | | | | | | 174,186 | | | | | | | | | |
Futures contracts | | | | | | | 1,713,782 | | | | | | | | | | | | | | | | 1,301,085 | | | | | | | | | | | | | | | | 3,251 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | 370,078 | | | | | | | | | | | | | | | | 647,394 | | | | | | | | | | | | | | | | (376 | ) | | | | | | | | |
Foreign currency transactions | | | | | | | (125,232 | ) | | | | | | | | | | | | | | | (194,218 | ) | | | | | | | | | | | | | | | 1,658 | | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | 125 | | | | | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Affiliated | | | | | | | 27,171,821 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 9,850,296 | | | | | | | | | | | | | | | | 9,113,917 | | | | | | | | | | | | | | | | 699,541 | | | | | | | | | |
Futures contracts | | | | | | | 133,311 | | | | | | | | | | | | | | | | 1,178,153 | | | | | | | | | | | | | | | | 47,980 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | (545,251 | ) | | | | | | | | | | | | | | | (1,084,119 | ) | | | | | | | | | | | | | | | (7,434 | ) | | | | | | | | |
Foreign currency transactions | | | | | | | 2,563 | | | | | | | | | | | | | | | | 8,095 | | | | | | | | | | | | | | | | 63 | | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | (2,507 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized gain on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | | | | 8,116,395 | | | | | | | | | | | | | | | | 25,201,413 | | | | | | | | | | | | | | | | 916,487 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | | | | $ | 23,633,884 | | | | | | | | | | | | | | | $ | 44,457,132 | | | | | | | | | | | | | | | $ | 1,506,075 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 189 |
TCW Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND | | | | | | | | | STRATEGIC
INCOME FUND | | | | | | | | | SUSTAINABLE
SECURITIZED
FUND | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | | | | | $ | 26,642,086 | | | | | | | | | | | | | | | $ | 2,839,742 | | | | | | | | | | | | | | | $ | 360,625 | | | | | | | | | |
Dividends | | | | | | | 1,220,772 | | | | | | | | | | | | | | | | 89,863 | | | | | | | | | | | | | | | | 8,098 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | | | | | 27,862,858 | | | | | | | | | | | | | | | | 2,929,605 | | | | | | | | | | | | | | | | 368,723 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | | | | 1,708,408 | | | | | | | | | | | | | | | | 231,626 | | | | | | | | | | | | | | | | 19,523 | | | | | | | | | |
Administration fees | | | | | | | 115,178 | | | | | | | | | | | | | | | | 90,453 | | | | | | | | | | | | | | | | 55,687 | | | | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | 138,459 | | | | | | | | | | | | | | | | 59,304 | | | | | | | | | | | | | | | | 404 | | | | | | | | | |
Administrative Class | | | | | | | 21 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Transfer agent fees | | | | | | | 522,620 | | | | | | | | | | | | | | | | 50,261 | | | | | | | | | | | | | | | | 16,500 | | | | | | | | | |
Custodian fees | | | | | | | 38,387 | | | | | | | | | | | | | | | | 26,321 | | | | | | | | | | | | | | | | 11,678 | | | | | | | | | |
Registration and filing fees | | | | | | | 33,387 | | | | | | | | | | | | | | | | 22,230 | | | | | | | | | | | | | | | | 19,676 | | | | | | | | | |
Professional fees | | | | | | | 29,510 | | | | | | | | | | | | | | | | 21,253 | | | | | | | | | | | | | | | | 11,436 | | | | | | | | | |
Trustees’ fees and expenses | | | | | | | 13,701 | | | | | | | | | | | | | | | | 848 | | | | | | | | | | | | | | | | 91 | | | | | | | | | |
Commitment fee | | | | | | | 4,446 | | | | | | | | | | | | | | | | 319 | | | | | | | | | | | | | | | | 30 | | | | | | | | | |
Interest expense | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | 6 | | | | | | | | | |
Miscellaneous expenses | | | | | | | 46,811 | | | | | | | | | | | | | | | | 10,882 | | | | | | | | | | | | | | | | 6,069 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | | | | 2,650,928 | | | | | | | | | | | | | | | | 513,497 | | | | | | | | | | | | | | | | 141,100 | | | | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | | | | (7,656 | ) | | | | | | | | | | | | | | | (171,488 | ) | | | | | | | | | | | | | | | (116,839 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | | | | 2,643,272 | | | | | | | | | | | | | | | | 342,009 | | | | | | | | | | | | | | | | 24,261 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 25,219,586 | | | | | | | | | | | | | | | | 2,587,596 | | | | | | | | | | | | | | | | 344,462 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts: | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 2,910,779 | | | | | | | | | | | | | | | | 295,204 | | | | | | | | | | | | | | | | 203,954 | | | | | | | | | |
Futures contracts | | | | | | | (742,549 | ) | | | | | | | | | | | | | | | 81,128 | | | | | | | | | | | | | | | | 115,517 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | 562,763 | | | | | | | | | | | | | | | | 30,554 | | | | | | | | | | | | | | | | — | | | | | | | | | |
Foreign currency transactions | | | | | | | (4,865 | ) | | | | | | | | | | | | | | | (5,064 | ) | | | | | | | | | | | | | | | — | | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | 248 | | | | | | | | | | | | | | | | — | | | | | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 18,081,519 | | | | | | | | | | | | | | | | 585,938 | | | | | | | | | | | | | | | | 328,072 | | | | | | | | | |
Futures contracts | | | | | | | 4,322,765 | | | | | | | | | | | | | | | | 99,441 | | | | | | | | | | | | | | | | 4,518 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | (460,659 | ) | | | | | | | | | | | | | | | (47,598 | ) | | | | | | | | | | | | | | | — | | | | | | | | | |
Foreign currency transactions | | | | | | | 3,427 | | | | | | | | | | | | | | | | 9,673 | | | | | | | | | | | | | | | | — | | | | | | | | | |
Swap contracts | | | | | | | — | | | | | | | | | | | | | | | | (5,704 | ) | | | | | | | | | | | | | | | — | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized gain on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | | | | 24,673,180 | | | | | | | | | | | | | | | | 1,043,820 | | | | | | | | | | | | | | | | 652,061 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | | | | $ | 49,892,766 | | | | | | | | | | | | | | | $ | 3,631,416 | | | | | | | | | | | | | | | $ | 996,523 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 190 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2024 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND | | | | | | | | | ULTRA SHORT
BOND FUND | | | | | | | | | UNCONSTRAINED
BOND FUND | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | | | | | $ | 1,080,312,119 | | | | | | | | | | | | | | | $ | 1,061,267 | | | | | | | | | | | | | | | $ | 94,923,130 | | | | | | | | | |
Dividends | | | | | | | 35,686,761 | | | | | | | | | | | | | | | | 52,970 | | | | | | | | | | | | | | | | 2,485,365 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total investment income | | | | | | | 1,115,998,880 | | | | | | | | | | | | | | | | 1,114,237 | | | | | | | | | | | | | | | | 97,408,495 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | | | | 81,398,517 | | | | | | | | | | | | | | | | 60,947 | | | | | | | | | | | | | | | | 8,388,311 | | | | | | | | | |
Administration fees | | | | | | | 1,539,147 | | | | | | | | | | | | | | | | 60,571 | | | | | | | | | | | | | | | | 181,669 | | | | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | 3,722,890 | | | | | | | | | | | | | | | | 9,955 | | | | | | | | | | | | | | | | 172,216 | | | | | | | | | |
Administrative Class | | | | | | | 2,002,181 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Transfer agent fees | | | | | | | 12,847,779 | | | | | | | | | | | | | | | | 36,485 | | | | | | | | | | | | | | | | 785,510 | | | | | | | | | |
Interest expense | | | | | | | 1,717,124 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Trustees’ fees and expenses | | | | | | | 552,432 | | | | | | | | | | | | | | | | 569 | | | | | | | | | | | | | | | | 28,620 | | | | | | | | | |
Custodian fees | | | | | | | 497,310 | | | | | | | | | | | | | | | | 16,508 | | | | | | | | | | | | | | | | 77,693 | | | | | | | | | |
Professional fees | | | | | | | 322,178 | | | | | | | | | | | | | | | | 21,040 | | | | | | | | | | | | | | | | 58,205 | | | | | | | | | |
Registration and filing fees | | | | | | | 257,232 | | | | | | | | | | | | | | | | 23,846 | | | | | | | | | | | | | | | | 57,339 | | | | | | | | | |
Commitment fee | | | | | | | 243,936 | | | | | | | | | | | | | | | | 120 | | | | | | | | | | | | | | | | 10,001 | | | | | | | | | |
Miscellaneous expenses | | | | | | | 1,696,728 | | | | | | | | | | | | | | | | 9,492 | | | | | | | | | | | | | | | | 91,088 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | | | | 106,797,454 | | | | | | | | | | | | | | | | 239,533 | | | | | | | | | | | | | | | | 9,850,652 | | | | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | | | | — | | | | | | | | | | | | | | | | (146,690 | ) | | | | | | | | | | | | | | | (2,703 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | | | | 106,797,454 | | | | | | | | | | | | | | | | 92,843 | | | | | | | | | | | | | | | | 9,847,949 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 1,009,201,426 | | | | | | | | | | | | | | | | 1,021,394 | | | | | | | | | | | | | | | | 87,560,546 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts: | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Affiliated | | | | | | | (64,597,088 | ) | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 456,037,669 | | | | | | | | | | | | | | | | 428,515 | | | | | | | | | | | | | | | | (9,389,394 | ) | | | | | | | | |
Futures contracts | | | | | | | 65,670,065 | | | | | | | | | | | | | | | | (176,073 | ) | | | | | | | | | | | | | | | 139,343 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | 35,993,152 | | | | | | | | | | | | | | | | 26,145 | | | | | | | | | | | | | | | | 2,018,354 | | | | | | | | | |
Foreign currency transactions | | | | | | | (9,358,447 | ) | | | | | | | | | | | | | | | (37,606 | ) | | | | | | | | | | | | | | | (356,506 | ) | | | | | | | | |
Swap contracts | | | | | | | 5,494,139 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | 36,942 | | | | | | | | | |
Net change in unrealized appreciation | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments - Affiliated | | | | | | | 65,187,440 | | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | — | | | | | | | | | |
Investments - Unaffiliated | | | | | | | 921,510,819 | | | | | | | | | | | | | | | | 496,652 | | | | | | | | | | | | | | | | 59,060,197 | | | | | | | | | |
Futures contracts | | | | | | | 58,090,378 | | | | | | | | | | | | | | | | 130,052 | | | | | | | | | | | | | | | | 6,286,914 | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | (50,842,038 | ) | | | | | | | | | | | | | | | (14,483 | ) | | | | | | | | | | | | | | | (3,167,403 | ) | | | | | | | | |
Foreign currency transactions | | | | | | | 1,523,028 | | | | | | | | | | | | | | | | 50 | | | | | | | | | | | | | | | | (6,696 | ) | | | | | | | | |
Swap contracts | | | | | | | (18,197,618 | ) | | | | | | | | | | | | | | | — | | | | | | | | | | | | | | | | (770,689 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized and change in unrealized gain on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | | | | 1,466,511,499 | | | | | | | | | | | | | | | | 853,252 | | | | | | | | | | | | | | | | 53,851,062 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | | | | $ | 2,475,712,925 | | | | | | | | | | | | | | | $ | 1,874,646 | | | | | | | | | | | | | | | $ | 141,411,608 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 191 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | ALPHATRAK 500 FUND | | | | | CORPORATE BOND FUND | | | |
| | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | $ | 606,673 | | | | | | | $ | 1,285,197 | | | | | | | $ | 92,289 | | | | | | | $ | 217,484 | | | | | |
Net realized gain (loss) on investments | | | | | | | 4,324 | | | | | | | | (415,975 | ) | | | | | | | (40,162 | ) | | | | | | | (570,096 | ) | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 1,717,669 | | | | | | | | 6,433,475 | | | | | | | | 12,139 | | | | | | | | (22,807) | | | | | |
Net change in unrealized appreciation on investments | | | | | | | 749,031 | | | | | | | | 1,285,422 | | | | | | | | 239,494 | | | | | | | | 528,470 | | | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | | | 30,371 | | | | | | | | (1,182,472 | ) | | | | | | | 7,429 | | | | | | | | (4,167 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | | | 3,108,068 | | | | | | | | 7,405,647 | | | | | | | | 311,189 | | | | | | | | 148,884 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | | | (686,146 | ) | | | | | | | (1,228,684 | ) | | | | | | | (47,609 | ) | | | | | | | (114,651 | ) | | | | |
Class I | | | | | | | — | | | | | | | | — | | | | | | | | (46,421 | ) | | | | | | | (102,270 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (686,146 | ) | | | | | | | (1,228,684 | ) | | | | | | | (94,030 | ) | | | | | | | (216,921 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | 673,072 | | | | | | | | 3,240,665 | | | | | | | | 111,199 | | | | | | | | 142,998 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | 686,135 | | | | | | | | 1,228,235 | | | | | | | | 47,579 | | | | | | | | 114,650 | | | | | |
Cost of shares redeemed | | | | | | | (3,472,349 | ) | | | | | | | (9,465,645 | ) | | | | | | | (580,945 | ) | | | | | | | (1,705,604 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | | | (2,113,142 | ) | | | | | | | (4,996,745 | ) | | | | | | | (422,167 | ) | | | | | | | (1,447,956 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | | | — | | | | | | | | — | | | | | | | | — | | | | | | | | 323,768 | | | | | |
Shares issued in reinvestment of distributions | | | | | | | — | | | | | | | | — | | | | | | | | 42,953 | | | | | | | | 93,392 | | | | | |
Cost of shares redeemed | | | | | | | — | | | | | | | | — | | | | | | | | (51,702) | | | | | | | | (879,250) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | | | — | | | | | | | | — | | | | | | | | (8,749 | ) | | | | | | | (462,090 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in net assets derived from capital share transactions | | | | | | | (2,113,142 | ) | | | | | | | (4,996,745 | ) | | | | | | | (430,916 | ) | | | | | | | (1,910,046 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | | | 308,780 | | | | | | | | 1,180,218 | | | | | | | | (213,757) | | | | | | | | (1,978,083 | ) | | | | |
Net assets at beginning of period | | | | | | | 30,141,671 | | | | | | | | 28,961,453 | | | | | | | | 5,187,778 | | | | | | | | 7,165,861 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | | | $ | 30,450,451 | | | | | | | $ | 30,141,671 | | | | | | | $ | 4,974,021 | | | | | | | $ | 5,187,778 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 192 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | FLOATING RATE
INCOME FUND | | | | | HIGH YIELD
BOND FUND | | |
| | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 12,682,191 | | | | | | | $ | 29,723,795 | | | | | | | $ | 15,517,489 | | | | | | | $ | 33,566,432 | | | |
Net realized (loss) on investments | | | | | (2,241,149 | ) | | | | | | | (4,305,117 | ) | | | | | | | (30,454,973 | ) | | | | | | | (17,002,189 | ) | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 9,730 | | | | | | | | 539 | | | | | | | | 1,958,628 | | | | | | | | (1,856,542 | ) | | |
Net change in unrealized appreciation on investments | | | | | 1,929,090 | | | | | | | | 11,395,269 | | | | | | | | 37,022,117 | | | | | | | | 27,018,172 | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | (19,218 | ) | | | | | | | 19,954 | | | | | | | | (409,377 | ) | | | | | | | 339,629 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 12,360,644 | | | | | | | | 36,834,440 | | | | | | | | 23,633,884 | | | | | | | | 42,065,502 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (414,056 | ) | | | | | | | (915,742 | ) | | | | | | | (3,459,748 | ) | | | | | | | (7,978,484 | ) | | |
Class I | | | | | (12,030,166 | ) | | | | | | | (28,847,128 | ) | | | | | | | (11,622,190 | ) | | | | | | | (25,617,093 | ) | | |
Plan Class | | | | | (221 | ) | | | | | | | (511 | ) | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (12,444,443 | ) | | | | | | | (29,763,381 | ) | | | | | | | (15,081,938 | ) | | | | | | | (33,595,577 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 3,724,199 | | | | | | | | 5,872,845 | | | | | | | | 29,288,319 | | | | | | | | 28,953,228 | | | |
Shares issued in reinvestment of distributions | | | | | 368,433 | | | | | | | | 827,603 | | | | | | | | 3,322,602 | | | | | | | | 7,661,376 | | | |
Cost of shares redeemed | | | | | (6,421,961 | ) | | | | | | | (8,403,470 | ) | | | | | | | (39,111,770 | ) | | | | | | | (61,238,115 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | (2,329,329 | ) | | | | | | | (1,703,022 | ) | | | | | | | (6,500,849 | ) | | | | | | | (24,623,511 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 35,133,618 | | | | | | | | 36,817,127 | | | | | | | | 43,449,276 | | | | | | | | 114,335,825 | | | |
Shares issued in reinvestment of distributions | | | | | 9,216,183 | | | | | | | | 22,377,284 | | | | | | | | 9,152,603 | | | | | | | | 20,462,368 | | | |
Cost of shares redeemed | | | | | (48,582,007 | ) | | | | | | | (101,940,658 | ) | | | | | | | (51,713,940 | ) | | | | | | | (146,132,953 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | (4,232,206 | ) | | | | | | | (42,746,247 | ) | | | | | | | 887,939 | | | | | | | | (11,334,760 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | 9,995 | | | | | | | | — | | | | | | | | — | | | |
Shares issued in reinvestment of distributions | | | | | 163 | | | | | | | | 511 | | | | | | | | — | | | | | | | | — | | | |
Cost of shares redeemed | | | | | (10,857 | ) | | | | | | | — | | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | (10,694 | ) | | | | | | | 10,506 | | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in net assets derived from capital share transactions | | | | | (6,572,229 | ) | | | | | | | (44,438,763 | ) | | | | | | | (5,612,910 | ) | | | | | | | (35,958,271 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | (6,656,028 | ) | | | | | | | (37,367,704 | ) | | | | | | | 2,939,036 | | | | | | | | (27,488,346 | ) | | |
Net assets at beginning of period | | | | | 302,050,672 | | | | | | | | 339,418,376 | | | | | | | | 467,710,070 | | | | | | | | 495,198,416 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | $ | 295,394,644 | | | | | | | $ | 302,050,672 | | | | | | | $ | 470,649,106 | | | | | | | $ | 467,710,070 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 193 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | INTERMEDIATE BOND FUND | | | | | INVESTMENT GRADE CREDIT FUND | | |
| | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | YEAR ENDED
MARCH 31, 2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 19,255,719 | | | | | $ | 41,617,615 | | | | | | | $ | 589,588 | | | | | | | $ | 720,616 | | | |
Net realized gain (loss) on investments | | | | | 14,231,106 | | | | | | (19,886,504 | ) | | | | | | | 174,186 | | | | | | | | (750,193 | ) | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 1,754,261 | | | | | | (7,638,038 | ) | | | | | | | 4,658 | | | | | | | | (48,721 | ) | | |
Net change in unrealized appreciation on investments | | | | | 9,113,917 | | | | | | 9,726,533 | | | | | | | | 699,541 | | | | | | | | 719,531 | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 102,129 | | | | | | (2,654,600 | ) | | | | | | | 38,102 | | | | | | | | (8,672 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 44,457,132 | | | | | | 21,165,006 | | | | | | | | 1,506,075 | | | | | | | | 632,561 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (342,450 | ) | | | | | (776,161 | ) | | | | | | | (153,583 | ) | | | | | | | (217,135 | ) | | |
Class I | | | | | (19,047,041 | ) | | | | | (40,847,296 | ) | | | | | | | (437,373 | ) | | | | | | | (503,697 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (19,389,491 | ) | | | | | (41,623,457 | ) | | | | | | | (590,956 | ) | | | | | | | (720,832 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 2,485,156 | | | | | | 5,313,966 | | | | | | | | 2,535,820 | | | | | | | | 4,619,139 | | | |
Shares issued in reinvestment of distributions | | | | | 339,037 | | | | | | 774,768 | | | | | | | | 152,901 | | | | | | | | 215,703 | | | |
Cost of shares redeemed | | | | | (5,148,181 | ) | | | | | (8,825,375 | ) | | | | | | | (1,051,984 | ) | | | | | | | (1,808,358 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | (2,323,988 | ) | | | | | (2,736,641 | ) | | | | | | | 1,636,737 | | | | | | | | 3,026,484 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 66,888,236 | | | | | | 307,256,991 | | | | | | | | 1,596,269 | | | | | | | | 16,250,851 | | | |
Shares issued in reinvestment of distributions | | | | | 16,314,733 | | | | | | 35,763,780 | | | | | | | | 434,991 | | | | | | | | 497,271 | | | |
Cost of shares redeemed | | | | | (189,397,538 | ) | | | | | (247,428,013 | ) | | | | | | | (3,374,547 | ) | | | | | | | (3,393,060 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | (106,194,569 | ) | | | | | 95,592,758 | | | | | | | | (1,343,287 | ) | | | | | | | 13,355,062 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | (108,518,557 | ) | | | | | 92,856,117 | | | | | | | | 293,450 | | | | | | | | 16,381,546 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | (83,450,916 | ) | | | | | 72,397,666 | | | | | | | | 1,208,569 | | | | | | | | 16,293,275 | | | |
Net assets at beginning of period | | | | | 970,368,495 | | | | | | 897,970,829 | | | | | | | | 26,618,821 | | | | | | | | 10,325,546 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | $ | 886,917,579 | | | | | $ | 970,368,495 | | | | | | | $ | 27,827,390 | | | | | | | $ | 26,618,821 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 194 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION
BOND FUND | | | | | STRATEGIC INCOME FUND | | |
| | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 25,219,586 | | | | | | | $ | 62,135,081 | | | | | | | $ | 2,587,596 | | | | | | | $ | 5,173,629 | | | |
Net realized gain (loss) on investments | | | | | 2,910,779 | | | | | | | | (31,384,390 | ) | | | | | | | 295,204 | | | | | | | | (1,666,769 | ) | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | (184,651 | ) | | | | | | | (3,649,273 | ) | | | | | | | 106,866 | | | | | | | | 301,300 | | | |
Net change in unrealized appreciation on investments | | | | | 18,081,519 | | | | | | | | 28,652,588 | | | | | | | | 585,938 | | | | | | | | 816,002 | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 3,865,533 | | | | | | | | (4,626,099 | ) | | | | | | | 55,812 | | | | | | | | (4,410 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 49,892,766 | | | | | | | | 51,127,907 | | | | | | | | 3,631,416 | | | | | | | | 4,619,752 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (3,109,539 | ) | | | | | | | (8,065,480 | ) | | | | | | | (1,717,230 | ) | | | | | | | (3,794,595 | ) | | |
Class I | | | | | (22,125,848 | ) | | | | | | | (54,036,315 | ) | | | | | | | (887,822 | ) | | | | | | | (1,498,263 | ) | | |
Administrative Class | | | | | (221 | ) | | | | | | | (235 | ) | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (25,235,608 | ) | | | | | | | (62,102,030 | ) | | | | | | | (2,605,052 | ) | | | | | | | (5,292,858 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 6,941,433 | | | | | | | | 23,878,819 | | | | | | | | 1,902,936 | | | | | | | | 6,753,106 | | | |
Shares issued in reinvestment of distributions | | | | | 3,078,268 | | | | | | | | 7,989,466 | | | | | | | | 1,711,085 | | | | | | | | 3,784,613 | | | |
Cost of shares redeemed | | | | | (37,112,213 | ) | | | | | | | (175,627,096 | ) | | | | | | | (12,739,613 | ) | | | | | | | (8,380,137 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | (27,092,512 | ) | | | | | | | (143,758,811 | ) | | | | | | | (9,125,592 | ) | | | | | | | 2,157,582 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 58,970,540 | | | | | | | | 229,594,053 | | | | | | | | 4,293,467 | | | | | | | | 12,920,425 | | | |
Shares issued in reinvestment of distributions | | | | | 19,446,485 | | | | | | | | 46,323,700 | | | | | | | | 874,750 | | | | | | | | 1,409,912 | | | |
Cost of shares redeemed | | | | | (282,166,421 | ) | | | | | | | (634,863,182 | ) | | | | | | | (3,406,813 | ) | | | | | | | (6,793,483 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | (203,749,396 | ) | | | | | | | (358,945,429 | ) | | | | | | | 1,761,404 | | | | | | | | 7,536,854 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | 10,044 | | | | | | | | — | | | | | | | | — | | | |
Shares issued in reinvestment of distributions | | | | | 221 | | | | | | | | 233 | | | | | | | | — | | | | | | | | — | | | |
Cost of shares redeemed | | | | | — | | | | | | | | (716 | ) | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | | 221 | | | | | | | | 9,561 | | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | (230,841,687 | ) | | | | | | | (502,694,679 | ) | | | | | | | (7,364,188 | ) | | | | | | | 9,694,436 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | (206,184,529 | ) | | | | | | | (513,668,802 | ) | | | | | | | (6,337,824 | ) | | | | | | | 9,021,330 | | | |
Net assets at beginning of period | | | | | 1,264,475,748 | | | | | | | | 1,778,144,550 | | | | | | | | 75,241,991 | | | | | | | | 66,220,661 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | $ | 1,058,291,219 | | | | | | | $ | 1,264,475,748 | | | | | | | $ | 68,904,167 | | | | | | | $ | 75,241,991 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 195 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | SUSTAINABLE SECURITIZED
FUND | | | | | TOTAL RETURN
BOND FUND | | |
| | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 344,462 | | | | | | | $ | 406,399 | | | | | | | $ | 1,009,201,426 | | | | | | | $ | 2,537,715,937 | | | |
Net realized gain (loss) on investments | | | | | 203,954 | | | | | | | | (781,206 | ) | | | | | | | 391,440,581 | | | | | | | | (3,143,613,406 | ) | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 115,517 | | | | | | | | (69,308 | ) | | | | | | | 97,798,909 | | | | | | | | (452,768,829 | ) | | |
Net change in unrealized appreciation on investments | | | | | 328,072 | | | | | | | | 740,604 | | | | | | | | 986,698,259 | | | | | | | | 1,640,901,744 | | | |
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 4,518 | | | | | | | | (13,883 | ) | | | | | | | (9,426,250 | ) | | | | | | | (125,879,131 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 996,523 | | | | | | | | 282,606 | | | | | | | | 2,475,712,925 | | | | | | | | 456,356,315 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net earnings | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (10,717 | ) | | | | | | | (2,014 | ) | | | | | | | (73,379,328 | ) | | | | | | | (199,080,510 | ) | | |
Class I | | | | | (333,751 | ) | | | | | | | (363,941 | ) | | | | | | | (609,659,040 | ) | | | | | | | (1,514,156,186 | ) | | |
Class I-2 | | | | | — | | | | | | | | — | | | | | | | | (1,351,191 | ) | | | | | | | (3,711,760 | ) | | |
Administrative Class | | | | | — | | | | | | | | — | | | | | | | | (19,620,942 | ) | | | | | | | (53,157,819 | ) | | |
Plan Class | | | | | — | | | | | | | | — | | | | | | | | (309,906,984 | ) | | | | | | | (743,968,929 | ) | | |
From tax return of capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | — | | | | | | | | (223 | ) | | | | | | | — | | | | | | | | — | | | |
Class I | | | | | — | | | | | | | | (40,201 | ) | | | | | | | — | | | | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (344,468 | ) | | | | | | | (406,379 | ) | | | | | | | (1,013,917,485 | ) | | | | | | | (2,514,075,204 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 647,814 | | | | | | | | 55,533 | | | | | | | | 294,529,824 | | | | | | | | 918,790,227 | | | |
Shares issued in reinvestment of distributions | | | | | 10,717 | | | | | | | | 2,168 | | | | | | | | 72,784,181 | | | | | | | | 197,785,406 | | | |
Cost of shares redeemed | | | | | (17,603 | ) | | | | | | | (63,013 | ) | | | | | | | (980,591,550 | ) | | | | | | | (3,558,742,020 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | 640,928 | | | | | | | | (5,312 | ) | | | | | | | (613,277,545 | ) | | | | | | | (2,442,166,387 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 2,782,651 | | | | | | | | 1,713,982 | | | | | | | | 2,253,709,345 | | | | | | | | 8,262,045,253 | | | |
Shares issued in reinvestment of distributions | | | | | 333,612 | | | | | | | | 403,645 | | | | | | | | 545,479,496 | | | | | | | | 1,360,470,247 | | | |
Cost of shares redeemed | | | | | (238,570 | ) | | | | | | | (2,640,186 | ) | | | | | | | (8,394,524,969 | ) | | | | | | | (15,603,067,223 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | 2,877,693 | | | | | | | | (522,559 | ) | | | | | | | (5,595,336,128 | ) | | | | | | | (5,980,551,723 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I-2: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | — | | | | | | | | 7,932,210 | | | | | | | | 33,425,455 | | | |
Shares issued in reinvestment of distributions | | | | | — | | | | | | | | — | | | | | | | | 1,351,136 | | | | | | | | 3,688,076 | | | |
Cost of shares redeemed | | | | | — | | | | | | | | — | | | | | | | | (19,147,885 | ) | | | | | | | (67,704,008 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I-2 capital share transactions | | | | | — | | | | | | | | — | | | | | | | | (9,864,539 | ) | | | | | | | (30,590,477 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | — | | | | | | | | 84,399,767 | | | | | | | | 248,831,090 | | | |
Shares issued in reinvestment of distributions | | | | | — | | | | | | | | — | | | | | | | | 19,332,271 | | | | | | | | 51,891,253 | | | |
Cost of shares redeemed | | | | | — | | | | | | | | — | | | | | | | | (691,779,070 | ) | | | | | | | (616,843,156 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | | — | | | | | | | | — | | | | | | | | (588,047,032 | ) | | | | | | | (316,120,813 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | | | — | | | | | | | | 1,333,288,689 | | | | | | | | 3,421,603,095 | | | |
Shares issued in reinvestment of distributions | | | | | — | | | | | | | | — | | | | | | | | 281,255,943 | | | | | | | | 689,320,525 | | | |
Cost of shares redeemed | | | | | — | | | | | | | | — | | | | | | | | (5,109,907,760 | ) | | | | | | | (5,424,667,833 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | — | | | | | | | | — | | | | | | | | (3,495,363,128 | ) | | | | | | | (1,313,744,213 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | 3,518,621 | | | | | | | | (527,871 | ) | | | | | | | (10,301,888,372 | ) | | | | | | | (10,083,173,613 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | 4,170,676 | | | | | | | | (651,644 | ) | | | | | | | (8,840,092,932 | ) | | | | | | | (12,140,892,502 | ) | | |
Net assets at beginning of period | | | | | 7,759,204 | | | | | | | | 8,410,848 | | | | | | | | 51,975,653,961 | | | | | | | | 64,116,546,463 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | $ | 11,929,880 | | | | | | | $ | 7,759,204 | | | | | | | $ | 43,135,561,029 | | | | | | | $ | 51,975,653,961 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| 196 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ULTRA SHORT BOND FUND | | | | | UNCONSTRAINED BOND FUND | | | | | |
| | | | | | | | | | |
| | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | | | | SIX MONTHS ENDED
SEPTEMBER 30, 2024
(UNAUDITED) | | | | | YEAR ENDED
MARCH 31, 2024 | | | | | |
| | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | $ | 1,021,394 | | | | | $ | 3,484,034 | | | | | $ | 87,560,546 | | | | | $ | 178,379,311 | | | | | |
Net realized gain (loss) on investments | | | | | 428,515 | | | | | | (2,344,733) | | | | | | (9,389,394) | | | | | | (87,742,798) | | | | | |
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | (187,534) | | | | | | 356,425 | | | | | | 1,838,133 | | | | | | 9,023,344 | | | | | |
Net change in unrealized appreciation on investments | | | | | 496,652 | | | | | | 1,011,070 | | | | | | 59,060,197 | | | | | | 44,753,648 | | | | | |
Net change in unrealized appreciation on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | | | | | 115,619 | | | | | | 79,651 | | | | | | 2,342,126 | | | | | | 1,759,511 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | | 1,874,646 | | | | | | 2,586,447 | | | | | | 141,411,608 | | | | | | 146,173,016 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net earnings | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | (258,362) | | | | | | (632,667) | | | | | | (4,484,628) | | | | | | (9,524,330) | | | | | |
Class I | | | | | (782,315) | | | | | | (2,861,175) | | | | | | (68,722,791) | | | | | | (142,902,881) | | | | | |
Plan Class | | | | | — | | | | | | — | | | | | | (14,256,739) | | | | | | (25,240,397) | | | | | |
From tax return of capital | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M | | | | | — | | | | | | — | | | | | | — | | | | | | (88,102) | | | | | |
Class I | | | | | — | | | | | | — | | | | | | — | | | | | | (1,321,873) | | | | | |
Plan Class | | | | | — | | | | | | — | | | | | | — | | | | | | (233,477) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | (1,040,677) | | | | | | (3,493,842) | | | | | | (87,464,158) | | | | | | (179,311,060) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 421,503 | | | | | | 987,487 | | | | | | 8,296,035 | | | | | | 22,080,451 | | | | | |
Shares issued in reinvestment of distributions | | | | | 254,906 | | | | | | 607,715 | | | | | | 4,422,126 | | | | | | 9,478,301 | | | | | |
Cost of shares redeemed | | | | | (2,039,458) | | | | | | (8,603,378) | | | | | | (20,402,968) | | | | | | (48,055,330) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | | (1,363,049) | | | | | | (7,008,176) | | | | | | (7,684,807) | | | | | | (16,496,578) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | 2,082,439 | | | | | | 10,434,114 | | | | | | 265,842,945 | | | | | | 678,623,647 | | | | | |
Shares issued in reinvestment of distributions | | | | | 780,870 | | | | | | 2,857,961 | | | | | | 48,992,500 | | | | | | 102,224,307 | | | | | |
Cost of shares redeemed | | | | | (5,911,158) | | | | | | (76,523,093) | | | | | | (305,070,114) | | | | | | (1,070,859,376) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | | (3,047,849) | | | | | | (63,231,018) | | | | | | 9,765,331 | | | | | | (290,011,422) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | | — | | | | | | — | | | | | | 25,783,208 | | | | | | 28,461,757 | | | | | |
Shares issued in reinvestment of distributions | | | | | — | | | | | | — | | | | | | 14,255,816 | | | | | | 25,473,840 | | | | | |
Cost of shares redeemed | | | | | — | | | | | | — | | | | | | (2,023,138) | | | | | | (5,145,946) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | | — | | | | | | — | | | | | | 38,015,886 | | | | | | 48,789,651 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets derived from capital share transactions | | | | | (4,410,898) | | | | | | (70,239,194) | | | | | | 40,096,410 | | | | | | (257,718,349) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets | | | | | (3,576,929) | | | | | | (71,146,589) | | | | | | 94,043,860 | | | | | | (290,856,393) | | | | | |
Net assets at beginning of period | | | | | 50,700,599 | | | | | | 121,847,188 | | | | | | 2,574,674,647 | | | | | | 2,865,531,040 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets at end of period | | | | $ | 47,123,670 | | | | | $ | 50,700,599 | | | | | $ | 2,668,718,507 | | | | | $ | 2,574,674,647 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 197 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND CLASS M | | |
| | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 12.23 | | | | | | | | | $ | 9.87 | | | | | $ | 11.48 | | | | | $ | 13.26 | | | | | $ | 8.89 | | | | | $ | 10.73 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.26 | | | | | | | | | | 0.47 | | | | | | 0.27 | | | | | | 0.11 | | | | | | 0.18 | | | | | | 0.31 | | | | | |
Net realized and unrealized gain (loss) | | | | | 1.11 | | | | | | | | | | 2.35 | | | | | | (1.42) | | | | | | 1.81 | | | | | | 5.14 | | | | | | (1.14) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 1.37 | | | | | | | | | | 2.82 | | | | | | (1.15) | | | | | | 1.92 | | | | | | 5.32 | | | | | | (0.83) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.30) | | | | | | | | | | (0.46) | | | | | | (0.27) | | | | | | (0.12) | | | | | | (0.20) | | | | | | (0.30) | | | | | |
From net capital gains | | | | | — | | | | | | | | | | — | | | | | | (0.19) | | | | | | (3.58) | | | | | | (0.75) | | | | | | (0.71) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.30) | | | | | | | | | | (0.46) | | | | | | (0.46) | | | | | | (3.70) | | | | | | (0.95) | | | | | | (1.01) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 13.30 | | | | | | | | | $ | 12.23 | | | | | $ | 9.87 | | | | | $ | 11.48 | | | | | $ | 13.26 | | | | | $ | 8.89 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 11.29%2 | | | | | | | | | | 29.17% | | | | | | (9.77)% | | | | | | 13.35% | | | | | | 60.83% | | | | | | (9.36)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 30,450 | | | | | | | | | $ | 30,142 | | | | | $ | 28,961 | | | | | $ | 45,102 | | | | | $ | 36,770 | | | | | $ | 29,066 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.28%3 | | | | | | | | | | 1.21% | | | | | | 1.28% | | | | | | 0.83%4 | | | | | | 1.26% | | | | | | 1.04% | | | | | |
After expense waivers and reimbursements | | | | | 0.45%3 | | | | | | | | | | 0.45% | | | | | | 0.45% | | | | | | 0.83% | | | | | | 0.90% | | | | | | 0.90% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.18%3 | | | | | | | | | | 4.37% | | | | | | 2.70% | | | | | | 0.78% | | | | | | 1.57% | | | | | | 2.80% | | | | | |
Portfolio Turnover Rate | | | | | 160%2 | | | | | | | | | | 260% | | | | | | 166% | | | | | | 94% | | | | | | 60% | | | | | | 89% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.66%. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 198 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS M | | |
| | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.98 | | | | | | | | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.16 | | | | | | | | | | 0.32 | | | | | | 0.26 | | | | | | 0.22 | | | | | | 0.28 | | | | | | 0.88 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.43 | | | | | | | | | | (0.05) | | | | | | (0.86) | | | | | | (0.69) | | | | | | 0.50 | | | | | | 0.06 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.59 | | | | | | | | | | 0.27 | | | | | | (0.60) | | | | | | (0.47) | | | | | | 0.78 | | | | | | 0.94 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.17) | | | | | | | | | | (0.32) | | | | | | (0.26) | | | | | | (0.22) | | | | | | (0.40) | | | | | | (0.86) | | | | | |
From net capital gains | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.07) | | | | | | (0.05) | | | | | | (0.07) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.17) | | | | | | | | | | (0.32) | | | | | | (0.26) | | | | | | (0.29) | | | | | | (0.45) | | | | | | (0.93) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.40 | | | | | | | | | $ | 8.98 | | | | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 6.61%2 | | | | | | | | | | 3.15% | | | | | | (6.02)% | | | | | | (4.67)% | | | | | | 7.55% | | | | | | 9.19% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 2,497 | | | | | | | | | $ | 2,809 | | | | | $ | 4,296 | | | | | $ | 5,622 | | | | | $ | 8,190 | | | | | $ | 876 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 5.91%3 | | | | | | | | | | 4.56% | | | | | | 3.93% | | | | | | 2.73% | | | | | | 3.16% | | | | | | 8.55% | | | | | |
After expense waivers and reimbursements | | | | | 0.75%3 | | | | | | | | | | 0.75% | | | | | | 0.75% | | | | | | 0.75% | | | | | | 0.75% | | | | | | 0.75% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 3.59%3 | | | | | | | | | | 3.67% | | | | | | 2.87% | | | | | | 2.01% | | | | | | 2.54% | | | | | | 8.31% | | | | | |
Portfolio Turnover Rate | | | | | 46%2 | | | | | | | | | | 136% | | | | | | 124% | | | | | | 148% | | | | | | 84% | | | | | | 65% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 199 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND CLASS I | | |
| | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.99 | | | | | | | | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.17 | | | | | | | | | | 0.35 | | | | | | 0.28 | | | | | | 0.24 | | | | | | 0.40 | | | | | | 0.91 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.42 | | | | | | | | | | (0.04) | | | | | | (0.86) | | | | | | (0.69) | | | | | | 0.41 | | | | | | 0.06 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.59 | | | | | | | | | | 0.31 | | | | | | (0.58) | | | | | | (0.45) | | | | | | 0.81 | | | | | | 0.97 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.18) | | | | | | | | | | (0.35) | | | | | | (0.28) | | | | | | (0.24) | | | | | | (0.43) | | | | | | (0.89) | | | | | |
From net capital gains | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.07) | | | | | | (0.05) | | | | | | (0.07) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.18) | | | | | | | | | | (0.35) | | | | | | (0.28) | | | | | | (0.31) | | | | | | (0.48) | | | | | | (0.96) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.40 | | | | | | | | | $ | 8.99 | | | | | $ | 9.03 | | | | | $ | 9.89 | | | | | $ | 10.65 | | | | | $ | 10.32 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 6.63%2 | | | | | | | | | | 3.52% | | | | | | (5.79)% | | | | | | (4.44)% | | | | | | 7.81% | | | | | | 9.46% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 2,477 | | | | | | | | | $ | 2,379 | | | | | $ | 2,870 | | | | | $ | 6,935 | | | | | $ | 4,730 | | | | | $ | 2,392 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 5.62%3 | | | | | | | | | | 4.24% | | | | | | 3.39% | | | | | | 2.40% | | | | | | 3.54% | | | | | | 8.30% | | | | | |
After expense waivers and reimbursements | | | | | 0.50%3 | | | | | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 3.83%3 | | | | | | | | | | 3.92% | | | | | | 3.05% | | | | | | 2.25% | | | | | | 3.64% | | | | | | 8.62% | | | | | |
Portfolio Turnover Rate | | | | | 46%2 | | | | | | | | | | 136% | | | | | | 124% | | | | | | 148% | | | | | | 84% | | | | | | 65% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 200 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS M | | |
| | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 9.49 | | | | | | | | | $ | 9.29 | | | | | $ | 9.79 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.40 | | | | | | | | | | 0.81 | | | | | | 0.56 | | | | | | 0.31 | | | | | | 0.30 | | | | | | 0.42 | | | | | |
Net realized and unrealized gain
(loss) | | | | | (0.02) | | | | | | | | | | 0.20 | | | | | | (0.48) | | | | | | (0.16) | | | | | | 0.97 | | | | | | (0.92) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.38 | | | | | | | | | | 1.01 | | | | | | 0.08 | | | | | | 0.15 | | | | | | 1.27 | | | | | | (0.50) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.39) | | | | | | | | | | (0.81) | | | | | | (0.58) | | | | | | (0.31) | | | | | | (0.30) | | | | | | (0.42) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.48 | | | | | | | | | $ | 9.49 | | | | | $ | 9.29 | | | | | $ | 9.79 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 4.06%2 | | | | | | | | | | 11.36% | | | | | | 0.96% | | | | | | 1.50% | | | | | | 14.30% | | | | | | (5.36)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in
thousands) | | | | $ | 7,185 | | | | | | | | | $ | 9,521 | | | | | $ | 11,002 | | | | | $ | 17,003 | | | | | $ | 13,815 | | | | | $ | 6,084 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.04%3 | | | | | | | | | | 1.01% | | | | | | 1.02% | | | | | | 1.00% | | | | | | 0.99% | | | | | | 1.00% | | | | | |
After expense waivers and reimbursements | | | | | 0.90%3 | | | | | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | | 0.90% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 8.31%3 | | | | | | | | | | 8.65% | | | | | | 5.98% | | | | | | 3.12% | | | | | | 3.05% | | | | | | 4.27% | | | | | |
Portfolio Turnover Rate | | | | | 52%2 | | | | | | | | | | 77% | | | | | | 43% | | | | | | 49% | | | | | | 38% | | | | | | 51% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 201 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND CLASS I | | |
| | | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of
Period | | | | $ | 9.49 | | | | | | | | | $ | 9.29 | | | | | $ | 9.78 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | $ | 9.90 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.41 | | | | | | | | | | 0.83 | | | | | | 0.58 | | | | | | 0.33 | | | | | | 0.32 | | | | | | 0.44 | | | | | |
Net realized and unrealized
gain (loss) | | | | | (0.02) | | | | | | | | | | 0.20 | | | | | | (0.47) | | | | | | (0.17) | | | | | | 0.97 | | | | | | (0.92) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from
Investment Operations | | | | | 0.39 | | | | | | | | | | 1.03 | | | | | | 0.11 | | | | | | 0.16 | | | | | | 1.29 | | | | | | (0.48) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.40) | | | | | | | | | | (0.83) | | | | | | (0.60) | | | | | | (0.33) | | | | | | (0.32) | | | | | | (0.44) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 9.48 | | | | | | | | | $ | 9.49 | | | | | $ | 9.29 | | | | | $ | 9.78 | | | | | $ | 9.95 | | | | | $ | 8.98 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 4.16%2 | | | | | | | | | | 11.58% | | | | | | 1.26% | | | | | | 1.61% | | | | | | 14.52% | | | | | | (5.17)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 288,209 | | | | | | | | | $ | 292,519 | | | | | $ | 328,416 | | | | | $ | 475,105 | | | | | $ | 417,927 | | | | | $ | 250,187 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.72%3 | | | | | | | | | | 0.70%4 | | | | | | 0.70% | | | | | | 0.69%5 | | | | | | 0.70%6 | | | | | | 0.70% | | | | | |
After expense waivers and reimbursements | | | | | 0.70%3 | | | | | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.69% | | | | | | 0.70% | | | | | | 0.70% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 8.54%3 | | | | | | | | | | 8.85% | | | | | | 6.22% | | | | | | 3.32% | | | | | | 3.25% | | | | | | 4.47% | | | | | |
Portfolio Turnover Rate | | | | | 52%2 | | | | | | | | | | 77% | | | | | | 43% | | | | | | 49% | | | | | | 38% | | | | | | 51% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.70%. |
| 5 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%. |
| 6 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 202 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS M | | | |
| | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.28 | | | | | $ | 9.12 | | | | | $ | 10.06 | | | | | $ | 10.57 | | | | | $ | 9.27 | | | | | $ | 9.66 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.30 | | | | | | 0.60 | | | | | | 0.50 | | | | | | 0.38 | | | | | | 0.36 | | | | | | 0.40 | | | |
Net realized and unrealized gain
(loss) | | | | | | | 0.17 | | | | | | 0.16 | | | | | | (0.93) | | | | | | (0.51) | | | | | | 1.31 | | | | | | (0.39) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.47 | | | | | | 0.76 | | | | | | (0.43) | | | | | | (0.13) | | | | | | 1.67 | | | | | | 0.01 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.29) | | | | | | (0.60) | | | | | | (0.51) | | | | | | (0.38) | | | | | | (0.37) | | | | | | (0.40) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.46 | | | | | $ | 9.28 | | | | | $ | 9.12 | | | | | $ | 10.06 | | | | | $ | 10.57 | | | | | $ | 9.27 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.21%2 | | | | | | 8.64% | | | | | | (4.20)% | | | | | | (1.30)% | | | | | | 18.14% | | | | | | (0.06)% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in
thousands) | | | | | | $ | 106,899 | | | | | $ | 111,388 | | | | | $ | 134,178 | | | | | $ | 169,941 | | | | | $ | 198,337 | | | | | $ | 126,587 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.93%3 | | | | | | 0.91% | | | | | | 0.91% | | | | | | 0.90% | | | | | | 0.91% | | | | | | 0.93% | | | |
After expense waivers and reimbursements | | | | | | | 0.85%3 | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | | | | 0.85% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 6.51%3 | | | | | | 6.55% | | | | | | 5.45% | | | | | | 3.61% | | | | | | 3.53% | | | | | | 4.07% | | | |
Portfolio Turnover Rate | | | | | | | 31%2 | | | | | | 82% | | | | | | 116% | | | | | | 117% | | | | | | 108% | | | | | | 181% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 203 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS I | | | |
| | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.28 | | | | | $ | 9.12 | | | | | $ | 10.05 | | | | | $ | 10.57 | | | | | $ | 9.26 | | | | | $ | 9.65 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.32 | | | | | | 0.62 | | | | | | 0.52 | | | | | | 0.41 | | | | | | 0.39 | | | | | | 0.42 | | | |
Net realized and unrealized gain
(loss) | | | | | | | 0.17 | | | | | | 0.16 | | | | | | (0.92) | | | | | | (0.52) | | | | | | 1.31 | | | | | | (0.39) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.49 | | | | | | 0.78 | | | | | | (0.40) | | | | | | (0.11) | | | | | | 1.70 | | | | | | 0.03 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.31) | | | | | | (0.62) | | | | | | (0.53) | | | | | | (0.41) | | | | | | (0.39) | | | | | | (0.42) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.46 | | | | | $ | 9.28 | | | | | $ | 9.12 | | | | | $ | 10.05 | | | | | $ | 10.57 | | | | | $ | 9.26 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.35%2 | | | | | | 8.91% | | | | | | (3.87)% | | | | | | (1.15)% | | | | | | 18.56% | | | | | | 0.19% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in
thousands) | | | | | | $ | 363,750 | | | | | $ | 356,322 | | | | | $ | 361,021 | | | | | $ | 552,768 | | | | | $ | 572,082 | | | | | $ | 289,352 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.63%3 | | | | | | 0.62% | | | | | | 0.61% | | | | | | 0.61% | | | | | | 0.61% | | | | | | 0.62% | | | |
After expense waivers and reimbursements | | | | | | | 0.60%3 | | | | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | | | | 0.60% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 6.77%3 | | | | | | 6.81% | | | | | | 5.67% | | | | | | 3.88% | | | | | | 3.77% | | | | | | 4.33% | | | |
Portfolio Turnover Rate | | | | | | | 31%2 | | | | | | 82% | | | | | | 116% | | | | | | 117% | | | | | | 108% | | | | | | 181% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 204 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS M | | | | | |
| | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | | | $ | 9.35 | | | | | $ | 9.57 | | | | | $ | 10.10 | | | | | $ | 10.74 | | | | | $ | 10.65 | | | | | $ | 10.37 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | | | 0.18 | | | | | | 0.38 | | | | | | 0.29 | | | | | | 0.11 | | | | | | 0.13 | | | | | | 0.26 | | | | | |
Net realized and unrealized gain (loss) | | | | | | | | | 0.28 | | | | | | (0.22) | | | | | | (0.53) | | | | | | (0.61) | | | | | | 0.36 | | | | | | 0.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | | | 0.46 | | | | | | 0.16 | | | | | | (0.24) | | | | | | (0.50) | | | | | | 0.49 | | | | | | 0.54 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | | | (0.19) | | | | | | (0.38) | | | | | | (0.29) | | | | | | (0.11) | | | | | | (0.13) | | | | | | (0.26) | | | | | |
From net capital gains | | | | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.27) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | | | | | (0.19) | | | | | | (0.38) | | | | | | (0.29) | | | | | | (0.14) | | | | | | (0.40) | | | | | | (0.26) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | | | $ | 9.62 | | | | | $ | 9.35 | | | | | $ | 9.57 | | | | | $ | 10.10 | | | | | $ | 10.74 | | | | | $ | 10.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | 4.94%2 | | | | | | 1.80% | | | | | | (2.32)% | | | | | | (4.63)% | | | | | | 4.63% | | | | | | 5.27% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | | | $ | 15,979 | | | | | $ | 17,845 | | | | | $ | 21,053 | | | | | $ | 24,746 | | | | | $ | 36,452 | | | | | $ | 33,836 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | | | 0.71%3 | | | | | | 0.71% | | | | | | 0.72% | | | | | | 0.70% | | | | | | 0.71% | | | | | | 0.71% | | | | | |
After expense waivers and reimbursements | | | | | | | | | 0.70%3 | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | | | 3.93%3 | | | | | | 4.10% | | | | | | 3.00% | | | | | | 1.04% | | | | | | 1.22% | | | | | | 2.49% | | | | | |
Portfolio Turnover Rate | | | | | | | | | 327%2 | | | | | | 588% | | | | | | 516% | | | | | | 399% | | | | | | 372% | | | | | | 393% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 205 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | INTERMEDIATE BOND FUND CLASS I | | |
| | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.35 | | | | | $ | 9.56 | | | | | $ | 10.10 | | | | | $ | 10.73 | | | | | $ | 10.65 | | | | | $ | 10.36 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.19 | | | | | | 0.40 | | | | | | 0.31 | | | | | | 0.14 | | | | | | 0.16 | | | | | | 0.29 | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.27 | | | | | | (0.21) | | | | | | (0.54) | | | | | | (0.60) | | | | | | 0.35 | | | | | | 0.28 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.46 | | | | | | 0.19 | | | | | | (0.23) | | | | | | (0.46) | | | | | | 0.51 | | | | | | 0.57 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.20) | | | | | | (0.40) | | | | | | (0.31) | | | | | | (0.14) | | | | | | (0.16) | | | | | | (0.28) | | | | | |
From net capital gains | | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.03) | | | | | | (0.27) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.20) | | | | | | (0.40) | | | | | | (0.31) | | | | | | (0.17) | | | | | | (0.43) | | | | | | (0.28) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.61 | | | | | $ | 9.35 | | | | | $ | 9.56 | | | | | $ | 10.10 | | | | | $ | 10.73 | | | | | $ | 10.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 4.94%2 | | | | | | 2.12% | | | | | | (2.22)% | | | | | | (4.33)% | | | | | | 4.76% | | | | | | 5.60% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 870,939 | | | | | $ | 952,523 | | | | | $ | 876,918 | | | | | $ | 768,271 | | | | | $ | 766,063 | | | | | | $ 693,038 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.48%3 | | | | | | 0.48%4 | | | | | | 0.49% | | | | | | 0.47% | | | | | | 0.48% | | | | | | 0.48% | | | | | |
After expense waivers and reimbursements | | | | | | | 0.48%3 | | | | | | 0.48% | | | | | | 0.49% | | | | | | 0.47% | | | | | | 0.48% | | | | | | 0.48% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.13%3 | | | | | | 4.33% | | | | | | 3.26% | | | | | | 1.29% | | | | | | 1.44% | | | | | | 2.69% | | | | | |
Portfolio Turnover Rate | | | | | | | 327%2 | | | | | | 588% | | | | | | 516% | | | | | | 399% | | | | | | 372% | | | | | | 393% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.48%. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 206 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND CLASS M | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 7.70 | | | | | | | | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.17 | | | | | | | | | | 0.41 | | | | | | 0.63 | | | | | | 0.45 | | | | | | 0.59 | | | | | | 1.05 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.27 | | | | | | | | | | (0.11) | | | | | | (0.84) | | | | | | (0.95) | | | | | | 0.17 | | | | | | (0.55) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.44 | | | | | | | | | | 0.30 | | | | | | (0.21) | | | | | | (0.50) | | | | | | 0.76 | | | | | | 0.50 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
From net investment income | | | | | (0.17) | | | | | | | | | | (0.42) | | | | | | (0.65) | | | | | | (0.46) | | | | | | (0.63) | | | | | | (1.05) | | | | | |
From net capital gains | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.01) | | | | | | (0.11) | | | | | | (0.11) | | | | | |
From tax return of capital | | | | | — | | | | | | | | | | — | | | | | | (0.02) | | | | | | — | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.17) | | | | | | | | | | (0.42) | | | | | | (0.67) | | | | | | (0.47) | | | | | | (0.74) | | | | | | (1.16) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 7.97 | | | | | | | | | $ | 7.70 | | | | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 5.78%2 | | | | | | | | | | 4.01% | | | | | | (2.24)% | | | | | | (5.42)% | | | | | | 7.97% | | | | | | 4.80% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 7,947 | | | | | | | | | $ | 6,041 | | | | | $ | 3,026 | | | | | $ | 2,259 | | | | | $ | 2,126 | | | | | $ | 837 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.83%3 | | | | | | | | | | 2.56% | | | | | | 3.90% | | | | | | 2.16% | | | | | | 2.93% | | | | | | 3.86% | | | | | |
After expense waivers and reimbursements | | | | | 0.70%3 | | | | | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.70% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.31%3 | | | | | | | | | | 5.33% | | | | | | 7.93% | | | | | | 4.75% | | | | | | 6.02% | | | | | | 10.33% | | | | | |
Portfolio Turnover Rate | | | | | 228%2 | | | | | | | | | | 491% | | | | | | 231% | | | | | | 345% | | | | | | 92% | | | | | | 76% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 207 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND CLASS I | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 7.70 | | | | | | | | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | $ | 10.31 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.18 | | | | | | | | | | 0.42 | | | | | | 0.67 | | | | | | 0.45 | | | | | | 0.65 | | | | | | 1.07 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.27 | | | | | | | | | | (0.10) | | | | | | (0.86) | | | | | | (0.93) | | | | | | 0.13 | | | | | | (0.55) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.45 | | | | | | | | | | 0.32 | | | | | | (0.19) | | | | | | (0.48) | | | | | | 0.78 | | | | | | 0.52 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
From net investment income | | | | | (0.18) | | | | | | | | | | (0.44) | | | | | | (0.67) | | | | | | (0.48) | | | | | | (0.65) | | | | | | (1.07) | | | | | |
From net capital gains | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.01) | | | | | | (0.11) | | | | | | (0.11) | | | | | |
From tax return of capital | | | | | — | | | | | | | | | | — | | | | | | (0.02) | | | | | | — | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.18) | | | | | | | | | | (0.44) | | | | | | (0.69) | | | | | | (0.49) | | | | | | (0.76) | | | | | | (1.18) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 7.97 | | | | | | | | | $ | 7.70 | | | | | $ | 7.82 | | | | | $ | 8.70 | | | | | $ | 9.67 | | | | | $ | 9.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 5.89%2 | | | | | | | | | | 4.23% | | | | | | (2.03)% | | | | | | (5.22)% | | | | | | 8.20% | | | | | | 5.02% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 19,880 | | | | | | | | | $ | 20,578 | | | | | $ | 7,299 | | | | | $ | 8,640 | | | | | $ | 10,105 | | | | | $ | 6,431 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.58%3 | | | | | | | | | | 2.30% | | | | | | 3.62% | | | | | | 1.87% | | | | | | 2.68% | | | | | | 3.61% | | | | | |
After expense waivers and reimbursements | | | | | 0.49%3 | | | | | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.53%3 | | | | | | | | | | 5.53% | | | | | | 8.38% | | | | | | 4.79% | | | | | | 6.56% | | | | | | 10.54% | | | | | |
Portfolio Turnover Rate | | | | | 228%2 | | | | | | | | | | 491% | | | | | | 231% | | | | | | 345% | | | | | | 92% | | | | | | 76% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 208 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS M | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.27 | | | | | | | | | $ | 8.30 | | | | | $ | 8.57 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.18 | | | | | | | | | | 0.34 | | | | | | 0.22 | | | | | | 0.08 | | | | | | 0.11 | | | | | | 0.20 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.19 | | | | | | | | | | (0.03) | | | | | | (0.26) | | | | | | (0.31) | | | | | | 0.23 | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.37 | | | | | | | | | | 0.31 | | | | | | (0.04) | | | | | | (0.23) | | | | | | 0.34 | | | | | | 0.17 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.18) | | | | | | | | | | (0.34) | | | | | | (0.23) | | | | | | (0.08) | | | | | | (0.11) | | | | | | (0.20) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 8.46 | | | | | | | | | $ | 8.27 | | | | | $ | 8.30 | | | | | $ | 8.57 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 4.50%2 | | | | | | | | | | 3.82% | | | | | | (0.46)% | | | | | | (2.65)% | | | | | | 3.91% | | | | | | 1.93% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 128,883 | | | | | | | | | $ | 152,721 | | | | | $ | 298,833 | | | | | $ | 474,682 | | | | | $ | 445,538 | | | | | $ | 449,701 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.64%3 | | | | | | | | | | 0.62% | | | | | | 0.63% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | | | |
After expense waivers and reimbursements | | | | | 0.63%3 | | | | | | | | | | 0.62% | | | | | | 0.63% | | | | | | 0.62% | | | | | | 0.62% | | | | | | 0.62% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.26%3 | | | | | | | | | | 4.08% | | | | | | 4.08% | | | | | | 0.87% | | | | | | 1.22% | | | | | | 2.32% | | | | | |
Portfolio Turnover Rate | | | | | 214%2 | | | | | | | | | | 461% | | | | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| 209 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS I | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | YEAR ENDED
MARCH 31,
2024 | | | | | YEAR ENDED
MARCH 31,
2023 | | | | | YEAR ENDED
MARCH 31,
2022 | | | | | YEAR ENDED
MARCH 31,
2021 | | | | | YEAR ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 8.27 | | | | | | | | | $ | 8.30 | | | | | $ | 8.58 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | $ | 8.68 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.19 | | | | | | | | | | 0.35 | | | | | | 0.24 | | | | | | 0.09 | | | | | | 0.12 | | | | | | 0.22 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.19 | | | | | | | | | | (0.03) | | | | | | (0.28) | | | | | | (0.30) | | | | | | 0.24 | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.38 | | | | | | | | | | 0.32 | | | | | | (0.04) | | | | | | (0.21) | | | | | | 0.36 | | | | | | 0.19 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.18) | | | | | | | | | | (0.35) | | | | | | (0.24) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.22) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 8.47 | | | | | | | | | $ | 8.27 | | | | | $ | 8.30 | | | | | $ | 8.58 | | | | | $ | 8.88 | | | | | $ | 8.65 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 4.72%2 | | | | | | | | | | 4.03% | | | | | | (0.37)% | | | | | | (2.34)% | | | | | | 4.12% | | | | | | 2.14% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 929,397 | | | | | | | | | $ | 1,111,745 | | | | | $ | 1,479,311 | | | | | $ | 2,018,926 | | | | | $ | 2,034,540 | | | | | $ | 1,456,456 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.44%3 | | | | | | | | | | 0.42% | | | | | | 0.42% | | | | | | 0.41% | | | | | | 0.42% | | | | | | 0.42% | | | | | |
After expense waivers and reimbursements | | | | | 0.44%3 | | | | | | | | | | 0.42% | | | | | | 0.42% | | | | | | 0.41% | | | | | | 0.42% | | | | | | 0.42% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.45%3 | | | | | | | | | | 4.31% | | | | | | 2.85% | | | | | | 1.07% | | | | | | 1.39% | | | | | | 2.51% | | | | | |
Portfolio Turnover Rate | | | | | 214%2 | | | | | | | | | | 461% | | | | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 210 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND ADMINISTRATIVE CLASS | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 10.68 | | | | | | | | | $ | 10.73 | | | | | $ | 11.08 | | | | | $ | 11.48 | | | | | $ | 11.18 | | | | | $ | 11.21 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.22 | | | | | | | | | | 0.44 | | | | | | 0.22 | | | | | | 0.09 | | | | | | 0.13 | | | | | | 0.26 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.25 | | | | | | | | | | (0.06) | | | | | | (0.28) | | | | | | (0.40) | | | | | | 0.30 | | | | | | (0.05) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.47 | | | | | | | | | | 0.38 | | | | | | (0.06) | | | | | | (0.31) | | | | | | 0.43 | | | | | | 0.21 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.22) | | | | | | | | | | (0.43) | | | | | | (0.29) | | | | | | (0.09) | | | | | | (0.13) | | | | | | (0.24) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 10.93 | | | | | | | | | $ | 10.68 | | | | | $ | 10.73 | | | | | $ | 11.08 | | | | | $ | 11.48 | | | | | $ | 11.18 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 4.49%2 | | | | | | | | | | 3.77% | | | | | | (0.48)% | | | | | | (2.74)% | | | | | | 3.83% | | | | | | 1.90% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 11 | | | | | | | | | $ | 10 | | | | | $ | 7763 | | | | | $ | 1,709 | | | | | $ | 88 | | | | | $ | 94 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.71%4 | | | | | | | | | | 0.70% | | | | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.72% | | | | | |
After expense waivers and reimbursements | | | | | 0.71%4 | | | | | | | | | | 0.70% | | | | | | 0.72% | | | | | | 0.72% | | | | | | 0.73% | | | | | | 0.72% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 4.16%4 | | | | | | | | | | 4.18% | | | | | | 2.05% | | | | | | 0.80% | | | | | | 1.11% | | | | | | 2.27% | | | | | |
Portfolio Turnover Rate | | | | | 214%2 | | | | | | | | | | 461% | | | | | | 450% | | | | | | 347% | | | | | | 256% | | | | | | 233% | | | | | |
| 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.
|
| 211 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS M | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | $ | 6.18 | | | | | | | | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.22 | | | | | | | | | | 0.45 | | | | | | 0.51 | | | | | | 0.73 | | | | | | 0.47 | | | | | | 0.31 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.09 | | | | | | | | | | (0.05) | | | | | | (0.54) | | | | | | (0.94) | | | | | | 0.54 | | | | | | (0.60) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.31 | | | | | | | | | | 0.40 | | | | | | (0.03) | | | | | | (0.21) | | | | | | 1.01 | | | | | | (0.29) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.22) | | | | | | | | | | (0.46) | | | | | | (0.62) | | | | | | (0.73) | | | | | | (0.47) | | | | | | (0.31) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 6.27 | | | | | | | | | $ | 6.18 | | | | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 5.19%2 | | | | | | | | | | 6.67% | | | | | | (0.23)% | | | | | | (2.99)% | | | | | | 14.14% | | | | | | (3.86)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 43,812 | | | | | | | | | $ | 52,304 | | | | | $ | 50,681 | | | | | $ | 16,813 | | | | | $ | 15,471 | | | | | $ | 10,413 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.53%3 | | | | | | | | | | 1.49% | | | | | | 1.86% | | | | | | 3.02% | | | | | | 2.73% | | | | | | 2.43% | | | | | |
After expense waivers and reimbursements | | | | | 1.04%3 | | | | | | | | | | 1.04% | | | | | | 1.04% | | | | | | 1.04% | | | | | | 2.28% | | | | | | 2.35% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 7.20%3 | | | | | | | | | | 7.26% | | | | | | 8.24% | | | | | | 9.71% | | | | | | 6.12% | | | | | | 3.95% | | | | | |
Portfolio Turnover Rate | | | | | 109%2 | | | | | | | | | | 260% | | | | | | 177% | | | | | | 77% | | | | | | 24% | | | | | | 50% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 212 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS I | | | |
| | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | |
Net Asset Value, Beginning of Period | | | | $ | 6.18 | | | | | | | | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | | | $ | 7.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.23 | | | | | | | | | | 0.46 | | | | | | 0.57 | | | | | | 0.76 | | | | | | 0.46 | | | | | | 0.33 | | | |
Net realized and unrealized gain (loss) | | | | | 0.09 | | | | | | | | | | (0.05) | | | | | | (0.59) | | | | | | (0.95) | | | | | | 0.56 | | | | | | (0.60) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.32 | | | | | | | | | | 0.41 | | | | | | (0.02) | | | | | | (0.19) | | | | | | 1.02 | | | | | | (0.27) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | (0.23) | | | | | | | | | | (0.47) | | | | | | (0.63) | | | | | | (0.75) | | | | | | (0.48) | | | | | | (0.33) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 6.27 | | | | | | | | | $ | 6.18 | | | | | $ | 6.24 | | | | | $ | 6.89 | | | | | $ | 7.83 | | | | | $ | 7.29 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 5.32%2 | | | | | | | | | | 7.10% | | | | | | –% | | | | | | (2.76)% | | | | | | 14.19% | | | | | | (3.61)% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 25,092 | | | | | | | | | $ | 22,938 | | | | | $ | 15,540 | | | | | $ | 9,310 | | | | | $ | 9,799 | | | | | $ | 48,252 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 1.27%3 | | | | | | | | | | 1.22% | | | | | | 1.65% | | | | | | 2.77% | | | | | | 2.08%4 | | | | | | 2.20% | | | |
After expense waivers and reimbursements | | | | | 0.80%3 | | | | | | | | | | 0.80% | | | | | | 0.80% | | | | | | 0.80% | | | | | | 2.08% | | | | | | 2.10% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 7.38%3 | | | | | | | | | | 7.46% | | | | | | 9.08% | | | | | | 10.06% | | | | | | 5.92% | | | | | | 4.23% | | | |
Portfolio Turnover Rate | | | | | 109%2 | | | | | | | | | | 260% | | | | | | 177% | | | | | | 77% | | | | | | 24% | | | | | | 50% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%. |
See accompanying Notes to Financial Statements.
|
| 213 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | SUSTAINABLE SECURITIZED FUND CLASS M* | | |
| | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 8.34 | | | | | $ | 8.45 | | | | | $ | 9.36 | | | | | $ | 10.00 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.28 | | | | | | 0.42 | | | | | | 0.21 | | | | | | 0.05 | | | | | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.58 | | | | | | (0.07) | | | | | | (0.88) | | | | | | (0.61) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.86 | | | | | | 0.35 | | | | | | (0.67) | | | | | | (0.56) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.30) | | | | | | (0.41) | | | | | | (0.24) | | | | | | (0.08) | | | | | | | | | |
From tax return of capital | | | | | | | — | | | | | | (0.05) | | | | | | — | | | | | | — | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Distributions | | | | | | | (0.30) | | | | | | (0.46) | | | | | | (0.24) | | | | | | (0.08) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 8.90 | | | | | $ | 8.34 | | | | | $ | 8.45 | | | | | $ | 9.36 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 10.47%2 | | | | | | 4.33% | | | | | | (7.15)% | | | | | | (5.60)%2 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 707 | | | | | $ | 44 | | | | | $ | 50 | | | | | $ | 16 | | | | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 3.10%3 | | | | | | 4.15% | | | | | | 3.35% | | | | | | 2.15%3 | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 0.70%3 | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.79%3 | | | | | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 6.63%3 | | | | | | 5.13% | | | | | | 2.43% | | | | | | 0.97%3 | | | | | | | | | |
Portfolio Turnover Rate | | | | | | | 182%2 | | | | | | 312% | | | | | | 312% | | | | | | 276%2 | | | | | | | | | |
| * | The Sustainable 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.
|
| Semi-Annual Report September 2024 / 214 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | SUSTAINABLE SECURITIZED FUND CLASS I* | | |
| | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | PERIOD
ENDED
MARCH 31,
2022 | | | | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 8.35 | | | | | | | | | $ | 8.45 | | | | | $ | 9.37 | | | | | $ | 10.00 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.30 | | | | | | | | | | 0.47 | | | | | | 0.23 | | | | | | 0.05 | | | | | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.57 | | | | | | | | | | (0.09) | | | | | | (0.89) | | | | | | (0.63) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.87 | | | | | | | | | | 0.38 | | | | | | (0.66) | | | | | | (0.58) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.31) | | | | | | | | | | (0.43) | | | | | | (0.26) | | | | | | (0.05) | | | | | | | | | |
From tax return of capital | | | | | | | — | | | | | | | | | | (0.05) | | | | | | — | | | | | | — | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.31) | | | | | | | | | | (0.48) | | | | | | (0.26) | | | | | | (0.05) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 8.91 | | | | | | | | | $ | 8.35 | | | | | $ | 8.45 | | | | | $ | 9.37 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 10.57%2 | | | | | | | | | | 4.67% | | | | | | (7.04)% | | | | | | (5.87)%2 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 11,223 | | | | | | | | | $ | 7,715 | | | | | $ | 8,361 | | | | | $ | 10,655 | | | | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 2.88%3 | | | | | | | | | | 3.82% | | | | | | 2.93% | | | | | | 1.80%3 | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 0.49%3 | | | | | | | | | | 0.49% | | | | | | 0.49% | | | | | | 0.49%3 | | | | | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 7.07%3 | | | | | | | | | | 5.67% | | | | | | 2.61% | | | | | | 0.94%3 | | | | | | | | | |
Portfolio Turnover Rate | | | | | | | 182%2 | | | | | | | | | | 312% | | | | | | 312% | | | | | | 276%2 | | | | | | | | | |
| * | The Sustainable 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.
|
| 215 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS M | | | |
| | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.02 | | | | | $ | 9.28 | | | | | $ | 10.19 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.19 | | | | | | 0.37 | | | | | | 0.28 | | | | | | 0.13 | | | | | | 0.15 | | | | | | 0.26 | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.32 | | | | | | (0.26) | | | | | | (0.91) | | | | | | (0.63) | | | | | | 0.24 | | | | | | 0.57 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.51 | | | | | | 0.11 | | | | | | (0.63) | | | | | | (0.50) | | | | | | 0.39 | | | | | | 0.83 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.19) | | | | | | (0.37) | | | | | | (0.28) | | | | | | (0.13) | | | | | | (0.15) | | | | | | (0.26) | | | |
From net capital gains | | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.19) | | | | | | (0.37) | | | | | | (0.28) | | | | | | (0.13) | | | | | | (0.69) | | | | | | (0.35) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.34 | | | | | $ | 9.02 | | | | | $ | 9.28 | | | | | $ | 10.19 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.72%3 | | | | | | 1.24% | | | | | | (6.10)% | | | | | | (4.69)% | | | | | | 3.31% | | | | | | 7.93% | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 3,326,993 | | | | | $ | 3,826,231 | | | | | $ | 6,442,440 | | | | | $ | 6,213,223 | | | | | $ | 7,154,434 | | | | | $ | 8,979,527 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.67%4 | | | | | | 0.66% | | | | | | 0.67% | | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | |
After expense waivers and reimbursements | | | | | | | 0.67%4 | | | | | | 0.66% | | | | | | 0.67% | | | | | | 0.65% | | | | | | 0.67% | | | | | | 0.67% | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.13%4 | | | | | | 4.11% | | | | | | 3.04% | | | | | | 1.17% | | | | | | 1.28% | | | | | | 2.38% | | | |
Portfolio Turnover Rate | | | | | | | 223%3 | | | | | | 450% | | | | | | 426% | | | | | | 467% | | | | | | 470% | | | | | | 405% | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 216 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS I | | | |
| | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.02 | | | | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 10.64 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.20 | | | | | | 0.39 | | | | | | 0.30 | | | | | | 0.15 | | | | | | 0.17 | | | | | | 0.28 | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.31 | | | | | | (0.26) | | | | | | (0.90) | | | | | | (0.64) | | | | | | 0.24 | | | | | | 0.57 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.51 | | | | | | 0.13 | | | | | | (0.60) | | | | | | (0.49) | | | | | | 0.41 | | | | | | 0.85 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.20) | | | | | | (0.39) | | | | | | (0.30) | | | | | | (0.15) | | | | | | (0.17) | | | | | | (0.28) | | | |
From net capital gains | | | | | | | — | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.20) | | | | | | (0.39) | | | | | | (0.30) | | | | | | (0.15) | | | | | | (0.71) | | | | | | (0.37) | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.33 | | | | | $ | 9.02 | | | | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.72 | %3 | | | | | 1.45 | % | | | | | (5.80) | % | | | | | (4.58) | % | | | | | 3.54 | % | | | | | 8.16 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 26,388,288 | | | | | $ | 31,087,119 | | | | | $ | 38,399,347 | | | | | $ | 46,961,971 | | | | | $ | 52,980,073 | | | | | $ | 46,086,494 | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.45 | %4 | | | | | 0.45 | % | | | | | 0.45 | % | | | | | 0.44 | % | | | | | 0.45 | % | | | | | 0.45 | % | | |
After expense waivers and reimbursements | | | | | | | 0.45 | %4 | | | | | 0.45 | % | | | | | 0.45 | % | | | | | 0.44 | % | | | | | 0.45 | % | | | | | 0.45 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.35 | %4 | | | | | 4.35 | % | | | | | 3.19 | % | | | | | 1.38 | % | | | | | 1.49 | % | | | | | 2.60 | % | | |
Portfolio Turnover Rate | | | | | | | 223 | %3 | | | | | 450 | % | | | | | 426 | % | | | | | 467 | % | | | | | 470 | % | | | | | 405 | % | | |
| 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.
|
| 217 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS I-2* | | | | | |
| | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | 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 | | | | | | $ | 9.02 | | | | | | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | $ | 11.48 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.19 | | | | | | | | 0.38 | | | | | | 0.29 | | | | | | 0.14 | | | | | | 0.15 | | | | | | 0.02 | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.31 | | | | | | | | (0.26) | | | | | | (0.89) | | | | | | (0.64) | | | | | | 0.27 | | | | | | (0.36) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.50 | | | | | | | | 0.12 | | | | | | (0.60) | | | | | | (0.50) | | | | | | 0.42 | | | | | | (0.34) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.19) | | | | | | | | (0.38) | | | | | | (0.30) | | | | | | (0.14) | | | | | | (0.18) | | | | | | (0.02) | | | | | |
From net capital gains | | | | | | | — | | | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.19) | | | | | | | | (0.38) | | | | | | (0.30) | | | | | | (0.14) | | | | | | (0.72) | | | | | | (0.02) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.33 | | | | | | | $ | 9.02 | | | | | $ | 9.28 | | | | | $ | 10.18 | | | | | $ | 10.82 | | | | | $ | 11.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.69%3 | | | | | | | | 1.39% | | | | | | (5.87)% | | | | | | (4.65)% | | | | | | 3.65% | | | | | | (2.93)%3 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 59,902 | | | | | | | $ | 67,699 | | | | | $ | 102,076 | | | | | $ | 170,455 | | | | | $ | 116,857 | | | | | $ | 974 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.52%5 | | | | | | | | 0.51% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.33%5 | | | | | |
After expense waivers and reimbursements | | | | | | | 0.52%5 | | | | | | | | 0.51% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.52% | | | | | | 0.33%5 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.28%5 | | | | | | | | 4.28% | | | | | | 3.06% | | | | | | 1.33% | | | | | | 1.32% | | | | | | 3.49%5 | | | | | |
Portfolio Turnover Rate | | | | | | | 223%3 | | | | | | | | 450% | | | | | | 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.
|
| Semi-Annual Report September 2024 / 218 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS | | |
| | | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 9.03 | | | | | | | | | $ | 9.29 | | | | | $ | 10.19 | | | | | $ | 10.83 | | | | | $ | 11.13 | | | | | $ | 10.65 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.18 | | | | | | | | | | 0.36 | | | | | | 0.27 | | | | | | 0.12 | | | | | | 0.13 | | | | | | 0.25 | | | | | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.31 | | | | | | | | | | (0.26) | | | | | | (0.90) | | | | | | (0.65) | | | | | | 0.24 | | | | | | 0.57 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.49 | | | | | | | | | | 0.10 | | | | | | (0.63) | | | | | | (0.53) | | | | | | 0.37 | | | | | | 0.82 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.18) | | | | | | | | | | (0.36) | | | | | | (0.27) | | | | | | (0.11) | | | | | | (0.13) | | | | | | (0.25) | | | | | | | | | |
From net capital gains | | | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.18) | | | | | | | | | | (0.36) | | | | | | (0.27) | | | | | | (0.11) | | | | | | (0.67) | | | | | | (0.34) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 9.34 | | | | | | | | | $ | 9.03 | | | | | $ | 9.29 | | | | | $ | 10.19 | | | | | $ | 10.83 | | | | | $ | 11.13 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.54%3 | | | | | | | | | | 1.12% | | | | | | (6.10)% | | | | | | (4.89)% | | | | | | 3.19% | | | | | | 7.80% | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 629,596 | | | | | | | | | $ | 1,191,464 | | | | | $ | 1,549,862 | | | | | $ | 1,963,315 | | | | | $ | 2,083,842 | | | | | $ | 1,739,034 | | | | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.78%4 | | | | | | | | | | 0.78% | | | | | | 0.78% | | | | | | 0.77% | | | | | | 0.78% | | | | | | 0.78% | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 0.78%4 | | | | | | | | | | 0.78% | | | | | | 0.78% | | | | | | 0.77% | | | | | | 0.78% | | | | | | 0.78% | | | | | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.00%4 | | | | | | | | | | 4.01% | | | | | | 2.83% | | | | | | 1.06% | | | | | | 1.15% | | | | | | 2.26% | | | | | | | | | |
Portfolio Turnover Rate | | | | | | | 223%3 | | | | | | | | | | 450% | | | | | | 426% | | | | | | 467% | | | | | | 470% | | | | | | 405% | | | | | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| 219 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND PLAN CLASS | | |
| | | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 8.46 | | | | | | | | | $ | 8.70 | | | | | $ | 9.55 | | | | | $ | 10.15 | | | | | $ | 10.46 | | | | | $ | 10.01 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.19 | | | | | | | | | | 0.37 | | | | | | 0.29 | | | | | | 0.15 | | | | | | 0.17 | | | | | | 0.28 | | | | | | | | | |
Net realized and unrealized gain (loss) | | | | | | | 0.29 | | | | | | | | | | (0.24) | | | | | | (0.85) | | | | | | (0.60) | | | | | | 0.23 | | | | | | 0.54 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | 0.48 | | | | | | | | | | 0.13 | | | | | | (0.56) | | | | | | (0.45) | | | | | | 0.40 | | | | | | 0.82 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.19) | | | | | | | | | | (0.37) | | | | | | (0.29) | | | | | | (0.15) | | | | | | (0.17) | | | | | | (0.28) | | | | | | | | | |
From net capital gains | | | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.00)2 | | | | | | (0.54) | | | | | | (0.09) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.19) | | | | | | | | | | (0.37) | | | | | | (0.29) | | | | | | (0.15) | | | | | | (0.71) | | | | | | (0.37) | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 8.75 | | | | | | | | | $ | 8.46 | | | | | $ | 8.70 | | | | | $ | 9.55 | | | | | $ | 10.15 | | | | | $ | 10.46 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 5.75%3 | | | | | | | | | | 1.58% | | | | | | (5.79)% | | | | | | (4.50)% | | | | | | 3.65% | | | | | | 8.29% | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 12,730,780 | | | | | | | | | $ | 15,803,141 | | | | | $ | 17,622,821 | | | | | $ | 22,197,865 | | | | | $ | 24,605,977 | | | | | $ | 23,822,841 | | | | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.37%4 | | | | | | | | | | 0.37% | | | | | | 0.37% | | | | | | 0.36% | | | | | | 0.37% | | | | | | 0.37% | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 0.37%4 | | | | | | | | | | 0.37% | | | | | | 0.37% | | | | | | 0.36% | | | | | | 0.37% | | | | | | 0.37% | | | | | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.43%4 | | | | | | | | | | 4.43% | | | | | | 3.26% | | | | | | 1.47% | | | | | | 1.57% | | | | | | 2.67% | | | | | | | | | |
Portfolio Turnover Rate | | | | | | | 223%3 | | | | | | | | | | 450% | | | | | | 426% | | | | | | 467% | | | | | | 470% | | | | | | 405% | | | | | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 220 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS M | | | | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | $ | 4.09 | | | | | | | $ | 4.10 | | | | | $ | 4.18 | | | | | $ | 4.25 | | | | | $ | 4.23 | | | | | $ | 4.26 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | 0.08 | | | | | | | | 0.17 | | | | | | 0.09 | | | | | | 0.02 | | | | | | 0.02 | | | | | | 0.11 | | | | | |
Net realized and unrealized gain
(loss) | | | | | | | 0.08 | | | | | | | | (0.00)2 | | | | | | (0.07) | | | | | | (0.07) | | | | | | 0.02 | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment
Operations | | | | | | | 0.16 | | | | | | | | 0.17 | | | | | | 0.02 | | | | | | (0.05) | | | | | | 0.04 | | | | | | 0.08 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.09) | | | | | | | | (0.18) | | | | | | (0.10) | | | | | | (0.02) | | | | | | (0.02) | | | | | | (0.11) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 4.16 | | | | | | | $ | 4.09 | | | | | $ | 4.10 | | | | | $ | 4.18 | | | | | $ | 4.25 | | | | | $ | 4.23 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 3.84%3 | | | | | | | | 4.14% | | | | | | 0.49% | | | | | | (1.14)% | | | | | | 1.03% | | | | | | 1.85% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in
thousands) | | | | | | $ | 11,770 | | | | | | | $ | 12,917 | | | | | $ | 19,995 | | | | | $ | 39,477 | | | | | $ | 61,925 | | | | | $ | 28,355 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and
reimbursements | | | | | | | 1.10%4 | | | | | | | | 0.84% | | | | | | 0.75% | | | | | | 0.64% | | | | | | 0.65% | | | | | | 0.77% | | | | | |
After expense waivers and
reimbursements | | | | | | | 0.50%4 | | | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | | 0.50% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and
reimbursements | | | | | | | 4.07%4 | | | | | | | | 4.25% | | | | | | 2.24% | | | | | | 0.49% | | | | | | 0.49% | | | | | | 2.53% | | | | | |
Portfolio Turnover Rate | | | | | | | 262%3 | | | | | | | | 544% | | | | | | 479% | | | | | | 336% | | | | | | 210% | | | | | | 303% | | | | | |
| 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.
|
| 221 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS I | | | | | |
| | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | | | $ | 4.10 | | | | | | | | | $ | 4.11 | | | | | $ | 4.18 | | | | | $ | 4.26 | | | | | $ | 4.23 | | | | | $ | 4.27 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | | | 0.09 | | | | | | | | | | 0.18 | | | | | | 0.10 | | | | | | 0.03 | | | | | | 0.03 | | | | | | 0.12 | | | | | |
Net realized and unrealized gain
(loss) | | | | | | | | | 0.07 | | | | | | | | | | (0.01) | | | | | | (0.06) | | | | | | (0.08) | | | | | | 0.03 | | | | | | (0.04) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment
Operations | | | | | | | | | 0.16 | | | | | | | | | | 0.17 | | | | | | 0.04 | | | | | | (0.05) | | | | | | 0.06 | | | | | | 0.08 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | | | (0.09) | | | | | | | | | | (0.18) | | | | | | (0.11) | | | | | | (0.03) | | | | | | (0.03) | | | | | | (0.12) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | | | $ | 4.17 | | | | | | | | | $ | 4.10 | | | | | $ | 4.11 | | | | | $ | 4.18 | | | | | $ | 4.26 | | | | | $ | 4.23 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | 3.92%2 | | | | | | | | | | 4.31% | | | | | | 0.90% | | | | | | (1.21)% | | | | | | 1.43% | | | | | | 1.78% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in
thousands) | | | | | | | | $ | 35,354 | | | | | | | | | $ | 37,783 | | | | | $ | 101,852 | | | | | $ | 158,258 | | | | | $ | 181,248 | | | | | $ | 76,340 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and
reimbursements | | | | | | | | | 0.94%3 | | | | | | | | | | 0.66% | | | | | | 0.60% | | | | | | 0.49% | | | | | | 0.48% | | | | | | 0.58% | | | | | |
After expense waivers and
reimbursements | | | | | | | | | 0.34%3 | | | | | | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | | 0.34% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and
reimbursements | | | | | | | | | 4.23%3 | | | | | | | | | | 4.37% | | | | | | 2.40% | | | | | | 0.66% | | | | | | 0.67% | | | | | | 2.70% | | | | | |
Portfolio Turnover Rate | | | | | | | | | 262%2 | | | | | | | | | | 544% | | | | | | 479% | | | | | | 336% | | | | | | 210% | | | | | | 303% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 222 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | UNCONSTRAINED
BOND FUND CLASS M | | | | | |
| | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | | | $ | 10.31 | | | | | | | | | $ | 10.41 | | | | | $ | 11.17 | | | | | $ | 11.96 | | | | | $ | 11.12 | | | | | $ | 11.80 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | | | 0.34 | | | | | | | | | | 0.65 | | | | | | 0.51 | | | | | | 0.30 | | | | | | 0.30 | | | | | | 0.42 | | | | | |
Net realized and unrealized gain
(loss) | | | | | | | | | 0.21 | | | | | | | | | | (0.09) | | | | | | (0.74) | | | | | | (0.66) | | | | | | 0.93 | | | | | | (0.69) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment
Operations | | | | | | | | | 0.55 | | | | | | | | | | 0.56 | | | | | | (0.23) | | | | | | (0.36) | | | | | | 1.23 | | | | | | (0.27) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | | | (0.34) | | | | | | | | | | (0.65) | | | | | | (0.53) | | | | | | (0.30) | | | | | | (0.30) | | | | | | (0.41) | | | | | |
From net capital gains | | | | | | | | | — | | | | | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | |
From tax return of capital | | | | | | | | | — | | | | | | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | | | (0.34) | | | | | | | | | | (0.66) | | | | | | (0.53) | | | | | | (0.43) | | | | | | (0.39) | | | | | | (0.41) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | | | $ | 10.52 | | | | | | | | | $ | 10.31 | | | | | $ | 10.41 | | | | | $ | 11.17 | | | | | $ | 11.96 | | | | | $ | 11.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | 5.41%2 | | | | | | | | | | 5.57% | | | | | | (1.93)% | | | | | | (3.15)% | | | | | | 11.14% | | | | | | (2.47)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | | | $ | 136,793 | | | | | | | | | $ | 141,736 | | | | | $ | 160,181 | | | | | $ | 214,792 | | | | | $ | 258,424 | | | | | $ | 267,139 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | | | 1.04%3 | | | | | | | | | | 1.04%4 | | | | | | 1.04% | | | | | | 1.02% | | | | | | 1.03% | | | | | | 1.03% | | | | | |
After expense waivers and reimbursements | | | | | | | | | 1.04%3 | | | | | | | | | | 1.04% | | | | | | 1.04% | | | | | | 1.02% | | | | | | 1.03% | | | | | | 1.03% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and
reimbursements | | | | | | | | | 6.52%3 | | | | | | | | | | 6.37% | | | | | | 4.81% | | | | | | 2.50% | | | | | | 2.56% | | | | | | 3.49% | | | | | |
Portfolio Turnover Rate | | | | | | | | | 78%2 | | | | | | | | | | 257% | | | | | | 223% | | | | | | 182% | | | | | | 165% | | | | | | 85% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.04%. |
See accompanying Notes to Financial Statements.
|
| 223 / Semi-Annual Report September 2024 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | UNCONSTRAINED
BOND FUND CLASS I | | | | | |
| | | | | | | | | | | | | | | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | YEAR
ENDED
MARCH 31,
2023 | | | | | YEAR
ENDED
MARCH 31,
2022 | | | | | YEAR
ENDED
MARCH 31,
2021 | | | | | YEAR
ENDED
MARCH 31,
2020 | | | | | |
Net Asset Value, Beginning of Period | | | | | | | | $ | 10.30 | | | | | | | | | | | | | $ | 10.40 | | | | | $ | 11.16 | | | | | $ | 11.95 | | | | | $ | 11.12 | | | | | $ | 11.79 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | | | | | 0.35 | | | | | | | | | | | | | | 0.68 | | | | | | 0.53 | | | | | | 0.33 | | | | | | 0.33 | | | | | | 0.44 | | | | | |
Net realized and unrealized gain (loss) | | | | | | | | | 0.21 | | | | | | | | | | | | | | (0.10) | | | | | | (0.73) | | | | | | (0.66) | | | | | | 0.92 | | | | | | (0.67) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | | | | | 0.56 | | | | | | | | | | | | | | 0.58 | | | | | | (0.20) | | | | | | (0.33) | | | | | | 1.25 | | | | | | (0.23) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | | | (0.35) | | | | | | | | | | | | | | (0.67) | | | | | | (0.56) | | | | | | (0.33) | | | | | | (0.33) | | | | | | (0.44) | | | | | |
From net capital gains | | | | | | | | | — | | | | | | | | | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | |
From tax return of capital | | | | | | | | | — | | | | | | | | | | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | | | (0.35) | | | | | | | | | | | | | | (0.68) | | | | | | (0.56) | | | | | | (0.46) | | | | | | (0.42) | | | | | | (0.44) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | | | $ | 10.51 | | | | | | | | | | | | | $ | 10.30 | | | | | $ | 10.40 | | | | | $ | 11.16 | | | | | $ | 11.95 | | | | | $ | 11.12 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | | | 5.56%2 | | | | | | | | | | | | | | 5.87% | | | | | | (1.65)% | | | | | | (2.88)% | | | | | | 11.35% | | | | | | (2.11)% | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | | | $ | 2,086,924 | | | | | | | | | | | | | $ | 2,035,211 | | | | | $ | 2,353,053 | | | | | $ | 3,648,832 | | | | | $ | 3,271,289 | | | | | $ | 2,760,187 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | | | 0.76%3 | | | | | | | | | | | | | | 0.75% | | | | | | 0.76% | | | | | | 0.74% | | | | | | 0.75% | | | | | | 0.75% | | | | | |
After expense waivers and reimbursements | | | | | | | | | 0.76%3 | | | | | | | | | | | | | | 0.75% | | | | | | 0.76% | | | | | | 0.74% | | | | | | 0.75% | | | | | | 0.75% | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | | | 6.79%3 | | | | | | | | | | | | | | 6.65% | | | | | | 5.04% | | | | | | 2.79% | | | | | | 2.82% | | | | | | 3.72% | | | | | |
Portfolio Turnover Rate | | | | | | | | | 78%2 | | | | | | | | | | | | | | 257% | | | | | | 223% | | | | | | 182% | | | | | | 165% | | | | | | 85% | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying Notes to Financial Statements.
|
| Semi-Annual Report September 2024 / 224 |
TCW Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND PLAN CLASS* | | | | | |
| | | | | | | | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024 (UNAUDITED) | | | | YEAR
ENDED
MARCH 31,
2024 | | | | | 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 | | | | $ | 10.30 | | | | | | | $ | 10.40 | | | | | $ | 11.15 | | | | | $ | 11.94 | | | | | $ | 11.11 | | | | | $ | 11.96 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | | 0.35 | | | | | | | | 0.69 | | | | | | 0.56 | | | | | | 0.34 | | | | | | 0.34 | | | | | | 0.03 | | | | | |
Net realized and unrealized gain (loss) | | | | | 0.21 | | | | | | | | (0.10) | | | | | | (0.74) | | | | | | (0.66) | | | | | | 0.92 | | | | | | (0.85) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Income (Loss) from Investment Operations | | | | | 0.56 | | | | | | | | 0.59 | | | | | | (0.18) | | | | | | (0.32) | | | | | | 1.26 | | | | | | (0.82) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
From net investment income | | | | | (0.35) | | | | | | | | (0.68) | | | | | | (0.57) | | | | | | (0.34) | | | | | | (0.34) | | | | | | (0.03) | | | | | |
From net capital gains | | | | | — | | | | | | | | — | | | | | | — | | | | | | (0.13) | | | | | | (0.09) | | | | | | — | | | | | |
From tax return of capital | | | | | — | | | | | | | | (0.01) | | | | | | — | | | | | | — | | | | | | — | | | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Total Distributions | | | | | (0.35) | | | | | | | | (0.69) | | | | | | (0.57) | | | | | | (0.47) | | | | | | (0.43) | | | | | | (0.03) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | $ | 10.51 | | | | | | | $ | 10.30 | | | | | $ | 10.40 | | | | | $ | 11.15 | | | | | $ | 11.94 | | | | | $ | 11.11 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | 5.60%2 | | | | | | | | 5.93% | | | | | | (1.50)% | | | | | | (2.83)% | | | | | | 11.44% | | | | | | (6.88)%2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ | 445,001 | | | | | | | $ | 397,728 | | | | | $ | 352,297 | | | | | $ | 120,524 | | | | | $ | 63,815 | | | | | $ | 933 | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | 0.70%4 | | | | | | | | 0.70%5 | | | | | | 0.70% | | | | | | 0.69% | | | | | | 0.69% | | | | | | 0.68%4 | | | | | |
After expense waivers and reimbursements | | | | | 0.70%4 | | | | | | | | 0.70% | | | | | | 0.70% | | | | | | 0.69% | | | | | | 0.69% | | | | | | 0.68%4 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | 6.85%4 | | | | | | | | 6.73% | | | | | | 5.41% | | | | | | 2.87% | | | | | | 2.88% | | | | | | 4.06%4 | | | | | |
Portfolio Turnover Rate | | | | | 78%2 | | | | | | | | 257% | | | | | | 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. |
| 5 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%. |
See accompanying Notes to Financial Statements.
|
| 225 / Semi-Annual Report September 2024 |
Notes to Financial Statements
September 30, 2024 (Unaudited)
| 1. | SUMMARY OF ORGANIZATION |
The TCW Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of twelve separate portfolios (each a “Fund” and collectively, the “Funds”): TCW MetWest AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), TCW MetWest Corporate Bond Fund (the “Corporate Bond Fund”), TCW MetWest Floating Rate Income Fund (the “Floating Rate Income Fund”), TCW MetWest High Yield Bond Fund (the “High Yield Bond Fund”), TCW MetWest Intermediate Bond Fund (the “Intermediate Bond Fund”), TCW MetWest Investment Grade Credit Fund (the “Investment Grade Credit Fund”), TCW MetWest Low Duration Bond Fund (the “Low Duration Bond Fund”), TCW MetWest Strategic Income Fund (the “Strategic Income Fund”), TCW MetWest Sustainable Securitized Fund (the “Sustainable Securitized Fund”), TCW MetWest Total Return Bond Fund (the “Total Return Bond Fund”), TCW MetWest Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and TCW MetWest Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares. On June 21, 2024, the TCW MetWest Flexible Income Fund was reorganized into the TCW Flexible Income ETF, a new series of the TCW ETF Trust, as previously announced. 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, 2003. 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. On July 19, 2024, the TCW MetWest Opportunistic High Income Credit Fund was closed. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Sustainable Securitized Fund commenced investment operations on October 1, 2021 with Class M and Class I shares. 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. On October 30, 2024, the AlphaTrak 500 Fund was closed.
The Corporate Bond Fund seeks to maximize long-term total return, by investing at least 80% of its net 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. On November 18, 2024, the Corporate Bond Fund was reorganized into the TCW Corporate Bond ETF, a new series of the TCW ETF Trust, as previously announced.
The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long-term capital appreciation, by investing 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. On November 18, 2024, the Floating Rate Income Fund was reorganized into the TCW Senior Loan ETF, a new series of the TCW ETF Trust, as previously announced.
Semi-Annual Report September 2024 / 226
Notes to Financial Statements (Continued)
The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in high yield bonds (commonly known as “junk bonds”). The remainder of the Fund’s net assets may be invested in investment grade securities rated by one of the nationally recognized statistical rating organizations or, if unrated, determined by the Adviser to be of comparable quality. The Fund’s portfolio duration is two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.
The Investment Grade Credit Fund seeks to maximize long-term total return. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from two to eight years. On April 8, 2024, the Board of Trustees of the Fund approved the reorganization of the TCW MetWest Investment Grade Credit Fund into the TCW Investment Grade Credit ETF, a new series of the TCW ETF Trust, as previously announced, but that reorganization has been terminated.
The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund focuses on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund focuses on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.
The Sustainable Securitized Fund seeks to maximize current income and achieve above average long-term total return by investing 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 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 Board of Trustees has approved the liquidation of the TCW MetWest Ultra Short Bond Fund, which will occur as previously announced.
The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S. and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. There is no limit on the weighted average maturity of the Fund’s portfolio, and the average portfolio duration of the fixed-income portion of the Fund’s portfolio is expected to vary from negative three (-3) years to positive eight (8) years.
A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.tcw.com or by calling (800) 241-4671.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Trust:
227 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
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 Funds’ 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 Funds 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 Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (e.g., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange on which those securities are traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and ask prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and ask prices. Securities and other assets that 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 used by the Adviser 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 used by the Adviser, the value of the security or asset was determined in good faith by the Adviser, as the valuation designee. When a 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 Funds’ policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Adviser would accurately reflect the price that a 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 Funds may differ from the value that would be realized if the securities were sold.
Foreign Currency Translation:
The books and records of each Fund are maintained in U.S. dollars as follows: (1) foreign currency denominated securities and other assets and liabilities stated in foreign currencies are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the Statements of Operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.
Foreign Taxes:
The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Semi-Annual Report September 2024 / 228
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 six months ended September 30, 2024, 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.
229 / Semi-Annual Report September 2024
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.
Semi-Annual Report September 2024 / 230
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 marketplace. As such, they can be categorized as Level 1. Other government and agencies securities are quoted based on similar securities and yields, and therefore would be categorized as Level 2.
As of September 30, 2024, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, warrants, preferred stocks, common stocks and corporate bonds.
231 / Semi-Annual Report September 2024
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 September 30, 2024 is as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Money Market Funds | | $ | 9,940,197 | | | $ | — | | | $ | — | | | $ | 9,940,197 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 1,868,398 | | | | — | | | | 1,868,398 | |
| | | | |
Common Stock | | | — | | | | — | | | | 24,447 | | | | 24,447 | |
| | | | |
Corporates | | | — | | | | 7,968,709 | | | | — | | | | 7,968,709 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 8,378,095 | | | | — | | | | 8,378,095 | |
| | | | |
Municipal Bonds | | | — | | | | 232,594 | | | | — | | | | 232,594 | |
| | | | |
Mutual Funds | | | 3,857,772 | | | | — | | | | — | | | | 3,857,772 | |
| | | | |
U.S. Treasury Securities | | | 2,243,668 | | | | — | | | | — | | | | 2,243,668 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Equity Risk | | | 570,372 | | | | — | | | | — | | | | 570,372 | |
| | | | |
Interest Rate Risk | | | 1,042 | | | | — | | | | — | | | | 1,042 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 16,613,051 | | | $ | 18,447,796 | | | $ | 24,447 | | | $ | 35,085,294 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include futures. | |
| | | | | | | | | | | | | |
| | | | |
| CORPORATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Money Market Funds | | $ | 147,802 | | | $ | — | | | $ | — | | | $ | 147,802 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | — | | | | 33,086 | | | | 33,086 | |
| | | | |
Corporates | | | — | | | | 4,129,613 | | | | — | | | | 4,129,613 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 31,770 | | | | 151 | | | | 31,921 | |
| | | | |
Municipal Bonds | | | — | | | | 126,677 | | | | — | | | | 126,677 | |
| | | | |
U.S. Treasury Securities | | | 467,114 | | | | — | | | | — | | | | 467,114 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 7 | | | | — | | | | 7 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 6,830 | | | | — | | | | — | | | | 6,830 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (107) | | | | — | | | | (107) | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | — | | | | (1,900) | | | | — | | | | (1,900) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 621,746 | | | $ | 4,286,060 | | | $ | 33,237 | | | $ | 4,941,043 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and swaps. | |
Semi-Annual Report September 2024 / 232
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 | | $ | 36,880,930 | | | $ | — | | | $ | — | | | $ | 36,880,930 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 2,923,564 | | | | — | | | | 2,923,564 | |
| | | | |
Bank Loans | | | — | | | | 263,715,860 | | | | 1,892,313 | | | | 265,608,173 | |
| | | | |
Common Stock | | | — | | | | — | | | | 306,454 | | | | 306,454 | |
| | | | |
Corporates | | | — | | | | 10,115,605 | | | | — | | | | 10,115,605 | |
| | | | |
Preferred Stock | | | — | | | | — | | | | 355,433 | | | | 355,433 | |
| | | | |
U.S. Treasury Securities | | | 1,460,823 | | | | — | | | | — | | | | 1,460,823 | |
| | | | |
Warrant | | | — | | | | — | | | | — | | | | — | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Unfunded Commitments Depreciation | | | — | | | | (651) | | | | — | | | | (651) | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 1,667 | | | | — | | | | 1,667 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 38,341,753 | | | $ | 276,756,045 | | | $ | 2,554,200 | | | $ | 317,651,998 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts. | |
| | | | | | | | | | | | | |
| | | | |
| HIGH YIELD BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | |
Investments in Securities | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Money Market Funds | | $ | 51,451,372 | | | $ | — | | | $ | — | | | $ | 51,451,372 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Bank Loans | | | — | | | | 80,464,428 | | | | 1,957 | | | | 80,466,385 | |
| | | | |
Common Stock | | | — | | | | — | | | | 2,394,556 | | | | 2,394,556 | |
| | | | |
Corporates | | | — | | | | 346,575,193 | | | | — | | | | 346,575,193 | |
| | | | |
Warrant | | | — | | | | — | | | | 30 | | | | 30 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Unfunded Commitments Depreciation | | | — | | | | (913) | | | | — | | | | (913) | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 11,661 | | | | — | | | | 11,661 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 157,712 | | | | — | | | | — | | | | 157,712 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (339,658) | | | | — | | | | (339,658) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | (67,037) | | | | — | | | | — | | | | (67,037) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 51,542,047 | | | $ | 426,710,711 | | | $ | 2,396,543 | | | $ | 480,649,301 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts and futures. | |
233 / Semi-Annual Report September 2024
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 | | $ | 38,861,327 | | | $ | — | | | $ | — | | | $ | 38,861,327 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 51,470,567 | | | | 1,691,054 | | | | 53,161,621 | |
| | | | |
Bank Loans | | | — | | | | 7,406,482 | | | | — | | | | 7,406,482 | |
| | | | |
Common Stock | | | — | | | | — | | | | 483,301 | | | | 483,301 | |
| | | | |
Corporates | | | — | | | | 183,960,482 | | | | — | | | | 183,960,482 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 231,117,032 | | | | — | | | | 231,117,032 | |
| | | | |
Municipal Bonds | | | — | | | | 7,530,346 | | | | — | | | | 7,530,346 | |
| | | | |
U.S. Treasury Securities | | | 479,777,435 | | | | — | | | | — | | | | 479,777,435 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 48,094 | | | | — | | | | 48,094 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 1,006,535 | | | | — | | | | — | | | | 1,006,535 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (717,391) | | | | — | | | | (717,391) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | (116,231) | | | | — | | | | — | | | | (116,231) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 519,529,066 | | | $ | 480,815,612 | | | $ | 2,174,355 | | | $ | 1,002,519,033 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts and futures. | |
| | | | | | | | | | | | | |
| | | | |
| INVESTMENT GRADE CREDIT FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Money Market Funds | | $ | 430,000 | | | $ | — | | | $ | — | | | $ | 430,000 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 1,095,025 | | | | 29,410 | | | | 1,124,435 | |
| | | | |
Corporates | | | — | | | | 14,246,656 | | | | — | | | | 14,246,656 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 8,410,071 | | | | 255 | | | | 8,410,326 | |
| | | | |
Municipal Bonds | | | — | | | | 459,570 | | | | — | | | | 459,570 | |
| | | | |
U.S. Treasury Securities | | | 6,944,276 | | | | — | | | | — | | | | 6,944,276 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 36,626 | | | | — | | | | — | | | | 36,626 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (7,276) | | | | — | | | | (7,276) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | (3,510) | | | | — | | | | — | | | | (3,510) | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | — | | | | (1,702) | | | | — | | | | (1,702) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 7,407,392 | | | $ | 24,202,344 | | | $ | 29,665 | | | $ | 31,639,401 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and swaps. | |
Semi-Annual Report September 2024 / 234
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 | | $ | 130,640,000 | | | $ | — | | | $ | — | | | $ | 130,640,000 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 84,472,132 | | | | 4,999,639 | | | | 89,471,771 | |
| | | | |
Bank Loans | | | — | | | | 13,208,169 | | | | — | | | | 13,208,169 | |
| | | | |
Corporates | | | — | | | | 293,712,756 | | | | — | | | | 293,712,756 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 600,242,134 | | | | 3,104,950 | | | | 603,347,084 | |
| | | | |
Municipal Bonds | | | — | | | | 12,055,355 | | | | — | | | | 12,055,355 | |
| | | | |
U.S. Treasury Securities | | | 131,642,331 | | | | — | | | | — | | | | 131,642,331 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 9,910 | | | | — | | | | 9,910 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 2,458,062 | | | | — | | | | — | | | | 2,458,062 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (180,757) | | | | — | | | | (180,757) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | (182,094) | | | | — | | | | — | | | | (182,094) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 264,558,299 | | | $ | 1,003,519,699 | | | $ | 8,104,589 | | | $ | 1,276,182,587 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts and futures. | |
| | | | | | | | | | | | | |
| | | | |
| STRATEGIC INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Money Market Funds | | $ | 12,737,684 | | | $ | — | | | $ | — | | | $ | 12,737,684 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
| | | | |
Asset-Backed Securities | | | — | | | | 10,874,172 | | | | 97,588 | | | | 10,971,760 | |
| | | | |
Common Stock | | | 47,070 | | | | — | | | | 32,954 | | | | 80,024 | |
| | | | |
Corporates | | | — | | | | 16,334,025 | | | | — | | | | 16,334,025 | |
| | | | |
Mortgage-Backed Securities | | | — | | | | 35,780,840 | | | | 306,185 | | | | 36,087,025 | |
| | | | |
Municipal Bonds | | | — | | | | 99,826 | | | | — | | | | 99,826 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | 289 | | | | — | | | | 289 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | 78,043 | | | | — | | | | — | | | | 78,043 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Risk | | | — | | | | (29,477) | | | | — | | | | (29,477) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | (5,274) | | | | — | | | | — | | | | (5,274) | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
| | | | |
Interest Rate Risk | | | — | | | | (3,874) | | | | — | | | | (3,874) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 12,857,523 | | | $ | 63,055,801 | | | $ | 436,727 | | | $ | 76,350,051 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and swaps. | |
235 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
| SUSTAINABLE SECURITIZED FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 488,355 | | | $ | — | | | $ | — | | | $ | 488,355 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 2,456,797 | | | | — | | | | 2,456,797 | |
Mortgage-Backed Securities | | | — | | | | 9,165,371 | | | | — | | | | 9,165,371 | |
U.S. Treasury Securities | | | 1,021,266 | | | | — | | | | — | | | | 1,021,266 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 9,624 | | | | — | | | | — | | | | 9,624 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | (298) | | | | — | | | | — | | | | (298) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 1,518,947 | | | $ | 11,622,168 | | | $ | — | | | $ | 13,141,115 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include futures. | |
| | | | | | | | | | | | | | | | |
| | | | |
| TOTAL RETURN BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 1,837,370,000 | | | $ | — | | | $ | — | | | $ | 1,837,370,000 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 2,251,007,851 | | | | 52,921,043 | | | | 2,303,928,894 | |
Bank Loans | | | — | | | | 616,583,691 | | | | — | | | | 616,583,691 | |
Common Stock | | | — | | | | — | | | | 75,909,106 | | | | 75,909,106 | |
Corporates | | | — | | | | 7,346,581,592 | | | | 2,921,151 | | | | 7,349,502,743 | |
Foreign Government Obligations | | | — | | | | 280,085,904 | | | | — | | | | 280,085,904 | |
Mortgage-Backed Securities | | | — | | | | 23,015,108,532 | | | | 480,909,311 | | | | 23,496,017,843 | |
Municipal Bonds | | | — | | | | 177,885,203 | | | | — | | | | 177,885,203 | |
U.S. Treasury Securities | | | 12,763,419,944 | | | | — | | | | — | | | | 12,763,419,944 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 4,675,896 | | | | — | | | | 4,675,896 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 37,892,623 | | | | — | | | | — | | | | 37,892,623 | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | — | | | | 1,533,697 | | | | — | | | | 1,533,697 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | (32,858,950) | | | | — | | | | (32,858,950) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | (5,447,748) | | | | — | | | | — | | | | (5,447,748) | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | — | | | | (11,392,915) | | | | — | | | | (11,392,915) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 14,633,234,819 | | | $ | 33,649,210,501 | | | $ | 612,660,611 | | | $ | 48,895,105,931 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and swaps. | |
Semi-Annual Report September 2024 / 236
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | | |
| ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 4,712,000 | | | $ | — | | | $ | — | | | $ | 4,712,000 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 3,422,351 | | | | — | | | | 3,422,351 | |
Corporates | | | — | | | | 12,214,377 | | | | — | | | | 12,214,377 | |
Mortgage-Backed Securities | | | — | | | | 21,212,389 | | | | — | | | | 21,212,389 | |
Municipal Bonds | | | — | | | | 111,800 | | | | — | | | | 111,800 | |
U.S. Treasury Securities | | | 11,920,925 | | | | 1,859,094 | | | | — | | | | 13,780,019 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 59,769 | | | | — | | | | — | | | | 59,769 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | (1,239) | | | | — | | | | (1,239) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | (6,471) | | | | — | | | | — | | | | (6,471) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 16,686,223 | | | $ | 38,818,772 | | | $ | — | | | $ | 55,504,995 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts and futures. | |
| | | | | | | | | | | | | | | | |
| | | | |
| UNCONSTRAINED BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | |
Money Market Funds | | $ | 259,445,815 | | | $ | — | | | $ | — | | | $ | 259,445,815 | |
| | | | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | — | | | | 344,466,543 | | | | 10,282,503 | | | | 354,749,046 | |
Bank Loans | | | — | | | | 90,986,519 | | | | — | | | | 90,986,519 | |
Common Stock | | | 6,094,247 | | | | — | | | | 4,487,246 | | | | 10,581,493 | |
Corporates | | | — | | | | 501,172,902 | | | | 521,754 | | | | 501,694,656 | |
Foreign Government Obligations | | | — | | | | 49,731,493 | | | | — | | | | 49,731,493 | |
Mortgage-Backed Securities | | | — | | | | 1,605,047,555 | | | | 6,919,872 | | | | 1,611,967,427 | |
Municipal Bonds | | | — | | | | 8,415,690 | | | | — | | | | 8,415,690 | |
| | | | |
Other Financial Instruments* | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | 241,059 | | | | — | | | | 241,059 | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | 3,814,407 | | | | — | | | | — | | | | 3,814,407 | |
| | | | |
Liabilities: | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | |
Foreign Currency Risk | | | — | | | | (2,093,996) | | | | — | | | | (2,093,996) | |
| | | | |
Futures Contracts | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | (301,459) | | | | — | | | | — | | | | (301,459) | |
| | | | |
Swaps Agreements | | | | | | | | | | | | | | | | |
Interest Rate Risk | | | — | | | | (523,356) | | | | — | | | | (523,356) | |
| | | | | | | | | | | | | | | | |
| | | | |
Total | | $ | 269,053,010 | | | $ | 2,597,444,409 | | | $ | 22,211,375 | | | $ | 2,888,708,794 | |
| | | | | | | | | | | | | | | | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and swaps. | |
237 / Semi-Annual Report September 2024
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 six months ended September 30, 2024, 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, 2024 | | $ | 20,774 | | | $ | 22,357 | | | $ | 43,131 | |
Accrued discounts/premiums | | | — | | | | (4,409 | ) | | | (4,409 | ) |
Realized (loss) | | | — | | | | (75,138 | ) | | | (75,138 | ) |
Change in unrealized appreciation* | | | 3,673 | | | | 71,532 | | | | 75,205 | |
Purchases | | | — | | | | — | | | | — | |
Sales | | | — | | | | (14,342 | ) | | | (14,342 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 24,447 | | | $ | — | | | $ | 24,447 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $3,672 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
| | | | | | | | | | | | |
CORPORATE BOND FUND | | ASSET-BACKED SECURITIES | | MORTGAGE- BACKED SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 33,144 | | | $ | 518 | | | $ | 33,662 | |
Accrued discounts/premiums | | | — | | | | (1,343 | ) | | | (1,343 | ) |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized appreciation* | | | 1,297 | | | | 976 | | | | 2,273 | |
Purchases | | | — | | | | — | | | | — | |
Sales | | | (1,355 | ) | | | — | | | | (1,355 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 33,086 | | | $ | 151 | | | $ | 33,237 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $2,273 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
Semi-Annual Report September 2024 / 238
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
FLOATING RATE
INCOME FUND | | BANK
LOANS | | | COMMON STOCK | | | PREFERRED
STOCK | | | TOTAL | |
Balance as of
April 1, 2024 | | $ | 1,899,654 | | | $ | 260,230 | | | $ | 474,614 | | | $ | 2,634,498 | |
Accrued discounts/premiums | | | 33,564 | | | | — | | | | — | | | | 33,564 | |
Realized (loss) | | | (8) | | | | — | | | | — | | | | (8) | |
Change in unrealized appreciation (depreciation)* | | | (297,045) | | | | 46,224 | | | | (119,181) | | | | (370,002) | |
Purchases | | | 247,501 | | | | — | | | | — | | | | 247,501 | |
Sales | | | (9,364) | | | | — | | | | — | | | | (9,364) | |
Transfers into Level 3** | | | 18,011 | | | | — | | | | — | | | | 18,011 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 1,892,313 | | | $ | 306,454 | | | $ | 355,433 | | | $ | 2,554,200 | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $(370,002) 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, 2024, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2024, 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 $18,011 transferred from level 2 to level 3 in the disclosure hierarchy.
| | | | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | | BANK LOANS | | COMMON STOCK | | CORPORATES | | WARRANT | | TOTAL |
Balance as of
April 1, 2024 | | $ | — | | | $ | 2,034,867 | | | $ | 1,360 | | | $ | 16 | | | $ | 2,036,243 | |
Accrued discounts/premiums | | | 27,260 | | | | — | | | | — | | | | — | | | | 27,260 | |
Realized (loss) | | | — | | | | — | | | | (1,384,946 | ) | | | — | | | | (1,384,946 | ) |
Change in unrealized appreciation (depreciation)* | | | (43,572 | ) | | | 359,689 | | | | 1,386,711 | | | | 14 | | | | 1,702,842 | |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | |
Sales | | | — | | | | — | | | | (3,125 | ) | | | — | | | | (3,125 | ) |
Transfers into Level 3** | | | 18,269 | | | | — | | | | — | | | | — | | | | 18,269 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 1,957 | | | $ | 2,394,556 | | | $ | — | | | $ | 30 | | | $ | 2,396,543 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $316,130 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, 2024, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2024, 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 $18,269 transferred from level 2 to level 3 in the disclosure hierarchy.
| | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | ASSET-BACKED
SECURITIES | | COMMON
STOCK | | TOTAL |
Balance as of
April 1, 2024 | | $ | 1,694,031 | | | $ | 410,704 | | | $ | 2,104,735 | |
Accrued discounts/premiums | | | — | | | | — | | | | — | |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized appreciation* | | | 66,291 | | | | 72,597 | | | | 138,888 | |
Purchases | | | — | | | | — | | | | — | |
Sales | | | (69,268 | ) | | | — | | | | (69,268 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 1,691,054 | | | $ | 483,301 | | | $ | 2,174,355 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $138,888 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
239 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | | ASSET-BACKED SECURITIES | | MORTGAGE- BACKED SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 29,461 | | | $ | 1,738 | | | $ | 31,199 | |
Accrued discounts/premiums | | | — | | | | (2,428 | ) | | | (2,428 | ) |
Realized gain (loss) | | | — | | | | — | | | | — | |
Change in unrealized appreciation* | | | 1,154 | | | | 945 | | | | 2,099 | |
Purchases | | | — | | | | — | | | | — | |
Sales | | | (1,205 | ) | | | — | | | | (1,205 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 29,410 | | | $ | 255 | | | $ | 29,665 | |
| | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $2,099 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
| | | | | | | | | | | | | | | | |
LOW DURATION
BOND FUND | | ASSET-BACKED
SECURITIES | | COMMON STOCK | | MORTGAGE-
BACKED
SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 5,008,441 | | | $ | — | | | $ | 3,175,417 | | | $ | 8,183,858 | |
Accrued discounts/premiums | | | — | | | | — | | | | (103,807 | ) | | | (103,807 | ) |
Realized (loss) | | | — | | | | (6,025,409 | ) | | | — | | | | (6,025,409 | ) |
Change in unrealized appreciation* | | | 195,991 | | | | 6,078,660 | | | | 33,340 | | | | 6,307,991 | |
Purchases | | | — | | | | — | | | | — | | | | — | |
Sales | | | (204,793 | ) | | | (53,251 | ) | | | — | | | | (258,044 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 4,999,639 | | | $ | — | | | $ | 3,104,950 | | | $ | 8,104,589 | |
| | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $229,331 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
| | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED
SECURITIES | | COMMON
STOCK | | CORPORATES | | MORTGAGE-
BACKED
SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 98,071 | | | $ | 28,004 | | | $ | 23 | | | $ | 335,654 | | | $ | 461,752 | |
Accrued discounts/premiums | | | 96 | | | | — | | | | — | | | | 108,739 | | | | 108,835 | |
Realized (loss) | | | — | | | | — | | | | (23,766 | ) | | | — | | | | (23,766 | ) |
Change in unrealized appreciation (depreciation)* | | | 1,680 | | | | 4,950 | | | | 23,795 | | | | (138,208 | ) | | | (107,783 | ) |
Purchases | | | — | | | | — | | | | — | | | | — | | | | — | |
Sales | | | (2,259 | ) | | | — | | | | (52 | ) | | | — | | | | (2,311 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 97,588 | | | $ | 32,954 | | | $ | — | | | $ | 306,185 | | | $ | 436,727 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $(131,579) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.
**There were no transfers between level 2 and 3 for the period ended September 30, 2024.
Semi-Annual Report September 2024 / 240
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED
SECURITIES | | COMMON
STOCK | | CORPORATES | | MORTGAGE-
BACKED
SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 53,913,791 | | | $ | 64,506,719 | | | $ | 3,030,429 | | | $ | 370,866,545 | | | $ | 492,317,484 | |
Accrued discounts/premiums | | | (1,216,504 | ) | | | — | | | | (9,719 | ) | | | (716,166 | ) | | | (1,942,389 | ) |
Realized (loss) | | | — | | | | — | | | | (2,018 | ) | | | — | | | | (2,018 | ) |
Change in unrealized appreciation (depreciation)* | | | 1,193,211 | | | | 11,402,387 | | | | (77,448 | ) | | | 2,342,308 | | | | 14,860,458 | |
Purchases | | | — | | | | — | | | | — | | | | 25,334,340 | | | | 25,334,340 | |
Sales | | | (969,455 | ) | | | — | | | | (20,093 | ) | | | (1,556,874 | ) | | | (2,546,422 | ) |
Transfers into Level 3** | | | — | | | | — | | | | — | | | | 84,639,158 | | | | 84,639,158 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 52,921,043 | | | $ | 75,909,106 | | | $ | 2,921,151 | | | $ | 480,909,311 | | | $ | 612,660,611 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $14,860,458 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, 2024, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2024, 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 $84,639,158 transferred from level 2 to level 3 in the disclosure hierarchy.
| | | | | | | | |
ULTRA SHORT BOND FUND | | MORTGAGE-
BACKED
SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 9,388 | | | $ | 9,388 | |
Accrued discounts/premiums | | | (2,344 | ) | | | (2,344 | ) |
Realized (loss) | | | (15,502 | ) | | | (15,502 | ) |
Change in unrealized appreciation | | | 14,633 | | | | 14,633 | |
Purchases | | | — | | | | — | |
Sales | | | (6,175 | ) | | | (6,175 | ) |
Transfers into Level 3* | | | — | | | | — | |
Transfers out of Level 3* | | | — | | | | — | |
| | | | | | | | |
Balance as of
September 30, 2024 | | $ | — | | | $ | — | |
| | | | | | | | |
*There were no transfers between level 2 and 3 for the period ended September 30, 2024.
| | | | | | | | | | | | | | | | | | | | |
UNCONSTRAINED BOND FUND | | ASSET-BACKED
SECURITIES | | COMMON
STOCK | | CORPORATES | | MORTGAGE-
BACKED
SECURITIES | | TOTAL |
Balance as of
April 1, 2024 | | $ | 10,251,532 | | | $ | 3,799,346 | | | $ | 428,202 | | | $ | 6,937,647 | | | $ | 21,416,727 | |
Accrued discounts/premiums | | | — | | | | — | | | | 201,994 | | | | 18,556 | | | | 220,550 | |
Realized (loss) | | | — | | | | — | | | | (900,284 | ) | | | — | | | | (900,284 | ) |
Change in unrealized appreciation* | | | 341,173 | | | | 679,646 | | | | 575,560 | | | | 16,097 | | | | 1,612,476 | |
Purchases | | | — | | | | — | | | | 171,752 | | | | — | | | | 171,752 | |
Sales | | | (310,202 | ) | | | — | | | | (2,152 | ) | | | (52,428 | ) | | | (364,782 | ) |
Transfers into Level 3** | | | — | | | | 8,254 | | | | 46,682 | | | | — | | | | 54,936 | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2024 | | $ | 10,282,503 | | | $ | 4,487,246 | | | $ | 521,754 | | | $ | 6,919,872 | | | $ | 22,211,375 | |
| | | | | | | | | | | | | | | | | | | | |
*The change in unrealized appreciation (depreciation) on securities still held at September 30, 2024 was $710,976 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, 2024, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2024, 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 $54,936 transferred from level 2 to level 3 in the disclosure hierarchy.
241 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
Significant unobservable valuations inputs for Level 3 investments as of September 30, 2024, are as follows:
| | | | | | | | | | | | | | |
| ALPHATRAK 500 FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | |
Common Stock | | | $24,447 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
U.S. Agency Commercial | | | $— | | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
| | | | | | | | | | | | | | |
| CORPORATE BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $33,086 | | | Broker Quote | | Offered Quote | | $92.54 | | $92.54 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $151 | | | Third-Party Vendor | | Vendor Prices | | $0.00 - $0.10 | | $0.10 | | Increase |
| | | | | | | | | | | | | | |
FLOATING RATE INCOME
FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Bank Loans | | | $1,892,313 | | | Third-Party Vendor | | Vendor Prices | | $0.55 - $99.01 | | $93.47 | | Increase |
Common Stock | | | $306,454 | | | Third-Party Vendor | | Vendor Prices | | $0.61 - $31.63 | | $31.60 | | Increase |
Preferred Stock | | | $355,433 | | | Third-Party Vendor | | Vendor Prices | | $0.34 | | $0.34 | | Increase |
Warrant | | | $— | | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
| | | | | | | | | | | | | | |
| HIGH YIELD BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Bank Loans | | | $1,957 | | | Third-Party Vendor | | Vendor Prices | | $0.55 | | $0.55 | | Increase |
Common Stock | | | $2,394,556 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
Warrant | | | $— | | | Broker Quote | | Offered Quote | | $— | | $— | | Increase |
Warrant | | | $30 | | | Third-Party Vendor | | Vendor Prices | | $1.84 | | $1.84 | | Increase |
| | | | | | | | | | | | | | |
| INTERMEDIATE BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $1,691,054 | | | Broker Quote | | Offered Quote | | $92.54 | | $92.54 | | Increase |
Common Stock | | | $483,301 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
| | | | | | | | | | | | | | |
INVESTMENT GRADE CREDIT
FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $29,410 | | | Broker Quote | | Offered Quote | | $92.54 | | $92.54 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $255 | | | Third-Party Vendor | | Vendor Prices | | $0.00 - $0.10 | | $0.10 | | Increase |
Semi-Annual Report September 2024 / 242
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
| LOW DURATION BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $4,999,639 | | | Broker Quote | | Offered Quote | | $92.54 | | $92.54 | | Increase |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | | $394,960 | | | Third-Party Vendor | | Vendor Prices | | $1.06 | | $1.06 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $2,709,990 | | | Broker Quote | | Offered Quote | | $100.37 | | $100.37 | | Increase |
| | | | | | | | | | | | | | |
| STRATEGIC INCOME FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $55,143 | | | Broker Quote | | Offered Quote | | $92.54 | | $92.54 | | Increase |
Asset-Backed Securities | | | $42,445 | | | Third-Party Vendor | | Vendor Prices | | $10.11 | | $10.11 | | Increase |
Common Stock | | | $32,954 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | | $306,185 | | | Third-Party Vendor | | Vendor Prices | | $4.20 - $9.79 | | $8.49 | | Increase |
| | | | | | | | | | | | | | |
| TOTAL RETURN BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $48,233,053 | | | Broker Quote | | Offered Quote | | $92.54 - $102.25 | | $97.48 | | Increase |
Asset-Backed Securities | | | $4,687,990 | | | Third-Party Vendor | | Vendor Prices | | $1.47 | | $1.47 | | Increase |
Common Stock | | | $75,909,106 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
Corporate Securities | | | $2,921,151 | | | Third-Party Vendor | | Vendor Prices | | $99.25 | | $99.25 | | Increase |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | | $5,547,302 | | | Third-Party Vendor | | Vendor Prices | | $0.86 - $97.32 | | $11.72 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $390,538,439 | | | Broker Quote | | Offered Quote | | $98.37 - $100.37 | | $99.63 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $84,823,570 | | | Third-Party Vendor | | Vendor Prices | | $99.79 | | $99.79 | | Increase |
| | | | | | | | | | | | | | |
| UNCONSTRAINED BOND FUND | | FAIR VALUE AT
9/30/24 | | | VALUATION
TECHNIQUE* | | UNOBSERVABLE INPUT | | RANGE | | WEIGHTED
AVERAGE | | INPUT TO
VALUATION
IF INPUT
INCREASES |
| | | | | | | | | | | | | | |
Asset-Backed Securities | | | $10,282,503 | | | Broker Quote | | Offered Quote | | $92.54 - $102.25 | | $95.10 | | Increase |
Common Stock | | | $16,317 | | | Broker Quote | | Offered Quote | | $0.31 | | $0.31 | | Increase |
Common Stock | | | $4,470,929 | | | Third-Party Vendor | | Vendor Prices | | $31.63 | | $31.63 | | Increase |
Corporate Securities | | | $521,754 | | | Third-Party Vendor | | Vendor Prices | | $1.00 - $12.59 | | $7.80 | | Increase |
Mortgage-Backed | | | | | | | | | | | | | | |
Securities-Non-Agency | | | $43,920 | | | Third-Party Vendor | | Vendor Prices | | $0.50 - $6.01 | | $3.70 | | Increase |
Mortgage-Backed Securities- | | | | | | | | | | | | | | |
Non-Agency Commercial | | | $6,875,952 | | | Broker Quote | | Offered Quote | | $98.37 - $100.37 | | $99.63 | | 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.
243 / Semi-Annual Report September 2024
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 September 30, 2024:
| | | | |
| | | 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 September 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS |
| | | ALPHATRAK 500
FUND | | CORPORATE
BOND FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE CREDIT
FUND |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | 570,372 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | 1,042 | | | | 6,830 | | | | — | | | | 157,712 | | | | 1,006,535 | | | | 36,626 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | 7 | | | | 1,667 | | | | 11,661 | | | | 48,094 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | 571,414 | | | $ | 6,837 | | | $ | 1,667 | | | $ | 169,373 | | | $ | 1,054,629 | | | $ | 36,626 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | SUSTAINABLE
SECURITIZED
FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | 2,458,062 | | | $ | 78,043 | | | $ | 9,624 | | | $ | 37,892,623 | | | $ | 59,769 | | | $ | 3,814,407 | |
Swaps | | | — | | | | — | | | | — | | | | 1,533,697 | | | | — | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | 9,910 | | | | 289 | | | | — | | | | 4,675,896 | | | | — | | | | 241,059 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | $ | 2,467,972 | | | $ | 78,332 | | | $ | 9,624 | | | $ | 44,102,216 | | | $ | 59,769 | | | $ | 4,055,466 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
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 | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE CREDIT
FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | — | | | $ | — | | | $ | — | | | $ | (67,037 | ) | | $ | (116,231 | ) | | $ | (3,510 | ) |
Swaps | | | — | | | | (1,900 | ) | | | — | | | | — | | | | — | | | | (1,702 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | (107 | ) | | | — | | | | (339,658 | ) | | | (717,391 | ) | | | (7,276 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | (2,007 | ) | | $ | — | | | $ | (406,695 | ) | | $ | (833,622 | ) | | $ | (12,488 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2024 / 244
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LIABILITY DERIVATIVE INVESTMENTS |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | SUSTAINABLE
SECURITIZED
FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | $ | (182,094 | ) | | $ | (5,274 | ) | | $ | (298 | ) | | $ | (5,447,748 | ) | | $ | (6,471 | ) | | $ | (301,459 | ) |
Swaps | | | — | | | | (3,874 | ) | | | — | | | | (11,392,915 | ) | | | — | | | | (523,356 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (180,757 | ) | | | (29,477 | ) | | | — | | | | (32,858,950 | ) | | | (1,239 | ) | | | (2,093,996 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (362,851 | ) | | $ | (38,625 | ) | | $ | (298 | ) | | $ | (49,699,613 | ) | | $ | (7,710 | ) | | $ | (2,918,811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
1Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended September 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | |
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | ALPHATRAK
500 FUND | | CORPORATE
BOND
FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE
CREDIT FUND |
Equity contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 1,717,669 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | | — | | | | 12,000 | | | | 2,824 | | | | 1,713,782 | | | | 1,301,085 | | | | 3,251 | |
Swaps | | | — | | | | 134 | | | | — | | | | — | | | | — | | | | 125 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | — | | | | 30,952 | | | | 370,078 | | | | 647,394 | | | | (376 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,717,669 | | | $ | 12,134 | | | $ | 33,776 | | | $ | 2,083,860 | | | $ | 1,948,479 | | | $ | 3,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | | | | |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | SUSTAINABLE
SECURITIZED
FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | (742,549 | ) | | $ | 81,128 | | | $ | 115,517 | | | $ | 65,670,065 | | | $ | (176,073 | ) | | $ | 139,343 | |
Swaps | | | — | | | | 248 | | | | — | | | | 5,494,139 | | | | — | | | | 36,942 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | 562,763 | | | | 30,554 | | | | — | | | | 35,993,152 | | | | 26,145 | | | | 2,018,354 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (179,786 | ) | | $ | 111,930 | | | $ | 115,517 | | | $ | 107,157,356 | | | $ | (149,928 | ) | | $ | 2,194,639 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
245 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | ALPHATRAK 500 FUND | | CORPORATE
BOND FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE
CREDIT FUND |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 29,329 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | 1,042 | | | | 10,327 | | | | 350 | | | | 133,311 | | | | 1,178,153 | | | | 47,980 | |
Swaps | | | — | | | | (2,798 | ) | | | — | | | | — | | | | — | | | | (2,507 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | — | | | | (100 | ) | | | (13,450 | ) | | | (545,251 | ) | | | (1,084,119 | ) | | | (7,434 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 30,371 | | | $ | 7,429 | | | $ | (13,100 | ) | | $ | (411,940 | ) | | $ | 94,034 | | | $ | 38,039 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | SUSTAINABLE
SECURITIZED
FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | $ | 4,322,765 | | | $ | 99,441 | | | $ | 4,518 | | | $ | 58,090,378 | | | $ | 130,052 | | | $ | 6,286,914 | |
Swaps | | | — | | | | (5,704 | ) | | | — | | | | (18,197,618 | ) | | | — | | | | (770,689 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | (460,659 | ) | | | (47,598 | ) | | | — | | | | (50,842,038 | ) | | | (14,483 | ) | | | (3,167,403 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 3,862,106 | | | $ | 46,139 | | | $ | 4,518 | | | $ | (10,949,278 | ) | | $ | 115,569 | | | $ | 2,348,822 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | ALPHATRAK 500 FUND | | CORPORATE
BOND FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE
CREDIT FUND |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 92 | | | | 13 | | | | — | | | | 791 | | | | 1,595 | | | | 57 | |
Average number of contracts sold | | | 6 | | | | 2 | | | | — | | | | 108 | | | | 317 | | | | 22 | |
Average value of contracts purchased | | $ | 328,331 | | | $ | 6,300 | | | $ | — | | | $ | 307,169 | | | $ | 836,587 | | | $ | 26,123 | |
Average value of contracts sold | | $ | 521 | | | $ | 1,328 | | | $ | — | | | $ | 79,080 | | | $ | 205,603 | | | $ | 15,144 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts -receives fixed rate | | | — | | | | 1 | | | | — | | | | — | | | | — | | | | 1 | |
Average notional - receives fixed rate | | $ | — | | | $ | 77 | | | $ | — | | | $ | — | | | $ | — | | | $ | 69 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | — | | | | 1 | | | | 2 | | | | 4 | | | | 7 | | | | 2 | |
Average value of contracts sold | | $ | — | | | $ | 50 | | | $ | 1,601 | | | $ | 270,179 | | | $ | 531,094 | | | $ | 3,720 | |
Semi-Annual Report September 2024 / 246
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | SUSTAINABLE SECURITIZED FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | 4,444 | | | | 146 | | | | 29 | | | | 75,190 | | | | 106 | | | | 7,377 | |
Average number of contracts sold | | | 2,458 | | | | 35 | | | | — | | | | 10,215 | | | | 117 | | | | 2,901 | |
Average value of contracts purchased | | $ | 2,168,608 | | | $ | 67,713 | | | $ | 13,548 | | | $ | 36,812,047 | | | $ | 51,473 | | | $ | 3,497,761 | |
Average value of contracts sold | | $ | 911,732 | | | $ | 31,960 | | | $ | — | | | $ | 8,473,764 | | | $ | 42,137 | | | $ | 2,194,893 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts -receives fixed rate | | | — | | | | 1 | | | | — | | | | 2 | | | | — | | | | 1 | |
Average notional - receives fixed rate | | $ | — | | | $ | 157 | | | $ | — | | | $ | 473,201 | | | $ | — | | | $ | 21,211 | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | 4 | | | | 3 | | | | — | | | | 13 | | | | 2 | | | | 8 | |
Average value of contracts sold | | $ | 216,030 | | | $ | 22,917 | | | $ | — | | | $ | 23,331,774 | | | $ | 5,225 | | | $ | 1,506,675 | |
1Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2024.
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 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.
247 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
Collateral requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of 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 Corporate Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024
| | | | | | | | | | | | | | | | |
| |
| | | CORPORATE 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 | | $ | 7 | | | $ | — | | | $ | — | | | $ | 7 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 7 | | | $ | — | | | $ | — | | | $ | 7 | |
| | | | | | | | | | | | | | | | |
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 Corporate Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | CORPORATE 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 | | $ | 107 | | | $ | — | | | $ | — | | | $ | 107 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 107 | | | $ | — | | | $ | — | | | $ | 107 | |
| | | | | | | | | | | | | | | | |
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.
Semi-Annual Report September 2024 / 248
Notes to Financial Statements (Continued)
The following table presents Floating Rate Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | FLOATING RATE INCOME FUND | |
| COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | | COLLATERAL
RECEIVED1 | | | DERIVATIVE
ASSETS (LIABILITIES)
AVAILABLE FOR OFFSET | | | NET AMOUNT
OF
DERIVATIVE ASSETS2 | |
Bank of America N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,667 | | | $ | — | | | $ | — | | | $ | 1,667 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,667 | | | $ | — | | | $ | — | | | $ | 1,667 | |
| | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents High Yield Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 5,624 | | | $ | — | | | $ | (5,624 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 6,037 | | | $ | — | | | $ | — | | | $ | 6,037 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 11,661 | | | $ | — | | | $ | (5,624 | ) | | $ | 6,037 | |
| | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents High Yield Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | | $ | 339,658 | | | $ | (315,411 | ) | | $ | (5,624 | ) | | $ | 18,623 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 339,658 | | | $ | (315,411 | ) | | $ | (5,624 | ) | | $ | 18,623 | |
| | | | | | | | | | | | | | | | |
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.
249 / Semi-Annual Report September 2024
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Bank of America N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 11,184 | | | $ | — | | | $ | (6,632 | ) | | $ | 4,552 | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 23,703 | | | $ | — | | | $ | (23,703 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 13,207 | | | $ | — | | | $ | (12,268 | ) | | $ | 939 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 48,094 | | | $ | — | | | $ | (42,603 | ) | | $ | 5,491 | |
| | | | | | | | | | | | | | | | |
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Bank of America N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 6,632 | | | $ | — | | | $ | (6,632 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 698,491 | | | $ | (608,394 | ) | | $ | (23,703 | ) | | $ | 66,394 | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 12,268 | | | $ | — | | | $ | (12,268 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 717,391 | | | $ | (608,394 | ) | | $ | (42,603 | ) | | $ | 66,394 | |
| | | | | | | | | | | | | | | | |
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.
Semi-Annual Report September 2024 / 250
Notes to Financial Statements (Continued)
The following table presents Investment Grade Credit Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | INVESTMENT GRADE CREDIT 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 | | $ | 2,380 | | | $ | — | | | $ | — | | | $ | 2,380 | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 553 | | | $ | — | | | $ | — | | | $ | 553 | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 4,343 | | | $ | — | | | $ | — | | | $ | 4,343 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 7,276 | | | $ | — | | | $ | — | | | $ | 7,276 | |
| | | | | | | | | | | | | | | | |
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 9,910 | | | $ | — | | | $ | (9,910 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 9,910 | | | $ | — | | | $ | (9,910 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 10,295 | | | $ | — | | | $ | (9,910 | ) | | $ | 385 | |
| | | | | | | | | | | | | | | | |
| | | | |
The Bank of New York Mellon | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 170,462 | | | $ | — | | | $ | — | | | $ | 170,462 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 180,757 | | | $ | — | | | $ | (9,910 | ) | | $ | 170,847 | |
| | | | | | | | | | | | | | | | |
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.
251 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 289 | | | $ | — | | | $ | (289 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 289 | | | $ | — | | | $ | (289 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | | $ | 26,057 | | | $ | — | | | $ | (289 | ) | | $ | 25,768 | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 3,420 | | | $ | — | | | $ | — | | | $ | 3,420 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 29,477 | | | $ | — | | | $ | (289 | ) | | $ | 29,188 | |
| | | | | | | | | | | | | | | | |
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 assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | | $ | 1,369,023 | | | $ | — | | | $ | (1,369,023 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,898,216 | | | $ | — | | | $ | (1,898,216 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 853,906 | | | $ | (502,126 | ) | | $ | (351,780 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
State Street Global Markets LLC | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 554,751 | | | $ | — | | | $ | — | | | $ | 554,751 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 4,675,896 | | | $ | (502,126 | ) | | $ | (3,619,019 | ) | | $ | 554,751 | |
| | | | | | | | | | | | | | | | |
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.
2Represents the net amount receivable from the counterparty in the event of default.
Semi-Annual Report September 2024 / 252
Notes to Financial Statements (Continued)
The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Bank of America N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 25,450,256 | | | $ | (24,081,233 | ) | | $ | (1,369,023 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 6,926,308 | | | $ | (4,836,063 | ) | | $ | (1,898,216 | ) | | $ | 192,029 | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 351,780 | | | $ | — | | | $ | (351,780 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
The Bank of New York Mellon | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 130,606 | | | $ | — | | | $ | — | | | $ | 130,606 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 32,858,950 | | | $ | (28,917,296 | ) | | $ | (3,619,019 | ) | | $ | 322,635 | |
| | | | | | | | | | | | | | | | |
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 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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | | $ | 1,239 | | | $ | — | | | $ | — | | | $ | 1,239 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,239 | | | $ | — | | | $ | — | | | $ | 1,239 | |
| | | | | | | | | | | | | | | | |
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 September 30, 2024:
| | | | | | | | | | | | | | | | |
| |
| | | 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 | |
Bank of America N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 56,313 | | | $ | — | | | $ | (23,842 | ) | | $ | 32,471 | |
| | | | | | | | | | | | | | | | |
| | | | |
Citibank N.A. | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 57,366 | | | $ | — | | | $ | (57,366 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 127,380 | | | $ | — | | | $ | (127,380 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 241,059 | | | $ | — | | | $ | (208,588 | ) | | $ | 32,471 | |
| | | | | | | | | | | | | | | | |
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.
253 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
The following table presents Unconstrained Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | 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 | | $ | 23,842 | | | | | | | $ | — | | | $ | (23,842 | ) | | | | | | $ | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Citibank N.A. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 1,738,338 | | | | | | | $ | (1,571,088 | ) | | $ | (57,366 | ) | | | | | | $ | 109,884 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 331,739 | | | | | | | $ | — | | | $ | (127,380 | ) | | | | | | $ | 204,359 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
The Bank of New York Mellon | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | 77 | | | | | | | $ | — | | | $ | — | | | | | | | $ | 77 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 2,093,996 | | | | | | | $ | (1,571,088 | ) | | $ | (208,588 | ) | | | | | | $ | 314,320 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
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The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, there may be volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months ended September 30, 2024, 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, High Yield Bond Fund, Investment Grade Credit Fund, Strategic Income Fund and Sustainable Securitized Fund may not make short sales of securities or maintain a short position if more than 33 1/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time. The AlphaTrak 500 Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund will not make total short sales exceeding 25% of the Fund’s total assets. The Floating Rate Income Fund will not make total short sales exceeding 15% of the Fund’s total assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At September 30, 2024, 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
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the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.
The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.
For the six months ended September 30, 2024, the Floating Rate Income Fund, the High Yield Bond Fund, the Total Return Bond Fund, and the Unconstrained Bond Fund received in-kind payments with respect to PIK securities of $27,791, $98,832, $25,792, and $301,667, respectively.
The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.
Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of September 30, 2024, 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 secured borrowings by the Fund for purposes of the percentage limitations applicable to borrowings in accordance with ASC 860, Transfers and Servicing. 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 September 30, 2024, 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
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may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
Derivatives:
The Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing their investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the Adviser’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, and the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.
The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of September 30, 2024, the Funds did not hold any 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
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required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.
Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).
Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation. The collateral posted for swap contracts, net of assets received as collateral, is also disclosed in the Notes to Schedules of Portfolio Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities. As of September 30, 2024, the Funds did not hold any credit default swaps.
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).
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The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 2024, the Funds did not hold any 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 and Mini S&P 500 Index futures contracts. When the above-listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR-based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps, is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2024, 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.
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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”) was a leading 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. In July 2017, the United Kingdom’s Financial Conduct Authority (FCA), which regulates LIBOR, announced the gradual phase out of the LIBOR rate, with nearly all LIBOR rate publications having ceased as of June 30, 2023 (some LIBOR rates continue to be published, but only on a temporary and synthetic basis). Alternatives to LIBOR have been established and others may be developed. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, has identified the Secured Overnight Financial Rate (SOFR) as the preferred alternative rate to LIBOR. SOFR is a relatively new index calculated by short-term repurchase agreements, backed by Treasury securities. There remains uncertainty surrounding the nature of any replacement rates. The transition to a new reference rate may result in (i) increased volatility or illiquidity in markets for instruments or contracts that previously relied on or still rely on LIBOR, (ii) a reduction in the value of certain instruments or contracts held by a Fund, (iii) reduced effectiveness of related Fund transactions, such as hedging, (iv) additional tax, accounting and regulatory risks, or (v) costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to a Fund’s investments resulting from a substitute reference
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rate may also adversely affect a Fund’s performance and/or NAV. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that instruments or contracts using an alternative rate will have the same volume or liquidity.
Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the six months ended September 30, 2024, excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 6,022,117 | | | $ | 11,601,861 | |
Corporate Bond Fund | | | 275,702 | | | | 480,246 | |
Floating Rate Income Fund | | | 135,990,313 | | | | 145,495,662 | |
High Yield Bond Fund | | | 132,832,362 | | | | 124,656,513 | |
Intermediate Bond Fund | | | 39,935,809 | | | | 74,687,139 | |
Investment Grade Credit Fund | | | 3,547,680 | | | | 1,307,998 | |
Low Duration Bond Fund | | | 102,798,280 | | | | 219,794,315 | |
Strategic Income Fund | | | 4,084,654 | | | | 7,305,602 | |
Sustainable Securitized Fund | | | 4,310,322 | | | | 866,971 | |
Total Return Bond Fund | | | 1,413,429,781 | | | | 5,346,854,369 | |
Ultra Short Bond Fund | | | 6,217,551 | | | | 4,335,310 | |
Unconstrained Bond Fund | | | 225,541,657 | | | | 332,158,533 | |
Investment transactions in U.S. government securities for the six months ended September 30, 2024 were as follows: | |
| PORTFOLIO | | PURCHASES | | | SALES | |
AlphaTrak 500 Fund | | $ | 37,579,910 | | | $ | 35,405,941 | |
Corporate Bond Fund | | | 1,943,544 | | | | 2,211,349 | |
Floating Rate Income Fund | | | 10,090,728 | | | | 8,697,013 | |
Intermediate Bond Fund | | | 3,040,297,037 | | | | 3,011,690,499 | |
Investment Grade Credit Fund | | | 64,295,024 | | | | 64,181,033 | |
Low Duration Bond Fund | | | 2,694,023,456 | | | | 2,946,599,505 | |
Strategic Income Fund | | | 66,865,326 | | | | 70,274,698 | |
Sustainable Securitized Fund | | | 18,281,990 | | | | 18,278,327 | |
Total Return Bond Fund | | | 114,831,186,399 | | | | 124,521,316,603 | |
Ultra Short Bond Fund | | | 134,925,638 | | | | 141,924,915 | |
Unconstrained Bond Fund | | | 1,812,433,658 | | | | 1,831,148,146 | |
There were no purchases or sales of securities from affiliated investment accounts for the six months ended September 30, 2024. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.
261 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
Investment transactions in the shares of affiliated issuers for the six months ended September 30, 2024 were as follows:
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | VALUE AT
BEGINNING
OF YEAR | | PURCHASES | | SALES | | DIVIDEND/
INTEREST | | VALUE AT
END OF PERIOD | | SHARES
HELD AT END
OF PERIOD | | REALIZED
GAIN
(LOSS) | | CHANGE IN
UNREALIZED
APPRECIATION |
| | | | | | | | |
AlphaTrak 500 Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $15,500,000 | | $(5,800,000) | | $— | | $9,700,000 | | 9,700,000 | | $— | | $— |
| | | | | | | | |
Corporate Bond Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $774,118 | | $(655,118) | | $— | | $119,000 | | 119,000 | | $— | | $— |
| | | | | | | | |
Floating Rate Income Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $58,270,000 | | $(25,250,000) | | $— | | $33,020,000 | | 33,020,000 | | $— | | $— |
| | | | | | | | |
High Yield Bond Fund | | | | | | | | | | | | | | | | |
Homer City Holdings LLC* | | $— | | $— | | $(251,454) | | $— | | $— | | — | | $(26,920,367) | | $27,171,821 |
TCW Central Cash Fund | | $— | | $110,300,000 | | $(64,100,000) | | $— | | $46,200,000 | | 46,200,000 | | $— | | $— |
| | | | | | | | |
Intermediate Bond Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $967,560,000 | | $(928,700,000) | | $— | | $38,860,000 | | 38,860,000 | | $— | | $— |
| | | | | | | | |
Investment Grade Credit Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $15,300,000 | | $(14,870,000) | | $— | | $430,000 | | 430,000 | | $— | | $— |
| | | | | | | | |
Low Duration Bond Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $561,840,000 | | $(431,200,000) | | $— | | $130,640,000 | | 130,640,000 | | $— | | $— |
| | | | | | | | |
Strategic Income Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $14,650,000 | | $(2,491,000) | | $— | | $12,159,000 | | 12,159,000 | | $— | | $— |
| | | | | | | | |
Sustainable Securitized Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $4,260,000 | | $(3,830,000) | | $— | | $430,000 | | 430,000 | | $— | | $— |
| | | | | | | | |
Total Return Bond Fund | | | | | | | | | | | | | | | | |
Homer City Holdings LLC* | | $— | | $— | | $(590,352) | | $— | | $— | | — | | $(64,597,088) | | $65,187,440 |
TCW Central Cash Fund | | $— | | $12,869,570,000 | | $(11,032,200,000) | | $— | | $1,837,370,000 | | 1,837,370,000 | | $— | | $— |
| | | | | | | | |
Ultra Short Bond Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $35,540,000 | | $(30,828,000) | | $— | | $4,712,000 | | 4,712,000 | | $— | | $— |
| | | | | | | | |
Unconstrained Bond Fund | | | | | | | | | | | | | | | | |
TCW Central Cash Fund | | $— | | $343,890,000 | | $(99,700,000) | | $— | | $244,190,000 | | 244,190,000 | | $— | | $— |
*Affiliates not held at period end.
Semi-Annual Report September 2024 / 262
Notes to Financial Statements (Continued)
| 6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser charges the AlphaTrak 500 Fund, the Corporate Bond Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Strategic Income Fund, the Sustainable Securitized 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%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.65%, 0.40%, 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 six months ended September 30, 2024, 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 | | |
Floating Rate Income Fund | | 0.55% | | 0.55% | | N/A | | N/A | | N/A | | 0.90% | | 0.70% | | N/A | | N/A | | N/A | | |
High Yield Bond Fund | | 0.50% | | 0.50% | | N/A | | N/A | | N/A | | 0.85% | | 0.60% | | N/A | | N/A | | N/A | | |
Intermediate Bond Fund | | 0.35% | | 0.35% | | N/A | | N/A | | N/A | | 0.70% | | 0.49% | | N/A | | N/A | | N/A | | |
Investment Grade Credit Fund | | 0.35% | | 0.35% | | N/A | | N/A | | N/A | | 0.70% | | 0.49% | | N/A | | N/A | | N/A | | |
Low Duration Bond Fund | | 0.30% | | 0.30% | | N/A | | 0.30% | | N/A | | 0.63% | | 0.44% | | N/A | | 0.83% | | N/A | | |
Strategic Income Fund | | 0.65% | | 0.65% | | N/A | | N/A | | N/A | | 1.04% | | 0.80% | | N/A | | N/A | | N/A | | |
Sustainable Securitized Fund | | 0.40% | | 0.40% | | N/A | | N/A | | N/A | | 0.70% | | 0.49% | | 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, 2025, unless approved by the Board.
At September 30, 2024, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| PORTFOLIO | | 2025 | | 2026 | | 2027 | | 2028 | | TOTAL |
| | | | | |
| | | | | | | | | | | |
| | | | | |
AlphaTrak 500 Fund | | $ | — | | | $ | 270,246 | | | $ | 224,890 | | | $ | 121,732 | | | $ | 616,868 | |
| | | | | |
Corporate Bond Fund | | | 257,575 | | | | 293,711 | | | | 217,007 | | | | 127,899 | | | | 896,192 | |
| | | | | |
Floating Rate Income Fund | | | 14,896 | | | | 16,938 | | | | 11,903 | | | | 42,802 | | | | 86,539 | |
| | | | | |
High Yield Bond Fund | | | 145,095 | | | | 130,452 | | | | 135,512 | | | | 94,664 | | | | 505,723 | |
| | | | | |
Intermediate Bond Fund | | | 62 | | | | 3,695 | | | | 1,163 | | | | 632 | | | | 5,552 | |
| | | | | |
Investment Grade Credit Fund | | | 264,265 | | | | 293,818 | | | | 239,989 | | | | 144,892 | | | | 942,964 | |
| | | | | |
Low Duration Bond Fund | | | — | | | | — | | | | — | | | | 7,656 | | | | 7,656 | |
| | | | | |
Strategic Income Fund | | | 566,609 | | | | 339,161 | | | | 312,702 | | | | 171,488 | | | | 1,389,960 | |
| | | | | |
Sustainable Securitized Fund | | | 67,666 | | | | 262,567 | | | | 238,549 | | | | 116,839 | | | | 685,621 | |
| | | | | |
Ultra Short Bond Fund | | | 355,828 | | | | 326,076 | | | | 259,120 | | | | 146,690 | | | | 1,087,714 | |
| | | | | |
Unconstrained Bond Fund | | | — | | | | 1,748 | | | | — | | | | 2,703 | | | | 4,451 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | $ | 1,671,996 | | | $ | 1,938,412 | | | $ | 1,640,835 | | | $ | 977,997 | | | $ | 6,229,240 | |
| | | | | | | | | | | | | | | | | | | | |
Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $150,000 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 receives an annual retainer of $60,000. The respective chairman of the Audit Committee and the Nominating and Governance Committee
263 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
each receives an additional annual retainer of $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 Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Strategic Income Fund, the Sustainable Securitized 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 six months ended September 30, 2024. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2025, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.
The Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Shareholder Servicing Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class, but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.
| 8. | COMMITMENTS AND CONTINGENCIES |
The Floating Rate Income Fund and High Yield Bond Fund had the following unfunded commitments and unrealized gain by investment as of September 30, 2024:
| | | | | | | | | | | | |
| | | |
FLOATING RATE INCOME FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED GAIN (LOSS) | |
Ryan LLC, Delayed-Draw Term Loan, 1st Lien | | | November 2030 | | | $ | 94,325 | | | $ | (913) | |
Epicor Software Corp., Delayed-Draw Term Loan, 1st Lien | | | May 2031 | | | | 84,031 | | | | 262 | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 178,356 | | | $ | (651) | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
HIGH YIELD BOND FUND UNFUNDED COMMITMENTS | | MATURITY | | | AMOUNT | | | UNREALIZED (LOSS) | |
Ryan LLC, Delayed-Draw Term Loan, 1st Lien | | | November 2030 | | | $ | 94,325 | | | $ | (913) | |
| | | | | | | | | | | | |
Total Unfunded Commitments | | | | | | $ | 94,325 | | | $ | (913) | |
| | | | | | | | | | | | |
In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.
Semi-Annual Report September 2024 / 264
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 | | |
| | | | | | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | | | | | | | | | | | | 2,464,695 | | | | | | 2,934,340 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | | | | | | | 53,588 | | | | | | 307,640 | | | | | |
Shares issued through reinvestment of distributions | | | | | | | | | | | | | | | 53,058 | | | | | | 112,162 | | | | | |
Shares redeemed | | | | | | | | | | | | | | | (281,363) | | | | | | (889,447) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | | | | | | | | | | | | | (174,717) | | | | | | (469,645) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | | | | | | | | | | | | 2,289,978 | | | | | | 2,464,695 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 312,678 | | | | | | 475,695 | | | | | | 264,696 | | | | | | 317,762 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 11,910 | | | | | | 16,293 | | | | | | — | | | | | | 36,749 | | | | | |
Shares issued through reinvestment of distributions | | | 5,280 | | | | | | 12,980 | | | | | | 4,758 | | | | | | 10,584 | | | | | |
Shares redeemed | | | (64,180) | | | | | | (192,290) | | | | | | (5,866) | | | | | | (100,399) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (46,990) | | | | | | (163,017) | | | | | | (1,108) | | | | | | (53,066) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 265,688 | | | | | | 312,678 | | | | | | 263,588 | | | | | | 264,696 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 1,003,458 | | | | | | 1,184,024 | | | | | | 30,837,290 | | | | | | 35,353,243 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 391,812 | | | | | | 624,265 | | | | | | 3,702,416 | | | | | | 3,927,446 | | | | | |
Shares issued through reinvestment of distributions | | | 38,797 | | | | | | 88,139 | | | | | | 970,736 | | | | | | 2,384,221 | | | | | |
Shares redeemed | | | (676,395) | | | | | | (892,970) | | | | | | (5,113,941) | | | | | | (10,827,620) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (245,786) | | | | | | (180,566) | | | | | | (440,789) | | | | | | (4,515,953) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 757,672 | | | | | | 1,003,458 | | | | | | 30,396,501 | | | | | | 30,837,290 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
265 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 11,997,116 | | | | | | 14,711,106 | | | | | | 38,392,204 | | | | | | 39,596,938 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 3,145,123 | | | | | | 3,165,323 | | | | | | 4,677,739 | | | | | | 12,622,005 | | | | | |
Shares issued through reinvestment of distributions | | | 358,019 | | | | | | 842,006 | | | | | | 986,373 | | | | | | 2,250,448 | | | | | |
Shares redeemed | | | (4,199,112) | | | | | | (6,721,319) | | | | | | (5,589,307) | | | | | | (16,077,187) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (695,970) | | | | | | (2,713,990) | | | | | | 74,805 | | | | | | (1,204,734) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 11,301,146 | | | | | | 11,997,116 | | | | | | 38,467,009 | | | | | | 38,392,204 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 1,907,699 | | | | | | 2,200,742 | | | | | | 101,869,339 | | | | | | 91,699,168 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 265,302 | | | | | | 569,844 | | | | | | 7,107,861 | | | | | | 32,905,385 | | | | | |
Shares issued through reinvestment of distributions | | | 36,221 | | | | | | 82,972 | | | | | | 1,743,208 | | | | | | 3,833,163 | | | | | |
Shares redeemed | | | (547,782) | | | | | | (945,859) | | | | | | (20,127,407) | | | | | | (26,568,377) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (246,259) | | | | | | (293,043) | | | | | | (11,276,338) | | | | | | 10,170,171 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 1,661,440 | | | | | | 1,907,699 | | | | | | 90,593,001 | | | | | | 101,869,339 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 784,171 | | | | | | 386,999 | | | | | | 2,671,571 | | | | | | 933,323 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 328,974 | | | | | | 604,265 | | | | | | 206,352 | | | | | | 2,122,752 | | | | | |
Shares issued through reinvestment of distributions | | | 19,749 | | | | | | 28,184 | | | | | | 56,263 | | | | | | 65,011 | | | | | |
Shares redeemed | | | (136,120) | | | | | | (235,277) | | | | | | (440,668) | | | | | | (449,515) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 212,603 | | | | | | 397,172 | | | | | | (178,053) | | | | | | 1,738,248 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 996,774 | | | | | | 784,171 | | | | | | 2,493,518 | | | | | | 2,671,571 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 18,460,695 | | | | | | 35,993,593 | | | | | | 134,377,563 | | | | | | 178,166,430 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 836,526 | | | | | | 2,905,784 | | | | | | 7,099,978 | | | | | | 27,907,420 | | | | | |
Shares issued through reinvestment of distributions | | | 370,826 | | | | | | 972,473 | | | | | | 2,342,926 | | | | | | 5,637,166 | | | | | |
Shares redeemed | | | (4,442,577) | | | | | | (21,411,155) | | | | | | (34,034,551) | | | | | | (77,333,453) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (3,235,225) | | | | | | (17,532,898) | | | | | | (24,591,647) | | | | | | (43,788,867) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 15,225,470 | | | | | | 18,460,695 | | | | | | 109,785,916 | | | | | | 134,377,563 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2024 / 266
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | LOW DURATION BOND FUND | | |
| | | | | | | | | | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS | | |
| | | | | | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | | | | | | | | | | | | | | | | 981 | | | | | | 72 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | | | | | | | | | | | — | | | | | | 954 | | | | | |
Shares issued through reinvestment of distributions | | | | | | | | | | | | | | | | | | | 21 | | | | | | 22 | | | | | |
Shares redeemed | | | | | | | | | | | | | | | | | | | — | | | | | | (67) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | | | | | | | | | | | | | | | | 21 | | | | | | 909 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | | | | | | | | | | | | | | | | 1,002 | | | | | | 981 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 8,467,294 | | | | | | | | 8,125,761 | | | | | | | | 3,714,442 | | | | | | 2,492,168 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 307,956 | | | | | | | | 1,097,738 | | | | | | | | 698,516 | | | | | | 2,098,801 | | | | | |
Shares issued through reinvestment of distributions | | | 278,271 | | | | | | | | 616,658 | | | | | | | | 142,114 | | | | | | 229,781 | | | | | |
Shares redeemed | | | (2,069,439) | | | | | | | | (1,372,863) | | | | | | | | (554,283) | | | | | | (1,106,308) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (1,483,212) | | | | | | | | 341,533 | | | | | | | | 286,347 | | | | | | 1,222,274 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 6,984,082 | | | | | | | | 8,467,294 | | | | | | | | 4,000,789 | | | | | | 3,714,442 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | SUSTAINABLE SECURITIZED FUND | | |
| | | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2024 | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 5,255 | | | | | | | | 5,958 | | | | | | | | 924,112 | | | | | | 989,282 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 75,025 | | | | | | | | 6,763 | | | | | | | | 324,987 | | | | | | 207,789 | | | | | |
Shares issued through reinvestment of distributions | | | 1,234 | | | | | | | | 265 | | | | | | | | 38,827 | | | | | | 48,921 | | | | | |
Shares redeemed | | | (2,025) | | | | | | | | (7,731) | | | | | | | | (28,135) | | | | | | (321,880) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | 74,234 | | | | | | | | (703) | | | | | | | | 335,679 | | | | | | (65,170) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 79,489 | | | | | | | | 5,255 | | | | | | | | 1,259,791 | | | | | | 924,112 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
267 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 424,049,209 | | | | 694,341,407 | | | | 3,446,644,876 | | | | 4,139,805,317 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 32,684,191 | | | | 101,926,092 | | | | 249,761,052 | | | | 918,263,351 | |
Shares issued through reinvestment of distributions | | | 8,068,456 | | | | 22,015,920 | | | | 60,482,412 | | | | 151,631,718 | |
Shares redeemed | | | (108,501,105) | | | | (394,234,210) | | | | (929,686,202) | | | | (1,763,055,510) | |
| | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (67,748,458) | | | | (270,292,198) | | | | (619,442,738) | | | | (693,160,441) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 356,300,751 | | | | 424,049,209 | | | | 2,827,202,138 | | | | 3,446,644,876 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | TOTAL RETURN BOND FUND | |
| | | | |
| | | | | | | | | CLASS I-2 | | | CLASS I-2 | |
| | | | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | | | | | | | | 7,505,916 | | | | 11,005,199 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | | | 886,744 | | | | 3,715,544 | |
Shares issued through reinvestment of distributions | | | | | | | | | | | 149,859 | | | | 410,856 | |
Shares redeemed | | | | | | | | | | | (2,124,602) | | | | (7,625,683) | |
| | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | | | | | | | | | (1,087,999) | | | | (3,499,283) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | | | | | | | | 6,417,917 | | | | 7,505,916 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | | |
| | | ADMINISTRATIVE
CLASS | | | ADMINISTRATIVE
CLASS | | | PLAN CLASS | | | PLAN CLASS | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 131,944,182 | | | | 166,912,987 | | | | 1,868,351,523 | | | | 2,026,068,357 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 9,336,162 | | | | 27,690,579 | | | | 157,248,570 | | | | 406,168,066 | |
Shares issued through reinvestment of distributions | | | 2,146,306 | | | | 5,773,993 | | | | 33,289,694 | | | | 81,918,613 | |
Shares redeemed | | | (76,053,525) | | | | (68,433,377) | | | | (604,463,862) | | | | (645,803,513) | |
| | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (64,571,057) | | | | (34,968,805) | | | | (413,925,598) | | | | (157,716,834) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 67,373,125 | | | | 131,944,182 | | | | 1,454,425,925 | | | | 1,868,351,523 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2024 / 268
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 3,157,713 | | | | 4,875,363 | | | | 9,220,091 | | | | 24,795,459 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 103,012 | | | | 242,055 | | | | 506,651 | | | | 2,559,728 | |
Shares issued through reinvestment of distributions | | | 62,129 | | | | 149,246 | | | | 189,956 | | | | 700,819 | |
Shares redeemed | | | (496,325) | | | | (2,108,951) | | | | (1,441,047) | | | | (18,835,915) | |
| | | | | | | | | | | | | | | | |
Net (decrease) in fund shares | | | (331,184) | | | | (1,717,650) | | | | (744,440) | | | | (15,575,368) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 2,826,529 | | | | 3,157,713 | | | | 8,475,651 | | | | 9,220,091 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 13,745,498 | | | | 15,381,585 | | | | 197,548,988 | | | | 226,158,098 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 804,944 | | | | 2,154,982 | | | | 25,794,527 | | | | 66,379,966 | |
Shares issued through reinvestment of distributions | | | 429,330 | | | | 926,172 | | | | 4,758,112 | | | | 9,994,952 | |
Shares redeemed | | | (1,981,726) | | | | (4,717,241) | | | | (29,627,794) | | | | (104,984,028) | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in fund shares | | | (747,452) | | | | (1,636,087) | | | | 924,845 | | | | (28,609,110) | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 12,998,046 | | | | 13,745,498 | | | | 198,473,833 | | | | 197,548,988 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | UNCONSTRAINED BOND FUND | |
| | | | |
| | | | | | | | | PLAN CLASS | | | PLAN CLASS | |
| | | | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2024
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2024 | |
| | | | | | | | | | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | | | | | | | | 38,620,666 | | | | 33,873,600 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | | | | | | | | | 2,529,594 | | | | 2,758,702 | |
Shares issued through reinvestment of distributions | | | | | | | | | | | 1,384,715 | | | | 2,492,578 | |
Shares redeemed | | | | | | | | | | | (196,521) | | | | (504,214) | |
| | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | | | | | | | | 3,717,788 | | | | 4,747,066 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | | | | | | | | 42,338,454 | | | | 38,620,666 | |
| | | | | | | | | | | | | | | | |
269 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| 10. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At September 30, 2024, 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 | | $ | — | | | $ | — | |
Corporate Bond Fund | | | 415,192 | | | | 1,277,596 | |
Floating Rate Income Fund | | | 2,450,066 | | | | 17,873,158 | |
High Yield Bond Fund | | | 35,125,757 | | | | 59,819,642 | |
Intermediate Bond Fund | | | 71,039,833 | | | | 22,708,450 | |
Investment Grade Credit Fund | | | 926,372 | | | | 837,187 | |
Low Duration Bond Fund | | | 125,906,896 | | | | 67,837,058 | |
Strategic Income Fund | | | 907,781 | | | | 3,880,909 | |
Sustainable Securitized Fund | | | 431,669 | | | | 1,031,647 | |
Total Return Bond Fund | | | 7,378,995,390 | | | | 4,009,125,319 | |
Ultra Short Bond Fund | | | 7,192,997 | | | | 5,493,662 | |
Unconstrained Bond Fund | | | 105,614,754 | | | | 93,619,253 | |
| | * | Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment. |
Tax Basis of Distributable Income:
As of March 31, 2024, the components of accumulated earnings (accumulated losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500
FUND | | | CORPORATE BOND
FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD BOND
FUND | | | INTERMEDIATE
BOND FUND | | | INVESTMENT
GRADE CREDIT FUND | |
| | | Undistributed ordinary income (inclusive of short-term gains) | | $ | 82,635 | | | $ | 533 | | | $ | 671,369 | | | $ | 2,925,302 | | | $ | 923,620 | | | $ | 274 | |
| | Undistributed long-term gains | | | 134,255 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | Other temporary differences | | | (177) | | | | (270) | | | | (520,482) | | | | (407,701) | | | | (471,568) | | | | (333) | |
| | Accumulated capital loss carryforwards and post- October losses | | | — | | | | (1,817,448) | | | | (22,106,088) | | | | (100,601,386) | | | | (93,748,283) | | | | (2,073,601) | |
| | Net unrealized appreciation (depreciation) | | | 141,143 | | | | (706,962) | | | | (2,926,054) | | | | (38,949,724) | | | | (11,491,275) | | | | (1,363,006) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total accumulated earnings (losses) | | $ | 357,856 | | | $ | (2,524,147) | | | $ | (24,881,255) | | | $ | (137,033,509) | | | $ | (104,787,506) | | | $ | (3,436,666) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2024 / 270
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION
BOND FUND | | | STRATEGIC INCOME
FUND | | | SUSTAINABLE
SECURITIZED FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED BOND FUND | |
| | Undistributed ordinary income (inclusive of short-term gains) | | $ | 799,885 | | | $ | 222,255 | | | $ | — | | | $ | 23,220,802 | | | $ | 83,015 | | | $ | — | |
| | Undistributed long-term gains | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | Other temporary differences | | | (503,105) | | | | (1,633) | | | | — | | | | (12,075,245) | | | | (951) | | | | (2,325,905) | |
| | Accumulated capital loss carryforwards and post- October losses | | | (193,743,954) | | | | (4,928,361) | | | | (1,463,316) | | | | (11,388,120,709) | | | | (12,686,659) | | | | (211,757,963) | |
| | Net unrealized appreciation (depreciation) | | | (22,673,025) | | | | (6,813,368) | | | | (395,151) | | | | (2,519,930,895) | | | | (698,599) | | | | (352,833,121) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total accumulated earnings (losses) | | $ | (216,120,199) | | | $ | (11,521,107) | | | $ | (1,858,467) | | | $ | (13,896,906,047) | | | $ | (13,303,194) | | | $ | (566,916,989) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | | CORPORATE BOND
FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 1,228,636 | | | $ | 888,057 | | | $ | 216,869 | | | $ | 283,604 | |
Net long-term capital gains | | | — | | | | 537,219 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 1,228,636 | | | $ | 1,425,276 | | | $ | 216,869 | | | $ | 283,604 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND | | | HIGH YIELD
BOND FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 29,757,265 | | | $ | 25,266,781 | | | $ | 33,524,300 | | | $ | 31,729,934 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 29,757,265 | | | $ | 25,266,781 | | | $ | 33,524,300 | | | $ | 31,729,934 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | INVESTMENT GRADE
CREDIT FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 41,555,931 | | | $ | 26,787,772 | | | $ | 720,676 | | | $ | 770,112 | |
Return of Capital | | | — | | | | — | | | | — | | | | 24,661 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 41,555,931 | | | $ | 26,787,772 | | | $ | 720,676 | | | $ | 794,773 | |
| | | | | | | | | | | | | | | | |
271 / Semi-Annual Report September 2024
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND | | | STRATEGIC
INCOME FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 62,279,679 | | | $ | 61,930,890 | | | $ | 5,299,041 | | | $ | 3,713,024 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 62,279,679 | | | $ | 61,930,890 | | | $ | 5,299,041 | | | $ | 3,713,024 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | SUSTAINABLE SECURITIZED
FUND | | | TOTAL RETURN
BOND FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 365,955 | | | $ | 324,338 | | | $ | 2,515,216,896 | | | $ | 2,163,571,272 | |
Return of Capital | | | 40,424 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 406,379 | | | $ | 324,338 | | | $ | 2,515,216,896 | | | $ | 2,163,571,272 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED
BOND FUND | |
| | | | |
| | | MARCH 31, 2024 | | | MARCH 31, 2023 | | | MARCH 31, 2024 | | | MARCH 31, 2023 | |
| | | | |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 3,495,122 | | | $ | 3,041,991 | | | $ | 178,292,972 | | | $ | 170,616,814 | |
Return of Capital | | | — | | | | — | | | | 1,643,452 | | | | — | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 3,495,122 | | | $ | 3,041,991 | | | $ | 179,936,424 | | | $ | 170,616,814 | |
| | | | | | | | | | | | | | | | |
Tax Cost
As of September 30, 2024, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500
FUND | | | CORPORATE
BOND FUND | | | FLOATING RATE
INCOME FUND | | | HIGH YIELD BOND FUND | | | INTERMEDIATE
BOND FUND | | | INVESTMENT
GRADE CREDIT
FUND | |
| | | Tax Cost | | $ | 33,625,672 | | | $ | 5,400,700 | | | $ | 318,645,404 | | | $ | 482,502,930 | | | $ | 1,004,209,871 | | | $ | 32,275,331 | |
| | | | | | | |
| | Gross unrealized appreciation | | | 1,086,458 | | | | 83,807 | | | | 2,720,352 | | | | 12,663,448 | | | | 8,769,171 | | | | 557,315 | |
| | Gross unrealized (depreciation) | | | (198,250) | | | | (548,294) | | | | (3,714,774) | | | | (14,278,842) | | | | (10,681,016) | | | | (1,217,383) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net unrealized appreciation (depreciation) | | $ | 888,208 | | | $ | (464,487) | | | $ | (994,422) | | | $ | (1,615,394) | | | $ | (1,911,845) | | | $ | (660,068) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION
BOND FUND | | | STRATEGIC
INCOME FUND | | | SUSTAINABLE
SECURITIZED
FUND | | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT
BOND FUND | | | UNCONSTRAINED
BOND FUND | |
| | Tax Cost | | $ | 1,278,626,176 | | | $ | 82,526,549 | | | $ | 13,197,853 | | | $ | 50,417,273,572 | | | $ | 55,645,438 | | | $ | 3,180,617,179 | |
| | | | | | | |
| | Gross unrealized appreciation | | | 10,357,095 | | | | 1,986,332 | | | | 247,034 | | | | 421,418,378 | | | | 430,622 | | | | 54,763,108 | |
| | Gross unrealized (depreciation) | | | (14,905,805) | | | | (8,202,537) | | | | (313,098) | | | | (1,937,988,622) | | | | (623,124) | | | | (347,808,148) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net unrealized appreciation (depreciation) | | $ | (4,548,710) | | | $ | (6,216,205) | | | $ | (66,064) | | | $ | (1,516,570,244) | | | $ | (192,502) | | | $ | (293,045,040) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| 11. | COMMITTED LINE OF CREDIT |
The Funds have entered into a $250,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purposes with an expiration date of March 31, 2025. 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 six months ended September 30, 2024. The Funds pay the Bank a commitment fee equal to 0.15% per annum on the daily unused
Semi-Annual Report September 2024 / 272
Notes to Financial Statements (Continued)
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. In December 2022, the FASB issued ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848, which deferred the sunset day of this guidance to December 31, 2024. The amendments in this update are in effect for the Funds. 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. There have been no impacts to date.
273 / Semi-Annual Report September 2024
Approval of Investment Management Agreement by Trustees (Unaudited)
The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated February 6, 2013, as amended (the “Agreement”), between the Trust, on behalf of each Fund, and the Adviser. The Agreement was approved for a two-year initial term by the shareholders of each Fund then existing at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain Funds. The Agreement was most recently amended effective February 1, 2022 for the purpose of amending the management fee provisions for each of the TCW MetWest AlphaTrak 500 Fund and TCW MetWest Strategic Income Fund. Following the Agreement’s initial two-year term with respect to each Fund, the Agreement continues in effect from year-to-year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Trustees of the Trust (the “Board”), and, in either event, by a majority of the Trustees who are not “interested persons” of the Trust, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Investment Company Act”), (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.
At an in-person meeting on September 9, 2024, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2025 through February 5, 2026 with respect to each Fund. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees also met by videoconference in a working session on August 22, 2024 to hear presentations by representatives of the Adviser, to ask related questions, to review and discuss materials provided by the Adviser for their consideration, and to meet separately with their independent legal counsel. On September 9, 2024, they also met separately with their independent legal counsel to review and discuss the materials that had been requested on their behalf by their independent legal counsel and presented by the Adviser. The information, material facts, and conclusions that formed the basis for the Independent Trustees’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed — During the course of each year, the Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on the Adviser’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, compliance monitoring, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. The information in the Adviser’s responses included extensive materials regarding each Fund’s investment results, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various services provided to the Funds and to other advisory and sub-advisory clients, descriptions of functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund. The Trustees also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to peer groups of mutual funds selected by Broadridge. After reviewing this information, the Trustees requested additional information from the Adviser, which the Adviser provided and the Trustees considered.
Review process — The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. The Independent Trustees were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Trustees also discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Trustees did not identify any single piece of information or particular factor that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board and Independent Trustees.
2. Nature, extent, and quality of services provided by the Adviser
The Board and the Independent Trustees considered the depth and quality of the Adviser’s investment management process, including its research and strong analytical capabilities; the experience, capability, and integrity of its senior management and other personnel; the advance planning and transition arrangements put in place with respect to the changes in key portfolio management and other personnel; the overall resources available to the Adviser in managing the Funds’ assets; and the ability of their organizational structure to address the fluctuations in assets that have been experienced over the past several years. The Board and the Independent Trustees considered the Adviser’s continued commitment and ability to attract and retain well-qualified investment professionals, noting in particular the Adviser’s hiring of professionals in various areas over the past several years, including recruiting and hiring a highly qualified President and Chief Executive Officer to replace the outgoing head of The TCW Group, Inc., the parent company of the Adviser (“TCW”), and several additional executive-level personnel, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements, including business continuity and cyber security, and budgeting for certain future initiatives. The Board and the Independent Trustees noted the significant role played by the Advisor, as valuation designee, with respect to the valuation of portfolio securities, including research
Semi-Annual Report September 2024 / 274
and analysis related to fair valued securities and due diligence and oversight of pricing vendors. The Board and the Independent Trustees also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, operations, administration, research, portfolio accounting and legal matters. They noted the substantial additional resources made available by TCW. The Board and the Independent Trustees examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Adviser’s institutional and sub-advised clients, as well as the Adviser’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between the Adviser and the Independent Trustees. The Adviser explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Trustees and their meetings, regulatory filings, and various operational personnel, and the related costs.
The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board and the Independent Trustees considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2024. The Board and the Independent Trustees reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with Broadridge. In reviewing each Fund’s relative performance, the Board and the Independent Trustees took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Trustees noted that each Fund’s performance was satisfactory over the relevant periods, particularly over longer periods, which the Board and the Independent Trustees believe are generally the most relevant. The Board and the Independent Trustees indicated their belief that the performance of each Fund for periods where the Fund lagged its respective peer group average remained satisfactory when assessed on a risk-adjusted basis, in part because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns. The Board and the Independent Trustees recognized the Adviser’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and evolving overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Trustees believed that relative performance also should be considered in light of future market conditions expected by the Adviser and positioning of the Funds’ portfolios in light of those expectations. The Board and the Independent Trustees noted the Adviser’s view that longer-term performance can be more meaningful for active fixed income funds such as the Funds because market cycles in fixed income are generally longer than three years. The Board and the Independent Trustees also considered data showing that the Funds generally experienced less volatility for many periods compared to other funds in the applicable peer groups.
For the TCW MetWest Total Return Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third (Class I)/fourth (Class M) quintile for the ten-year period, the fourth (Class I)/fifth (Class M) quintile for the five-year period, the fourth (Class I)/fifth (Class M) quintile for the three-year period and the fifth (Class I)/fifth (Class M) quintile for the one-year period. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for certain periods, including that the Fund’s increased duration and exposure to agency mortgage-backed securities and higher volatility contributed to its underperformance, and noted that the Class I shares of the Fund performed in line with the benchmark for the ten- and five-year periods.
For the TCW MetWest Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten- and one-year periods and the fourth quintile for the five- and three-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for certain periods, including that the Fund’s increased duration and exposure to mortgage-backed securities during that period contributed to its underperformance.
For the TCW MetWest Low Duration Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten-, five- three- and one-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for those periods, including that the Fund’s increased average duration contributed to its underperformance, and noted that despite its underperformance relative to its peers, the Fund outperformed the benchmark for each of the ten-, five-, three- and one-year periods.
For the TCW MetWest Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period and fifth quintile for the five-, three- and one-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for certain periods, including that the Fund’s increased average duration contributed to its underperformance, and noted the Fund’s strong performance for the 15-year and 20-year periods ended May 31, 2024.
275 / Semi-Annual Report September 2024
For the TCW MetWest High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the ten-year period, the second quintile for the five-year period, the fourth quintile for the three-year period and the fifth quintile for the one-year period. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for certain periods, including that the Fund’s defensive positioning contributed to that underperformance, and noted the Fund’s stronger performance for the five-, ten-, and 20-year periods ended May 31, 2024.
For the TCW MetWest Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-, five- and one-year periods and the third quintile for the three-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group. The Board noted that the Adviser had recommended, and the Board had approved, the reorganization of the Fund into the TCW Senior Loan ETF, a newly created exchange-traded fund (“ETF”) that is a series of TCW ETF Trust, estimated to occur in November 2024.
For the TCW MetWest Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten-, five- and one-year periods and the second quintile for the three-year period. The Board and the Independent Trustees further noted the lower volatility for this Fund compared to the funds in the peer group.
For the TCW MetWest AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third quintile for the five- and one-year periods and the fourth quintile for the three-year period and that the Fund’s performance improved to the third quintile for the three-year period ended July 31, 2024. The Board and the Independent Trustees took into account the Adviser’s discussion of the relative underperformance for the three-year period ended March 31, 2024, including the Fund’s duration exposure. The Board and the Independent Trustees noted that the Adviser had recommended, and the Board had approved, the liquidation of the Fund effective on or about October 31, 2024.
For the TCW MetWest Strategic Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-, five-, three- and one-year periods. The Board and the Independent Trustees also considered the limitations of using the absolute return funds peer group for this Fund because of the significant differences in the strategies used by those funds.
For the TCW MetWest Corporate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period and the fourth quintile for the three- and one-year periods. The Board and the Independent Trustees took into account the Adviser’s discussions of the relative underperformance of the Fund for certain periods, including that the Fund’s increased average duration contributed to its underperformance. The Board noted that the Adviser had recommended, and the Board had approved, the reorganization of the Fund into the TCW Corporate Bond ETF, a newly-created ETF that is a series of TCW ETF Trust, estimated to occur during the fourth quarter of 2024.
For the TCW MetWest Sustainable Securitized Fund, the Board and the Independent Trustees noted that that the Fund’s performance was in the first quintile for the one-year period and the second quintile for the period since the Fund’s inception on September 30, 2021.
For the TCW MetWest Investment Grade Credit Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the five-, three- and one-year periods.
The Board and the Independent Trustees concluded that the Adviser was implementing each Fund’s investment objective(s) and that the Adviser’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Trustees compared the management fees (which Broadridge defines to include advisory fees and administrative fees) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense levels of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Trustees by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Trustees observed that each Fund’s management fee, after giving effect to applicable reimbursements, was below or near the median of the peer group funds on a current basis, with the exception of the TCW MetWest Unconstrained Bond Fund and TCW MetWest Floating Rate Income Fund, whose management fees were approximately 12 and 11 basis points above the median, respectively. The Board noted that the Adviser had recommended, and the Board had approved, the reorganization of the TCW MetWest Floating Rate Income Fund into the TCW Senior Loan ETF, a newly-created ETF that is a series of TCW ETF Trust, estimated to occur in November 2024. With respect to the TCW MetWest Unconstrained Bond Fund, the Board noted that the Fund’s total operating expenses were only 3 basis points above median, which the Board did not consider to be unreasonable.
In considering the Funds’ total operating expenses, the Board and the Independent Trustees observed that each Fund’s total expenses were below or near the median of the peer group funds on a current basis, with the exception of the TCW MetWest Strategic Income Fund, for which total expenses were approximately 5 basis points above the median. The Board considered that the change from a performance-based fee structure to a flat-rate asset-based fee structure for the TCW MetWest Strategic Income Fund, which was proposed by the Adviser and approved by shareholders effective February 1, 2022, had resulted in a narrower dispersion from the median as compared to the dispersion before that change. The Board and the Independent Trustees also considered the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may recoup, and has recouped in the past, certain fees and/
Semi-Annual Report September 2024 / 276
or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, daily pricing, valuation and liquidity responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Adviser’s costs, level of profits, and economies of scale
The Board and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel compensation costs, which constitute the Adviser’s largest operating cost. The Board and the Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. The Board and the Independent Trustees also reviewed a comparison of the Adviser’s profitability with respect to the Funds to the profitability of certain unaffiliated publicly traded asset managers, which the Adviser believed supported its view that the Adviser’s profitability was reasonable. Based on their review, the Board and the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Board and the Independent Trustees considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s view that the advisory fees compare favorably to peer group fees and expenses and remain competitive even at higher asset levels and that the relatively low advisory fees reflect the potential economies of scale. For example, the largest Fund, the Total Return Bond Fund, is one of the largest mutual funds in its peer group, but its actual management fees and total expenses remain at or below the peer group median. The Board and the Independent Trustees recognized the benefits of the Adviser’s substantial past and on-going investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal, compliance, risk management and cybersecurity programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees further noted the Adviser’s past and current subsidies of the operating expenses of newer and smaller Funds and the Adviser’s commitment to maintain reasonable overall operating expenses for each Fund. The Board and the Independent Trustees also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients in addition to mutual funds. The Board and the Independent Trustees considered the risk borne by the Adviser that the Funds’ net assets and thus that the Adviser’s fees might decline and that smaller Funds might not grow to become profitable. The Board and the Independent Trustees concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Trustees also considered other actual and potential financial benefits to the Adviser or its affiliates. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser. They noted that the principal underwriter for the Funds’ shares is affiliated with the Adviser but does not derive a profit from that role. The Board and the Independent Trustees concluded that any potential benefits received or to be derived by the Adviser from its relationships with the Funds are reasonably related to the services provided by the Adviser to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
277 / Semi-Annual Report September 2024
TCW Metropolitan West Funds
Privacy Policy
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The TCW Group, Inc. and Subsidiaries TCW Investment Management Company LLC TCW Asset Management Company LLC Metropolitan West Asset Management, LLC |
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| TCW Funds, Inc. | | Sepulveda Management LLC | | TCW Direct Lending VIII LLC |
| TCW Strategic Income Fund, Inc. | | TCW Direct Lending LLC | | TCW Star Direct Lending LLC |
| TCW Metropolitan West Funds | | TCW Direct Lending VII LLC | | TCW ETF TRUST |
Effective January 2024
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 TCW Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, TCW Direct Lending VIII LLC, TCW Star Direct Lending LLC, and TCW ETF TRUST (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.
Semi-Annual Report September 2024 / 278
We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.
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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 TCW Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, TCW Direct Lending VIII LLC, TCW Star Direct Lending LLC, and TCW ETF TRUST.
| • | | 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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TCW METROPOLITAN WEST FUNDS | | TCW STAR DIRECT LENDING LLC |
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SEPULVEDA MANAGEMENT LLC | | TCW ETF TRUST |
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Attention: Privacy Officer | 515 South Flower Street | Los Angeles, CA 90071 | email: privacy@tcw.com |
279 / Semi-Annual Report September 2024
[THIS PAGE INTENTIONALLY LEFT BLANK]
TCW MetWest Funds
515 South Flower Street
Los Angeles, California 90071
800 241 4671
www.TCW.com
Board of Trustees
Patrick C. Haden
Martin Luther King III
Megan McClellan
Peter McMillan
Patrick Moore
Victoria B. Rogers
Robert G. Rooney
Michael Swell
Andrew Tarica
Officers
Megan McClellan
President and Principal Executive Officer
Drew Bowden
Executive Vice President
Eric Chan
Assistant Treasurer
Peter Davidson
Vice President and Secretary
Lisa Eisen
Tax 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
515 South Flower Street
Los Angeles, CA 90071
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
515 South Flower Street
Los Angeles, CA 90071
Legal Counsel
Paul Hastings LLP
101 California Street, 48th Floor
San Francisco, CA 94111
For Additional Information about the TCW 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 5/2024
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
The Fund’s disclosure of remuneration items is included as part of the Semi-Annual Financials and Additional Information filed under Item 7 of this form.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
The Fund’s statement regarding basis for approval of Investment Advisory Contract is included as part of the Semi-Annual Financials and Additional Information filed under Item 7 of this form.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 16. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officer, 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”)) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the 1940 Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of this report on Form N-CSR. |
| | (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 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment
Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. 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) TCW Metropolitan West Funds
By (Signature and Title)* /s/ Megan McClellan
Megan McClellan, President and Principal Executive Officer
(principal executive officer)
Date December 3, 2024
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/ Megan McClellan
Megan McClellan, President and Principal Executive Officer
(principal executive officer)
Date December 3, 2024
By (Signature and Title)* /s/ Richard Villa
Richard Villa, Treasurer, Principal Financial Officer and Principal
Accounting Officer
(principal financial officer)
Date December 3, 2024
* Print the name and title of each signing officer under his or her signature.
