Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
1
/
June
2023
Issues
Maturity
Date
Principal
Amount
Value
BONDS
–
98.31%
ASSET-BACKED
SECURITIES
—
8.78%**
AmeriCredit
Automobile
Receivables
Trust,
Series
2021-1,
Class
D
1.21%
12/18/26
$
540,000
$
490,277
AmeriCredit
Automobile
Receivables
Trust,
Series
2022-2,
Class
C
5.32%
04/18/28
630,000
616,601
AMMC
CLO
XI
Ltd.,
Series
2012-11A,
Class
A1R2
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
1.01%)
6.31%
04/30/31
1,2,3
250,000
247,487
Canyon
Capital
CLO
Ltd.,
Series
2021-1A,
Class
X
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
6.06%
04/15/34
1,2,3
87,500
87,458
Educational
Funding
of
the
South,
Inc.,
Series
2011-1,
Class
A2
(LIBOR
USD
3-Month
plus
0.65%)
5.91%
04/25/35
1
164,442
164,322
Flatiron
CLO
17
Ltd.,
Series
2017-1A,
Class
AR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.98%)
6.30%
05/15/30
1,2,3
266,684
264,308
GLS
Auto
Receivables
Issuer
Trust,
Series
2020-1A,
Class
D
3.68%
11/16/26
2
630,000
607,965
JPMorgan
Chase
Bank
N.A.
-
CACLN,
Series
2021-2,
Class
B
0.89%
12/26/28
2
441,003
426,484
JPMorgan
Chase
Bank
N.A.
-
CACLN,
Series
2021-3,
Class
D
1.01%
02/26/29
2
254,329
240,752
LCM
29
Ltd.,
Series
29A,
Class
XR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
6.06%
04/15/31
1,2,3
272,727
271,925
Navient
Private
Education
Refi
Loan
Trust,
Series
2021-CA,
Class
A
1.06%
10/15/69
2
976,681
843,217
Nelnet
Student
Loan
Trust,
Series
2012-5A,
Class
A
(LIBOR
USD
1-Month
plus
0.60%)
5.75%
10/27/36
1,2
181,229
177,129
Octagon
Investment
Partners
XIV
Ltd.,
Series
2012-1A,
Class
AARR
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.95%)
6.21%
07/15/29
1,2,3
631,405
627,499
Palmer
Square
Loan
Funding
Ltd.,
Series
2020-1A,
Class
A1
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
6.18%
02/20/28
1,2,3
140,396
139,897
Issues
Maturity
Date
Principal
Amount
Value
ASSET-BACKED
SECURITIES
(continued)
Palmer
Square
Loan
Funding
Ltd.,
Series
2021-2A,
Class
A1
(Cayman
Islands)
(LIBOR
USD
3-Month
plus
0.80%)
6.18%
05/20/29
1,2,3
$
428,458
$
424,674
Progress
Residential
Trust,
Series
2019-SFR3,
Class
E
3.37%
09/17/36
2
325,000
310,357
Progress
Residential
Trust,
Series
2019-SFR4,
Class
G
3.93%
10/17/36
2
755,000
721,772
Progress
Residential
Trust,
Series
2020-SFR2,
Class
A
2.08%
06/17/37
2
882,909
819,511
Santander
Drive
Auto
Receivables
Trust,
Series
2021-1,
Class
D
1.13%
11/16/26
990,000
947,106
SLM
Student
Loan
Trust,
Series
2013-4,
Class
A
(LIBOR
USD
1-Month
plus
0.55%)
5.70%
06/25/27
1
85,965
83,477
Tricon
American
Homes
Trust,
Series
2017-SFR2,
Class
A
2.93%
01/17/36
2
893,066
876,316
Total
Asset-Backed
Securities
(Cost
$9,669,570)
9,388,534
CORPORATES
—
24.09%*
Banking
—
6.05%
Bank
of
America
Corp.
1.73%
07/22/27
4
150,000
133,943
Bank
of
America
Corp.
(GMTN)
3.59%
07/21/28
4
70,000
65,247
Bank
of
America
Corp.
(MTN)
1.32%
06/19/26
4
770,000
705,241
3.82%
01/20/28
4
985,000
932,000
DNB
Bank
ASA
(Norway)
0.86%
09/30/25
2,3,4
390,000
365,926
ING
Groep
NV
(Netherlands)
3.87%
03/28/26
3,4
510,000
490,143
Lloyds
Banking
Group
PLC
(United
Kingdom)
1.63%
05/11/27
3,4
125,000
110,682
Macquarie
Group
Ltd.
(Australia)
1.20%
10/14/25
2,3,4
850,000
797,447
PNC
Financial
Services
Group,
Inc.
(The)
5.58%
06/12/29
4
55,000
54,781
Santander
UK
Group
Holdings
PLC
(United
Kingdom)
1.09%
03/15/25
3,4
425,000
407,077
U.S.
Bancorp
4.65%
02/01/29
4
300,000
286,898
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
2
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Banking
(continued)
UBS
Group
AG
(Switzerland)
1.31%
02/02/27
2,3,4
$
485,000
$
424,593
2.13%
10/13/26
3,4
100,000
101,648
2.59%
09/11/25
2,3,4
505,000
481,241
Wells
Fargo
&
Co.
(MTN)
2.16%
02/11/26
4
1,180,000
1,111,780
6,468,647
Communications
—
0.89%
Qwest
Corp.
7.25%
09/15/25
400,000
390,000
Sprint
Spectrum
Co.
LLC/Sprint
Spectrum
Co.
II
LLC/Sprint
Spectrum
Co.
III
LLC
5.15%
03/20/28
2
190,000
188,045
T-Mobile
USA,
Inc.
2.25%
02/15/26
400,000
368,623
946,668
Consumer
Discretionary
—
1.04%
Imperial
Brands
Finance
PLC
(United
Kingdom)
6.13%
07/27/27
2,3
135,000
135,459
Reynolds
American,
Inc.
4.85%
09/15/23
600,000
598,460
WarnerMedia
Holdings,
Inc.
3.76%
03/15/27
400,000
373,393
1,107,312
Diversified
REITs
—
0.86%
Digital
Euro
Finco
LLC
2.63%
04/15/24
385,000
411,030
VICI
Properties
LP/VICI
Note
Co.,
Inc.
4.63%
06/15/25
2
230,000
222,655
5.75%
02/01/27
2
285,000
279,988
913,673
Electric
—
1.45%
American
Electric
Power
Co.,
Inc.
2.03%
03/15/24
620,000
603,237
Eversource
Energy
2.90%
03/01/27
350,000
323,232
Metropolitan
Edison
Co.
4.00%
04/15/25
2
500,000
478,732
Pennsylvania
Electric
Co.
4.15%
04/15/25
2
150,000
145,075
1,550,276
Energy
—
2.06%
Energy
Transfer
LP
5.95%
12/01/25
900,000
901,794
Plains
All
American
Pipeline
LP/PAA
Finance
Corp.
4.50%
12/15/26
350,000
338,941
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Energy
(continued)
Southern
Co.
Gas
Capital
Corp.
3.88%
11/15/25
$
1,000,000
$
959,764
2,200,499
Finance
—
5.37%
AerCap
Ireland
Capital
DAC/AerCap
Global
Aviation
Trust
(Ireland)
2.45%
10/29/26
3
400,000
357,772
Air
Lease
Corp.
3.63%
04/01/27
400,000
369,865
Avolon
Holdings
Funding
Ltd.
(Cayman
Islands)
2.53%
11/18/27
2,3
383,000
323,321
Capital
One
Financial
Corp.
1.34%
12/06/24
4
610,000
594,104
Citigroup,
Inc.
3.89%
01/10/28
4
1,120,000
1,062,026
Goldman
Sachs
Group,
Inc.
(The)
1.22%
12/06/23
545,000
535,020
JPMorgan
Chase
&
Co.
0.82%
06/01/25
4
125,000
118,772
1.04%
02/04/27
4
1,235,000
1,100,967
Morgan
Stanley
0.99%
12/10/26
4
855,000
763,602
1.59%
05/04/27
4
245,000
219,400
Nationwide
Building
Society
(United
Kingdom)
4.36%
08/01/24
2,3,4
125,000
124,751
UBS
Group
AG
(Switzerland)
1.36%
01/30/27
2,3,4
200,000
175,359
5,744,959
Health
Care
—
1.06%
Amgen,
Inc.
5.15%
03/02/28
390,000
389,834
HCA,
Inc.
5.38%
02/01/25
500,000
496,019
5.88%
02/15/26
250,000
250,200
1,136,053
Health
Care
REITs
—
0.18%
Healthcare
Realty
Holdings
LP
3.63%
01/15/28
220,000
194,957
Industrials
—
0.89%
Amcor
Flexibles
North
America,
Inc.
4.00%
05/17/25
400,000
387,229
Berry
Global,
Inc.
5.50%
04/15/28
2
300,000
296,158
Boeing
Co.
(The)
1.43%
02/04/24
125,000
121,711
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
3
/
June
2023
Issues
Maturity
Date
Principal
Amount
Value
CORPORATES
(continued)
Industrials
(continued)
General
Electric
Co.
(MTN)
(LIBOR
USD
3-Month
plus
0.38%)
5.71%
05/05/26
1
$
142,000
$
141,620
946,718
Information
Technology
—
1.27%
Netflix,
Inc.
3.63%
06/15/25
2
490,000
472,486
Oracle
Corp.
5.80%
11/10/25
300,000
303,587
VMware,
Inc.
1.00%
08/15/24
610,000
577,662
1,353,735
Insurance
—
1.74%
Athene
Global
Funding
2.51%
03/08/24
2
135,000
131,009
(SOFR
Index
plus
0.70%)
5.79%
05/24/24
1,2
500,000
495,114
Nationwide
Mutual
Insurance
Co.
7.84%
12/15/24
2,4
670,000
669,472
Trinity
Acquisition
PLC
(United
Kingdom)
4.63%
08/15/23
3
570,000
568,427
1,864,022
Materials
—
0.31%
International
Flavors
&
Fragrances,
Inc.
1.83%
10/15/27
2
390,000
329,129
Real
Estate
Investment
Trust
(REIT)
—
0.24%
Annington
Funding
PLC
(EMTN)
(United
Kingdom)
2.65%
07/12/25
3
225,000
259,742
Services
—
0.38%
Global
Payments,
Inc.
2.15%
01/15/27
455,000
404,026
Specialized
REITs
—
0.30%
Extra
Space
Storage
LP
5.70%
04/01/28
135,000
135,029
Life
Storage
LP
3.88%
12/15/27
205,000
190,586
325,615
Total
Corporates
(Cost
$26,232,718)
25,746,031
MORTGAGE-BACKED
—
44.16%**
Non-Agency
Commercial
Mortgage-Backed
—
4.87%
BX
Commercial
Mortgage
Trust,
Series
2020-VKNG,
Class
A
(CME
Term
SOFR
1-Month
plus
1.04%)
6.19%
10/15/37
1,2
566,521
559,881
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Commercial
Mortgage-Backed
(continued)
BX
Commercial
Mortgage
Trust,
Series
2022-CSMO,
Class
A
(CME
Term
SOFR
1-Month
plus
2.11%)
7.26%
06/15/27
1,2
$
205,000
$
204,993
FS
Rialto,
Series
2019-FL1,
Class
A
(Cayman
Islands)
(LIBOR
USD
1-Month
plus
1.20%)
6.36%
12/16/36
1,2,3
378,813
377,137
Great
Wolf
Trust,
Series
2019-WOLF,
Class
A
(CME
Term
SOFR
1-Month
plus
1.15%)
6.30%
12/15/36
1,2
850,000
840,412
JPMBB
Commercial
Mortgage
Securities
Trust,
Series
2014-C26,
Class
A3
3.23%
01/15/48
244,921
234,058
KKR
Industrial
Portfolio
Trust,
Series
2021-KDIP,
Class
A
(CME
Term
SOFR
1-Month
plus
0.66%)
5.81%
12/15/37
1,2
568,075
558,534
MF1
Ltd.,
Series
2020-FL4,
Class
A
(CME
Term
SOFR
1-Month
plus
1.81%)
6.96%
11/15/35
1,2
252,068
250,618
Morgan
Stanley
Bank
of
America
Merrill
Lynch
Trust,
Series
2013-C12,
Class
XA
(IO)
0.79%
10/15/46
4
1,355,571
53
MSCG
Trust,
Series
2018-SELF,
Class
A
(LIBOR
USD
1-Month
plus
0.90%)
6.09%
10/15/37
1,2
1,188,033
1,177,455
Wells
Fargo
Commercial
Mortgage
Trust,
Series
2017-SMP,
Class
A
(LIBOR
USD
1-Month
plus
0.88%)
6.07%
12/15/34
1,2
1,100,000
1,006,712
5,209,853
Non-Agency
Mortgage-Backed
—
10.98%
Aames
Mortgage
Trust,
Series
2002-1,
Class
A3
(STEP-reset
date
08/25/23)
7.40%
06/25/32
10,397
10,010
Adjustable
Rate
Mortgage
Trust,
Series
2005-1,
Class
1A1
4.11%
05/25/35
4
18,881
18,136
Ajax
Mortgage
Loan
Trust,
Series
2019-F,
Class
A1
(STEP-reset
date
07/25/23)
2.86%
07/25/59
2
141,661
132,913
Alternative
Loan
Trust,
Series
2004-J6,
Class
2A1
6.50%
11/25/31
16,379
15,733
Ameriquest
Mortgage
Securities,
Inc.,
Asset-Backed
Pass-
Through
Certificates,
Series
2005-R10,
Class
M3
(LIBOR
USD
1-Month
plus
0.68%)
5.83%
01/25/36
1
466,523
457,050
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
4
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Ameriquest
Mortgage
Securities,
Inc.,
Asset-Backed
Pass-
Through
Certificates,
Series
2005-R9,
Class
M1
(LIBOR
USD
1-Month
plus
0.71%)
5.86%
11/25/35
1
$
614,442
$
598,137
Banc
of
America
Funding
Trust,
Series
2003-2,
Class
1A1
6.50%
06/25/32
2,519
2,472
Bear
Stearns
Asset-Backed
Securities
Trust,
Series
2006-2,
Class
M5
(LIBOR
USD
1-Month
plus
2.03%)
7.18%
07/25/36
1
315,260
314,693
CIT
Mortgage
Loan
Trust,
Series
2007-1,
Class
1A
(LIBOR
USD
1-Month
plus
1.35%)
6.50%
10/25/37
1,2
265,824
265,353
Citigroup
Mortgage
Loan
Trust,
Series
2007-AMC4,
Class
A2D
(LIBOR
USD
1-Month
plus
0.27%)
5.42%
05/25/37
1
162,990
158,305
Citigroup
Mortgage
Loan
Trust,
Inc.,
Series
2006-WFH4,
Class
M2
(LIBOR
USD
1-Month
plus
0.44%)
5.59%
11/25/36
1
535,328
521,637
Countrywide
Asset-Backed
Certificates
Trust,
Series
2005-4,
Class
MV5
(LIBOR
USD
1-Month
plus
1.01%)
6.16%
10/25/35
1
555,165
544,509
Credit
Suisse
First
Boston
Mortgage
Securities
Corp.,
Series
2002-AR31,
Class
4A2
4.25%
11/25/32
4
15,375
14,773
DSLA
Mortgage
Loan
Trust,
Series
2004-AR3,
Class
2A2A
(LIBOR
USD
1-Month
plus
0.74%)
5.90%
07/19/44
1
70,886
64,105
Encore
Credit
Receivables
Trust,
Series
2005-3,
Class
M4
(LIBOR
USD
1-Month
plus
0.90%)
6.05%
10/25/35
1
810,597
786,407
First
Franklin
Mortgage
Loan
Trust,
Series
2005-FF8,
Class
M2
(LIBOR
USD
1-Month
plus
0.78%)
5.93%
09/25/35
1
500,440
496,802
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FF11,
Class
1A1
(LIBOR
USD
1-Month
plus
0.26%)
5.41%
08/25/36
1
181,936
181,179
First
Franklin
Mortgage
Loan
Trust,
Series
2006-FFH1,
Class
M1
(LIBOR
USD
1-Month
plus
0.56%)
5.71%
01/25/36
1
607,056
578,616
GE
Mortgage
Services
LLC,
Series
1998-HE1,
Class
A7
6.47%
06/25/28
1
1
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
GSAMP
Trust,
Series
2005-HE5,
Class
M3
(LIBOR
USD
1-Month
plus
0.69%)
5.84%
11/25/35
1
$
184,308
$
181,330
HSI
Asset
Securitization
Corp.
Trust,
Series
2006-OPT1,
Class
M1
(LIBOR
USD
1-Month
plus
0.54%)
5.69%
12/25/35
1
45,898
45,307
HSI
Asset
Securitization
Corp.
Trust,
Series
2006-OPT2,
Class
M2
(LIBOR
USD
1-Month
plus
0.59%)
5.74%
01/25/36
1
378,211
367,910
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR12,
Class
A1
(LIBOR
USD
1-Month
plus
0.78%)
5.93%
12/25/34
1
236,816
187,633
IndyMac
Index
Mortgage
Loan
Trust,
Series
2004-AR6,
Class
6A1
4.46%
10/25/34
4
70,621
64,113
JPMorgan
Mortgage
Acquisition
Trust,
Series
2007-CH4,
Class
A5
(LIBOR
USD
1-Month
plus
0.24%)
5.39%
05/25/37
1
1,047,659
1,038,677
JPMorgan
Mortgage
Trust,
Series
2005-A2,
Class
9A1
4.13%
04/25/35
4
65,607
63,240
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2004-12,
Class
5A1
4.12%
10/25/34
4
23,960
22,720
MASTR
Adjustable
Rate
Mortgages
Trust,
Series
2007-1,
Class
I2A1
(LIBOR
USD
1-Month
plus
0.32%)
5.47%
01/25/47
1
231,568
227,333
MASTR
Seasoned
Securitization
Trust,
Series
2004-1,
Class
4A1
4.22%
10/25/32
4
16,354
15,848
Merrill
Lynch
Mortgage
Investors
Trust,
Series
2003-A1,
Class
2A
(LIBOR
USD
12-Month
plus
1.63%)
7.36%
12/25/32
1
124,403
118,911
MortgageIT
Trust,
Series
2005-1,
Class
1A1
(LIBOR
USD
1-Month
plus
0.64%)
5.79%
02/25/35
1
381,631
367,174
Nomura
Resecuritization
Trust,
Series
2015-9R,
Class
2A1
(STEP-reset
date
08/28/23)
3.00%
05/25/36
2
5,578
5,578
Ownit
Mortgage
Loan
Trust,
Series
2006-3,
Class
A2D
(LIBOR
USD
1-Month
plus
0.54%)
5.69%
03/25/37
1
533,294
505,373
Park
Place
Securities,
Inc.,
Asset-Backed
Pass-Through
Certificates,
Series
2004-WHQ2,
Class
M4
(LIBOR
USD
1-Month
plus
1.58%)
6.73%
02/25/35
1
326,204
315,472
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
5
/
June
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
Park
Place
Securities,
Inc.,
Asset-Backed
Pass-Through
Certificates,
Series
2005-WHQ3,
Class
M4
(LIBOR
USD
1-Month
plus
0.95%)
6.10%
06/25/35
1
$
54,716
$
54,357
PRPM
LLC,
Series
2021-3,
Class
A1
(STEP-reset
date
07/25/23)
1.87%
04/25/26
2
240,428
223,233
Residential
Asset
Mortgage
Products
Trust,
Series
2004-SL1,
Class
A2
8.50%
11/25/31
34,405
11,427
Residential
Asset
Securities
Corp.,
Series
2006-KS3,
Class
M1
(LIBOR
USD
1-Month
plus
0.33%)
5.65%
04/25/36
1
278,233
270,879
Residential
Asset
Securities
Corp.,
Series
2006-KS5,
Class
A4
(LIBOR
USD
1-Month
plus
0.26%)
5.41%
07/25/36
1
521,589
516,285
Residential
Asset
Securitization
Trust,
Series
2004-IP2,
Class
2A1
3.52%
12/25/34
4
53,240
45,257
Soundview
Home
Loan
Trust,
Series
2005-OPT1,
Class
M2
(LIBOR
USD
1-Month
plus
0.68%)
5.83%
06/25/35
1
581,821
561,589
Structured
Asset
Investment
Loan
Trust,
Series
2005-HE3,
Class
M1
(LIBOR
USD
1-Month
plus
0.72%)
5.87%
09/25/35
1
140,096
137,169
Structured
Asset
Securities
Corp.
Mortgage
Loan
Trust,
Series
2006-EQ1A,
Class
A1
(LIBOR
USD
1-Month
plus
0.14%)
5.29%
07/25/36
1,2
94,634
93,391
Structured
Asset
Securities
Corp.
Mortgage
Loan
Trust,
Series
2006-OPT1,
Class
A1
(LIBOR
USD
1-Month
plus
0.18%)
5.33%
04/25/36
1
271,502
266,821
Terwin
Mortgage
Trust,
Series
2006-5,
Class
1A2B
(LIBOR
USD
1-Month
plus
0.42%)
5.57%
07/25/37
1,2
449,321
434,987
Terwin
NIMs
Trust,
Series
2004-13AL,
Class
2PX
(IO)
0.34%
08/25/34
2,5,6
971,017
11,257
Towd
Point
Mortgage
Trust,
Series
2019-MH1,
Class
A1
3.00%
11/25/58
2,4
328,517
324,360
WaMu
Mortgage
Pass-Through
Certificates,
Series
2002-AR6,
Class
A
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
1.40%)
5.38%
06/25/42
1
8,634
7,957
WaMu
Mortgage
Pass-Through
Certificates,
Series
2003-AR6,
Class
A1
5.35%
06/25/33
4
24,783
23,288
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
Non-Agency
Mortgage-Backed
(continued)
WaMu
Mortgage
Pass-Through
Certificates,
Series
2005-4,
Class
CB13
(LIBOR
USD
1-Month
plus
0.50%)
5.50%
06/25/35
1
$
80,746
$
68,556
11,738,263
U.S.
Agency
Commercial
Mortgage-Backed
—
2.33%
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ29,
Class
A1
0.74%
01/25/26
207,942
199,841
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ31,
Class
A1
0.57%
05/25/26
125,745
120,594
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ32,
Class
A1
0.52%
06/25/25
234,704
223,623
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KJ34,
Class
A1
0.68%
06/25/26
273,280
251,539
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
KS07,
Class
X
(IO)
0.74%
09/25/25
4
3,337,075
42,104
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
Q004,
Class
AFL
(Federal
Reserve
US
12-Month
Cumulative
Average
plus
0.74%)
4.95%
05/25/44
1
107,254
106,614
Freddie
Mac
Multifamily
Structured
Pass-Through
Certificates,
Series
Q010,
Class
APT1
4.90%
04/25/46
4
41,985
41,723
Ginnie
Mae,
Series
2008-92,
Class
E
5.56%
03/16/44
4
89,533
87,826
Ginnie
Mae,
Series
2010-159,
Class
D
4.56%
09/16/44
4
114,782
112,831
Ginnie
Mae,
Series
2011-165,
Class
IO
(IO)
0.00%
10/16/51
4
2,107,471
21
Ginnie
Mae,
Series
2011-92,
Class
C
3.73%
04/16/52
4
899,746
841,875
Ginnie
Mae,
Series
2012-135,
Class
IO
(IO)
0.34%
01/16/53
4
1,618,421
14,840
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
6
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Commercial
Mortgage-Backed
(continued)
Ginnie
Mae,
Series
2014-157,
Class
C
3.15%
10/16/54
4
$
463,124
$
444,113
2,487,544
U.S.
Agency
Mortgage-Backed
—
25.98%
Fannie
Mae
Pool
254548
5.50%
12/01/32
46,502
47,609
Fannie
Mae
Pool
555098
(LIBOR
USD
12-Month
plus
1.61%)
3.86%
11/01/32
1
5,363
5,238
Fannie
Mae
Pool
555424
5.50%
05/01/33
31,062
31,337
Fannie
Mae
Pool
655133
7.00%
08/01/32
5,211
5,216
Fannie
Mae
Pool
655151
7.00%
08/01/32
4,058
4,046
Fannie
Mae
Pool
762525
6.50%
11/01/33
8,386
8,296
Fannie
Mae
Pool
770900
(LIBOR
USD
12-Month
plus
1.56%)
4.94%
04/01/34
1
53,743
52,805
Fannie
Mae
Pool
AD0538
6.00%
05/01/24
1,445
1,440
Fannie
Mae
Pool
AE0443
6.50%
10/01/39
37,620
39,261
Fannie
Mae
Pool
AL0851
6.00%
10/01/40
32,835
34,566
Fannie
Mae
REMICS,
Series
2001-42,
Class
SB
(-16.00
X
LIBOR
USD
1-Month
plus
128.00%,
8.50%
Cap)
8.50%
09/25/31
1
584
574
Fannie
Mae
REMICS,
Series
2001-60,
Class
OF
(LIBOR
USD
1-Month
plus
0.95%)
6.10%
10/25/31
1
42,770
43,325
Fannie
Mae
REMICS,
Series
2002-30,
Class
FB
(LIBOR
USD
1-Month
plus
1.00%)
6.15%
08/25/31
1
43,281
43,473
Fannie
Mae
REMICS,
Series
2003-124,
Class
TS
(-14.00
X
LIBOR
USD
1-Month
plus
100.80%,
9.80%
Cap)
9.80%
01/25/34
1
6,731
6,745
Fannie
Mae
REMICS,
Series
2004-60,
Class
FW
(LIBOR
USD
1-Month
plus
0.45%)
5.60%
04/25/34
1
104,139
103,904
Fannie
Mae
REMICS,
Series
2004-96,
Class
MT
(-17.50
X
LIBOR
USD
1-Month
plus
125.13%,
7.00%
Cap)
7.00%
12/25/34
1
10,049
9,194
Fannie
Mae
REMICS,
Series
2005-73,
Class
DF
(LIBOR
USD
1-Month
plus
0.25%)
5.40%
08/25/35
1
65,416
64,613
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Fannie
Mae
REMICS,
Series
2007-68,
Class
SC
(IO)
(-1.00
X
LIBOR
USD
1-Month
plus
6.70%,
6.70%
Cap)
1.55%
07/25/37
1
$
50,718
$
4,931
Fannie
Mae
REMICS,
Series
2010-109,
Class
PF
(LIBOR
USD
1-Month
plus
0.40%)
5.55%
10/25/40
1
31,468
31,081
Fannie
Mae
REMICS,
Series
2010-26,
Class
S
(IO)
(-1.00
X
LIBOR
USD
1-Month
plus
6.23%,
6.23%
Cap)
1.08%
11/25/36
1
190,297
17,710
Fannie
Mae
REMICS,
Series
2010-95,
Class
FB
(LIBOR
USD
1-Month
plus
0.40%)
5.55%
09/25/40
1
38,733
38,746
Fannie
Mae
REMICS,
Series
2011-47,
Class
GF
(LIBOR
USD
1-Month
plus
0.57%)
5.72%
06/25/41
1
622,766
615,248
Fannie
Mae
REMICS,
Series
2018-79,
Class
FA
(LIBOR
USD
1-Month
plus
0.25%)
5.40%
11/25/48
1
42,010
40,918
Fannie
Mae
REMICS,
Series
2019-79,
Class
FA
(LIBOR
USD
1-Month
plus
0.50%)
5.65%
01/25/50
1
94,717
92,302
Fannie
Mae
REMICS,
Series
2020-10,
Class
FA
(LIBOR
USD
1-Month
plus
0.50%)
5.65%
03/25/50
1
274,835
267,984
Freddie
Mac
Pool
SD8189
2.50%
01/01/52
657,224
558,031
Freddie
Mac
Pool
SD8199
2.00%
03/01/52
748,755
610,270
Freddie
Mac
REMICS,
Series
2368,
Class
AF
(LIBOR
USD
1-Month
plus
0.95%)
6.14%
10/15/31
1
35,405
35,770
Freddie
Mac
REMICS,
Series
2733,
Class
FB
(LIBOR
USD
1-Month
plus
0.60%)
5.79%
10/15/33
1
302,128
304,235
Freddie
Mac
REMICS,
Series
3085,
Class
FW
(LIBOR
USD
1-Month
plus
0.70%)
5.89%
08/15/35
1
198,042
199,320
Freddie
Mac
REMICS,
Series
3300,
Class
FA
(LIBOR
USD
1-Month
plus
0.30%)
5.49%
08/15/35
1
184,311
181,478
Freddie
Mac
REMICS,
Series
3325,
Class
NF
(LIBOR
USD
1-Month
plus
0.30%)
5.49%
08/15/35
1
37,025
36,456
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
7
/
June
2023
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Freddie
Mac
REMICS,
Series
3792,
Class
DF
(LIBOR
USD
1-Month
plus
0.40%)
5.59%
11/15/40
1
$
5,294
$
5,290
Freddie
Mac
REMICS,
Series
3895,
Class
BF
(LIBOR
USD
1-Month
plus
0.50%)
5.69%
07/15/41
1
128,357
126,810
Freddie
Mac
REMICS,
Series
3907,
Class
FM
(LIBOR
USD
1-Month
plus
0.35%)
5.54%
05/15/26
1
5,475
5,472
Freddie
Mac
REMICS,
Series
3946,
Class
FD
(LIBOR
USD
1-Month
plus
0.35%)
5.54%
04/15/41
1
14,922
14,912
Freddie
Mac
Strips,
Series
263,
Class
F5
(LIBOR
USD
1-Month
plus
0.50%)
5.69%
06/15/42
1
146,074
143,073
Ginnie
Mae
(TBA)
2.50%
07/15/53
4,225,000
3,657,379
4.50%
07/20/53
525,000
506,681
5.00%
07/20/53
225,000
221,115
Ginnie
Mae
II
Pool
80546
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.75%
10/20/31
1
4,305
4,128
Ginnie
Mae
II
Pool
80610
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.88%
06/20/32
1
52,816
51,339
Ginnie
Mae
II
Pool
80614
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.63%
07/20/32
1
5,144
4,947
Ginnie
Mae
II
Pool
80687
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.88%
04/20/33
1
43,457
42,104
Ginnie
Mae
II
Pool
8339
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.75%
12/20/23
1
524
521
Ginnie
Mae
II
Pool
8684
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.63%
08/20/25
1
5,710
5,599
Ginnie
Mae
II
Pool
MA0331
(US
Treasury
Yield
Curve
Rate
T
Note
Constant
Maturity
1-Year
plus
1.50%)
2.63%
08/20/42
1
38,767
37,783
Ginnie
Mae,
Series
2002-72,
Class
FB
(LIBOR
USD
1-Month
plus
0.40%)
5.56%
10/20/32
1
31,303
31,237
Issues
Maturity
Date
Principal
Amount
Value
MORTGAGE-BACKED
(continued)
U.S.
Agency
Mortgage-Backed
(continued)
Ginnie
Mae,
Series
2002-72,
Class
FC
(LIBOR
USD
1-Month
plus
0.40%)
5.56%
10/20/32
1
$
46,175
$
46,078
Ginnie
Mae,
Series
2004-2,
Class
FW
(LIBOR
USD
1-Month
plus
1.40%)
6.57%
01/16/34
1
262,346
264,679
Ginnie
Mae,
Series
2009-92,
Class
FC
(LIBOR
USD
1-Month
plus
0.80%)
5.96%
10/16/39
1
62,077
61,965
Ginnie
Mae,
Series
2010-19,
Class
FD
(LIBOR
USD
1-Month
plus
0.45%)
5.61%
07/16/39
1
15,564
15,627
Ginnie
Mae,
Series
2011-70,
Class
IL
(IO)
(-1.00
X
LIBOR
USD
1-Month
plus
7.10%,
0.60%
Cap)
0.60%
06/16/37
1
947,360
5,018
UMBS
(TBA)
2.00%
07/01/53
750,000
611,807
2.00%
08/01/53
975,000
795,920
2.50%
07/01/53
2,775,000
2,352,056
2.50%
08/01/53
800,000
679,063
3.00%
07/01/53
3,025,000
2,662,472
3.00%
08/01/53
500,000
440,566
3.50%
08/01/53
200,000
182,461
4.00%
07/01/53
1,675,000
1,571,751
4.50%
07/01/53
725,000
696,994
4.50%
08/01/53
2,150,000
2,068,367
5.00%
07/01/53
3,525,000
3,454,225
5.00%
08/01/53
1,225,000
1,200,500
5.50%
07/01/53
2,275,000
2,264,778
27,768,839
Total
Mortgage-Backed
(Cost
$48,130,300)
47,204,499
MUNICIPAL
BONDS
—
1.15%*
Colorado
—
0.89%
City
&
County
of
Denver
Airport
System
Revenue
Bonds,
Series
C
0.88%
11/15/23
965,000
949,143
Massachusetts
—
0.26%
Commonwealth
of
Massachusetts
Revenue
Bonds,
Series
B
4.11%
07/15/31
285,000
277,103
Total
Municipal
Bonds
(Cost
$1,242,877)
1,226,246
U.S.
TREASURY
SECURITIES
—
20.13%
U.S.
Agency
Discount
Notes
—
1.96%
U.S.
International
Development
Finance
Corp.,
Series
2
1.49%
08/15/31
2,390,270
2,092,806
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
8
Issues
Maturity
Date
Principal
Amount
Value
U.S.
TREASURY
SECURITIES
(continued)
U.S.
Treasury
Bonds
—
0.76%
U.S.
Treasury
Bonds
-
Treasury
Inflation
Indexed
Bonds
(WI)
1.25%
04/15/28
7
$
835,540
$
808,385
U.S.
Treasury
Notes
—
17.41%
U.S.
Treasury
Notes
4.25%
05/31/25
1,655,000
1,634,280
4.63%
06/30/25
17,055,000
16,977,720
18,612,000
Total
U.S.
Treasury
Securities
(Cost
$21,908,289)
21,513,191
Total
Bonds
—
98.31%
(Cost
$107,183,754)
105,078,501
Issues
Maturity
Date
Principal
Amount
/
Shares
Value
SHORT-TERM
INVESTMENTS
—
22.80%
Money
Market
Funds
—
4.47%
Fidelity
Investments
Money
Market
Funds
-
Government
Portfolio
4.99%
8
24,687
24,687
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
5.02%
8
4,752,000
4,752,000
4,776,687
U.S.
Agency
Discount
Notes
—
6.15%
Federal
Home
Loan
Bank
4.84%
9
07/24/23
2,000,000
1,994,382
4.93%
9
08/09/23
2,000,000
1,989,855
0.00%
9
05/22/24
1,300,000
1,296,383
0.00%
9
05/21/24
1,300,000
1,294,666
6,575,286
U.S.
Treasury
Bills
—
12.18%
U.S.
Treasury
Bills
4.75%
9
08/03/23
2,803,000
2,790,669
5.36%
9
10/03/23
3,000,000
2,960,358
5.25%
9
10/26/23
2,000,000
1,966,814
Issues
Maturity
Date
Principal
Amount/Shares
Value
SHORT-TERM
INVESTMENTS
(continued)
U.S.
Treasury
Bills
(continued)
U.S.
Treasury
Bills
(WI)
5.12%
9
08/15/23
$
5,340,000
$
5,307,207
13,025,048
Total
Short-Term
Investments
(Cost
$24,387,330)
24,377,021
Total
Investments
-
121.11%
(Cost
$131,571,084)
129,455,522
Liabilities
in
Excess
of
Other
Assets
-
(21.11)%
(22,566,988)
Net
Assets
-
100.00%
$
106,888,534
1
Floating
rate
security.
The
rate
disclosed
was
in
effect
at
June
30,
2023.
2
Securities
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
The
securities
may
be
resold
in
transactions
exempt
from
registration,
normally
to
qualified
institutional
buyers.
3
Foreign
denominated
security
issued
by
foreign
domiciled
entity.
4
Variable
rate
security.
Interest
rate
disclosed
is
as
of
the
most
recent
information
available.
Certain
variable
rate
securities
are
not
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.
5
Security
is
valued
using
significant
unobservable
inputs
and
is
classified
as
Level
3
in
the
fair
value
hierarchy.
6
Illiquid
security
as
determined
under
procedures
approved
by
the
Board
of
Trustees.
The
aggregate
value
of
illiquid
securities
is
$11,257,
which
is
0.01%
of
total
net
assets.
7
Inflation
protected
security.
Principal
amount
reflects
original
security
face
amount.
8
Represents
the
current
yield
as
of
June
30,
2023.
9
Represents
annualized
yield
at
date
of
purchase.
*
Securities
with
a
call
or
reset
feature
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity.
**
Securities
backed
by
mortgage
or
consumer
loans
where
payment
is
periodically
made
will
have
an
effective
maturity
date
sooner
than
the
stated
maturity
date.
Note:
For
Fund
compliance
purposes,
the
Fund's
industry
classifications
refer
to
any
one
or
more
of
the
industry
sub-classifications
used
by
one
or
more
widely
recognized
market
indexes
or
ratings
group
indexes,
and/or
as
defined
by
Fund
management.
This
definition
may
not
apply
for
purposes
of
this
report,
which
may
combine
industry
sub-classifications
for
more
meaningful
presentation
for
investors.
(CLO):
Collateralized
Loan
Obligation
(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
(REIT):
Real
Estate
Investment
Trust
(SOFR):
Secured
Overnight
Financing
Rate
(STEP):
Step
Coupon
Bond
(TBA):
To-Be-Announced
(USD):
U.S.
Dollar
(WI):
When
Issued
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
9
/
June
2023
Currency
to
be
Purchased
Currency
to
be
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
(Depreciation)
FOREIGN
CURRENCY
EXCHANGE
CONTRACT
USD
522,886
EUR
476,000
Citibank
N.A.
07/14/23
$
3,191
USD
261,381
GBP
207,000
Citibank
N.A.
07/14/23
(1,816)
NET
UNREALIZED
APPRECIATION
$
1,375
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
FUTURES
CONTRACTS:
LONG
POSITIONS
U.S.
Treasury
Two-Year
Note
194
09/29/23
$
39,448,688
$
(522,570)
$
(522,570)
FUTURES
CONTRACTS:
SHORT
POSITIONS
U.S.
Treasury
Five-Year
Note
161
09/29/23
(17,242,094)
349,863
349,863
U.S.
Treasury
Ten-Year
Ultra
Bond
48
09/20/23
(5,685,000)
58,711
58,711
U.S.
Treasury
Ultra
Bond
14
09/20/23
(1,907,063)
(20,840)
(20,840)
(24,834,157)
387,734
387,734
TOTAL
FUTURES
CONTRACTS
$
14,614,531
$
(134,836)
$
(134,836)
Reference
Obligation/Index
Financing
Rate
Paid
by
the
Fund
Payment
Frequency
Implied
Credit
Spread
at
06/30/23
1
Counterparty
Expiration
Date
Notional
Amount
(000's)
2
Value
3
Premiums
Paid
Unrealized
Appreciation
SWAPS:
CREDIT
DEFAULT
(SALES)
-
SINGLE
ISSUES
OTC
4
Berry
Global,
Inc.,
5.63%,
due
07/15/27
5.00%
3
Months
175
Credit
Suisse
First
Boston
International
12/20/23
$
390
$
6,639
$
5,585
$
1,054
1
An
implied
credit
spread
is
the
spread
in
yield
between
a
U.S.
Treasury
security
and
the
referenced
obligation
or
underlying
investment
that
are
identical
in
all
respects
except
for
the
quality
rating.
Implied
credit
spreads,
represented
in
absolute
terms,
utilized
in
determining
the
value
of
credit
default
swaps
on
corporate
issues
as
of
year-end
serve
as
an
indicator
of
the
current
status
of
the
payment
performance
risk
and
represent
the
likelihood
of
risk
of
default
for
the
credit
derivative.
The
implied
credit
spread
of
a
particular
referenced
entity
reflects
the
cost
of
buying/selling
protection
and
may
include
upfront
payments
required
to
be
made
to
enter
the
agreement.
Wider
credit
spreads,
in
comparison
to
narrower
credit
spreads,
represent
a
deterioration
of
the
referenced
entity's
credit
soundness
and
a
greater
likelihood
of
risk
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
2
The
maximum
potential
amount
for
the
Fund
could
be
required
to
pay
as
a
seller
of
credit
protection
or
receive
as
a
buyer
of
credit
protection
if
a
credit
event
occurs
as
defined
under
the
terms
of
that
particular
swap
agreement.
3
The
quoted
market
prices
are
resulting
values
for
credit
default
swap
agreements
on
credit
indices
serve
as
an
indicator
of
the
current
status
of
the
payment/performance
risk
and
represent
the
likelihood
of
an
expected
liability
(or
profit)
for
the
credit
derivative
had
the
notional
amount
of
the
swap
agreement
been
closed/sold
as
of
year-end.
Increasing
values
(buy
protection)
or
decreasing
values
(sell
protection),
when
compared
to
the
notional
amount
of
the
swap,
represent
a
deterioration
of
the
referenced
entity's
credit
soundness
and
a
greater
likelihood
of
risk
of
default
or
other
credit
event
occurring
as
defined
under
the
terms
of
the
agreement.
4
If
the
Fund
is
a
seller
of
protection
and
credit
event
occurs,
as
defined
under
the
terms
of
that
particular
swap
agreement,
the
Fund
will
either
(i)
pay
to
the
buyer
of
protection
the
amount
equal
to
the
notional
amount
of
the
swap
and
take
delivery
of
the
referenced
obligation
or
underlying
investments
comprising
the
referenced
index
or
(ii)
pay
a
net
settlement
amount
in
the
form
of
cash
or
investments
equal
to
the
notional
amount
of
the
swap
less
the
recovery
value
of
the
referenced
obligation
or
underlying
investments
comprising
the
referenced
index.
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
10
SIGNIFICANT
ACCOUNTING
POLICIES
The
following
is
a
summary
of
significant
accounting
policies
consistently
followed
by
the
Fund:
Net
Asset
Value
The
Net
Asset
Value
(“NAV”)
of
each
class
of
the
Fund
is
determined
by
dividing
the
net
assets
attributable
to
each
class
of
shares
of
the
Fund
by
the
number
of
issued
and
outstanding
shares
of
the
class
of
the
Fund
on
each
business
day
as
of
4
p.m.
ET.
Security
Valuation
Pursuant
to
Rule
2a-5
under
the
1940
Act,
the
Board
of
Trustees
(the
"Board"
or
the
"Board
of
Trustees")
has
designated
the
Adviser
as
the
"valuation
designee"
with
respect
to
the
fair
valuation
of
the
Fund's
portfolio
securities,
subject
to
oversight
by
and
periodic
reporting
to
the
Board. Fixed
income
securities
for
which
market
quotations
are
readily
available were
valued
during
the
period at
prices
as
provided
by
independent
pricing
vendors
or
broker
quotes.
The
Fund
received
pricing
information
from
independent
pricing
vendors
selected
and
overseen
by
the
valuation
designee.
Securities
with
a
demand
feature
exercisable
within
one
to
seven
days
are
valued
at
par.
The
Fund
also
uses
a
benchmark
pricing
system
to
the
extent
vendors’
prices
for
their
securities
are
either
inaccurate
(such
as
when
the
reported
prices
are
different
from
recent
known
market
transactions)
or
are
not
available
from
another
pricing
source.
For
a
security
priced
using
this
system,
the
Adviser
initially
selects
a
proxy
composed
of
a
relevant
security
(e.g.,
U.S.
Treasury
Note)
or
benchmark
(e.g.,
LIBOR)
and
a
multiplier,
divisor
or
margin
that
the
Adviser
believes
would
together
best
reflect
changes
in
the
market
value
of
the
security.
The
value
of
the
security
changes
daily
based
on
changes
to
the
market
price
of
the
assigned
benchmark.
The
benchmark
pricing
system
is
continuously
reviewed
by
the
Adviser
and
implemented
according
to
the
pricing
policy
reviewed
by
the
Board.
S&P
500
Index
futures
contracts
are
valued
at
the
first
sale
price
after
4
p.m.
ET
on
the
Chicago
Mercantile
Exchange.
All
other
futures
contracts
are
valued
at
the
official
settlement
price
of
the
exchange
on
which
those
securities
are
traded.
Equity
securities,
including
depository
receipts,
are
valued
at
the
last
reported
sale
price
or
the
market’s
closing
price
on
the
exchange
or
market
on
which
such
securities
are
traded,
as
of
the
close
of
business
on
the
day
the
securities
are
being
valued
or,
lacking
any
sales,
at
the
average
of
the
bid
and
ask
prices.
In
cases
where
equity
securities
are
traded
on
more
than
one
exchange,
the
securities
are
valued
on
the
exchange
or
market
determined
by
the
Adviser
to
be
the
broadest
and
most
representative
market,
which
may
be
either
a
securities
exchange
or
the
over-the-counter
market.
Equity
options
are
valued
at
the
average
of
the
bid
and
ask
prices.
Securities
and
other
assets
that
could
not be
valued
as
described
above were
valued
for
the
period 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
for
the
period 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
the
Fund
uses
these
fair
valuation
methods that
use
significant
unobservable
inputs
to
determine
NAV,
securities
will
be
priced
by
a
method
that
the
Adviser
believes
accurately
reflects
fair
value
and
are
categorized
as
Level
3
of
the
fair
value
hierarchy.
These
methods
may
require
subjective
determinations
about
the
value
of
a
security.
While
the
Fund’s
policy
is
intended
to
result
in
a
calculation
of
its
NAV
that
fairly
reflects
security
values
as
of
the
time
of
pricing,
the
Fund
cannot
guarantee
that
values
determined
by
the
Adviser
would
accurately
reflect
the
price
that
the
Fund
could
obtain
for
a
security
if
it
were
to
dispose
of
that
security
as
of
the
time
of
pricing
(for
instance,
in
a
forced
or
distressed
sale).
The
prices
used
by
the
Fund
may
differ
from
the
value
that
would
be
realized
if
the
securities
were
sold.
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
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
11
/
June
2023
The
inputs
or
methodology
used
for
valuing
investments
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
investments
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
measurement
in
its
entirety
requires
judgment
and
consideration
of
factors
specific
to
each
security.
The
availability
of
observable
inputs
can
vary
from
security
to
security
and
is
affected
by
a
wide
variety
of
factors,
including,
for
example,
the
type
of
security,
whether
the
security
is
new
and
not
yet
established
in
the
marketplace,
the
liquidity
of
markets,
and
other
characteristics
particular
to
the
security.
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
less
observable
or
unobservable
in
the
market,
the
determination
of
fair
value
requires
more
judgment.
Accordingly,
the
degree
of
judgment
exercised
in
determining
fair
value
is
greatest
for
instruments
categorized as
Level
3.
In
periods
of
market
dislocation,
the
observability
of
prices
and
inputs
may
be
reduced
for
many
instruments.
This
condition,
as
well
as
changes
related
to
liquidity
of
investments,
could
cause
a
security
to
be
reclassified
between
Level
1,
Level
2,
or
Level
3.
In
certain
cases,
the
inputs
used
to
measure
fair
value
may
fall
into
different
levels
of
the
fair
value
hierarchy.
In
such
cases,
for
disclosure
purposes
the
level
in
the
fair
value
hierarchy
within
which
the
fair
value
measurement
falls
in
its
entirety
is
determined
based
on
the
lowest
level
input
that
is
significant
to
the
fair
value
measurement
in
its
entirety.
The
summary
of
inputs
used
to
value
the
Fund’s
investments
and
other
financial
instruments
carried
at
fair
value
as
of
June
30,
2023
is
as
follows:
ULTRA
SHORT
BOND
FUND
LEVEL
1
LEVEL
2
LEVEL
3
TOTAL
Investments
in
Securities
Assets:
Short-Term
Investments:
Money
Market
Funds
$
4,776,687
$
—
$
—
$
4,776,687
U.S.
Agency
Discount
Notes
—
6,575,286
—
6,575,286
U.S.
Treasury
Bills
13,025,048
—
—
13,025,048
Long-Term
Investments:
Asset-Backed
Securities
—
9,388,534
—
9,388,534
Corporates
—
25,746,031
—
25,746,031
Mortgage-Backed
Securities
—
47,193,242
11,257
47,204,499
Municipal
Bonds
—
1,226,246
—
1,226,246
U.S.
Treasury
Securities
18,612,000
2,901,191
—
21,513,191
Other
Financial
Instruments
*
Assets:
Credit
contracts
—
6,639
—
6,639
Foreign
currency
exchange
contracts
—
3,191
—
3,191
Interest
rate
contracts
408,574
—
—
408,574
Liabilities:
Foreign
currency
exchange
contracts
—
(1,816)
—
(1,816)
Interest
rate
contracts
(543,410)
—
—
(543,410)
Total
$
36,278,899
$
93,038,544
$
11,257
$
129,328,700
*Other
financial
instruments
include
foreign
currency
exchange
contracts,
futures
and
swaps.
Credit
contracts
include
swaps.
Interest
rate
contracts
include
futures.
Ultra
Short
Bond
Fund
Schedule
of
Portfolio
Investments
June
30,
2023
(Unaudited)
June
2023
/
12
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
period
ended
June
30,
2023
a
reconciliation
of
Level
3
investments
is
presented
when
the
Fund
had
a
significant
amount
of
Level
3
investments
at
the
beginning
and/or
end
of
the
period
in
relation
to
net
assets.
The
following
table
is
a
reconciliation
of
Level
3
investments
for
which
significant
unobservable
inputs
were
used
in
determining
fair
value:
ULTRA
SHORT
BOND
FUND
MORTGAGE-
BACKED
SECURITIES
TOTAL
Balance
as
of
April
1,
2023
$
11,884
$
11,884
Accrued
discounts/premiums
(1,437)
(1,437)
Realized
gain
(loss)
—
—
Change
in
unrealized
appreciation*
810
810
Purchases
—
—
Sales
—
—
Transfers
into
Level
3**
—
—
Transfers
out
of
Level
3**
—
—
Balance
as
of
June
30,
2023
$
11,257
$
11,257
*The
change
in
unrealized
appreciation
(depreciation)
on
securities
still
held
at
June
30,
2023
was
$810
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
June
30,
2023.
Significant
unobservable
valuations
inputs
for
Level
3
investments
as
of
June
30,
2023,
are
as
follows:
ULTRA
SHORT
BOND
FUND
FAIR
VALUE
AT
6/30/23
VALUATION
TECHNIQUE*
UNOBSERVABLE
INPUT
RANGE
WEIGHTED
AVERAGE
INPUT
TO
VALUATION
IF
INPUT
INCREASES
Mortgage-Backed
Securities-Non-Agency
$11,257
Third-Party
Vendor
Vendor
Prices
$1.16
$1.16
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.