UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09253
Allspring Funds Trust
(Exact name of registrant as specified in charter)
525 Market St., San Francisco, CA 94105
(Address of principal executive offices) (Zip code)
Matthew Prasse
Allspring Funds Management, LLC
525 Market St., San Francisco, CA 94105
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-222-8222
Date of fiscal year end: August 31
Registrant is making a filing for 10 of its series:
Allspring Managed Account CoreBuilder® Shares - Series CP, Allspring Adjustable Rate Government Fund, Allspring Conservative Income Fund, Allspring Government Securities Fund, Allspring High Yield Bond Fund, Allspring Core Plus Bond Fund, Allspring Short Duration Government Bond Fund, Allspring Short-Term Bond Plus Fund, Allspring Short-Term High Yield Bond Fund and Allspring Ultra Short-Term Income Fund.
Date of reporting period: February 28, 2022
ITEM 1. REPORT TO STOCKHOLDERS
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Government Fund
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Michal Stanczyk |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (ESAAX) | 6-30-2000 | -1.97 | 0.73 | 0.62 | 0.00 | 1.13 | 0.83 | 0.83 | 0.75 | ||
Class C (ESACX) | 6-30-2000 | -1.25 | 0.42 | 0.11 | -0.25 | 0.42 | 0.11 | 1.58 | 1.50 | ||
Administrator Class (ESADX) | 7-30-2010 | – | – | – | 0.14 | 1.27 | 0.97 | 0.77 | 0.61 | ||
Institutional Class (EKIZX) | 10-1-1991 | – | – | – | 0.17 | 1.37 | 1.10 | 0.50 | 0.47 | ||
Bloomberg 6-Month Treasury Bill Index3 | – | – | – | – | 0.00 | 1.28 | 0.79 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.74% for Class A, 1.49% for Class C, 0.60% for Administrator Class, and 0.46% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg 6-Month Treasury Bill Index tracks the performance and attributes of recently issued 6-Month U.S. Treasury bills. The index follows Bloomberg monthly rebalancing conventions. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
Navient Student Loan Trust Series 2019-2A Class A2, 1.19%, 2-27-2068 | 1.45 |
FHLMC Series 350 Class F2, 0.45%, 9-15-2040 | 1.37 |
FHLMC, 2.34%, 9-1-2036 | 1.34 |
FHLMC, 2.40%, 7-1-2038 | 1.25 |
FRESB Mortgage Trust Series 2022-SB94 Class A5H, 1.72%, 11-25-2041 | 1.11 |
FNMA Series 2016-40 Class AF, 0.55%, 7-25-2046 | 1.02 |
Navient Student Loan Trust Series 2018-2A Class A3, 0.94%, 3-25-2067 | 0.97 |
FHLMC Series 4915 Class FE, 0.50%, 2-15-2038 | 0.87 |
FNMA Series 2021-85 Class EF, 0.23%, 12-25-2051 | 0.86 |
FNMA Series 2002-66 Class A3, 3.62%, 4-25-2042 | 0.86 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
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1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 999.32 | $3.67 | 0.74% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.12 | $3.71 | 0.74% |
Class C | ||||
Actual | $1,000.00 | $ 997.49 | $4.36 | 0.88% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.43 | $4.41 | 0.88% |
Administrator Class | ||||
Actual | $1,000.00 | $ 998.90 | $2.97 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 999.58 | $2.28 | 0.46% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.51 | $2.31 | 0.46% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 79.37% | |||||
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 0.30% | 7-1-2031 | $ 3,500,000 | $ 3,500,356 | |
FHLMC (1 Year Treasury Constant Maturity +0.85%) ± | 0.93 | 4-1-2030 | 12,547 | 12,549 | |
FHLMC (11th District Cost of Funds +1.25%) ± | 1.48 | 1-1-2030 | 1,725 | 1,732 | |
FHLMC (11th District Cost of Funds +1.25%) ± | 1.48 | 1-1-2030 | 399 | 400 | |
FHLMC (11th District Cost of Funds +1.25%) ± | 1.48 | 7-1-2030 | 92,329 | 92,731 | |
FHLMC (11th District Cost of Funds +1.25%) ± | 1.48 | 2-1-2035 | 35,146 | 35,206 | |
FHLMC (6 Month LIBOR +1.42%) ± | 1.65 | 2-1-2037 | 1,927 | 1,989 | |
FHLMC (12 Month LIBOR +1.51%) ± | 1.76 | 2-1-2037 | 44,673 | 44,650 | |
FHLMC (6 Month LIBOR +1.68%) ± | 1.82 | 1-1-2037 | 570,229 | 593,933 | |
FHLMC (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +1.75%) ± | 1.90 | 1-1-2023 | 2,871 | 2,876 | |
FHLMC (6 Month LIBOR +1.79%) ± | 1.92 | 6-1-2037 | 180,559 | 181,297 | |
FHLMC (1 Year Treasury Constant Maturity +1.87%) ± | 1.94 | 5-1-2035 | 242,349 | 242,452 | |
FHLMC (6 Month LIBOR +1.73%) ± | 1.98 | 6-1-2024 | 2,485 | 2,485 | |
FHLMC (12 Month LIBOR +1.73%) ± | 1.98 | 1-1-2035 | 251,561 | 251,416 | |
FHLMC (12 Month LIBOR +1.74%) ± | 1.99 | 12-1-2036 | 150,609 | 157,327 | |
FHLMC (12 Month LIBOR +1.75%) ± | 2.00 | 6-1-2033 | 266,168 | 267,794 | |
FHLMC (12 Month LIBOR +1.75%) ± | 2.02 | 4-1-2035 | 95,793 | 100,256 | |
FHLMC (12 Month LIBOR +1.77%) ± | 2.02 | 6-1-2035 | 231,822 | 231,923 | |
FHLMC (12 Month LIBOR +1.75%) ± | 2.03 | 5-1-2033 | 122,017 | 122,323 | |
FHLMC (12 Month LIBOR +1.78%) ± | 2.03 | 11-1-2035 | 129,551 | 135,293 | |
FHLMC (12 Month LIBOR +1.73%) ± | 2.03 | 5-1-2037 | 542,391 | 567,662 | |
FHLMC (12 Month LIBOR +1.67%) ± | 2.04 | 8-1-2035 | 119,723 | 120,207 | |
FHLMC (12 Month LIBOR +1.77%) ± | 2.04 | 10-1-2035 | 402,961 | 403,994 | |
FHLMC (12 Month LIBOR +1.77%) ± | 2.04 | 10-1-2036 | 209,316 | 219,386 | |
FHLMC (12 Month LIBOR +1.79%) ± | 2.04 | 1-1-2040 | 1,653,868 | 1,724,563 | |
FHLMC (12 Month Treasury Average +1.89%) ± | 2.05 | 5-1-2028 | 101,879 | 102,048 | |
FHLMC (12 Month LIBOR +1.79%) ± | 2.06 | 9-1-2037 | 163,618 | 171,338 | |
FHLMC (12 Month LIBOR +1.77%) ± | 2.06 | 9-1-2037 | 176,090 | 184,151 | |
FHLMC (12 Month LIBOR +1.80%)��± | 2.07 | 10-1-2043 | 3,261,028 | 3,390,538 | |
FHLMC (12 Month LIBOR +1.82%) ± | 2.08 | 5-1-2039 | 235,610 | 235,519 | |
FHLMC (12 Month LIBOR +1.83%) ± | 2.09 | 6-1-2043 | 3,536,490 | 3,706,050 | |
FHLMC (1 Year Treasury Constant Maturity +1.99%) ± | 2.11 | 11-1-2034 | 211,711 | 212,064 | |
FHLMC (1 Year Treasury Constant Maturity +2.03%) ± | 2.12 | 8-1-2033 | 527,904 | 532,112 | |
FHLMC (12 Month LIBOR +1.87%) ± | 2.12 | 5-1-2035 | 20,409 | 20,496 | |
FHLMC (1 Year Treasury Constant Maturity +2.04%) ± | 2.12 | 12-1-2035 | 254,439 | 254,705 | |
FHLMC (12 Month LIBOR +1.85%) ± | 2.13 | 7-1-2038 | 713,376 | 745,163 | |
FHLMC (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +1.94%) ± | 2.19 | 7-1-2024 | 9,905 | 9,935 | |
FHLMC (12 Month LIBOR +1.86%) ± | 2.19 | 9-1-2036 | 237,293 | 245,289 | |
FHLMC (12 Month LIBOR +1.82%) ± | 2.20 | 4-1-2035 | 590,895 | 620,152 | |
FHLMC (12 Month LIBOR +1.93%) ± | 2.20 | 4-1-2035 | 513,985 | 515,651 | |
FHLMC (1 Year Treasury Constant Maturity +2.03%) ± | 2.21 | 3-1-2025 | 9,701 | 9,682 | |
FHLMC (12 Month LIBOR +1.84%) ± | 2.21 | 4-1-2037 | 220,469 | 232,320 | |
FHLMC (1 Year Treasury Constant Maturity +2.10%) ± | 2.21 | 10-1-2037 | 351,550 | 361,051 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 2.22 | 8-1-2033 | 15,169 | 15,163 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.23 | 11-1-2026 | 40,884 | 40,875 | |
FHLMC (12 Month LIBOR +1.99%) ± | 2.24 | 7-1-2036 | 199,323 | 199,417 | |
FHLMC (12 Month LIBOR +1.90%) ± | 2.24 | 4-1-2037 | 166,586 | 175,306 | |
FHLMC (6 Month LIBOR +2.12%) ± | 2.25 | 5-1-2037 | 21,741 | 21,870 | |
FHLMC (12 Month LIBOR +1.91%) ± | 2.26 | 3-1-2032 | 162,040 | 162,571 | |
FHLMC (6 Month LIBOR +2.11%) ± | 2.28 | 6-1-2026 | 293,899 | 294,538 | |
FHLMC (1 Year Treasury Constant Maturity +2.17%) ± | 2.28 | 6-1-2036 | 390,015 | 410,054 | |
FHLMC (1 Year Treasury Constant Maturity +2.16%) ± | 2.29 | 6-1-2033 | 279,119 | 279,903 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.29% | 9-1-2033 | $ 59,358 | $ 62,383 | |
FHLMC (1 Year Treasury Constant Maturity +2.17%) ± | 2.30 | 5-1-2037 | 21,738 | 21,829 | |
FHLMC (1 Year Treasury Constant Maturity +2.20%) ± | 2.32 | 1-1-2037 | 402,892 | 403,964 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.32 | 5-1-2038 | 329,624 | 333,060 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.33 | 4-1-2037 | 1,381,025 | 1,454,493 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 12-1-2033 | 302,007 | 301,901 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.34 | 6-1-2035 | 38,983 | 40,944 | |
FHLMC (1 Year Treasury Constant Maturity +2.27%) ± | 2.34 | 9-1-2036 | 6,794,598 | 7,165,992 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.35 | 2-1-2034 | 362,908 | 365,260 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.35 | 4-1-2034 | 95,276 | 95,413 | |
FHLMC (1 Year Treasury Constant Maturity +2.35%) ± | 2.35 | 7-1-2038 | 142,846 | 143,153 | |
FHLMC (1 Year Treasury Constant Maturity +2.32%) ± | 2.36 | 7-1-2027 | 180,309 | 180,896 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.36 | 2-1-2034 | 37,942 | 37,994 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.36 | 4-1-2034 | 76,144 | 76,288 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.36 | 4-1-2036 | 183,342 | 186,527 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.36 | 1-1-2037 | 35,154 | 36,940 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 2.36 | 9-1-2038 | 2,376,768 | 2,491,411 | |
FHLMC (12 Month LIBOR +1.62%) ± | 2.36 | 7-1-2045 | 602,574 | 622,912 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.37 | 3-1-2027 | 26,721 | 26,737 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.37 | 8-1-2027 | 3,061 | 3,065 | |
FHLMC (1 Year Treasury Constant Maturity +2.37%) ± | 2.37 | 7-1-2031 | 61,282 | 61,258 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.37 | 12-1-2034 | 137,558 | 137,509 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 2.37 | 2-1-2036 | 2,481,456 | 2,599,516 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 2.37 | 10-1-2036 | 160,249 | 161,055 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.37 | 4-1-2038 | 379,242 | 398,482 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 4-1-2023 | 21,184 | 21,222 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 5-1-2034 | 107,747 | 107,873 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 5-1-2034 | 32,716 | 33,827 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 2.38 | 7-1-2034 | 219,838 | 220,350 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 2-1-2036 | 294,382 | 302,219 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.39 | 11-1-2027 | 200,259 | 200,502 | |
FHLMC (1 Year Treasury Constant Maturity +2.27%) ± | 2.40 | 11-1-2029 | 29,506 | 29,481 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.40 | 9-1-2031 | 31,009 | 30,989 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 2.40 | 7-1-2038 | 6,413,708 | 6,693,778 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.41 | 11-1-2029 | 45,216 | 45,172 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 2.41 | 1-1-2035 | 166,117 | 166,142 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.42 | 1-1-2028 | 7,250 | 7,254 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.42 | 9-1-2033 | 150,074 | 151,297 | |
FHLMC (1 Year Treasury Constant Maturity +2.43%) ± | 2.43 | 6-1-2025 | 25,784 | 25,797 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 2.43 | 10-1-2033 | 411,299 | 414,152 | |
FHLMC (12 Month LIBOR +2.06%) ± | 2.43 | 3-1-2038 | 785,271 | 828,635 | |
FHLMC (1 Year Treasury Constant Maturity +2.35%) ± | 2.44 | 4-1-2032 | 1,175,230 | 1,206,154 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.45 | 1-1-2028 | 1,122 | 1,124 | |
FHLMC (1 Year Treasury Constant Maturity +2.37%) ± | 2.46 | 2-1-2034 | 2,003,018 | 2,074,818 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.46 | 2-1-2035 | 276,211 | 276,590 | |
FHLMC (1 Year Treasury Constant Maturity +2.47%) ± | 2.47 | 7-1-2034 | 99,554 | 99,889 | |
FHLMC (1 Year Treasury Constant Maturity +2.38%) ± | 2.47 | 6-1-2035 | 436,627 | 451,161 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.48 | 4-1-2038 | 614,721 | 617,011 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.50 | 6-1-2030 | 163,008 | 163,429 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.52 | 11-1-2029 | 99,584 | 99,782 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.52 | 4-1-2034 | 219,853 | 220,310 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 7-1-2029 | 31,984 | 32,097 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 1-1-2037 | 742,946 | 781,418 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.55 | 7-1-2031 | 165,622 | 165,744 | |
FHLMC (1 Year Treasury Constant Maturity +2.44%) ± | 2.57 | 4-1-2029 | 35,617 | 35,656 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (2 Year Treasury Constant Maturity +2.44%) ± | 2.57% | 8-1-2029 | $ 8,302 | $ 8,288 | |
FHLMC (12 Month Treasury Average +2.46%) ± | 2.58 | 10-1-2029 | 65,155 | 65,198 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 10-1-2024 | 22,651 | 22,681 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 10-1-2025 | 6,176 | 6,195 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 2-1-2030 | 22,351 | 22,386 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 6-1-2030 | 20,395 | 20,426 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 6-1-2030 | 59,243 | 59,381 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 6-1-2035 | 151,984 | 152,463 | |
FHLMC (1 Year Treasury Constant Maturity +2.49%) ± | 2.61 | 12-1-2032 | 60,532 | 60,456 | |
FHLMC (3 Year Treasury Constant Maturity +2.44%) ± | 2.62 | 5-1-2032 | 81,120 | 80,984 | |
FHLMC (12 Month Treasury Average +2.52%) ± | 2.64 | 6-1-2028 | 23,529 | 23,546 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.65 | 6-1-2050 | 3,420,875 | 3,476,828 | |
FHLMC (1 Year Treasury Constant Maturity +2.55%) ± | 2.67 | 9-1-2029 | 22,293 | 22,274 | |
FHLMC (1 Year Treasury Constant Maturity +2.58%) ± | 2.68 | 9-1-2030 | 29,884 | 30,024 | |
FHLMC (1 Year Treasury Constant Maturity +2.60%) ± | 2.73 | 6-1-2032 | 122,816 | 123,005 | |
FHLMC (1 Year Treasury Constant Maturity +2.69%) ± | 2.81 | 5-1-2028 | 73,991 | 74,024 | |
FHLMC (12 Month LIBOR +1.62%) ± | 2.87 | 11-1-2047 | 3,102,924 | 3,181,202 | |
FHLMC (11th District Cost of Funds +2.29%) ± | 3.04 | 12-1-2025 | 2,662 | 2,670 | |
FHLMC (1 Year Treasury Constant Maturity +2.52%) ± | 3.06 | 11-1-2029 | 61,267 | 61,328 | |
FHLMC (1 Year Treasury Constant Maturity +2.61%) ± | 3.08 | 9-1-2030 | 42,039 | 42,093 | |
FHLMC (3 Year Treasury Constant Maturity +2.75%) ± | 3.38 | 6-1-2035 | 282,766 | 287,715 | |
FHLMC (11th District Cost of Funds +2.57%) ± | 3.46 | 12-1-2025 | 93,648 | 93,846 | |
FHLMC (5 Year Treasury Constant Maturity +2.44%) ± | 3.57 | 8-1-2027 | 22,017 | 22,119 | |
FHLMC (3 Year Treasury Constant Maturity +2.27%) ± | 3.77 | 4-1-2032 | 31,149 | 31,151 | |
FHLMC (6 Month LIBOR +3.83%) ± | 3.96 | 11-1-2026 | 16,036 | 16,082 | |
FHLMC (11th District Cost of Funds +1.25%) ± | 3.99 | 11-1-2030 | 10,335 | 10,563 | |
FHLMC | 4.00 | 7-1-2029 | 1,128,346 | 1,172,169 | |
FHLMC (3 Year Treasury Constant Maturity +2.40%) ± | 4.08 | 5-1-2031 | 63,925 | 63,968 | |
FHLMC (5 Year Treasury Constant Maturity +2.13%) ± | 4.51 | 8-1-2029 | 6,632 | 6,640 | |
FHLMC | 5.00 | 10-1-2022 | 690 | 707 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF112 Class AS (30 Day Average U.S. SOFR +0.23%) ± | 0.28 | 4-25-2031 | 2,000,000 | 1,993,383 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF114 Class AS (30 Day Average U.S. SOFR +0.22%) ± | 0.27 | 5-25-2031 | 1,000,000 | 999,150 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF129 Class AS (30 Day Average U.S. SOFR +0.25%) ± | 0.30 | 1-25-2029 | 4,000,000 | 3,989,884 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF46 Class A (1 Month LIBOR +0.22%) ± | 0.33 | 3-25-2028 | 483,988 | 484,523 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF61 Class A (1 Month LIBOR +0.53%) ± | 0.64 | 3-25-2029 | 3,417,849 | 3,437,531 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF65 Class A (1 Month LIBOR +0.52%) ± | 0.63 | 7-25-2029 | 1,409,399 | 1,413,108 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF66 Class A (1 Month LIBOR +0.52%) ± | 0.63 | 7-25-2029 | 1,499,911 | 1,509,548 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF84 Class AL (1 Month LIBOR +0.30%) ± | 0.41 | 7-25-2030 | 1,726,103 | 1,727,403 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF85 Class AL (1 Month LIBOR +0.30%) ± | 0.41 | 8-25-2030 | 796,099 | 797,280 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KX04 Class AFL (1 Month LIBOR +0.33%) ± | 0.44 | 3-25-2030 | 2,335,723 | 2,335,723 | |
FHLMC Multifamily Structured Pass-Through Certificates Series Q016 Class APT2 ±± | 1.48 | 5-25-2051 | 3,742,507 | 3,618,107 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series 1671 Class QA (11th District Cost of Funds +0.95%) ± | 1.17% | 2-15-2024 | $ 256,559 | $ 257,508 | |
FHLMC Series 1686 Class FE (Enterprise 11th District COFI Institutional Replacement Index +1.10%) ± | 1.32 | 2-15-2024 | 3,037 | 3,060 | |
FHLMC Series 1709 Class FA (10 Year Treasury Constant Maturity -0.85%) ± | 0.97 | 3-15-2024 | 53,870 | 53,250 | |
FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity -0.60%) ± | 1.22 | 5-15-2024 | 28,623 | 28,273 | |
FHLMC Series 20 Class F ±± | 1.06 | 7-1-2029 | 2,702 | 2,757 | |
FHLMC Series 2315 Class FW (1 Month LIBOR +0.55%) ± | 0.74 | 4-15-2027 | 30,828 | 30,958 | |
FHLMC Series 2391 Class EF (1 Month LIBOR +0.50%) ± | 0.69 | 6-15-2031 | 33,738 | 33,949 | |
FHLMC Series 2454 Class SL (1 Month LIBOR +8.00%) ♀± | 7.81 | 3-15-2032 | 67,933 | 8,408 | |
FHLMC Series 2461 Class FI (1 Month LIBOR +0.50%) ± | 0.69 | 4-15-2028 | 41,862 | 42,027 | |
FHLMC Series 2464 Class FE (1 Month LIBOR +1.00%) ± | 1.19 | 3-15-2032 | 44,277 | 45,358 | |
FHLMC Series 2466 Class FV (1 Month LIBOR +0.55%) ± | 0.74 | 3-15-2032 | 85,412 | 86,139 | |
FHLMC Series 2538 Class F (1 Month LIBOR +0.60%) ± | 0.79 | 12-15-2032 | 180,147 | 183,361 | |
FHLMC Series 264 Class F1 (1 Month LIBOR +0.55%) ± | 0.74 | 7-15-2042 | 705,795 | 721,097 | |
FHLMC Series 2682 Class FK (1 Month LIBOR +1.47%) ± | 1.66 | 1-15-2033 | 3,541,968 | 3,690,029 | |
FHLMC Series 3067 Class FA (1 Month LIBOR +0.35%) ± | 0.54 | 11-15-2035 | 634,468 | 638,504 | |
FHLMC Series 3114 Class FT (1 Month LIBOR +0.35%) ± | 0.54 | 9-15-2030 | 283,083 | 284,243 | |
FHLMC Series 3140 Class GF (1 Month LIBOR +0.35%) ± | 0.54 | 3-15-2036 | 495,324 | 499,075 | |
FHLMC Series 3146 Class FP (1 Month LIBOR +0.35%) ± | 0.54 | 4-15-2036 | 438,905 | 441,671 | |
FHLMC Series 3149 Class FB (1 Month LIBOR +0.35%) ± | 0.54 | 5-15-2036 | 765,721 | 768,336 | |
FHLMC Series 319 Class F1 (1 Month LIBOR +0.45%) ± | 0.64 | 11-15-2043 | 1,001,582 | 985,008 | |
FHLMC Series 3240 Class FM (1 Month LIBOR +0.35%) ± | 0.54 | 11-15-2036 | 848,065 | 853,465 | |
FHLMC Series 3284 Class CF (1 Month LIBOR +0.37%) ± | 0.56 | 3-15-2037 | 578,633 | 583,013 | |
FHLMC Series 3286 Class FA (1 Month LIBOR +0.40%) ± | 0.59 | 3-15-2037 | 125,615 | 126,758 | |
FHLMC Series 3312 Class FN (1 Month LIBOR +0.22%) ± | 0.41 | 7-15-2036 | 861,126 | 861,900 | |
FHLMC Series 3436 Class A ±± | 2.17 | 11-15-2036 | 308,493 | 321,680 | |
FHLMC Series 350 Class F2 (1 Month LIBOR +0.35%) ± | 0.45 | 9-15-2040 | 7,300,433 | 7,307,933 | |
FHLMC Series 3684 Class FM (1 Month LIBOR +0.35%) ± | 0.45 | 11-15-2036 | 1,168,307 | 1,171,310 | |
FHLMC Series 3753 Class FA (1 Month LIBOR +0.50%) ± | 0.69 | 11-15-2040 | 1,296,409 | 1,315,713 | |
FHLMC Series 3757 Class PF (1 Month LIBOR +0.50%) ± | 0.69 | 8-15-2040 | 297,727 | 297,121 | |
FHLMC Series 3822 Class FY (1 Month LIBOR +0.40%) ± | 0.59 | 2-15-2033 | 580,245 | 585,467 | |
FHLMC Series 3827 Class DF (1 Month LIBOR +0.45%) ± | 0.64 | 3-15-2041 | 498,158 | 504,829 | |
FHLMC Series 3925 Class FL (1 Month LIBOR +0.45%) ± | 0.64 | 1-15-2041 | 86,294 | 86,670 | |
FHLMC Series 3997 Class FQ (1 Month LIBOR +0.50%) ± | 0.69 | 2-15-2042 | 565,146 | 573,942 | |
FHLMC Series 4013 Class QF (1 Month LIBOR +0.55%) ± | 0.74 | 3-15-2041 | 284,889 | 287,241 | |
FHLMC Series 4039 Class FA (1 Month LIBOR +0.50%) ± | 0.69 | 5-15-2042 | 848,308 | 859,084 | |
FHLMC Series 4136 Class DF (1 Month LIBOR +0.30%) ± | 0.49 | 11-15-2042 | 552,847 | 554,559 | |
FHLMC Series 4143 Class KF (1 Month LIBOR +0.35%) ± | 0.45 | 9-15-2037 | 1,868,929 | 1,870,301 | |
FHLMC Series 4246 Class FE (1 Month LIBOR +0.45%) ± | 0.64 | 2-15-2036 | 2,091,350 | 2,110,914 | |
FHLMC Series 4248 Class FL (1 Month LIBOR +0.45%) ± | 0.64 | 5-15-2041 | 227,260 | 229,502 | |
FHLMC Series 4316 Class JF (1 Month LIBOR +0.40%) ± | 0.59 | 1-15-2044 | 773,352 | 778,547 | |
FHLMC Series 4474 Class WF (1 Month LIBOR +0.35%) ± | 0.45 | 12-15-2036 | 1,413,756 | 1,403,602 | |
FHLMC Series 4477 Class FG (1 Month LIBOR +0.30%) ± | 0.40 | 10-15-2040 | 1,317,658 | 1,314,820 | |
FHLMC Series 4503 Class FA (1 Month LIBOR +0.35%) ± | 0.45 | 2-15-2042 | 1,582,683 | 1,583,790 | |
FHLMC Series 4515 Class FA (1 Month LIBOR +0.37%) ± | 0.47 | 8-15-2038 | 236,158 | 238,177 | |
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 400,322 | 401,211 | |
FHLMC Series 4624 Class FA (1 Month LIBOR +0.45%) ± | 0.55 | 12-15-2038 | 2,722,817 | 2,737,072 | |
FHLMC Series 4628 Class KF (1 Month LIBOR +0.50%) ± | 0.69 | 1-15-2055 | 1,400,083 | 1,421,683 | |
FHLMC Series 4678 Class AF (1 Month LIBOR +0.40%) ± | 0.50 | 12-15-2042 | 1,155,006 | 1,169,496 | |
FHLMC Series 4691 Class FA (1 Month LIBOR +0.35%) ± | 0.54 | 6-15-2047 | 529,049 | 532,430 | |
FHLMC Series 4708 Class F (1 Month LIBOR +0.30%) ± | 0.49 | 8-15-2047 | 3,152,263 | 3,161,971 | |
FHLMC Series 4754 Class FM (1 Month LIBOR +0.30%) ± | 0.49 | 2-15-2048 | 1,440,042 | 1,449,224 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series 4779 Class WF (1 Month LIBOR +0.35%) ± | 0.45% | 7-15-2044 | $ 1,711,960 | $ 1,717,490 | |
FHLMC Series 4821 Class FA (1 Month LIBOR +0.30%) ± | 0.49 | 7-15-2048 | 452,033 | 454,216 | |
FHLMC Series 4842 Class FA (1 Month LIBOR +0.35%) ± | 0.54 | 11-15-2048 | 1,041,656 | 1,052,075 | |
FHLMC Series 4851 Class PF (1 Month LIBOR +0.40%) ± | 0.59 | 8-15-2057 | 3,932,195 | 3,938,694 | |
FHLMC Series 4908 Class FA (1 Month LIBOR +0.44%) ± | 0.54 | 12-15-2042 | 1,948,605 | 1,961,749 | |
FHLMC Series 4915 Class FE (1 Month LIBOR +0.40%) ± | 0.50 | 2-15-2038 | 4,627,591 | 4,638,074 | |
FHLMC Series 4921 Class FN (1 Month LIBOR +0.45%) ± | 0.64 | 10-25-2049 | 1,022,035 | 1,029,261 | |
FHLMC Series 4925 Class FY (1 Month LIBOR +0.45%) ± | 0.64 | 10-25-2049 | 427,436 | 430,760 | |
FHLMC Series 4925 Class WF (1 Month LIBOR +0.40%) ± | 0.50 | 8-15-2038 | 3,956,973 | 3,978,053 | |
FHLMC Series 4927 Class FG (1 Month LIBOR +0.50%) ± | 0.69 | 11-25-2049 | 1,543,657 | 1,558,915 | |
FHLMC Series 4933 Class FA (1 Month LIBOR +0.50%) ± | 0.69 | 12-25-2049 | 1,055,067 | 1,066,936 | |
FHLMC Series 5062 Class FC (30 Day Average U.S. SOFR +0.20%) ± | 0.25 | 1-25-2051 | 1,466,245 | 1,468,182 | |
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 0.59 | 11-25-2028 | 414,340 | 413,437 | |
FHLMC Series T-16 Class A (1 Month LIBOR +0.35%) ± | 0.54 | 6-25-2029 | 840,493 | 831,297 | |
FHLMC Series T-20 Class A7 (1 Month LIBOR +0.30%) ± | 0.49 | 12-25-2029 | 2,168,273 | 2,158,050 | |
FHLMC Series T-21 Class A (1 Month LIBOR +0.36%) ± | 0.55 | 10-25-2029 | 904,746 | 902,086 | |
FHLMC Series T-27 Class A (1 Month LIBOR +0.30%) ± | 0.49 | 10-25-2030 | 906,399 | 905,164 | |
FHLMC Series T-30 Class A7 (1 Month LIBOR +0.24%) ± | 0.43 | 12-25-2030 | 690,692 | 671,534 | |
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 0.47 | 9-25-2031 | 1,482,914 | 1,472,791 | |
FHLMC Series T-48 Class 2A ±± | 3.49 | 7-25-2033 | 1,202,333 | 1,238,473 | |
FHLMC Series T-54 Class 4A ±± | 3.44 | 2-25-2043 | 738,690 | 778,262 | |
FHLMC Series T-55 Class 1A1 | 6.50 | 3-25-2043 | 37,469 | 42,421 | |
FHLMC Series T-56 Class 3AF (1 Month LIBOR +1.00%) ± | 1.19 | 5-25-2043 | 863,465 | 877,208 | |
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 1.30 | 10-25-2044 | 1,742,209 | 1,782,014 | |
FHLMC Series T-63 Class 1A1 (12 Month Treasury Average +1.20%) ± | 1.29 | 2-25-2045 | 1,530,199 | 1,552,381 | |
FHLMC Series T-66 Class 2A1 ±± | 3.29 | 1-25-2036 | 1,005,185 | 1,082,161 | |
FHLMC Series T-67 Class 1A1C ±± | 3.03 | 3-25-2036 | 2,204,989 | 2,302,436 | |
FHLMC Series T-67 Class 2A1C ±± | 3.19 | 3-25-2036 | 2,200,417 | 2,335,886 | |
FHLMC Series-3236 Class AF (1 Month LIBOR +0.35%) ± | 0.54 | 11-15-2036 | 2,250,789 | 2,265,688 | |
FNMA (6 Month LIBOR +1.03%) ± | 1.15 | 2-1-2033 | 98,854 | 99,114 | |
FNMA (6 Month LIBOR +1.08%) ± | 1.20 | 9-1-2032 | 42,743 | 42,725 | |
FNMA (1 Month LIBOR +1.17%) ± | 1.30 | 5-1-2029 | 31,374 | 31,767 | |
FNMA (6 Month LIBOR +1.18%) ± | 1.30 | 8-1-2033 | 45,024 | 45,231 | |
FNMA (11th District Cost of Funds +1.26%) ± | 1.47 | 1-1-2035 | 240,799 | 241,539 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.47 | 1-1-2038 | 12,846 | 12,872 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.47 | 4-1-2042 | 707,421 | 725,573 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.47 | 10-1-2044 | 284,252 | 284,453 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.48 | 11-1-2023 | 4,556 | 4,561 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.48 | 3-1-2033 | 48,018 | 49,201 | |
FNMA (6 Month LIBOR +1.31%) ± | 1.48 | 10-1-2037 | 296,015 | 304,905 | |
FNMA (12 Month Treasury Average +1.40%) ± | 1.49 | 12-1-2030 | 21,073 | 21,390 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.50 | 11-1-2024 | 62 | 62 | |
FNMA (6 Month LIBOR +1.38%) ± | 1.50 | 8-1-2031 | 99,424 | 99,760 | |
FNMA (6 Month LIBOR +1.16%) ± | 1.50 | 8-1-2033 | 2,788 | 2,797 | |
FNMA (1 Year Treasury Constant Maturity +1.52%) ± | 1.52 | 8-1-2033 | 546,249 | 547,622 | |
FNMA (6 Month LIBOR +1.42%) ± | 1.54 | 12-1-2031 | 112,642 | 113,368 | |
FNMA (1 Year Treasury Constant Maturity +1.50%) ± | 1.59 | 8-1-2030 | 445,888 | 453,327 | |
FNMA (6 Month LIBOR +1.37%) ± | 1.62 | 1-1-2032 | 128,298 | 128,395 | |
FNMA (6 Month LIBOR +1.38%) ± | 1.63 | 12-1-2031 | 14,588 | 14,592 | |
FNMA (6 Month LIBOR +1.51%) ± | 1.64 | 11-1-2034 | 287,458 | 289,070 | |
FNMA (11th District Cost of Funds +1.25%) ± | 1.66 | 9-1-2037 | 926,482 | 948,431 | |
FNMA (6 Month LIBOR +1.55%) ± | 1.69 | 3-1-2034 | 107,764 | 108,919 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +1.58%) ± | 1.71% | 3-1-2034 | $ 187,936 | $ 187,929 | |
FNMA (1 Year Treasury Constant Maturity +1.66%) ± | 1.71 | 7-1-2048 | 725,054 | 749,205 | |
FNMA (6 Month LIBOR +1.48%) ± | 1.72 | 6-1-2037 | 693,045 | 723,796 | |
FNMA (11th District Cost of Funds +1.40%) ± | 1.73 | 4-1-2024 | 265,241 | 266,165 | |
FNMA (1 Year Treasury Constant Maturity +1.76%) ± | 1.76 | 8-1-2032 | 30,212 | 30,230 | |
FNMA (6 Month LIBOR +1.53%) ± | 1.76 | 1-1-2035 | 517,112 | 535,164 | |
FNMA (12 Month LIBOR +1.53%) ± | 1.78 | 9-1-2035 | 357,880 | 372,071 | |
FNMA (12 Month LIBOR +1.55%) ± | 1.80 | 9-1-2036 | 192,266 | 193,024 | |
FNMA (11th District Cost of Funds +1.71%) ± | 1.81 | 1-1-2036 | 120,414 | 120,622 | |
FNMA (1 Year Treasury Constant Maturity +1.70%) ± | 1.82 | 2-1-2033 | 184,168 | 184,600 | |
FNMA (12 Month LIBOR +1.59%) ± | 1.84 | 6-1-2044 | 605,047 | 626,774 | |
FNMA (12 Month LIBOR +1.58%) ± | 1.84 | 9-1-2044 | 940,593 | 973,339 | |
FNMA (12 Month LIBOR +1.60%) ± | 1.85 | 9-1-2037 | 361,617 | 362,061 | |
FNMA (12 Month Treasury Average +1.78%) ± | 1.86 | 6-1-2035 | 236,828 | 246,010 | |
FNMA (6 Month LIBOR +1.74%) ± | 1.87 | 10-1-2024 | 17,716 | 17,758 | |
FNMA (6 Month LIBOR +1.74%) ± | 1.87 | 12-1-2024 | 21,297 | 21,342 | |
FNMA (12 Month LIBOR +1.57%) ± | 1.87 | 1-1-2040 | 70,585 | 71,510 | |
FNMA (1 Year Treasury Constant Maturity +1.88%) ± | 1.88 | 8-1-2031 | 41,769 | 41,794 | |
FNMA (12 Month LIBOR +1.67%) ± | 1.92 | 7-1-2035 | 446,021 | 466,215 | |
FNMA (12 Month Treasury Average +1.74%) ± | 1.93 | 10-1-2035 | 282,502 | 287,493 | |
FNMA (12 Month Treasury Average +1.79%) ± | 1.93 | 11-1-2035 | 55,754 | 57,931 | |
FNMA (12 Month Treasury Average +1.86%) ± | 1.94 | 11-1-2035 | 325,571 | 326,724 | |
FNMA (1 Year Treasury Constant Maturity +1.83%) ± | 1.95 | 4-1-2030 | 5,191 | 5,200 | |
FNMA (12 Month LIBOR +1.63%) ± | 1.97 | 11-1-2038 | 128,333 | 133,780 | |
FNMA (12 Month LIBOR +1.67%) ± | 1.97 | 6-1-2041 | 990,783 | 1,034,159 | |
FNMA (12 Month LIBOR +1.60%) ± | 1.98 | 3-1-2046 | 969,737 | 997,224 | |
FNMA (12 Month Treasury Average +1.89%) ± | 1.99 | 7-1-2035 | 352,589 | 367,381 | |
FNMA (1 Year Treasury Constant Maturity +1.93%) ± | 1.99 | 7-1-2038 | 415,576 | 415,508 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.00 | 1-1-2035 | 234,045 | 242,687 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.00 | 6-1-2036 | 103,270 | 107,830 | |
FNMA (12 Month LIBOR +1.72%) ± | 2.01 | 7-1-2043 | 1,332,804 | 1,386,652 | |
FNMA (1 Year Treasury Constant Maturity +1.89%) ± | 2.02 | 6-1-2032 | 46,764 | 46,882 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.02 | 7-1-2035 | 256,943 | 266,032 | |
FNMA (12 Month LIBOR +1.70%) ± | 2.03 | 4-1-2034 | 323,250 | 336,859 | |
FNMA (12 Month Treasury Average +1.97%) ± | 2.03 | 11-1-2035 | 12,966 | 13,554 | |
FNMA (11th District Cost of Funds +1.83%) ± | 2.04 | 1-1-2036 | 14,107 | 14,191 | |
FNMA (6 Month LIBOR +1.93%) ± | 2.05 | 6-1-2032 | 55,067 | 55,440 | |
FNMA (11th District Cost of Funds +1.82%) ± | 2.05 | 3-1-2033 | 159,493 | 160,163 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.05 | 4-1-2034 | 177,676 | 178,632 | |
FNMA (12 Month Treasury Average +1.97%) ± | 2.05 | 11-1-2035 | 348,206 | 353,518 | |
FNMA (12 Month LIBOR +1.77%) ± | 2.05 | 7-1-2044 | 1,783,245 | 1,871,174 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.06 | 5-1-2035 | 358,030 | 373,153 | |
FNMA (12 Month LIBOR +1.78%) ± | 2.06 | 1-1-2042 | 1,369,481 | 1,435,192 | |
FNMA (12 Month LIBOR +1.82%) ± | 2.07 | 12-1-2046 | 60,713 | 60,655 | |
FNMA (1 Year Treasury Constant Maturity +1.96%) ± | 2.08 | 3-1-2032 | 14,509 | 14,520 | |
FNMA (12 Month LIBOR +1.83%) ± | 2.08 | 1-1-2033 | 153,700 | 153,677 | |
FNMA (12 Month Treasury Average +1.99%) ± | 2.08 | 7-1-2035 | 293,993 | 305,408 | |
FNMA (1 Year Treasury Constant Maturity +2.09%) ± | 2.09 | 8-1-2025 | 10,396 | 10,400 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.09 | 4-1-2033 | 280,703 | 281,234 | |
FNMA (12 Month LIBOR +1.72%) ± | 2.09 | 6-1-2035 | 51,733 | 54,155 | |
FNMA (11th District Cost of Funds +1.86%) ± | 2.10 | 10-1-2027 | 122,383 | 123,789 | |
FNMA (6 Month LIBOR +1.98%) ± | 2.10 | 9-1-2033 | 45,341 | 45,569 | |
FNMA (12 Month Treasury Average +2.03%) ± | 2.10 | 10-1-2035 | 161,389 | 169,076 | |
FNMA (6 Month LIBOR +1.98%) ± | 2.12 | 10-1-2024 | 7,395 | 7,428 | |
FNMA (1 Year Treasury Constant Maturity +2.11%) ± | 2.12 | 7-1-2035 | 238,682 | 240,490 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.03%) ± | 2.13% | 12-1-2032 | $ 183,241 | $ 183,615 | |
FNMA (12 Month LIBOR +1.89%) ± | 2.14 | 5-1-2038 | 354,170 | 373,554 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 2.15 | 12-1-2033 | 238,060 | 238,705 | |
FNMA (12 Month LIBOR +1.90%) ± | 2.15 | 10-1-2034 | 282,047 | 282,559 | |
FNMA (11th District Cost of Funds +1.82%) ± | 2.17 | 5-1-2028 | 25,370 | 25,517 | |
FNMA (11th District Cost of Funds +1.92%) ± | 2.17 | 9-1-2030 | 139,907 | 140,554 | |
FNMA (1 Year Treasury Constant Maturity +2.15%) ± | 2.17 | 2-1-2033 | 43,027 | 43,149 | |
FNMA (1 Year Treasury Constant Maturity +2.13%) ± | 2.18 | 10-1-2025 | 45,151 | 45,147 | |
FNMA (12 Month LIBOR +1.93%) ± | 2.18 | 5-1-2037 | 536,077 | 564,126 | |
FNMA (1 Year Treasury Constant Maturity +2.11%) ± | 2.18 | 4-1-2040 | 70,888 | 73,410 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.19 | 8-1-2033 | 219,473 | 219,536 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 2.19 | 9-1-2036 | 202,679 | 203,484 | |
FNMA (12 Month Treasury Average +2.07%) ± | 2.20 | 1-1-2035 | 232,628 | 235,542 | |
FNMA (1 Year Treasury Constant Maturity +2.09%) ± | 2.21 | 1-1-2036 | 28,812 | 28,974 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.22 | 7-1-2035 | 51,677 | 53,472 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.22 | 7-1-2035 | 209,814 | 216,503 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 2.22 | 7-1-2035 | 39,735 | 39,848 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.22 | 9-1-2035 | 513,473 | 541,763 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.23 | 6-1-2035 | 50,347 | 50,450 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.24 | 9-1-2030 | 30,342 | 30,350 | |
FNMA (1 Year Treasury Constant Maturity +2.14%) ± | 2.24 | 5-1-2034 | 303,456 | 303,957 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.24 | 8-1-2035 | 221,745 | 229,882 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 2.25 | 3-1-2031 | 20,695 | 20,737 | |
FNMA (12 Month LIBOR +2.00%) ± | 2.25 | 9-1-2035 | 171,275 | 180,531 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.25 | 1-1-2036 | 220,839 | 221,667 | |
FNMA (12 Month LIBOR +1.60%) ± | 2.26 | 8-1-2050 | 2,789,969 | 2,804,261 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.27 | 6-1-2027 | 33,227 | 33,294 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.27 | 9-1-2035 | 1,352,428 | 1,425,008 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 2.28 | 9-1-2026 | 12,188 | 12,202 | |
FNMA (6 Month LIBOR +1.96%) ± | 2.28 | 1-1-2033 | 49,564 | 49,759 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.28 | 1-1-2033 | 476,539 | 482,905 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.28 | 12-1-2040 | 3,919,518 | 4,121,491 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.29 | 1-1-2027 | 79,009 | 79,038 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.29 | 12-1-2030 | 15,818 | 15,817 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.29 | 10-1-2034 | 568,183 | 598,391 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.29 | 7-1-2037 | 133,810 | 141,574 | |
FNMA (1 Year Treasury Constant Maturity +2.17%) ± | 2.29 | 12-1-2039 | 97,775 | 97,837 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.29 | 12-1-2040 | 1,722,912 | 1,810,941 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.30 | 12-1-2024 | 11,549 | 11,545 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.30 | 1-1-2037 | 407,810 | 411,879 | |
FNMA (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +2.23%) ± | 2.31 | 7-1-2025 | 233 | 233 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.31 | 3-1-2035 | 192,114 | 192,241 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.31 | 4-1-2038 | 291,281 | 294,381 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.31 | 12-1-2040 | 1,469,215 | 1,541,894 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.32 | 7-1-2028 | 52 | 52 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.32 | 7-1-2038 | 1,728,704 | 1,819,294 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.33 | 9-1-2022 | 5,843 | 5,867 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.33 | 5-1-2033 | 304,101 | 305,775 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.33 | 6-1-2033 | 78,954 | 79,154 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.33 | 5-1-2036 | 1,104,233 | 1,142,484 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.33 | 5-1-2037 | 297,345 | 298,884 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 9-1-2033 | 176,423 | 176,237 | |
FNMA (1 Year Treasury Constant Maturity +2.25%) ± | 2.34 | 11-1-2038 | 2,070,551 | 2,178,847 | |
FNMA (1 Year Treasury Constant Maturity +2.33%) ± | 2.35 | 11-1-2024 | 19,497 | 19,578 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.35% | 8-1-2031 | $ 82,474 | $ 82,426 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.35 | 10-1-2034 | 95,849 | 96,017 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.35 | 6-1-2035 | 252,709 | 266,220 | |
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 2.36 | 10-1-2036 | 257,381 | 270,150 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.36 | 6-1-2037 | 816,004 | 851,288 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 2.37 | 12-1-2030 | 344,462 | 345,650 | |
FNMA (1 Year Treasury Constant Maturity +2.38%) ± | 2.38 | 7-1-2027 | 47,553 | 47,705 | |
FNMA (12 Month Treasury Average +2.33%) ± | 2.38 | 8-1-2035 | 259,956 | 262,810 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.38 | 8-1-2050 | 3,007,914 | 3,036,178 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.39 | 1-1-2036 | 217,733 | 218,805 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 2.40 | 4-1-2024 | 2,012 | 2,012 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 2.40 | 7-1-2024 | 3,442 | 3,448 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.40 | 10-1-2024 | 11,649 | 11,669 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.41 | 5-1-2034 | 107,407 | 107,691 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 2.42 | 1-1-2026 | 51,433 | 51,544 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 2.42 | 5-1-2033 | 65,131 | 65,286 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 2.42 | 11-1-2034 | 163,950 | 171,930 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 2.42 | 12-1-2034 | 287,751 | 293,193 | |
FNMA (11th District Cost of Funds +1.70%) ± | 2.43 | 4-1-2030 | 502 | 505 | |
FNMA (6 Month LIBOR +2.31%) ± | 2.43 | 4-1-2033 | 155,765 | 156,100 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 2.44 | 5-1-2025 | 13,433 | 13,420 | |
FNMA (12 Month Treasury Average +2.35%) ± | 2.44 | 8-1-2040 | 302,139 | 307,329 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 2.45 | 4-1-2028 | 59,435 | 59,402 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.45 | 1-1-2031 | 123,709 | 123,639 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 2.45 | 6-1-2032 | 14,196 | 14,176 | |
FNMA (1 Year Treasury Constant Maturity +2.33%) ± | 2.46 | 7-1-2030 | 145,550 | 145,619 | |
FNMA (6 Month LIBOR +2.25%) ± | 2.46 | 3-1-2034 | 401,437 | 407,244 | |
FNMA (1 Year Treasury Constant Maturity +2.47%) ± | 2.47 | 9-1-2028 | 27,275 | 27,303 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 2.48 | 6-1-2027 | 40,765 | 40,958 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 2.49 | 8-1-2026 | 13,397 | 13,412 | |
FNMA (11th District Cost of Funds +1.09%) ± | 2.49 | 10-1-2034 | 19,732 | 19,802 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 2.50 | 7-1-2027 | 12,367 | 12,373 | |
FNMA (1 Year Treasury Constant Maturity +2.38%) ± | 2.50 | 9-1-2037 | 267,282 | 268,379 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 2.51 | 9-1-2030 | 313,734 | 313,734 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 6-1-2024 | 13,946 | 13,973 | |
FNMA (1 Year Treasury Constant Maturity +2.41%) ± | 2.53 | 5-1-2027 | 31,614 | 31,678 | |
FNMA (1 Year Treasury Constant Maturity +2.44%) ± | 2.53 | 1-1-2029 | 66,566 | 66,684 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 9-1-2033 | 299,791 | 300,104 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.54 | 4-1-2050 | 1,465,474 | 1,492,030 | |
FNMA (1 Year Treasury Constant Maturity +2.45%) ± | 2.55 | 7-1-2037 | 972,640 | 1,042,659 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.56 | 7-1-2029 | 197,581 | 197,753 | |
FNMA (1 Year Treasury Constant Maturity +2.48%) ± | 2.61 | 5-1-2035 | 323,897 | 341,131 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 2.61 | 7-1-2037 | 77,441 | 77,822 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 2.61 | 4-1-2038 | 164,574 | 165,325 | |
FNMA (1 Year Treasury Constant Maturity +2.54%) ± | 2.62 | 7-1-2028 | 143,866 | 144,130 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.62 | 10-1-2029 | 203,020 | 202,722 | |
FNMA (12 Month Treasury Average +2.48%) ± | 2.62 | 6-1-2040 | 455,540 | 457,284 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.63 | 8-1-2026 | 51,020 | 51,084 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.63 | 3-1-2027 | 12,428 | 12,501 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.63 | 6-1-2032 | 70,002 | 69,912 | |
FNMA (1 Year Treasury Constant Maturity +2.52%) ± | 2.64 | 11-1-2024 | 10,855 | 10,851 | |
FNMA (1 Year Treasury Constant Maturity +2.53%) ± | 2.66 | 8-1-2035 | 183,323 | 184,333 | |
FNMA (1 Year Treasury Constant Maturity +2.60%) ± | 2.72 | 10-1-2025 | 4,057 | 4,065 | |
FNMA (6 Month LIBOR +2.48%) ± | 2.73 | 7-1-2033 | 27,752 | 27,783 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.74 | 9-1-2030 | 294,900 | 295,397 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 2.77% | 7-1-2028 | $ 31,063 | $ 31,102 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 2.77 | 3-1-2030 | 3,636 | 3,642 | |
FNMA (6 Month LIBOR +2.54%) ± | 2.79 | 4-1-2033 | 168,370 | 169,136 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 2.80 | 10-1-2028 | 68,987 | 68,984 | |
FNMA (1 Year Treasury Constant Maturity +2.70%) ± | 2.81 | 5-1-2035 | 495,135 | 496,097 | |
FNMA (1 Year Treasury Constant Maturity +2.87%) ± | 2.89 | 9-1-2030 | 103,533 | 103,646 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.90 | 8-1-2031 | 23,745 | 23,644 | |
FNMA (Federal Cost of Funds +2.00%) ± | 3.00 | 8-1-2029 | 21,576 | 21,613 | |
FNMA (6 Month LIBOR +2.43%) ± | 3.03 | 5-1-2033 | 554,629 | 560,040 | |
FNMA (11th District Cost of Funds +1.25%) ± | 3.16 | 4-1-2034 | 335,683 | 350,686 | |
FNMA (6 Month LIBOR +2.70%) ± | 3.24 | 4-1-2024 | 40,994 | 41,104 | |
FNMA (Federal Cost of Funds +2.45%) ± | 3.29 | 2-1-2029 | 373,926 | 375,822 | |
FNMA (5 Year Treasury Constant Maturity +1.90%) ± | 3.49 | 9-1-2031 | 102,355 | 102,444 | |
FNMA (1 Year Treasury Constant Maturity +1.63%) ± | 3.50 | 11-1-2029 | 5,191 | 5,222 | |
FNMA (6 Month LIBOR +3.48%) ± | 3.64 | 12-1-2032 | 120,539 | 120,849 | |
FNMA (11th District Cost of Funds +1.82%) ± | 3.69 | 6-1-2034 | 50,122 | 50,849 | |
FNMA (5 Year Treasury Constant Maturity +2.42%) ± | 3.77 | 6-1-2028 | 13,891 | 13,917 | |
FNMA (6 Month LIBOR +3.57%) ± | 3.95 | 11-1-2031 | 3,343 | 3,355 | |
FNMA (11th District Cost of Funds +1.93%) ± | 4.03 | 12-1-2036 | 23,700 | 25,311 | |
FNMA (3 Year Treasury Constant Maturity +2.14%) ± | 4.39 | 10-1-2025 | 3,357 | 3,364 | |
FNMA (11th District Cost of Funds +1.88%) ± | 4.53 | 5-1-2034 | 68,762 | 70,398 | |
FNMA | 6.50 | 8-1-2028 | 28,887 | 29,147 | |
FNMA | 6.50 | 5-1-2031 | 55,528 | 60,881 | |
FNMA | 7.06 | 12-1-2024 | 11,501 | 11,558 | |
FNMA | 7.06 | 1-1-2027 | 12,838 | 12,886 | |
FNMA | 7.50 | 1-1-2031 | 24,607 | 25,935 | |
FNMA | 7.50 | 1-1-2033 | 50,242 | 54,216 | |
FNMA | 7.50 | 5-1-2033 | 48,715 | 51,625 | |
FNMA | 7.50 | 5-1-2033 | 73,534 | 78,348 | |
FNMA | 7.50 | 7-1-2033 | 24,754 | 25,005 | |
FNMA | 7.50 | 8-1-2033 | 41,735 | 43,234 | |
FNMA | 8.00 | 12-1-2026 | 20,162 | 20,855 | |
FNMA | 8.00 | 2-1-2030 | 118 | 119 | |
FNMA | 8.00 | 3-1-2030 | 77 | 78 | |
FNMA | 8.00 | 5-1-2033 | 33,475 | 33,918 | |
FNMA | 8.50 | 8-15-2024 | 2,894 | 2,930 | |
FNMA Series 2010-8 Class FE (1 Month LIBOR +0.79%) ± | 0.98 | 2-25-2040 | 3,142,720 | 3,221,932 | |
FNMA Series 1992-45 Class F (7 Year Treasury Constant Maturity +0.00%) ± | 1.97 | 4-25-2022 | 80 | 80 | |
FNMA Series 1992-87 Class Z | 8.00 | 5-25-2022 | 80 | 80 | |
FNMA Series 1993-113 Class FA (10 Year Treasury Constant Maturity -0.65%) ± | 1.34 | 7-25-2023 | 6,893 | 6,889 | |
FNMA Series 1993-247 Class FM (11th District Cost of Funds +1.20%) ± | 1.42 | 12-25-2023 | 45,456 | 45,844 | |
FNMA Series 1994-14 Class F (11th District Cost of Funds +1.60%) ± | 1.82 | 10-25-2023 | 23,821 | 24,095 | |
FNMA Series 2001-50 Class BA | 7.00 | 10-25-2041 | 70,880 | 78,169 | |
FNMA Series 2001-63 Class FD (1 Month LIBOR +0.60%) ± | 0.74 | 12-18-2031 | 55,720 | 56,145 | |
FNMA Series 2001-81 Class F (1 Month LIBOR +0.55%) ± | 0.74 | 1-25-2032 | 24,980 | 25,184 | |
FNMA Series 2001-T08 Class A1 | 7.50 | 7-25-2041 | 67,533 | 72,210 | |
FNMA Series 2001-T10 Class A2 | 7.50 | 12-25-2041 | 1,139,113 | 1,262,029 | |
FNMA Series 2001-T12 Class A2 | 7.50 | 8-25-2041 | 90,211 | 100,255 | |
FNMA Series 2001-T12 Class A4 ±± | 3.76 | 8-25-2041 | 2,111,129 | 2,158,996 | |
FNMA Series 2001-W01 Class AV1 (1 Month LIBOR +0.12%) ± | 0.31 | 8-25-2031 | 30,581 | 28,884 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2001-W03 Class A ±± | 7.00% | 9-25-2041 | $ 274,769 | $ 290,144 | |
FNMA Series 2002-05 Class FD (1 Month LIBOR +0.90%) ± | 1.09 | 2-25-2032 | 46,035 | 46,628 | |
FNMA Series 2002-33 Class A4 ±± | 5.35 | 11-25-2030 | 77,701 | 80,897 | |
FNMA Series 2002-59 Class F (1 Month LIBOR +0.40%) ± | 0.59 | 9-25-2032 | 112,478 | 112,717 | |
FNMA Series 2002-66 Class A3 ±± | 3.62 | 4-25-2042 | 4,439,492 | 4,597,810 | |
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 878,609 | 1,015,707 | |
FNMA Series 2002-T12 Class A5 ±± | 4.25 | 10-25-2041 | 990,622 | 1,019,318 | |
FNMA Series 2002-T18 Class A5 ±± | 4.09 | 5-25-2042 | 1,980,108 | 2,079,126 | |
FNMA Series 2002-T19 Class A4 ±± | 4.00 | 3-25-2042 | 112,657 | 120,598 | |
FNMA Series 2002-W01 Class 3A ±± | 3.22 | 4-25-2042 | 507,481 | 514,276 | |
FNMA Series 2002-W04 Class A6 ±± | 3.29 | 5-25-2042 | 894,925 | 923,917 | |
FNMA Series 2003-07 Class A2 ±± | 3.50 | 5-25-2042 | 369,002 | 374,122 | |
FNMA Series 2003-63 Class A8 ±± | 3.27 | 1-25-2043 | 729,712 | 753,855 | |
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.14%) ± | 0.38 | 3-25-2033 | 879,428 | 875,163 | |
FNMA Series 2003-W02 Class 1A3 | 7.50 | 7-25-2042 | 229,832 | 265,856 | |
FNMA Series 2003-W04 Class 5A ±± | 3.22 | 10-25-2042 | 529,937 | 542,185 | |
FNMA Series 2003-W08 Class 4A ±± | 3.55 | 11-25-2042 | 702,993 | 736,283 | |
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 0.35 | 6-25-2033 | 1,046,160 | 1,029,600 | |
FNMA Series 2003-W10 Class 2A ±± | 3.20 | 6-25-2043 | 1,397,279 | 1,425,179 | |
FNMA Series 2003-W18 Class 2A ±± | 3.26 | 6-25-2043 | 1,741,371 | 1,787,406 | |
FNMA Series 2003-W6 Class 6A ±± | 3.12 | 8-25-2042 | 630,194 | 646,340 | |
FNMA Series 2004-17 Class FT (1 Month LIBOR +0.40%) ± | 0.59 | 4-25-2034 | 511,061 | 513,822 | |
FNMA Series 2004-T03 Class 1A3 | 7.00 | 2-25-2044 | 269,157 | 306,351 | |
FNMA Series 2004-T03 Class 2A ±± | 3.33 | 8-25-2043 | 703,731 | 721,848 | |
FNMA Series 2004-T1 Class 2A ±± | 2.92 | 8-25-2043 | 867,702 | 898,111 | |
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 142,132 | 160,603 | |
FNMA Series 2004-W01 Class 3A ±± | 3.66 | 1-25-2043 | 38,953 | 40,674 | |
FNMA Series 2004-W02 Class 5A | 7.50 | 3-25-2044 | 51,488 | 57,860 | |
FNMA Series 2004-W12 Class 2A ±± | 3.40 | 6-25-2044 | 2,168,642 | 2,246,071 | |
FNMA Series 2004-W15 Class 3A ±± | 3.26 | 6-25-2044 | 3,169,079 | 3,282,589 | |
FNMA Series 2005-25 Class PF (1 Month LIBOR +0.35%) ± | 0.54 | 4-25-2035 | 720,776 | 724,958 | |
FNMA Series 2005-W03 Class 3A ±± | 3.19 | 4-25-2045 | 584,810 | 622,270 | |
FNMA Series 2006-112 Class LF (1 Month LIBOR +0.55%) ± | 0.74 | 11-25-2036 | 1,039,367 | 1,056,231 | |
FNMA Series 2006-16 Class FA (1 Month LIBOR +0.30%) ± | 0.49 | 3-25-2036 | 464,955 | 466,733 | |
FNMA Series 2006-44 Class FY (1 Month LIBOR +0.57%) ± | 0.76 | 6-25-2036 | 788,219 | 797,185 | |
FNMA Series 2006-5 Class 1-A ±± | 1.89 | 8-25-2034 | 2,404,197 | 2,594,765 | |
FNMA Series 2006-50 Class FE (1 Month LIBOR +0.40%) ± | 0.59 | 6-25-2036 | 1,429,829 | 1,440,468 | |
FNMA Series 2006-W01 Class 3A ±± | 2.33 | 10-25-2045 | 2,081,832 | 2,152,739 | |
FNMA Series 2007-109 Class PF (1 Month LIBOR +0.65%) ± | 0.84 | 12-25-2037 | 595,080 | 606,524 | |
FNMA Series 2007-4 Class DF (1 Month LIBOR +0.45%) ± | 0.63 | 2-25-2037 | 623,754 | 630,489 | |
FNMA Series 2007-86 Class FA (1 Month LIBOR +0.45%) ± | 0.64 | 9-25-2037 | 1,161,839 | 1,173,402 | |
FNMA Series 2007-95 Class A2 (1 Month LIBOR +0.25%) ± | 0.35 | 8-27-2036 | 123,142 | 121,189 | |
FNMA Series 2008-67 Class FG (1 Month LIBOR +1.00%) ± | 1.19 | 7-25-2038 | 671,565 | 693,553 | |
FNMA Series 2009-106 Class FA (1 Month LIBOR +0.75%) ± | 0.94 | 1-25-2040 | 927,657 | 948,111 | |
FNMA Series 2009-11 Class FU (1 Month LIBOR +1.00%) ± | 1.19 | 3-25-2049 | 337,950 | 340,883 | |
FNMA Series 2010-1 Class FK (1 Month LIBOR +1.20%) ± | 1.39 | 2-25-2040 | 2,383,755 | 2,485,549 | |
FNMA Series 2010-27 Class BF (1 Month LIBOR +0.55%) ± | 0.74 | 4-25-2040 | 1,864,161 | 1,894,405 | |
FNMA Series 2010-27 Class FG (1 Month LIBOR +1.00%) ± | 1.19 | 4-25-2040 | 2,853,872 | 2,914,357 | |
FNMA Series 2010-54 Class AF (1 Month LIBOR +0.56%) ± | 0.75 | 4-25-2037 | 258,163 | 262,354 | |
FNMA Series 2010-54 Class FT (1 Month LIBOR +0.76%) ± | 0.95 | 4-25-2037 | 3,699,653 | 3,788,901 | |
FNMA Series 2011-21 Class PF (1 Month LIBOR +0.35%) ± | 0.54 | 12-25-2041 | 230,456 | 231,800 | |
FNMA Series 2011-71 Class FA (1 Month LIBOR +0.62%) ± | 0.81 | 12-25-2036 | 1,875,013 | 1,909,360 | |
FNMA Series 2012-17 Class EF (1 Month LIBOR +0.45%) ± | 0.64 | 3-25-2041 | 1,573,402 | 1,581,231 | |
FNMA Series 2012-47 Class FW (1 Month LIBOR +1.70%) ± | 1.89 | 5-25-2027 | 128,146 | 131,870 | |
FNMA Series 2013-130 Class CF (1 Month LIBOR +0.25%) ± | 0.44 | 6-25-2043 | 397,806 | 398,912 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 0.45% | 3-25-2043 | $ 3,505,990 | $ 3,535,951 | |
FNMA Series 2014-10 Class CF (1 Month LIBOR +0.30%) ± | 0.40 | 3-25-2044 | 781,610 | 783,923 | |
FNMA Series 2014-49 Class AF (1 Month LIBOR +0.32%) ± | 0.42 | 8-25-2044 | 137,623 | 137,506 | |
FNMA Series 2015-38 Class DF (1 Month LIBOR +0.31%) ± | 0.41 | 6-25-2055 | 1,871,167 | 1,878,264 | |
FNMA Series 2015-4 Class FA (1 Month LIBOR +0.35%) ± | 0.45 | 2-25-2045 | 1,181,085 | 1,181,632 | |
FNMA Series 2015-M14 Class FA (1 Month LIBOR +0.62%) ± | 0.81 | 10-25-2025 | 3,626,621 | 3,646,970 | |
FNMA Series 2016-40 Class AF (1 Month LIBOR +0.45%) ± | 0.55 | 7-25-2046 | 5,428,267 | 5,437,363 | |
FNMA Series 2016-58 Class FA (1 Month LIBOR +0.48%) ± | 0.58 | 8-25-2046 | 511,596 | 509,772 | |
FNMA Series 2016-62 Class AF (1 Month LIBOR +0.45%) ± | 0.55 | 9-25-2046 | 681,223 | 687,279 | |
FNMA Series 2016-64 Class KF (1 Month LIBOR +0.47%) ± | 0.57 | 9-25-2046 | 1,398,626 | 1,410,958 | |
FNMA Series 2016-76 Class CF (1 Month LIBOR +0.45%) ± | 0.55 | 10-25-2046 | 820,772 | 821,527 | |
FNMA Series 2016-82 Class FM (1 Month LIBOR +0.40%) ± | 0.50 | 11-25-2046 | 1,622,999 | 1,625,029 | |
FNMA Series 2016-87 Class AF (1 Month LIBOR +0.40%) ± | 0.50 | 11-25-2046 | 355,600 | 354,486 | |
FNMA Series 2016-M10 Class FA (1 Month LIBOR +0.62%) ± | 0.81 | 8-25-2028 | 3,482,221 | 3,490,103 | |
FNMA Series 2017-45 Class FA (1 Month LIBOR +0.32%) ± | 0.42 | 6-25-2047 | 3,697,478 | 3,687,185 | |
FNMA Series 2017-M6 Class F (1 Month LIBOR +0.48%) ± | 0.67 | 4-25-2029 | 3,460,942 | 3,475,771 | |
FNMA Series 2017-M9 Class F (1 Month LIBOR +0.48%) ± | 0.67 | 5-25-2029 | 3,264,116 | 3,280,515 | |
FNMA Series 2018-39 Class WF (1 Month LIBOR +0.30%) ± | 0.40 | 6-25-2048 | 3,902,283 | 3,912,122 | |
FNMA Series 2018-47 Class PC | 3.50 | 9-25-2047 | 288,173 | 288,585 | |
FNMA Series 2018-72 Class FB (1 Month LIBOR +0.35%) ± | 0.54 | 10-25-2058 | 3,017,877 | 3,027,295 | |
FNMA Series 2019-25 Class FA (1 Month LIBOR +0.45%) ± | 0.64 | 6-25-2049 | 325,051 | 329,047 | |
FNMA Series 2019-38 Class AF (1 Month LIBOR +0.40%) ± | 0.50 | 7-25-2049 | 4,228,573 | 4,257,821 | |
FNMA Series 2019-41 Class F (1 Month LIBOR +0.50%) ± | 0.69 | 8-25-2059 | 2,841,914 | 2,870,160 | |
FNMA Series 2019-42 Class MF (1 Month LIBOR +0.40%) ± | 0.50 | 8-25-2059 | 2,297,756 | 2,287,081 | |
FNMA Series 2019-5 Class FE (1 Month LIBOR +0.45%) ± | 0.64 | 3-25-2049 | 460,840 | 466,125 | |
FNMA Series 2020-10 Class Q | 3.00 | 3-25-2050 | 3,059,087 | 3,089,454 | |
FNMA Series 2020-29 Class FA (1 Month LIBOR +0.65%) ± | 0.75 | 5-25-2050 | 1,347,221 | 1,363,677 | |
FNMA Series 2020-36 Class FH (1 Month LIBOR +0.45%) ± | 0.64 | 6-25-2050 | 3,087,015 | 3,125,597 | |
FNMA Series 2020-37 Class FD (1 Month LIBOR +0.40%) ± | 0.59 | 6-25-2050 | 2,928,470 | 2,953,843 | |
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR +0.18%) ± | 0.23 | 12-25-2051 | 4,628,131 | 4,614,829 | |
FNMA Series G93-1 Class K | 6.68 | 1-25-2023 | 7,737 | 7,830 | |
GNMA (1 Month LIBOR +0.62%) ± | 0.71 | 5-20-2058 | 158,794 | 158,874 | |
GNMA (1 Year Treasury Constant Maturity +1.40%) ± | 1.61 | 6-20-2058 | 40,728 | 41,209 | |
GNMA (1 Year Treasury Constant Maturity +1.50%) ± | 2.00 | 1-20-2034 | 1,003,580 | 1,029,541 | |
GNMA | 6.45 | 4-20-2025 | 17,309 | 18,474 | |
GNMA | 6.45 | 9-20-2025 | 19,818 | 21,920 | |
GNMA | 6.50 | 8-20-2034 | 122,568 | 126,101 | |
GNMA | 9.00 | 9-20-2024 | 422 | 427 | |
GNMA | 9.00 | 11-20-2024 | 53 | 53 | |
GNMA | 9.00 | 1-20-2025 | 1,458 | 1,499 | |
GNMA | 9.00 | 2-20-2025 | 3,415 | 3,534 | |
GNMA Series 2004-80 Class FA (1 Month LIBOR +0.40%) ± | 0.56 | 10-20-2034 | 434,014 | 435,726 | |
GNMA Series 2006-16 Class DF (1 Month LIBOR +0.11%) ± | 0.27 | 4-20-2036 | 2,196,438 | 2,195,803 | |
GNMA Series 2008-65 Class FG (1 Month LIBOR +0.75%) ± | 0.91 | 8-20-2038 | 756,550 | 764,370 | |
GNMA Series 2008-68 Class FA (1 Month LIBOR +0.95%) ± | 1.11 | 8-20-2038 | 946,612 | 962,327 | |
GNMA Series 2009-12 Class FA (1 Month LIBOR +0.95%) ± | 1.11 | 3-20-2039 | 1,215,675 | 1,233,347 | |
GNMA Series 2009-15 Class FL (1 Month LIBOR +0.95%) ± | 1.11 | 3-20-2039 | 1,215,675 | 1,231,559 | |
GNMA Series 2009-29 Class FL (1 Month LIBOR +0.65%) ± | 0.78 | 5-16-2039 | 1,270,450 | 1,289,856 | |
GNMA Series 2009-36 Class FE (1 Month LIBOR +0.80%) ± | 0.96 | 9-20-2038 | 1,216,094 | 1,230,575 | |
GNMA Series 2009-50 Class FW (1 Month LIBOR +1.00%) ± | 1.16 | 7-20-2039 | 896,825 | 915,492 | |
GNMA Series 2009-52 Class FD (1 Month LIBOR +0.95%) ± | 1.08 | 7-16-2039 | 438,903 | 446,571 | |
GNMA Series 2010-25 Class FH (1 Month LIBOR +0.72%) ± | 0.85 | 2-16-2040 | 588,504 | 598,255 | |
GNMA Series 2011-117 Class FJ (1 Month LIBOR +0.87%) ± | 1.03 | 8-20-2041 | 1,146,864 | 1,175,605 | |
GNMA Series 2011-H12 Class FA (1 Month LIBOR +0.49%) ± | 0.59 | 2-20-2061 | 694,572 | 695,364 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
GNMA Series 2011-H17 Class FA (1 Month LIBOR +0.53%) ± | 0.63% | 6-20-2061 | $ 484,097 | $ 485,023 | |
GNMA Series 2012-124 Class GF (1 Month LIBOR +0.25%) ± | 0.41 | 10-20-2042 | 1,282,926 | 1,284,604 | |
GNMA Series 2014-44 Class IA | 3.50 | 5-20-2028 | 2,583,297 | 136,869 | |
GNMA Series 2014-H16 Class FL (1 Month LIBOR +0.47%) ± | 0.57 | 7-20-2064 | 880,074 | 880,432 | |
GNMA Series 2014-H22 Class FC (1 Month LIBOR +0.48%) ± | 0.58 | 11-20-2064 | 1,766,311 | 1,770,102 | |
GNMA Series 2015-H23 Class TA (1 Month LIBOR +0.47%) ± | 0.57 | 9-20-2065 | 1,717,806 | 1,721,345 | |
GNMA Series 2016-H24 Class FD (12 Month LIBOR +0.30%) ± | 0.53 | 11-20-2066 | 433,487 | 426,850 | |
GNMA Series 2017-130 Class FH (1 Month LIBOR +0.30%) ± | 0.46 | 8-20-2047 | 1,802,530 | 1,803,278 | |
GNMA Series 2017-H11 Class FE (12 Month LIBOR +0.18%) ± | 0.46 | 5-20-2067 | 3,341,825 | 3,293,159 | |
GNMA Series 2017-H11 Class FP (1 Month LIBOR +0.22%) ± | 0.32 | 4-20-2067 | 69,925 | 69,802 | |
GNMA Series 2018-120 Class FL (1 Month LIBOR +0.30%) ± | 0.46 | 9-20-2048 | 397,013 | 396,762 | |
GNMA Series 2018-49 Class FM (1 Month LIBOR +0.25%) ± | 0.41 | 4-20-2048 | 1,564,311 | 1,566,078 | |
GNMA Series 2018-H07 Class FD (1 Month LIBOR +0.30%) ± | 0.40 | 5-20-2068 | 487,426 | 485,828 | |
GNMA Series 2018-H13 Class FC (1 Month LIBOR +0.30%) ± | 0.40 | 7-20-2068 | 356,261 | 354,878 | |
GNMA Series 2019-129 Class WF (1 Month LIBOR +0.40%) ± | 0.51 | 2-20-2046 | 1,694,384 | 1,703,907 | |
GNMA Series 2019-42 Class F (1 Month LIBOR +0.45%) ± | 0.56 | 3-20-2046 | 1,686,342 | 1,696,445 | |
GNMA Series 2019-H06 Class FD (1 Month LIBOR +0.72%) ± | 0.82 | 1-20-2069 | 765,552 | 776,349 | |
GNMA Series 2019-H09 Class FE (1 Month LIBOR +0.50%) ± | 0.60 | 4-20-2069 | 1,129,544 | 1,131,675 | |
GNMA Series 2019-H10 Class FB (1 Month LIBOR +0.60%) ± | 0.70 | 6-20-2069 | 3,354,680 | 3,383,279 | |
GNMA Series 2019-H15 Class FE (1 Month LIBOR +0.63%) ± | 0.73 | 9-20-2069 | 2,466,749 | 2,492,294 | |
GNMA Series 2020-H12 Class F (1 Month LIBOR +0.50%) ± | 0.66 | 7-20-2070 | 970,894 | 974,804 | |
GNMA Series 2020-H19 Class FB (1 Month LIBOR +0.45%) ± | 0.61 | 11-20-2070 | 3,006,163 | 3,010,116 | |
GNMA Series 2021-H01 Class FC (1 Month LIBOR +0.40%) ± | 0.56 | 11-20-2070 | 1,836,031 | 1,833,328 | |
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR +0.30%) ± | 0.35 | 4-20-2070 | 4,392,877 | 4,357,330 | |
Total Agency securities (Cost $424,210,290) | 424,466,140 | ||||
Asset-backed securities: 11.11% | |||||
Brazos Education Funding Series 2015-1 Class A (1 Month LIBOR +1.00%) 144A± | 1.11 | 10-25-2056 | 2,317,595 | 2,322,812 | |
ECMC Group Student Loan Trust Series 2018-1A Class A (1 Month LIBOR +0.75%) 144A± | 0.94 | 2-27-2068 | 2,430,810 | 2,421,215 | |
ECMC Group Student Loan Trust Series 2018-2A Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 9-25-2068 | 4,148,673 | 4,127,671 | |
ECMC Group Student Loan Trust Series 2019-1A Class A1B (1 Month LIBOR +1.00%) 144A± | 1.19 | 7-25-2069 | 2,765,123 | 2,778,298 | |
ECMC Group Student Loan Trust Series 2020-2A Class A (1 Month LIBOR +1.15%) 144A± | 1.34 | 11-25-2069 | 3,449,921 | 3,475,771 | |
ECMC Group Student Loan Trust Series 2020-3A Class A1B (1 Month LIBOR +1.00%) 144A± | 1.19 | 1-27-2070 | 2,993,383 | 3,021,070 | |
EFS Volunteer LLC Series 2010-1 Class A2 (3 Month LIBOR +0.85%) 144A± | 1.11 | 10-25-2035 | 717,576 | 716,228 | |
Finance of America HECM Buyout 2020 Series HB2 Class A7 144A±± | 1.71 | 7-25-2030 | 1,374,564 | 1,358,253 | |
Navient Student Loan Trust Series 2017-3A Class A2 (1 Month LIBOR +0.60%) 144A± | 0.79 | 7-26-2066 | 1,721,799 | 1,721,799 | |
Navient Student Loan Trust Series 2018-2A Class A2 (1 Month LIBOR +0.38%) 144A± | 0.57 | 3-25-2067 | 1,399,575 | 1,396,736 | |
Navient Student Loan Trust Series 2018-2A Class A3 (1 Month LIBOR +0.75%) 144A± | 0.94 | 3-25-2067 | 5,280,000 | 5,206,227 | |
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 0.61 | 3-25-2067 | 1,611,712 | 1,608,698 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Navient Student Loan Trust Series 2018-4A Class A2 144A (1 Month LIBOR +0.68%) 144A± | 0.87% | 6-27-2067 | $ 4,343,594 | $ 4,271,313 | |
Navient Student Loan Trust Series 2019-2A Class A2 (1 Month LIBOR +1.00%) 144A± | 1.19 | 2-27-2068 | 7,636,613 | 7,737,745 | |
Navient Student Loan Trust Series 2020-2A Class A1B (1 Month LIBOR +0.90%) 144A± | 1.09 | 8-26-2069 | 1,291,941 | 1,297,597 | |
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,467,921 | 1,448,913 | |
Navient Student Loan Trust Series 2021-1A Class A1B 144A (1 Month LIBOR +0.60%) 144A± | 0.79 | 12-26-2069 | 1,018,543 | 1,009,505 | |
Nelnet Student Loan Trust Series 2007-1 Class A3 (3 Month LIBOR +0.07%) ± | 0.25 | 5-27-2025 | 8,390 | 8,379 | |
Nelnet Student Loan Trust Series 2019-2A Class A (1 Month LIBOR +0.90%) 144A± | 1.09 | 6-27-2067 | 3,639,653 | 3,656,326 | |
Nelnet Student Loan Trust Series 2019-4A Class A (1 Month LIBOR +0.87%) 144A± | 1.06 | 9-26-2067 | 788,118 | 789,257 | |
Nelnet Student Loan Trust Series 2019-7A Class A1 (1 Month LIBOR +0.50%) 144A± | 0.69 | 1-25-2068 | 899,237 | 897,082 | |
New Hampshire Higher Education Loan Corporation Series 2020-1 Class A1B (1 Month LIBOR +1.20%) ± | 1.39 | 9-25-2060 | 2,964,543 | 3,032,117 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 0.87 | 12-17-2068 | 4,000,000 | 3,974,224 | |
SLM Student Loan Trust Series 2004-10 Class A7B (3 Month LIBOR +0.60%) 144A± | 0.86 | 10-25-2029 | 405,214 | 405,085 | |
SLM Student Loan Trust Series 2005-4 Class A3 (3 Month LIBOR +0.12%) ± | 0.38 | 1-25-2027 | 500,873 | 498,342 | |
South Carolina Student Loan Series 2008-1 Class A4 (3 Month LIBOR +1.00%) ± | 1.52 | 9-3-2024 | 194,132 | 194,296 | |
Total Asset-backed securities (Cost $59,530,899) | 59,374,959 | ||||
Non-agency mortgage-backed securities: 4.85% | |||||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 1,123,692 | 1,114,484 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 1,463,347 | 1,456,316 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 2,970,263 | 2,925,440 | |
FRESB Mortgage Trust Series 2022-SB94 Class A5H ±± | 1.72 | 11-25-2041 | 5,996,530 | 5,936,311 | |
Goldman Sachs Mortgage-Backed Securities Trust Series 2020-PJ4 Class A2 144A±± | 3.00 | 1-25-2051 | 753,444 | 750,792 | |
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A2 144A±± | 1.36 | 9-25-2056 | 795,794 | 750,350 | |
Imperial Fund Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.49 | 2-25-2067 | 2,692,643 | 2,679,164 | |
JPMorgan Mortgage Trust Series 2016-5 Class A1 144A±± | 2.35 | 12-25-2046 | 999,910 | 968,391 | |
Mello Warehouse Securitization Trust Series 2020-2 Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 11-25-2053 | 1,885,000 | 1,873,079 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 495,864 | 489,572 | |
New Residential Mortgage Loan Trust Series 2018-4A Class A1M (1 Month LIBOR +0.90%) 144A± | 1.09 | 1-25-2048 | 1,414,021 | 1,413,048 | |
New Residential Mortgage Loan Trust Series 2020-RPL1 Class A1 144A±± | 2.75 | 11-25-2059 | 251,635 | 252,994 | |
Onslow Bay Financial LLC Series 2022-NQM1 Class A1 144A±± | 2.31 | 11-25-2061 | 3,350,047 | 3,312,253 |
Interest rate | Maturity date | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94% | 5-25-2065 | $ 1,248,853 | $ 1,231,851 | |
Towd Point Mortgage Trust Series 2017-5 Class A1 (1 Month LIBOR +0.60%) 144A± | 0.79 | 2-25-2057 | 781,775 | 780,660 | |
Total Non-agency mortgage-backed securities (Cost $26,298,669) | 25,934,705 |
Yield | Shares | ||||
Short-term investments: 5.22% | |||||
Investment companies: 3.35% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 0.03 | 17,929,505 | 17,929,505 |
Interest rate | Principal | ||||
U.S. Treasury securities: 1.87% | |||||
U.S. Treasury Bill ☼ | 0.03 | 3-24-2022 | $10,000,000 | 9,999,563 | |
Total Short-term investments (Cost $27,929,297) | 27,929,068 | ||||
Total investments in securities (Cost $537,969,155) | 100.55% | 537,704,872 | |||
Other assets and liabilities, net | (0.55) | (2,916,140) | |||
Total net assets | 100.00% | $534,788,732 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
♀ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $42,764,138 | $290,943,581 | $(315,778,214) | $0 | $0 | $17,929,505 | 17,929,505 | $3,884 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Short | |||||||
10-Year U.S. Treasury Notes | (53) | 6-21-2022 | $ (6,688,585) | $ (6,754,188) | $0 | $ (65,603) | |
2-Year U.S. Treasury Notes | (345) | 6-30-2022 | (74,047,959) | (74,253,164) | 0 | (205,205) | |
5-Year U.S. Treasury Notes | (170) | 6-30-2022 | (19,967,982) | (20,107,812) | 0 | (139,830) | |
$0 | $(410,638) |
Assets | |
Investments in unaffiliated securities, at value (cost $520,039,650) | $ 519,775,367 |
Investments in affiliated securities, at value (cost $17,929,505) | 17,929,505 |
Cash | 136,773 |
Cash at broker segregated for futures contracts | 590,000 |
Principal paydown receivable | 1,750,937 |
Receivable for Fund shares sold | 1,519,536 |
Receivable for interest | 613,196 |
Prepaid expenses and other assets | 69,296 |
Total assets | 542,384,610 |
Liabilities | |
Payable for Fund shares redeemed | 6,900,275 |
Payable for daily variation margin on open futures contracts | 415,219 |
Management fee payable | 131,046 |
Administration fees payable | 39,685 |
Dividends payable | 23,030 |
Distribution fee payable | 1,670 |
Trustees’ fees and expenses payable | 180 |
Accrued expenses and other liabilities | 84,773 |
Total liabilities | 7,595,878 |
Total net assets | $534,788,732 |
Net assets consist of | |
Paid-in capital | $ 531,296,211 |
Total distributable earnings | 3,492,521 |
Total net assets | $534,788,732 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 91,892,869 |
Shares outstanding – Class A1 | 10,295,889 |
Net asset value per share – Class A | $8.93 |
Maximum offering price per share – Class A2 | $9.11 |
Net assets – Class C | $ 2,875,912 |
Shares outstanding – Class C1 | 322,776 |
Net asset value per share – Class C | $8.91 |
Net assets – Administrator Class | $ 10,704,758 |
Shares outstanding – Administrator Class1 | 1,198,735 |
Net asset value per share – Administrator Class | $8.93 |
Net assets – Institutional Class | $ 429,315,193 |
Shares outstanding – Institutional Class1 | 48,105,468 |
Net asset value per share – Institutional Class | $8.92 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/98 of net asset value. On investments of $100,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 2,239,223 |
Income from affiliated securities | 3,884 |
Total investment income | 2,243,107 |
Expenses | |
Management fee | 904,653 |
Administration fees | |
Class A | 75,038 |
Class C | 2,492 |
Administrator Class | 4,285 |
Institutional Class | 164,585 |
Shareholder servicing fees | |
Class A | 116,994 |
Class C | 3,893 |
Administrator Class | 10,704 |
Distribution fee | |
Class C | 11,679 |
Custody and accounting fees | 18,623 |
Professional fees | 46,751 |
Registration fees | 29,970 |
Shareholder report expenses | 21,723 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 24,028 |
Total expenses | 1,445,010 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (34,937) |
Class A | (45,657) |
Class C | (20,707) |
Administrator Class | (11,128) |
Net expenses | 1,332,581 |
Net investment income | 910,526 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (50,427) |
Futures contracts | 3,107,690 |
Net realized gains on investments | 3,057,263 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (3,811,428) |
Futures contracts | (333,329) |
Net change in unrealized gains (losses) on investments | (4,144,757) |
Net realized and unrealized gains (losses) on investments | (1,087,494) |
Net decrease in net assets resulting from operations | $ (176,968) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 910,526 | $ 3,082,137 | ||
Net realized gains on investments | 3,057,263 | 2,755,083 | ||
Net change in unrealized gains (losses) on investments | (4,144,757) | (614,193) | ||
Net increase (decrease) in net assets resulting from operations | (176,968) | 5,223,027 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (251,479) | (566,177) | ||
Class C | (5,922) | (1,311) | ||
Administrator Class | (28,717) | (49,812) | ||
Institutional Class | (1,621,154) | (2,722,077) | ||
Total distributions to shareholders | (1,907,272) | (3,339,377) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 339,783 | 3,041,910 | 1,717,622 | 15,375,208 |
Class C | 14,875 | 133,043 | 198,409 | 1,770,746 |
Administrator Class | 679,498 | 6,077,263 | 412,523 | 3,701,212 |
Institutional Class | 26,289,142 | 235,228,473 | 40,953,608 | 366,875,929 |
244,480,689 | 387,723,095 | |||
Reinvestment of distributions | ||||
Class A | 23,802 | 212,865 | 53,731 | 481,201 |
Class C | 651 | 5,816 | 141 | 1,262 |
Administrator Class | 3,178 | 28,438 | 5,497 | 49,250 |
Institutional Class | 155,086 | 1,386,895 | 264,936 | 2,373,163 |
1,634,014 | 2,904,876 | |||
Payment for shares redeemed | ||||
Class A | (921,215) | (8,248,810) | (3,420,031) | (30,618,407) |
Class C | (62,019) | (554,607) | (357,221) | (3,193,038) |
Administrator Class | (409,614) | (3,663,410) | (397,467) | (3,564,439) |
Institutional Class | (27,897,661) | (249,801,826) | (23,947,576) | (214,470,110) |
(262,268,653) | (251,845,994) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (16,153,950) | 138,781,977 | ||
Total increase (decrease) in net assets | (18,238,190) | 140,665,627 | ||
Net assets | ||||
Beginning of period | 553,026,922 | 412,361,295 | ||
End of period | $ 534,788,732 | $ 553,026,922 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 | $9.01 |
Net investment income | 0.01 1 | 0.04 | 0.17 | 0.18 1 | 0.10 | 0.06 |
Net realized and unrealized gains (losses) on investments | (0.01) | 0.05 | (0.06) | 0.05 | (0.01) | (0.04) |
Total from investment operations | 0.00 | 0.09 | 0.11 | 0.23 | 0.09 | 0.02 |
Distributions to shareholders from | ||||||
Net investment income | (0.01) | (0.05) | (0.17) | (0.18) | (0.12) | (0.07) |
Net realized gains | (0.02) | 0.00 | (0.00) 2 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.03) | (0.05) | (0.17) | (0.18) | (0.12) | (0.07) |
Net asset value, end of period | $8.93 | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Total return3 | (0.07)% | 0.99% | 1.25% | 2.64% | 0.98% | 0.23% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.82% | 0.82% | 0.88% | 0.88% | 0.83% | 0.80% |
Net expenses | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% |
Net investment income | 0.12% | 0.49% | 1.92% | 2.04% | 1.28% | 0.72% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 53% | 9% | 5% | 3% | 2% |
Net assets, end of period (000s omitted) | $91,893 | $97,274 | $111,538 | $118,675 | $103,963 | $153,953 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.95 | $8.91 | $8.97 | $8.93 | $8.96 | $9.01 |
Net investment income (loss) | (0.00) 1,2 | (0.00) 1,2 | 0.10 1 | 0.10 1 | 0.05 1 | (0.00) 1,2 |
Net realized and unrealized gains (losses) on investments | (0.02) | 0.04 | (0.06) | 0.06 | (0.03) | (0.05) |
Total from investment operations | (0.02) | 0.04 | 0.04 | 0.16 | 0.02 | (0.05) |
Distributions to shareholders from | ||||||
Net investment income | (0.00) 3 | (0.00) 3 | (0.10) | (0.12) | (0.05) | (0.00) 3 |
Net realized gains | (0.02) | 0.00 | (0.00) 3 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.02) | (0.00) 3 | (0.10) | (0.12) | (0.05) | (0.00) 3 |
Net asset value, end of period | $8.91 | $8.95 | $8.91 | $8.97 | $8.93 | $8.96 |
Total return4 | (0.25)% | 0.48% | 0.50% | 1.76% | 0.23% | (0.52)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.57% | 1.57% | 1.63% | 1.62% | 1.55% | 1.55% |
Net expenses | 0.88% * | 1.27% * | 1.49% | 1.49% | 1.49% | 1.49% |
Net investment income (loss) | (0.02)% | (0.02)% | 1.17% | 1.13% | 0.54% | (0.04)% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 53% | 9% | 5% | 3% | 2% |
Net assets, end of period (000s omitted) | $2,876 | $3,304 | $4,702 | $6,594 | $45,693 | $60,766 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Six months ended February 28, 2022 (unaudited) | 0.61% |
Year ended August 31, 2021 | 0.22% |
1 | Calculated based upon average shares outstanding |
2 | Amount is more than $(0.005) |
3 | Amount is less than $0.005. |
4 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.97 | $8.92 | $8.98 | $8.93 | $8.96 | $9.01 |
Net investment income | 0.01 1 | 0.06 1 | 0.18 1 | 0.19 1 | 0.13 1 | 0.07 1 |
Net realized and unrealized gains (losses) on investments | (0.02) | 0.05 | (0.06) | 0.06 | (0.03) | (0.04) |
Total from investment operations | (0.01) | 0.11 | 0.12 | 0.25 | 0.10 | 0.03 |
Distributions to shareholders from | ||||||
Net investment income | (0.01) | (0.06) | (0.18) | (0.20) | (0.13) | (0.08) |
Net realized gains | (0.02) | 0.00 | (0.00) 2 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.03) | (0.06) | (0.18) | (0.20) | (0.13) | (0.08) |
Net asset value, end of period | $8.93 | $8.97 | $8.92 | $8.98 | $8.93 | $8.96 |
Total return3 | (0.11)% | 1.24% | 1.40% | 2.78% | 1.12% | 0.37% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.76% | 0.76% | 0.81% | 0.81% | 0.77% | 0.74% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 0.27% | 0.64% | 1.98% | 2.12% | 1.42% | 0.82% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 53% | 9% | 5% | 3% | 2% |
Net assets, end of period (000s omitted) | $10,705 | $8,299 | $8,076 | $5,337 | $9,140 | $18,805 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 | $9.01 |
Net investment income | 0.02 | 0.07 1 | 0.19 1 | 0.22 | 0.16 | 0.09 |
Net realized and unrealized gains (losses) on investments | (0.02) | 0.04 | (0.06) | 0.04 | (0.05) | (0.04) |
Total from investment operations | 0.00 | 0.11 | 0.13 | 0.26 | 0.11 | 0.05 |
Distributions to shareholders from | ||||||
Net investment income | (0.02) | (0.07) | (0.19) | (0.21) | (0.14) | (0.10) |
Net realized gains | (0.02) | 0.00 | (0.00) 2 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.04) | (0.07) | (0.19) | (0.21) | (0.14) | (0.10) |
Net asset value, end of period | $8.92 | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Total return3 | (0.04)% | 1.27% | 1.54% | 2.93% | 1.26% | 0.51% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.49% | 0.49% | 0.54% | 0.54% | 0.50% | 0.47% |
Net expenses | 0.46% | 0.46% | 0.46% | 0.46% | 0.46% | 0.46% |
Net investment income | 0.41% | 0.74% | 2.12% | 2.27% | 1.55% | 0.98% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 53% | 9% | 5% | 3% | 2% |
Net assets, end of period (000s omitted) | $429,315 | $444,150 | $288,045 | $158,147 | $235,078 | $397,529 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 2,507,249 |
Gross unrealized losses | (3,126,360) |
Net unrealized losses | $ (619,111) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 424,466,140 | $0 | $ 424,466,140 |
Asset-backed securities | 0 | 59,374,959 | 0 | 59,374,959 |
Non-agency mortgage-backed securities | 0 | 25,934,705 | 0 | 25,934,705 |
Short-term investments | ||||
Investment companies | 17,929,505 | 0 | 0 | 17,929,505 |
U.S. Treasury securities | 9,999,563 | 0 | 0 | 9,999,563 |
Total assets | $27,929,068 | $509,775,804 | $0 | $537,704,872 |
Liabilities | ||||
Futures contracts | $ 410,638 | $ 0 | $0 | $ 410,638 |
Total liabilities | $ 410,638 | $ 0 | $0 | $ 410,638 |
Average daily net assets | Management fee |
First $1 billion | 0.350% |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.74% |
Class C | 1.49 |
Administrator Class | 0.60 |
Institutional Class | 0.46 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$154,471,614 | $55,271,243 | $103,873,067 | $26,762,573 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317208img2b5afe321.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA215/SAR215 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317268imge25ee4f31.jpg)
Conservative Income Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317268img8261cc552.gif)
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Andrew M. Greenberg, CFA®‡, Anthony J. Melville, CFA®‡, Jeffrey L. Weaver, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | ||||||
Expense ratios1 (%) | ||||||
Inception date | 1 year | 5 year | Since inception | Gross | Net 2 | |
Class A2 (WCIAX)3 | 5-29-2020 | -0.59 | 1.20 | 0.86 | 0.60 | 0.40 |
Institutional Class (WCIIX) | 5-31-2013 | -0.33 | 1.45 | 1.09 | 0.37 | 0.25 |
Bloomberg 6-9 Month Treasury Bill Index4 | – | -0.14 | 1.21 | 0.80 * | – | – |
* | Based on the inception date of the oldest Fund class. |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023 for Class A2 and December 31, 2022 for Institutional Class to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.40% for Class A2, and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund's returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class A2 shares prior to their inception reflects the performance of the Institutional Class shares, adjusted to reflect the higher expenses applicable to the Class A2 shares. |
4 | The Bloomberg 6-9 Month Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury bills that have a remaining maturity of less than nine months and more than six, are rated investment-grade, and have $250 million or more of outstanding face value. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
Nissan Auto Lease Trust Series 2020-B Class A3, 0.43%, 10-16-2023 | 2.00 |
HPEFS Equipment Trust Series 2021-1A Class C, 0.75%, 3-20-2031 | 1.80 |
Chevron Corporation, 1.28%, 5-11-2023 | 1.31 |
Southern California Edison's First Mortgage, 0.69%, 4-3-2023 | 1.21 |
Daimler Finance North America LLC, 3.70%, 5-4-2023 | 1.17 |
New York State Urban Development Corporation, 1.91%, 3-15-2023 | 1.16 |
Exxon Mobil Corporation, 1.57%, 4-15-2023 | 1.15 |
JPMorgan Chase & Company, 0.63%, 3-16-2024 | 1.15 |
BP Capital Markets America Incorporated, 0.86%, 9-19-2022 | 1.15 |
National Rural Utilities Cooperative Finance, 2.40%, 4-25-2022 | 1.14 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317268img6b893d924.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A2 | ||||
Actual | $1,000.00 | $ 994.48 | $2.37 | 0.48% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.41 | $2.41 | 0.48% |
Institutional Class | ||||
Actual | $1,000.00 | $ 995.83 | $1.24 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | $1.25 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 1.38% | |||||
FNMA | 3.00% | 1-1-2028 | $2,085,840 | $ 2,139,567 | |
GNMA ±± | 4.56 | 8-20-2070 | 2,503,093 | 2,658,134 | |
Total Agency securities (Cost $4,869,843) | 4,797,701 | ||||
Asset-backed securities: 21.71% | |||||
AmeriCredit Automobile Receivables Trust Series 2020-1 Class A3 | 1.11 | 8-19-2024 | 1,614,096 | 1,615,577 | |
CarMax Auto Owner Trust Series 2018-1 Class B | 2.83 | 9-15-2023 | 1,500,000 | 1,501,438 | |
CarMax Auto Owner Trust Series 2020-4 Class A2 | 0.31 | 1-16-2024 | 244,603 | 244,438 | |
CarMax Auto Owner Trust Series 2021-4 Class A2A | 0.24 | 11-15-2024 | 1,261,344 | 1,255,296 | |
Carvana Auto Receivables Trust 2021-P3 Class A | 0.38 | 1-10-2025 | 3,095,576 | 3,069,610 | |
CCG Receivables Trust Series 2020-1 Class A2 144A | 0.54 | 12-14-2027 | 1,265,775 | 1,258,462 | |
Chesapeake Funding II LLC Series 2020-1A Class A1 144A | 0.87 | 8-15-2032 | 1,078,219 | 1,071,182 | |
CNH Equipment Trust Series 2021-C Class A2 | 0.33 | 1-15-2025 | 3,000,000 | 2,971,410 | |
Dell Equipment Finance Trust Series 2021-2 Class A2 144A | 0.33 | 12-22-2026 | 2,880,000 | 2,847,056 | |
DLL Securitization Trust Series 2019-MA2 Class A3 144A | 2.34 | 9-20-2023 | 442,951 | 444,017 | |
DLLAD LLC Series 2021-1 144A | 0.35 | 9-20-2024 | 787,460 | 779,322 | |
DLLMT Series 2021-1A Class A2 144A | 0.60 | 3-20-2024 | 2,070,000 | 2,056,102 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1 (1 Month LIBOR +0.33%) 144A± | 0.46 | 12-11-2034 | 2,080,614 | 2,076,560 | |
Enterprise Fleet Financing LLC Series 2020-1 Class A2 144A | 1.78 | 12-22-2025 | 1,162,456 | 1,165,915 | |
Ford Credit Auto Lease Trust 2021-B Class A2 | 0.24 | 4-15-2024 | 2,655,721 | 2,642,467 | |
Ford Credit Auto Owner Trust Series 2019-B Class A3 | 2.23 | 10-15-2023 | 434,843 | 436,346 | |
Foursight Capital Automobile Receivables Trust Series 2021-1 Class A2 144A | 0.40 | 8-15-2024 | 799,804 | 799,166 | |
Foursight Capital Automobile Receivables Trust Series 2022-1 Class A2 144A | 1.15 | 9-15-2025 | 735,000 | 731,609 | |
GM Financial Auto Lease Trust Series 2021-3 Class A3 | 0.39 | 10-21-2024 | 2,000,000 | 1,963,388 | |
Great America Leasing Receivables Funding LLC Series 2021-1 Class A2 144A | 0.27 | 6-15-2023 | 2,034,399 | 2,029,127 | |
HPEFS Equipment Trust Series 2020-1A Class A3 144A | 1.76 | 2-20-2030 | 514,368 | 515,182 | |
HPEFS Equipment Trust Series 2021-1A Class C 144A | 0.75 | 3-20-2031 | 6,400,000 | 6,272,906 | |
Hyundai Auto Lease Securitization Trust Series 2021-A Class A3 144A | 0.33 | 1-16-2024 | 3,500,000 | 3,480,310 | |
Hyundai Auto Lease Securitization Trust Series 2021-A Class B 144A | 0.61 | 10-15-2025 | 1,800,000 | 1,773,836 | |
John Deere Owner Trust Series 2021- A Class A2 | 0.20 | 12-15-2023 | 661,799 | 660,215 | |
Mercedes-Benz Auto Receivables Trust Series 2019-1 Class 3 | 1.94 | 3-15-2024 | 1,970,514 | 1,977,478 | |
MMAF Equipment Finance LLC Series 2020-B Class A2 144A | 0.38 | 8-14-2023 | 651,859 | 648,826 | |
Nissan Auto Lease Trust Series 2020-B Class A3 | 0.43 | 10-16-2023 | 7,000,000 | 6,983,303 | |
Oscar US Funding Trust Series 2021-1A Class A2 144A | 0.40 | 3-11-2024 | 673,532 | 671,094 | |
Oscar US Funding Trust Series 2021-2A Class A2 144A | 0.39 | 8-12-2024 | 1,427,978 | 1,418,727 | |
Santander Retail Auto Lease Trust Series 2019-B Class B 144A | 2.58 | 8-21-2023 | 3,000,000 | 3,009,884 | |
Santander Retail Auto Lease Trust Series 2020-B Class A2 144A | 0.42 | 11-20-2023 | 617,508 | 616,258 | |
Santander Retail Auto Lease Trust Series 2021-C Class A2 144A | 0.29 | 4-22-2024 | 1,775,058 | 1,767,322 | |
SoFi Consumer Loan Program Trust Series 2020-1 Class A 144A | 2.02 | 1-25-2029 | 208,518 | 208,966 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 1,847,425 | 1,828,384 | |
Tesla Auto Lease Trust Series 2020-A Class A2 144A | 0.55 | 5-22-2023 | 245,745 | 245,690 | |
Tesla Auto Lease Trust Series 2021-A Class A2 144A | 0.36 | 3-20-2025 | 767,284 | 761,382 | |
Tesla Auto Lease Trust Series 2021-A Class B 144A | 1.02 | 3-20-2025 | 1,600,000 | 1,568,920 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Tesla Auto Lease Trust Series 2021-A Class C 144A | 1.18% | 3-20-2025 | $4,000,000 | $ 3,923,445 | |
Venture CDO Limited Series 16-25A Class AR (3 Month LIBOR +1.02%) 144A± | 1.27 | 4-20-2029 | 3,183,118 | 3,177,776 | |
Volvo Financial Equipment LLC Series 2020-1A Class A2 144A | 0.37 | 4-17-2023 | 379,119 | 378,995 | |
Wheels SPV LLC Series 2020-1A Class A2 144A | 0.51 | 8-20-2029 | 652,310 | 647,902 | |
World Omni Auto Lease Trust Series 2018-A Class B | 2.89 | 4-15-2025 | 1,600,000 | 1,601,666 | |
World Omni Auto Lease Trust Series 2020-B Class A2 | 0.32 | 9-15-2023 | 637,757 | 637,331 | |
Total Asset-backed securities (Cost $76,273,075) | 75,734,286 | ||||
Corporate bonds and notes: 45.11% | |||||
Consumer discretionary: 0.60% | |||||
Hotels, restaurants & leisure: 0.33% | |||||
McDonald's Corporation | 3.35 | 4-1-2023 | 1,120,000 | 1,141,933 | |
Textiles, apparel & luxury goods: 0.27% | |||||
Ralph Lauren Corporation | 1.70 | 6-15-2022 | 940,000 | 941,728 | |
Consumer staples: 1.28% | |||||
Food products: 0.41% | |||||
Hershey Company | 3.38 | 5-15-2023 | 1,400,000 | 1,430,292 | |
Tobacco: 0.87% | |||||
Philip Morris International Incorporated | 2.63 | 3-6-2023 | 3,000,000 | 3,032,574 | |
Energy: 5.05% | |||||
Oil, gas & consumable fuels: 5.05% | |||||
Baker Hughes LLC | 1.23 | 12-15-2023 | 1,025,000 | 1,014,640 | |
Boardwalk Pipelines LP | 3.38 | 2-1-2023 | 3,000,000 | 3,022,499 | |
BP Capital Markets America Incorporated (3 Month LIBOR +0.65%) ± | 0.86 | 9-19-2022 | 4,000,000 | 4,005,934 | |
Chevron Corporation (3 Month LIBOR +0.90%) «± | 1.28 | 5-11-2023 | 4,525,000 | 4,568,725 | |
Chevron Corporation | 2.36 | 12-5-2022 | 1,000,000 | 1,006,810 | |
Exxon Mobil Corporation | 1.57 | 4-15-2023 | 4,000,000 | 4,008,125 | |
17,626,733 | |||||
Financials: 22.14% | |||||
Banks: 4.20% | |||||
Bank of America Corporation (3 Month LIBOR +1.02%) ± | 2.88 | 4-24-2023 | 2,000,000 | 2,003,868 | |
Bank of America Corporation (3 Month LIBOR +0.79%) ± | 3.00 | 12-20-2023 | 1,000,000 | 1,008,887 | |
Bank of America Corporation | 3.30 | 1-11-2023 | 2,000,000 | 2,033,611 | |
JPMorgan Chase & Company (U.S. SOFR +0.58%) ± | 0.63 | 3-16-2024 | 4,000,000 | 4,006,247 | |
JPMorgan Chase & Company | 3.20 | 1-25-2023 | 1,300,000 | 1,321,705 | |
PNC Financial Services Group Incorporated | 2.95 | 1-30-2023 | 1,000,000 | 1,013,679 | |
PNC Financial Services Group Incorporated | 3.50 | 1-23-2024 | 1,485,000 | 1,528,635 | |
Truist Bank | 2.80 | 5-17-2022 | 1,730,000 | 1,734,440 | |
14,651,072 | |||||
Capital markets: 4.53% | |||||
Bank of New York Mellon Corporation | 2.95 | 1-29-2023 | 1,470,000 | 1,488,705 | |
Bank of New York Mellon Corporation | 3.50 | 4-28-2023 | 2,000,000 | 2,044,697 | |
Charles Schwab Corporation (U.S. SOFR +0.50%) ± | 0.55 | 3-18-2024 | 1,000,000 | 1,001,548 | |
Deutsche Bank AG (U.S. SOFR +0.50%) ± | 0.55 | 11-8-2023 | 3,500,000 | 3,492,732 |
Interest rate | Maturity date | Principal | Value | ||
Capital markets (continued) | |||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.59% | 11-17-2023 | $1,500,000 | $ 1,500,759 | |
Goldman Sachs Group Incorporated | 1.22 | 12-6-2023 | 1,500,000 | 1,482,386 | |
Goldman Sachs Group Incorporated | 3.63 | 1-22-2023 | 500,000 | 508,320 | |
Morgan Stanley | 3.13 | 1-23-2023 | 3,000,000 | 3,042,859 | |
State Street Corporation (U.S. SOFR +2.69%) ± | 2.83 | 3-30-2023 | 1,225,000 | 1,226,076 | |
15,788,082 | |||||
Consumer finance: 8.13% | |||||
Aviation Capital Group 144A | 3.88 | 5-1-2023 | 3,000,000 | 3,041,468 | |
BMW US Capital LLC (U.S. SOFR +0.53%) 144A± | 0.58 | 4-1-2024 | 2,600,000 | 2,614,703 | |
Daimler Finance North America LLC (3 Month LIBOR +0.84%) 144A± | 1.15 | 5-4-2023 | 2,000,000 | 2,011,969 | |
Daimler Finance North America LLC 144A | 3.70 | 5-4-2023 | 4,000,000 | 4,096,711 | |
Daimler Finance North America LLC 144A | 1.13 | 12-14-2023 | 2,400,000 | 2,364,435 | |
Enterprise Products Operating LP | 3.35 | 3-15-2023 | 3,000,000 | 3,037,554 | |
Hyundai Capital America Company 144A | 2.85 | 11-1-2022 | 3,548,000 | 3,573,108 | |
Toyota Motor Credit Corporation (U.S. SOFR +0.32%) ± | 0.37 | 4-6-2023 | 1,100,000 | 1,099,748 | |
Toyota Motor Credit Corporation | 1.15 | 5-26-2022 | 2,000,000 | 2,000,421 | |
Toyota Motor Credit Corporation | 1.35 | 8-25-2023 | 1,500,000 | 1,494,772 | |
Volkswagen Group of America Finance LLC 144A | 2.70 | 9-26-2022 | 3,000,000 | 3,017,641 | |
28,352,530 | |||||
Diversified financial services: 2.02% | |||||
Jackson Financial Incorporated 144A | 1.13 | 11-22-2023 | 1,850,000 | 1,819,971 | |
National Rural Utilities Cooperative Finance | 2.40 | 4-25-2022 | 3,950,000 | 3,955,089 | |
National Rural Utilities Cooperative Finance | 2.70 | 2-15-2023 | 1,255,000 | 1,266,774 | |
7,041,834 | |||||
Insurance: 3.26% | |||||
Athene Global Funding (U.S. SOFR +0.70%) 144A± | 0.75 | 5-24-2024 | 2,500,000 | 2,502,525 | |
Athene Global Funding 144A | 2.80 | 5-26-2023 | 3,000,000 | 3,036,190 | |
Brighthouse Financial Global Funding 144A | 1.20 | 12-15-2023 | 1,075,000 | 1,055,660 | |
Brighthouse Financial Global Funding Series 2021-1 (U.S. SOFR +0.76%) 144A± | 0.81 | 4-12-2024 | 1,200,000 | 1,204,596 | |
Equitable Financial Life Insurance Company of America (U.S. SOFR +0.39%) 144A± | 0.44 | 4-6-2023 | 2,250,000 | 2,249,749 | |
Principal Life Global Funding II (U.S. SOFR +0.38%) 144A± | 0.43 | 8-23-2024 | 670,000 | 668,032 | |
Principal Life Global Funding II (U.S. SOFR +0.45%) 144A± | 0.50 | 4-12-2024 | 675,000 | 676,298 | |
11,393,050 | |||||
Health care: 1.90% | |||||
Biotechnology: 0.87% | |||||
AbbVie Incorporated (3 Month LIBOR +0.65%) ± | 1.13 | 11-21-2022 | 3,000,000 | 3,010,831 | |
Life sciences tools & services: 1.03% | |||||
Thermo Fisher Scientific Incorporated (U.S. SOFR +0.39%) ± | 0.44 | 10-18-2023 | 3,600,000 | 3,595,824 | |
Industrials: 2.80% | |||||
Airlines: 0.86% | |||||
Southwest Airlines Company | 2.75 | 11-16-2022 | 3,000,000 | 3,021,827 | |
Road & rail: 1.01% | |||||
Ryder System Incorporated | 2.88 | 6-1-2022 | 3,500,000 | 3,510,818 |
Interest rate | Maturity date | Principal | Value | ||
Trading companies & distributors: 0.93% | |||||
Air Lease Corporation | 3.00% | 9-15-2023 | $3,200,000 | $ 3,233,244 | |
Real estate: 0.34% | |||||
Equity REITs: 0.34% | |||||
Public Storage (U.S. SOFR +0.47%) ± | 0.52 | 4-23-2024 | 1,195,000 | 1,195,007 | |
Utilities: 11.00% | |||||
Electric utilities: 6.33% | |||||
American Electric Power | 2.03 | 3-15-2024 | 3,000,000 | 2,993,074 | |
Entergy Arkansas Incorporated | 3.05 | 6-1-2023 | 2,000,000 | 2,024,371 | |
Entergy Louisiana LLC | 0.62 | 11-17-2023 | 2,100,000 | 2,059,799 | |
Florida Power & Light Company (U.S. SOFR +0.25%) ± | 0.30 | 5-10-2023 | 2,000,000 | 2,000,000 | |
Nextera Energy Capital Holdings Incorporated (U.S. SOFR +0.40%) ± | 0.45 | 11-3-2023 | 1,500,000 | 1,500,009 | |
Nextera Energy Capital Holdings Incorporated (U.S. SOFR +0.54%) ± | 0.59 | 3-1-2023 | 2,000,000 | 2,004,428 | |
OGE Energy Corporation | 0.70 | 5-26-2023 | 2,300,000 | 2,264,939 | |
Southern California Edison's First Mortgage (U.S. SOFR +0.64%) ± | 0.69 | 4-3-2023 | 4,220,000 | 4,221,083 | |
Southern Company (U.S. SOFR +0.37%) ± | 0.42 | 5-10-2023 | 3,000,000 | 2,997,449 | |
22,065,152 | |||||
Gas utilities: 1.40% | |||||
Atmos Energy Corporation (3 Month LIBOR +0.38%) ± | 0.58 | 3-9-2023 | 3,320,000 | 3,316,985 | |
ONE Gas Incorporated (3 Month LIBOR +0.61%) ± | 0.81 | 3-11-2023 | 1,575,000 | 1,575,068 | |
4,892,053 | |||||
Multi-utilities: 3.27% | |||||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 0.70 | 5-13-2024 | 1,445,000 | 1,445,267 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 1.00 | 3-2-2023 | 1,705,000 | 1,705,021 | |
Dominion Energy Incorporated (3 Month LIBOR +0.53%) ± | 0.73 | 9-15-2023 | 3,250,000 | 3,250,298 | |
DTE Energy Company | 0.55 | 11-1-2022 | 2,000,000 | 1,990,108 | |
Public Service Enterprise Group Incorporated | 2.65 | 11-15-2022 | 3,000,000 | 3,023,695 | |
11,414,389 | |||||
Total Corporate bonds and notes (Cost $157,880,473) | 157,338,973 | ||||
Municipal obligations: 6.91% | |||||
California: 3.24% | |||||
Education revenue: 0.43% | |||||
University of California Series BF | 0.63 | 5-15-2023 | 1,500,000 | 1,487,564 | |
Miscellaneous revenue: 1.56% | |||||
Ontario CA Pension Obligation | 2.07 | 6-1-2022 | 915,000 | 917,288 | |
Pomona CA Pension Obligation Series BJ | 4.00 | 8-1-2023 | 1,000,000 | 1,033,022 | |
San Luis Unit/Westlands Water District Financing Authority (AGM Insured) | 1.09 | 9-1-2022 | 1,000,000 | 1,000,306 | |
Torrance CA Joint Powers Financing Authority | 1.29 | 10-1-2022 | 1,000,000 | 1,001,774 | |
Torrance CA Joint Powers Financing Authority | 1.43 | 10-1-2023 | 1,500,000 | 1,497,948 | |
5,450,338 |
Interest rate | Maturity date | Principal | Value | ||
Tobacco revenue: 1.06% | |||||
California Golden Tobacco Securitization Corporation Tobacco Settlement Enhanced Asset Backed | 1.24% | 6-1-2022 | $1,500,000 | $ 1,500,860 | |
California Golden Tobacco Securitization Corporation Tobacco Settlement Enhanced Asset Backed | 0.50 | 6-1-2022 | 2,200,000 | 2,199,021 | |
3,699,881 | |||||
Water & sewer revenue: 0.19% | |||||
El Dorado CA Irrigation District Revenue Refunding Bond Series C | 0.74 | 3-1-2022 | 120,000 | 120,000 | |
El Dorado CA Irrigation District Revenue Refunding Bond Series C | 0.74 | 3-1-2022 | 530,000 | 530,000 | |
650,000 | |||||
11,287,783 | |||||
Colorado: 0.84% | |||||
Transportation revenue: 0.84% | |||||
Colorado Bridge Enterprise Senior Project Infrastructure | 0.92 | 12-31-2023 | 3,000,000 | 2,945,350 | |
Illinois: 0.89% | |||||
Airport revenue: 0.29% | |||||
Chicago IL O’Hare International Airport Senior Lien Series D | 0.96 | 1-1-2023 | 1,000,000 | 998,149 | |
Tax revenue: 0.60% | |||||
State of Illinois Build Illinois Sales Tax Revenue Bonds | 2.45 | 6-15-2022 | 2,100,000 | 2,108,042 | |
3,106,191 | |||||
New York: 1.65% | |||||
Airport revenue: 0.37% | |||||
Port Authority of New York & New Jersey Series AAA | 1.09 | 7-1-2023 | 1,305,000 | 1,300,357 | |
Miscellaneous revenue: 1.16% | |||||
New York State Urban Development Corporation | 1.91 | 3-15-2023 | 4,000,000 | 4,031,084 | |
Utilities revenue: 0.12% | |||||
Long Island NY Power Authority Electric System Series C | 0.76 | 3-1-2023 | 430,000 | 428,770 | |
5,760,211 | |||||
Texas: 0.29% | |||||
Airport revenue: 0.29% | |||||
Houston TX Airport System Revenue Refunding Taxable Subordinated Lien Series C | 0.88 | 7-1-2022 | 1,000,000 | 1,000,727 | |
Total Municipal obligations (Cost $24,189,574) | 24,100,262 | ||||
Yankee corporate bonds and notes: 21.05% | |||||
Consumer staples: 0.99% | |||||
Household products: 0.99% | |||||
Reckitt Benckiser Group plc 144A | 2.38 | 6-24-2022 | 3,450,000 | 3,459,070 |
Interest rate | Maturity date | Principal | Value | ||
Energy: 1.74% | |||||
Energy equipment & services: 0.97% | |||||
Schlumberger Limited 144A | 2.65% | 11-20-2022 | $3,345,000 | $ 3,377,889 | |
Oil, gas & consumable fuels: 0.77% | |||||
Enbridge Incorporated | 4.00 | 10-1-2023 | 2,617,000 | 2,684,569 | |
Financials: 17.31% | |||||
Banks: 14.31% | |||||
ANZ New Zealand International Company 144A« | 1.90 | 2-13-2023 | 1,000,000 | 1,004,948 | |
Bank of Montreal (U.S. SOFR +0.27%) ± | 0.31 | 9-15-2023 | 2,000,000 | 1,997,361 | |
Barclays Bank plc | 1.70 | 5-12-2022 | 1,075,000 | 1,075,929 | |
BPCE SA (1 Month LIBOR +0.88%) ± | 1.05 | 5-31-2022 | 715,000 | 716,025 | |
BPCE SA (3 Month LIBOR +1.22%) 144A± | 1.70 | 5-22-2022 | 3,300,000 | 3,307,463 | |
Canadian Imperial Bank of Commerce (U.S. SOFR +0.34%) ± | 0.39 | 6-22-2023 | 2,875,000 | 2,872,671 | |
Cooperatieve Rabobank UA (U.S. SOFR +0.30%) ± | 0.35 | 1-12-2024 | 2,000,000 | 2,001,770 | |
Credit Suisse New York | 2.80 | 4-8-2022 | 3,150,000 | 3,157,117 | |
DNB Bank ASA (3 Month LIBOR +0.62%) 144A± | 0.79 | 12-2-2022 | 500,000 | 501,921 | |
HSBC Holdings plc (3 Month LIBOR +1.06%) ± | 3.26 | 3-13-2023 | 3,800,000 | 3,801,979 | |
Lloyds Banking Group plc (3 Month LIBOR +0.81%) ± | 2.91 | 11-7-2023 | 1,000,000 | 1,007,043 | |
Mitsubishi UFJ Financial Group Incorporated (3 Month LIBOR +0.70%) ± | 0.89 | 3-7-2022 | 2,060,000 | 2,060,160 | |
National Bank of Canada 144A | 2.15 | 10-7-2022 | 2,500,000 | 2,512,442 | |
NatWest Markets plc (U.S. SOFR +0.53%) 144A± | 0.58 | 8-12-2024 | 1,250,000 | 1,250,623 | |
Santander UK plc | 2.10 | 1-13-2023 | 2,000,000 | 2,011,796 | |
Skandinaviska Enskilda Banken (3 Month LIBOR +0.32%) 144A± | 0.49 | 9-1-2023 | 3,000,000 | 3,001,988 | |
Skandinaviska Enskilda Banken (3 Month LIBOR +0.65%) 144A± | 0.85 | 12-12-2022 | 1,250,000 | 1,255,346 | |
Sumitomo Mitsui Financial Group Incorporated | 2.78 | 10-18-2022 | 2,000,000 | 2,020,974 | |
Sumitomo Mitsui Financial Group Incorporated | 3.10 | 1-17-2023 | 3,000,000 | 3,041,931 | |
Sumitomo Mitsui Trust Bank Limited (U.S. SOFR +0.44%) 144A± | 0.49 | 9-16-2024 | 1,200,000 | 1,197,171 | |
Swedbank AB 144A | 1.30 | 6-2-2023 | 2,225,000 | 2,213,982 | |
The Bank of Nova Scotia (U.S. SOFR +0.28%) ± | 0.33 | 6-23-2023 | 3,400,000 | 3,397,207 | |
The Bank of Nova Scotia (U.S. SOFR +0.45%) ± | 0.49 | 4-15-2024 | 2,500,000 | 2,502,942 | |
Westpac Banking Corporation (U.S. SOFR +0.30%) ± | 0.35 | 11-18-2024 | 2,000,000 | 1,996,883 | |
49,907,672 | |||||
Capital markets: 1.54% | |||||
UBS AG (U.S. SOFR +0.45%) 144A± | 0.50 | 8-9-2024 | 3,000,000 | 2,996,198 | |
UBS AG 144A | 1.75 | 4-21-2022 | 2,375,000 | 2,376,671 | |
5,372,869 | |||||
Consumer finance: 0.87% | |||||
Hutchison Whampoa International 12 II Limited 144A | 3.25 | 11-8-2022 | 3,000,000 | 3,034,350 | |
Diversified financial services: 0.59% | |||||
Federation des caisses Desjardins (U.S. SOFR +0.43%) 144A± | 0.48 | 5-21-2024 | 2,050,000 | 2,048,984 | |
Industrials: 0.14% | |||||
Electrical equipment: 0.14% | |||||
Siemens Financieringsmaatschappij NV 144A | 0.40 | 3-11-2023 | 500,000 | 493,954 |
Interest rate | Maturity date | Principal | Value | ||
Materials: 0.87% | |||||
Metals & mining: 0.87% | |||||
Glencore Finance Canada Limited 144A | 4.25% | 10-25-2022 | $3,000,000 | $ 3,046,710 | |
Total Yankee corporate bonds and notes (Cost $73,625,884) | 73,426,067 | ||||
Short-term investments: 2.38% | |||||
Commercial paper: 1.79% | |||||
AT& T Incorporated 144A☼ | 0.72 | 5-10-2022 | 1,000,000 | 998,617 | |
EQUIFAX Incorporated 144A☼ | 0.76 | 5-23-2022 | 1,283,000 | 1,280,719 | |
Royal Bank of Canada ☼ | 0.40 | 11-14-2022 | 4,000,000 | 3,972,546 | |
6,251,882 |
Yield | Shares | ||||
Investment companies: 0.59% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 0.03 | 1,026,132 | 1,026,132 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 1,028,000 | 1,028,000 | ||
2,054,132 | |||||
Total Short-term investments (Cost $8,321,968) | 8,306,014 | ||||
Total investments in securities (Cost $345,160,817) | 98.54% | 343,703,303 | |||
Other assets and liabilities, net | 1.46 | 5,078,524 | |||
Total net assets | 100.00% | $348,781,827 |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $708,519 | $162,733,118 | $(162,415,505) | $0 | $0 | $ 1,026,132 | 1,026,132 | $542 | ||
Securities Lending Cash Investments LLC | 103,500 | 928,250 | (3,750) | 0 | 0 | 1,028,000 | 1,028,000 | 46 # | ||
$0 | $0 | $2,054,132 | $588 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $1,006,219 of securities loaned), at value (cost $343,106,685) | $ 341,649,171 |
Investments in affiliated securities, at value (cost $2,054,132) | 2,054,132 |
Cash | 1,878 |
Receivable for investments sold | 5,015,958 |
Receivable for interest | 1,231,183 |
Receivable for securities lending income, net | 264 |
Prepaid expenses and other assets | 32,781 |
Total assets | 349,985,367 |
Liabilities | |
Payable upon receipt of securities loaned | 1,028,000 |
Dividends payable | 47,609 |
Payable for Fund shares redeemed | 35,529 |
Management fee payable | 31,024 |
Administration fees payable | 21,700 |
Accrued expenses and other liabilities | 39,678 |
Total liabilities | 1,203,540 |
Total net assets | $348,781,827 |
Net assets consist of | |
Paid-in capital | $ 353,123,766 |
Total distributable loss | (4,341,939) |
Total net assets | $348,781,827 |
Computation of net asset value per share | |
Net assets – Class A2 | $ 216,833 |
Shares outstanding – Class A21 | 21,763 |
Net asset value per share – Class A2 | $9.96 |
Net assets – Institutional Class | $ 348,564,994 |
Shares outstanding – Institutional Class1 | 34,991,399 |
Net asset value per share – Institutional Class | $9.96 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest | $ 1,329,384 |
Income from affiliated securities | 1,421 |
Total investment income | 1,330,805 |
Expenses | |
Management fee | 461,919 |
Administration fees | |
Class A2 | 161 |
Institutional Class | 147,734 |
Shareholder servicing fees | |
Class A2 | 252 |
Custody and accounting fees | 11,678 |
Professional fees | 37,780 |
Registration fees | 18,256 |
Shareholder report expenses | 16,605 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 5,484 |
Total expenses | 709,461 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (247,210) |
Class A2 | (103) |
Net expenses | 462,148 |
Net investment income | 868,657 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (96,288) |
Net change in unrealized gains (losses) on investments | (2,350,441) |
Net realized and unrealized gains (losses) on investments | (2,446,729) |
Net decrease in net assets resulting from operations | $(1,578,072) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 868,657 | $ 2,658,894 | ||
Net realized gains (losses) on investments | (96,288) | 175,508 | ||
Net change in unrealized gains (losses) on investments | (2,350,441) | (1,147,268) | ||
Net increase (decrease) in net assets resulting from operations | (1,578,072) | 1,687,134 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A2 | (95) | (591) | ||
Institutional Class | (676,032) | (2,697,958) | ||
Tax basis return of capital | ||||
Class A2 | 0 | (57) | ||
Institutional Class | 0 | (147,279) | ||
Total distributions to shareholders | (676,127) | (2,845,885) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A2 | 6,012 | 60,186 | 22,773 | 228,637 |
Institutional Class | 9,907,221 | 99,176,770 | 37,823,593 | 379,633,192 |
99,236,956 | 379,861,829 | |||
Reinvestment of distributions | ||||
Class A2 | 9 | 89 | 53 | 528 |
Institutional Class | 46,999 | 469,663 | 211,441 | 2,121,809 |
469,752 | 2,122,337 | |||
Payment for shares redeemed | ||||
Class A2 | (1,498) | (14,987) | (12,656) | (126,965) |
Institutional Class | (12,035,945) | (120,412,908) | (39,195,871) | (393,264,805) |
(120,427,895) | (393,391,770) | |||
Net decrease in net assets resulting from capital share transactions | (20,721,187) | (11,407,604) | ||
Total decrease in net assets | (22,975,386) | (12,566,355) | ||
Net assets | ||||
Beginning of period | 371,757,213 | 384,323,568 | ||
End of period | $ 348,781,827 | $ 371,757,213 |
Year ended August 31 | |||
Class A2 | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 1 |
Net asset value, beginning of period | $10.02 | $10.05 | $10.02 |
Net investment income | 0.01 | 0.04 | 0.02 |
Net realized and unrealized gains (losses) on investments | (0.07) | (0.03) | 0.03 |
Total from investment operations | (0.06) | 0.01 | 0.05 |
Distributions to shareholders from | |||
Net investment income | (0.00) 2 | (0.04) | (0.02) |
Tax basis return of capital | 0.00 | (0.00) 2 | 0.00 |
Total distributions to shareholders | (0.00) 2 | (0.04) | (0.02) |
Net asset value, end of period | $9.96 | $10.02 | $10.05 |
Total return3 | (0.55)% | 0.11% | 0.53% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.71% | 0.70% | 0.70% |
Net expenses | 0.48% | 0.49% | 0.50% |
Net investment income | 0.25% | 0.35% | 0.78% |
Supplemental data | |||
Portfolio turnover rate | 54% | 111% | 102% |
Net assets, end of period (000s omitted) | $217 | $173 | $71 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $10.02 | $10.05 | $10.00 | $9.99 | $10.01 | $10.01 |
Net investment income | 0.02 | 0.06 | 0.17 | 0.26 | 0.18 | 0.12 |
Net realized and unrealized gains (losses) on investments | (0.06) | (0.02) | 0.06 | 0.01 | (0.02) | 0.00 1 |
Total from investment operations | (0.04) | 0.04 | 0.23 | 0.27 | 0.16 | 0.12 |
Distributions to shareholders from | ||||||
Net investment income | (0.02) | (0.07) | (0.18) | (0.26) | (0.18) | (0.12) |
Tax basis return of capital | 0.00 | (0.00) 1 | 0.00 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.02) | (0.07) | (0.18) | (0.26) | (0.18) | (0.12) |
Net asset value, end of period | $9.96 | $10.02 | $10.05 | $10.00 | $9.99 | $10.01 |
Total return2 | (0.42)% | 0.35% | 2.30% | 2.71% | 1.65% | 1.20% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.38% | 0.37% | 0.38% | 0.37% | 0.37% | 0.36% |
Net expenses | 0.25% | 0.26% | 0.27% | 0.27% | 0.27% | 0.27% |
Net investment income | 0.47% | 0.61% | 1.74% | 2.54% | 1.79% | 1.17% |
Supplemental data | ||||||
Portfolio turnover rate | 54% | 111% | 102% | 171% | 197% | 197% |
Net assets, end of period (000s omitted) | $348,565 | $371,584 | $384,253 | $332,551 | $400,002 | $419,239 |
1 | Amount is less than $0.005. |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 132,604 |
Gross unrealized losses | (1,585,094) |
Net unrealized losses | $(1,452,490) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 4,797,701 | $0 | $ 4,797,701 |
Asset-backed securities | 0 | 75,734,286 | 0 | 75,734,286 |
Corporate bonds and notes | 0 | 157,338,973 | 0 | 157,338,973 |
Municipal obligations | 0 | 24,100,262 | 0 | 24,100,262 |
Yankee corporate bonds and notes | 0 | 73,426,067 | 0 | 73,426,067 |
Short-term investments | ||||
Commercial paper | 0 | 6,251,882 | 0 | 6,251,882 |
Investment companies | 2,054,132 | 0 | 0 | 2,054,132 |
Total assets | $2,054,132 | $341,649,171 | $0 | $343,703,303 |
Average daily net assets | Management fee |
First $1 billion | 0.250% |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A2 | 0.16% |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A2 | 0.50% |
Institutional Class | 0.25 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Barclays Capital Inc. | $905,222 | $(905,222) | $0 |
JPMorgan Securities LLC | 100,997 | (100,997) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA265/SAR265 02-22
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡, Michal Stanczyk, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (STYAX) | 7-13-1998 | -6.38 | 2.93 | 3.08 | -1.96 | 3.89 | 3.55 | 0.86 | 0.69 | ||
Class C (WFIPX) | 7-13-1998 | -3.69 | 3.10 | 2.77 | -2.69 | 3.10 | 2.77 | 1.61 | 1.44 | ||
Class R6 (STYJX)3 | 10-31-2016 | – | – | – | -1.59 | 4.28 | 3.90 | 0.48 | 0.31 | ||
Administrator Class (WIPDX) | 7-30-2010 | – | – | – | -1.86 | 3.99 | 3.66 | 0.80 | 0.61 | ||
Institutional Class (WIPIX) | 7-18-2008 | – | – | – | -1.64 | 4.22 | 3.87 | 0.53 | 0.36 | ||
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | -2.64 | 2.71 | 2.47 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.30% for Class R6, 0.60% for Administrator Class, and 0.35% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
U.S. Treasury Note, 1.50%, 1-31-2027 | 7.93 |
FNMA, 2.00%, 3-14-2052 | 4.77 |
FNMA, 2.50%, 11-25-2051 | 3.88 |
U.S. Treasury Note, 1.88%, 2-15-2032 | 3.14 |
U.S. Treasury Note, 1.38%, 11-15-2031 | 2.90 |
FNMA, 3.00%, 4-25-2049 | 2.42 |
U.S. Treasury Note, 1.88%, 11-15-2051 | 1.79 |
GNMA, 2.50%, 3-21-2052 | 1.62 |
U.S. Treasury Note, 0.88%, 1-31-2024 | 1.57 |
Private Export Funding Corporation, 0.55%, 7-30-2024 | 1.17 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317317img59393f2e4.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 960.04 | $3.30 | 0.68% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.42 | $3.41 | 0.68% |
Class C | ||||
Actual | $1,000.00 | $ 956.42 | $6.94 | 1.43% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.70 | $7.15 | 1.43% |
Class R6 | ||||
Actual | $1,000.00 | $ 961.86 | $1.46 | 0.30% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.31 | $1.51 | 0.30% |
Administrator Class | ||||
Actual | $1,000.00 | $ 960.36 | $2.92 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 961.61 | $1.70 | 0.35% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | $1.76 | 0.35% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 19.42% | ||||||
FHLB | 3.00% | 9-1-2034 | $ | 437,224 | $ 450,485 | |
FHLMC (12 Month LIBOR +1.33%) ± | 1.60 | 1-1-2036 | 7,622 | 7,782 | ||
FHLMC | 3.00 | 6-1-2050 | 845,333 | 857,870 | ||
FHLMC | 3.00 | 7-1-2050 | 1,974,005 | 2,011,621 | ||
FHLMC | 3.00 | 8-1-2050 | 968,728 | 987,574 | ||
FHLMC | 3.00 | 8-1-2050 | 1,836,751 | 1,864,876 | ||
FHLMC | 3.50 | 12-1-2045 | 950,617 | 995,142 | ||
FHLMC | 3.50 | 12-1-2045 | 424,365 | 445,394 | ||
FHLMC | 4.00 | 6-1-2044 | 777,665 | 831,788 | ||
FHLMC | 4.00 | 5-1-2049 | 1,576,262 | 1,647,447 | ||
FHLMC | 5.00 | 6-1-2036 | 104,407 | 115,513 | ||
FHLMC | 5.00 | 8-1-2040 | 112,994 | 125,923 | ||
FHLMC | 5.50 | 8-1-2038 | 27,223 | 30,694 | ||
FHLMC | 5.50 | 12-1-2038 | 219,083 | 245,186 | ||
FHLMC | 5.50 | 6-1-2040 | 386,172 | 434,272 | ||
FHLMC | 8.00 | 2-1-2030 | 100 | 110 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 146,818 | 148,560 | ||
FHLMC Series K020 Class X1 ♀±± | 1.34 | 5-25-2022 | 9,552,335 | 7,970 | ||
FHLMC Series T-42 Class A5 | 7.50 | 2-25-2042 | 1,035,606 | 1,218,063 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.43 | 7-25-2043 | 31,042 | 32,302 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.29 | 10-25-2043 | 152,132 | 169,494 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 14,105,000 | 9,211,988 | ||
FNMA %% | 1.50 | 3-17-2037 | 9,765,000 | 9,501,803 | ||
FNMA (12 Month LIBOR +1.73%) ± | 1.98 | 9-1-2036 | 7,308 | 7,632 | ||
FNMA %% | 2.00 | 3-17-2037 | 19,140,000 | 18,997,945 | ||
FNMA %% | 2.00 | 3-14-2052 | 122,705,000 | 117,700,937 | ||
FNMA (12 Month LIBOR +1.78%) ± | 2.03 | 8-1-2036 | 18,103 | 18,991 | ||
FNMA (1 Year Treasury Constant Maturity +2.25%) ± | 2.34 | 11-1-2038 | 16,237 | 17,086 | ||
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.36 | 8-1-2036 | 340,367 | 356,986 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.37 | 5-1-2046 | 329,184 | 337,627 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.46 | 3-1-2046 | 477,796 | 491,726 | ||
FNMA %% | 2.50 | 11-25-2051 | 97,240,000 | 95,937,136 | ||
FNMA | 3.00 | 11-1-2045 | 627,855 | 643,971 | ||
FNMA | 3.00 | 12-1-2045 | 1,642,175 | 1,684,439 | ||
FNMA | 3.00 | 12-1-2046 | 835,336 | 859,021 | ||
FNMA %% | 3.00 | 4-25-2049 | 59,145,000 | 59,736,450 | ||
FNMA | 3.00 | 8-1-2050 | 2,129,048 | 2,157,255 | ||
FNMA | 3.02 | 2-1-2026 | 3,022,372 | 3,130,755 | ||
FNMA | 3.48 | 3-1-2029 | 956,206 | 1,026,466 | ||
FNMA | 3.50 | 10-1-2043 | 591,370 | 621,062 | ||
FNMA | 3.50 | 4-1-2045 | 92,608 | 97,171 | ||
FNMA | 3.50 | 8-1-2045 | 1,525,687 | 1,593,377 | ||
FNMA | 3.50 | 3-1-2048 | 3,138,787 | 3,253,060 | ||
FNMA | 3.62 | 3-1-2029 | 443,000 | 479,902 | ||
FNMA | 3.63 | 3-1-2029 | 1,213,681 | 1,315,766 | ||
FNMA | 3.77 | 3-1-2029 | 960,690 | 1,049,948 | ||
FNMA | 3.77 | 3-1-2029 | 1,043,808 | 1,140,251 | ||
FNMA | 4.00 | 2-1-2046 | 240,353 | 255,784 | ||
FNMA | 4.00 | 4-1-2046 | 949,506 | 1,010,093 | ||
FNMA | 4.00 | 6-1-2048 | 1,102,996 | 1,156,319 | ||
FNMA | 4.00 | 2-1-2050 | 1,635,704 | 1,710,848 | ||
FNMA | 4.50 | 11-1-2048 | 1,221,248 | 1,290,485 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 5.00% | 1-1-2024 | $ | 9,192 | $ 9,423 | |
FNMA | 5.00 | 2-1-2036 | 12,425 | 13,823 | ||
FNMA | 5.00 | 6-1-2040 | 34,821 | 38,524 | ||
FNMA | 5.00 | 8-1-2040 | 721,127 | 790,303 | ||
FNMA | 5.50 | 11-1-2023 | 7,072 | 7,227 | ||
FNMA | 5.50 | 8-1-2034 | 47,672 | 53,233 | ||
FNMA | 5.50 | 2-1-2035 | 14,323 | 16,002 | ||
FNMA | 5.50 | 8-1-2038 | 89,341 | 96,916 | ||
FNMA | 5.50 | 8-1-2038 | 168,310 | 182,616 | ||
FNMA | 6.00 | 10-1-2037 | 291,618 | 333,075 | ||
FNMA | 6.00 | 11-1-2037 | 17,119 | 19,533 | ||
FNMA | 6.50 | 7-1-2036 | 12,671 | 14,273 | ||
FNMA | 6.50 | 7-1-2036 | 4,680 | 5,233 | ||
FNMA | 6.50 | 11-1-2036 | 2,132 | 2,327 | ||
FNMA | 7.00 | 12-1-2022 | 267 | 268 | ||
FNMA | 7.00 | 7-1-2036 | 5,256 | 5,454 | ||
FNMA | 7.00 | 11-1-2037 | 2,952 | 3,254 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 4,483 | 5,182 | ||
FNMA Series 2003-W08 Class 4A ±± | 3.55 | 11-25-2042 | 82,281 | 86,177 | ||
FNMA Series 2003-W14 Class 2A ±± | 2.39 | 6-25-2045 | 51,938 | 53,117 | ||
FNMA Series 2003-W14 Class 2A ±± | 3.63 | 1-25-2043 | 132,097 | 137,248 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 758,088 | 832,984 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 328,911 | 377,633 | ||
GNMA %% | 2.00 | 3-21-2052 | 18,340,000 | 17,930,216 | ||
GNMA %% | 2.50 | 3-21-2052 | 40,165,000 | 40,132,052 | ||
GNMA | 3.00 | 11-20-2045 | 1,374,924 | 1,411,588 | ||
GNMA | 3.00 | 4-20-2051 | 6,342,079 | 6,458,654 | ||
GNMA | 3.50 | 9-20-2047 | 824,561 | 862,582 | ||
GNMA | 3.50 | 12-20-2047 | 1,763,961 | 1,839,440 | ||
GNMA | 4.00 | 12-20-2047 | 968,658 | 1,021,656 | ||
GNMA | 4.50 | 8-20-2049 | 349,019 | 366,026 | ||
GNMA | 5.00 | 7-20-2040 | 250,545 | 280,235 | ||
GNMA | 7.50 | 12-15-2029 | 363 | 379 | ||
GNMA Series 2008-22 Class XM ♀±± | 1.30 | 2-16-2050 | 525,770 | 11,880 | ||
STRIPS ¤ | 0.00 | 7-15-2037 | 1,690,000 | 1,129,300 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 27,955,000 | 18,243,829 | ||
STRIPS ¤ | 0.00 | 5-15-2044 | 9,270,000 | 5,379,592 | ||
TVA | 5.88 | 4-1-2036 | 9,420,000 | 13,285,253 | ||
TVA Principal STRIPS ¤ | 0.00 | 4-1-2056 | 42,270,000 | 15,012,054 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 3,862,500 | 3,879,783 | ||
Total Agency securities (Cost $485,157,120) | 479,748,690 | |||||
Asset-backed securities: 8.46% | ||||||
Ally Auto Receivables Trust Series 2019-1 Class A3 | 2.91 | 9-15-2023 | 714,683 | 717,579 | ||
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 6,000,000 | 6,057,103 | ||
American Credit Acceptance Receivables Trust Series 2020-4 Class B 144A | 0.85 | 12-13-2024 | 3,449,106 | 3,448,596 | ||
Arbys Funding LLC Series 2020-1A Class A2 144A | 3.24 | 7-30-2050 | 6,599,500 | 6,511,727 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 8,700,000 | 8,692,675 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 7,445,000 | 7,486,766 | ||
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 3,985,000 | 3,911,875 | ||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 12,317,500 | 12,531,578 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
ECMC Group Student Loan Trust Series 2020-3A Class A1B (1 Month LIBOR +1.00%) 144A± | 1.19% | 1-27-2070 | $ | 4,276,261 | $ 4,315,814 | |
Finance of America HECM Buyout 2020 Series HB2 Class A7 144A±± | 1.71 | 7-25-2030 | 4,839,348 | 4,781,922 | ||
Five Guys Funding LLC Series 17-1A Class A2 144A | 4.60 | 7-25-2047 | 1,597,925 | 1,621,079 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 2,500,000 | 2,479,192 | ||
GLS Auto Receivables Trust Series 2A Class B 144A | 3.16 | 6-16-2025 | 6,000,000 | 6,074,596 | ||
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 1.63 | 5-2-2023 | 5,859,771 | 5,873,612 | ||
Hertz Vehicle Financing LLC Series 1A Class B 144A | 1.56 | 12-26-2025 | 4,700,000 | 4,559,392 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 4,000,000 | 3,939,302 | ||
Neighborly Issuer LLC Series 2021-1 144A | 3.58 | 4-30-2051 | 7,940,000 | 7,707,358 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 4,600,000 | 4,454,651 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 3,049,197 | 3,049,388 | ||
Octane Receivables Trust Series 2021-1A Class B 144A | 1.53 | 4-20-2027 | 3,000,000 | 2,906,398 | ||
Ocwen Master Advance Receivables Trust Series 2020-T1 Class CT1 144A | 2.32 | 8-15-2052 | 1,311,579 | 1,312,325 | ||
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 8,500,000 | 8,259,079 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 7,958,631 | 7,894,465 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 9,837,610 | 9,708,566 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 7,290,000 | 7,082,526 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class C | 1.46 | 9-15-2025 | 7,500,000 | 7,502,732 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 10,200,000 | 10,131,779 | ||
Santander Retail Auto Lease Trust Series 2020-A Class A3 144A | 1.74 | 7-20-2023 | 10,068,328 | 10,096,473 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 8,651,273 | 8,470,890 | ||
ServiceMaster Brands Series 2020-1 Class A2I 144A | 2.84 | 1-30-2051 | 3,663,000 | 3,478,934 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 0.87 | 12-17-2068 | 5,000,000 | 4,967,780 | ||
SLM Student Loan Trust Series 2004-1 Class A4 (3 Month LIBOR +0.26%) ± | 0.52 | 10-27-2025 | 369,122 | 368,248 | ||
South Carolina Student Loan Corporation Series 2014-1 Class A1 (1 Month LIBOR +0.75%) ± | 0.86 | 5-1-2030 | 1,007,094 | 1,005,802 | ||
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 3,878,672 | 3,839,246 | ||
Taco Bell Funding LLC Series 2021 Class A1 144A | 2.54 | 8-25-2051 | 498,750 | 467,992 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 10,922,625 | 10,460,598 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 0.79 | 1-25-2046 | 1,061,106 | 1,058,289 | ||
Wendy's Funding LLC Series 2021-1A 144A | 2.78 | 6-15-2051 | 547,250 | 526,143 | ||
Westlake Automobile Receivable Series 2020-1A Class C 144A | 2.52 | 4-15-2025 | 2,858,000 | 2,875,979 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84% | 12-5-2050 | $ | 3,620,805 | $ 3,539,844 | |
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 4,895,400 | 4,751,573 | ||
Total Asset-backed securities (Cost $212,509,989) | 208,919,866 | |||||
Corporate bonds and notes: 24.36% | ||||||
Communication services: 2.14% | ||||||
Diversified telecommunication services: 0.53% | ||||||
AT&T Incorporated | 3.55 | 9-15-2055 | 2,330,000 | 2,112,808 | ||
T-Mobile USA Incorporated 144A | 3.40 | 10-15-2052 | 4,240,000 | 3,757,740 | ||
T-Mobile USA Incorporated | 3.30 | 2-15-2051 | 4,225,000 | 3,684,037 | ||
Verizon Communications Incorporated | 3.55 | 3-22-2051 | 3,705,000 | 3,588,233 | ||
13,142,818 | ||||||
Media: 0.96% | ||||||
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 5,000,000 | 4,597,000 | ||
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 1,500,000 | 1,444,620 | ||
Charter Communications Operating LLC | 4.40 | 12-1-2061 | 5,000,000 | 4,455,638 | ||
Charter Communications Operating LLC | 6.48 | 10-23-2045 | ��� 655,000 | 782,622 | ||
Charter Communications Operating LLC | 3.50 | 3-1-2042 | 2,900,000 | 2,499,956 | ||
CSC Holdings LLC 144A | 5.75 | 1-15-2030 | 2,000,000 | 1,768,480 | ||
DIRECTV Holdings LLC 144A | 5.88 | 8-15-2027 | 185,000 | 184,937 | ||
Gray Television Incorporated 144A | 4.75 | 10-15-2030 | 2,000,000 | 1,875,410 | ||
Nielsen Finance LLC 144A | 5.88 | 10-1-2030 | 265,000 | 256,642 | ||
QVC Incorporated | 4.38 | 9-1-2028 | 1,175,000 | 1,064,380 | ||
QVC Incorporated | 4.75 | 2-15-2027 | 4,931,000 | 4,635,140 | ||
23,564,825 | ||||||
Wireless telecommunication services: 0.65% | ||||||
SBA Tower Trust 144A | 1.63 | 5-15-2051 | 6,595,000 | 6,340,003 | ||
Sprint Capital Corporation | 8.75 | 3-15-2032 | 2,515,000 | 3,489,563 | ||
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 3,193,125 | 3,289,200 | ||
T-Mobile USA Incorporated | 3.50 | 4-15-2031 | 3,000,000 | 2,953,095 | ||
16,071,861 | ||||||
Consumer discretionary: 2.55% | ||||||
Automobiles: 0.49% | ||||||
Ford Motor Company | 3.25 | 2-12-2032 | 7,000,000 | 6,605,130 | ||
General Motors Company | 5.95 | 4-1-2049 | 985,000 | 1,177,016 | ||
Nissan Motor Company 144A | 2.75 | 3-9-2028 | 4,650,000 | 4,446,167 | ||
12,228,313 | ||||||
Hotels, restaurants & leisure: 0.74% | ||||||
Genting New York LLC 144A | 3.30 | 2-15-2026 | 3,920,000 | 3,771,368 | ||
Hyatt Hotels Corporation | 1.30 | 10-1-2023 | 6,245,000 | 6,145,846 | ||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 5,560,000 | 5,480,821 | ||
Las Vegas Sands Corporation | 3.90 | 8-8-2029 | 3,000,000 | 2,877,498 | ||
18,275,533 |
Interest rate | Maturity date | Principal | Value | |||
Household durables: 0.20% | ||||||
KB Home Company | 4.00% | 6-15-2031 | $ | 3,000,000 | $ 2,880,000 | |
KB Home Company | 4.80 | 11-15-2029 | 2,000,000 | 1,998,500 | ||
4,878,500 | ||||||
Leisure products: 0.11% | ||||||
Mattel Incorporated 144A | 3.75 | 4-1-2029 | 2,697,000 | 2,699,697 | ||
Multiline retail: 0.49% | ||||||
Dollar Tree Incorporated | 3.38 | 12-1-2051 | 4,750,000 | 4,265,590 | ||
Macy's Retail Holdings LLC 144A | 5.88 | 4-1-2029 | 4,000,000 | 4,090,000 | ||
Nordstrom Incorporated « | 4.00 | 3-15-2027 | 3,865,000 | 3,691,075 | ||
12,046,665 | ||||||
Textiles, apparel & luxury goods: 0.52% | ||||||
Michael Kors USA Incorporated 144A | 4.50 | 11-1-2024 | 6,753,000 | 6,936,411 | ||
Tapestry Incorporated | 3.00 | 7-15-2022 | 6,000,000 | 6,025,985 | ||
12,962,396 | ||||||
Consumer staples: 0.75% | ||||||
Beverages: 0.18% | ||||||
Anheuser-Busch InBev Worldwide Incorporated | 4.60 | 4-15-2048 | 1,810,000 | 1,984,318 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.70 | 2-1-2036 | 2,225,000 | 2,479,731 | ||
4,464,049 | ||||||
Food products: 0.46% | ||||||
Kraft Heinz Foods Company | 4.88 | 10-1-2049 | 4,430,000 | 4,906,225 | ||
Smithfield Foods Incorporated 144A | 2.63 | 9-13-2031 | 7,000,000 | 6,408,114 | ||
11,314,339 | ||||||
Tobacco: 0.11% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | 2,000,000 | 2,273,262 | ||
Reynolds American Incorporated | 7.00 | 8-4-2041 | 450,000 | 530,027 | ||
2,803,289 | ||||||
Energy: 2.41% | ||||||
Energy equipment & services: 0.02% | ||||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 630,000 | 619,999 | ||
Oil, gas & consumable fuels: 2.39% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 3,000,000 | 3,177,270 | ||
Buckeye Partners LP | 4.13 | 12-1-2027 | 1,300,000 | 1,227,850 | ||
Cheniere Energy Partners LP 144A | 3.25 | 1-31-2032 | 330,000 | 310,200 | ||
ConocoPhillips Company %% | 3.80 | 3-15-2052 | 6,545,000 | 6,647,701 | ||
Crestwood Midstream Partners LP 144A | 5.63 | 5-1-2027 | 2,300,000 | 2,282,750 | ||
DCP Midstream Operating Company | 5.13 | 5-15-2029 | 4,000,000 | 4,210,000 | ||
Devon Energy Corporation | 5.25 | 10-15-2027 | 4,482,000 | 4,646,856 | ||
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 2,000,000 | 2,025,000 | ||
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 1,000,000 | 1,001,250 | ||
EnLink Midstream Partners LP 144A | 5.63 | 1-15-2028 | 145,000 | 146,450 | ||
EQT Corporation | 1.75 | 5-1-2026 | 1,750,000 | 2,968,875 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 2,275,000 | 2,296,158 | ||
Nabors Industries Incorporated 144A | 7.38 | 5-15-2027 | 1,760,000 | 1,817,200 |
Interest rate | Maturity date | Principal | Value | |||
Oil, gas & consumable fuels (continued) | ||||||
Occidental Petroleum Corporation | 4.30% | 8-15-2039 | $ | 3,000,000 | $ 2,835,000 | |
Occidental Petroleum Corporation | 8.88 | 7-15-2030 | 4,100,000 | 5,301,300 | ||
Plains All American Pipeline LP | 3.55 | 12-15-2029 | 1,680,000 | 1,658,059 | ||
Plains All American Pipeline LP | 3.80 | 9-15-2030 | 3,215,000 | 3,225,728 | ||
Plains All American Pipeline LP | 4.65 | 10-15-2025 | 3,585,000 | 3,795,812 | ||
Rockies Express Pipeline LLC 144A | 4.95 | 7-15-2029 | 1,975,000 | 1,910,813 | ||
Rockies Express Pipeline LLC 144A | 6.88 | 4-15-2040 | 1,000,000 | 1,020,000 | ||
Southwestern Energy Company | 7.75 | 10-1-2027 | 1,250,000 | 1,318,750 | ||
Western Midstream Operating LP | 5.30 | 3-1-2048 | 5,000,000 | 5,150,000 | ||
58,973,022 | ||||||
Financials: 8.37% | ||||||
Banks: 2.11% | ||||||
Bank of America Corporation (3 Month LIBOR +0.64%) ± | 2.02 | 2-13-2026 | 5,000,000 | 4,913,621 | ||
Bank of America Corporation (U.S. SOFR +1.22%) ± | 2.65 | 3-11-2032 | 4,160,000 | 3,977,924 | ||
Bank of America Corporation (U.S. SOFR +1.93%) ± | 2.68 | 6-19-2041 | 1,610,000 | 1,413,718 | ||
Bank of America Corporation (U.S. SOFR +1.32%) ± | 2.69 | 4-22-2032 | 7,000,000 | 6,732,295 | ||
Bank of America Corporation (3 Month LIBOR +1.58%) ± | 3.82 | 1-20-2028 | 6,000,000 | 6,247,093 | ||
Bank of America Corporation (3 Month LIBOR +3.90%) ± | 6.10 | 12-29-2049 | 2,590,000 | 2,725,198 | ||
Bank of America Corporation (5 Year Treasury Constant Maturity +2.76%) ± | 4.38 | 12-31-2049 | 2,500,000 | 2,409,250 | ||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 5,000,000 | 4,830,500 | ||
Citigroup Incorporated (3 Month LIBOR +4.52%) ± | 6.25 | 12-29-2049 | 1,030,000 | 1,107,250 | ||
JPMorgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 3,165,000 | 2,961,438 | ||
JPMorgan Chase & Company (U.S. SOFR +1.02%) ± | 2.07 | 6-1-2029 | 5,000,000 | 4,734,299 | ||
JPMorgan Chase & Company (5 Year Treasury Constant Maturity +2.85%) ʊ± | 3.65 | 6-1-2026 | 4,000,000 | 3,796,000 | ||
JPMorgan Chase & Company (3 Month LIBOR +3.25%) ± | 5.15 | 12-29-2049 | 3,625,000 | 3,656,719 | ||
PNC Financial Services (3 Month LIBOR +3.30%) ± | 5.00 | 12-29-2049 | 565,000 | 571,780 | ||
Truist Financial Corporation (5 Year Treasury Constant Maturity +4.61%) ʊ± | 4.95 | 9-1-2025 | 2,015,000 | 2,078,553 | ||
52,155,638 | ||||||
Capital markets: 1.78% | ||||||
Ares Capital Corporation | 2.88 | 6-15-2028 | 1,980,000 | 1,833,745 | ||
Athene Global Funding 144A | 1.99 | 8-19-2028 | 2,860,000 | 2,639,832 | ||
Bank of New York Mellon Corporation (5 Year Treasury Constant Maturity +4.36%) ʊ± | 4.70 | 9-20-2025 | 3,100,000 | 3,181,375 | ||
Blackstone Holdings Finance Company LLC 144A | 3.20 | 1-30-2052 | 9,475,000 | 8,535,079 | ||
Blackstone Holdings Finance Company LLC 144A | 5.00 | 6-15-2044 | 1,015,000 | 1,173,011 | ||
Charles Schwab Corporation (5 Year Treasury Constant Maturity +4.97%) ʊ± | 5.38 | 6-1-2025 | 3,905,000 | 4,110,989 | ||
Charles Schwab Corporation (5 Year Treasury Constant Maturity +3.17%) ʊ± | 4.00 | 6-1-2026 | 4,000,000 | 3,870,600 | ||
Coinbase Global Incorporated 144A | 3.63 | 10-1-2031 | 750,000 | 660,581 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +1.25%) ± | 2.38 | 7-21-2032 | 10,755,000 | 9,969,520 |
Interest rate | Maturity date | Principal | Value | |||
Capital markets (continued) | ||||||
Intercontinental Exchange Incorporated | 3.00% | 6-15-2050 | $ | 3,675,000 | $ 3,256,836 | |
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 4,850,000 | 4,579,287 | ||
43,810,855 | ||||||
Consumer finance: 1.82% | ||||||
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 9,000,000 | 8,844,380 | ||
FirstCash Incorporated 144A | 5.63 | 1-1-2030 | 370,000 | 367,410 | ||
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 4,205,000 | 3,972,192 | ||
Private Export Funding Corporation 144A | 0.55 | 7-30-2024 | 29,766,000 | 28,945,725 | ||
Rocket Mortgage LLC 144A | 4.00 | 10-15-2033 | 3,000,000 | 2,792,250 | ||
44,921,957 | ||||||
Diversified financial services: 0.58% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 4,940,000 | 4,866,128 | ||
KKR Group Finance Company LLC 144A | 3.50 | 8-25-2050 | 1,910,000 | 1,767,729 | ||
LPL Holdings Incorporated 144A | 4.38 | 5-15-2031 | 5,000,000 | 4,875,000 | ||
United Shore Financial Services LLC 144A | 5.50 | 11-15-2025 | 3,000,000 | 2,887,500 | ||
14,396,357 | ||||||
Insurance: 1.96% | ||||||
Athene Global Funding 144A | 2.55 | 11-19-2030 | 3,000,000 | 2,792,523 | ||
Athene Global Funding 144A | 2.95 | 11-12-2026 | 3,550,000 | 3,559,867 | ||
Guardian Life Insurance Company 144A | 3.70 | 1-22-2070 | 1,500,000 | 1,419,189 | ||
Guardian Life Insurance Company 144A | 4.85 | 1-24-2077 | 1,045,000 | 1,207,111 | ||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 5,955,000 | 5,133,954 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 4,000,000 | 3,729,854 | ||
Metlife Incorporated (5 Year Treasury Constant Maturity +3.58%) ʊ± | 3.85 | 9-15-2025 | 7,000,000 | 6,947,500 | ||
Minnesota Life Insurance Company 144A | 8.25 | 9-15-2025 | 6,790,000 | 7,995,327 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 1,668,000 | 1,848,191 | ||
New York Life Insurance Company 144A | 3.75 | 5-15-2050 | 1,670,000 | 1,715,762 | ||
OneAmerica Financial Partners Incorporated 144A« | 4.25 | 10-15-2050 | 855,000 | 874,441 | ||
PartnerRe Finance II Incorporated (3 Month LIBOR +2.33%) ± | 2.50 | 12-1-2066 | 1,345,000 | 1,170,150 | ||
Prudential Financial Incorporated (5 Year Treasury Constant Maturity +3.16%) ± | 5.13 | 3-1-2052 | 3,600,000 | 3,649,500 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 3,000,000 | 2,923,541 | ||
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 2,329,000 | 3,449,519 | ||
48,416,429 | ||||||
Thrifts & mortgage finance: 0.12% | ||||||
Ladder Capital Finance Holdings LP 144A | 4.25 | 2-1-2027 | 900,000 | 876,375 | ||
Ladder Capital Finance Holdings LP 144A | 4.75 | 6-15-2029 | 245,000 | 237,344 | ||
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 1,820,000 | 1,824,550 | ||
2,938,269 | ||||||
Health care: 0.29% | ||||||
Biotechnology: 0.24% | ||||||
Amgen Incorporated | 4.20 | 2-22-2052 | 5,760,000 | 6,037,916 |
Interest rate | Maturity date | Principal | Value | |||
Health care providers & services: 0.05% | ||||||
CommonSpirit Health | 2.95% | 11-1-2022 | $ | 1,250,000 | $ 1,263,601 | |
Industrials: 2.26% | ||||||
Aerospace & defense: 0.56% | ||||||
The Boeing Company | 2.20 | 2-4-2026 | 8,170,000 | 7,971,514 | ||
The Boeing Company | 5.81 | 5-1-2050 | 2,490,000 | 2,958,142 | ||
TransDigm Group Incorporated | 4.88 | 5-1-2029 | 3,000,000 | 2,850,000 | ||
13,779,656 | ||||||
Airlines: 0.90% | ||||||
Delta Air Lines Incorporated | 2.00 | 12-10-2029 | 3,390,901 | 3,237,639 | ||
Delta Air Lines Incorporated 144A | 4.75 | 10-20-2028 | 1,850,000 | 1,929,414 | ||
Delta Airlines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 4,915,791 | 5,022,049 | ||
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 2,000,000 | 2,025,000 | ||
Jetblue Airways Corporation | 4.00 | 5-15-2034 | 1,869,126 | 1,971,243 | ||
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 7,625,000 | 8,044,375 | ||
22,229,720 | ||||||
Commercial services & supplies: 0.21% | ||||||
CoreCivic Incorporated « | 8.25 | 4-15-2026 | 5,005,000 | 5,080,075 | ||
Industrial conglomerates: 0.10% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 3.53 | 12-29-2049 | 2,537,000 | 2,399,875 | ||
Road & rail: 0.03% | ||||||
Uber Technologies Incorporated 144A | 4.50 | 8-15-2029 | 900,000 | 861,615 | ||
Trading companies & distributors: 0.20% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 1,640,000 | 1,566,200 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 2,170,000 | 2,197,125 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 1,110,000 | 1,218,225 | ||
4,981,550 | ||||||
Transportation infrastructure: 0.26% | ||||||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2026 | 5,630,000 | 4,734,416 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2027 | 1,050,000 | 844,217 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2028 | 1,150,000 | 881,341 | ||
6,459,974 | ||||||
Information technology: 1.95% | ||||||
Communications equipment: 0.07% | ||||||
CIENA Corporation 144A | 4.00 | 1-31-2030 | 1,890,000 | 1,861,310 | ||
Electronic equipment, instruments & components: 0.12% | ||||||
Corning Incorporated | 3.90 | 11-15-2049 | 2,500,000 | 2,518,634 | ||
Dell International LLC | 8.35 | 7-15-2046 | 291,000 | 441,297 | ||
2,959,931 |
Interest rate | Maturity date | Principal | Value | |||
IT services: 0.29% | ||||||
Kyndryl Holdings Incorporated 144A | 2.05% | 10-15-2026 | $ | 7,700,000 | $ 7,263,567 | |
Semiconductors & semiconductor equipment: 0.31% | ||||||
Marvell Technology Incorporated | 4.88 | 6-22-2028 | 7,000,000 | 7,653,287 | ||
Software: 0.64% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 10,500,000 | 9,649,838 | ||
Oracle Corporation | 3.95 | 3-25-2051 | 6,680,000 | 6,119,156 | ||
15,768,994 | ||||||
Technology hardware, storage & peripherals: 0.52% | ||||||
Western Digital Corporation | 4.75 | 2-15-2026 | 12,250,000 | 12,730,200 | ||
Materials: 0.18% | ||||||
Containers & packaging: 0.18% | ||||||
Ball Corporation | 2.88 | 8-15-2030 | 4,750,000 | 4,340,503 | ||
Real estate: 1.83% | ||||||
Equity REITs: 1.83% | ||||||
EPR Properties | 3.60 | 11-15-2031 | 2,060,000 | 1,944,639 | ||
EPR Properties | 3.75 | 8-15-2029 | 3,870,000 | 3,730,857 | ||
GLP Capital LP | 3.25 | 1-15-2032 | 5,000,000 | 4,693,276 | ||
National Health Investor Company | 3.00 | 2-1-2031 | 2,000,000 | 1,846,142 | ||
Omega Healthcare Investors Incorporated | 3.38 | 2-1-2031 | 2,930,000 | 2,771,582 | ||
Omega Healthcare Investors Incorporated | 4.50 | 1-15-2025 | 9,573,000 | 9,969,745 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 7,140,000 | 7,585,934 | ||
Service Properties Trust Company | 3.95 | 1-15-2028 | 3,000,000 | 2,602,500 | ||
Simon Property Group LP | 3.80 | 7-15-2050 | 2,880,000 | 2,906,698 | ||
Vornado Realty LP | 3.40 | 6-1-2031 | 4,680,000 | 4,590,997 | ||
WEA Finance LLC 144A | 4.75 | 9-17-2044 | 2,610,000 | 2,576,762 | ||
45,219,132 | ||||||
Utilities: 1.63% | ||||||
Electric utilities: 1.35% | ||||||
Basin Electric Power Cooperative 144A | 4.75 | 4-26-2047 | 2,315,000 | 2,523,679 | ||
Georgia Power Company | 3.70 | 1-30-2050 | 3,260,000 | 3,105,447 | ||
NRG Energy Incorporated 144A | 4.45 | 6-15-2029 | 6,415,000 | 6,694,517 | ||
Oglethorpe Power Corporation | 5.05 | 10-1-2048 | 1,060,000 | 1,215,135 | ||
Oglethorpe Power Corporation | 3.75 | 8-1-2050 | 3,220,000 | 3,178,543 | ||
Southern California Edison Company | 3.65 | 2-1-2050 | 1,600,000 | 1,512,661 | ||
The Southern Company (5 Year Treasury Constant Maturity +3.73%) ± | 4.00 | 1-15-2051 | 4,000,000 | 3,845,160 | ||
Vistra Operations Company LLC 144A | 4.38 | 5-1-2029 | 3,000,000 | 2,907,120 | ||
Vistra Operations Company LLC 144A | 3.70 | 1-30-2027 | 8,325,000 | 8,272,596 | ||
33,254,858 | ||||||
Multi-utilities: 0.28% | ||||||
CenterPoint Energy Incorporated ± | 0.70 | 3-2-2023 | 2,865,000 | 2,835,075 |
Interest rate | Maturity date | Principal | Value | |||
Multi-utilities (continued) | ||||||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 0.70% | 5-13-2024 | $ | 2,480,000 | $ 2,480,459 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 1.00 | 3-2-2023 | 1,647,000 | 1,647,020 | ||
6,962,554 | ||||||
Total Corporate bonds and notes (Cost $615,431,522) | 601,793,129 | |||||
Foreign corporate bonds and notes: 2.88% | ||||||
Communication services: 0.20% | ||||||
Media: 0.20% | ||||||
Tele Columbus AG 144A | 3.88 | 5-2-2025 | EUR | 2,320,000 | 2,431,773 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 2,500,000 | 2,496,760 | |
4,928,533 | ||||||
Consumer discretionary: 0.19% | ||||||
Auto components: 0.10% | ||||||
Adler Pelzer Holding GmbH 144A | 4.13 | 4-1-2024 | EUR | 2,480,000 | 2,482,920 | |
Automobiles: 0.09% | ||||||
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 1,800,000 | 2,085,180 | |
Consumer staples: 0.46% | ||||||
Food & staples retailing: 0.06% | ||||||
Foodco Bondco SL 144A | 6.25 | 5-15-2026 | EUR | 1,600,000 | 1,538,355 | |
Food products: 0.17% | ||||||
Danone SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +1.43%) ʊ± | 1.75 | 3-23-2023 | EUR | 2,600,000 | 2,922,537 | |
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 1,500,000 | 1,410,484 | |
4,333,021 | ||||||
Tobacco: 0.23% | ||||||
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 5,250,000 | 5,568,781 | |
Energy: 0.23% | ||||||
Oil, gas & consumable fuels: 0.23% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 3,200,000 | 3,530,311 | |
TotalEnergies SE (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.78%) ± | 3.88 | 12-29-2049 | EUR | 2,000,000 | 2,254,456 | |
5,784,767 | ||||||
Financials: 1.21% | ||||||
Banks: 0.96% | ||||||
Bankia SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +5.82%) ʊ± | 6.00 | 7-18-2022 | EUR | 1,200,000 | 1,354,558 | |
Caixa Geral de Depositos SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +10.93%) ʊ± | 10.75 | 3-30-2022 | EUR | 1,800,000 | 2,030,298 | |
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 9,300,000 | 10,398,592 | |
Nordea Bank (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.00%) ʊ± | 3.50 | 3-12-2025 | EUR | 9,000,000 | 9,939,879 | |
23,723,327 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance: 0.25% | ||||||
Abertis Finance BV Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.27%) ʊ± | 2.63% | 1-26-2027 | EUR | 2,900,000 | $ 2,952,501 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 3,400,000 | 3,312,029 | |
6,264,530 | ||||||
Health care: 0.12% | ||||||
Pharmaceuticals: 0.12% | ||||||
Takeda Pharmaceutical Company Limited | 2.00 | 7-9-2040 | EUR | 2,750,000 | 2,892,590 | |
Industrials: 0.35% | ||||||
Commercial services & supplies: 0.05% | ||||||
Paprec Holding SA 144A | 4.00 | 3-31-2025 | EUR | 1,200,000 | 1,339,324 | |
Containers & packaging: 0.24% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 5,500,000 | 5,798,094 | |
Electrical equipment: 0.06% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 1,300,000 | 1,450,628 | |
Real estate: 0.12% | ||||||
Real estate management & development: 0.12% | ||||||
Akelius Residential Property AB (EURIBOR ICE Swap Rate 11:00am +3.49%) ± | 3.88 | 10-5-2078 | EUR | 2,500,000 | 2,842,088 | |
Total Foreign corporate bonds and notes (Cost $77,207,991) | 71,032,138 | |||||
Foreign government bonds: 1.86% | ||||||
Brazil | 10.00 | 1-1-2029 | BRL | 8,000,000 | 1,452,359 | |
Brazil ¤ | 0.00 | 1-1-2024 | BRL | 57,000,000 | 8,987,450 | |
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 120,000,000 | 17,983,042 | |
Brazil Government Bond | 10.00 | 1-1-2025 | BRL | 8,600,000 | 1,618,628 | |
Hungary | 1.00 | 11-26-2025 | HUF | 900,000,000 | 2,331,400 | |
Mexico | 3.75 | 2-21-2024 | EUR | 1,000,000 | 1,130,287 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 172,500,000 | 12,460,270 | |
Total Foreign government bonds (Cost $50,697,995) | 45,963,436 | |||||
Loans: 1.60% | ||||||
Communication services: 0.32% | ||||||
Diversified telecommunication services: 0.16% | ||||||
Intelsat Jackson Holdings SA (U.S. SOFR +4.25%) <± | 4.75 | 2-1-2029 | $ | 4,000,000 | 3,938,760 | |
Media: 0.16% | ||||||
Clear Channel Outdoor Holdings (1 Month LIBOR +3.50%) ± | 3.80 | 8-21-2026 | 14,332 | 14,047 | ||
DIRECTV Financing LLC (1 Month LIBOR +5.00%) ± | 5.75 | 8-2-2027 | 3,910,000 | 3,896,823 | ||
3,910,870 | ||||||
Consumer discretionary: 0.21% | ||||||
Auto components: 0.12% | ||||||
Truck Hero Incorporated (1 Month LIBOR +3.25%) ± | 4.00 | 1-31-2028 | 2,984,962 | 2,926,278 | ||
Household durables: 0.09% | ||||||
Wilsonart LLC (1 Month LIBOR +3.50%) ± | 4.50 | 12-19-2026 | 2,222,500 | 2,186,384 |
Interest rate | Maturity date | Principal | Value | |||
Energy: 0.23% | ||||||
Oil, gas & consumable fuels: 0.23% | ||||||
Apergy Corporation (1 Month LIBOR +5.00%) ± | 6.00% | 6-3-2027 | $ | 1,757,500 | $ 1,771,419 | |
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 5.50 | 9-29-2028 | 3,990,000 | 3,966,299 | ||
5,737,718 | ||||||
Financials: 0.12% | ||||||
Insurance: 0.12% | ||||||
Asurion LLC (1 Month LIBOR +5.25%) ± | 5.46 | 1-31-2028 | 1,680,000 | 1,658,580 | ||
Asurion LLC (1 Month LIBOR +5.25%) ± | 5.46 | 1-20-2029 | 1,320,000 | 1,303,500 | ||
2,962,080 | ||||||
Health care: 0.05% | ||||||
Health care equipment & supplies: 0.05% | ||||||
Surgery Center Holdings Incorporated (1 Month LIBOR +3.75%) ± | 4.50 | 8-31-2026 | 1,197,203 | 1,185,231 | ||
Industrials: 0.30% | ||||||
Airlines: 0.23% | ||||||
AAdvantage Loyalty IP Limited (1 Month LIBOR +4.75%) ± | 5.50 | 4-20-2028 | 3,000,000 | 3,050,010 | ||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 6.25 | 6-21-2027 | 2,475,000 | 2,582,366 | ||
5,632,376 | ||||||
Commercial services & supplies: 0.01% | ||||||
Polaris Newco LLC (1 Month LIBOR +4.00%) <± | 4.50 | 6-2-2028 | 364,125 | 361,602 | ||
Machinery: 0.06% | ||||||
Werner FinCo LP (3 Month LIBOR +4.00%) ‡± | 5.00 | 7-24-2024 | 1,524,083 | 1,518,367 | ||
Information technology: 0.16% | ||||||
Software: 0.16% | ||||||
MPH Acquisition Holdings LLC (1 Month LIBOR +4.25%) ± | 4.76 | 8-17-2028 | 2,000,000 | 1,940,560 | ||
Sophia LP (1 Month LIBOR +3.50%) ± | 4.00 | 10-7-2027 | 1,980,038 | 1,959,406 | ||
3,899,966 | ||||||
Materials: 0.14% | ||||||
Construction materials: 0.04% | ||||||
Standard Industries Incorporated (1 Month LIBOR +2.50%) ± | 3.00 | 9-22-2028 | 889,948 | 886,130 | ||
Paper & forest products: 0.10% | ||||||
Vertical US Newco Incorporated (1 Month LIBOR +3.50%) ± | 4.00 | 7-30-2027 | 2,468,906 | 2,449,500 | ||
Real estate: 0.07% | ||||||
Equity REITs: 0.07% | ||||||
The Geo Group Incorporated (3 Month LIBOR +2.00%) <± | 2.75 | 3-22-2024 | 2,000,000 | 1,843,500 | ||
Total Loans (Cost $39,827,940) | 39,438,762 |
Interest rate | Maturity date | Principal | Value | |||
Municipal obligations: 0.41% | ||||||
California: 0.07% | ||||||
Transportation revenue: 0.07% | ||||||
Alameda CA Corridor Transportation Authority CAB Refunding Bond Subordinated Series B ¤(Ambac Insured) | 0.00% | 10-1-2028 | $ | 2,115,000 | $ 1,736,628 | |
Illinois: 0.21% | ||||||
GO revenue: 0.07% | ||||||
Will County IL Lincoln-Way Community High School District #210 Unrefunded Bond CAB ¤(AGM Insured) | 0.00 | 1-1-2025 | 1,820,000 | 1,722,473 | ||
Tax revenue: 0.14% | ||||||
Chicago IL Transit Authority Taxable Pension Funding Series A | 6.90 | 12-1-2040 | 1,075,000 | 1,443,098 | ||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2010-B1 ¤(AGM Insured) | 0.00 | 6-15-2026 | 1,975,000 | 1,793,172 | ||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2012-B ¤ | 0.00 | 12-15-2051 | 765,000 | 235,031 | ||
3,471,301 | ||||||
Kansas: 0.00% | ||||||
Health revenue: 0.00% | ||||||
Kansas Development Finance Authority Village Shalom Project Series 2018-B | 4.00 | 11-15-2025 | 90,000 | 88,536 | ||
Maryland: 0.02% | ||||||
Education revenue: 0.02% | ||||||
Maryland Health & HEFAR Green Street Academy Series B 144A | 6.75 | 7-1-2023 | 485,000 | 485,108 | ||
Michigan: 0.02% | ||||||
Miscellaneous revenue: 0.02% | ||||||
Michigan Finance Authority Local Government Loan Program Project Series E | 7.19 | 11-1-2022 | 445,000 | 462,800 | ||
Pennsylvania: 0.09% | ||||||
Education revenue: 0.09% | ||||||
Commonwealth of Pennsylvania Financing Authority Series A | 4.14 | 6-1-2038 | 1,995,000 | 2,250,877 | ||
Total Municipal obligations (Cost $9,145,796) | 10,217,723 | |||||
Non-agency mortgage-backed securities: 13.13% | ||||||
Affirm Asset Securitization Trust 2021-A Class C 144A | 1.66 | 8-15-2025 | 800,000 | 795,740 | ||
Agate Bay Mortgage Loan Trust Series 2015-3 Class B3 144A±± | 3.57 | 4-25-2045 | 991,513 | 990,271 | ||
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 1.28 | 7-25-2029 | 8,570,000 | 8,520,054 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
American Money Management Corporation Series 2015-16A Class AR2 (3 Month LIBOR +0.98%) 144A± | 1.22% | 4-14-2029 | $ | 3,287,923 | $ 3,274,431 | |
American Money Management Corporation Series 2016-19A Class AR (3 Month LIBOR +1.14%) 144A± | 1.38 | 10-16-2028 | 1,187,548 | 1,184,160 | ||
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 1,279,057 | 1,280,747 | ||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 1,712,689 | 1,696,002 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 1.81 | 9-20-2029 | 10,000,000 | 9,908,310 | ||
Apidos CLO Series 2019 Class 3-1-A (3 Month LIBOR +3.10%) 144A± | 3.34 | 4-15-2031 | 3,000,000 | 2,963,070 | ||
Avery Point CLO Limited Series 2015-7A Class AR2 (3 Month LIBOR +0.96%) 144A± | 1.20 | 1-15-2028 | 6,125,366 | 6,124,490 | ||
Bain Capital Create CLO Limited Series 2017 Class 1 (3 Month LIBOR +1.95%) 144A± | 2.20 | 7-20-2030 | 3,725,000 | 3,696,779 | ||
BDS Limited Series 2021-FL9 Class B (1 Month LIBOR +1.70%) 144A± | 1.84 | 11-16-2038 | 5,475,000 | 5,435,722 | ||
Brookside Mill CLO Limited Series 2013 Class 1A (3 Month LIBOR +2.65%) 144A± | 2.89 | 1-17-2028 | 4,000,000 | 4,000,000 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144Aøø | 2.72 | 11-25-2059 | 1,173,447 | 1,175,557 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 4,975,000 | 4,975,786 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 2.09 | 10-15-2036 | 8,035,000 | 7,803,283 | ||
Carlyle Global Market Series 2016-1A Class R2 (3 Month LIBOR +3.35%) 144A± | 3.60 | 4-20-2034 | 1,500,000 | 1,471,013 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 490,421 | 496,906 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 5,750,000 | 5,643,463 | ||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46 | 11-13-2050 | 1,035,000 | 1,066,615 | ||
Change Mortgage Trust Series 2022-1 Class A1 144A±± | 3.01 | 1-25-2067 | 7,698,085 | 7,646,246 | ||
CIFC Funding Limited Series 2012-2RA Class A1 (3 Month LIBOR +0.80%) 144A± | 1.05 | 1-20-2028 | 1,723,732 | 1,712,134 | ||
Citigroup Commercial Mortgage Trust 2017-MDRA Class A 144A | 3.66 | 7-10-2030 | 2,000,000 | 2,000,404 | ||
Colt Funding LLC Series 2020-1R Class A1 144A±± | 1.26 | 9-25-2065 | 891,565 | 883,496 | ||
Credit Suisse Mortgage Trust Series 2013-IVR2 Class B4 144A±± | 3.39 | 4-25-2043 | 1,106,916 | 1,092,167 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 6,615,213 | 6,464,948 | ||
CSMLT Trust Series 2015-1 Class B4 144A±± | 3.80 | 5-25-2045 | 2,724,671 | 2,688,637 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 1.19 | 12-19-2030 | 582,684 | 576,840 | ||
Dryden Senior Loan Fund Series 2013-28A Class A2LR (3 Month LIBOR +1.65%) 144A± | 2.16 | 8-15-2030 | 4,000,000 | 3,977,384 | ||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 2.36 | 5-15-2032 | 3,550,000 | 3,520,904 | ||
Educational Services of America Series 2015-1 Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 10-25-2056 | 612,285 | 609,563 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Financial Asset Securitization Incorporated Series 1997-NAM2 Class B2 † | 8.00% | 7-25-2027 | $ | 15,908 | $ 2 | |
First Key Homes Series 2021 Class B 144A | 1.61 | 9-17-2038 | 8,675,000 | 8,088,115 | ||
First Key Homes Series 2021 Class C 144A | 1.89 | 8-17-2038 | 6,770,000 | 6,331,481 | ||
FREMF Mortgage Trust Series 2020-KF76 Class B (1 Month LIBOR +2.75%) 144A± | 2.86 | 1-25-2030 | 3,931,396 | 3,921,216 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 1.93 | 11-16-2036 | 3,000,000 | 2,984,934 | ||
FWD Securitization Trust Series 2019-INV1 Class A3 144A±± | 3.11 | 6-25-2049 | 1,351,911 | 1,353,094 | ||
GCAT Series 2019-RPl1 Class A1 144A±± | 2.65 | 10-25-2068 | 2,722,695 | 2,725,229 | ||
Gilbert Park CLO Series 2017-1A Class B (3 Month LIBOR +1.60%) 144A± | 1.84 | 10-15-2030 | 3,000,000 | 2,977,632 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-GSA1 Class C ±± | 3.80 | 11-10-2052 | 500,000 | 491,282 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-PJ2 Class A4 144A±± | 4.00 | 11-25-2049 | 350,120 | 351,602 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 1.19 | 11-15-2036 | 2,346,207 | 2,319,859 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 1,296,259 | 1,274,955 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-C8 Class ASB | 2.38 | 10-15-2045 | 179,712 | 179,887 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-3 Class B4 144A±± | 3.36 | 7-25-2043 | 3,616,907 | 3,533,487 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 1.15 | 7-15-2036 | 5,000,000 | 4,962,376 | ||
JPMorgan Mortgage Trust Series 2014-2 Class B4 144A±± | 3.42 | 6-25-2029 | 1,215,000 | 1,179,504 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 1,525,779 | 1,528,038 | ||
LoanCore Limited Series 2018-CRE1 Class A (1 Month LIBOR +1.13%) 144A± | 1.32 | 5-15-2028 | 627,710 | 627,188 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 4,581,000 | 4,502,121 | ||
MED Trust Series 2021-MDLN Class B (1 Month LIBOR +1.45%) 144A± | 1.64 | 11-15-2038 | 9,000,000 | 8,859,405 | ||
Mello Warehouse Securitization Trust Series 2021-2 Class C (1 Month LIBOR +1.10%) 144A± | 1.29 | 4-25-2055 | 6,735,000 | 6,685,097 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022 Class FL8-C (30 Day Average U.S. SOFR +2.20%) 144A± | 2.25 | 2-19-2037 | 8,750,000 | 8,727,165 | ||
MF1 Multifamily Housing Mortgage Series 2020-FL3 Class A (U.S. SOFR 1 Month +2.16%) 144A± | 2.21 | 7-15-2035 | 720,365 | 719,223 | ||
MF1 Multifamily Housing Mortgage Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 1.04 | 7-15-2036 | 10,001,503 | 9,901,057 | ||
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,717,890 | 1,696,089 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 2,650,000 | 2,621,709 | ||
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 5,251,577 | 5,209,616 | ||
Mill City Mortgage Trust Series 2019 Class M2 144A±± | 3.25 | 7-25-2059 | 4,592,000 | 4,655,949 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±± | 3.31 | 9-15-2049 | 610,000 | 588,617 | ||
New Residential Mortgage Loan Trust Series 2019-RPL3 Class M1 144A±± | 3.25 | 7-25-2059 | 5,000,000 | 5,057,983 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 1.70% | 3-17-2030 | $ | 8,205,000 | $ 8,124,755 | |
Ondeck Asset Secuitization Trust Series 2021-1A Class B 144A | 2.28 | 5-17-2027 | 4,000,000 | 3,893,393 | ||
Onslow Bay Financial LLC Series 2020 Class A21 144A±± | 3.50 | 12-25-2049 | 1,036,727 | 1,038,569 | ||
Palmer Square Loan Funding Limited Series 2019-2A Class A1 (3 Month LIBOR +0.97%) 144A± | 1.22 | 4-20-2027 | 616,244 | 615,786 | ||
Palmer Square Loan Funding Limited Series 2021-3A Class A2 (3 Month LIBOR +1.40%) 144A± | 1.65 | 7-20-2029 | 12,060,000 | 12,008,275 | ||
Parallel Limited Series 2021-1A Class D (3 Month LIBOR +3.45%) ± | 3.69 | 7-15-2034 | 8,500,000 | 8,327,085 | ||
Residential Mortgage Loan Trust Series 2020-1 Class M1 144A±± | 3.24 | 1-26-2060 | 5,000,000 | 4,975,737 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10 | 1-25-2065 | 1,617,840 | 1,597,391 | ||
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class D ±± | 4.39 | 1-5-2043 | 1,927,000 | 1,457,520 | ||
Shellpoint Company Originator Trust Series 2016-1 Class B2 144A±± | 3.59 | 11-25-2046 | 5,403,415 | 5,328,159 | ||
Sound Point CLO Limited Series 2013-2RA Class A1 (3 Month LIBOR +0.95%) 144A± | 1.19 | 4-15-2029 | 2,730,815 | 2,718,076 | ||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 1.79 | 4-15-2030 | 10,340,000 | 10,186,492 | ||
Starwood Mortgage Residential Trust Series 2019-INV1 Class A1 144A±± | 2.61 | 9-27-2049 | 376,089 | 377,462 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 2,552,651 | 2,492,741 | ||
Towd Point Mortgage Trust Series 2015-1 Class A3 144A±± | 3.25 | 10-25-2053 | 1,836,509 | 1,841,031 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.32 | 11-25-2060 | 4,530,000 | 4,585,964 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 1,103,338 | 1,107,318 | ||
Towd Point Mortgage Trust Series 2019-4 Class M1 144A±± | 3.50 | 10-25-2059 | 4,000,000 | 4,062,638 | ||
Towd Point Mortgage Trust Series 2019-4 Class M2 144A±± | 3.75 | 10-25-2059 | 3,680,000 | 3,777,141 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 835,654 | 840,003 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 1,140,000 | 1,177,250 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 1.04 | 2-15-2032 | 2,545,036 | 2,523,755 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 3,425,239 | 3,386,446 | ||
Voya CLO Limited Series 2015-2A Class AR (3 Month LIBOR +0.97%) 144A± | 1.23 | 7-23-2027 | 2,007,133 | 1,995,811 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 2.14 | 4-17-2030 | 4,500,000 | 4,460,202 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Westgate Resorts Series 2022-1A Class C | 2.49% | 8-20-2036 | $ | 16,655,629 | $ 16,435,683 | |
ZAIS CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 2.89 | 7-15-2029 | 7,450,000 | 7,381,579 | ||
Total Non-agency mortgage-backed securities (Cost $328,969,515) | 324,445,296 | |||||
U.S. Treasury securities: 21.82% | ||||||
U.S. Treasury Bond | 1.63 | 11-15-2050 | 2,360,000 | 2,067,766 | ||
U.S. Treasury Bond ## | 1.88 | 2-15-2051 | 27,125,000 | 25,251,680 | ||
U.S. Treasury Bond | 2.25 | 8-15-2049 | 2,870,000 | 2,893,879 | ||
U.S. Treasury Bond | 2.38 | 11-15-2049 | 2,105,000 | 2,182,622 | ||
U.S. Treasury Note « | 0.88 | 1-31-2024 | 39,130,000 | 38,706,601 | ||
U.S. Treasury Note | 1.13 | 1-15-2025 | 1,810,000 | 1,784,405 | ||
U.S. Treasury Note | 1.25 | 6-30-2028 | 3,940,000 | 3,805,486 | ||
U.S. Treasury Note ## | 1.38 | 11-15-2031 | 74,715,000 | 71,621,332 | ||
U.S. Treasury Note ## | 1.50 | 1-31-2027 | 198,255,000 | 195,916,210 | ||
U.S. Treasury Note | 1.75 | 1-31-2029 | 17,235,000 | 17,146,132 | ||
U.S. Treasury Note | 1.88 | 2-15-2032 | 77,185,000 | 77,474,444 | ||
U.S. Treasury Note | 1.88 | 11-15-2051 | 47,280,000 | 44,110,763 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 15,295,000 | 14,642,573 | ||
U.S. Treasury Note | 2.00 | 8-15-2051 | 12,675,000 | 12,158,098 | ||
U.S. Treasury Note | 2.25 | 2-15-2052 | 9,170,000 | 9,341,938 | ||
U.S. Treasury Note | 2.38 | 5-15-2051 | 18,970,000 | 19,779,930 | ||
Total U.S. Treasury securities (Cost $541,072,354) | 538,883,859 | |||||
Yankee corporate bonds and notes: 11.77% | ||||||
Communication services: 0.19% | ||||||
Diversified telecommunication services: 0.07% | ||||||
Telefonica Emisiones SAU | 5.21 | 3-8-2047 | 1,485,000 | 1,614,325 | ||
Interactive media & services: 0.12% | ||||||
Tencent Holdings Limited 144A | 3.68 | 4-22-2041 | 3,250,000 | 2,999,470 | ||
Consumer discretionary: 0.98% | ||||||
Automobiles: 0.13% | ||||||
Nissan Motor Company 144A | 4.81 | 9-17-2030 | 2,961,000 | 3,103,793 | ||
Hotels, restaurants & leisure: 0.47% | ||||||
GENM Capital Labuan Limited | 3.88 | 4-19-2031 | 7,900,000 | 7,215,702 | ||
Royal Caribbean Group | 4.25 | 6-15-2023 | 3,400,000 | 4,356,420 | ||
11,572,122 | ||||||
Internet & direct marketing retail: 0.38% | ||||||
Alibaba Group Holding | 3.15 | 2-9-2051 | 4,135,000 | 3,318,054 | ||
Prosus NV 144A | 3.83 | 2-8-2051 | 3,000,000 | 2,267,917 | ||
Prosus NV 144A | 4.03 | 8-3-2050 | 1,565,000 | 1,233,067 | ||
Prosus NV 144A | 4.99 | 1-19-2052 | 3,000,000 | 2,670,095 | ||
9,489,133 | ||||||
Consumer staples: 0.19% | ||||||
Food products: 0.19% | ||||||
Agrospuer SA 144A | 4.60 | 1-20-2032 | 2,050,000 | 1,998,750 |
Interest rate | Maturity date | Principal | Value | |||
Food products (continued) | ||||||
JBS USA LLC 144A | 6.50% | 4-15-2029 | $ | 1,260,000 | $ 1,341,963 | |
JBS USA LLC 144A | 6.75 | 2-15-2028 | 1,260,000 | 1,326,163 | ||
4,666,876 | ||||||
Energy: 1.20% | ||||||
Oil, gas & consumable fuels: 1.20% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.40%) ʊ± | 4.88 | 3-22-2030 | 4,950,000 | 4,905,945 | ||
Comision Federal de Electricidad 144A« | 3.35 | 2-9-2031 | 4,815,000 | 4,273,361 | ||
Galaxy Pipeline Assets Company 144A | 2.16 | 3-31-2034 | 4,995,000 | 4,643,406 | ||
Petroleos Mexicanos SA 144A | 6.70 | 2-16-2032 | 2,650,000 | 2,556,985 | ||
Qatar Petroleum 144A | 3.13 | 7-12-2041 | 6,000,000 | 5,640,768 | ||
TransCanada PipeLines Limited | 4.63 | 3-1-2034 | 7,000,000 | 7,634,028 | ||
29,654,493 | ||||||
Financials: 7.40% | ||||||
Banks: 3.72% | ||||||
ABN AMRO Bank NV 144A | 4.75 | 7-28-2025 | 1,800,000 | 1,893,600 | ||
African Export Import Bank 144A | 3.80 | 5-17-2031 | 2,600,000 | 2,527,200 | ||
Banco de Bogota SA 144A | 6.25 | 5-12-2026 | 1,400,000 | 1,404,781 | ||
Banco de Chile 144A | 2.99 | 12-9-2031 | 6,435,000 | 6,024,769 | ||
Banco del Estado de Chile 144A | 2.70 | 1-9-2025 | 3,680,000 | 3,679,689 | ||
Banco do Brasil SA 144A | 4.63 | 1-15-2025 | 2,415,000 | 2,475,556 | ||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 3,425,000 | 3,442,159 | ||
Banco General SA 144A | 4.13 | 8-7-2027 | 5,625,000 | 5,760,956 | ||
Banco Industrial SA (5 Year Treasury Constant Maturity +4.44%) 144A± | 4.88 | 1-29-2031 | 1,500,000 | 1,459,500 | ||
Banco Internacional del Peru 144A | 3.25 | 10-4-2026 | 1,600,000 | 1,590,016 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.64%) 144Aʊ± | 5.88 | 1-24-2027 | 4,250,000 | 3,916,375 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.97%) 144Aʊ± | 6.75 | 9-27-2024 | 1,565,000 | 1,541,525 | ||
Banco Safra SA 144A | 4.13 | 2-8-2023 | 1,695,000 | 1,718,391 | ||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ʊ± | 0.70 | 6-30-2024 | 9,000,000 | 8,844,400 | ||
Banco Santander Mexico (5 Year Treasury Constant Maturity +3.00%) 144A± | 5.95 | 10-1-2028 | 1,700,000 | 1,734,017 | ||
Banque Ouest Africaine de Developpement 144A | 5.00 | 7-27-2027 | 2,520,000 | 2,609,107 | ||
BNP Paribas (U.S. SOFR +1.00%) 144A± | 1.32 | 1-13-2027 | 5,455,000 | 5,128,170 | ||
Danske Bank 144A | 5.38 | 1-12-2024 | 1,705,000 | 1,795,831 | ||
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ± | 4.88 | 12-1-2032 | 1,750,000 | 1,768,451 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 4,200,000 | 4,059,628 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 3,510,000 | 3,495,083 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 7,875,000 | 7,337,185 | ||
National Australia Bank (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.35 | 1-12-2037 | 7,835,000 | 7,478,155 | ||
NatWest Markets plc 144A | 1.60 | 9-29-2026 | 4,000,000 | 3,800,883 | ||
Perrigo Finance plc | 4.90 | 12-15-2044 | 1,500,000 | 1,390,651 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Unicredit SpA (5 Year Treasury Constant Maturity +4.75%) 144A± | 5.46% | 6-30-2035 | $ | 3,000,000 | $ 2,989,071 | |
Westpac Banking Corporation | 2.96 | 11-16-2040 | 2,160,000 | 1,911,650 | ||
91,776,799 | ||||||
Capital markets: 0.91% | ||||||
Credit Suisse Group AG (U.S. SOFR +1.73%) 144A± | 3.09 | 5-14-2032 | 2,695,000 | 2,555,465 | ||
Credit Suisse Group AG (U.S. SOFR +0.98%) 144A± | 1.31 | 2-2-2027 | 3,000,000 | 2,780,546 | ||
Credit Suisse Group AG (5 Year Treasury Constant Maturity +4.89%) 144Aʊ± | 5.25 | 2-11-2027 | 3,500,000 | 3,328,325 | ||
Credit Suisse Group Funding Limited (3 Month LIBOR +1.20%) 144A± | 3.00 | 12-14-2023 | 1,485,000 | 1,497,428 | ||
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 5,800,000 | 5,470,654 | ||
UBS Group AG (5 Year Treasury Constant Maturity +3.40%) 144A± | 4.88 | 12-31-2049 | 3,940,000 | 3,809,586 | ||
UBS Group Funding Switzerland AG 144A | 3.49 | 5-23-2023 | 1,165,000 | 1,170,119 | ||
UBS Group Funding Switzerland AG (USD Swap Semi Annual (vs. 6 Month LIBOR) 5 Year +4.87%) ± | 7.00 | 12-29-2049 | 1,650,000 | 1,753,125 | ||
22,365,248 | ||||||
Consumer finance: 0.49% | ||||||
JBS Finance Luxembourg Company 144A | 2.50 | 1-15-2027 | 4,285,000 | 4,027,943 | ||
Nissan Motor Acceptance Corporation 144A | 2.65 | 7-13-2022 | 1,843,000 | 1,851,004 | ||
Unifin Financiera SAB de CV 144A« | 9.88 | 1-28-2029 | 2,350,000 | 1,504,000 | ||
Vale Overseas Limited Company | 3.75 | 7-8-2030 | 4,850,000 | 4,799,075 | ||
12,182,022 | ||||||
Diversified financial services: 1.33% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 9,515,000 | 9,179,856 | ||
Avolon Holdings Funding Limited 144A | 2.75 | 2-21-2028 | 2,000,000 | 1,886,225 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 2,515,000 | 2,677,519 | ||
Banco Bradesco 144A | 4.38 | 3-18-2027 | 3,200,000 | 3,228,032 | ||
Brookfield Finance Incorporated | 3.50 | 3-30-2051 | 2,865,000 | 2,630,341 | ||
Brookfield Finance Incorporated | 3.90 | 1-25-2028 | 5,400,000 | 5,670,096 | ||
Cellnex Finance Company 144A | 3.88 | 7-7-2041 | 4,120,000 | 3,440,571 | ||
Corporacion Financiera de Desarrollo SA (3 Month LIBOR +5.61%) 144A± | 5.25 | 7-15-2029 | 1,185,000 | 1,180,272 | ||
DAE Funding LLC 144A | 3.38 | 3-20-2028 | 3,205,000 | 3,081,120 | ||
32,974,032 | ||||||
Insurance: 0.85% | ||||||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.65%) 144A± | 2.75 | 1-21-2051 | 4,595,000 | 4,177,498 | ||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.60%) 144A± | 2.90 | 9-16-2051 | 2,000,000 | 1,810,592 | ||
Sompo International Holdings Limited | 7.00 | 7-15-2034 | 1,330,000 | 1,705,163 | ||
Swiss Re Finance (Luxembourg) SA (5 Year Treasury Constant Maturity +3.58%) 144A± | 5.00 | 4-2-2049 | 10,700,000 | 11,329,053 | ||
Validus Holdings Limited | 8.88 | 1-26-2040 | 1,210,000 | 1,907,139 | ||
20,929,445 |
Interest rate | Maturity date | Principal | Value | |||
Thrifts & mortgage finance: 0.10% | ||||||
Nationwide Building Society (USD ICE Swap Rate 11:00am NY 5 Year +1.85%) 144A± | 4.13% | 10-18-2032 | $ | 2,500,000 | $ 2,568,075 | |
Health care: 0.06% | ||||||
Pharmaceuticals: 0.06% | ||||||
Bausch Health Companies Incorporated 144A | 5.25 | 1-30-2030 | 2,000,000 | 1,612,500 | ||
Industrials: 0.36% | ||||||
Airlines: 0.20% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 4,000,000 | 4,865,777 | ||
Trading companies & distributors: 0.14% | ||||||
Carlyle Aviation Elevate Merger Subsidiary Limited 144A | 7.00 | 10-15-2024 | 3,600,000 | 3,401,100 | ||
Transportation infrastructure: 0.02% | ||||||
Mexico City Airport Trust 144A | 5.50 | 7-31-2047 | 570,000 | 511,983 | ||
Information technology: 0.76% | ||||||
Communications equipment: 0.35% | ||||||
Ericsson LM | 4.13 | 5-15-2022 | 8,699,000 | 8,732,665 | ||
Semiconductors & semiconductor equipment: 0.41% | ||||||
Renesas Electronics Corporation 144A | 2.17 | 11-25-2026 | 10,455,000 | 10,035,991 | ||
Materials: 0.33% | ||||||
Chemicals: 0.33% | ||||||
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 8,000,000 | 8,169,890 | ||
Utilities: 0.30% | ||||||
Electric utilities: 0.15% | ||||||
Comision Federal de Electricidad 144A | 3.88 | 7-26-2033 | 2,985,000 | 2,648,471 | ||
Electricite de France SA 144A | 4.95 | 10-13-2045 | 1,130,000 | 1,187,310 | ||
3,835,781 | ||||||
Independent power & renewable electricity producers: 0.15% | ||||||
Colbun SA 144A | 3.15 | 1-19-2032 | 3,900,000 | 3,620,760 | ||
Total Yankee corporate bonds and notes (Cost $302,839,409) | 290,682,280 | |||||
Yankee government bonds: 1.97% | ||||||
Bermuda 144A | 3.38 | 8-20-2050 | 1,080,000 | 1,005,750 | ||
Dominican Republic 144A | 4.50 | 1-30-2030 | 1,000,000 | 925,010 | ||
Dominican Republic 144A | 4.88 | 9-23-2032 | 1,800,000 | 1,638,018 | ||
Dominican Republic 144A | 5.50 | 2-22-2029 | 800,000 | 795,528 | ||
Provincia de Cordoba 144Aøø | 6.88 | 12-10-2025 | 1,781,310 | 1,326,542 | ||
Provincia de Santa Fe 144A | 7.00 | 3-23-2023 | 2,000,000 | 1,840,000 | ||
Republic of Argentina øø | 0.50 | 7-9-2030 | 1,703,981 | 543,570 | ||
Republic of Argentina | 1.00 | 7-9-2029 | 206,310 | 68,068 | ||
Republic of Argentina øø | 1.13 | 7-9-2035 | 1,817,118 | 537,867 | ||
Republic of Kenya 144A | 8.25 | 2-28-2048 | 750,000 | 647,625 | ||
Republic of Panama | 4.50 | 1-19-2063 | 5,000,000 | 4,753,300 | ||
Republic of Paraguay 144A | 5.40 | 3-30-2050 | 1,750,000 | 1,723,768 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds (continued) | ||||||
Republic of Peru | 2.78% | 1-23-2031 | $ | 3,975,000 | $ 3,755,858 | |
Republic of Senegal 144A« | 6.25 | 5-23-2033 | 750,000 | 695,640 | ||
State of Israel | 5.50 | 9-18-2033 | 13,050,000 | 17,381,297 | ||
Sultanate of Oman 144A | 6.25 | 1-25-2031 | 1,700,000 | 1,763,546 | ||
Ukraine 144A | 7.38 | 9-25-2032 | 1,200,000 | 384,300 | ||
United Mexican States | 4.28 | 8-14-2041 | 9,565,000 | 8,978,570 | ||
Total Yankee government bonds (Cost $53,308,660) | 48,764,257 |
Short-term investments: 8.27% | ||||||
Commercial paper: 3.12% | ||||||
Corporación Andina de Fomento 144A☼ | 0.00 | 3-1-2022 | 10,000,000 | 9,999,981 | ||
Corporación Andina de Fomento 144A☼ | 0.29 | 5-3-2022 | 10,000,000 | 9,994,507 | ||
HSBC USA Incorporated 144A☼ | 0.35 | 4-1-2022 | 22,000,000 | 21,994,955 | ||
NatWest Markets plc 144A☼ | 0.32 | 4-21-2022 | 15,000,000 | 14,988,148 | ||
Walt Disney Company 144A☼ | 0.20 | 6-30-2022 | 10,000,000 | 9,976,718 | ||
Walt Disney Company 144A☼ | 0.24 | 3-31-2022 | 10,000,000 | 9,998,657 | ||
76,952,966 |
Yield | Shares | |||||
Investment companies: 5.15% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 0.03 | 88,560,041 | 88,560,041 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 38,692,605 | 38,692,605 | |||
127,252,646 | ||||||
Total Short-term investments (Cost $204,224,933) | 204,205,612 | |||||
Total investments in securities (Cost $2,920,393,224) | 115.95% | 2,864,095,048 | ||||
Other assets and liabilities, net | (15.95) | (394,021,705) | ||||
Total net assets | 100.00% | $2,470,073,343 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for when-issued securities and unfunded loans. |
† | Non-income-earning security |
øø | The interest rate is determined and reset by the issuer periodically depending upon the terms of the security. The rate shown is the rate in effect at period end. |
‡ | Security is valued using significant unobservable inputs. |
< | All or a portion of the position represents an unfunded loan commitment. The rate represents the current interest rate if the loan is partially funded. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
♀ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
Ambac | Ambac Financial Group Incorporated |
BRL | Brazilian real |
CAB | Capital appreciation bond |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General obligation |
HEFAR | Higher Education Facilities Authority Revenue |
HUF | Hungarian forint |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
ZAR | South African rand |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $187,588,322 | $804,888,825 | $(903,917,106) | $0 | $0 | $ 88,560,041 | 88,560,041 | $ 17,724 | ||
Securities Lending Cash Investments LLC | 5,572,383 | 113,055,417 | (79,935,195) | 0 | 0 | 38,692,605 | 38,692,605 | 2,120 # | ||
$0 | $0 | $127,252,646 | $19,844 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
86,944,988 USD | 76,800,000 EUR | Citibank NA | 3-31-2022 | $ 729,694 | $ 0 | |
10,770,388 USD | 172,500,000 ZAR | Citibank NA | 3-31-2022 | 0 | (407,500) | |
$729,694 | $(407,500) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
10-Year U.S. Treasury Notes | 60 | 6-21-2022 | $ 7,642,602 | $ 7,646,250 | $ 3,648 | $ 0 | |
U.S. Long Term Bonds | 68 | 6-21-2022 | 10,469,463 | 10,654,750 | 185,287 | 0 | |
U.S. Ultra Treasury Bonds | 110 | 6-21-2022 | 20,128,479 | 20,453,125 | 324,646 | 0 | |
2-Year U.S. Treasury Notes | 1,024 | 6-30-2022 | 219,666,192 | 220,391,999 | 725,807 | 0 | |
Short | |||||||
Euro-BOBL Futures | (182) | 3-8-2022 | (27,397,810) | (26,908,334) | 489,476 | 0 | |
Euro-Bund Futures | (230) | 3-8-2022 | (45,021,628) | (43,077,517) | 1,944,111 | 0 | |
Euro-Schatz Futures | (67) | 3-8-2022 | (8,428,402) | (8,413,107) | 15,295 | 0 | |
10-Year Ultra Futures | (653) | 6-21-2022 | (91,138,207) | (92,287,266) | 0 | (1,149,059) | |
5-Year U.S. Treasury Notes | (142) | 6-30-2022 | (16,679,138) | (16,795,938) | 0 | (116,800) | |
$3,688,270 | $(1,265,859) |
Reference index | Fixed rate received | Payment frequency | Maturity date | Notional amount | Value | Premiums paid (received) | Unrealized gains | Unrealized losses | |
Sell Protection | |||||||||
Markit iTraxx Europe Crossover | 5.00% | Quarterly | 6-20-2026 | EUR | 4,000,000 | $314,399 | $489,267 | $0 | $(174,868) |
Assets | |
Investments in unaffiliated securities (including $37,928,352 of securities loaned), at value (cost $2,793,140,578) | $ 2,736,842,402 |
Investments in affiliated securities, at value (cost $127,252,646) | 127,252,646 |
Cash due from broker | 4,142,705 |
Segregated cash for forward foreign currency contracts | 920,117 |
Cash at broker segregated for futures contracts | 4,711,000 |
Segregated cash for swap contracts | 312,603 |
Foreign currency, at value (cost $2,362,003) | 2,469,132 |
Receivable for interest | 13,174,525 |
Receivable for Fund shares sold | 8,033,379 |
Receivable for investments sold | 5,993,080 |
Receivable for daily variation margin on open futures contracts | 1,324,446 |
Unrealized gains on forward foreign currency contracts | 729,694 |
Receivable for securities lending income, net | 5,013 |
Principal paydown receivable | 759 |
Prepaid expenses and other assets | 217,234 |
Total assets | 2,906,128,735 |
Liabilities | |
Payable for when-issued transactions | 369,027,625 |
Payable upon receipt of securities loaned | 38,602,605 |
Payable for investments purchased | 17,009,660 |
Payable for Fund shares redeemed | 7,852,897 |
Payable for daily variation margin on open futures contracts | 1,643,558 |
Overdraft due to custodian bank | 791,036 |
Management fee payable | 476,856 |
Unrealized losses on forward foreign currency contracts | 407,500 |
Administration fees payable | 171,246 |
Distribution fee payable | 22,370 |
Payable for daily variation margin on centrally cleared swaps | 15,503 |
Accrued expenses and other liabilities | 34,536 |
Total liabilities | 436,055,392 |
Total net assets | $2,470,073,343 |
Net assets consist of | |
Paid-in capital | $ 2,542,934,697 |
Total distributable loss | (72,861,354) |
Total net assets | $2,470,073,343 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 271,338,189 |
Shares outstanding – Class A1 | 21,236,374 |
Net asset value per share – Class A | $12.78 |
Maximum offering price per share – Class A2 | $13.38 |
Net assets – Class C | $ 38,400,525 |
Shares outstanding – Class C1 | 3,008,192 |
Net asset value per share – Class C | $12.77 |
Net assets – Class R6 | $ 126,960,266 |
Shares outstanding – Class R61 | 9,921,515 |
Net asset value per share – Class R6 | $12.80 |
Net assets – Administrator Class | $ 179,690,313 |
Shares outstanding – Administrator Class1 | 14,091,152 |
Net asset value per share – Administrator Class | $12.75 |
Net assets – Institutional Class | $ 1,853,684,050 |
Shares outstanding – Institutional Class1 | 144,910,340 |
Net asset value per share – Institutional Class | $12.79 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest (net of foreign withholding taxes of $8,169) | $ 28,742,975 |
Dividends | 64,235 |
Income from affiliated securities | 42,019 |
Total investment income | 28,849,229 |
Expenses | |
Management fee | 5,095,566 |
Administration fees | |
Class A | 234,767 |
Class C | 31,340 |
Class R6 | 16,241 |
Administrator Class | 93,464 |
Institutional Class | 730,786 |
Shareholder servicing fees | |
Class A | 366,824 |
Class C | 48,968 |
Administrator Class | 233,661 |
Distribution fee | |
Class C | 146,904 |
Custody and accounting fees | 42,890 |
Professional fees | 42,688 |
Registration fees | 76,784 |
Shareholder report expenses | 50,840 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 17,407 |
Total expenses | 7,238,722 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (1,616,576) |
Class A | (12,019) |
Class C | (2) |
Administrator Class | (36,078) |
Net expenses | 5,574,047 |
Net investment income | 23,275,182 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (18,318,595) |
Forward foreign currency contracts | 4,661,296 |
Futures contracts | (3,524,576) |
Swap contracts | (353,349) |
Net realized losses on investments | (17,535,224) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (109,734,799) |
Forward foreign currency contracts | (217,661) |
Futures contracts | 3,894,038 |
Swap contracts | 279,993 |
Net change in unrealized gains (losses) on investments | (105,778,429) |
Net realized and unrealized gains (losses) on investments | (123,313,653) |
Net decrease in net assets resulting from operations | $(100,038,471) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 23,275,182 | $ 39,804,791 | ||
Net realized gains (losses) on investments | (17,535,224) | 13,100,292 | ||
Net change in unrealized gains (losses) on investments | (105,778,429) | 8,104,511 | ||
Net increase (decrease) in net assets resulting from operations | (100,038,471) | 61,009,594 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,549,857) | (12,927,846) | ||
Class C | (467,221) | (1,312,280) | ||
Class R6 | (1,927,369) | (4,070,527) | ||
Administrator Class | (2,913,972) | (5,658,851) | ||
Institutional Class | (31,677,731) | (62,947,979) | ||
Total distributions to shareholders | (41,536,150) | (86,917,483) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,611,186 | 21,375,192 | 7,271,226 | 98,269,502 |
Class C | 512,908 | 6,794,257 | 1,527,005 | 20,676,856 |
Class R6 | 4,240,472 | 56,308,710 | 3,510,925 | 47,375,550 |
Administrator Class | 4,574,433 | 60,880,534 | 16,952,734 | 227,567,012 |
Institutional Class | 48,042,303 | 636,107,497 | 98,898,472 | 1,339,236,932 |
781,466,190 | 1,733,125,852 | |||
Reinvestment of distributions | ||||
Class A | 312,105 | 4,117,820 | 887,127 | 11,996,059 |
Class C | 31,785 | 418,807 | 90,527 | 1,223,603 |
Class R6 | 142,772 | 1,884,013 | 249,035 | 3,372,019 |
Administrator Class | 221,222 | 2,911,970 | 419,260 | 5,652,053 |
Institutional Class | 2,251,424 | 29,721,386 | 4,273,565 | 57,812,022 |
39,053,996 | 80,055,756 | |||
Payment for shares redeemed | ||||
Class A | (3,489,754) | (45,982,787) | (4,548,362) | (61,469,054) |
Class C | (470,443) | (6,200,833) | (742,549) | (10,014,815) |
Class R6 | (1,039,054) | (13,654,687) | (3,218,395) | (43,643,562) |
Administrator Class | (11,331,704) | (152,123,408) | (2,570,782) | (34,666,373) |
Institutional Class | (36,501,313) | (480,768,407) | (32,694,760) | (439,851,508) |
(698,730,122) | (589,645,312) | |||
Net increase in net assets resulting from capital share transactions | 121,790,064 | 1,223,536,296 | ||
Total increase (decrease) in net assets | (19,784,557) | 1,197,628,407 | ||
Net assets | ||||
Beginning of period | 2,489,857,900 | 1,292,229,493 | ||
End of period | $2,470,073,343 | $2,489,857,900 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.52 | $13.77 | $13.09 | $12.27 | $12.71 | $12.70 |
Net investment income | 0.11 1 | 0.24 | 0.34 | 0.37 | 0.34 | 0.36 1 |
Net realized and unrealized gains (losses) on investments | (0.64) | 0.16 | 0.77 | 0.80 | (0.45) | (0.01) |
Total from investment operations | (0.53) | 0.40 | 1.11 | 1.17 | (0.11) | 0.35 |
Distributions to shareholders from | ||||||
Net investment income | (0.10) | (0.27) | (0.36) | (0.35) | (0.33) | (0.33) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.21) | (0.65) | (0.43) | (0.35) | (0.33) | (0.34) |
Net asset value, end of period | $12.78 | $13.52 | $13.77 | $13.09 | $12.27 | $12.71 |
Total return2 | (4.00)% | 3.00% | 8.72% | 9.74% | (0.84)% | 2.78% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.84% | 0.85% | 0.88% | 0.91% | 0.92% | 0.93% |
Net expenses | 0.71% | 0.72% | 0.72% | 0.73% | 0.73% | 0.76% |
Net investment income | 1.64% | 1.90% | 2.60% | 2.99% | 2.63% | 2.88% |
Supplemental data | ||||||
Portfolio turnover rate | 132% | 194% | 130% | 89% | 148% | 199% |
Net assets, end of period (000s omitted) | $271,338 | $308,270 | $264,366 | $245,879 | $229,688 | $255,668 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.51 | $13.77 | $13.09 | $12.26 | $12.71 | $12.70 |
Net investment income | 0.06 | 0.14 | 0.23 | 0.28 | 0.23 | 0.26 |
Net realized and unrealized gains (losses) on investments | (0.64) | 0.15 | 0.78 | 0.81 | (0.44) | (0.01) |
Total from investment operations | (0.58) | 0.29 | 1.01 | 1.09 | (0.21) | 0.25 |
Distributions to shareholders from | ||||||
Net investment income | (0.05) | (0.17) | (0.26) | (0.26) | (0.24) | (0.23) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.16) | (0.55) | (0.33) | (0.26) | (0.24) | (0.24) |
Net asset value, end of period | $12.77 | $13.51 | $13.77 | $13.09 | $12.26 | $12.71 |
Total return1 | (4.36)% | 2.16% | 7.85% | 8.91% | (1.66)% | 2.01% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.59% | 1.60% | 1.63% | 1.66% | 1.67% | 1.68% |
Net expenses | 1.46% | 1.48% | 1.48% | 1.48% | 1.48% | 1.51% |
Net investment income | 0.88% | 1.13% | 1.85% | 2.25% | 1.89% | 2.12% |
Supplemental data | ||||||
Portfolio turnover rate | 132% | 194% | 130% | 89% | 148% | 199% |
Net assets, end of period (000s omitted) | $38,401 | $39,628 | $28,342 | $18,195 | $20,550 | $19,036 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class R6 | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 1 |
Net asset value, beginning of period | $13.54 | $13.79 | $13.11 | $12.28 | $12.73 | $12.59 |
Net investment income | 0.13 2 | 0.30 | 0.39 2 | 0.41 | 0.39 | 0.33 2 |
Net realized and unrealized gains (losses) on investments | (0.64) | 0.15 | 0.77 | 0.82 | (0.46) | 0.12 |
Total from investment operations | (0.51) | 0.45 | 1.16 | 1.23 | (0.07) | 0.45 |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.32) | (0.41) | (0.40) | (0.38) | (0.30) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.23) | (0.70) | (0.48) | (0.40) | (0.38) | (0.31) |
Net asset value, end of period | $12.80 | $13.54 | $13.79 | $13.11 | $12.28 | $12.73 |
Total return3 | (3.81)% | 3.37% | 9.10% | 10.14% | (0.55)% | 3.64% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.47% | 0.47% | 0.50% | 0.53% | 0.54% | 0.55% |
Net expenses | 0.33% | 0.35% | 0.35% | 0.35% | 0.35% | 0.35% |
Net investment income | 2.03% | 2.28% | 2.98% | 3.36% | 3.05% | 3.12% |
Supplemental data | ||||||
Portfolio turnover rate | 132% | 194% | 130% | 89% | 148% | 199% |
Net assets, end of period (000s omitted) | $126,960 | $89,048 | $83,260 | $62,522 | $45,159 | $31,451 |
1 | For the period from October 31, 2016 (commencement of class operations) to August 31, 2017 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.49 | $13.75 | $13.07 | $12.25 | $12.69 | $12.68 |
Net investment income | 0.11 | 0.26 | 0.35 | 0.38 | 0.35 | 0.37 |
Net realized and unrealized gains (losses) on investments | (0.63) | 0.14 | 0.77 | 0.81 | (0.44) | (0.01) |
Total from investment operations | (0.52) | 0.40 | 1.12 | 1.19 | (0.09) | 0.36 |
Distributions to shareholders from | ||||||
Net investment income | (0.11) | (0.28) | (0.37) | (0.37) | (0.35) | (0.34) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.22) | (0.66) | (0.44) | (0.37) | (0.35) | (0.35) |
Net asset value, end of period | $12.75 | $13.49 | $13.75 | $13.07 | $12.25 | $12.69 |
Total return1 | (3.96)% | 3.04% | 8.85% | 9.88% | (0.74)% | 2.90% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.78% | 0.79% | 0.82% | 0.85% | 0.86% | 0.87% |
Net expenses | 0.61% | 0.62% | 0.62% | 0.62% | 0.62% | 0.66% |
Net investment income | 1.73% | 1.95% | 2.71% | 3.07% | 2.74% | 2.97% |
Supplemental data | ||||||
Portfolio turnover rate | 132% | 194% | 130% | 89% | 148% | 199% |
Net assets, end of period (000s omitted) | $179,690 | $278,294 | $80,099 | $57,316 | $32,241 | $41,806 |
1 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $13.53 | $13.79 | $13.11 | $12.28 | $12.72 | $12.71 |
Net investment income | 0.13 | 0.29 | 0.38 | 0.39 | 0.37 1 | 0.38 |
Net realized and unrealized gains (losses) on investments | (0.64) | 0.14 | 0.77 | 0.83 | (0.44) | 0.01 |
Total from investment operations | (0.51) | 0.43 | 1.15 | 1.22 | (0.07) | 0.39 |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.31) | (0.40) | (0.39) | (0.37) | (0.37) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.23) | (0.69) | (0.47) | (0.39) | (0.37) | (0.38) |
Net asset value, end of period | $12.79 | $13.53 | $13.79 | $13.11 | $12.28 | $12.72 |
Total return2 | (3.84)% | 3.24% | 9.05% | 10.17% | (0.52)% | 3.10% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.51% | 0.52% | 0.55% | 0.58% | 0.59% | 0.60% |
Net expenses | 0.38% | 0.40% | 0.40% | 0.40% | 0.40% | 0.44% |
Net investment income | 1.97% | 2.19% | 2.92% | 3.29% | 3.00% | 3.17% |
Supplemental data | ||||||
Portfolio turnover rate | 132% | 194% | 130% | 89% | 148% | 199% |
Net assets, end of period (000s omitted) | $1,853,684 | $1,774,619 | $836,162 | $524,743 | $264,292 | $163,387 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 24,074,851 |
Gross unrealized losses | (73,043,292) |
Net unrealized losses | $(48,968,441) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 479,748,690 | $ 0 | $ 479,748,690 |
Asset-backed securities | 0 | 208,919,866 | 0 | 208,919,866 |
Corporate bonds and notes | 0 | 601,793,129 | 0 | 601,793,129 |
Foreign corporate bonds and notes | 0 | 71,032,138 | 0 | 71,032,138 |
Foreign government bonds | 0 | 45,963,436 | 0 | 45,963,436 |
Loans | 0 | 37,920,395 | 1,518,367 | 39,438,762 |
Municipal obligations | 0 | 10,217,723 | 0 | 10,217,723 |
Non-agency mortgage-backed securities | 0 | 324,445,296 | 0 | 324,445,296 |
U.S. Treasury securities | 538,883,859 | 0 | 0 | 538,883,859 |
Yankee corporate bonds and notes | 0 | 290,682,280 | 0 | 290,682,280 |
Yankee government bonds | 0 | 48,764,257 | 0 | 48,764,257 |
Short-term investments | ||||
Commercial paper | 0 | 76,952,966 | 0 | 76,952,966 |
Investment companies | 127,252,646 | 0 | 0 | 127,252,646 |
666,136,505 | 2,196,440,176 | 1,518,367 | 2,864,095,048 | |
Forward foreign currency contracts | 0 | 729,694 | 0 | 729,694 |
Futures contracts | 3,688,270 | 0 | 0 | 3,688,270 |
Total assets | $669,824,775 | $2,197,169,870 | $1,518,367 | $2,868,513,012 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 407,500 | $ 0 | $ 407,500 |
Futures contracts | 1,265,859 | 0 | 0 | 1,265,859 |
Swap contracts | 0 | 174,868 | 0 | 174,868 |
Total liabilities | $ 1,265,859 | $ 582,368 | $ 0 | $ 1,848,227 |
Average daily net assets | Management fee |
First $500 million | 0.450% |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.68% |
Class C | 1.43 |
Class R6 | 0.30 |
Administrator Class | 0.60 |
Institutional Class | 0.35 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$3,250,564,168 | $601,295,177 | $3,072,918,400 | $293,656,684 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
BNP Paribas Securities Corporation | $ 193,622 | $ (193,622) | $0 |
Credit Suisse Securities (USA) LLC | 2,520,286 | (2,520,286) | 0 |
JPMorgan Securities LLC | 40,674 | (40,674) | 0 |
Nomura Securities International Incorporated | 34,569,252 | (34,569,252) | 0 |
UBS Securities LLC | 604,518 | (604,518) | 0 |
Futures contracts | |
Average notional balance on long futures | $259,102,288 |
Average notional balance on short futures | 190,395,350 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 21,039,787 |
Average contract amounts to sell | 115,896,527 |
Swap contracts | |
Average notional balance | $ 23,103,181 |
Asset derivatives | Liability derivatives | ||||
Statement of Assets and Liabilities location | Fair value | Statement of Assets and Liabilities location | Fair value | ||
Interest rate risk | Unrealized gains on futures contracts | $ 3,688,270* | Unrealized losses on futures contracts | $ 1,265,859* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 729,694 | Unrealized losses on forward foreign currency contracts | 407,500 | |
Credit risk | Unrealized gains on swap contracts | 0* | Unrealized losses on swap contracts | 174,868* | |
$4,417,964 | $1,848,227 |
Amount of net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ (3,524,576) | $ 0 | $(3,524,576) |
Credit risk | 0 | 0 | (353,349) | (353,349) |
Foreign currency risk | 4,661,296 | 0 | 0 | 4,661,296 |
$4,661,296 | $(3,524,576) | $(353,349) | $ 783,371 |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ 3,894,038 | $ 0 | $ 3,894,038 |
Foreign currency risk | (217,661) | 0 | 0 | (217,661) |
Credit risk | 0 | 0 | 279,993 | 279,993 |
$(217,661) | $3,894,038 | $279,993 | $3,956,370 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank NA | $729,694 | $(407,500) | $322,194 | $0 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank NA | $407,500 | $(407,500) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317317imgca6a2b6c1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA219/SAR219 02-22
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Government Securities Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317331img7a99433c2.gif)
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks current income. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Michal Stanczyk |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (SGVDX) | 8-31-1999 | -7.49 | 1.01 | 1.17 | -3.13 | 1.94 | 1.63 | 0.90 | 0.86 | ||
Class C (WGSCX) | 12-26-2002 | -4.86 | 1.18 | 0.87 | -3.86 | 1.18 | 0.87 | 1.65 | 1.61 | ||
Administrator Class (WGSDX) | 4-8-2005 | – | – | – | -2.85 | 2.15 | 1.85 | 0.84 | 0.65 | ||
Institutional Class (SGVIX) | 8-31-1999 | – | – | – | -2.69 | 2.34 | 2.02 | 0.57 | 0.49 | ||
Bloomberg U.S. Aggregate ex Credit Index3 | – | – | – | – | -2.43 | 2.24 | 1.97 | – | – | ||
Bloomberg U.S. Government Intermediate Bond Index4 | – | – | – | – | -2.36 | 1.87 | 1.49 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.85% for Class A, 1.60% for Class C, 0.64% for Administrator Class, and 0.48% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg U.S. Aggregate ex Credit Index is composed of the Bloomberg U.S. Government Index and the Bloomberg U.S. Mortgage-Backed Securities Index and includes Treasury issues, agency issues, and mortgage-backed securities. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Government Intermediate Bond Index is an unmanaged index composed of U.S. government securities with maturities in the one to 10-year range, including securities issued by the U.S. Treasury and U.S. government agencies. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
FNMA, 2.00%, 3-14-2052 | 7.57 |
U.S. Treasury Note, 1.50%, 1-31-2027 | 6.77 |
FNMA, 2.50%, 11-25-2051 | 6.18 |
U.S. Treasury Note, 1.88%, 2-15-2032 | 4.20 |
U.S. Treasury Note, 1.38%, 11-15-2031 | 3.15 |
State of Israel, 5.50%, 12-4-2023 | 2.63 |
GNMA, 2.50%, 3-21-2052 | 2.63 |
STRIPS, 0.00%, 5-15-2039 | 2.18 |
Resolution Funding Corporation STRIPS, 0.00%, 1-15-2030 | 2.15 |
U.S. Treasury Note, 2.25%, 5-15-2041 | 1.81 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317331img2620d85a4.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 963.93 | $4.09 | 0.84% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.63 | $4.21 | 0.84% |
Class C | ||||
Actual | $1,000.00 | $ 960.31 | $7.78 | 1.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.86 | $8.00 | 1.60% |
Administrator Class | ||||
Actual | $1,000.00 | $ 965.74 | $3.12 | 0.64% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | $3.21 | 0.64% |
Institutional Class | ||||
Actual | $1,000.00 | $ 966.51 | $2.34 | 0.48% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.41 | $2.41 | 0.48% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 74.75% | ||||||
FHLB | 5.63% | 3-14-2036 | $ | 6,020,000 | $ 8,323,628 | |
FHLMC ¤ | 0.00 | 3-15-2031 | 8,855,000 | 7,283,288 | ||
FHLMC ¤ | 0.00 | 11-15-2038 | 1,575,000 | 1,016,001 | ||
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 0.30 | 7-1-2031 | 3,013,000 | 3,013,307 | ||
FHLMC (12 Month LIBOR +1.70%) ± | 1.96 | 7-1-2038 | 650,959 | 680,540 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16 | 9-1-2031 | 2,520 | 2,517 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16 | 9-1-2031 | 33,742 | ��� 33,747 | ||
FHLMC (1 Year Treasury Constant Maturity +2.14%) ± | 2.27 | 10-1-2026 | 62,737 | 62,732 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 6-1-2032 | 5,220 | 5,224 | ||
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 7-1-2029 | 13,994 | 14,001 | ||
FHLMC | 3.00 | 6-1-2050 | 694,063 | 704,357 | ||
FHLMC | 3.00 | 7-1-2050 | 1,620,230 | 1,651,105 | ||
FHLMC | 3.00 | 8-1-2050 | 795,741 | 811,222 | ||
FHLMC | 3.00 | 8-1-2050 | 3,334,170 | 3,385,224 | ||
FHLMC (3 Year Treasury Constant Maturity +2.27%) ± | 3.08 | 5-1-2026 | 7,580 | 7,571 | ||
FHLMC (11th District Cost of Funds +1.25%) ± | 3.26 | 7-1-2032 | 169,127 | 171,727 | ||
FHLMC | 3.50 | 8-1-2045 | 1,537,568 | 1,609,584 | ||
FHLMC | 3.50 | 11-1-2045 | 2,670,104 | 2,792,517 | ||
FHLMC | 3.50 | 12-1-2045 | 1,929,374 | 2,019,743 | ||
FHLMC | 3.50 | 12-1-2045 | 772,223 | 810,488 | ||
FHLMC | 4.00 | 6-1-2044 | 1,463,513 | 1,565,371 | ||
FHLMC | 4.00 | 5-1-2049 | 1,041,572 | 1,088,610 | ||
FHLMC | 4.00 | 9-1-2049 | 344,959 | 360,490 | ||
FHLMC | 4.50 | 3-1-2042 | 123,634 | 134,348 | ||
FHLMC | 4.50 | 9-1-2044 | 1,690,565 | 1,831,564 | ||
FHLMC | 4.50 | 9-1-2049 | 3,852,670 | 4,075,185 | ||
FHLMC | 5.00 | 6-1-2026 | 273,895 | 280,997 | ||
FHLMC | 5.00 | 8-1-2040 | 527,974 | 588,382 | ||
FHLMC | 5.50 | 7-1-2035 | 1,622,100 | 1,811,626 | ||
FHLMC | 5.50 | 12-1-2038 | 876,928 | 981,409 | ||
FHLMC | 6.00 | 10-1-2032 | 13,771 | 15,620 | ||
FHLMC (1 Year Treasury Constant Maturity +2.13%) ± | 6.38 | 1-1-2026 | 10,298 | 10,291 | ||
FHLMC | 6.50 | 4-1-2022 | 364 | 397 | ||
FHLMC | 6.50 | 9-1-2028 | 8,135 | 8,882 | ||
FHLMC | 6.50 | 7-1-2031 | 1 | 1 | ||
FHLMC | 7.00 | 12-1-2023 | 529 | 546 | ||
FHLMC | 7.00 | 12-1-2026 | 210 | 222 | ||
FHLMC | 7.00 | 4-1-2029 | 743 | 824 | ||
FHLMC | 7.00 | 5-1-2029 | 3,881 | 4,305 | ||
FHLMC | 7.00 | 4-1-2032 | 44,703 | 50,988 | ||
FHLMC | 7.50 | 11-1-2031 | 59,104 | 63,265 | ||
FHLMC | 7.50 | 4-1-2032 | 121,387 | 135,429 | ||
FHLMC | 8.00 | 8-1-2023 | 1,101 | 1,111 | ||
FHLMC | 8.00 | 6-1-2024 | 1,042 | 1,090 | ||
FHLMC | 8.00 | 6-1-2024 | 1,170 | 1,175 | ||
FHLMC | 8.00 | 6-1-2024 | 2,170 | 2,198 | ||
FHLMC | 8.00 | 8-1-2026 | 4,657 | 5,071 | ||
FHLMC | 8.00 | 11-1-2026 | 5,381 | 5,861 | ||
FHLMC | 8.00 | 11-1-2028 | 2,749 | 2,921 | ||
FHLMC | 8.50 | 12-1-2025 | 3,067 | 3,258 | ||
FHLMC | 8.50 | 5-1-2026 | 517 | 522 | ||
FHLMC | 8.50 | 8-1-2026 | 2,911 | 2,924 | ||
FHLMC | 9.50 | 9-17-2022 | 17 | 17 | ||
FHLMC | 9.50 | 4-1-2025 | 5,641 | 5,713 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2 Class A1 | 2.75% | 3-25-2027 | $ | 4,013,055 | $ 4,106,167 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KW02 Class A1 | 2.90 | 4-25-2026 | 5,223,179 | 5,335,382 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KW03 Class A1 | 2.62 | 12-25-2026 | 3,330,176 | 3,391,378 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K075 Class A2 ±± | 3.65 | 2-25-2028 | 4,370,000 | 4,714,886 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KF80 Class AS (30 Day Average U.S. SOFR +0.51%) ± | 0.56 | 6-25-2030 | 1,594,292 | 1,596,653 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 381,060 | 385,580 | ||
FHLMC Series 2733 Class FB (1 Month LIBOR +0.60%) ± | 0.79 | 10-15-2033 | 227,534 | 231,007 | ||
FHLMC Series 3070 Class FT (1 Month LIBOR +0.35%) ± | 0.54 | 11-15-2035 | 514,461 | 518,203 | ||
FHLMC Series 3614 Class QB | 4.00 | 12-15-2024 | 486,543 | 498,316 | ||
FHLMC Series 3830 Class FD (1 Month LIBOR +0.36%) ± | 0.55 | 3-15-2041 | 218,490 | 219,582 | ||
FHLMC Series 3906 Class EA | 3.00 | 5-15-2026 | 130,523 | 132,291 | ||
FHLMC Series 4057 Class FN (1 Month LIBOR +0.35%) ± | 0.54 | 12-15-2041 | 160,077 | 161,314 | ||
FHLMC Series 4068 Class FK (1 Month LIBOR +0.30%) ± | 0.49 | 6-15-2040 | 110,551 | 111,017 | ||
FHLMC Series 4093 Class FB (1 Month LIBOR +0.35%) ± | 0.54 | 7-15-2039 | 274,893 | 275,500 | ||
FHLMC Series 4159 Class AF (1 Month LIBOR +1.18%) ± | 1.37 | 12-15-2036 | 195,476 | 200,934 | ||
FHLMC Series 4218 Class DF (1 Month LIBOR +0.25%) ± | 0.44 | 7-15-2042 | 247,262 | 247,452 | ||
FHLMC Series 4409 Class MA | 3.00 | 1-15-2054 | 38,120 | 38,564 | ||
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 314,073 | 314,771 | ||
FHLMC Series 4620 Class AF (1 Month LIBOR +0.44%) ± | 0.54 | 11-15-2042 | 2,081,385 | 2,110,354 | ||
FHLMC Series K020 Class X1 ♀±± | 1.34 | 5-25-2022 | 31,792,580 | 26,528 | ||
FHLMC Series K039 Class A2 | 3.30 | 7-25-2024 | 325,000 | 335,111 | ||
FHLMC Series K153 Class A3 ±± | 3.12 | 10-25-2031 | 160,000 | 171,087 | ||
FHLMC Series KF15 Class A (1 Month LIBOR +0.67%) ± | 0.78 | 2-25-2023 | 22,287 | 22,301 | ||
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 0.59 | 11-25-2028 | 76,150 | 75,984 | ||
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 0.47 | 9-25-2031 | 422,706 | 419,820 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 564,199 | 684,416 | ||
FHLMC Series T-55 Class 2A1 ±± | 3.04 | 3-25-2043 | 264,241 | 263,449 | ||
FHLMC Series T-56 Class A4 | 6.00 | 5-25-2043 | 3,156,199 | 3,618,930 | ||
FHLMC Series T-57 Class 1A1 | 6.50 | 7-25-2043 | 756,386 | 872,966 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.43 | 7-25-2043 | 1,376,351 | 1,432,223 | ||
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 1.30 | 10-25-2044 | 578,422 | 591,638 | ||
FHLMC Series T-67 Class 1A1C ±± | 3.03 | 3-25-2036 | 521,899 | 544,963 | ||
FHLMC Series T-67 Class 2A1C ±± | 3.19 | 3-25-2036 | 853,210 | 905,738 | ||
FNMA ¤ | 0.00 | 11-15-2030 | 1,485,000 | 1,233,546 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 6,510,000 | 4,251,687 | ||
FNMA | 1.38 | 7-1-2030 | 4,084,928 | 3,852,657 | ||
FNMA %% | 1.50 | 3-17-2037 | 4,785,000 | 4,656,029 | ||
FNMA (11th District Cost of Funds +1.25%) ± | 1.64 | 5-1-2036 | 472,579 | 475,482 | ||
FNMA | 1.65 | 6-1-2030 | 1,410,167 | 1,355,418 | ||
FNMA | 1.65 | 7-1-2030 | 2,406,094 | 2,300,848 | ||
FNMA | 1.66 | 7-1-2032 | 4,121,531 | 3,901,518 | ||
FNMA | 1.97 | 5-1-2030 | 4,435,548 | 4,362,535 | ||
FNMA (12 Month LIBOR +1.73%) ± | 1.98 | 9-1-2036 | 199,048 | 207,896 | ||
FNMA %% | 2.00 | 3-17-2037 | 10,055,000 | 9,980,373 | ||
FNMA %% | 2.00 | 3-14-2052 | 50,640,000 | 48,574,838 | ||
FNMA (12 Month LIBOR +1.78%) ± | 2.03 | 8-1-2036 | 473,295 | 496,523 | ||
FNMA (12 Month LIBOR +1.77%) ± | 2.05 | 7-1-2044 | 93,052 | 97,640 | ||
FNMA (11th District Cost of Funds +1.25%) ± | 2.18 | 9-1-2027 | 89,179 | 90,845 | ||
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.23 | 9-1-2031 | 17,620 | 17,634 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.27% | 9-1-2035 | $ | 217,529 | $ 229,203 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.29 | 12-1-2040 | 66,513 | 69,912 | ||
FNMA | 2.32 | 1-1-2026 | 6,154,261 | 6,247,873 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 72,531 | 72,525 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.33 | 12-1-2034 | 158,372 | 158,599 | ||
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 6-1-2032 | 70,683 | 70,887 | ||
FNMA | 2.35 | 2-1-2032 | 2,300,000 | 2,307,938 | ||
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.35 | 12-1-2040 | 18,864 | 18,883 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.37 | 5-1-2046 | 1,233,127 | 1,264,752 | ||
FNMA (12 Month LIBOR +1.62%) ± | 2.38 | 8-1-2050 | 1,645,215 | 1,660,674 | ||
FNMA (1 Year Treasury Constant Maturity +2.41%) ± | 2.50 | 10-1-2027 | 50,485 | 50,509 | ||
FNMA | 2.50 | 9-1-2050 | 420,490 | 416,837 | ||
FNMA %% | 2.50 | 11-25-2051 | 40,190,000 | 39,651,517 | ||
FNMA (1 Year Treasury Constant Maturity +2.41%) ± | 2.51 | 7-1-2026 | 17,103 | 17,101 | ||
FNMA | 2.51 | 9-1-2031 | 5,183,164 | 5,239,556 | ||
FNMA | 2.60 | 12-1-2023 | 1,869,629 | ��1,889,063 | ||
FNMA | 2.65 | 2-1-2032 | 2,913,238 | 2,961,468 | ||
FNMA | 2.65 | 2-1-2032 | 2,265,852 | 2,321,425 | ||
FNMA | 2.75 | 9-1-2031 | 904,761 | 930,997 | ||
FNMA | 2.86 | 7-1-2029 | 987,774 | 1,027,678 | ||
FNMA (11th District Cost of Funds +1.25%) ± | 2.91 | 5-1-2036 | 199,899 | 206,077 | ||
FNMA | 3.00 | 5-1-2027 | 429,041 | 440,106 | ||
FNMA | 3.00 | 6-1-2034 | 2,911,820 | 2,997,175 | ||
FNMA | 3.00 | 4-1-2045 | 35,748 | 36,668 | ||
FNMA | 3.00 | 11-1-2045 | 3,110,025 | 3,189,851 | ||
FNMA | 3.00 | 12-1-2045 | 7,384,195 | 7,574,238 | ||
FNMA | 3.00 | 12-1-2046 | 273,905 | 281,672 | ||
FNMA %% | 3.00 | 4-25-2049 | 4,920,000 | 4,969,200 | ||
FNMA | 3.00 | 8-1-2050 | 3,870,705 | 3,921,986 | ||
FNMA | 3.00 | 9-1-2050 | 4,012,832 | 4,085,027 | ||
FNMA | 3.02 | 2-1-2026 | 5,892,927 | 6,104,248 | ||
FNMA | 3.48 | 3-1-2029 | 889,272 | 954,613 | ||
FNMA | 3.50 | 4-1-2034 | 4,834,949 | 5,015,063 | ||
FNMA | 3.50 | 2-1-2043 | 20,004 | 21,037 | ||
FNMA | 3.50 | 2-1-2045 | 418,362 | 437,574 | ||
FNMA | 3.50 | 4-1-2045 | 1,854,368 | 1,945,721 | ||
FNMA | 3.50 | 8-1-2045 | 173,704 | 181,411 | ||
FNMA | 3.50 | 12-1-2045 | 652,588 | 684,571 | ||
FNMA | 3.50 | 2-1-2046 | 748,395 | 784,979 | ||
FNMA %% | 3.50 | 3-14-2052 | 3,005,000 | 3,094,680 | ||
FNMA | 3.63 | 3-1-2029 | 378,668 | 410,519 | ||
FNMA | 3.77 | 3-1-2029 | 960,690 | 1,049,948 | ||
FNMA | 3.86 | 3-1-2029 | 810,517 | 889,746 | ||
FNMA (6 Month LIBOR +3.13%) ± | 3.99 | 7-1-2033 | 120,127 | 120,811 | ||
FNMA | 4.00 | 4-1-2046 | 5,187,114 | 5,518,100 | ||
FNMA | 4.00 | 3-1-2047 | 1,052,293 | 1,126,791 | ||
FNMA | 4.50 | 1-1-2026 | 10,856 | 11,226 | ||
FNMA | 4.50 | 10-1-2046 | 134,628 | 143,946 | ||
FNMA | 4.50 | 9-1-2049 | 1,167,687 | 1,235,305 | ||
FNMA | 5.00 | 4-1-2023 | 12,085 | 12,376 | ||
FNMA | 5.00 | 6-1-2023 | 63,353 | 64,905 | ||
FNMA | 5.00 | 3-1-2034 | 220,284 | 244,987 | ||
FNMA | 5.00 | 8-1-2040 | 2,747,024 | 3,010,543 | ||
FNMA | 5.00 | 10-1-2040 | 260,870 | 287,481 | ||
FNMA | 5.00 | 1-1-2042 | 214,977 | 238,979 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 5.00% | 12-1-2048 | $ | 381,054 | $ 411,263 | |
FNMA | 5.50 | 11-1-2023 | 10,473 | 10,702 | ||
FNMA | 5.50 | 1-1-2025 | 2,980 | 3,034 | ||
FNMA | 5.50 | 1-1-2025 | 12,497 | 12,721 | ||
FNMA | 5.50 | 9-1-2033 | 1,037,014 | 1,157,819 | ||
FNMA | 5.50 | 9-1-2033 | 384,241 | 428,907 | ||
FNMA | 5.50 | 8-1-2035 | 330,598 | 370,096 | ||
FNMA | 5.50 | 1-1-2037 | 277,332 | 310,631 | ||
FNMA | 5.50 | 4-1-2040 | 740,533 | 828,849 | ||
FNMA | 6.00 | 3-1-2024 | 17,036 | 18,507 | ||
FNMA | 6.00 | 1-1-2028 | 402,839 | 438,594 | ||
FNMA | 6.00 | 2-1-2035 | 593,673 | 635,341 | ||
FNMA | 6.00 | 11-1-2037 | 220,961 | 252,115 | ||
FNMA | 6.00 | 7-1-2038 | 78,463 | 89,747 | ||
FNMA | 6.50 | 3-1-2028 | 7,913 | 8,353 | ||
FNMA | 6.50 | 12-1-2029 | 95,413 | 104,106 | ||
FNMA | 6.50 | 11-1-2031 | 19,984 | 21,805 | ||
FNMA | 6.50 | 7-1-2036 | 192,934 | 217,321 | ||
FNMA | 6.50 | 7-1-2036 | 130,268 | 145,663 | ||
FNMA | 7.00 | 11-1-2026 | 1,913 | 2,008 | ||
FNMA | 7.00 | 1-1-2032 | 1,242 | 1,288 | ||
FNMA | 7.00 | 2-1-2032 | 40,848 | 46,535 | ||
FNMA | 7.00 | 10-1-2032 | 115,265 | 130,147 | ||
FNMA | 7.00 | 2-1-2034 | 1,549 | 1,717 | ||
FNMA | 7.00 | 4-1-2034 | 60,882 | 67,273 | ||
FNMA | 7.00 | 1-1-2036 | 5,707 | 6,102 | ||
FNMA | 7.50 | 9-1-2031 | 41,376 | 45,769 | ||
FNMA | 7.50 | 2-1-2032 | 19,009 | 21,118 | ||
FNMA | 7.50 | 10-1-2037 | 453,507 | 531,288 | ||
FNMA | 8.00 | 5-1-2027 | 18,258 | 18,424 | ||
FNMA | 8.00 | 6-1-2028 | 702 | 712 | ||
FNMA | 8.00 | 2-1-2030 | 20,820 | 21,127 | ||
FNMA | 8.00 | 7-1-2031 | 444,693 | 488,044 | ||
FNMA | 8.50 | 8-1-2024 | 1,751 | 1,757 | ||
FNMA | 8.50 | 5-1-2026 | 36,278 | 38,321 | ||
FNMA | 8.50 | 7-1-2026 | 9,750 | 9,864 | ||
FNMA | 8.50 | 11-1-2026 | 2,416 | 2,450 | ||
FNMA | 8.50 | 11-1-2026 | 17,348 | 17,423 | ||
FNMA | 8.50 | 12-1-2026 | 53,654 | 57,876 | ||
FNMA | 8.50 | 12-1-2026 | 7,927 | 8,527 | ||
FNMA | 8.50 | 2-1-2027 | 84 | 85 | ||
FNMA | 8.50 | 3-1-2027 | 485 | 505 | ||
FNMA | 8.50 | 6-1-2027 | 30,098 | 30,552 | ||
FNMA | 9.00 | 1-1-2025 | 6,257 | 6,425 | ||
FNMA | 9.00 | 3-1-2025 | 1,031 | 1,035 | ||
FNMA | 9.00 | 3-1-2025 | 243 | 244 | ||
FNMA | 9.00 | 7-1-2028 | 1,704 | 1,721 | ||
FNMA | 9.50 | 7-1-2028 | 2,733 | 2,745 | ||
FNMA 2006-50 Class BF (1 Month LIBOR +0.40%) ± | 0.59 | 6-25-2036 | 574,796 | 579,128 | ||
FNMA 2010-136 Class FA (1 Month LIBOR +0.50%) ± | 0.69 | 12-25-2040 | 656,420 | 666,105 | ||
FNMA Series 1992-45 Class Z | 8.00 | 4-25-2022 | 293 | 293 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 424,208 | 464,031 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 477,206 | 547,995 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 129,987 | 150,693 | ||
FNMA Series 2002 Class 5F (1 Month LIBOR +0.35%) ± | 0.54 | 2-25-2032 | 169,398 | 169,503 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2002-T1 Class A3 | 7.50% | 11-25-2031 | $ | 201,816 | $ 225,895 | |
FNMA Series 2002-T12 Class A5 ±± | 4.25 | 10-25-2041 | 558,673 | 574,856 | ||
FNMA Series 2002-T19 Class A1 | 6.50 | 7-25-2042 | 2,558,728 | 2,882,765 | ||
FNMA Series 2002-T5 Class A1 (1 Month LIBOR +0.24%) ± | 0.43 | 5-25-2032 | 99,514 | 99,364 | ||
FNMA Series 2002-T6 Class A1 | 6.50 | 7-25-2042 | 970,706 | 1,100,666 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 361,800 | 403,242 | ||
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.14%) ± | 0.38 | 3-25-2033 | 1,011,342 | 1,006,438 | ||
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 0.35 | 6-25-2033 | 57,490 | 56,580 | ||
FNMA Series 2003-W1 Class 1A1 ±± | 4.97 | 12-25-2042 | 483,584 | 507,490 | ||
FNMA Series 2003-W11 Class A1 ±± | 2.99 | 6-25-2033 | 28,979 | 29,373 | ||
FNMA Series 2003-W3 Class 1A4 ±± | 3.50 | 8-25-2042 | 1,428,818 | 1,479,965 | ||
FNMA Series 2003-W5 Class A (1 Month LIBOR +0.11%) ± | 0.30 | 4-25-2033 | 173,317 | 169,524 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.12 | 8-25-2042 | 700,950 | 718,909 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.17 | 10-25-2042 | 845,850 | 997,916 | ||
FNMA Series 2003-W8 Class PT1 ±± | 8.52 | 12-25-2042 | 315,377 | 353,280 | ||
FNMA Series 2004-T1 Class 1A2 | 6.50 | 1-25-2044 | 239,638 | 268,563 | ||
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 694,513 | 784,771 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 417,870 | 479,771 | ||
FNMA Series 2005-71 Class DB | 4.50 | 8-25-2025 | 86,246 | 87,687 | ||
FNMA Series 2007-101 Class A2 (1 Month LIBOR +0.25%) ± | 0.32 | 6-27-2036 | 60,937 | 60,051 | ||
FNMA Series 2007-W10 Class 2A ±± | 6.30 | 8-25-2047 | 172,281 | 188,776 | ||
FNMA Series 2008-17 Class DP | 4.75 | 2-25-2038 | 831,102 | 862,039 | ||
FNMA Series 2011-110 Class FE (1 Month LIBOR +0.40%) ± | 0.59 | 4-25-2041 | 70,788 | 71,027 | ||
FNMA Series 2011-128 Class FK (1 Month LIBOR +0.35%) ± | 0.54 | 7-25-2041 | 128,456 | 128,799 | ||
FNMA Series 2011-15 Class HI ♀ | 5.50 | 3-25-2026 | 63 | 0 | ||
FNMA Series 2013-114 Class LM | 4.00 | 3-25-2042 | 900,320 | 951,792 | ||
FNMA Series 2014-17 Class FE (1 Month LIBOR +0.55%) ± | 0.74 | 4-25-2044 | 1,299,662 | 1,320,365 | ||
FNMA Series 2017-M2 Class A2 ±± | 2.80 | 2-25-2027 | 9,022,482 | 9,360,982 | ||
FNMA Series 2018-M1 Class A2 ±± | 2.99 | 12-25-2027 | 800,392 | 829,849 | ||
FNMA Series 2018-M13 Class A2 ±± | 3.71 | 9-25-2030 | 449,202 | 495,651 | ||
FNMA Series 2019-M5 Class A2 | 3.27 | 2-25-2029 | 5,200,000 | 5,544,028 | ||
FNMA Series 265 Class 2 | 9.00 | 3-25-2024 | 10,280 | 10,647 | ||
FNMA Series G92-30 Class Z | 7.00 | 6-25-2022 | 234 | 234 | ||
FNMA Series G93-39 Class ZQ | 6.50 | 12-25-2023 | 210,109 | 216,595 | ||
GNMA %% | 2.00 | 3-21-2052 | 9,550,000 | 9,336,617 | ||
GNMA %% | 2.50 | 3-21-2052 | 16,890,000 | 16,876,145 | ||
GNMA | 3.00 | 11-20-2045 | 3,516,752 | 3,610,529 | ||
GNMA | 3.00 | 4-20-2051 | 5,363,338 | 5,461,924 | ||
GNMA | 3.50 | 12-20-2047 | 3,345,059 | 3,488,193 | ||
GNMA | 3.50 | 7-20-2051 | 2,764,056 | 2,856,920 | ||
GNMA | 4.00 | 11-15-2024 | 380,640 | 395,555 | ||
GNMA | 4.00 | 12-20-2047 | 2,312,494 | 2,439,016 | ||
GNMA | 4.25 | 6-20-2036 | 212,386 | 225,578 | ||
GNMA | 4.50 | 8-20-2049 | 549,222 | 575,986 | ||
GNMA | 5.00 | 7-20-2040 | 491,536 | 549,782 | ||
GNMA | 6.00 | 8-20-2034 | 42,055 | 44,570 | ||
GNMA | 6.50 | 12-15-2025 | 4,180 | 4,605 | ||
GNMA | 6.50 | 5-15-2029 | 392 | 432 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 6.50% | 5-15-2031 | $ | 591 | $ 641 | |
GNMA | 6.50 | 9-20-2033 | 31,330 | 35,918 | ||
GNMA | 7.00 | 12-15-2022 | 680 | 684 | ||
GNMA | 7.00 | 5-15-2026 | 810 | 851 | ||
GNMA | 7.00 | 3-15-2028 | 6,067 | 6,093 | ||
GNMA | 7.00 | 4-15-2031 | 625 | 632 | ||
GNMA | 7.00 | 8-15-2031 | 15,842 | 16,388 | ||
GNMA | 7.00 | 3-15-2032 | 11,981 | 12,206 | ||
GNMA | 8.00 | 6-15-2023 | 581 | 587 | ||
GNMA | 8.00 | 12-15-2023 | 32,870 | 33,665 | ||
GNMA | 8.00 | 2-15-2024 | 204 | 212 | ||
GNMA | 8.00 | 9-15-2024 | 803 | 812 | ||
GNMA | 8.00 | 6-15-2025 | 19 | 19 | ||
GNMA Series 2005-23 Class IO ♀±± | 0.00 | 6-17-2045 | 579,345 | 34 | ||
GNMA Series 2006-32 Class XM ♀±± | 0.12 | 11-16-2045 | 3,239,262 | 5,542 | ||
GNMA Series 2008-22 Class XM ♀±± | 1.30 | 2-16-2050 | 7,193,444 | 162,534 | ||
GNMA Series 2010-158 Class EI ♀ | 4.00 | 12-16-2025 | 2,533,421 | 93,667 | ||
GNMA Series 2012-12 Class HD | 2.00 | 5-20-2062 | 18,658 | 18,397 | ||
GNMA Series 2019-H06 Class HI ♀±± | 1.81 | 4-20-2069 | 3,866,787 | 158,747 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 1-15-2030 | 16,245,000 | 13,806,634 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 4-15-2030 | 7,700,000 | 6,488,373 | ||
STRIPS ¤ | 0.00 | 7-15-2037 | 7,810,000 | 5,218,835 | ||
STRIPS ¤ | 0.00 | 5-15-2039 | 20,000,000 | 13,987,323 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 7,275,000 | 4,747,768 | ||
TVA | 4.25 | 9-15-2065 | 2,600,000 | 3,436,847 | ||
TVA | 4.63 | 9-15-2060 | 7,550,000 | 10,614,318 | ||
TVA | 5.38 | 4-1-2056 | 5,000,000 | 7,833,585 | ||
TVA | 5.88 | 4-1-2036 | 4,380,000 | 6,177,220 | ||
TVA STRIPS ¤ | 0.00 | 11-1-2025 | 5,650,000 | 5,237,318 | ||
TVA STRIPS ¤ | 0.00 | 6-15-2035 | 2,448,000 | 1,739,991 | ||
TVA STRIPS ¤ | 0.00 | 1-15-2048 | 1,000,000 | 488,926 | ||
U.S. International Development Finance Corporation ¤ | 0.00 | 1-17-2026 | 2,000,000 | 2,128,523 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 7,141,667 | 7,173,623 | ||
U.S. International Development Finance Corporation | 2.82 | 3-20-2024 | 6,337,500 | 6,417,207 | ||
Total Agency securities (Cost $476,821,278) | 479,530,333 | |||||
Asset-backed securities: 2.48% | ||||||
American Tower Trust I 144A | 3.65 | 3-15-2048 | 4,000,000 | 4,092,456 | ||
Finance of America HECM Buyout 2020 Series HB2 Class A7 144A±± | 1.71 | 7-25-2030 | 2,995,036 | 2,959,496 | ||
Navient Student Loan Trust Series 2017-3A Class A2 (1 Month LIBOR +0.60%) 144A± | 0.79 | 7-26-2066 | 256,739 | 256,739 | ||
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 0.61 | 3-25-2067 | 1,102,872 | 1,100,809 | ||
Navient Student Loan Trust Series 2019-2A Class A2 (1 Month LIBOR +1.00%) 144A± | 1.19 | 2-27-2068 | 2,948,313 | 2,987,357 | ||
Ocwen Master Advance Receivable Trust Series 2020-T1 Class AT1 144A | 1.28 | 8-15-2052 | 4,487,474 | 4,486,464 | ||
Total Asset-backed securities (Cost $15,804,893) | 15,883,321 |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 2.34% | ||||||
Financials: 1.79% | ||||||
Consumer finance: 1.47% | ||||||
Private Export Funding Corporation 144A | 0.55% | 7-30-2024 | $ | 9,715,000 | $ 9,447,279 | |
Diversified financial services: 0.32% | ||||||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 2,000,000 | 2,043,484 | ||
Industrials: 0.55% | ||||||
Commercial services & supplies: 0.55% | ||||||
Rockfeller Foundation Class B | 2.49 | 10-1-2050 | 4,000,000 | 3,546,308 | ||
Total Corporate bonds and notes (Cost $15,863,840) | 15,037,071 | |||||
Non-agency mortgage-backed securities: 6.83% | ||||||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 1,027,613 | 1,017,601 | ||
Arroyo Mortgage Trust Series 2019-1 Class A1 144A±± | 3.81 | 1-25-2049 | 1,859,400 | 1,840,826 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 305,000 | 311,473 | ||
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 2,545,150 | 2,534,684 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 3,030,000 | 3,030,478 | ||
CD Commercial Mortgage Trust Series 2014-CR16 Class A3 | 3.78 | 4-10-2047 | 2,589,908 | 2,654,877 | ||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46 | 11-13-2050 | 2,340,000 | 2,411,478 | ||
Firstkey Homes 2020 SFR1 Trust Series 2021-SFR1 Class A 144A | 1.54 | 8-17-2038 | 1,248,884 | 1,186,313 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-G1 Class A2 144A±± | 3.56 | 4-10-2031 | 5,349,842 | 5,282,612 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC24 Class A4 | 3.67 | 9-10-2047 | 4,049,163 | 4,122,793 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C28 Class A4 | 3.23 | 10-15-2048 | 5,000,000 | 5,079,704 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 2,953,856 | 2,974,211 | ||
New Residential Mortgage Loan Series 2020-NQM2 Class A1 144A±± | 1.65 | 5-24-2060 | 601,150 | 595,260 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 4,570,227 | 4,462,965 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.32 | 11-25-2060 | 2,780,000 | 2,814,344 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 2,581,000 | 2,665,334 | ||
Vendee Mortgage Trust Series 1995-1 Class 4 ±± | 8.17 | 2-15-2025 | 49,178 | 52,306 | ||
Vendee Mortgage Trust Series 1995-2C Class 3A | 8.79 | 6-15-2025 | 76,039 | 83,058 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 735,979 | 727,643 | ||
Total Non-agency mortgage-backed securities (Cost $44,422,889) | 43,847,960 | |||||
U.S. Treasury securities: 23.95% | ||||||
U.S. Treasury Bond | 1.63 | 11-15-2050 | 4,365,000 | 3,824,490 | ||
U.S. Treasury Bond ## | 1.88 | 2-15-2051 | 7,920,000 | 7,373,025 | ||
U.S. Treasury Bond ## | 2.38 | 11-15-2049 | 5,355,000 | 5,552,466 | ||
U.S. Treasury Bond ## | 2.88 | 5-15-2043 | 2,245,000 | 2,461,257 | ||
U.S. Treasury Note ## | 0.38 | 11-30-2025 | 8,810,000 | 8,379,824 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 0.88% | 1-31-2024 | $ | 6,655,000 | $ 6,582,991 | |
U.S. Treasury Note ## | 1.38 | 11-15-2031 | 21,065,000 | 20,192,777 | ||
U.S. Treasury Note ## | 1.50 | 1-31-2027 | 43,970,000 | 43,451,293 | ||
U.S. Treasury Note | 1.88 | 2-15-2032 | 26,825,000 | 26,925,594 | ||
U.S. Treasury Note | 1.88 | 11-15-2051 | 5,355,000 | 4,996,048 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 5,230,000 | 5,006,908 | ||
U.S. Treasury Note | 2.00 | 8-15-2051 | 1,410,000 | 1,352,498 | ||
U.S. Treasury Note ## | 2.25 | 5-15-2041 | 11,685,000 | 11,648,028 | ||
U.S. Treasury Note | 2.25 | 2-15-2052 | 4,165,000 | 4,243,094 | ||
U.S. Treasury Note ## | 2.38 | 5-15-2051 | 1,575,000 | 1,642,245 | ||
Total U.S. Treasury securities (Cost $156,975,259) | 153,632,538 | |||||
Yankee corporate bonds and notes: 0.66% | ||||||
Financials: 0.66% | ||||||
Banks: 0.66% | ||||||
Inter-American Development Bank | 7.00 | 6-15-2025 | 2,000,000 | 2,325,935 | ||
International Bank for Reconstruction and Development ¤ | 0.00 | 3-11-2031 | 2,377,000 | 1,913,233 | ||
4,239,168 | ||||||
Total Yankee corporate bonds and notes (Cost $4,228,124) | 4,239,168 | |||||
Yankee government bonds: 4.00% | ||||||
State of Israel | 5.50 | 12-4-2023 | 15,790,000 | 16,883,969 | ||
State of Israel | 5.50 | 9-18-2033 | 6,585,000 | 8,770,563 | ||
Total Yankee government bonds (Cost $26,347,760) | 25,654,532 |
Yield | Shares | |||||
Short-term investments: 6.40% | ||||||
Investment companies: 6.40% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 0.03 | 41,077,617 | 41,077,617 | |||
Total Short-term investments (Cost $41,077,617) | 41,077,617 | |||||
Total investments in securities (Cost $781,541,660) | 121.41% | 778,902,540 | ||||
Other assets and liabilities, net | (21.41) | (137,351,130) | ||||
Total net assets | 100.00% | $ 641,551,410 |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
♀ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
TVA | Tennessee Valley Authority |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $57,394,798 | $178,751,833 | $(195,069,014) | $0 | $0 | $41,077,617 | 41,077,617 | $5,517 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 163 | 6-30-2022 | $ 34,966,396 | $ 35,081,930 | $ 115,534 | $ 0 | |
5-Year U.S. Treasury Notes | 208 | 6-30-2022 | 24,414,333 | 24,602,500 | 188,167 | 0 | |
Short | |||||||
10-Year U.S. Treasury Notes | (224) | 6-21-2022 | (28,268,738) | (28,546,000) | 0 | (277,262) | |
10-Year Ultra Futures | (329) | 6-21-2022 | (45,918,025) | (46,496,953) | 0 | (578,928) | |
U.S. Long Term Bonds | (162) | 6-21-2022 | (24,987,925) | (25,383,375) | 0 | (395,450) | |
U.S. Ultra Bond | (127) | 6-21-2022 | (23,276,443) | (23,614,063) | 0 | (337,620) | |
$303,701 | $(1,589,260) |
Assets | |
Investments in unaffiliated securities, at value (cost $740,464,043) | $ 737,824,923 |
Investments in affiliated securities, at value (cost $41,077,617) | 41,077,617 |
Cash | 1,310 |
Cash held at broker | 2,170,000 |
Cash at broker segregated for futures contracts | 2,666,000 |
Receivable for interest | 2,403,421 |
Receivable for daily variation margin on open futures contracts | 290,099 |
Receivable for Fund shares sold | 242,637 |
Principal paydown receivable | 62,715 |
Prepaid expenses and other assets | 48,790 |
Total assets | 786,787,512 |
Liabilities | |
Payable for when-issued transactions | 138,019,404 |
Payable for investments purchased | 4,239,397 |
Payable for daily variation margin on open futures contracts | 1,793,487 |
Payable for Fund shares redeemed | 670,685 |
Management fee payable | 178,479 |
Dividends payable | 119,713 |
Administration fees payable | 55,477 |
Distribution fee payable | 1,504 |
Accrued expenses and other liabilities | 157,956 |
Total liabilities | 145,236,102 |
Total net assets | $641,551,410 |
Net assets consist of | |
Paid-in capital | $ 660,796,241 |
Total distributable loss | (19,244,831) |
Total net assets | $641,551,410 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 234,613,793 |
Shares outstanding – Class A1 | 21,283,207 |
Net asset value per share – Class A | $11.02 |
Maximum offering price per share – Class A2 | $11.54 |
Net assets – Class C | $ 2,613,282 |
Shares outstanding – Class C1 | 237,063 |
Net asset value per share – Class C | $11.02 |
Net assets – Administrator Class | $ 98,828,470 |
Shares outstanding – Administrator Class1 | 8,969,167 |
Net asset value per share – Administrator Class | $11.02 |
Net assets – Institutional Class | $ 305,495,865 |
Shares outstanding – Institutional Class1 | 27,725,585 |
Net asset value per share – Institutional Class | $11.02 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 6,166,113 |
Income from affiliated securities | 5,517 |
Total investment income | 6,171,630 |
Expenses | |
Management fee | 1,453,215 |
Administration fees | |
Class A | 198,822 |
Class C | 2,263 |
Administrator Class | 52,547 |
Institutional Class | 119,298 |
Shareholder servicing fees | |
Class A | 310,660 |
Class C | 3,494 |
Administrator Class | 130,642 |
Distribution fee | |
Class C | 10,478 |
Custody and accounting fees | 11,629 |
Professional fees | 41,441 |
Registration fees | 22,764 |
Shareholder report expenses | 17,327 |
Trustees’ fees and expenses | 9,591 |
Other fees and expenses | 9,039 |
Total expenses | 2,393,210 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (140,416) |
Class A | (23,598) |
Administrator Class | (49,106) |
Institutional Class | (58,404) |
Net expenses | 2,121,686 |
Net investment income | 4,049,944 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (6,034,126) |
Futures contracts | 6,311,097 |
Net realized gains on investments | 276,971 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (25,579,640) |
Futures contracts | (1,997,420) |
Net change in unrealized gains (losses) on investments | (27,577,060) |
Net realized and unrealized gains (losses) on investments | (27,300,089) |
Net decrease in net assets resulting from operations | $(23,250,145) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 4,049,944 | $ 8,420,114 | ||
Net realized gains on investments | 276,971 | 3,132,021 | ||
Net change in unrealized gains (losses) on investments | (27,577,060) | (13,317,450) | ||
Net decrease in net assets resulting from operations | (23,250,145) | (1,765,315) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (1,256,114) | (2,629,349) | ||
Class C | (3,580) | (9,588) | ||
Administrator Class | (637,583) | (1,342,037) | ||
Institutional Class | (2,053,699) | (4,138,487) | ||
Tax basis return of capital | ||||
Class A | 0 | (511,570) | ||
Class C | 0 | (9,219) | ||
Administrator Class | 0 | (216,131) | ||
Institutional Class | 0 | (586,100) | ||
Total distributions to shareholders | (3,950,976) | (9,442,481) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 816,610 | 9,207,255 | 3,821,440 | 44,148,871 |
Class C | 2,811 | 31,925 | 84,895 | 984,073 |
Administrator Class | 706,430 | 7,968,593 | 3,117,628 | 35,945,787 |
Institutional Class | 7,627,200 | 85,865,467 | 11,234,719 | 129,701,776 |
103,073,240 | 210,780,507 | |||
Reinvestment of distributions | ||||
Class A | 98,778 | 1,113,189 | 240,687 | 2,774,757 |
Class C | 271 | 3,052 | 1,425 | 16,461 |
Administrator Class | 55,625 | 626,971 | 132,935 | 1,531,630 |
Institutional Class | 132,509 | 1,492,519 | 304,806 | 3,512,623 |
3,235,731 | 7,835,471 | |||
Payment for shares redeemed | ||||
Class A | (2,701,008) | (30,468,891) | (4,674,962) | (53,950,641) |
Class C | (30,828) | (347,326) | (469,382) | (5,425,434) |
Administrator Class | (1,514,697) | (17,127,570) | (3,833,251) | (44,305,484) |
Institutional Class | (6,719,158) | (75,743,936) | (13,070,255) | (150,729,234) |
(123,687,723) | (254,410,793) | |||
Net decrease in net assets resulting from capital share transactions | (17,378,752) | (35,794,815) | ||
Total decrease in net assets | (44,579,873) | (47,002,611) | ||
Net assets | ||||
Beginning of period | 686,131,283 | 733,133,894 | ||
End of period | $ 641,551,410 | $ 686,131,283 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 | $11.51 |
Net investment income | 0.06 | 0.12 1 | 0.18 1 | 0.23 | 0.19 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.47) | (0.17) | 0.38 | 0.68 | (0.35) | (0.22) |
Total from investment operations | (0.41) | (0.05) | 0.56 | 0.91 | (0.16) | (0.07) |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.11) | (0.19) | (0.25) | (0.20) | (0.16) |
Net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.06) | (0.13) | (0.20) | (0.25) | (0.20) | (0.43) |
Net asset value, end of period | $11.02 | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Total return2 | (3.61)% | (0.40)% | 5.02% | 8.65% | (1.44)% | (0.52)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.89% | 0.89% | 0.91% | 0.91% | 0.90% | 0.88% |
Net expenses | 0.84% | 0.84% | 0.84% | 0.85% | 0.85% | 0.85% |
Net investment income | 1.04% | 1.00% | 1.56% | 2.20% | 1.86% | 1.38% |
Supplemental data | ||||||
Portfolio turnover rate | 137% | 221% | 111% | 178% | 197% | 299% |
Net assets, end of period (000s omitted) | $234,614 | $265,018 | $276,310 | $271,986 | $292,550 | $394,645 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 | $11.51 |
Net investment income | 0.02 1 | 0.03 1 | 0.09 1 | 0.15 1 | 0.12 1 | 0.07 1 |
Net realized and unrealized gains (losses) on investments | (0.48) | (0.17) | 0.38 | 0.68 | (0.36) | (0.23) |
Total from investment operations | (0.46) | (0.14) | 0.47 | 0.83 | (0.24) | (0.16) |
Distributions to shareholders from | ||||||
Net investment income | (0.01) | (0.02) | (0.10) | (0.17) | (0.12) | (0.07) |
Net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.01) | (0.04) | (0.11) | (0.17) | (0.12) | (0.34) |
Net asset value, end of period | $11.02 | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Total return2 | (3.97)% | (1.16)% | 4.24% | 7.84% | (2.18)% | (1.26)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.63% | 1.64% | 1.66% | 1.66% | 1.65% | 1.61% |
Net expenses | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% |
Net investment income | 0.28% | 0.24% | 0.81% | 1.44% | 1.12% | 0.63% |
Supplemental data | ||||||
Portfolio turnover rate | 137% | 221% | 111% | 178% | 197% | 299% |
Net assets, end of period (000s omitted) | $2,613 | $3,042 | $7,560 | $11,026 | $15,508 | $20,132 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.48 | $11.66 | $11.31 | $10.65 | $11.01 | $11.51 |
Net investment income | 0.07 1 | 0.14 1 | 0.20 1 | 0.26 1 | 0.22 1 | 0.18 1 |
Net realized and unrealized gains (losses) on investments | (0.46) | (0.16) | 0.37 | 0.67 | (0.35) | (0.23) |
Total from investment operations | (0.39) | (0.02) | 0.57 | 0.93 | (0.13) | (0.05) |
Distributions to shareholders from | ||||||
Net investment income | (0.07) | (0.14) | (0.21) | (0.27) | (0.23) | (0.18) |
Net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.07) | (0.16) | (0.22) | (0.27) | (0.23) | (0.45) |
Net asset value, end of period | $11.02 | $11.48 | $11.66 | $11.31 | $10.65 | $11.01 |
Total return2 | (3.43)% | (0.21)% | 5.15% | 8.88% | (1.23)% | (0.31)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.83% | 0.83% | 0.85% | 0.85% | 0.84% | 0.82% |
Net expenses | 0.64% | 0.64% | 0.64% | 0.64% | 0.64% | 0.64% |
Net investment income | 1.24% | 1.21% | 1.75% | 2.42% | 2.07% | 1.60% |
Supplemental data | ||||||
Portfolio turnover rate | 137% | 221% | 111% | 178% | 197% | 299% |
Net assets, end of period (000s omitted) | $98,828 | $111,639 | $120,181 | $106,355 | $91,671 | $198,520 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $11.48 | $11.66 | $11.31 | $10.65 | $11.00 | $11.50 |
Net investment income | 0.08 | 0.16 1 | 0.21 1 | 0.27 1 | 0.24 1 | 0.19 1 |
Net realized and unrealized gains (losses) on investments | (0.46) | (0.17) | 0.38 | 0.68 | (0.35) | (0.22) |
Total from investment operations | (0.38) | (0.01) | 0.59 | 0.95 | (0.11) | (0.03) |
Distributions to shareholders from | ||||||
Net investment income | (0.08) | (0.15) | (0.23) | (0.29) | (0.24) | (0.20) |
Net realized gains | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.27) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.08) | (0.17) | (0.24) | (0.29) | (0.24) | (0.47) |
Net asset value, end of period | $11.02 | $11.48 | $11.66 | $11.31 | $10.65 | $11.00 |
Total return2 | (3.35)% | (0.05)% | 5.31% | 9.05% | (0.99)% | (0.15)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.56% | 0.56% | 0.58% | 0.58% | 0.57% | 0.55% |
Net expenses | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income | 1.41% | 1.36% | 1.87% | 2.56% | 2.22% | 1.75% |
Supplemental data | ||||||
Portfolio turnover rate | 137% | 221% | 111% | 178% | 197% | 299% |
Net assets, end of period (000s omitted) | $305,496 | $306,431 | $329,083 | $210,424 | $310,966 | $416,834 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 11,571,500 |
Gross unrealized losses | (25,534,517) |
Net unrealized losses | $(13,963,017) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 479,530,333 | $0 | $ 479,530,333 |
Asset-backed securities | 0 | 15,883,321 | 0 | 15,883,321 |
Corporate bonds and notes | 0 | 15,037,071 | 0 | 15,037,071 |
Non-agency mortgage-backed securities | 0 | 43,847,960 | 0 | 43,847,960 |
U.S. Treasury securities | 153,632,538 | 0 | 0 | 153,632,538 |
Yankee corporate bonds and notes | 0 | 4,239,168 | 0 | 4,239,168 |
Yankee government bonds | 0 | 25,654,532 | 0 | 25,654,532 |
Short-term investments | ||||
Investment companies | 41,077,617 | 0 | 0 | 41,077,617 |
194,710,155 | 584,192,385 | 0 | 778,902,540 | |
Futures contracts | 303,701 | 0 | 0 | 303,701 |
Total assets | $195,013,856 | $584,192,385 | $0 | $779,206,241 |
Liabilities | ||||
Futures contracts | $ 1,589,260 | $ 0 | $0 | $ 1,589,260 |
Total liabilities | $ 1,589,260 | $ 0 | $0 | $ 1,589,260 |
Average daily net assets | Management fee |
First $500 million | 0.450% |
Next $500 million | 0.425 |
Next $2 billion | 0.400 |
Next $2 billion | 0.375 |
Next $5 billion | 0.340 |
Over $10 billion | 0.320 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.85% |
Class C | 1.60 |
Administrator Class | 0.64 |
Institutional Class | 0.48 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$1,057,072,261 | $19,339,825 | $1,025,743,461 | $8,945,967 |
Shares voted “For” | 25,732,673 | |
Shares voted “Against” | 1,835,858 | |
Shares voted “Abstain” | 2,090,114 | |
Shares voted “Uninstructed” | 340,226 |
Shares voted “For” | 25,215,168 | |
Shares voted “Against” | 2,302,074 | |
Shares voted “Abstain” | 2,141,403 | |
Shares voted “Uninstructed” | 340,226 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317331img347d86c71.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA216/SAR216 02-22
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA®‡#, Michael J. Schueller, CFA®‡# |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (EKHAX) | 1-20-1998 | -5.08 | 2.45 | 4.26 | -0.60 | 3.41 | 4.75 | 1.02 | 0.93 | ||
Class C (EKHCX) | 1-21-1998 | -2.34 | 2.70 | 4.00 | -1.34 | 2.70 | 4.00 | 1.77 | 1.68 | ||
Administrator Class (EKHYX) | 4-14-1998 | – | – | – | -0.18 | 3.61 | 4.97 | 0.96 | 0.80 | ||
Institutional Class (EKHIX)3 | 10-31-2014 | – | – | – | 0.09 | 3.88 | 5.14 | 0.69 | 0.53 | ||
ICE BofA U.S. High Yield Constrained Index4 | – | – | – | – | 0.80 | 4.69 | 5.78 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.93% for Class A, 1.68% for Class C, 0.80% for Administrator Class, and 0.53% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and includes the higher expenses applicable to the Administrator Class shares. If these expenses had not been included, returns for the Institutional Class shares would be higher. |
4 | The ICE BofA U.S. High Yield Constrained Index is a market value-weighted index of all domestic and Yankee high-yield bonds, including deferred interest bonds and payment-in kind securities. Issues included in the index have maturities of one year or more and have a credit rating lower than BBB–/Baa3, but are not in default. The ICE BofA U.S. High Yield Constrained Index limits any individual issuer to a maximum of 2% benchmark exposure. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
# | Mr. Lee and Mr. Schueller became portfolio managers of the Fund on December 13, 2021. |
Ten largest holdings (%) as of February 28, 20221 | |
Occidental Petroleum Corporation, 6.45%, 9-15-2036 | 1.81 |
CCO Holdings LLC, 4.50%, 8-15-2030 | 1.50 |
TransDigm Group Incorporated, 6.38%, 6-15-2026 | 1.37 |
Cheniere Energy Partners LP, 4.50%, 10-1-2029 | 1.37 |
Sabre GLBL Incorporated , 9.25%, 4-15-2025 | 1.31 |
Ladder Capital Finance Holdings LP, 4.25%, 2-1-2027 | 1.18 |
Uber Technologies Incorporated, 4.50%, 8-15-2029 | 1.08 |
Gray Escrow II Incorporated, 5.38%, 11-15-2031 | 1.08 |
Service Properties Trust Company, 4.95%, 2-15-2027 | 1.03 |
MPH Acquisition Holdings LLC, 5.75%, 11-1-2028 | 0.95 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317339img36d1e0964.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 961.56 | $4.47 | 0.92% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.23 | $4.61 | 0.92% |
Class C | ||||
Actual | $1,000.00 | $ 958.09 | $8.16 | 1.68% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.46 | $8.40 | 1.68% |
Administrator Class | ||||
Actual | $1,000.00 | $ 962.29 | $3.89 | 0.80% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | $4.01 | 0.80% |
Institutional Class | ||||
Actual | $1,000.00 | $ 963.57 | $2.58 | 0.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.17 | $2.66 | 0.53% |
Shares | Value | ||||
Common stocks: 0.46% | |||||
Energy: 0.24% | |||||
Oil, gas & consumable fuels: 0.24% | |||||
Denbury Incorporated † | 12,400 | $ 900,984 | |||
Financials: 0.22% | |||||
Mortgage REITs: 0.22% | |||||
Blackstone Mortgage Trust Incorporated Class A | 9,000 | 286,020 | |||
Ladder Capital Corporation | 23,000 | 263,580 | |||
Starwood Property Trust Incorporated | 11,000 | 262,240 | |||
811,840 | |||||
Total Common stocks (Cost $1,691,262) | 1,712,824 |
Interest rate | Maturity date | Principal | |||
Corporate bonds and notes: 77.98% | |||||
Communication services: 14.81% | |||||
Diversified telecommunication services: 0.86% | |||||
Level 3 Financing Incorporated 144A | 3.63% | 1-15-2029 | $ 1,775,000 | 1,554,664 | |
Zayo Group Holdings Incorporated 144A | 6.13 | 3-1-2028 | 1,750,000 | 1,626,153 | |
3,180,817 | |||||
Entertainment: 1.72% | |||||
CEC Entertainment LLC 144A | 6.75 | 5-1-2026 | 955,000 | 908,797 | |
Live Nation Entertainment Incorporated 144A | 3.75 | 1-15-2028 | 3,325,000 | 3,191,102 | |
Live Nation Entertainment Incorporated 144A | 5.63 | 3-15-2026 | 670,000 | 681,725 | |
Seaworld Parks & Entertainment 144A | 5.25 | 8-15-2029 | 1,650,000 | 1,605,038 | |
6,386,662 | |||||
Interactive media & services: 0.63% | |||||
Rackspace Technology Company 144A« | 5.38 | 12-1-2028 | 2,625,000 | 2,355,938 | |
Media: 11.09% | |||||
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 790,000 | 726,326 | |
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 5,800,000 | 5,585,864 | |
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 1,850,000 | 1,868,500 | |
Cinemark USA Incorporated 144A« | 5.25 | 7-15-2028 | 2,575,000 | 2,456,009 | |
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 1,250,000 | 1,309,375 | |
Clear Channel Outdoor Holdings 144A | 5.13 | 8-15-2027 | 1,225,000 | 1,223,898 | |
Clear Channel Outdoor Holdings 144A | 7.75 | 4-15-2028 | 1,200,000 | 1,254,000 | |
Covert Mergeco Incorporated 144A | 4.88 | 12-1-2029 | 2,415,000 | 2,310,874 | |
CSC Holdings LLC 144A | 4.13 | 12-1-2030 | 1,750,000 | 1,571,360 | |
CSC Holdings LLC 144A | 5.75 | 1-15-2030 | 1,725,000 | 1,525,314 | |
DIRECTV Holdings LLC 144A | 5.75 | 12-1-2028 | 2,550,000 | 2,438,438 | |
DIRECTV Holdings LLC 144A | 5.88 | 8-15-2027 | 1,060,000 | 1,059,640 | |
DISH DBS Corporation | 5.13 | 6-1-2029 | 600,000 | 506,250 | |
DISH DBS Corporation | 7.75 | 7-1-2026 | 500,000 | 506,345 | |
Gray Escrow II Incorporated 144A | 5.38 | 11-15-2031 | 4,150,000 | 3,995,039 | |
Lamar Media Corporation | 4.00 | 2-15-2030 | 300,000 | 288,758 | |
Nexstar Broadcasting Incorporated 144A | 4.75 | 11-1-2028 | 950,000 | 921,500 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 905,000 | 925,363 | |
Nielsen Finance LLC 144A | 5.88 | 10-1-2030 | 335,000 | 324,434 |
Interest rate | Maturity date | Principal | Value | ||
Media (continued) | |||||
Outfront Media Capital Corporation 144A | 4.63% | 3-15-2030 | $ 1,275,000 | $ 1,206,469 | |
Outfront Media Capital Corporation 144A | 5.00 | 8-15-2027 | 1,250,000 | 1,238,750 | |
QVC Incorporated « | 4.38 | 9-1-2028 | 1,655,000 | 1,499,190 | |
QVC Incorporated | 4.75 | 2-15-2027 | 3,075,000 | 2,890,500 | |
Scripps Escrow II Incorporated 144A | 5.88 | 7-15-2027 | 1,800,000 | 1,796,499 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 1,725,000 | 1,759,500 | |
41,188,195 | |||||
Wireless telecommunication services: 0.51% | |||||
Sprint Capital Corporation | 8.75 | 3-15-2032 | 685,000 | 950,438 | |
T-Mobile USA Incorporated | 3.50 | 4-15-2031 | 950,000 | 935,147 | |
1,885,585 | |||||
Consumer discretionary: 9.62% | |||||
Auto components: 0.63% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 775,000 | 812,859 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 176,000 | 182,061 | |
Tenneco Incorproated 144A | 5.13 | 4-15-2029 | 1,350,000 | 1,353,375 | |
2,348,295 | |||||
Automobiles: 0.25% | |||||
Ford Motor Company | 3.25 | 2-12-2032 | 985,000 | 929,436 | |
Hotels, restaurants & leisure: 4.48% | |||||
Carnival Corporation 144A | 4.00 | 8-1-2028 | 1,175,000 | 1,125,944 | |
Carnival Corporation 144A | 6.00 | 5-1-2029 | 1,350,000 | 1,310,769 | |
Carnival Corporation 144A | 9.88 | 8-1-2027 | 1,675,000 | 1,880,188 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,440,000 | 3,518,535 | |
NCL Corporation Limited 144A | 5.88 | 3-15-2026 | 1,175,000 | 1,130,938 | |
NCL Corporation Limited 144A | 5.88 | 2-15-2027 | 915,000 | 916,144 | |
NCL Corporation Limited 144A | 7.75 | 2-15-2029 | 415,000 | 427,969 | |
Royal Caribbean Cruises Limited 144A | 5.38 | 7-15-2027 | 200,000 | 196,472 | |
Royal Caribbean Cruises Limited 144A | 5.50 | 4-1-2028 | 875,000 | 857,579 | |
Royal Caribbean Cruises Limited 144A | 9.13 | 6-15-2023 | 3,275,000 | 3,424,602 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 1,400,000 | 1,502,718 | |
Six Flags Entertainment Company 144A | 5.50 | 4-15-2027 | 350,000 | 352,987 | |
16,644,845 | |||||
Household durables: 0.94% | |||||
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 2,600,000 | 2,663,180 | |
WASH Multifamily Acquisition Incorporated 144A | 5.75 | 4-15-2026 | 825,000 | 831,592 | |
3,494,772 | |||||
Multiline retail: 0.53% | |||||
Macy's Retail Holdings LLC 144A | 5.88 | 4-1-2029 | 1,920,000 | 1,963,200 | |
Specialty retail: 2.31% | |||||
GAP Incorporated 144A | 3.88 | 10-1-2031 | 640,000 | 573,558 | |
Group 1 Automotive Incorporated 144A | 4.00 | 8-15-2028 | 1,175,000 | 1,132,406 | |
Michaels Arts & Crafts Incorporated 144A | 7.88 | 5-1-2029 | 1,900,000 | 1,662,500 | |
NMG Holding Company Incorporated 144A | 7.13 | 4-1-2026 | 2,800,000 | 2,884,000 | |
Rent-A-Center Incorporated 144A« | 6.38 | 2-15-2029 | 2,425,000 | 2,321,938 | |
8,574,402 |
Interest rate | Maturity date | Principal | Value | ||
Textiles, apparel & luxury goods: 0.48% | |||||
G-III Apparel Group Limited 144A | 7.88% | 8-15-2025 | $ 1,675,000 | $ 1,765,031 | |
Consumer staples: 0.87% | |||||
Food products: 0.87% | |||||
CHS Incorporated 144A | 5.25 | 5-15-2030 | 640,000 | 619,910 | |
CHS Incorporated 144A | 6.88 | 4-15-2029 | 2,675,000 | 2,593,948 | |
3,213,858 | |||||
Energy: 14.27% | |||||
Energy equipment & services: 3.01% | |||||
Bristow Group Incorporated 144A | 6.88 | 3-1-2028 | 2,475,000 | 2,504,007 | |
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 900,000 | 885,713 | |
Oceaneering International Incorporated | 6.00 | 2-1-2028 | 1,875,000 | 1,865,625 | |
Pattern Energy Operations LP 144A | 4.50 | 8-15-2028 | 3,250,000 | 3,173,528 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 1,150,000 | 1,154,888 | |
W.R. Grace Holdings LLC 144A | 5.63 | 8-15-2029 | 1,675,000 | 1,603,813 | |
11,187,574 | |||||
Oil, gas & consumable fuels: 11.26% | |||||
Aethon United 144A | 8.25 | 2-15-2026 | 1,600,000 | 1,694,526 | |
Antero Resources Corporation 144A | 5.38 | 3-1-2030 | 1,225,000 | 1,247,969 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 1,300,000 | 1,334,502 | |
Buckeye Partners LP 144A | 4.13 | 3-1-2025 | 760,000 | 757,667 | |
Buckeye Partners LP 144A | 4.50 | 3-1-2028 | 1,025,000 | 973,750 | |
Cheniere Energy Partners LP | 4.50 | 10-1-2029 | 5,000,000 | 5,096,000 | |
Cheniere Energy Partners LP 144A | 5.50 | 6-15-2031 | 2,425,000 | 2,412,875 | |
Comstock Resources Incorporated 144A | 5.88 | 1-15-2030 | 295,000 | 285,393 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 1,870,000 | 1,881,688 | |
DT Midstream Incorporated 144A | 4.38 | 6-15-2031 | 2,475,000 | 2,417,580 | |
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 2,425,000 | 2,455,313 | |
EnLink Midstream Partners LP | 5.38 | 6-1-2029 | 3,300,000 | 3,283,500 | |
EQT Corporation | 6.63 | 2-1-2025 | 860,000 | 928,989 | |
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 1,000,000 | 1,009,300 | |
Murphy Oil Corporation | 6.38 | 7-15-2028 | 1,275,000 | 1,321,155 | |
Nabors Industries Incorporated 144A | 7.38 | 5-15-2027 | 775,000 | 800,188 | |
New Fortress Energy Incorporated 144A | 6.50 | 9-30-2026 | 2,175,000 | 2,086,075 | |
Occidental Petroleum Corporation | 4.63 | 6-15-2045 | 1,130,000 | 1,087,891 | |
Occidental Petroleum Corporation | 6.45 | 9-15-2036 | 5,700,000 | 6,711,750 | |
Southwestern Energy Company | 4.75 | 2-1-2032 | 2,475,000 | 2,461,190 | |
Western Midstream Operating LP | 5.30 | 3-1-2048 | 1,500,000 | 1,545,000 | |
41,792,301 | |||||
Financials: 13.47% | |||||
Capital markets: 0.42% | |||||
Coinbase Global Incorporated 144A | 3.63 | 10-1-2031 | 1,300,000 | 1,145,008 | |
MSCI Incorporated 144A | 3.25 | 8-15-2033 | 415,000 | 392,611 | |
1,537,619 | |||||
Consumer finance: 6.35% | |||||
FirstCash Incorporated 144A | 4.63 | 9-1-2028 | 1,375,000 | 1,298,110 | |
FirstCash Incorporated 144A | 5.63 | 1-1-2030 | 210,000 | 208,530 | |
Ford Motor Credit Company LLC | 4.39 | 1-8-2026 | 2,800,000 | 2,856,588 |
Interest rate | Maturity date | Principal | Value | ||
Consumer finance (continued) | |||||
Ford Motor Credit Company LLC | 5.11% | 5-3-2029 | $ 3,325,000 | $ 3,505,182 | |
LFS Topco LLC 144A | 5.88 | 10-15-2026 | 895,000 | 894,060 | |
Navient Corporation | 5.00 | 3-15-2027 | 1,325,000 | 1,278,625 | |
Navient Corporation | 5.50 | 3-15-2029 | 1,350,000 | 1,275,750 | |
Navient Corporation | 5.63 | 8-1-2033 | 700,000 | 609,161 | |
Navient Corporation | 5.88 | 10-25-2024 | 900,000 | 930,884 | |
PECF USS Intermediate Holding III Corporation 144A | 8.00 | 11-15-2029 | 1,625,000 | 1,584,375 | |
PRA Group Incorporated 144A | 5.00 | 10-1-2029 | 2,025,000 | 1,964,250 | |
PROG Holdings Incorporated 144A | 6.00 | 11-15-2029 | 1,675,000 | 1,608,000 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 1,375,000 | 1,291,840 | |
Rocket Mortgage LLC 144A | 4.00 | 10-15-2033 | 1,135,000 | 1,056,401 | |
Springleaf Finance Corporation | 6.63 | 1-15-2028 | 3,000,000 | 3,205,230 | |
23,566,986 | |||||
Diversified financial services: 1.77% | |||||
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 850,000 | 805,375 | |
Jefferies Finance LLC 144A | 5.00 | 8-15-2028 | 975,000 | 938,438 | |
LPL Holdings Incorporated 144A | 4.38 | 5-15-2031 | 2,475,000 | 2,413,125 | |
LPL Holdings Incorporated 144A | 4.63 | 11-15-2027 | 930,000 | 925,350 | |
United Shore Financial Services LLC 144A | 5.50 | 11-15-2025 | 1,550,000 | 1,491,875 | |
6,574,163 | |||||
Insurance: 2.30% | |||||
Amwins Group Incorporated 144A | 4.88 | 6-30-2029 | 1,350,000 | 1,285,875 | |
AssuredPartners Incorporated 144A | 5.63 | 1-15-2029 | 420,000 | 386,316 | |
BroadStreet Partners Incorporated 144A | 5.88 | 4-15-2029 | 2,600,000 | 2,418,000 | |
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 2,735,000 | 2,830,452 | |
HUB International Limited 144A | 5.63 | 12-1-2029 | 1,390,000 | 1,320,500 | |
Ryan Specialty Group LLC 144A | 4.38 | 2-1-2030 | 320,000 | 307,856 | |
8,548,999 | |||||
Mortgage REITs: 1.00% | |||||
Blackstone Mortgage Trust Incorporated 144A | 3.75 | 1-15-2027 | 940,000 | 888,300 | |
Starwood Property Trust Incorporated 144A | 4.38 | 1-15-2027 | 1,345,000 | 1,305,374 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 1,510,000 | 1,525,707 | |
3,719,381 | |||||
Thrifts & mortgage finance: 1.63% | |||||
Ladder Capital Finance Holdings LP 144A | 4.25 | 2-1-2027 | 4,490,000 | 4,372,138 | |
United Wholesale Mortgage LLC 144A | 5.50 | 4-15-2029 | 1,850,000 | 1,692,750 | |
6,064,888 | |||||
Health care: 3.28% | |||||
Health care equipment & supplies: 0.43% | |||||
Mozart Debt Merger Sub Incorporated 144A | 5.25 | 10-1-2029 | 1,675,000 | 1,599,625 | |
Health care providers & services: 2.57% | |||||
180 Medical Incorporated 144A | 3.88 | 10-15-2029 | 2,025,000 | 1,944,000 | |
AdaptHealth LLC 144A | 4.63 | 8-1-2029 | 1,725,000 | 1,556,217 | |
Air Methods Corporation 144A« | 8.00 | 5-15-2025 | 2,000,000 | 1,660,000 | |
Davita Incorporated 144A | 4.63 | 6-1-2030 | 1,835,000 | 1,759,306 | |
Mednax Incorporated 144A | 5.38 | 2-15-2030 | 830,000 | 825,850 |
Interest rate | Maturity date | Principal | Value | ||
Health care providers & services (continued) | |||||
Tenet Healthcare Corporation 144A | 4.88% | 1-1-2026 | $ 875,000 | $ 880,950 | |
Vizient Incorporated 144A | 6.25 | 5-15-2027 | 870,000 | 901,538 | |
9,527,861 | |||||
Life sciences tools & services: 0.17% | |||||
Charles River Laboratories Incorporated 144A | 4.00 | 3-15-2031 | 425,000 | 406,938 | |
Charles River Laboratories Incorporated 144A | 4.25 | 5-1-2028 | 225,000 | 223,031 | |
629,969 | |||||
Pharmaceuticals: 0.11% | |||||
Bausch Health Companies Incorporated 144A | 6.13 | 2-1-2027 | 420,000 | 423,444 | |
Industrials: 8.80% | |||||
Aerospace & defense: 1.77% | |||||
Spirit AeroSystems Holdings Incorporated 144A | 5.50 | 1-15-2025 | 1,175,000 | 1,207,470 | |
Spirit AeroSystems Holdings Incorporated 144A | 7.50 | 4-15-2025 | 250,000 | 259,750 | |
TransDigm Group Incorporated | 6.38 | 6-15-2026 | 5,000,000 | 5,097,350 | |
6,564,570 | |||||
Airlines: 2.58% | |||||
American Airlines Group Incorporated 144A | 5.75 | 4-20-2029 | 3,000,000 | 3,066,960 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 3,250,000 | 3,290,625 | |
United Airlines Incorporated 144A | 4.63 | 4-15-2029 | 3,300,000 | 3,219,134 | |
9,576,719 | |||||
Commercial services & supplies: 1.23% | |||||
CoreCivic Incorporated | 8.25 | 4-15-2026 | 2,490,000 | 2,527,350 | |
IAA Spinco Incorporated 144A | 5.50 | 6-15-2027 | 2,000,000 | 2,027,500 | |
4,554,850 | |||||
Construction & engineering: 0.24% | |||||
Great Lakes Dredge & Dock Company 144A | 5.25 | 6-1-2029 | 900,000 | 901,287 | |
Machinery: 0.46% | |||||
Meritor Incorporated 144A | 4.50 | 12-15-2028 | 1,675,000 | 1,712,688 | |
Road & rail: 1.43% | |||||
Uber Technologies Incorporated 144A | 4.50 | 8-15-2029 | 4,200,000 | 4,020,870 | |
Uber Technologies Incorporated 144A | 7.50 | 5-15-2025 | 1,250,000 | 1,300,313 | |
5,321,183 | |||||
Trading companies & distributors: 1.09% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 3,475,000 | 3,318,625 | |
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 675,000 | 740,813 | |
4,059,438 | |||||
Information technology: 4.26% | |||||
Communications equipment: 1.22% | |||||
CIENA Corporation 144A | 4.00 | 1-31-2030 | 585,000 | 576,120 | |
CommScope Technologies LLC 144A | 5.00 | 3-15-2027 | 620,000 | 552,829 | |
CommScope Technologies LLC 144A | 6.00 | 6-15-2025 | 3,466,000 | 3,390,407 | |
4,519,356 |
Interest rate | Maturity date | Principal | Value | ||
IT services: 1.43% | |||||
Sabre GLBL Incorporated 144A | 7.38% | 9-1-2025 | $ 435,000 | $ 450,858 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 4,315,000 | 4,866,284 | |
5,317,142 | |||||
Software: 1.61% | |||||
MPH Acquisition Holdings LLC 144A | 5.75 | 11-1-2028 | 3,925,000 | 3,542,313 | |
NCR Corporation 144A | 6.13 | 9-1-2029 | 1,575,000 | 1,634,535 | |
SS&C Technologies Incorporated 144A | 5.50 | 9-30-2027 | 800,000 | 822,208 | |
5,999,056 | |||||
Materials: 3.04% | |||||
Chemicals: 0.61% | |||||
Chemours Company 144A | 4.63 | 11-15-2029 | 1,300,000 | 1,204,125 | |
Olympus Water US Holding Corporation 144A | 4.25 | 10-1-2028 | 1,125,000 | 1,049,175 | |
2,253,300 | |||||
Containers & packaging: 1.34% | |||||
Ball Corporation | 2.88 | 8-15-2030 | 3,300,000 | 3,015,507 | |
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 765,000 | 783,819 | |
Owens-Brockway Packaging Incorporated 144A | 5.88 | 8-15-2023 | 1,176,000 | 1,196,580 | |
4,995,906 | |||||
Metals & mining: 0.74% | |||||
Arches Buyer Incorporated 144A | 4.25 | 6-1-2028 | 425,000 | 402,475 | |
Arches Buyer Incorporated 144A | 6.13 | 12-1-2028 | 400,000 | 376,000 | |
Cleveland-Cliffs Incorporated 144A | 4.88 | 3-1-2031 | 1,650,000 | 1,611,060 | |
Cleveland-Cliffs Incorporated | 5.88 | 6-1-2027 | 355,000 | 365,686 | |
2,755,221 | |||||
Paper & forest products: 0.35% | |||||
Vertical US Newco Incorporated 144A | 5.25 | 7-15-2027 | 1,300,000 | 1,287,000 | |
Real estate: 2.57% | |||||
Equity REITs: 2.57% | |||||
Iron Mountain Incorporated 144A | 4.50 | 2-15-2031 | 3,775,000 | 3,529,625 | |
Iron Mountain Incorporated 144A | 4.88 | 9-15-2027 | 500,000 | 500,610 | |
Service Properties Trust Company | 4.95 | 2-15-2027 | 4,125,000 | 3,836,250 | |
Service Properties Trust Company | 5.00 | 8-15-2022 | 1,700,000 | 1,693,625 | |
9,560,110 | |||||
Utilities: 2.99% | |||||
Electric utilities: 1.74% | |||||
NextEra Energy Operating Partners LP 144A | 4.50 | 9-15-2027 | 1,575,000 | 1,582,875 | |
PG&E Corporation | 5.25 | 7-1-2030 | 2,425,000 | 2,408,825 | |
Vistra Operations Company LLC 144A | 4.38 | 5-1-2029 | 2,550,000 | 2,471,052 | |
6,462,752 |
Interest rate | Maturity date | Principal | Value | ||
Independent power & renewable electricity producers: 1.25% | |||||
TerraForm Power Operating LLC 144A | 5.00% | 1-31-2028 | $ 3,525,000 | $ 3,533,813 | |
Vistra Operations Company LLC 144A | 5.50 | 9-1-2026 | 1,100,000 | 1,119,157 | |
4,652,970 | |||||
Total Corporate bonds and notes (Cost $300,010,279) | 289,597,394 | ||||
Loans: 7.78% | |||||
Communication services: 1.20% | |||||
Diversified telecommunication services: 0.71% | |||||
Intelsat Jackson Holdings SA (U.S. SOFR +4.25%) <± | 4.75 | 2-1-2029 | 2,690,000 | 2,648,816 | |
Media: 0.49% | |||||
DIRECTV Financing LLC (1 Month LIBOR +5.00%) ± | 5.75 | 8-2-2027 | 1,808,375 | 1,802,281 | |
Consumer discretionary: 0.35% | |||||
Auto components: 0.24% | |||||
Truck Hero Incorporated (1 Month LIBOR +3.25%) ± | 4.00 | 1-31-2028 | 897,739 | 880,089 | |
Specialty retail: 0.11% | |||||
Michaels Companies Incorporated (1 Month LIBOR +4.25%) <± | 5.00 | 4-15-2028 | 465,000 | 431,418 | |
Consumer staples: 0.05% | |||||
Food products: 0.05% | |||||
Naked Juice LLC (U.S. SOFR +3.25%) <± | 3.75 | 1-24-2029 | 179,636 | 177,953 | |
Naked Juice LLC (U.S. SOFR +3.25%) <± | 3.75 | 1-24-2029 | 10,364 | 10,267 | |
188,220 | |||||
Energy: 1.46% | |||||
Oil, gas & consumable fuels: 1.46% | |||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 5.50 | 9-29-2028 | 2,697,125 | 2,681,104 | |
GIP III Stetson I LP (3 Month LIBOR +4.25%) <± | 4.46 | 7-18-2025 | 2,800,000 | 2,725,800 | |
5,406,904 | |||||
Financials: 1.62% | |||||
Consumer finance: 0.07% | |||||
PMHC II Incorporated (U.S. SOFR +4.25%) <± | 4.75 | 2-1-2029 | 260,000 | 255,884 | |
Diversified financial services: 1.07% | |||||
CTC Holdings LP (U.S. SOFR +5.00%) ‡± | 5.53 | 2-15-2029 | 290,000 | 288,550 | |
Mallinckrodt International Finance SA (3 Month LIBOR +5.25%) <± | 6.00 | 9-24-2024 | 2,000,000 | 1,841,000 | |
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.00%) <± | 4.50 | 5-30-2025 | 965,205 | 957,368 | |
Solis IV BV (U.S. SOFR +3.50%) <± | 4.00 | 2-25-2029 | 930,000 | 915,473 | |
4,002,391 | |||||
Insurance: 0.48% | |||||
Asurion LLC (1 Month LIBOR +5.25%) <± | 5.46 | 1-31-2028 | 1,800,000 | 1,777,050 |
Interest rate | Maturity date | Principal | Value | ||
Health care: 0.58% | |||||
Health care providers & services: 0.05% | |||||
Press Ganey Holdings Incorporated (U.S. SOFR +3.75%) ‡<± | 4.50% | 7-24-2026 | $ 200,000 | $ 198,750 | |
Health care technology: 0.29% | |||||
Athenahealth Incorporated (U.S. SOFR +3.50%) ± | 4.00 | 2-15-2029 | 909,946 | 900,619 | |
Athenahealth Incorporated Delayed Draw Term Loan (U.S. SOFR +3.50%) ± | 4.00 | 2-15-2029 | 154,228 | 152,647 | |
1,053,266 | |||||
Pharmaceuticals: 0.24% | |||||
Bausch Health Companies Incorporated (U.S. SOFR +5.25%) <± | 5.75 | 1-27-2027 | 900,000 | 889,497 | |
Industrials: 1.21% | |||||
Airlines: 0.39% | |||||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) <± | 6.25 | 6-21-2027 | 1,400,000 | 1,460,732 | |
Commercial services & supplies: 0.65% | |||||
Amentum Government Services Holdings LLC (U.S. SOFR +4.00%) ‡± | 4.50 | 2-15-2029 | 440,000 | 436,427 | |
Polaris Newco LLC (1 Month LIBOR +4.00%) <± | 4.50 | 6-2-2028 | 1,976,260 | 1,962,565 | |
2,398,992 | |||||
Machinery: 0.17% | |||||
Alliance Laundry Systems LLC (1 Month LIBOR +3.50%) ± | 4.25 | 10-8-2027 | 642,454 | 635,708 | |
Information technology: 1.07% | |||||
Software: 1.07% | |||||
Emerald Topco Incorporated (1 Month LIBOR +3.50%) ± | 3.80 | 7-24-2026 | 1,875,000 | 1,841,400 | |
McAfee LLC (U.S. SOFR +4.00%) <± | 4.50 | 2-26-2029 | 1,070,000 | 1,053,950 | |
Nexus Buyer LLC (1 Month LIBOR +6.25%) <± | 6.75 | 10-29-2029 | 1,100,000 | 1,088,538 | |
3,983,888 | |||||
Real estate: 0.24% | |||||
Equity REITs: 0.24% | |||||
The Geo Group Incorporated (3 Month LIBOR +2.00%) <± | 2.75 | 3-22-2024 | 965,000 | 889,489 | |
Total Loans (Cost $29,223,224) | 28,903,375 | ||||
Yankee corporate bonds and notes: 11.22% | �� | ||||
Communication services: 0.75% | |||||
Wireless telecommunication services: 0.75% | |||||
Connect U.S. Finco LLC 144A | 6.75 | 10-1-2026 | 1,150,000 | 1,164,375 | |
VMED O2 UK Financing I plc 144A | 4.75 | 7-15-2031 | 1,675,000 | 1,605,823 | |
2,770,198 | |||||
Energy: 1.18% | |||||
Energy equipment & services: 0.11% | |||||
Nabors Industries Limited 144A | 7.25 | 1-15-2026 | 425,000 | 414,375 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels: 1.07% | |||||
Baytex Energy Corporation 144A | 8.75% | 4-1-2027 | $ 1,600,000 | $ 1,715,064 | |
Northriver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 2,230,000 | 2,241,150 | |
3,956,214 | |||||
Financials: 0.87% | |||||
Diversified financial services: 0.87% | |||||
Castlelake Aviation Finance 144A | 5.00 | 4-15-2027 | 1,700,000 | 1,606,500 | |
New Red Finance Incorporated 144A | 3.88 | 1-15-2028 | 850,000 | 826,625 | |
New Red Finance Incorporated 144A | 4.00 | 10-15-2030 | 875,000 | 808,281 | |
3,241,406 | |||||
Health care: 2.64% | |||||
Biotechnology: 0.64% | |||||
Grifols Escrow Issuer SA 144A | 4.75 | 10-15-2028 | 2,525,000 | 2,386,125 | |
Pharmaceuticals: 2.00% | |||||
Bausch Health Companies Incorporated 144A | 5.25 | 1-30-2030 | 4,050,000 | 3,265,313 | |
Teva Pharmaceutical Finance Netherlands III BV | 5.13 | 5-9-2029 | 3,400,000 | 3,258,212 | |
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 870,000 | 885,486 | |
7,409,011 | |||||
Industrials: 4.69% | |||||
Aerospace & defense: 0.67% | |||||
Bombardier Incorporated 144A | 7.88 | 4-15-2027 | 2,450,000 | 2,484,300 | |
Airlines: 2.03% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 2,475,000 | 3,010,699 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 1,660,000 | 1,804,088 | |
VistaJet 144A | 6.38 | 2-1-2030 | 2,850,000 | 2,711,889 | |
7,526,676 | |||||
Commercial services & supplies: 0.08% | |||||
Ritchie Brothers Auctioneers Incorporated 144A | 5.38 | 1-15-2025 | 300,000 | 304,491 | |
Electrical equipment: 0.64% | |||||
Sensata Technologies BV 144A | 4.00 | 4-15-2029 | 2,490,000 | 2,390,400 | |
Machinery: 0.35% | |||||
Vertical Holdco GmbH | 7.63 | 7-15-2028 | 1,275,000 | 1,297,313 | |
Trading companies & distributors: 0.92% | |||||
Carlyle Aviation Elevate Merger Subsidiary Limited 144A | 7.00 | 10-15-2024 | 3,625,000 | 3,424,719 | |
Materials: 1.09% | |||||
Containers & packaging: 0.84% | |||||
Ardagh Packaging Finance plc 144A | 5.25 | 4-30-2025 | 1,500,000 | 1,519,658 | |
Ardagh Packaging Finance plc 144A | 5.25 | 8-15-2027 | 1,675,000 | 1,592,193 | |
3,111,851 |
Interest rate | Maturity date | Principal | Value | ||
Metals & mining: 0.25% | |||||
Constellium SE 144A | 5.88% | 2-15-2026 | $ 930,000 | $ 941,625 | |
Total Yankee corporate bonds and notes (Cost $43,759,031) | 41,658,704 |
Yield | Shares | ||||
Short-term investments: 6.32% | |||||
Investment companies: 6.32% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 0.03 | 19,815,885 | 19,815,885 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 3,643,525 | 3,643,525 | ||
Total Short-term investments (Cost $23,459,410) | 23,459,410 | ||||
Total investments in securities (Cost $398,143,206) | 103.76% | 385,331,707 | |||
Other assets and liabilities, net | (3.76) | (13,955,359) | |||
Total net assets | 100.00% | $371,376,348 |
† | Non-income-earning security |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
< | All or a portion of the position represents an unfunded loan commitment. The rate represents the current interest rate if the loan is partially funded. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
‡ | Security is valued using significant unobservable inputs. |
## | All or a portion of this security is segregated for unfunded loans. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $1,030,349 | $150,323,348 | $(131,537,812) | $0 | $0 | $ 19,815,885 | 19,815,885 | $ 1,717 | ||
Securities Lending Cash Investments LLC | 7,814,000 | 61,414,926 | (65,585,401) | 0 | 0 | 3,643,525 | 3,643,525 | 2,456 # | ||
$0 | $0 | $23,459,410 | $4,173 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $3,567,260 of securities loaned), at value (cost $374,683,796) | $ 361,872,297 |
Investments in affiliated securities, at value (cost $23,459,410) | 23,459,410 |
Cash | 627,226 |
Receivable for investments sold | 6,692,087 |
Receivable for dividends and interest | 4,843,810 |
Receivable for Fund shares sold | 18,648 |
Receivable for securities lending income, net | 4,336 |
Prepaid expenses and other assets | 32,600 |
Total assets | 397,550,414 |
Liabilities | |
Payable for investments purchased | 20,869,729 |
Payable upon receipt of securities loaned | 3,643,525 |
Payable for Fund shares redeemed | 1,134,047 |
Management fee payable | 126,317 |
Dividends payable | 75,217 |
Administration fees payable | 36,617 |
Distribution fee payable | 1,897 |
Trustees’ fees and expenses payable | 253 |
Accrued expenses and other liabilities | 286,464 |
Total liabilities | 26,174,066 |
Total net assets | $371,376,348 |
Net assets consist of | |
Paid-in capital | $ 424,294,781 |
Total distributable loss | (52,918,433) |
Total net assets | $371,376,348 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 215,424,948 |
Shares outstanding – Class A1 | 66,021,171 |
Net asset value per share – Class A | $3.26 |
Maximum offering price per share – Class A2 | $3.41 |
Net assets – Class C | $ 3,304,514 |
Shares outstanding – Class C1 | 1,009,728 |
Net asset value per share – Class C | $3.27 |
Net assets – Administrator Class | $ 16,336,319 |
Shares outstanding – Administrator Class1 | 5,000,840 |
Net asset value per share – Administrator Class | $3.27 |
Net assets – Institutional Class | $ 136,310,567 |
Shares outstanding – Institutional Class1 | 41,721,583 |
Net asset value per share – Institutional Class | $3.27 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 7,899,316 |
Dividends | 317,870 |
Income from affiliated securities | 82,038 |
Total investment income | 8,299,224 |
Expenses | |
Management fee | 1,023,099 |
Administration fees | |
Class A | 181,448 |
Class C | 2,923 |
Administrator Class | 8,695 |
Institutional Class | 49,673 |
Shareholder servicing fees | |
Class A | 283,495 |
Class C | 4,567 |
Administrator Class | 21,699 |
Distribution fee | |
Class C | 13,700 |
Custody and accounting fees | 8,995 |
Professional fees | 32,812 |
Registration fees | 19,600 |
Shareholder report expenses | 18,385 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 3,984 |
Total expenses | 1,682,667 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (148,960) |
Class A | (9,720) |
Administrator Class | (6,271) |
Institutional Class | (43,664) |
Net expenses | 1,474,052 |
Net investment income | 6,825,172 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 5,880,209 |
Net change in unrealized gains (losses) on investments | (27,467,431) |
Net realized and unrealized gains (losses) on investments | (21,587,222) |
Net decrease in net assets resulting from operations | $(14,762,050) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 6,825,172 | $ 12,884,421 | ||
Net realized gains on investments | 5,880,209 | 11,162,085 | ||
Net change in unrealized gains (losses) on investments | (27,467,431) | 2,699,989 | ||
Net increase (decrease) in net assets resulting from operations | (14,762,050) | 26,746,495 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (3,952,803) | (8,074,306) | ||
Class C | (49,489) | (134,538) | ||
Administrator Class | (313,652) | (661,080) | ||
Institutional Class | (2,431,001) | (4,056,776) | ||
Total distributions to shareholders | (6,746,945) | (12,926,700) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,165,565 | 3,933,529 | 3,375,311 | 11,421,763 |
Class C | 15,058 | 51,080 | 102,665 | 349,658 |
Administrator Class | 82,929 | 282,335 | 309,396 | 1,048,199 |
Institutional Class | 11,299,471 | 38,066,819 | 22,915,767 | 76,886,642 |
42,333,763 | 89,706,262 | |||
Reinvestment of distributions | ||||
Class A | 1,077,630 | 3,604,397 | 2,169,138 | 7,345,372 |
Class C | 14,752 | 49,489 | 39,360 | 133,219 |
Administrator Class | 87,810 | 294,354 | 183,842 | 622,697 |
Institutional Class | 717,786 | 2,403,259 | 1,189,236 | 4,038,381 |
6,351,499 | 12,139,669 | |||
Payment for shares redeemed | ||||
Class A | (5,361,711) | (18,056,305) | (11,816,630) | (39,953,404) |
Class C | (210,199) | (715,156) | (1,424,599) | (4,819,114) |
Administrator Class | (466,741) | (1,568,416) | (1,543,816) | (5,221,846) |
Institutional Class | (5,185,722) | (17,375,081) | (11,261,048) | (38,184,989) |
(37,714,958) | (88,179,353) | |||
Net increase in net assets resulting from capital share transactions | 10,970,304 | 13,666,578 | ||
Total increase (decrease) in net assets | (10,538,691) | 27,486,373 | ||
Net assets | ||||
Beginning of period | 381,915,039 | 354,428,666 | ||
End of period | $371,376,348 | $381,915,039 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $3.45 | $3.33 | $3.29 | $3.28 | $3.40 | $3.31 |
Net investment income | 0.06 | 0.11 | 0.13 | 0.14 | 0.14 | 0.14 |
Payment from affiliate | 0.00 | 0.00 | 0.00 1 | 0.00 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.19) | 0.12 | 0.04 | 0.01 | (0.12) | 0.10 |
Total from investment operations | (0.13) | 0.23 | 0.17 | 0.15 | 0.02 | 0.24 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.11) | (0.13) | (0.14) | (0.13) | (0.15) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) | (0.00) 1 |
Total distributions to shareholders | (0.06) | (0.11) | (0.13) | (0.14) | (0.14) | (0.15) |
Net asset value, end of period | $3.26 | $3.45 | $3.33 | $3.29 | $3.28 | $3.40 |
Total return2 | (3.84)% | 7.07% | 5.31% 3 | 4.79% | 0.68% | 7.28% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.01% | 1.01% | 1.04% | 1.04% | 1.02% | 1.01% |
Net expenses | 0.92% | 0.92% | 0.93% | 0.93% | 0.93% | 0.93% |
Net investment income | 3.53% | 3.29% | 4.01% | 4.36% | 4.26% | 4.39% |
Supplemental data | ||||||
Portfolio turnover rate | 102% | 49% | 34% | 26% | 18% | 20% |
Net assets, end of period (000s omitted) | $215,425 | $238,817 | $251,410 | $273,553 | $272,170 | $314,156 |
1 | Amount is less than $0.005. |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
3 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had an impact of less than 0.005% on total return. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.28 | $3.40 | $3.31 |
Net investment income | 0.05 1 | 0.09 1 | 0.11 1 | 0.12 1 | 0.12 | 0.12 |
Payment from affiliate | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.19) | 0.12 | 0.03 | 0.01 | (0.12) | 0.09 |
Total from investment operations | (0.14) | 0.21 | 0.15 | 0.13 | 0.00 | 0.21 |
Distributions to shareholders from | ||||||
Net investment income | (0.05) | (0.09) | (0.10) | (0.12) | (0.11) | (0.12) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) | (0.00) 2 |
Total distributions to shareholders | (0.05) | (0.09) | (0.10) | (0.12) | (0.12) | (0.12) |
Net asset value, end of period | $3.27 | $3.46 | $3.34 | $3.29 | $3.28 | $3.40 |
Total return3 | (4.19)% | 6.25% | 4.83% 4 | 4.00% | (0.07)% | 6.49% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.76% | 1.76% | 1.79% | 1.79% | 1.77% | 1.76% |
Net expenses | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% |
Net investment income | 2.75% | 2.57% | 3.25% | 3.64% | 3.51% | 3.65% |
Supplemental data | ||||||
Portfolio turnover rate | 102% | 49% | 34% | 26% | 18% | 20% |
Net assets, end of period (000s omitted) | $3,305 | $4,123 | $8,265 | $12,220 | $47,811 | $61,734 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
4 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had a 0.31% impact on the total return. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.29 | $3.41 | $3.31 |
Net investment income | 0.06 | 0.12 1 | 0.13 | 0.15 1 | 0.15 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.19) | 0.12 | 0.05 | 0.00 | (0.12) | 0.10 |
Total from investment operations | (0.13) | 0.24 | 0.18 | 0.15 | 0.03 | 0.25 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.12) | (0.13) | (0.15) | (0.14) | (0.15) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) | (0.00) 2 |
Total distributions to shareholders | (0.06) | (0.12) | (0.13) | (0.15) | (0.15) | (0.15) |
Net asset value, end of period | $3.27 | $3.46 | $3.34 | $3.29 | $3.29 | $3.41 |
Total return3 | (3.77)% | 7.20% | 5.76% | 4.60% | 0.82% | 7.74% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.95% | 0.95% | 0.99% | 0.98% | 0.96% | 0.95% |
Net expenses | 0.80% | 0.79% | 0.79% | 0.80% | 0.80% | 0.80% |
Net investment income | 3.65% | 3.42% | 4.14% | 4.48% | 4.39% | 4.55% |
Supplemental data | ||||||
Portfolio turnover rate | 102% | 49% | 34% | 26% | 18% | 20% |
Net assets, end of period (000s omitted) | $16,336 | $18,317 | $21,185 | $24,667 | $23,940 | $31,592 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.28 | $3.41 | $3.31 |
Net investment income | 0.07 | 0.12 | 0.14 | 0.15 | 0.16 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.19) | 0.13 | 0.05 | 0.01 | (0.13) | 0.10 |
Total from investment operations | (0.12) | 0.25 | 0.19 | 0.16 | 0.03 | 0.26 |
Distributions to shareholders from | ||||||
Net investment income | (0.07) | (0.13) | (0.14) | (0.15) | (0.15) | (0.16) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) | (0.00) 1 |
Total distributions to shareholders | (0.07) | (0.13) | (0.14) | (0.15) | (0.16) | (0.16) |
Net asset value, end of period | $3.27 | $3.46 | $3.34 | $3.29 | $3.28 | $3.41 |
Total return2 | (3.64)% | 7.48% | 6.04% | 5.20% | 0.79% | 8.03% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.68% | 0.69% | 0.71% | 0.71% | 0.69% | 0.68% |
Net expenses | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% |
Net investment income | 3.96% | 3.66% | 4.39% | 4.75% | 4.67% | 4.79% |
Supplemental data | ||||||
Portfolio turnover rate | 102% | 49% | 34% | 26% | 18% | 20% |
Net assets, end of period (000s omitted) | $136,311 | $120,658 | $73,568 | $75,877 | $134,770 | $125,991 |
1 | Amount is less than $0.005. |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 350,328 |
Gross unrealized losses | (13,160,670) |
Net unrealized losses | $(12,810,342) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Common stocks | ||||
Energy | $ 900,984 | $ 0 | $ 0 | $ 900,984 |
Financials | 811,840 | 0 | 0 | 811,840 |
Corporate bonds and notes | 0 | 289,597,394 | 0 | 289,597,394 |
Loans | 0 | 27,979,648 | 923,727 | 28,903,375 |
Yankee corporate bonds and notes | 0 | 41,658,704 | 0 | 41,658,704 |
Short-term investments | ||||
Investment companies | 23,459,410 | 0 | 0 | 23,459,410 |
Total assets | $25,172,234 | $359,235,746 | $923,727 | $385,331,707 |
Average daily net assets | Management fee |
First $500 million | 0.550% |
Next $500 million | 0.525 |
Next $2 billion | 0.500 |
Next $2 billion | 0.475 |
Next $5 billion | 0.440 |
Over $10 billion | 0.430 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.93% |
Class C | 1.68 |
Administrator Class | 0.80 |
Institutional Class | 0.53 |
Unfunded commitments | Unrealized gain (loss) | |
Asurion LLC, 5.46%, 1-31-2028 | $ 1,800,000 | $ (20,700) |
Bausch Health Companies Incorporated, 5.75%, 1-27-2027 | 900,000 | (1,503) |
GIP III Stetson I LP, 4.46%, 7-18-2025 | 2,800,000 | (4,200) |
Intelsat Jackson Holdings SA, 4.75%, 2-1-2029 | 2,690,000 | (37,347) |
Mallinckrodt International Finance SA, 6.00%, 9-24-2024 | 2,000,000 | (46,500) |
McAfee LLC, 4.50%, 2-26-2029 | 1,070,000 | (10,700) |
Michaels Companies Incorporated, 5.00%, 4-15-2028 | 465,000 | (9,170) |
Mileage Plus Holdings LLC, 6.25%, 6-21-2027 | 1,400,000 | (19,768) |
Naked Juice LLC, 3.75%, 1-24-2029 | 179,636 | (1,234) |
Naked Juice LLC Delayed Draw, 3.75%, 1-24-2029 | 10,364 | (97) |
Nexus Buyer LLC, 6.75%, 10-29-2029 | 1,100,000 | (15,587) |
PMHC II Incorporated, 4.75%, 2-1-2029 | 260,000 | (2,816) |
Polaris Newco LLC, 4.50%, 6-2-2028 | 1,976,260 | (13,483) |
Press Ganey Holdings Incorporated, 4.50%, 7-24-2026 | 200,000 | 650 |
Russell Investments US Institutional Holdco Incorporated, 4.50%, 5-30-2025 | 965,205 | (7,837) |
Solis IV BV, 4.00%, 2-25-2029 | 930,000 | (11,715) |
The Geo Group Incorporated, 2.75%, 3-22-2024 | 965,000 | (24,099) |
$19,711,465 | $(226,106) |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $1,155,459 | $(1,155,459) | $0 |
Barclays Capital Incorporated | 2,177,806 | (2,177,806) | 0 |
Citigroup Global Markets Incorporated | 142,344 | (142,344) | 0 |
JPMorgan Securities LLC | 91,651 | (91,651) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317339img9b0bcd7b1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA218/SAR218 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317341img2a43ea241.jpg)
Government Bond Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317341img0b8475e42.gif)
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks to provide current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Maulik Bhansali, CFA®‡, Jarad Vasquez |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (MSDAX) | 3-11-1996 | -4.85 | 0.44 | 0.50 | -2.91 | 0.85 | 0.71 | 0.80 | 0.79 | ||
Class C (MSDCX) | 5-31-2002 | -4.73 | 0.09 | -0.04 | -3.73 | 0.09 | -0.04 | 1.55 | 1.54 | ||
Class R6 (MSDRX)3 | 11-30-2012 | – | – | – | -2.60 | 1.26 | 1.14 | 0.42 | 0.38 | ||
Administrator Class (MNSGX) | 12-18-1992 | – | – | – | -2.73 | 1.05 | 0.90 | 0.74 | 0.61 | ||
Institutional Class (WSGIX) | 4-8-2005 | – | – | – | -2.55 | 1.23 | 1.08 | 0.47 | 0.43 | ||
Bloomberg U.S. 1-3 Year Government Bond Index4 | – | – | – | – | -1.68 | 1.35 | 0.99 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.78% for Class A, 1.53% for Class C, 0.37% for Class R6, 0.60% for Administrator Class, and 0.42% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. 1–3 Year Government Bond Index is composed of all publicly issued, nonconvertible domestic debt of the U.S. government and its agencies. The index also includes corporate debt guaranteed by the U.S. government. Only notes and bonds with a minimum maturity of one year up to a maximum maturity of 2.9 years are included. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
FHLMC, 2.81%, 5-1-2049 | 9.49 |
U.S. Treasury Note, 0.13%, 1-31-2023 | 9.35 |
U.S. Treasury Note, 0.13%, 12-31-2022 | 5.18 |
U.S. Treasury Note, 0.13%, 9-30-2022 | 4.48 |
FHMLC, 3.50%, 2-1-2033 | 3.74 |
FHLMC, 3.50%, 11-1-2030 | 3.32 |
U.S. Treasury Note, 0.13%, 5-31-2022 | 2.80 |
U.S. Treasury Note, 0.13%, 3-31-2023 | 2.48 |
FNMA, 3.00%, 7-1-2034 | 2.39 |
FHLMC, 3.50%, 2-1-2031 | 1.99 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317341img8cf654fc4.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 975.80 | $3.82 | 0.78% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.93 | $3.91 | 0.78% |
Class C | ||||
Actual | $1,000.00 | $ 972.22 | $7.48 | 1.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.21 | $7.65 | 1.53% |
Class R6 | ||||
Actual | $1,000.00 | $ 977.87 | $1.81 | 0.37% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.96 | $1.86 | 0.37% |
Administrator Class | ||||
Actual | $1,000.00 | $ 976.74 | $2.94 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 978.60 | $2.06 | 0.42% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.71 | $2.11 | 0.42% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 53.26% | ||||||
FHLMC (12 Month LIBOR +1.65%) ± | 2.34% | 3-1-2043 | $ | 818,960 | $ 841,813 | |
FHLMC (12 Month LIBOR +1.85%) ± | 2.45 | 5-1-2042 | 799,749 | 833,440 | ||
FHLMC | 2.50 | 11-1-2028 | 3,442,379 | 3,498,982 | ||
FHLMC (12 Month LIBOR +1.76%) ± | 2.58 | 12-1-2042 | 1,021,566 | 1,060,452 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.79 | 7-1-2047 | 2,014,404 | 2,058,869 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.81 | 5-1-2049 | 57,383,736 | 58,492,456 | ||
FHLMC | 3.00 | 10-1-2032 | 9,672,637 | 10,000,453 | ||
FHLMC | 3.50 | 11-1-2030 | 19,788,565 | 20,455,833 | ||
FHLMC | 3.50 | 2-1-2031 | 11,832,764 | 12,283,150 | ||
FHLMC | 3.50 | 3-1-2031 | 1,097,000 | 1,147,944 | ||
FHLMC Series 3632 Class PK | 5.00 | 2-15-2040 | 1,767,754 | 1,894,206 | ||
FHLMC Series 4426 Class QC | 1.75 | 7-15-2037 | 2,829,500 | 2,801,159 | ||
FHLMC Series 4891 Class PA | 3.50 | 7-15-2048 | 475,171 | 476,864 | ||
FHLMC Series 4940 Class AG | 3.00 | 5-15-2040 | 9,615,450 | 9,784,741 | ||
FHMLC | 3.00 | 12-1-2030 | 2,541,804 | 2,616,161 | ||
FHMLC | 3.00 | 1-1-2032 | 9,450,812 | 9,742,011 | ||
FHMLC | 3.50 | 2-1-2033 | 22,242,602 | 23,096,907 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.08 | 6-1-2045 | 703,980 | 726,772 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.44 | 1-1-2046 | 1,006,546 | 1,039,927 | ||
FNMA (12 Month LIBOR +1.69%) ± | 2.45 | 11-1-2042 | 995,116 | 1,032,058 | ||
FNMA (12 Month LIBOR +1.56%) ± | 2.45 | 9-1-2045 | 923,137 | 951,367 | ||
FNMA | 2.50 | 2-1-2036 | 3,534,242 | 3,589,267 | ||
FNMA | 2.50 | 9-1-2036 | 2,412,886 | 2,461,780 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.66 | 2-1-2046 | 1,208,885 | 1,248,444 | ||
FNMA | 3.00 | 4-1-2033 | 2,280,285 | 2,345,021 | ||
FNMA | 3.00 | 7-1-2034 | 14,306,482 | 14,740,149 | ||
FNMA | 3.00 | 2-1-2035 | 3,649,759 | 3,763,524 | ||
FNMA | 3.00 | 4-1-2035 | 4,198,615 | 4,370,211 | ||
FNMA | 3.00 | 12-1-2035 | 2,823,254 | 2,944,373 | ||
FNMA %% | 3.00 | 5-18-2036 | 9,900,000 | 10,097,771 | ||
FNMA | 3.00 | 8-1-2036 | 3,804,000 | 3,925,789 | ||
FNMA | 3.50 | 6-1-2035 | 1,618,775 | 1,707,973 | ||
FNMA | 3.50 | 7-1-2043 | 2,789,415 | 2,947,470 | ||
FNMA (1 Year Treasury Constant Maturity +2.03%) ± | 3.95 | 3-1-2049 | 2,298,233 | 2,345,092 | ||
FNMA | 4.00 | 2-1-2034 | 2,628,064 | 2,794,416 | ||
FNMA | 4.00 | 6-1-2038 | 6,218,905 | 6,568,560 | ||
FNMA | 4.50 | 7-1-2048 | 2,220,701 | 2,402,171 | ||
FNMA ## | 4.50 | 10-1-2048 | 5,597,534 | 6,079,770 | ||
FNMA | 4.50 | 11-1-2049 | 1,647,185 | 1,817,904 | ||
FNMA | 5.00 | 10-1-2040 | 724,378 | 806,349 | ||
FNMA | 5.00 | 1-1-2049 | 2,252,172 | 2,469,781 | ||
FNMA | 5.00 | 8-1-2049 | 3,054,803 | 3,380,213 | ||
FNMA | 5.00 | 11-1-2049 | 2,870,272 | 3,150,136 | ||
FNMA | 5.00 | 12-1-2049 | 1,367,670 | 1,526,761 | ||
FNMA | 5.50 | 6-1-2049 | 3,501,063 | 3,921,055 | ||
FNMA Series 2015-57 Class AB | 3.00 | 8-25-2045 | 1,789,660 | 1,833,392 | ||
FNMA Series 2019-15 Class AB | 3.50 | 5-25-2053 | 9,418,816 | 9,920,214 | ||
FNMA Series 2019-33 Class MA | 3.50 | 7-25-2055 | 8,566,199 | 8,803,962 | ||
FNMA Series 2019-78 Class DE | 2.00 | 11-25-2049 | 6,186,664 | 6,051,928 | ||
FNMA Series 2020-48 Class AB | 2.00 | 7-25-2050 | 2,045,821 | 2,023,022 | ||
FNMA Series 2020-48 Class DA | 2.00 | 7-25-2050 | 3,999,956 | 3,957,207 | ||
FNMA Series 2020-50 Class A | 2.00 | 7-25-2050 | 3,875,706 | 3,802,176 | ||
GNMA | 4.00 | 9-20-2044 | 965,688 | 1,033,287 | ||
GNMA | 4.00 | 12-20-2044 | 1,175,613 | 1,257,879 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 4.00% | 1-20-2045 | $ | 791,612 | $ 846,992 | |
GNMA | 4.50 | 3-20-2048 | 387,926 | 412,060 | ||
GNMA | 4.50 | 6-20-2048 | 1,875,361 | 1,983,238 | ||
GNMA | 4.50 | 6-20-2048 | 558,879 | 593,449 | ||
GNMA | 4.50 | 8-20-2048 | 536,725 | 566,468 | ||
GNMA | 4.50 | 10-20-2048 | 149,729 | 158,522 | ||
GNMA | 4.50 | 2-20-2049 | 692,172 | 735,345 | ||
GNMA | 5.00 | 3-20-2048 | 642,895 | 695,002 | ||
GNMA | 5.00 | 6-20-2048 | 119,035 | 128,658 | ||
GNMA | 5.00 | 6-20-2048 | 110,584 | 119,441 | ||
GNMA | 5.00 | 7-20-2048 | 41,889 | 44,477 | ||
GNMA | 5.00 | 9-20-2048 | 381,265 | 405,191 | ||
GNMA | 5.00 | 3-20-2049 | 143,672 | 156,767 | ||
GNMA | 5.00 | 3-20-2049 | 677,908 | 736,526 | ||
GNMA | 5.00 | 5-20-2049 | 835,862 | 909,979 | ||
GNMA | 5.50 | 1-20-2049 | 78,703 | 84,198 | ||
GNMA | 5.50 | 5-20-2049 | 5,708,316 | 6,131,347 | ||
GNMA Series 2011-137 Class WA ±± | 5.59 | 7-20-2040 | 1,502,371 | 1,675,533 | ||
GNMA Series 2017-99 Class DE | 2.50 | 7-20-2045 | 1,072,258 | 1,077,546 | ||
GNMA Series 2018-11 Class PC | 2.75 | 12-20-2047 | 1,713,069 | 1,747,672 | ||
GNMA Series 2018-36 Class KC | 3.00 | 2-20-2046 | 1,026,705 | 1,038,946 | ||
GNMA Series 2019-132 Class NA | 3.50 | 9-20-2049 | 253,384 | 261,930 | ||
GNMA Series 2020-11 Class ME | 2.50 | 2-20-2049 | 2,861,480 | 2,864,546 | ||
GNMA Series 2021-23 Class MG | 1.50 | 2-20-2051 | 10,377,525 | 10,146,441 | ||
Total Agency securities (Cost $334,047,173) | 328,442,886 | |||||
Asset-backed securities: 8.77% | ||||||
Hertz Vehicle Financing LLC Series 2022-1A Class A 144A | 1.99 | 6-25-2026 | 4,756,000 | 4,693,591 | ||
Navient Student Loan Trust Series 2019-GA Class A 144A | 2.40 | 10-15-2068 | 2,266,231 | 2,268,953 | ||
Navient Student Loan Trust Series 2020-DA Class A 144A | 1.69 | 5-15-2069 | 4,804,517 | 4,761,151 | ||
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,699,014 | 1,677,014 | ||
Navient Student Loan Trust Series 2020-HA Class A 144A | 1.31 | 1-15-2069 | 4,061,057 | 3,978,854 | ||
Navient Student Loan Trust Series 2020-IA Class A1A 144A | 1.33 | 4-15-2069 | 5,463,251 | 5,279,258 | ||
Navient Student Loan Trust Series 2021-A Class A 144A | 0.84 | 5-15-2069 | 1,193,687 | 1,159,570 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ± | 0.42 | 1-25-2037 | 2,485,990 | 2,477,326 | ||
Nelnet Student Loan Trust Series 2012-1A Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 12-27-2039 | 1,534,100 | 1,534,149 | ||
Nelnet Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.80%) 144A± | 0.91 | 9-25-2065 | 3,883,838 | 3,861,126 | ||
SLC Student Loan Trust Series 2010-1 Class A (3 Month LIBOR +0.88%) ± | 1.37 | 11-25-2042 | 723,832 | 724,534 | ||
SLM Student Loan Trust Series 2005-6 Class A6 (3 Month LIBOR +0.14%) ± | 0.40 | 10-27-2031 | 1,375,462 | 1,367,474 | ||
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 0.84 | 12-27-2038 | 4,376,109 | 4,356,039 | ||
SMB Private Education Loan Trust Series 2015-C Class A2A 144A | 2.75 | 7-15-2027 | 32,770 | 32,797 | ||
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A± | 1.64 | 2-17-2032 | 1,004,488 | 1,010,707 | ||
SMB Private Education Loan Trust Series 2020-BA Class A1A 144A | 1.29 | 7-15-2053 | 4,630,561 | 4,524,371 | ||
SMB Private Education Loan Trust Series 2021-A Class APT1 144A | 1.07 | 1-15-2053 | 5,099,336 | 4,785,047 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
SoFi Professional Loan Program LLC Series 2016-C Class A1 (1 Month LIBOR +1.10%) 144A± | 1.29% | 10-27-2036 | $ | 306,041 | $ 306,492 | |
SoFi Professional Loan Program LLC Series 2016-D Class A1 (1 Month LIBOR +0.95%) 144A± | 1.14 | 1-25-2039 | 621,052 | 622,033 | ||
SoFi Professional Loan Program LLC Series 2016-E Class A1 (1 Month LIBOR +0.85%) 144A± | 1.04 | 7-25-2039 | 104,148 | 104,169 | ||
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A± | 0.89 | 3-26-2040 | 281,117 | 281,056 | ||
SoFi Professional Loan Program LLC Series 2017-C Class A1 (1 Month LIBOR +0.60%) 144A± | 0.79 | 7-25-2040 | 262,913 | 262,570 | ||
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A | 2.72 | 11-26-2040 | 279,974 | 281,355 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX 144A | 1.95 | 2-15-2046 | 885,460 | 877,923 | ||
SoFi Professional Loan Program LLC Series 2021-A Class AFX 144A | 1.03 | 8-17-2043 | 2,924,572 | 2,823,822 | ||
Total Asset-backed securities (Cost $55,083,969) | 54,051,381 | |||||
Non-agency mortgage-backed securities: 10.01% | ||||||
Angel Oak Mortgage Trust Series 2019-2 Class A1 144A±± | 3.63 | 3-25-2049 | 184,649 | 184,626 | ||
Angel Oak Mortgage Trust Series 2020-5 Class A1 144A±± | 1.37 | 5-25-2065 | 1,078,165 | 1,067,104 | ||
Angel Oak Mortgage Trust Series 2021-1 Class A1 144A±± | 0.91 | 1-25-2066 | 4,272,908 | 4,191,946 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144Aøø | 2.88 | 7-25-2049 | 721,852 | 720,507 | ||
BX Trust Series 2021-VOLT Class A (1 Month LIBOR +0.70%) 144A± | 0.89 | 9-15-2036 | 5,045,000 | 4,899,497 | ||
BX Trust Series 2021-XL2 Class A (1 Month LIBOR +0.69%) 144A± | 0.88 | 10-15-2038 | 4,997,000 | 4,890,916 | ||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class AAB | 3.37 | 10-10-2047 | 296,930 | 301,820 | ||
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 1.14 | 11-15-2038 | 2,528,000 | 2,490,024 | ||
Mello Warehouse Securitization Trust Series 2020-1 Class A (1 Month LIBOR +0.90%) 144A± | 1.09 | 10-25-2053 | 4,875,000 | 4,867,607 | ||
Mello Warehouse Securitization Trust Series 2020-2 Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 11-25-2053 | 4,753,000 | 4,722,941 | ||
Mello Warehouse Securitization Trust Series 2021-1 Class A (1 Month LIBOR +0.70%) 144A± | 0.89 | 2-25-2055 | 4,092,000 | 4,055,727 | ||
MFRA Trust Series 2021-NQM1 Class A1 144A±± | 1.15 | 4-25-2065 | 4,090,403 | 4,056,600 | ||
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 0.94 | 5-25-2055 | 5,533,000 | 5,496,274 | ||
Verus Securitization Trust Series 2019-2 Class A1 144A±± | 2.91 | 7-25-2059 | 740,948 | 743,464 | ||
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 701,729 | 703,066 | ||
Verus Securitization Trust Series 2019-4 Class A1 144Aøø | 2.64 | 11-25-2059 | 335,101 | 335,601 | ||
Verus Securitization Trust Series 2020-5 Class A1 144Aøø | 1.22 | 5-25-2065 | 1,797,618 | 1,771,090 | ||
Verus Securitization Trust Series 2021-3 Class A1 144A±± | 1.05 | 6-25-2066 | 2,669,520 | 2,599,314 | ||
Verus Securitization Trust Series 2021-4 Class A1 144A±± | 0.94 | 7-25-2066 | 2,970,574 | 2,844,337 | ||
Verus Securitization Trust Series 2021-5 Class A1 144A±± | 1.01 | 9-25-2066 | 4,694,994 | 4,490,161 | ||
Verus Securitization Trust Series 2021-6 Class A1 144A±± | 1.63 | 10-25-2066 | 1,688,398 | 1,646,937 | ||
Verus Securitization Trust Series 2021-7 Class A1 144A±± | 1.83 | 10-25-2066 | 4,779,633 | 4,662,515 | ||
Total Non-agency mortgage-backed securities (Cost $62,829,230) | 61,742,074 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities: 29.83% | ||||||
U.S. Treasury Note | 0.13% | 5-31-2022 | $ | 17,270,000 | $ 17,255,030 | |
U.S. Treasury Note | 0.13 | 9-30-2022 | 27,740,000 | 27,637,059 | ||
U.S. Treasury Note | 0.13 | 12-31-2022 | 32,181,000 | 31,947,185 | ||
U.S. Treasury Note | 0.13 | 1-31-2023 | 58,193,000 | 57,692,904 | ||
U.S. Treasury Note | 0.13 | 3-31-2023 | 15,448,000 | 15,277,227 | ||
U.S. Treasury Note | 0.13 | 4-30-2023 | 8,842,000 | 8,732,166 | ||
U.S. Treasury Note | 0.25 | 6-15-2024 | 3,162,000 | 3,069,610 | ||
U.S. Treasury Note | 0.75 | 11-15-2024 | 2,644,000 | 2,583,064 | ||
U.S. Treasury Note | 0.88 | 1-31-2024 | 10,012,000 | 9,903,667 | ||
U.S. Treasury Note | 1.00 | 12-15-2024 | 1,980,000 | 1,946,742 | ||
U.S. Treasury Note | 1.13 | 1-15-2025 | 367,000 | 361,810 | ||
U.S. Treasury Note | 1.50 | 2-29-2024 | 7,221,000 | 7,226,923 | ||
U.S. Treasury Note | 1.50 | 2-15-2025 | 327,000 | 325,697 | ||
Total U.S. Treasury securities (Cost $185,029,029) | 183,959,084 |
Yield | Shares | |||||
Short-term investments: 1.02% | ||||||
Investment companies: 1.02% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 0.03 | 6,302,238 | 6,302,238 | |||
Total Short-term investments (Cost $6,302,238) | 6,302,238 | |||||
Total investments in securities (Cost $643,291,639) | 102.89% | 634,497,663 | ||||
Other assets and liabilities, net | (2.89) | (17,851,709) | ||||
Total net assets | 100.00% | $616,645,954 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for when-issued securities. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
øø | The interest rate is determined and reset by the issuer periodically depending upon the terms of the security. The rate shown is the rate in effect at period end. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $4,833,244 | $323,843,489 | $(322,374,495) | $0 | $0 | $6,302,238 | 6,302,238 | $1,694 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 1,249 | 6-30-2022 | $268,036,139 | $268,817,975 | $ 781,836 | $ 0 | |
Short | |||||||
10-Year Ultra Futures | (159) | 6-21-2022 | (22,190,861) | (22,471,171) | 0 | (280,310) | |
5-Year U.S. Treasury Notes | (424) | 6-30-2022 | (49,793,019) | (50,151,250) | 0 | (358,231) | |
$781,836 | $(638,541) |
Assets | |
Investments in unaffiliated securities, at value (cost $636,989,401) | $ 628,195,425 |
Investments in affiliated securities, at value (cost $6,302,238) | 6,302,238 |
Cash at broker segregated for futures contracts | 1,049,000 |
Receivable for interest | 1,018,688 |
Receivable for Fund shares sold | 853,307 |
Receivable for daily variation margin on open futures contracts | 819,295 |
Principal paydown receivable | 618,494 |
Prepaid expenses and other assets | 53,869 |
Total assets | 638,910,316 |
Liabilities | |
Payable for when-issued transactions | 10,078,716 |
Payable for investments purchased | 10,015,118 |
Payable for Fund shares redeemed | 1,191,923 |
Payable for daily variation margin on open futures contracts | 655,875 |
Management fee payable | 145,403 |
Dividends payable | 62,309 |
Administration fees payable | 40,321 |
Distribution fee payable | 2,212 |
Accrued expenses and other liabilities | 72,485 |
Total liabilities | 22,264,362 |
Total net assets | $616,645,954 |
Net assets consist of | |
Paid-in capital | $ 713,953,025 |
Total distributable loss | (97,307,071) |
Total net assets | $616,645,954 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 48,543,269 |
Shares outstanding – Class A1 | 5,147,347 |
Net asset value per share – Class A | $9.43 |
Maximum offering price per share – Class A2 | $9.62 |
Net assets – Class C | $ 3,857,520 |
Shares outstanding – Class C1 | 408,483 |
Net asset value per share – Class C | $9.44 |
Net assets – Class R6 | $ 43,721,902 |
Shares outstanding – Class R61 | 4,619,799 |
Net asset value per share – Class R6 | $9.46 |
Net assets – Administrator Class | $ 27,066,083 |
Shares outstanding – Administrator Class1 | 2,864,593 |
Net asset value per share – Administrator Class | $9.45 |
Net assets – Institutional Class | $ 493,457,180 |
Shares outstanding – Institutional Class1 | 52,239,909 |
Net asset value per share – Institutional Class | $9.45 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/98 of net asset value. On investments of $100,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 2,799,005 |
Income from affiliated securities | 1,694 |
Total investment income | 2,800,699 |
Expenses | |
Management fee | 1,182,367 |
Administration fees | |
Class A | 47,903 |
Class C | 3,482 |
Class R6 | 6,610 |
Administrator Class | 15,309 |
Institutional Class | 214,690 |
Shareholder servicing fees | |
Class A | 74,848 |
Class C | 5,403 |
Administrator Class | 38,153 |
Distribution fee | |
Class C | 16,207 |
Custody and accounting fees | 13,298 |
Professional fees | 29,720 |
Registration fees | 28,495 |
Shareholder report expenses | 18,603 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 6,069 |
Total expenses | 1,710,749 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (78,123) |
Class A | (296) |
Administrator Class | (10,327) |
Institutional Class | (55,397) |
Net expenses | 1,566,606 |
Net investment income | 1,234,093 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (3,031,826) |
Futures contracts | (1,934,685) |
Net realized losses on investments | (4,966,511) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (11,373,927) |
Futures contracts | 150,757 |
Net change in unrealized gains (losses) on investments | (11,223,170) |
Net realized and unrealized gains (losses) on investments | (16,189,681) |
Net decrease in net assets resulting from operations | $(14,955,588) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 1,234,093 | $ 2,480,874 | ||
Net realized gains (losses) on investments | (4,966,511) | 2,129,791 | ||
Net change in unrealized gains (losses) on investments | (11,223,170) | (6,156,851) | ||
Net decrease in net assets resulting from operations | (14,955,588) | (1,546,186) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (284,599) | (769,324) | ||
Class C | (4,484) | (20,179) | ||
Class R6 | (300,072) | (771,167) | ||
Administrator Class | (173,704) | (397,032) | ||
Institutional Class | (3,522,847) | (8,039,703) | ||
Total distributions to shareholders | (4,285,706) | (9,997,405) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 73,278 | 704,463 | 3,774,730 | 37,095,633 |
Class C | 1,863 | 17,925 | 367,534 | 3,621,671 |
Class R6 | 690,084 | 6,603,171 | 4,738,622 | 46,544,647 |
Administrator Class | 37,108 | 357,886 | 281,599 | 2,767,417 |
Institutional Class | 5,147,258 | 49,534,509 | 39,262,633 | 386,254,397 |
57,217,954 | 476,283,765 | |||
Reinvestment of distributions | ||||
Class A | 28,968 | 277,631 | 77,029 | 754,316 |
Class C | 468 | 4,484 | 2,035 | 20,022 |
Class R6 | 28,724 | 276,147 | 70,861 | 695,505 |
Administrator Class | 17,988 | 172,678 | 40,238 | 394,799 |
Institutional Class | 333,855 | 3,204,066 | 767,741 | 7,529,367 |
3,935,006 | 9,394,009 | |||
Payment for shares redeemed | ||||
Class A | (1,955,892) | (18,728,503) | (2,984,638) | (29,143,334) |
Class C | (104,416) | (1,006,178) | (757,870) | (7,449,819) |
Class R6 | (971,904) | (9,367,221) | (4,828,999) | (47,240,710) |
Administrator Class | (519,276) | (4,969,899) | (667,106) | (6,554,060) |
Institutional Class | (11,894,062) | (114,237,863) | (27,158,902) | (266,343,103) |
(148,309,664) | (356,731,026) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (87,156,704) | 128,946,748 | ||
Total increase (decrease) in net assets | (106,397,998) | 117,403,157 | ||
Net assets | ||||
Beginning of period | 723,043,952 | 605,640,795 | ||
End of period | $ 616,645,954 | $ 723,043,952 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.71 | $9.85 | $9.73 | $9.60 | $9.85 | $9.96 |
Net investment income | 0.00 1,2 | 0.00 1,2 | 0.15 | 0.21 | 0.14 | 0.07 |
Net realized and unrealized gains (losses) on investments | (0.23) | (0.04) | 0.18 | 0.16 | (0.20) | (0.03) |
Total from investment operations | (0.23) | (0.04) | 0.33 | 0.37 | (0.06) | 0.04 |
Distributions to shareholders from | ||||||
Net investment income | (0.05) | (0.10) | (0.21) | (0.24) | (0.19) | (0.15) |
Net asset value, end of period | $9.43 | $9.71 | $9.85 | $9.73 | $9.60 | $9.85 |
Total return3 | (2.42)% | (0.45)% | 3.41% | 3.92% | (0.56)% | 0.45% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.79% | 0.79% | 0.81% | 0.81% | 0.80% | 0.79% |
Net expenses | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% |
Net investment income | 0.04% | 0.01% | 1.32% | 2.22% | 1.36% | 0.79% |
Supplemental data | ||||||
Portfolio turnover rate | 164% | 294% | 395% | 635% | 331% | 348% |
Net assets, end of period (000s omitted) | $48,543 | $67,959 | $60,425 | $29,618 | $30,538 | $51,890 |
1 | Amount is less than $0.005. |
2 | Calculated based upon average shares outstanding |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 | $9.98 |
Net investment income (loss) | (0.04) | (0.07) 1 | 0.07 | 0.14 1 | 0.06 1 | 0.00 1,2 |
Net realized and unrealized gains (losses) on investments | (0.23) | (0.06) | 0.18 | 0.16 | (0.19) | (0.03) |
Total from investment operations | (0.27) | (0.13) | 0.25 | 0.30 | (0.13) | (0.03) |
Distributions to shareholders from | ||||||
Net investment income | (0.01) | (0.02) | (0.13) | (0.17) | (0.12) | (0.08) |
Net asset value, end of period | $9.44 | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Total return3 | (2.78)% | (1.29)% | 2.64% | 3.14% | (1.30)% | (0.30)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.53% | 1.54% | 1.56% | 1.56% | 1.55% | 1.54% |
Net expenses | 1.53% | 1.53% | 1.53% | 1.53% | 1.53% | 1.53% |
Net investment income (loss) | (0.70)% | (0.69)% | 0.61% | 1.49% | 0.62% | 0.04% |
Supplemental data | ||||||
Portfolio turnover rate | 164% | 294% | 395% | 635% | 331% | 348% |
Net assets, end of period (000s omitted) | $3,858 | $4,963 | $8,868 | $10,032 | $15,093 | $20,026 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class R6 | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.74 | $9.89 | $9.77 | $9.64 | $9.89 | $9.99 |
Net investment income | 0.02 | 0.04 | 0.19 | 0.25 1 | 0.16 1 | 0.12 1 |
Net realized and unrealized gains (losses) on investments | (0.23) | (0.05) | 0.18 | 0.16 | (0.17) | (0.02) |
Total from investment operations | (0.21) | (0.01) | 0.37 | 0.41 | (0.01) | 0.10 |
Distributions to shareholders from | ||||||
Net investment income | (0.07) | (0.14) | (0.25) | (0.28) | (0.24) | (0.20) |
Net asset value, end of period | $9.46 | $9.74 | $9.89 | $9.77 | $9.64 | $9.89 |
Total return2 | (2.21)% | (0.13)% | 3.83% | 4.34% | (0.14)% | 0.96% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.41% | 0.41% | 0.43% | 0.43% | 0.42% | 0.41% |
Net expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 0.46% | 0.42% | 1.77% | 2.62% | 1.64% | 1.19% |
Supplemental data | ||||||
Portfolio turnover rate | 164% | 294% | 395% | 635% | 331% | 348% |
Net assets, end of period (000s omitted) | $43,722 | $47,471 | $48,371 | $41,987 | $35,472 | $172,106 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.73 | $9.87 | $9.75 | $9.62 | $9.87 | $9.98 |
Net investment income | 0.01 1 | 0.02 1 | 0.16 1 | 0.23 1 | 0.15 1 | 0.08 |
Net realized and unrealized gains (losses) on investments | (0.24) | (0.05) | 0.19 | 0.16 | (0.19) | (0.02) |
Total from investment operations | (0.23) | (0.03) | 0.35 | 0.39 | (0.04) | 0.06 |
Distributions to shareholders from | ||||||
Net investment income | (0.05) | (0.11) | (0.23) | (0.26) | (0.21) | (0.17) |
Net asset value, end of period | $9.45 | $9.73 | $9.87 | $9.75 | $9.62 | $9.87 |
Total return2 | (2.33)% | (0.26)% | 3.60% | 4.10% | (0.37)% | 0.63% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.73% | 0.73% | 0.75% | 0.75% | 0.74% | 0.73% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 0.23% | 0.20% | 1.54% | 2.41% | 1.56% | 0.96% |
Supplemental data | ||||||
Portfolio turnover rate | 164% | 294% | 395% | 635% | 331% | 348% |
Net assets, end of period (000s omitted) | $27,066 | $32,375 | $36,262 | $38,816 | $71,997 | $89,743 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 | $9.98 |
Net investment income | 0.02 | 0.04 1 | 0.17 | 0.25 | 0.17 | 0.11 |
Net realized and unrealized gains (losses) on investments | (0.23) | (0.06) | 0.19 | 0.16 | (0.19) | (0.03) |
Total from investment operations | (0.21) | (0.02) | 0.36 | 0.41 | (0.02) | 0.08 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.13) | (0.24) | (0.28) | (0.23) | (0.19) |
Net asset value, end of period | $9.45 | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Total return2 | (2.14)% | (0.19)% | 3.78% | 4.29% | (0.20)% | 0.81% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.46% | 0.46% | 0.48% | 0.48% | 0.47% | 0.46% |
Net expenses | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% |
Net investment income | 0.41% | 0.37% | 1.72% | 2.57% | 1.75% | 1.15% |
Supplemental data | ||||||
Portfolio turnover rate | 164% | 294% | 395% | 635% | 331% | 348% |
Net assets, end of period (000s omitted) | $493,457 | $570,276 | $451,715 | $445,211 | $493,372 | $579,690 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 1,139,624 |
Gross unrealized losses | (9,564,100) |
Net unrealized losses | $(8,424,476) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 328,442,886 | $0 | $ 328,442,886 |
Asset-backed securities | 0 | 54,051,381 | 0 | 54,051,381 |
Non-agency mortgage-backed securities | 0 | 61,742,074 | 0 | 61,742,074 |
U.S. Treasury securities | 183,959,084 | 0 | 0 | 183,959,084 |
Short-term investments | ||||
Investment companies | 6,302,238 | 0 | 0 | 6,302,238 |
190,261,322 | 444,236,341 | 0 | 634,497,663 | |
Futures contracts | 781,836 | 0 | 0 | 781,836 |
Total assets | $191,043,158 | $444,236,341 | $0 | $635,279,499 |
Liabilities | ||||
Futures contracts | $ 638,541 | $ 0 | $0 | $ 638,541 |
Total liabilities | $ 638,541 | $ 0 | $0 | $ 638,541 |
Average daily net assets | Management fee |
First $1 billion | 0.350% |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Class R6 | 0.03 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.78% |
Class C | 1.53 |
Class R6 | 0.37 |
Administrator Class | 0.60 |
Institutional Class | 0.42 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$933,958,110 | $193,152,861 | $1,019,294,717 | $95,807,062 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317341img2a43ea241.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA220/SAR220 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317343imge4723e4a1.jpg)
Short-Term Bond Plus Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317343img0b6dc7132.gif)
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡, Michal Stanczyk, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (SSTVX) | 8-31-1999 | -3.61 | 1.69 | 1.50 | -1.65 | 2.10 | 1.70 | 0.83 | 0.74 | ||
Class C (WFSHX) | 3-31-2008 | -3.27 | 1.34 | 0.95 | -2.27 | 1.34 | 0.95 | 1.58 | 1.49 | ||
Class R6 (SSTYX)3 | 7-31-2018 | – | – | – | -1.23 | 2.38 | 2.00 | 0.45 | 0.42 | ||
Institutional Class (SSHIX) | 8-31-1999 | – | – | – | -1.28 | 2.36 | 1.99 | 0.50 | 0.47 | ||
Bloomberg U.S. 1-3 Year Government/Credit Bond Index4 | – | – | – | – | -1.62 | 1.55 | 1.23 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.02% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.72% for Class A, 1.47% for Class C, 0.40% for Class R6, and 0.45% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. 1-3 Year Government/Credit Bond Index is the one- to three-year component of the Bloomberg U.S. Government/Credit Bond Index that includes securities in the Government and Credit Indexes. The Government Index includes Treasuries (that is, public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (that is, publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
U.S. Treasury Note, 0.25%, 5-15-2024 | 3.55 |
U.S. Treasury Note, 0.38%, 12-31-2025 | 2.03 |
Invesco BulletShares 2022 High Yield Corporate Bond ETF | 1.08 |
U.S. Treasury Note, 0.25%, 3-15-2024 | 0.86 |
CPS Auto Receivables Trust 2021-A Class D, 1.16%, 12-15-2026 | 0.78 |
OPG Trust 2021 Port , 0.90%, 10-15-2036 | 0.75 |
Renesas Electronics Corporation, 1.54%, 11-26-2024 | 0.72 |
Invesco BulletShares 2023 High Yield Corporate Bond ETF | 0.68 |
Wind River CLO Limited Series 2013-2A Class AR, 1.24%, 10-18-2030 | 0.68 |
CIFC Funding Limited Series 2018-1A Class A , 1.24%, 4-18-2031 | 0.68 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317343img20bc754c4.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 981.24 | $3.49 | 0.71% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.27 | $3.56 | 0.71% |
Class C | ||||
Actual | $1,000.00 | $ 977.57 | $7.21 | 1.47% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.50 | $7.35 | 1.47% |
Class R6 | ||||
Actual | $1,000.00 | $ 982.76 | $1.97 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.81 | $2.01 | 0.40% |
Institutional Class | ||||
Actual | $1,000.00 | $ 982.54 | $2.21 | 0.45% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.56 | $2.26 | 0.45% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 0.98% | ||||||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16% | 9-1-2031 | $ | 1,890 | $ 1,888 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.36 | 4-1-2038 | 97,147 | 101,214 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 4-1-2032 | 16,651 | 16,724 | ||
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 7-1-2029 | 339 | 339 | ||
FHLMC (3 Year Treasury Constant Maturity +2.27%) ± | 3.08 | 5-1-2026 | 6,641 | 6,633 | ||
FHLMC | 3.50 | 10-15-2025 | 148,725 | 152,911 | ||
FHLMC | 4.00 | 5-1-2025 | 208,216 | 215,971 | ||
FHLMC Series 2597 Class AE | 5.50 | 4-15-2033 | 14,644 | 15,505 | ||
FHLMC Series 2642 Class AR | 4.50 | 7-15-2023 | �� 32,912 | 33,404 | ||
FHLMC Series 3609 Class LA | 4.00 | 12-15-2024 | 1 | 1 | ||
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 0.84 | 5-25-2044 | 359,152 | 359,175 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 228,100 | 276,703 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.43 | 7-25-2043 | 53,547 | 55,721 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.29 | 10-25-2043 | 598,245 | 666,520 | ||
FHMLC Series 4358 Class DA | 3.00 | 6-15-2040 | 116,859 | 117,027 | ||
FNMA (1 Year Treasury Constant Maturity +1.27%) ± | 1.40 | 8-1-2034 | 74,243 | 74,227 | ||
FNMA (12 Month LIBOR +1.77%) ± | 2.05 | 7-1-2044 | 313,865 | 329,341 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 24,177 | 24,175 | ||
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.36 | 8-1-2036 | 510,551 | 535,479 | ||
FNMA øø | 4.00 | 6-25-2026 | 141,517 | 148,868 | ||
FNMA | 4.00 | 8-25-2037 | 83,118 | 84,733 | ||
FNMA | 5.50 | 3-1-2023 | 20,984 | 21,192 | ||
FNMA | 6.00 | 3-1-2033 | 140,407 | 153,032 | ||
FNMA | 6.50 | 8-1-2031 | 129,331 | 145,952 | ||
FNMA | 9.00 | 11-1-2024 | 11,248 | 11,402 | ||
FNMA Grantor Trust Series 2002-T12 Class A4 | 9.50 | 5-25-2042 | 366,510 | 421,915 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 18,740 | 21,984 | ||
FNMA Series 2003-41 Class PE | 5.50 | 5-25-2023 | 27,251 | 27,663 | ||
FNMA Series 2003-W11 Class A1 ±± | 2.99 | 6-25-2033 | 3,980 | 4,035 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.12 | 8-25-2042 | 328,103 | 336,509 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.17 | 10-25-2042 | 38,492 | 45,413 | ||
FNMA Series 2005-84 Class MB | 5.75 | 10-25-2035 | 139,277 | 150,869 | ||
FNMA Series 2006-W1 Class 2AF2 (1 Month LIBOR +0.19%) ± | 0.38 | 2-25-2046 | 694,900 | 684,881 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 396,513 | 405,868 | ||
GNMA | 4.50 | 4-20-2035 | 33,598 | 34,971 | ||
GNMA | 8.00 | 12-15-2023 | 2,525 | 2,586 | ||
Total Agency securities (Cost $5,445,164) | 5,684,831 | |||||
Asset-backed securities: 16.00% | ||||||
American Airlines Pass-Through Trust Series 2014-1 Class B | 4.38 | 4-1-2024 | 873,415 | 874,699 | ||
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 2,638,237 | 2,573,960 | ||
AVIS Budget Rental Car Funding Series 2019-2A Class A 144A | 3.35 | 9-22-2025 | 3,000,000 | 3,082,673 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 2,220,000 | 2,218,131 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 2,225,000 | 2,237,482 | ||
Brean Asset-Backed Securities Trust 2021-RM2 Class A 144A±± | 1.75 | 10-25-2061 | 1,981,654 | 1,877,070 | ||
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 996,250 | 977,969 | ||
Chase Auto Credit Linked Note Series 2020-1 Class B 144A | 0.99 | 1-25-2028 | 2,289,899 | 2,281,080 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56% | 9-25-2045 | $ | 1,005,624 | $ 1,020,082 | |
CPS Auto Receivables Trust 2021-A Class D 144A | 1.16 | 12-15-2026 | 4,645,000 | 4,543,576 | ||
CPS Auto Trust Series 2020-A Class D 144A | 2.90 | 12-15-2025 | 3,750,000 | 3,783,208 | ||
Dell Equipment Finance Trust Series 2020-1 Class D 144A | 5.92 | 3-23-2026 | 918,000 | 942,589 | ||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 3,126,750 | 3,181,093 | ||
Drive Auto Receivables Trust Series 2018-4 Class D | 4.09 | 1-15-2026 | 2,338,503 | 2,366,138 | ||
Drive Auto Receivables Trust Series 2019 Class 3D | 3.18 | 10-15-2026 | 2,715,000 | 2,761,809 | ||
DT Auto Owner Trust Series 2020-2A Class C 144A | 3.28 | 3-16-2026 | 1,937,000 | 1,965,324 | ||
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 1.19 | 12-25-2056 | 406,381 | 408,170 | ||
Finance of America HECM Buyout 2020 Series HB2 Class A7 144A±± | 1.71 | 7-25-2030 | 1,819,090 | 1,797,504 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 750,000 | 743,758 | ||
GM Financial Securitized Term Trust Series 2018-4 Class C | 3.62 | 6-17-2024 | 300,000 | 303,970 | ||
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 1.63 | 5-2-2023 | 1,849,928 | 1,854,297 | ||
Gracie Point International Funding Series 2021-1A Class B (1 Month LIBOR +1.40%) 144A± | 1.51 | 11-1-2023 | 1,500,000 | 1,497,870 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 2,325,000 | 2,258,295 | ||
Lendmark Funding Trust Series 2019-2A Class A 144A | 2.78 | 4-20-2028 | 3,000,000 | 3,024,528 | ||
Mercury Financial Credit Card Master Trust 144A | 1.54 | 3-20-2026 | 1,600,000 | 1,583,344 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 3,000,000 | 2,954,477 | ||
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 1,764,311 | 1,699,974 | ||
NBC Funding LLC Series 2021 Class A2 144A | 2.99 | 7-30-2051 | 3,233,750 | 3,118,823 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 1,042,556 | 1,042,622 | ||
Ocwen Master Advance Receivable Trust Series 2020-T1 Class AT1 144A | 1.28 | 8-15-2052 | 2,744,947 | 2,744,330 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 2,060,037 | 2,043,428 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 3,466,999 | 3,421,521 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 2,010,000 | 1,952,795 | ||
Prodigy Finance Series 2021 Class A (1 Month LIBOR +1.25%) 144A± | 1.44 | 7-25-2051 | 3,196,560 | 3,189,921 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 3,500,000 | 3,476,591 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 2,775,809 | 2,717,933 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 0.87 | 12-17-2068 | 2,500,000 | 2,483,890 | ||
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 0.84 | 12-27-2038 | 1,448,785 | 1,442,141 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 0.74 | 5-26-2055 | 727,083 | 712,336 | ||
SLM Student Loan Trust Series 2014-A Class B 144A | 3.50 | 11-15-2044 | 1,339,389 | 1,340,969 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
SoFi Consumer Loan Program Series 2019 Class C 144A | 2.84% | 8-25-2028 | $ | 2,185,000 | $ 2,200,130 | |
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 1,262,823 | 1,249,987 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 2,753,100 | 2,636,644 | ||
Tidewater Auto Receivables Series 2018-AA Class D 144A | 4.30 | 11-15-2024 | 1,698,861 | 1,699,571 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 0.79 | 1-25-2046 | 795,829 | 793,716 | ||
Total Asset-backed securities (Cost $94,476,873) | 93,080,418 | |||||
Corporate bonds and notes: 25.47% | ||||||
Consumer discretionary: 2.84% | ||||||
Hotels, restaurants & leisure: 0.97% | ||||||
Genting New York LLC 144A | 3.30 | 2-15-2026 | 1,080,000 | 1,039,050 | ||
Hyatt Hotels Corporation | 1.30 | 10-1-2023 | 1,755,000 | 1,727,135 | ||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 2,155,000 | 2,124,311 | ||
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 715,000 | 767,460 | ||
5,657,956 | ||||||
Household durables: 0.37% | ||||||
Lennar Corporation | 4.75 | 11-15-2022 | 251,000 | 254,586 | ||
Lennar Corporation | 5.88 | 11-15-2024 | 1,770,000 | 1,899,578 | ||
2,154,164 | ||||||
Internet & direct marketing retail: 0.35% | ||||||
QVC Incorporated | 4.85 | 4-1-2024 | 2,000,000 | 2,025,000 | ||
Textiles, apparel & luxury goods: 1.15% | ||||||
Michael Kors USA Incorporated 144A | 4.50 | 11-1-2024 | 2,241,000 | 2,301,866 | ||
Ralph Lauren Corporation | 1.70 | 6-15-2022 | 1,380,000 | 1,382,537 | ||
Tapestry Incorporated | 3.00 | 7-15-2022 | 3,005,000 | 3,018,014 | ||
6,702,417 | ||||||
Consumer staples: 1.18% | ||||||
Food & staples retailing: 0.13% | ||||||
7 Eleven Incorporated 144A | 0.80 | 2-10-2024 | 770,000 | 751,534 | ||
Food products: 0.35% | ||||||
Land O'Lakes Incorporated 144A | 6.00 | 11-15-2022 | 2,000,000 | 2,040,855 | ||
Tobacco: 0.70% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | 1,515,000 | 1,721,996 | ||
BAT Capital Corporation | 2.79 | 9-6-2024 | 2,350,000 | 2,364,416 | ||
4,086,412 | ||||||
Energy: 1.25% | ||||||
Oil, gas & consumable fuels: 1.25% | ||||||
Energy Transfer Operating Company | 3.60 | 2-1-2023 | 1,188,000 | 1,200,586 | ||
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 2,205,000 | 2,251,424 |
Interest rate | Maturity date | Principal | Value | |||
Oil, gas & consumable fuels (continued) | ||||||
Plains All American Pipeline LP | 4.65% | 10-15-2025 | $ | 758,000 | $ 802,573 | |
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 3,000,000 | 3,038,687 | ||
7,293,270 | ||||||
Financials: 13.35% | ||||||
Banks: 4.12% | ||||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81 | 10-24-2024 | 3,000,000 | 2,928,073 | ||
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 2,500,000 | 2,428,594 | ||
Bank of America Corporation (U.S. SOFR +0.91%) ± | 1.66 | 3-11-2027 | 2,370,000 | 2,270,043 | ||
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 1,000,000 | 1,022,599 | ||
Citigroup Incorporated (U.S. SOFR +1.28%) ± | 3.07 | 2-24-2028 | 2,500,000 | 2,519,971 | ||
Credit Suisse New York | 2.95 | 4-9-2025 | 2,250,000 | 2,278,952 | ||
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 2,000,000 | 1,922,375 | ||
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 1,220,000 | 1,180,359 | ||
JPMorgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 835,000 | 781,296 | ||
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 3,000,000 | 2,988,339 | ||
JPMorgan Chase & Company (3 Month LIBOR +0.70%) ± | 3.21 | 4-1-2023 | 1,080,000 | 1,081,591 | ||
Santander Holdings USA Incorporated | 3.40 | 1-18-2023 | 2,500,000 | 2,536,986 | ||
23,939,178 | ||||||
Capital markets: 1.81% | ||||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.63 | 11-17-2023 | 1,500,000 | 1,487,639 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +0.91%) ± | 1.95 | 10-21-2027 | 3,000,000 | 2,874,450 | ||
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 2,000,000 | 1,972,345 | ||
Morgan Stanley (U.S. SOFR +1.99%) ± | 2.19 | 4-28-2026 | 2,305,000 | 2,275,121 | ||
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 2,000,000 | 1,929,737 | ||
10,539,292 | ||||||
Consumer finance: 2.56% | ||||||
BMW US Capital LLC 144A | 3.90 | 4-9-2025 | 1,000,000 | 1,045,882 | ||
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 2,580,000 | 2,535,389 | ||
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 2,000,000 | 1,940,220 | ||
General Motors Financial Company Incorporated | 1.70 | 8-18-2023 | 1,000,000 | 995,873 | ||
General Motors Financial Company Incorporated | 2.35 | 2-26-2027 | 2,000,000 | 1,938,306 | ||
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 1,115,000 | 1,053,268 | ||
Hyundai Capital America Company 144A | 2.38 | 2-10-2023 | 1,695,000 | 1,699,788 | ||
Nissan Motor Acceptance Corporation 144A | 3.88 | 9-21-2023 | 2,030,000 | 2,073,575 | ||
Volkswagen Group of America Finance LLC 144A | 2.70 | 9-26-2022 | 1,600,000 | 1,609,409 | ||
14,891,710 | ||||||
Diversified financial services: 1.87% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 1,335,000 | 1,315,037 | ||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 1,000,000 | 959,598 | ||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 1,900,000 | 1,941,310 | ||
Jackson Financial Incorporated 144A | 1.13 | 11-22-2023 | 965,000 | 949,336 |
Interest rate | Maturity date | Principal | Value | |||
Diversified financial services (continued) | ||||||
National Securities Clearing Corporation 144A | 1.50% | 4-23-2025 | $ | 3,750,000 | $ 3,678,370 | |
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 2,000,000 | 2,048,279 | ||
10,891,930 | ||||||
Insurance: 2.85% | ||||||
Athene Global Funding 144A | 2.50 | 1-14-2025 | 2,705,000 | 2,700,333 | ||
Brighthouse Financial Incorporated 144A | 1.00 | 4-12-2024 | 2,000,000 | 1,946,971 | ||
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 3,022,000 | 2,920,680 | ||
Met Tower Global Funding 144A | 0.70 | 4-5-2024 | 2,000,000 | 1,950,229 | ||
Minnesota Life Insurance Company 144A | 8.25 | 9-15-2025 | 1,805,000 | 2,125,414 | ||
OneBeacon US Holdings Incorporated | 4.60 | 11-9-2022 | 2,285,000 | 2,321,322 | ||
Protective Life Global 144A | 1.62 | 4-15-2026 | 2,370,000 | 2,280,604 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 335,000 | 326,462 | ||
16,572,015 | ||||||
Mortgage REITs: 0.14% | ||||||
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 65,000 | 63,619 | ||
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 750,000 | 764,063 | ||
827,682 | ||||||
Health care: 0.74% | ||||||
Health care providers & services: 0.74% | ||||||
Dignity Health | 3.13 | 11-1-2022 | 2,255,000 | 2,281,509 | ||
HCA Incorporated | 5.25 | 4-15-2025 | 1,870,000 | 2,007,541 | ||
4,289,050 | ||||||
Industrials: 1.79% | ||||||
Aerospace & defense: 0.53% | ||||||
The Boeing Company | 4.51 | 5-1-2023 | 2,000,000 | 2,054,991 | ||
The Boeing Company | 4.88 | 5-1-2025 | 1,000,000 | 1,063,083 | ||
3,118,074 | ||||||
Airlines: 1.13% | ||||||
American Airline Series 2014-1 | 3.70 | 4-15-2027 | 1,938,385 | 1,847,128 | ||
Continental Airlines Series 2007 Class 1 | 5.98 | 10-19-2023 | 622,302 | 625,450 | ||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 2,455,000 | 2,520,319 | ||
Delta Airlines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 848,038 | 866,368 | ||
United Airlines Pass-Through Trust Certificates Series 2020-1 Class B | 4.88 | 7-15-2027 | 699,840 | 714,277 | ||
6,573,542 | ||||||
Trading companies & distributors: 0.13% | ||||||
Aircastle Limited 144A | 5.25 | 8-11-2025 | 700,000 | 746,954 | ||
Information technology: 0.87% | ||||||
IT services: 0.35% | ||||||
Kyndryl Holdings Incorporated 144A | 2.05 | 10-15-2026 | 2,150,000 | 2,028,139 | ||
Semiconductors & semiconductor equipment: 0.27% | ||||||
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 1,525,000 | 1,538,643 |
Interest rate | Maturity date | Principal | Value | |||
Software: 0.25% | ||||||
Fortinet Incorporated | 1.00% | 3-15-2026 | $ | 1,565,000 | $ 1,467,375 | |
Real estate: 1.92% | ||||||
Equity REITs: 1.92% | ||||||
EPR Properties Company | 4.50 | 4-1-2025 | 1,500,000 | 1,540,479 | ||
Omega Healthcare Investors Incorporated | 4.50 | 1-15-2025 | 2,325,000 | 2,421,358 | ||
Piedmont Operating Partnership LP | 4.45 | 3-15-2024 | 1,765,000 | 1,827,687 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 1,490,000 | 1,583,059 | ||
SBA Tower Trust 144A | 3.45 | 3-15-2048 | 2,335,000 | 2,342,020 | ||
Service Properties Trust | 4.50 | 6-15-2023 | 1,500,000 | 1,484,400 | ||
11,199,003 | ||||||
Utilities: 1.53% | ||||||
Electric utilities: 0.38% | ||||||
Southern California Edison Company | 0.70 | 4-3-2023 | 2,200,000 | 2,173,938 | ||
Gas utilities: 0.57% | ||||||
One Gas Incorporated | 0.85 | 3-11-2023 | 3,350,000 | 3,321,943 | ||
Independent power & renewable electricity producers: 0.26% | ||||||
TerraForm Power Operating LLC 144A | 4.25 | 1-31-2023 | 1,500,000 | 1,501,875 | ||
Multi-utilities: 0.32% | ||||||
CenterPoint Energy Incorporated ± | 0.70 | 3-2-2023 | 765,000 | 757,009 | ||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 0.70 | 5-13-2024 | 680,000 | 680,126 | ||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 1.00 | 3-2-2023 | 443,000 | 443,005 | ||
1,880,140 | ||||||
Total Corporate bonds and notes (Cost $150,542,475) | 148,212,091 | |||||
Foreign corporate bonds and notes: 1.61% | ||||||
Communication services: 0.29% | ||||||
Media: 0.29% | ||||||
SES SA Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.19%) ʊ± | 2.88 | 5-27-2026 | EUR | 1,625,000 | 1,671,713 | |
Financials: 0.67% | ||||||
Banks: 0.67% | ||||||
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 2,500,000 | 2,795,320 | |
Permanent TSB Group (EUR Swap Annual (vs. 6 Month EURIBOR) 1 Year +2.55%) ± | 2.13 | 9-26-2024 | EUR | 1,000,000 | 1,117,630 | |
3,912,950 | ||||||
Industrials: 0.37% | ||||||
Containers & packaging: 0.27% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 1,500,000 | 1,581,298 | |
Electrical equipment: 0.10% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 500,000 | 557,934 |
Interest rate | Maturity date | Principal | Value | |||
Real estate: 0.28% | ||||||
Equity REITs: 0.28% | ||||||
Aedas Homes Opco SLU 144A | 4.00% | 8-15-2026 | EUR | 1,500,000 | $ 1,656,646 | |
Total Foreign corporate bonds and notes (Cost $10,104,251) | 9,380,541 | |||||
Foreign government bonds: 1.40% | ||||||
Brazil ¤ | 0.00 | 1-1-2024 | BRL | 17,000,000 | 2,680,467 | |
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 19,000,000 | 2,847,315 | |
Hungary Government Bond | 1.50 | 8-23-2023 | HUF | 350,000,000 | 1,000,982 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 22,600,000 | 1,632,476 | |
Total Foreign government bonds (Cost $8,792,848) | 8,161,240 |
Shares | ||||||
Investment companies: 1.76% | ||||||
Exchange-traded funds: 1.76% | ||||||
Invesco BulletShares 2022 High Yield Corporate Bond ETF « | 272,000 | 6,256,000 | ||||
Invesco BulletShares 2023 High Yield Corporate Bond ETF « | 161,500 | 3,985,820 | ||||
Total Investment companies (Cost $10,158,881) | 10,241,820 |
Principal | ||||||
Loans: 0.92% | ||||||
Communication services: 0.44% | ||||||
Media: 0.44% | ||||||
CSC Holdings LLC (3 Month LIBOR +2.25%) ± | 2.44 | 7-17-2025 | $ | 1,968,992 | 1,907,146 | |
Nexstar Broadcasting Incorporated (3 Month LIBOR +2.25%) ± | 2.46 | 1-17-2024 | 679,997 | 676,706 | ||
2,583,852 | ||||||
Financials: 0.17% | ||||||
Diversified financial services: 0.17% | ||||||
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.00%) ± | 4.50 | 5-30-2025 | 1,000,000 | 991,880 | ||
Health care: 0.14% | ||||||
Pharmaceuticals: 0.14% | ||||||
Bausch Health Companies Incorporated (3 Month LIBOR +3.00%) ± | 3.21 | 6-2-2025 | 806,704 | 798,137 | ||
Industrials: 0.17% | ||||||
Aerospace & defense: 0.17% | ||||||
TransDigm Incorporated (1 Month LIBOR +2.25%) ± | 2.46 | 8-22-2024 | 987,406 | 971,587 | ||
Total Loans (Cost $5,358,009) | 5,345,456 |
Interest rate | Maturity date | Principal | Value | |||
Municipal obligations: 0.71% | ||||||
Georgia: 0.18% | ||||||
Health revenue: 0.18% | ||||||
Georgia Medical Center Hospital Authority Taxable Refunding Bond | 4.88% | 8-1-2022 | $ | 1,000,000 | $ 1,015,920 | |
Indiana: 0.18% | ||||||
Education revenue: 0.18% | ||||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 0.91 | 2-25-2044 | 1,073,473 | 1,073,998 | ||
New Jersey: 0.35% | ||||||
Miscellaneous revenue: 0.35% | ||||||
New Jersey Transportation Trust Fund Authority System Series B | 2.55 | 6-15-2023 | 2,000,000 | 2,020,862 | ||
Total Municipal obligations (Cost $4,068,639) | 4,110,780 | |||||
Non-agency mortgage-backed securities: 24.47% | ||||||
Ajax Mortgage Loan Trust Series 2021-E Class A1 144A±± | 1.74 | 12-25-2060 | 3,527,998 | 3,376,550 | ||
Anchorage Capital CLO Limited Series 2015-6A Class B2RR (3 Month LIBOR +1.85%) 144A± | 2.09 | 7-15-2030 | 4,000,000 | 3,970,160 | ||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 685,075 | 678,401 | ||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 1,123,692 | 1,114,484 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 1.81 | 9-20-2029 | 3,000,000 | 2,972,493 | ||
Auburn CLO Limited Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 1.87 | 10-20-2030 | 470,000 | 464,083 | ||
Bayview Opportunity Master Fund Trust Series 2017 Class RT5 144A±± | 3.50 | 5-28-2069 | 1,479,980 | 1,483,078 | ||
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 1.31 | 4-24-2029 | 2,933,219 | 2,924,830 | ||
Bravo Residential Funding Trust Series 2019-NQM1 Class A1 144A±± | 2.67 | 7-25-2059 | 290,573 | 288,069 | ||
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 0.80 | 11-25-2069 | 2,956,308 | 2,953,033 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144Aøø | 2.72 | 11-25-2059 | 539,395 | 540,365 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 2.09 | 10-15-2036 | 2,165,000 | 2,102,565 | ||
Carlyle Global Market Series 2015-1A Class CR3 (3 Month LIBOR +2.00%) 144A± | 2.25 | 7-20-2031 | 3,000,000 | 2,956,602 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 271,350 | 274,938 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 852,058 | 859,482 | ||
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 3,305,255 | 3,289,374 | ||
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 2,507,549 | 2,478,506 | ||
CIFC Funding Limited CIFC Series 2017-2A (3 Month LIBOR +1.85%) 144A± | 2.10 | 4-20-2030 | 1,250,000 | 1,239,296 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 1.24% | 4-18-2031 | $ | 4,000,000 | $ 3,976,833 | |
Citigroup Commercial Mortgage Trust Series 2017-MDRB Class A (1 Month LIBOR +1.10%) ± | 1.29 | 7-15-2030 | 258,856 | 258,121 | ||
Citigroup Mortgage Loan Trust Series 2019-IMC1 Class A3 144A±± | 3.03 | 7-25-2049 | 550,712 | 549,667 | ||
Colt Funding LLC Series 2020-1R Class A1 144A±± | 1.26 | 9-25-2065 | 685,019 | 678,819 | ||
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 494,311 | 494,604 | ||
Commercial Mortgage Trust Series 2012-CR4 Class A | 3.25 | 10-15-2045 | 2,000,000 | 1,994,924 | ||
Commercial Mortgage Trust Series 2014-CR14 Class B ±± | 4.60 | 2-10-2047 | 680,000 | 696,615 | ||
Commercial Mortgage Trust Series 2015-DC1 Class A3 | 3.22 | 2-10-2048 | 187,803 | 187,767 | ||
ContiMortgage Home Equity Loan Trust ±± | 0.00 | 7-15-2027 | 461,651 | 6,163 | ||
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 2.01 | 6-19-2031 | 74,844 | 75,292 | ||
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 1,062,380 | 1,049,394 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 1,703,207 | 1,664,519 | ||
CSAIL Commercial Mortgage Trust Series 2016-C5 Class A4 | 3.49 | 11-15-2048 | 1,378,622 | 1,402,702 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 1.19 | 12-19-2030 | 550,000 | 544,484 | ||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 2.36 | 5-15-2032 | 1,000,000 | 991,804 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 1.25 | 9-25-2033 | 164,724 | 163,998 | ||
First Key Homes Series 2021 Class B 144A | 1.61 | 9-17-2038 | 2,235,000 | 2,083,797 | ||
First Key Homes Series 2021 Class C 144A | 1.89 | 8-17-2038 | 1,835,000 | 1,716,140 | ||
Freedom Financial Trust Series 2021-1CP Class A 144A | 0.66 | 3-20-2028 | 548,870 | 547,782 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 1.93 | 11-16-2036 | 2,000,000 | 1,989,956 | ||
FWD Securitization Trust Series 2020-INV1 Class A3 144A±± | 2.44 | 1-25-2050 | 1,090,119 | 1,075,601 | ||
Galton Funding Mortgage Trust Series 2020-H1 Class A1 144A±± | 2.31 | 1-25-2060 | 130,494 | 130,499 | ||
GCAT Series 2021-NQM1 Class A1 144A±± | 0.87 | 1-25-2066 | 1,850,069 | 1,811,155 | ||
Golden National Mortgage Asset-Backed Certificates Series 1998-GN1 Class M2 | 8.02 | 2-25-2027 | 34,322 | 34,023 | ||
Goldman Sachs Mortgage Securities Trust Series 2012-ALOH Class A 144A | 3.55 | 4-10-2034 | 2,414,000 | 2,408,400 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-G1 Class A2 144A±± | 3.56 | 4-10-2031 | 530,140 | 523,478 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,232,901 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 115,856 | 113,189 | ||
Harbor Group International CLO Limited Series 2021-FL1 Class A (1 Month LIBOR +1.05%) 144A± | 1.18 | 6-16-2036 | 1,782,000 | 1,772,151 | ||
Harbor Group International CLO Limited Series 2021-FL2 Class C (1 Month LIBOR +1.80%) 144A± | 1.93 | 9-17-2036 | 1,000,000 | 993,650 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 1.19 | 11-15-2036 | 1,706,332 | 1,687,170 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60% | 11-25-2056 | $ | 2,917,640 | $ 2,741,945 | |
InTown Hotel Portfolio Trust Series 2018-STAY Class A (1 Month LIBOR +1.10%) 144A± | 1.29 | 1-15-2033 | 550,000 | 547,919 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-C8 Class A3 | 2.83 | 10-15-2045 | 2,272,322 | 2,279,832 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class A4 | 2.69 | 4-15-2046 | 1,608,504 | 1,614,940 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.06%) 144A± | 2.56 | 6-15-2035 | 566,915 | 558,331 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 1.15 | 7-15-2036 | 2,500,000 | 2,481,188 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2020 Class A7 144A±± | 3.50 | 7-25-2050 | 1,282,810 | 1,282,004 | ||
LoanCore Limited Series 2018-CRE1 Class A (1 Month LIBOR +1.13%) 144A± | 1.32 | 5-15-2028 | 418,473 | 418,126 | ||
Madison Park Funding Limited Series 2012-0A (3 Month LIBOR +1.55%) 144A± | 1.82 | 7-27-2030 | 1,570,000 | 1,552,542 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 4,000,000 | �� 3,931,125 | ||
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.49 | 10-25-2032 | 893 | 908 | ||
MED Trust Series 2021-MDLN Class B (1 Month LIBOR +1.45%) 144A± | 1.64 | 11-15-2038 | 3,000,000 | 2,953,135 | ||
Mello Warehouse Securitization Trust Series 2020-2 Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 11-25-2053 | 1,940,000 | 1,927,731 | ||
Mello Warehouse Securitization Trust Series 2021-1 Class B (1 Month LIBOR +0.90%) 144A± | 1.09 | 2-25-2055 | 1,460,000 | 1,449,372 | ||
Mello Warehouse Securitization Trust Series 2021-2 Class C (1 Month LIBOR +1.10%) 144A± | 1.29 | 4-25-2055 | 1,825,000 | 1,811,478 | ||
MF1 Multifamily Housing Mortgage Series 2020-FL3 Class A (U.S. SOFR 1 Month +2.16%) 144A± | 2.21 | 7-15-2035 | 271,597 | 271,167 | ||
MF1 Multifamily Housing Mortgage Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 1.04 | 7-15-2036 | 2,727,683 | 2,700,288 | ||
MFRA Trust Series 2020-NQM1 Class A2 144A±± | 1.79 | 8-25-2049 | 857,819 | 848,685 | ||
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 1,451,467 | 1,439,869 | ||
New Residential Mortgage Loan Series 2018-5A Class A1A 144A±± | 4.25 | 12-25-2057 | 2,476,279 | 2,534,271 | ||
New Residential Mortgage Loan Series 2019-6A Class A1B 144A±± | 3.50 | 9-25-2059 | 941,360 | 954,811 | ||
New York Mortgage Trust Series 2022 Class A1 144A | 2.04 | 7-25-2061 | 3,436,953 | 3,395,307 | ||
Oaktree CLO Limited Series 15-1A Class A1R (3 Month LIBOR +0.87%) 144A± | 1.12 | 10-20-2027 | 260,472 | 260,052 | ||
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A±± | 1.22 | 12-29-2051 | 1,675,906 | 1,666,195 | ||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 1.70 | 3-17-2030 | 2,190,000 | 2,168,582 | ||
OPG Trust 2021 Port (1 Month LIBOR +0.71%) 144A± | 0.90 | 10-15-2036 | 4,600,000 | 4,377,044 | ||
PKHL Commercial Mortgage Trust PKHL Series 2021 Class B (1 Month LIBOR +1.18%) 144A± | 1.37 | 7-15-2038 | 3,342,000 | 3,267,790 | ||
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 370,659 | 371,581 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10 | 1-25-2065 | 462,240 | 456,397 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 1.79% | 4-15-2030 | $ | 2,660,000 | $ 2,620,510 | |
Starwood Mortgage Residential Trust Series 2019-INV1 Class A1 144A±± | 2.61 | 9-27-2049 | 258,913 | 259,858 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 1,452,077 | 1,441,330 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 933,468 | 939,088 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 514,366 | 516,221 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1 144A±± | 2.90 | 10-25-2059 | 666,733 | 671,996 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 371,402 | 373,335 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 1.04 | 2-15-2032 | 1,459,270 | 1,447,068 | ||
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 1,702,493 | 1,664,423 | ||
Verus Securitization Trust Series 2021-8 Class A2 144A±± | 2.29 | 11-25-2066 | 2,497,515 | 2,437,261 | ||
Verus Securitization Trust Series 2021-R1 Class A2 144A±± | 1.06 | 10-25-2063 | 228,408 | 226,400 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 1,679,039 | 1,660,023 | ||
Vibrant CLO Limited (3 Month LIBOR +0.95%) 144A± | 1.16 | 6-20-2029 | 2,451,034 | 2,442,051 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 2.14 | 4-17-2030 | 2,500,000 | 2,477,890 | ||
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.42 | 8-25-2032 | 52,867 | 55,221 | ||
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.42 | 8-25-2032 | 36,630 | 36,433 | ||
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 2.08 | 12-28-2037 | 5,695 | 5,824 | ||
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 1.24 | 10-18-2030 | 4,000,000 | 3,977,032 | ||
ZAIS CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 2.89 | 7-15-2029 | 2,050,000 | 2,031,173 | ||
Total Non-agency mortgage-backed securities (Cost $144,294,295) | 142,367,659 | |||||
U.S. Treasury securities: 7.16% | ||||||
U.S. Treasury Note | 0.25 | 4-15-2023 | 135,000 | 133,603 | ||
U.S. Treasury Note | 0.25 | 3-15-2024 | 5,140,000 | 5,011,299 | ||
U.S. Treasury Note | 0.25 | 5-15-2024 | 21,250,000 | 20,659,814 | ||
U.S. Treasury Note | 0.38 | 12-31-2025 | 12,420,000 | 11,802,881 | ||
U.S. Treasury Note | 1.13 | 1-15-2025 | 1,560,000 | 1,537,941 | ||
U.S. Treasury Note | 1.50 | 1-31-2027 | 2,525,000 | 2,495,213 | ||
Total U.S. Treasury securities (Cost $42,472,580) | 41,640,751 | |||||
Yankee corporate bonds and notes: 14.81% | ||||||
Communication services: 0.41% | ||||||
Interactive media & services: 0.41% | ||||||
Tencent Holdings Limited 144A | 3.28 | 4-11-2024 | 2,310,000 | 2,359,088 |
Interest rate | Maturity date | Principal | Value | |||
Consumer discretionary: 1.91% | ||||||
Auto components: 0.42% | ||||||
Toyota Industries Corporation 144A | 3.11% | 3-12-2022 | $ | 2,460,000 | $ 2,461,301 | |
Automobiles: 0.44% | ||||||
Conti Gummi Finance BV | 1.13 | 9-25-2024 | 2,000,000 | 2,270,226 | ||
Stellantis NV | 5.25 | 4-15-2023 | 250,000 | 258,500 | ||
2,528,726 | ||||||
Hotels, restaurants & leisure: 0.11% | ||||||
Royal Caribbean Group | 4.25 | 6-15-2023 | 500,000 | 640,650 | ||
Household durables: 0.45% | ||||||
Panasonic Corporation 144A | 2.54 | 7-19-2022 | 2,600,000 | 2,608,249 | ||
Internet & direct marketing retail: 0.49% | ||||||
Prosus NV 144A | 3.26 | 1-19-2027 | 3,000,000 | 2,874,798 | ||
Energy: 0.86% | ||||||
Oil, gas & consumable fuels: 0.86% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.04%) ʊ± | 4.38 | 6-22-2025 | 3,000,000 | 3,000,000 | ||
Enbridge Incorporated | 2.50 | 2-14-2025 | 2,000,000 | 2,006,592 | ||
5,006,592 | ||||||
Financials: 9.39% | ||||||
Banks: 6.23% | ||||||
ANZ New Zealand International Company 144A« | 1.90 | 2-13-2023 | 2,200,000 | 2,210,884 | ||
Banco Internacional del Peru SAA Interbank 144A | 3.38 | 1-18-2023 | 1,305,000 | 1,314,396 | ||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ± | 0.70 | 6-30-2024 | 2,000,000 | 1,965,422 | ||
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 1,155,000 | 1,125,686 | ||
BNP Paribas (U.S. SOFR +1.00%) 144A± | 1.32 | 1-13-2027 | 1,545,000 | 1,452,433 | ||
BPCE SA 144A | 1.63 | 1-14-2025 | 3,000,000 | 2,944,323 | ||
Central American Bank 144A | 1.14 | 2-9-2026 | 2,500,000 | 2,391,875 | ||
Credicorp Limited 144A | 2.75 | 6-17-2025 | 3,000,000 | 2,927,794 | ||
Credit Suisse New York | 0.52 | 8-9-2023 | 1,080,000 | 1,059,933 | ||
Danske Bank A/S (1 Year Treasury Constant Maturity +0.55%) 144A± | 0.98 | 9-10-2025 | 2,000,000 | 1,922,233 | ||
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 1,500,000 | 1,496,442 | ||
Deutsche Bank | 3.30 | 11-16-2022 | 1,000,000 | 1,010,673 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 600,000 | 579,947 | ||
HSBC Holdings plc (U.S. SOFR +1.54%) ± | 1.65 | 4-18-2026 | 1,140,000 | 1,098,964 | ||
HSBC Holdings plc (U.S. SOFR +1.10%) ± | 2.25 | 11-22-2027 | 1,760,000 | 1,696,618 | ||
Intesa Sanpaolo SpA 144A | 3.25 | 9-23-2024 | 2,000,000 | 2,021,761 | ||
Mizuho Financial Group (U.S. SOFR +1.24%) ± | 2.84 | 7-16-2025 | 1,000,000 | 1,009,235 | ||
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 1,375,000 | 1,384,298 | ||
Nordea Bank AB 144A | 3.75 | 8-30-2023 | 2,000,000 | 2,052,451 | ||
Sumitomo Mitsui Financial Group (3 Month LIBOR +0.80%) ± | 1.04 | 10-16-2023 | 2,000,000 | 2,017,792 | ||
Sumitomo Mitsui Financial Group | 2.70 | 7-16-2024 | 2,510,000 | 2,533,805 | ||
36,216,965 |
Interest rate | Maturity date | Principal | Value | |||
Capital markets: 0.63% | ||||||
Macquarie Group Limited (U.S. SOFR +1.07%) 144A± | 1.34% | 1-12-2027 | $ | 1,885,000 | $ 1,781,845 | |
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 2,000,000 | 1,886,432 | ||
3,668,277 | ||||||
Consumer finance: 0.31% | ||||||
NTT Finance Corporation 144A | 0.37 | 3-3-2023 | 1,830,000 | 1,810,483 | ||
Diversified financial services: 1.38% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.65 | 10-29-2024 | 2,500,000 | 2,426,247 | ||
African Export Import BA 144A | 2.63 | 5-17-2026 | 550,000 | 526,625 | ||
Avolon Holdings Funding Limited 144A | 2.53 | 11-18-2027 | 862,000 | 807,185 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 965,000 | 1,027,358 | ||
Banco Bradesco 144A | 4.38 | 3-18-2027 | 300,000 | 302,628 | ||
Banco Latino Americano SA 144A | 2.38 | 9-14-2025 | 2,000,000 | 1,970,020 | ||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 1,000,000 | 972,500 | ||
8,032,563 | ||||||
Insurance: 0.46% | ||||||
Sompo International Holdings Limited | 4.70 | 10-15-2022 | 2,628,000 | 2,679,304 | ||
Thrifts & mortgage finance: 0.38% | ||||||
Nationwide Building Society 144A | 1.00 | 8-28-2025 | 2,360,000 | 2,231,899 | ||
Health care: 0.06% | ||||||
Pharmaceuticals: 0.06% | ||||||
Perrigo Company plc | 4.00 | 11-15-2023 | 323,000 | 330,109 | ||
Information technology: 1.12% | ||||||
Communications equipment: 0.40% | ||||||
Ericsson LM | 4.13 | 5-15-2022 | 2,300,000 | 2,308,901 | ||
Semiconductors & semiconductor equipment: 0.72% | ||||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 4,330,000 | 4,211,051 | ||
Materials: 0.35% | ||||||
Chemicals: 0.35% | ||||||
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 2,000,000 | 2,042,472 | ||
Real estate: 0.36% | ||||||
Equity REITs: 0.36% | ||||||
Scentre Group Trust 144A | 3.63 | 1-28-2026 | 2,000,000 | 2,075,351 | ||
Utilities: 0.35% | ||||||
Independent power & renewable electricity producers: 0.35% | ||||||
Colbun SA 144A | 4.50 | 7-10-2024 | 2,000,000 | 2,057,520 | ||
Total Yankee corporate bonds and notes (Cost $87,499,519) | 86,144,299 |
Interest rate | Maturity date | Principal | Value | |||
Short-term investments: 4.56% | ||||||
Commercial paper: 1.46% | ||||||
Corporación Andina de Fomento 144A☼ | 0.25% | 5-20-2022 | 2,500,000 | $ 2,497,559 | ||
Enel Finance International NV 144A☼ | 0.36 | 3-11-2022 | 3,000,000 | 2,999,753 | ||
HSBC USA Incorporated 144A☼ | 0.35 | 4-1-2022 | 3,000,000 | 2,999,312 | ||
8,496,624 |
Yield | Shares | |||||
Investment companies: 3.10% | ||||||
Allspring Government Money Market Fund Select Class ♠∞ | 0.03 | 15,845,224 | 15,845,224 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 2,209,250 | 2,209,250 | |||
18,054,474 | ||||||
Total Short-term investments (Cost $26,551,822) | 26,551,098 | |||||
Total investments in securities (Cost $589,765,356) | 99.85% | 580,920,984 | ||||
Other assets and liabilities, net | 0.15 | 853,450 | ||||
Total net assets | 100.00% | $581,774,434 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
øø | The interest rate is determined and reset by the issuer periodically depending upon the terms of the security. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
∞ | The rate represents the 7-day annualized yield at period end. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
HUF | Hungarian forint |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
ZAR | South African rand |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $22,126,301 | $118,599,858 | $(124,880,935) | $0 | $0 | $ 15,845,224 | 15,845,224 | $ 2,964 | ||
Securities Lending Cash Investments LLC | 667,600 | 19,258,770 | (17,717,120) | 0 | 0 | 2,209,250 | 2,209,250 | 182 # | ||
$0 | $0 | $18,054,474 | $3,146 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
22,600,000 USD | 1,413,489 ZAR | Morgan Stanley | 3-31-2022 | $ 0 | $ (50,976) | |
12,660,000 USD | 14,333,049 EUR | Morgan Stanley | 3-31-2022 | 120,997 | 0 | |
$120,997 | $(50,976) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 1,257 | 6-30-2022 | $269,648,832 | $270,539,788 | $ 890,956 | $ 0 | |
Short | |||||||
Euro-BOBL Futures | (38) | 3-8-2022 | (5,112,879) | (5,010,680) | 102,199 | 0 | |
10-Year U.S. Treasury Notes | (520) | 6-21-2022 | (4,543,190) | (4,587,750) | 0 | (44,560) | |
5-Year U.S. Treasury Notes | (36) | 6-30-2022 | (61,078,532) | (61,506,250) | 0 | (427,718) | |
$993,155 | $(472,278) |
Assets | |
Investments in unaffiliated securities (including $2,162,457 of securities loaned), at value (cost $571,710,882) | $ 562,866,510 |
Investments in affiliated securities, at value (cost $18,054,474) | 18,054,474 |
Cash | 832,000 |
Cash at broker segregated for futures contracts | 1,171,000 |
Foreign currency, at value (cost $13,714) | 14,102 |
Receivable for interest | 2,219,971 |
Receivable for Fund shares sold | 1,532,415 |
Receivable for daily variation margin on open futures contracts | 883,827 |
Unrealized gains on forward foreign currency contracts | 120,997 |
Principal paydown receivable | 3,887 |
Receivable for securities lending income, net | 441 |
Prepaid expenses and other assets | 87,580 |
Total assets | 587,787,204 |
Liabilities | |
Payable for investments purchased | 2,281,512 |
Payable upon receipt of securities loaned | 2,209,250 |
Payable for Fund shares redeemed | 665,097 |
Payable for daily variation margin on open futures contracts | 515,842 |
Management fee payable | 136,925 |
Unrealized losses on forward foreign currency contracts | 50,976 |
Administration fees payable | 45,009 |
Distribution fee payable | 2,933 |
Accrued expenses and other liabilities | 105,226 |
Total liabilities | 6,012,770 |
Total net assets | $581,774,434 |
Net assets consist of | |
Paid-in capital | $ 589,715,710 |
Total distributable loss | (7,941,276) |
Total net assets | $581,774,434 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 156,788,658 |
Shares outstanding – Class A1 | 17,951,536 |
Net asset value per share – Class A | $8.73 |
Maximum offering price per share – Class A2 | $8.91 |
Net assets – Class C | $ 5,062,558 |
Shares outstanding – Class C1 | 580,568 |
Net asset value per share – Class C | $8.72 |
Net assets – Class R6 | $ 19,891,067 |
Shares outstanding – Class R61 | 2,278,506 |
Net asset value per share – Class R6 | $8.73 |
Net assets – Institutional Class | $ 400,032,151 |
Shares outstanding – Institutional Class1 | 45,781,442 |
Net asset value per share – Institutional Class | $8.74 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/98 of net asset value. On investments of $100,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 5,289,704 |
Dividends | 159,261 |
Income from affiliated securities | 6,458 |
Total investment income | 5,455,423 |
Expenses | |
Management fee | 1,059,001 |
Administration fees | |
Class A | 132,789 |
Class C | 4,306 |
Class R6 | 4,110 |
Institutional Class | 162,550 |
Shareholder servicing fees | |
Class A | 207,483 |
Class C | 6,710 |
Distribution fee | |
Class C | 20,130 |
Custody and accounting fees | 15,546 |
Professional fees | 34,969 |
Registration fees | 29,962 |
Shareholder report expenses | 33,854 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 8,765 |
Total expenses | 1,729,767 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (87,482) |
Class A | (45,399) |
Class C | (1,099) |
Net expenses | 1,595,787 |
Net investment income | 3,859,636 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | 636,122 |
Forward foreign currency contracts | 563,786 |
Futures contracts | (1,247,984) |
Swap contracts | (86,887) |
Net realized losses on investments | (134,963) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (15,054,385) |
Forward foreign currency contracts | 8,675 |
Futures contracts | 467,665 |
Swap contracts | 91,265 |
Net change in unrealized gains (losses) on investments | (14,486,780) |
Net realized and unrealized gains (losses) on investments | (14,621,743) |
Net decrease in net assets resulting from operations | $(10,762,107) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 3,859,636 | $ 8,427,704 | ||
Net realized gains (losses) on investments | (134,963) | 5,410,137 | ||
Net change in unrealized gains (losses) on investments | (14,486,780) | (4,088,103) | ||
Net increase (decrease) in net assets resulting from operations | (10,762,107) | 9,749,738 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,275,113) | (4,371,256) | ||
Class C | (54,573) | (88,211) | ||
Class R6 | (432,660) | (938,088) | ||
Institutional Class | (6,191,526) | (7,974,832) | ||
Total distributions to shareholders | (8,953,872) | (13,372,387) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,081,685 | 9,661,068 | 3,139,712 | 28,458,791 |
Class C | 92,040 | 824,515 | 284,356 | 2,570,007 |
Class R6 | 114,276 | 1,010,432 | 1,264,284 | 11,449,057 |
Institutional Class | 11,051,529 | 98,514,028 | 27,299,468 | 247,209,753 |
110,010,043 | 289,687,608 | |||
Reinvestment of distributions | ||||
Class A | 241,896 | 2,148,268 | 458,328 | 4,146,649 |
Class C | 6,089 | 53,921 | 9,763 | 88,211 |
Class R6 | 2,053 | 18,206 | 783 | 7,069 |
Institutional Class | 566,223 | 5,029,711 | 667,665 | 6,042,969 |
7,250,106 | 10,284,898 | |||
Payment for shares redeemed | ||||
Class A | (2,777,805) | (24,759,271) | (3,009,123) | (27,264,373) |
Class C | (104,291) | (926,947) | (343,589) | (3,111,137) |
Class R6 | (1,399,885) | (12,421,360) | (1,589,516) | (14,408,643) |
Institutional Class | (10,843,888) | (96,524,195) | (10,620,580) | (96,232,227) |
(134,631,773) | (141,016,380) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (17,371,624) | 158,956,126 | ||
Total increase (decrease) in net assets | (37,087,603) | 155,333,477 | ||
Net assets | ||||
Beginning of period | 618,862,037 | 463,528,560 | ||
End of period | $ 581,774,434 | $ 618,862,037 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.02 | $9.09 | $8.84 | $8.65 | $8.77 | $8.78 |
Net investment income | 0.05 | 0.14 | 0.19 | 0.20 | 0.15 | 0.12 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.02 | 0.24 | 0.19 | (0.12) | (0.01) |
Total from investment operations | (0.17) | 0.16 | 0.43 | 0.39 | 0.03 | 0.11 |
Distributions to shareholders from | ||||||
Net investment income | (0.05) | (0.13) | (0.18) | (0.20) | (0.15) | (0.12) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.12) | (0.23) | (0.18) | (0.20) | (0.15) | (0.12) |
Net asset value, end of period | $8.73 | $9.02 | $9.09 | $8.84 | $8.65 | $8.77 |
Total return1 | (1.88)% | 1.76% | 4.96% | 4.60% | 0.31% | 1.25% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.80% | 0.81% | 0.82% | 0.82% | 0.82% | 0.81% |
Net expenses | 0.71% | 0.70% | 0.71% | 0.72% | 0.72% | 0.72% |
Net investment income | 1.08% | 1.48% | 2.10% | 2.33% | 1.68% | 1.35% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 65% | 88% | 43% | 43% | 50% |
Net assets, end of period (000s omitted) | $156,789 | $175,111 | $170,975 | $170,345 | $182,179 | $225,797 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.01 | $9.07 | $8.83 | $8.64 | $8.76 | $8.77 |
Net investment income | 0.01 | 0.06 | 0.12 | 0.14 | 0.08 | 0.05 |
Net realized and unrealized gains (losses) on investments | (0.21) | 0.04 | 0.24 | 0.19 | (0.12) | (0.01) |
Total from investment operations | (0.20) | 0.10 | 0.36 | 0.33 | (0.04) | 0.04 |
Distributions to shareholders from | ||||||
Net investment income | (0.02) | (0.06) | (0.12) | (0.14) | (0.08) | (0.05) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.09) | (0.16) | (0.12) | (0.14) | (0.08) | (0.05) |
Net asset value, end of period | $8.72 | $9.01 | $9.07 | $8.83 | $8.64 | $8.76 |
Total return1 | (2.24)% | 1.10% | 4.10% | 3.82% | (0.44)% | 0.49% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.55% | 1.56% | 1.56% | 1.57% | 1.57% | 1.56% |
Net expenses | 1.47% | 1.47% | 1.47% | 1.47% | 1.47% | 1.47% |
Net investment income | 0.31% | 0.71% | 1.36% | 1.57% | 0.93% | 0.61% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 65% | 88% | 43% | 43% | 50% |
Net assets, end of period (000s omitted) | $5,063 | $5,286 | $5,773 | $7,146 | $8,588 | $11,361 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | |||||
Class R6 | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 1 |
Net asset value, beginning of period | $9.02 | $9.08 | $8.83 | $8.66 | $8.64 |
Net investment income | 0.07 | 0.16 | 0.21 | 0.23 | 0.02 2 |
Net realized and unrealized gains (losses) on investments | (0.23) | 0.03 | 0.25 | 0.17 | 0.02 |
Total from investment operations | (0.16) | 0.19 | 0.46 | 0.40 | 0.04 |
Distributions to shareholders from | |||||
Net investment income | (0.06) | (0.15) | (0.21) | (0.23) | (0.02) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.13) | (0.25) | (0.21) | (0.23) | (0.02) |
Net asset value, end of period | $8.73 | $9.02 | $9.08 | $8.83 | $8.66 |
Total return3 | (1.72)% | 2.18% | 5.28% | 4.69% | 0.42% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.42% | 0.43% | 0.44% | 0.44% | 0.44% |
Net expenses | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.37% | 1.79% | 2.41% | 2.71% | 2.24% |
Supplemental data | |||||
Portfolio turnover rate | 27% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $19,891 | $32,131 | $35,301 | $30,585 | $2,553 |
1 | For the period from July 31, 2018 (commencement of class operations) to August 31, 2018 |
2 | Calculated based upon average shares outstanding |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $9.03 | $9.09 | $8.84 | $8.65 | $8.78 | $8.79 |
Net investment income | 0.06 | 0.15 | 0.21 | 0.23 | 0.17 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.22) | 0.04 | 0.24 | 0.19 | (0.13) | (0.01) |
Total from investment operations | (0.16) | 0.19 | 0.45 | 0.42 | 0.04 | 0.13 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.15) | (0.20) | (0.23) | (0.17) | (0.14) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.13) | (0.25) | (0.20) | (0.23) | (0.17) | (0.14) |
Net asset value, end of period | $8.74 | $9.03 | $9.09 | $8.84 | $8.65 | $8.78 |
Total return1 | (1.75)% | 2.13% | 5.23% | 4.88% | 0.46% | 1.49% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.47% | 0.48% | 0.49% | 0.49% | 0.49% | 0.48% |
Net expenses | 0.45% | 0.45% | 0.45% | 0.45% | 0.46% | 0.48% |
Net investment income | 1.33% | 1.69% | 2.37% | 2.60% | 1.95% | 1.59% |
Supplemental data | ||||||
Portfolio turnover rate | 27% | 65% | 88% | 43% | 43% | 50% |
Net assets, end of period (000s omitted) | $400,032 | $406,333 | $251,480 | $226,517 | $226,655 | $230,549 |
1 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 9,074,288 |
Gross unrealized losses | (11,176,095) |
Net unrealized losses | $ (2,101,807) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 5,684,831 | $0 | $ 5,684,831 |
Asset-backed securities | 0 | 93,080,418 | 0 | 93,080,418 |
Corporate bonds and notes | 0 | 148,212,091 | 0 | 148,212,091 |
Foreign corporate bonds and notes | 0 | 9,380,541 | 0 | 9,380,541 |
Foreign government bonds | 0 | 8,161,240 | 0 | 8,161,240 |
Investment companies | 10,241,820 | 0 | 0 | 10,241,820 |
Loans | 0 | 5,345,456 | 0 | 5,345,456 |
Municipal obligations | 0 | 4,110,780 | 0 | 4,110,780 |
Non-agency mortgage-backed securities | 0 | 142,367,659 | 0 | 142,367,659 |
U.S. Treasury securities | 41,640,751 | 0 | 0 | 41,640,751 |
Yankee corporate bonds and notes | 0 | 86,144,299 | 0 | 86,144,299 |
Short-term investments | ||||
Commercial paper | 0 | 8,496,624 | 0 | 8,496,624 |
Investment companies | 18,054,474 | 0 | 0 | 18,054,474 |
69,937,045 | 510,983,939 | 0 | 580,920,984 | |
Forward foreign currency contracts | 0 | 120,997 | 0 | 120,997 |
Futures contracts | 993,155 | 0 | 0 | 993,155 |
Total assets | $70,930,200 | $511,104,936 | $0 | $582,035,136 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 50,976 | $0 | $ 50,976 |
Futures contracts | 472,278 | 0 | 0 | 472,278 |
Total liabilities | $ 472,278 | $ 50,976 | $0 | $ 523,254 |
Average daily net assets | Management fee |
First $1 billion | 0.350% |
Next $4 billion | 0.325 |
Next $3 billion | 0.290 |
Next $2 billion | 0.265 |
Over $10 billion | 0.255 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Class R6 | 0.03 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.72% |
Class C | 1.47 |
Class R6 | 0.40 |
Institutional Class | 0.45 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$52,896,423 | $130,478,701 | $75,489,533 | $78,242,122 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Barclays Capital Incorporated | $2,011,605 | $(2,011,605) | $0 |
JPMorgan Securities LLC | 150,852 | (150,852) | 0 |
Futures contracts | |
Average notional balance on long futures | $244,773,682 |
Average notional balance on short futures | 87,433,178 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 2,877,685 |
Average contract amounts to sell | 16,249,369 |
Swap contracts | |
Average notional balance | $ 4,019,337 |
Asset derivatives | Liability derivatives | ||||
Statement of Assets and Liabilities location | Fair value | Statement of Assets and Liabilities location | Fair value | ||
Interest rate risk | Unrealized gains on futures contracts | $ 993,155* | Unrealized losses on futures contracts | $ 472,278* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 120,997 | Unrealized losses on forward foreign currency contracts | 50,976 | |
$1,114,152 | $523,254 |
Amount of realized gains (losses) on derivatives | ||||
Futures contracts | Forward foreign currency contracts | Swap contracts | Total | |
Interest rate risk | $ (1,247,984) | $ 0 | $ 0 | $(1,247,984) |
Foreign currency risk | 0 | 563,786 | 0 | 563,786 |
Credit risk | 0 | 0 | (86,887) | (86,887) |
$(1,247,984) | $563,786 | $(86,887) | $ (771,085) |
Change in unrealized gains (losses) on derivatives | ||||
Futures contracts | Forward foreign currency contracts | Swap contracts | Total | |
Interest rate risk | $ 467,665 | $ 0 | $ 0 | $ 467,665 |
Foreign currency risk | 0 | 8,675 | 0 | 8,675 |
Credit risk | 0 | 0 | 91,265 | 91,265 |
$467,665 | $8,675 | $91,265 | $567,605 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Morgan Stanley | $120,997 | $(50,976) | $0 | $70,021 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of liabilities |
Morgan Stanley | $50,976 | $(50,976) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317343imge4723e4a1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA221/SAR221 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img701fe63a1.jpg)
Short-Term High Yield Bond Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img22748dd12.gif)
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img6c8bfbc63.jpg)
President
Allspring Funds
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA®‡, Michael J. Schueller, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (SSTHX) | 2-29-2000 | -1.08 | 2.71 | 2.88 | 1.98 | 3.34 | 3.20 | 0.94 | 0.82 | ||
Class C (WFHYX) | 3-31-2008 | 0.22 | 2.57 | 2.43 | 1.22 | 2.57 | 2.43 | 1.69 | 1.57 | ||
Administrator Class (WDHYX) | 7-30-2010 | – | – | – | 2.14 | 3.50 | 3.36 | 0.88 | 0.66 | ||
Institutional Class (STYIX)3 | 11-30-2012 | – | – | – | 2.29 | 3.66 | 3.49 | 0.61 | 0.51 | ||
ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index4 | – | – | – | – | 0.83 | 3.83 | 4.40 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.81% for Class A, 1.56% for Class C, 0.65% for Administrator Class, and 0.50% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Institutional Class shares prior to their inception reflects the performance of the Administrator Class shares, and includes the higher expenses applicable to the Administrator Class shares. If these expenses had not been included, returns for the Institutional Class shares would be higher. |
4 | The ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index, a subset of the ICE BofA U.S. High Yield Master II Index, tracks the performance of U.S- dollar denominated below investment grade rated corporate debt publicly issued in the U.S. domestic market. This subset includes all securities with a given investment grade rating BB with maturities between one to three years. Effective August 1, 2021 the Fund's benchmark changed from ICE BofA High Yield U.S. Corporates, Cash Pay, BB Rated, 1-5 Index to the ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index to better match the Fund's investment strategy. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20221 | |
TerraForm Power Operating LLC, 4.25%, 1-31-2023 | 2.02 |
QVC Incorporated, 4.85%, 4-1-2024 | 1.93 |
Cinemark USA Incorporated, 8.75%, 5-1-2025 | 1.58 |
Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4-15-2024 | 1.54 |
Oceaneering International Incorporated, 4.65%, 11-15-2024 | 1.53 |
Spirit AeroSystems Holdings Incorporated, 5.50%, 1-15-2025 | 1.52 |
Ford Motor Credit Company LLC, 5.58%, 3-18-2024 | 1.48 |
Crestwood Midstream Partners LP, 5.75%, 4-1-2025 | 1.46 |
Vistra Operations Company LLC, 5.50%, 9-1-2026 | 1.46 |
Navient Corporation, 5.88%, 10-25-2024 | 1.45 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img159657034.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img3e2665b15.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 999.00 | $4.01 | 0.81% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.78 | $4.06 | 0.81% |
Class C | ||||
Actual | $1,000.00 | $ 994.06 | $7.71 | 1.56% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.06 | $7.80 | 1.56% |
Administrator Class | ||||
Actual | $1,000.00 | $ 999.77 | $3.22 | 0.65% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.57 | $3.26 | 0.65% |
Institutional Class | ||||
Actual | $1,000.00 | $1,000.49 | $2.48 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 69.49% | |||||
Communication services: 7.97% | |||||
Diversified telecommunication services: 1.56% | |||||
CenturyLink Incorporated | 6.75% | 12-1-2023 | $ 7,000,000 | $ 7,314,300 | |
Level 3 Financing Incorporated 144A | 4.63 | 9-15-2027 | 525,000 | 506,625 | |
Level 3 Financing Incorporated | 5.38 | 5-1-2025 | 3,515,000 | 3,527,795 | |
Lumen Technologies Incorporated | 7.50 | 4-1-2024 | 3,915,000 | 4,105,856 | |
15,454,576 | |||||
Entertainment: 1.62% | |||||
Live Nation Entertainment Incorporated 144A | 4.88 | 11-1-2024 | 12,370,000 | 12,491,845 | |
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 3,270,000 | 3,501,058 | |
15,992,903 | |||||
Media: 4.15% | |||||
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 14,887,000 | 15,594,133 | |
CSC Holdings LLC 144A | 5.50 | 4-15-2027 | 1,090,000 | 1,087,275 | |
DISH DBS Corporation | 5.00 | 3-15-2023 | 4,150,000 | 4,186,313 | |
DISH DBS Corporation | 5.88 | 7-15-2022 | 4,835,000 | 4,877,306 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 6,720,000 | 6,871,200 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 8,295,000 | 8,460,900 | |
41,077,127 | |||||
Wireless telecommunication services: 0.64% | |||||
Sprint Corporation | 7.13 | 6-15-2024 | 1,810,000 | 1,957,081 | |
Sprint Corporation | 7.88 | 9-15-2023 | 4,080,000 | 4,386,000 | |
6,343,081 | |||||
Consumer discretionary: 10.12% | |||||
Auto components: 1.57% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 915,000 | 959,698 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 6,605,000 | 6,832,476 | |
Clarios Global LP 144A | 6.75 | 5-15-2025 | 3,013,000 | 3,126,650 | |
Goodyear Tire & Rubber Company | 5.00 | 5-31-2026 | 4,624,000 | 4,641,340 | |
15,560,164 | |||||
Automobiles: 0.47% | |||||
Ford Motor Company | 4.13 | 8-17-2027 | 4,600,000 | 4,633,350 | |
Hotels, restaurants & leisure: 3.69% | |||||
Carnival Corporation 144A | 9.88 | 8-1-2027 | 400,000 | 449,000 | |
Carnival Corporation 144A | 10.50 | 2-1-2026 | 7,790,000 | 8,744,275 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,145,000 | 3,216,800 | |
NCL Corporation Limited 144A | 5.88 | 2-15-2027 | 2,450,000 | 2,453,063 | |
Royal Caribbean Cruises Limited 144A | 9.13 | 6-15-2023 | 5,600,000 | 5,855,808 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 1,405,000 | 1,508,085 | |
Royal Caribbean Cruises Limited 144A | 11.50 | 6-1-2025 | 4,709,000 | 5,202,032 | |
SeaWorld Parks & Entertainment Incorporated 144A | 8.75 | 5-1-2025 | 8,705,000 | 9,140,250 | |
36,569,313 | |||||
Household durables: 0.51% | |||||
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 4,920,000 | 5,039,556 |
Interest rate | Maturity date | Principal | Value | ||
Internet & direct marketing retail: 2.55% | |||||
QVC Incorporated | 4.38% | 3-15-2023 | $ 6,070,000 | $ 6,176,164 | |
QVC Incorporated | 4.85 | 4-1-2024 | 18,850,000 | 19,085,625 | |
25,261,789 | |||||
Leisure products: 0.11% | |||||
Mattel Incorporated 144A | 3.38 | 4-1-2026 | 1,150,000 | 1,142,065 | |
Multiline retail: 0.26% | |||||
Macy's Incorporated « | 3.63 | 6-1-2024 | 156,000 | 159,547 | |
Macy's Incorporated | 4.38 | 9-1-2023 | 2,350,000 | 2,391,125 | |
2,550,672 | |||||
Specialty retail: 0.43% | |||||
Bath & Body Works Incorporated 144A | 9.38 | 7-1-2025 | 3,371,000 | 3,944,070 | |
Penske Automotive Group Incorporated | 3.50 | 9-1-2025 | 275,000 | 272,272 | |
4,216,342 | |||||
Textiles, apparel & luxury goods: 0.53% | |||||
G-III Apparel Group Limited 144A | 7.88 | 8-15-2025 | 4,980,000 | 5,247,675 | |
Consumer staples: 0.78% | |||||
Food products: 0.78% | |||||
B&G Foods Incorporated | 5.25 | 4-1-2025 | 700,000 | 705,110 | |
Performance Food Group Incorporated 144A | 6.88 | 5-1-2025 | 6,735,000 | 6,979,144 | |
7,684,254 | |||||
Energy: 14.51% | |||||
Energy equipment & services: 2.00% | |||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 15,415,000 | 15,170,287 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 3,330,000 | 3,344,153 | |
USA Compression Partners LP | 6.88 | 9-1-2027 | 1,260,000 | 1,260,882 | |
19,775,322 | |||||
Oil, gas & consumable fuels: 12.51% | |||||
Antero Midstream Company 144A | 7.88 | 5-15-2026 | 4,638,000 | 4,985,850 | |
Antero Resources Corporation 144A | 8.38 | 7-15-2026 | 4,690,000 | 5,147,275 | |
Apache Corporation | 4.63 | 11-15-2025 | 1,535,000 | 1,584,888 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 250,000 | 256,635 | |
Buckeye Partners LP 144A | 4.13 | 3-1-2025 | 1,795,000 | 1,789,489 | |
Buckeye Partners LP | 4.15 | 7-1-2023 | 750,000 | 759,176 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 14,390,000 | 14,479,938 | |
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 8,640,000 | 9,150,667 | |
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 13,245,000 | 13,261,556 | |
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 12,285,000 | 12,667,064 | |
EQT Corporation | 6.63 | 2-1-2025 | 4,386,000 | 4,737,845 | |
Murphy Oil Corporation | 5.75 | 8-15-2025 | 7,080,000 | 7,212,750 | |
New Fortress Energy Incorporated 144A | 6.50 | 9-30-2026 | 4,580,000 | 4,392,747 | |
Occidental Petroleum Corporation | 8.00 | 7-15-2025 | 7,165,000 | 8,106,624 | |
Rockies Express Pipeline LLC 144A | 3.60 | 5-15-2025 | 12,920,000 | 12,661,342 | |
Southwestern Energy Company | 5.95 | 1-23-2025 | 902,000 | 940,335 | |
Southwestern Energy Company | 7.75 | 10-1-2027 | 2,705,000 | 2,853,775 | |
Tallgrass Energy Partners LP 144A | 7.50 | 10-1-2025 | 11,275,000 | 11,838,750 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Western Gas Partners LP | 3.95% | 6-1-2025 | $ 1,500,000 | $ 1,518,750 | |
Western Gas Partners LP | 4.65 | 7-1-2026 | 5,335,000 | 5,527,860 | |
123,873,316 | |||||
Financials: 11.12% | |||||
Consumer finance: 6.05% | |||||
Ford Motor Credit Company LLC | 5.58 | 3-18-2024 | 14,085,000 | 14,648,400 | |
LFS Topco LLC 144A | 5.88 | 10-15-2026 | 2,860,000 | 2,856,997 | |
Navient Corporation | 5.88 | 10-25-2024 | 13,860,000 | 14,335,606 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,025,000 | 2,124,205 | |
OneMain Finance Corporation | 3.50 | 1-15-2027 | 2,440,000 | 2,308,240 | |
PRA Group Incorporated 144A | 7.38 | 9-1-2025 | 4,970,000 | 5,218,252 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 4,115,000 | 3,866,125 | |
Springleaf Finance Corporation | 6.13 | 3-15-2024 | 2,500,000 | 2,575,000 | |
Springleaf Finance Corporation | 7.13 | 3-15-2026 | 2,350,000 | 2,547,400 | |
Springleaf Finance Corporation | 8.88 | 6-1-2025 | 8,948,000 | 9,440,140 | |
59,920,365 | |||||
Diversified financial services: 1.83% | |||||
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 5,000,000 | 4,737,500 | |
United Shore Financial Services LLC 144A | 5.50 | 11-15-2025 | 13,835,000 | 13,316,188 | |
18,053,688 | |||||
Insurance: 0.65% | |||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 6,245,000 | 6,462,951 | |
Mortgage REITs: 1.57% | |||||
Starwood Property Trust Incorporated 144A | 3.63 | 7-15-2026 | 2,770,000 | 2,621,113 | |
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 2,645,000 | 2,588,794 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 9,995,000 | 10,098,969 | |
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 190,000 | 193,563 | |
15,502,439 | |||||
Thrifts & mortgage finance: 1.02% | |||||
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 10,075,000 | 10,100,188 | |
Health care: 2.67% | |||||
Health care providers & services: 2.67% | |||||
Select Medical Corporation 144A | 6.25 | 8-15-2026 | 12,016,000 | 12,173,710 | |
Tenet Healthcare Corporation | 4.63 | 7-15-2024 | 2,670,000 | 2,678,250 | |
Tenet Healthcare Corporation 144A | 4.88 | 1-1-2026 | 7,790,000 | 7,842,972 | |
Vizient Incorporated 144A | 6.25 | 5-15-2027 | 3,625,000 | 3,756,406 | |
26,451,338 | |||||
Industrials: 10.34% | |||||
Aerospace & defense: 3.09% | |||||
Spirit AeroSystems Holdings Incorporated 144A | 5.50 | 1-15-2025 | 14,675,000 | 15,080,532 | |
TransDigm Group Incorporated 144A | 6.25 | 3-15-2026 | 1,945,000 | 2,000,919 | |
TransDigm Group Incorporated | 7.50 | 3-15-2027 | 2,380,000 | 2,460,325 | |
TransDigm Group Incorporated 144A | 8.00 | 12-15-2025 | 10,598,000 | 11,066,644 | |
30,608,420 |
Interest rate | Maturity date | Principal | Value | ||
Airlines: 2.47% | |||||
American Airlines Group Incorporated 144A | 5.50% | 4-20-2026 | $ 6,600,000 | $ 6,755,364 | |
Delta Air Lines Incorporated 144A | 7.00 | 5-1-2025 | 750,000 | 833,272 | |
Hawaiian Airlines Incorporated | 3.90 | 7-15-2027 | 3,927,010 | 3,860,471 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 6,345,000 | 6,424,313 | |
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 4,625,000 | 4,879,375 | |
United Airlines Incorporated 144A | 4.38 | 4-15-2026 | 1,680,000 | 1,675,699 | |
24,428,494 | |||||
Commercial services & supplies: 1.03% | |||||
Aramark Services Incorporated 144A | 6.38 | 5-1-2025 | 4,880,000 | 5,053,240 | |
CoreCivic Incorporated | 8.25 | 4-15-2026 | 5,045,000 | 5,120,675 | |
10,173,915 | |||||
Construction & engineering: 0.30% | |||||
Taylor Morrison Communities Incorporated 144A | 5.88 | 4-15-2023 | 2,870,000 | 2,930,988 | |
Electronic equipment, instruments & components: 0.41% | |||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 3,915,000 | 4,100,023 | |
Machinery: 0.52% | |||||
Stevens Holding Company Incorporated 144A | 6.13 | 10-1-2026 | 5,025,000 | 5,188,313 | |
Road & rail: 1.09% | |||||
Uber Technologies Incorporated 144A | 7.50 | 5-15-2025 | 10,345,000 | 10,761,386 | |
Trading companies & distributors: 1.43% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 14,015,000 | 14,190,188 | |
Information technology: 1.84% | |||||
IT services: 1.63% | |||||
Block Incorporated 144A | 2.75 | 6-1-2026 | 1,760,000 | 1,707,200 | |
Sabre GLBL Incorporated 144A | 7.38 | 9-1-2025 | 1,180,000 | 1,223,017 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 11,680,000 | 13,172,237 | |
16,102,454 | |||||
Technology hardware, storage & peripherals: 0.21% | |||||
NCR Corporation 144A | 5.75 | 9-1-2027 | 2,060,000 | 2,090,385 | |
Materials: 3.30% | |||||
Chemicals: 1.15% | |||||
Kraton Polymers LLC 144A | 4.25 | 12-15-2025 | 11,122,000 | 11,413,953 | |
Containers & packaging: 0.64% | |||||
Sealed Air Corporation 144A | 5.13 | 12-1-2024 | 1,330,000 | 1,376,550 | |
Sealed Air Corporation 144A | 5.25 | 4-1-2023 | 4,835,000 | 4,919,613 | |
6,296,163 | |||||
Metals & mining: 1.02% | |||||
Cleveland-Cliffs Incorporated 144A | 6.75 | 3-15-2026 | 3,715,000 | 3,915,387 | |
Cleveland-Cliffs Incorporated 144A | 9.88 | 10-17-2025 | 5,567,000 | 6,179,370 | |
10,094,757 | |||||
Paper & forest products: 0.49% | |||||
Clearwater Paper Corporation 144A | 5.38 | 2-1-2025 | 4,735,000 | 4,894,522 |
Interest rate | Maturity date | Principal | Value | ||
Real estate: 1.65% | |||||
Equity REITs: 1.65% | |||||
Service Properties Trust Company | 4.35% | 10-1-2024 | $10,500,000 | $ 10,121,895 | |
Service Properties Trust Company | 5.00 | 8-15-2022 | 2,200,000 | 2,191,750 | |
Service Properties Trust Company | 7.50 | 9-15-2025 | 3,860,000 | 4,053,965 | |
16,367,610 | |||||
Utilities: 5.19% | |||||
Electric utilities: 0.27% | |||||
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 2,575,000 | 2,625,625 | |
Independent power & renewable electricity producers: 4.92% | |||||
NSG Holdings LLC 144A | 7.75 | 12-15-2025 | 8,163,839 | 8,592,440 | |
TerraForm Power Operating LLC 144A | 4.25 | 1-31-2023 | 19,998,000 | 20,022,992 | |
Vistra Operations Company LLC 144A | 5.50 | 9-1-2026 | 14,225,000 | 14,472,728 | |
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 5,480,000 | 5,611,027 | |
48,699,187 | |||||
Total Corporate bonds and notes (Cost $694,535,270) | 687,878,857 | ||||
Loans: 17.65% | |||||
Communication services: 1.56% | |||||
Diversified telecommunication services: 0.49% | |||||
Intelsat Jackson Holdings SA (U.S. SOFR +4.25%) <± | 4.75 | 2-1-2029 | 4,945,000 | 4,869,292 | |
Media: 0.65% | |||||
Clear Channel Outdoor Holdings (1 Month LIBOR +3.50%) ± | 3.80 | 8-21-2026 | 5,417,290 | 5,309,703 | |
Hubbard Radio LLC (3 Month LIBOR +4.25%) ± | 5.25 | 3-28-2025 | 1,076,924 | 1,075,126 | |
6,384,829 | |||||
Wireless telecommunication services: 0.42% | |||||
Consolidated Communications Holdings Incorporated (1 Month LIBOR +3.50%) ± | 4.25 | 10-2-2027 | 4,214,991 | 4,157,034 | |
Consumer discretionary: 3.91% | |||||
Auto components: 1.31% | |||||
Clarios Global LP (1 Month LIBOR +3.25%) ± | 3.46 | 4-30-2026 | 5,515,428 | 5,453,379 | |
Tenneco Incorporated (3 Month LIBOR +3.00%) ± | 3.21 | 10-1-2025 | 7,588,696 | 7,531,781 | |
12,985,160 | |||||
Hotels, restaurants & leisure: 0.67% | |||||
Carnival Corporation (1 Month LIBOR +3.00%) ± | 3.75 | 6-30-2025 | 6,771,863 | 6,677,057 | |
Household durables: 0.36% | |||||
Wilsonart LLC (1 Month LIBOR +3.50%) ± | 4.50 | 12-19-2026 | 3,578,775 | 3,520,620 | |
Leisure products: 0.75% | |||||
SeaWorld Parks & Entertainment Incorporated (1 Month LIBOR +3.00%) ± | 3.50 | 8-25-2028 | 7,586,130 | 7,470,745 |
Interest rate | Maturity date | Principal | Value | ||
Specialty retail: 0.82% | |||||
Great Outdoors Group LLC (1 Month LIBOR +3.75%) ± | 4.50% | 3-6-2028 | $ 4,321,865 | $ 4,295,934 | |
Rent-A-Center Incorporated (1 Month LIBOR +3.25%) ± | 3.81 | 2-17-2028 | 3,850,900 | 3,773,882 | |
8,069,816 | |||||
Energy: 1.93% | |||||
Oil, gas & consumable fuels: 1.93% | |||||
AL NGPL Holdings LLC (1 Month LIBOR +3.75%) ± | 4.75 | 4-14-2028 | 1,094,020 | 1,086,274 | |
Apergy Corporation (1 Month LIBOR +5.00%) ± | 6.00 | 6-3-2027 | 12,648,225 | 12,748,399 | |
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 5.50 | 9-29-2028 | 5,266,800 | 5,235,515 | |
19,070,188 | |||||
Financials: 1.56% | |||||
Diversified financial services: 1.11% | |||||
Resolute Investment Managers Incorporated (1 Month LIBOR +4.25%) ‡± | 5.25 | 4-30-2024 | 2,511,698 | 2,497,582 | |
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.00%) ± | 4.50 | 5-30-2025 | 8,582,101 | 8,512,414 | |
11,009,996 | |||||
Insurance: 0.17% | |||||
HUB International Limited (1 Month LIBOR +3.25%) ± | 4.00 | 4-25-2025 | 1,670,781 | 1,657,448 | |
Mortgage REITs: 0.28% | |||||
Claros Mortgage Trust Incoporated (U.S. SOFR +4.50%) ‡± | 5.00 | 8-9-2026 | 2,810,000 | 2,795,950 | |
Health care: 2.15% | |||||
Health care equipment & supplies: 1.12% | |||||
Ortho Clinical Diagnostics SA (3 Month LIBOR +3.00%) ± | 3.11 | 6-30-2025 | 4,520,000 | 4,492,699 | |
Surgery Center Holdings Incorporated (1 Month LIBOR +3.75%) ± | 4.50 | 8-31-2026 | 6,640,402 | 6,573,998 | |
11,066,697 | |||||
Health care providers & services: 0.12% | |||||
Padagis LLC (1 Month LIBOR +4.75%) ‡± | 5.25 | 7-6-2028 | 1,162,353 | 1,153,635 | |
Health care technology: 0.34% | |||||
Project Ruby Ultimate Parent Corporation (1 Month LIBOR +3.25%) ± | 4.00 | 3-3-2028 | 3,425,950 | 3,393,609 | |
Pharmaceuticals: 0.57% | |||||
Bausch Health Companies Incorporated (3 Month LIBOR +3.00%) ± | 3.21 | 6-2-2025 | 5,687,265 | 5,626,867 | |
Industrials: 3.37% | |||||
Aerospace & defense: 0.13% | |||||
Spirit AeroSystems Incorporated (1 Month LIBOR +3.75%) ± | 4.25 | 1-15-2025 | 1,301,875 | 1,295,365 | |
Airlines: 2.30% | |||||
AAdvantage Loyalty IP Limited (1 Month LIBOR +4.75%) ± | 5.50 | 4-20-2028 | 7,050,000 | 7,167,524 | |
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 6.25 | 6-21-2027 | 9,375,000 | 9,781,688 | |
SkyMiles IP Limited (3 Month LIBOR +3.75%) ± | 4.75 | 10-20-2027 | 5,555,000 | 5,800,809 | |
22,750,021 |
Interest rate | Maturity date | Principal | Value | ||
Commercial services & supplies: 0.26% | |||||
GFL Environmental Incorporated (1 Month LIBOR +3.00%) ± | 3.50% | 5-30-2025 | $ 2,598,750 | $ 2,587,549 | |
Machinery: 0.39% | |||||
Alliance Laundry Systems LLC (1 Month LIBOR +3.50%) ± | 4.25 | 10-8-2027 | 455,086 | 450,307 | |
Werner FinCo LP (3 Month LIBOR +4.00%) ‡± | 5.00 | 7-24-2024 | 3,394,548 | 3,381,818 | |
3,832,125 | |||||
Road & rail: 0.29% | |||||
Uber Technologies Incorporated (1 Month LIBOR +3.50%) ± | 3.71 | 4-4-2025 | 2,885,103 | 2,855,357 | |
Materials: 2.51% | |||||
Containers & packaging: 1.46% | |||||
Flex Acquisition Company Incorporated (3 Month LIBOR +3.00%) ± | 3.21 | 6-29-2025 | 3,618,019 | 3,597,034 | |
Flex Acquisition Company Incorporated (1 Month LIBOR +3.50%) ± | 4.00 | 3-2-2028 | 8,386,542 | 8,351,570 | |
Graham Packaging Company Incorporated (1 Month LIBOR +3.00%) ± | 3.75 | 8-4-2027 | 2,566,400 | 2,538,247 | |
14,486,851 | |||||
Paper & forest products: 1.05% | |||||
Vertical US Newco Incorporated (1 Month LIBOR +3.50%) ± | 4.00 | 7-30-2027 | 10,494,649 | 10,412,161 | |
Utilities: 0.66% | |||||
Electric utilities: 0.66% | |||||
ExGen Renewables IV LLC (1 Month LIBOR +2.50%) ± | 3.50 | 12-15-2027 | 6,615,000 | 6,585,497 | |
Total Loans (Cost $175,518,117) | 174,713,869 | ||||
Non-agency mortgage-backed securities: 1.20% | |||||
AIMCO Properties LP (3 Month LIBOR +1.06%) 144A± | 1.32 | 7-22-2032 | 4,000,000 | 3,976,048 | |
Canyon Capital Partners LLC (3 Month LIBOR +1.60%) 144A± | 1.84 | 7-15-2030 | 4,000,000 | 3,968,092 | |
Salomon Brothers Mortgage Securities VII Series 1994-5 Class B2 ±± | 2.54 | 4-25-2024 | 9,345 | 9,019 | |
Venture VII CDO Limited Series 2019-37A Class A1R (3 Month LIBOR +1.15%) 144A± | 1.39 | 7-15-2032 | 4,000,000 | 3,984,084 | |
Total Non-agency mortgage-backed securities (Cost $12,007,838) | 11,937,243 | ||||
Yankee corporate bonds and notes: 8.31% | |||||
Communication services: 0.25% | |||||
Media: 0.25% | |||||
Nielsen Holding and Finance BV 144A | 5.00 | 2-1-2025 | 2,485,000 | 2,495,574 | |
Consumer discretionary: 0.64% | |||||
Auto components: 0.55% | |||||
Adient Global Holdings Limited 144A | 4.88 | 8-15-2026 | 5,405,000 | 5,411,756 | |
Automobiles: 0.09% | |||||
Stellantis NV | 5.25 | 4-15-2023 | 896,000 | 926,464 |
Interest rate | Maturity date | Principal | Value | ||
Energy: 1.21% | |||||
Oil, gas & consumable fuels: 1.21% | |||||
Northriver Midstream Finance LP 144A | 5.63% | 2-15-2026 | $11,895,000 | $ 11,954,475 | |
Financials: 0.56% | |||||
Diversified financial services: 0.56% | |||||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 5,710,000 | 5,552,975 | |
Health care: 1.54% | |||||
Pharmaceuticals: 1.54% | |||||
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 15,000,000 | 15,267,000 | |
Industrials: 2.58% | |||||
Airlines: 1.48% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 6,185,000 | 7,523,707 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 6,580,000 | 7,151,144 | |
14,674,851 | |||||
Communications equipment: 0.31% | |||||
Clear Channel International Limited 144A | 6.63 | 8-1-2025 | 3,000,000 | 3,045,000 | |
Trading companies & distributors: 0.79% | |||||
Carlyle Aviation Elevate Merger Subsidiary Limited 144A | 7.00 | 10-15-2024 | 8,255,000 | 7,798,911 | |
Materials: 1.53% | |||||
Chemicals: 0.58% | |||||
Park Aerospace Holdings Company 144A | 5.25 | 8-15-2022 | 5,690,000 | 5,760,292 | |
Containers & packaging: 0.95% | |||||
Ardagh Packaging Finance plc 144A | 5.25 | 4-30-2025 | 9,214,000 | 9,334,749 | |
Total Yankee corporate bonds and notes (Cost $83,584,610) | 82,222,047 |
Yield | Shares | ||||
Short-term investments: 0.71% | |||||
Investment companies: 0.71% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 0.03 | 6,920,557 | 6,920,557 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 104,500 | 104,500 | ||
Total Short-term investments (Cost $7,025,057) | 7,025,057 | ||||
Total investments in securities (Cost $972,670,892) | 97.36% | 963,777,073 | |||
Other assets and liabilities, net | 2.64 | 26,084,815 | |||
Total net assets | 100.00% | $989,861,888 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
< | All or a portion of the position represents an unfunded loan commitment. The rate represents the current interest rate if the loan is partially funded. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
‡ | Security is valued using significant unobservable inputs. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for unfunded loans. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $52,703,348 | $268,373,356 | $(314,156,147) | $0 | $0 | $ 6,920,557 | 6,920,557 | $ 4,385 | ||
Securities Lending Cash Investments LLC | 11,753,565 | 9,898,023 | (21,547,088) | 0 | 0 | 104,500 | 104,500 | 244 # | ||
$0 | $0 | $7,025,057 | $4,629 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $102,376 of securities loaned), at value (cost $965,645,835) | $ 956,752,016 |
Investments in affiliated securities, at value (cost $7,025,057) | 7,025,057 |
Cash | 27,370 |
Receivable for investments sold | 19,858,268 |
Receivable for interest | 13,853,326 |
Receivable for Fund shares sold | 487,932 |
Receivable for securities lending income, net | 527 |
Prepaid expenses and other assets | 43,567 |
Total assets | 998,048,063 |
Liabilities | |
Payable for investments purchased | 4,932,563 |
Payable for Fund shares redeemed | 2,290,622 |
Dividends payable | 294,429 |
Management fee payable | 293,286 |
Payable upon receipt of securities loaned | 104,500 |
Administration fees payable | 71,798 |
Distribution fee payable | 14,058 |
Accrued expenses and other liabilities | 184,919 |
Total liabilities | 8,186,175 |
Total net assets | $ 989,861,888 |
Net assets consist of | |
Paid-in capital | $1,041,069,192 |
Total distributable loss | (51,207,304) |
Total net assets | $ 989,861,888 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 118,892,440 |
Shares outstanding – Class A1 | 14,698,265 |
Net asset value per share – Class A | $8.09 |
Maximum offering price per share – Class A2 | $8.34 |
Net assets – Class C | $ 24,246,579 |
Shares outstanding – Class C1 | 2,996,656 |
Net asset value per share – Class C | $8.09 |
Net assets – Administrator Class | $ 84,654,849 |
Shares outstanding – Administrator Class1 | 10,466,961 |
Net asset value per share – Administrator Class | $8.09 |
Net assets – Institutional Class | $ 762,068,020 |
Shares outstanding – Institutional Class1 | 94,353,035 |
Net asset value per share – Institutional Class | $8.08 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/97 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 22,960,843 |
Dividends | 21,320 |
Income from affiliated securities | 12,099 |
Total investment income | 22,994,262 |
Expenses | |
Management fee | 2,482,993 |
Administration fees | |
Class A | 98,513 |
Class C | 21,271 |
Administrator Class | 41,946 |
Institutional Class | 314,940 |
Shareholder servicing fees | |
Class A | 153,927 |
Class C | 33,138 |
Administrator Class | 104,864 |
Distribution fee | |
Class C | 99,413 |
Custody and accounting fees | 23,198 |
Professional fees | 28,960 |
Registration fees | 29,845 |
Shareholder report expenses | 24,911 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 5,627 |
Total expenses | 3,473,138 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (467,854) |
Class A | (14,116) |
Class C | (2,106) |
Administrator Class | (44,158) |
Net expenses | 2,944,904 |
Net investment income | 20,049,358 |
Realized and unrealized gains (losses) on investments | |
Net realized gains on investments | 5,422,572 |
Net change in unrealized gains (losses) on investments | (25,696,433) |
Net realized and unrealized gains (losses) on investments | (20,273,861) |
Net decrease in net assets resulting from operations | $ (224,503) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 20,049,358 | $ 31,855,418 | ||
Net realized gains on investments | 5,422,572 | 2,455,931 | ||
Net change in unrealized gains (losses) on investments | (25,696,433) | 14,096,952 | ||
Net increase (decrease) in net assets resulting from operations | (224,503) | 48,408,301 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,304,255) | (4,075,494) | ||
Class C | (396,022) | (999,417) | ||
Administrator Class | (1,636,626) | (2,341,850) | ||
Institutional Class | (15,933,267) | (25,712,624) | ||
Total distributions to shareholders | (20,270,170) | (33,129,385) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,870,519 | 15,356,664 | 5,631,595 | 46,187,619 |
Class C | 295,487 | 2,418,842 | 536,933 | 4,412,827 |
Administrator Class | 1,237,370 | 10,158,327 | 4,377,643 | 36,026,529 |
Institutional Class | 20,034,170 | 163,874,626 | 56,119,432 | 460,887,081 |
191,808,459 | 547,514,056 | |||
Reinvestment of distributions | ||||
Class A | 272,612 | 2,228,704 | 476,655 | 3,913,558 |
Class C | 48,349 | 395,638 | 121,608 | 996,525 |
Administrator Class | 199,828 | 1,633,593 | 284,415 | 2,335,290 |
Institutional Class | 1,723,323 | 14,074,089 | 2,786,739 | 22,857,554 |
18,332,024 | 30,102,927 | |||
Payment for shares redeemed | ||||
Class A | (2,393,690) | (19,529,905) | (3,272,897) | (26,862,792) |
Class C | (876,495) | (7,185,353) | (2,822,417) | (23,070,577) |
Administrator Class | (922,121) | (7,544,570) | (1,189,379) | (9,762,053) |
Institutional Class | (27,341,374) | (223,726,638) | (27,559,461) | (225,499,186) |
(257,986,466) | (285,194,608) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (47,845,983) | 292,422,375 | ||
Total increase (decrease) in net assets | (68,340,656) | 307,701,291 | ||
Net assets | ||||
Beginning of period | 1,058,202,544 | 750,501,253 | ||
End of period | $ 989,861,888 | $1,058,202,544 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.25 | $8.09 | $8.07 | $7.99 | $8.07 | $8.10 |
Net investment income | 0.15 | 0.28 | 0.26 | 0.25 | 0.24 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.16) | 0.18 | 0.02 | 0.09 | (0.08) | (0.03) |
Total from investment operations | (0.01) | 0.46 | 0.28 | 0.34 | 0.16 | 0.20 |
Distributions to shareholders from | ||||||
Net investment income | (0.15) | (0.30) | (0.26) | (0.26) | (0.24) | (0.23) |
Net asset value, end of period | $8.09 | $8.25 | $8.09 | $8.07 | $7.99 | $8.07 |
Total return1 | (0.10)% | 5.73% | 3.61% | 4.40% | 2.00% | 2.51% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.92% | 0.93% | 0.94% | 0.94% | 0.93% | 0.92% |
Net expenses | 0.81% | 0.80% | 0.81% | 0.81% | 0.81% | 0.81% |
Net investment income | 3.70% | 3.46% | 3.19% | 3.18% | 2.96% | 2.88% |
Supplemental data | ||||||
Portfolio turnover rate | 23% | 63% | 78% | 44% | 34% | 35% |
Net assets, end of period (000s omitted) | $118,892 | $123,375 | $97,985 | $104,671 | $127,024 | $172,151 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.26 | $8.09 | $8.07 | $8.00 | $8.07 | $8.10 |
Net investment income | 0.13 | 0.24 | 0.20 | 0.19 | 0.18 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.18) | 0.17 | 0.02 | 0.08 | (0.07) | (0.03) |
Total from investment operations | (0.05) | 0.41 | 0.22 | 0.27 | 0.11 | 0.14 |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.24) | (0.20) | (0.20) | 0.18 | (0.17) |
Net asset value, end of period | $8.09 | $8.26 | $8.09 | $8.07 | $8.00 | $8.07 |
Total return1 | (0.59)% | 5.06% | 2.84% | 3.49% | 1.36% | 1.75% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.67% | 1.68% | 1.69% | 1.69% | 1.68% | 1.67% |
Net expenses | 1.56% | 1.56% | 1.56% | 1.56% | 1.56% | 1.56% |
Net investment income | 2.93% | 2.73% | 2.43% | 2.43% | 2.21% | 2.11% |
Supplemental data | ||||||
Portfolio turnover rate | 23% | 63% | 78% | 44% | 34% | 35% |
Net assets, end of period (000s omitted) | $24,247 | $29,136 | $46,066 | $59,113 | $77,169 | $111,268 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.25 | $8.09 | $8.06 | $7.99 | $8.07 | $8.10 |
Net investment income | 0.16 | 0.30 1 | 0.27 | 0.27 | 0.25 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.16) | 0.17 | 0.03 | 0.08 | (0.08) | (0.03) |
Total from investment operations | 0.00 | 0.47 | 0.30 | 0.35 | 0.17 | 0.21 |
Distributions to shareholders from | ||||||
Net investment income | (0.16) | (0.31) | (0.27) | (0.28) | (0.25) | (0.24) |
Net asset value, end of period | $8.09 | $8.25 | $8.09 | $8.06 | $7.99 | $8.07 |
Total return2 | (0.02)% | 5.90% | 3.90% | 4.44% | 2.16% | 2.68% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.86% | 0.87% | 0.88% | 0.87% | 0.86% | 0.86% |
Net expenses | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Net investment income | 3.86% | 3.63% | 3.29% | 3.34% | 3.13% | 3.03% |
Supplemental data | ||||||
Portfolio turnover rate | 23% | 63% | 78% | 44% | 34% | 35% |
Net assets, end of period (000s omitted) | $84,655 | $82,124 | $52,406 | $86,892 | $102,673 | $134,070 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.24 | $8.08 | $8.05 | $7.98 | $8.06 | $8.09 |
Net investment income | 0.16 | 0.31 1 | 0.29 | 0.28 | 0.27 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.16) | 0.17 | 0.03 | 0.08 | (0.08) | (0.02) |
Total from investment operations | 0.00 | 0.48 | 0.32 | 0.36 | 0.19 | 0.23 |
Distributions to shareholders from | ||||||
Net investment income | (0.16) | (0.32) | (0.29) | (0.29) | (0.27) | (0.26) |
Net asset value, end of period | $8.08 | $8.24 | $8.08 | $8.05 | $7.98 | $8.06 |
Total return2 | 0.05% | 6.06% | 4.06% | 4.59% | 2.31% | 2.83% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.59% | 0.60% | 0.61% | 0.61% | 0.59% | 0.59% |
Net expenses | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
Net investment income | 4.00% | 3.78% | 3.47% | 3.49% | 3.27% | 3.16% |
Supplemental data | ||||||
Portfolio turnover rate | 23% | 63% | 78% | 44% | 34% | 35% |
Net assets, end of period (000s omitted) | $762,068 | $823,568 | $554,044 | $701,157 | $764,680 | $1,010,757 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 2,318,776 |
Gross unrealized losses | (12,757,297) |
Net unrealized losses | $(10,438,521) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Corporate bonds and notes | $ 0 | $ 687,878,857 | $ 0 | $ 687,878,857 |
Loans | 0 | 164,884,884 | 9,828,985 | 174,713,869 |
Non-agency mortgage-backed securities | 0 | 11,937,243 | 0 | 11,937,243 |
Yankee corporate bonds and notes | 0 | 82,222,047 | 0 | 82,222,047 |
Short-term investments | ||||
Investment companies | 7,025,057 | 0 | 0 | 7,025,057 |
Total assets | $7,025,057 | $946,923,031 | $9,828,985 | $963,777,073 |
Average daily net assets | Management fee |
First $500 million | 0.500% |
Next $500 million | 0.475 |
Next $2 billion | 0.450 |
Next $2 billion | 0.425 |
Next $5 billion | 0.390 |
Over $10 billion | 0.380 |
Class-level administration fee | |
Class A | 0.16% |
Class C | 0.16 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.81% |
Class C | 1.56 |
Administrator Class | 0.65 |
Institutional Class | 0.50 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
JPMorgan Securities LLC | $102,376 | $(102,376) | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317349img701fe63a1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA222/SAR222 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317400img64e801f11.jpg)
Ultra Short-Term Income Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317400img0e5ec1e12.gif)
1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2022. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
1 | As of December 31, 2021, assets under management (AUM) includes $91.6 billion from Galliard Capital Management, LLC, an investment advisor that is not part of the Allspring trade name/GIPS firm. |
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA#, Michael J. Schueller, CFA®‡, Michal Stanczyk, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (SADAX) | 8-31-1999 | -2.56 | 1.11 | 0.93 | -0.57 | 1.52 | 1.13 | 0.67 | 0.51 | ||
Class A2 (WUSNX)3 | 5-29-2020 | – | – | – | -0.47 | 1.51 | 1.13 | 0.57 | 0.41 | ||
Class C (WUSTX) | 7-18-2008 | -2.14 | 0.80 | 0.39 | -1.14 | 0.80 | 0.39 | 1.42 | 1.26 | ||
Administrator Class (WUSDX) | 4-8-2005 | – | – | – | -0.47 | 1.61 | 1.25 | 0.61 | 0.51 | ||
Institutional Class (SADIX) | 8-31-1999 | – | – | – | -0.22 | 1.84 | 1.47 | 0.34 | 0.26 | ||
Bloomberg Short-Term Government/Corporate Bond Index4 | – | – | – | – | -0.09 | 1.34 | 0.87 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2022 (December 31, 2023 for Class A2), to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.50% for Class A, 0.40% for Class A2, 1.25% for Class C, 0.50% for Administrator Class, and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance for the Class A2 shares prior to their inception reflects the performance of the Class A shares, and includes the higher expenses applicable to the Class A shares. If these expenses had not been included, returns for the Class A2 shares would be higher. |
4 | The Bloomberg Short-Term Government/Corporate Bond Index contains securities that have fallen out of the Bloomberg Government/Credit Bond Index because of the standard minimum one-year-to-maturity constraint. Securities in the Bloomberg Short-Term Government/Corporate Bond Index must have a maturity from 1 up to (but not including) 12 months. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
# | Ms. Rilling became portfolio manager of the Fund on January 1, 2022. |
Ten largest holdings (%) as of February 28, 20221 | |
iShares 0-5 Year High Yield Corporate Bond ETF | 0.98 |
Westlake Automobile Receivables Trust Series 2020-3A Class B, 0.78%, 11-17-2025 | 0.90 |
iShares Short-Term Corporate Bond ETF | 0.86 |
SPDR Portfolio Short Term Corporate Bond ETF | 0.74 |
Renesas Electronics Corporation, 1.54%, 11-26-2024 | 0.72 |
OPG Trust Series 2021-PORT Class A, 0.68%, 10-15-2036 | 0.69 |
World Omni Automobile Lease Securitization Trust Series 2019-B Class A4, 2.07%, 2-18-2025 | 0.65 |
Santander Drive Auto Receivable Trust Series 2020-4 Class D, 1.48%, 1-15-2027 | 0.61 |
Bayer US Finance II LLC Company, 3.88%, 12-15-2023 | 0.61 |
State Street Corporation, 1.75%, 2-6-2026 | 0.60 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317400img436293884.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 992.02 | $2.42 | 0.49% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.36 | $2.46 | 0.49% |
Class A2 | ||||
Actual | $1,000.00 | $ 993.12 | $2.47 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Class C | ||||
Actual | $1,000.00 | $ 989.59 | $4.83 | 0.98% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.93 | $4.91 | 0.98% |
Administrator Class | ||||
Actual | $1,000.00 | $ 993.09 | $2.47 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Institutional Class | ||||
Actual | $1,000.00 | $ 994.36 | $1.24 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | $1.25 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 0.77% | |||||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.27% | 11-1-2035 | $ 892,281 | $ 942,959 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.31 | 3-1-2035 | 344,895 | 362,532 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 5-1-2035 | 85,582 | 90,581 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.34 | 10-1-2038 | 311,269 | 311,854 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.36 | 4-1-2038 | 292,806 | 305,064 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.37 | 9-1-2038 | 829,485 | 871,414 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 4-1-2032 | 39,546 | 39,719 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 6-1-2032 | 403 | 404 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 7-1-2029 | 339 | 339 | |
FHLMC | 4.50 | 6-1-2024 | 216,531 | 224,217 | |
FHLMC | 4.50 | 9-1-2026 | 353,926 | 366,471 | |
FHLMC | 5.50 | 12-1-2022 | 36,681 | 37,031 | |
FHLMC | 5.50 | 12-1-2023 | 57,351 | 58,565 | |
FHLMC | 6.00 | 1-1-2024 | 25,765 | 26,130 | |
FHLMC | 7.00 | 6-1-2031 | 167,285 | 181,673 | |
FHLMC Series 2611 Class HD | 5.00 | 5-15-2023 | 75,452 | 76,748 | |
FHLMC Series 2704 Class BH | 4.50 | 11-15-2023 | 67,205 | 68,240 | |
FHLMC Series 2881 Class AE | 5.00 | 8-15-2034 | 16,882 | 16,983 | |
FHLMC Series 2953 Class LD | 5.00 | 12-15-2034 | 22,067 | 22,288 | |
FHLMC Series 3609 Class LA | 4.00 | 12-15-2024 | 2 | 2 | |
FHLMC Series 3924 Class MF (1 Month LIBOR +0.50%) ± | 0.69 | 9-15-2041 | 575,012 | 582,155 | |
FHLMC Series 4172 Class PB | 1.50 | 7-15-2040 | 33,846 | 33,951 | |
FHLMC Series 4348 Class MH | 3.00 | 6-15-2039 | 231,910 | 233,549 | |
FHLMC Series 4889 Class CD | 3.00 | 4-15-2049 | 809,199 | 813,783 | |
FHLMC Series 4938 Class BF (1 Month LIBOR +0.50%) ± | 0.69 | 12-25-2049 | 3,628,689 | 3,665,825 | |
FHLMC Series KF15 Class A (1 Month LIBOR +0.67%) ± | 0.78 | 2-25-2023 | 58,908 | 58,945 | |
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 0.84 | 5-25-2044 | 1,125,717 | 1,125,788 | |
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 438,654 | 532,121 | |
FNMA (6 Month LIBOR +1.38%) ± | 1.50 | 10-1-2031 | 38,361 | 38,548 | |
FNMA (6 Month LIBOR +1.51%) ± | 1.65 | 9-1-2037 | 202,128 | 209,386 | |
FNMA (12 Month LIBOR +1.77%) ± | 2.05 | 7-1-2044 | 941,594 | 988,023 | |
FNMA (1 Year Treasury Constant Maturity +2.02%) ± | 2.12 | 12-1-2034 | 157,937 | 165,580 | |
FNMA (12 Month Treasury Average +2.05%) ± | 2.18 | 8-1-2045 | 164,680 | 169,222 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.27 | 9-1-2035 | 234,083 | 246,645 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.29 | 10-1-2034 | 3,413 | 3,595 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.29 | 12-1-2040 | 1,501,709 | 1,578,436 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 34,750 | 34,747 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.32 | 7-1-2038 | 1,253,958 | 1,319,669 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.33 | 6-1-2034 | 443,187 | 448,701 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 6-1-2032 | 59,374 | 59,545 | |
FNMA (1 Year Treasury Constant Maturity +2.25%) ± | 2.34 | 11-1-2038 | 383,163 | 403,203 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.35 | 12-1-2040 | 99,037 | 99,136 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.36 | 8-1-2036 | 867,936 | 910,313 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 2.37 | 5-1-2036 | 197,422 | 207,854 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.38 | 11-1-2035 | 87,813 | 88,222 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 2.42 | 11-1-2034 | 412,369 | 432,439 | |
FNMA | 4.50 | 1-1-2027 | 536,876 | 557,796 | |
FNMA | 5.00 | 5-1-2022 | 484 | 495 | |
FNMA | 5.00 | 6-1-2024 | 320,414 | 328,430 | |
FNMA | 6.00 | 1-1-2023 | 85,809 | 86,606 | |
FNMA | 6.50 | 8-1-2031 | 208,078 | 234,820 | |
FNMA | 9.00 | 6-1-2024 | 173 | 174 | |
FNMA Series 1992-71 Class X | 8.25 | 5-25-2022 | 384 | 386 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2000-T6 Class A2 | 9.50% | 11-25-2040 | $ 203,738 | $ 222,864 | |
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 313,433 | 359,927 | |
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 285,696 | 331,205 | |
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 349,605 | 410,119 | |
FNMA Series 2002-W04 Class A6 ±± | 3.29 | 5-25-2042 | 362,572 | 374,319 | |
FNMA Series 2003-W11 Class A1 ±± | 2.99 | 6-25-2033 | 10,263 | 10,402 | |
FNMA Series 2003-W3 Class 1A4 ±± | 3.50 | 8-25-2042 | 19,990 | 20,706 | |
FNMA Series 2007-W2 Class 1A1 (1 Month LIBOR +0.32%) ± | 0.51 | 3-25-2037 | 200,794 | 201,913 | |
FNMA Series 2010-115 Class NC | 2.75 | 1-25-2039 | 92,506 | 92,785 | |
FNMA Series 2010-25 Class ND | 3.50 | 3-25-2025 | 60 | 59 | |
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 1,194,484 | 1,222,666 | |
FNMA Series 2010-57 Class DQ | 3.00 | 6-25-2025 | 26,229 | 26,399 | |
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 0.45 | 3-25-2043 | 3,321,174 | 3,349,555 | |
FNMA Series 2013-26 Class AK | 2.50 | 11-25-2038 | 59,644 | 59,636 | |
FNMA Series 2014-19 Class HA | 2.00 | 6-25-2040 | 269,572 | 267,888 | |
GNMA | 7.00 | 6-15-2033 | 269,379 | 311,014 | |
Total Agency securities (Cost $26,359,399) | 26,922,759 | ||||
Asset-backed securities: 15.00% | |||||
Acres plc Series 2021-FL2 Class A (1 Month LIBOR +1.40%) 144A± | 1.52 | 1-15-2037 | 4,000,000 | 3,992,772 | |
American Airlines Pass-Through Trust Series 2013-2 | 4.95 | 7-15-2024 | 3,599,927 | 3,608,226 | |
American Airlines Pass-Through Trust Series 2014-1 Class B | 4.38 | 4-1-2024 | 4,775,704 | 4,782,718 | |
American Credit Acceptance Receivables Trust Series 2018-2 Class D 144A | 4.07 | 7-10-2024 | 612,492 | 616,669 | |
American Credit Acceptance Receivables Trust Series 2019-2 Class C 144A | 3.17 | 6-12-2025 | 258,876 | 259,338 | |
American Credit Acceptance Receivables Trust Series 2019-3 Class C 144A | 2.76 | 9-12-2025 | 329,172 | 330,063 | |
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 10,000,000 | 10,095,172 | |
American Credit Acceptance Receivables Trust Series 2021-1 Class C 144A | 0.83 | 3-15-2027 | 9,361,000 | 9,281,953 | |
AmeriCredit Automobile Receivables Trust Series 2018-3 Class C | 3.74 | 10-18-2024 | 8,700,000 | 8,832,006 | |
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 2,888,869 | 2,818,486 | |
Avis Budget Rental Car Funding LLC Series 2017-2A Class A 144A | 2.97 | 3-20-2024 | 7,135,000 | 7,233,849 | |
Bankers Healthcare Group Series 2021-A Class A 144A | 1.42 | 11-17-2033 | 3,704,875 | 3,623,856 | |
CarMax Auto Owner Trust Series 2018-1 Class D | 3.37 | 7-15-2024 | 200,000 | 200,213 | |
CarMax Auto Owner Trust Series 2018-3 Class D | 3.91 | 1-15-2025 | 1,280,000 | 1,295,919 | |
Carvana Auto Receivables Trust Series 2019-3A Class C 144A | 2.71 | 10-15-2024 | 3,500,000 | 3,515,754 | |
Carvana Auto Receivables Trust Series 2019-4A Class B 144A | 2.53 | 7-15-2024 | 709,956 | 710,399 | |
Carvana Auto Receivables Trust Series 2019-4A Class D 144A | 3.07 | 7-15-2025 | 8,749,000 | 8,857,685 | |
Chesapeake Funding II LLC Series 2018-3A Class A1 144A | 3.39 | 1-15-2031 | 1,338,698 | 1,351,540 | |
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56 | 9-25-2045 | 3,061,619 | 3,105,636 | |
Conn's Receivables Funding LLC Series 2020-A Class A 144A | 1.71 | 6-16-2025 | 409,807 | 409,887 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Credit Acceptance Auto Loan Trust Series 2020-3A Class A 144A | 1.24% | 10-15-2029 | $ 3,950,000 | $ 3,921,487 | |
Crossroads Asset Trust Series 2021-A Class A2 144A | 0.82 | 3-20-2024 | 1,900,882 | 1,892,426 | |
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 16,107,500 | 16,387,448 | |
Drive Auto Receivables Trust Series 2018-1 Class E 144A | 5.09 | 6-16-2025 | 5,000,000 | 5,027,860 | |
Drive Auto Receivables Trust Series 2018-4 Class D | 4.09 | 1-15-2026 | 9,014,928 | 9,121,462 | |
Drive Auto Receivables Trust Series 2019-2 Class C | 3.42 | 6-16-2025 | 2,126,957 | 2,139,451 | |
DT Auto Owner Trust Series 2018-2A Class D 144A | 4.15 | 3-15-2024 | 1,229,293 | 1,236,598 | |
DT Auto Owner Trust Series 2018-3A Class D 144A | 4.19 | 7-15-2024 | 3,595,273 | 3,634,359 | |
DT Auto Owner Trust Series 2019-4A Class D 144A | 2.85 | 7-15-2025 | 6,880,000 | 6,960,810 | |
ECMC Group Student Loan Trust Series 2020-2A Class A (1 Month LIBOR +1.15%) 144A± | 1.34 | 11-25-2069 | 5,996,291 | 6,041,221 | |
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 1.19 | 12-25-2056 | 428,347 | 430,233 | |
Enterprise Fleet Financing LLC Series 2019-3 Class A2 144A | 2.06 | 5-20-2025 | 6,005,075 | 6,028,068 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2 144A | 0.44 | 12-21-2026 | 7,796,837 | 7,689,349 | |
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 8,418,000 | 8,233,559 | |
Exeter Automobile Receivables Trust Series 2019-2A Class C 144A | 3.30 | 3-15-2024 | 791,034 | 792,654 | |
Exeter Automobile Receivables Trust Series 2019-3A Class C 144A | 2.79 | 5-15-2024 | 15,882,560 | 15,936,264 | |
Exeter Automobile Receivables Trust Series 2020-1A Class D 144A | 2.73 | 12-15-2025 | 5,800,000 | 5,836,227 | |
Finance of America HECM Buyout 2020 Series HB2 Class A7 144A±± | 1.71 | 7-25-2030 | 4,246,646 | 4,196,253 | |
Flagship Credit Auto Trust Series FCAT 2018-3 Class D 144A | 4.15 | 12-16-2024 | 3,896,000 | 3,997,404 | |
Flagship Credit Auto Trust Series 2019-4 Class A 144A | 2.17 | 6-17-2024 | 600,217 | 601,382 | |
Foursight Capital Series 2019-1 Class C 144A | 3.07 | 4-15-2025 | 5,095,000 | 5,138,395 | |
GLS Automobile Receivables Trust Series 2019-1A Class B 144A | 3.65 | 12-16-2024 | 103,384 | 103,512 | |
GLS Automobile Receivables Trust Series 2019-3A Class C 144A | 2.96 | 5-15-2025 | 3,000,000 | 3,025,907 | |
GLS Automobile Receivables Trust Series 2021-1A Class B 144A | 0.82 | 4-15-2025 | 2,500,000 | 2,489,392 | |
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 1.63 | 5-2-2023 | 6,369,751 | 6,384,796 | |
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 11,325,000 | 11,000,082 | |
Hyundai Auto Lease Securitization Trust Series 2018-B Class A4 | 3.29 | 1-15-2025 | 4,034,462 | 4,054,779 | |
Mercury Financial Credit Card Master Trust 144A | 1.54 | 3-20-2026 | 8,400,000 | 8,312,555 | |
Mercury Financial Credit Card Master Trust MFCC Series 2022-1A 144A | 2.50 | 9-21-2026 | 20,000,000 | 19,767,698 | |
MFRA Trust Series 2020-NQM1 Class A1 144A±± | 1.48 | 3-25-2065 | 1,878,709 | 1,856,981 | |
Navient Student Loan Trust Series 2017-3A Class A3 (1 Month LIBOR +1.05%) 144A± | 1.24 | 7-26-2066 | 5,700,000 | 5,687,984 | |
Navient Student Loan Trust Series 2018-CA Class A2 144A | 3.52 | 6-16-2042 | 913,826 | 922,601 | |
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 8,586,893 | 8,273,766 | |
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 3,127,669 | 3,127,865 | |
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 11,591,877 | 11,462,113 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Ocwen Master Advance Receivable Trust Series 2020-T1 Class AT1 144A | 1.28% | 8-15-2052 | $ 6,820,211 | $ 6,818,677 | |
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 8,500,000 | 8,259,079 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A 144A | 0.87 | 7-14-2028 | 11,760,000 | 11,425,228 | |
Oscar US Funding Trust Series 2018-2A Class A4 144A | 3.63 | 9-10-2025 | 2,769,705 | 2,790,836 | |
Oscar US Funding Trust Series 2021-1A Class A2 144A | 0.40 | 3-11-2024 | 6,112,226 | 6,090,104 | |
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 15,814,592 | 15,687,087 | |
Pagaya Al Debt Selection Trust Series 2020-3 Class A 144A | 2.10 | 5-17-2027 | 501,343 | 502,048 | |
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 9,340,000 | 9,074,183 | |
Prestige Auto Receivables Trust Series 2020-1A Class B 144A | 0.77 | 10-15-2024 | 11,906,836 | 11,902,003 | |
Santander Drive Auto Receivable Trust Series 2020-4 Class D | 1.48 | 1-15-2027 | 21,370,000 | 21,306,704 | |
Santander Drive Auto Receivable Trust Series 2021-1 Class B | 0.50 | 4-15-2025 | 9,800,000 | 9,775,797 | |
Santander Drive Auto Receivable Trust Series 2021-2 Class B | 0.59 | 9-15-2025 | 10,150,000 | 10,087,766 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 0.87 | 12-17-2068 | 19,035,000 | 18,912,338 | |
SLM Student Loan Trust Series 2004-B Class A3 (3 Month LIBOR +0.33%) ± | 0.53 | 3-15-2024 | 5,307,239 | 5,286,023 | |
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 0.84 | 12-27-2038 | 3,678,655 | 3,661,783 | |
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 0.74 | 5-26-2055 | 3,920,189 | 3,840,676 | |
SLM Student Loan Trust Series 2014-A Class B 144A | 3.50 | 11-15-2044 | 3,321,686 | 3,325,603 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 2,303,004 | 2,279,267 | |
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A± | 0.89 | 3-26-2040 | 833,002 | 832,820 | |
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 3,878,672 | 3,839,246 | |
Taco Bell Funding LLC Series 2016-1A Class A2 144A | 4.97 | 5-25-2046 | 6,529,388 | 6,741,331 | |
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 0.79 | 1-25-2046 | 1,591,658 | 1,587,433 | |
United Airlines Pass-Through Trust Series 2015-1 Class A | 3.70 | 6-1-2024 | 9,550,000 | 9,650,991 | |
Voya CLO Limited Series 2017-1A Class A1R (3 Month LIBOR +0.95%) 144A± | 1.19 | 4-17-2030 | 8,500,000 | 8,470,021 | |
Westlake Automobile Receivables Trust Series 2018-3A Class E 144A | 4.90 | 12-15-2023 | 1,355,000 | 1,373,891 | |
Westlake Automobile Receivables Trust Series 2020-3A Class B 144A | 0.78 | 11-17-2025 | 31,565,000 | 31,411,894 | |
Westlake Automobile Receivables Trust Series 2020-3A Class E 144A | 0.56 | 5-15-2024 | 10,254,150 | 10,248,712 | |
World Omni Automobile Lease Securitization Trust Series 2019-B Class A4 | 2.07 | 2-18-2025 | 22,577,252 | 22,594,574 | |
Total Asset-backed securities (Cost $528,871,565) | 524,411,197 |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 22.93% | |||||
Communication services: 0.16% | |||||
Wireless telecommunication services: 0.16% | |||||
Sprint Corporation | 7.13% | 6-15-2024 | $ 5,000,000 | $ 5,406,300 | |
Consumer discretionary: 2.27% | |||||
Automobiles: 0.37% | |||||
General Motors Company | 5.40 | 10-2-2023 | 12,459,000 | 13,089,534 | |
Hotels, restaurants & leisure: 0.77% | |||||
Hyatt Hotels Corporation | 1.30 | 10-1-2023 | 7,000,000 | 6,888,859 | |
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 14,845,000 | 14,633,595 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 5,065,000 | 5,436,619 | |
26,959,073 | |||||
Internet & direct marketing retail: 0.20% | |||||
QVC Incorporated | 4.38 | 3-15-2023 | 2,000,000 | 2,034,980 | |
QVC Incorporated | 4.85 | 4-1-2024 | 5,000,000 | 5,062,500 | |
7,097,480 | |||||
Textiles, apparel & luxury goods: 0.93% | |||||
Michael Kors USA Incorporated 144A | 4.50 | 11-1-2024 | 12,574,000 | 12,915,510 | |
Ralph Lauren Corporation | 1.70 | 6-15-2022 | 3,190,000 | 3,195,865 | |
Tapestry Incorporated | 3.00 | 7-15-2022 | 16,199,000 | 16,269,155 | |
32,380,530 | |||||
Consumer staples: 0.38% | |||||
Food & staples retailing: 0.13% | |||||
7 Eleven Incorporated 144A | 0.80 | 2-10-2024 | 4,430,000 | 4,323,758 | |
Food products: 0.25% | |||||
Land O'Lakes Incorporated 144A | 6.00 | 11-15-2022 | 8,685,000 | 8,862,413 | |
Energy: 1.99% | |||||
Energy equipment & services: 0.35% | |||||
Alexander Funding Trust 144A | 1.84 | 11-15-2023 | 12,265,000 | 12,173,773 | |
Oil, gas & consumable fuels: 1.64% | |||||
Cheniere Corporation | 5.88 | 3-31-2025 | 8,800,000 | 9,502,951 | |
Energy Transfer Partners LP | 4.20 | 9-15-2023 | 4,866,000 | 5,003,807 | |
EnLink Midstream Partners LP | 4.40 | 4-1-2024 | 1,386,000 | 1,411,644 | |
EQM Midstream Partners LP | 4.75 | 7-15-2023 | 3,000,000 | 3,000,690 | |
EQT Corporation « | 3.00 | 10-1-2022 | 2,750,000 | 2,773,100 | |
Pioneer Natural Resources Company | 3.95 | 7-15-2022 | 11,975,000 | 12,013,361 | |
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 8,971,000 | 9,159,877 | |
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 14,500,000 | 14,686,985 | |
57,552,415 | |||||
Financials: 11.33% | |||||
Banks: 1.87% | |||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81 | 10-24-2024 | 12,000,000 | 11,712,294 | |
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 4,500,000 | 4,371,469 |
Interest rate | Maturity date | Principal | Value | ||
Banks (continued) | |||||
Bank of America Corporation (U.S. SOFR +0.67%) ± | 1.84% | 2-4-2025 | $ 8,000,000 | $ 7,922,051 | |
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 4,894,000 | 5,004,600 | |
Citigroup Incorporated (U.S. SOFR +0.69%) ± | 0.78 | 10-30-2024 | 8,000,000 | 7,820,015 | |
Citigroup Incorporated (U.S. SOFR +0.67%) ± | 0.98 | 5-1-2025 | 2,000,000 | 1,942,670 | |
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 6,000,000 | 5,767,126 | |
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 6,280,000 | 6,075,945 | |
JPMorgan Chase & Company (U.S. SOFR +0.92%) ± | 0.97 | 2-24-2026 | 5,000,000 | 4,986,950 | |
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 7,250,000 | 7,221,820 | |
JPMorgan Chase & Company (3 Month LIBOR +0.70%) ± | 3.21 | 4-1-2023 | 2,635,000 | 2,638,882 | |
65,463,822 | |||||
Capital markets: 2.69% | |||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.63 | 11-17-2023 | 11,500,000 | 11,405,232 | |
Goldman Sachs Group Incorporated (U.S. SOFR +0.49%) ± | 0.93 | 10-21-2024 | 8,000,000 | 7,827,441 | |
Goldman Sachs Group Incorporated (3 Month LIBOR +1.05%) ± | 2.91 | 6-5-2023 | 12,000,000 | 12,047,203 | |
Morgan Stanley (U.S. SOFR +0.47%) ± | 0.56 | 11-10-2023 | 5,000,000 | 4,960,917 | |
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 5,000,000 | 4,930,862 | |
Morgan Stanley | 2.75 | 5-19-2022 | 9,435,000 | 9,472,299 | |
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 8,000,000 | 7,718,947 | |
Morgan Stanley (U.S. SOFR +0.94%) ± | 2.63 | 2-18-2026 | 12,000,000 | 12,002,819 | |
Owl Rock Capital Corporation | 5.25 | 4-15-2024 | 2,454,000 | 2,542,911 | |
State Street Corporation (U.S. SOFR +0.41%) «± | 1.75 | 2-6-2026 | 21,250,000 | 21,000,577 | |
93,909,208 | |||||
Consumer finance: 2.88% | |||||
Bayer US Finance II LLC Company 144A | 3.88 | 12-15-2023 | 20,700,000 | 21,261,186 | |
BMW US Capital LLC 144A | 3.80 | 4-6-2023 | 5,000,000 | 5,117,499 | |
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 12,320,000 | 12,106,973 | |
Bunge Limited | 3.00 | 9-25-2022 | 1,000,000 | 1,007,781 | |
Daimler Finance North America LLC 144A | 1.75 | 3-10-2023 | 1,715,000 | 1,716,830 | |
Daimler Finance North America LLC 144A | 1.13 | 12-14-2023 | 18,780,000 | 18,501,706 | |
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 8,000,000 | 7,760,880 | |
General Motors Financial Company Incorporated | 1.20 | 10-15-2024 | 3,000,000 | 2,919,780 | |
Hyundai Capital America Company 144A | 0.80 | 1-8-2024 | 10,000,000 | 9,711,466 | |
Hyundai Capital America Company 144A | 1.25 | 9-18-2023 | 4,750,000 | 4,682,660 | |
Hyundai Capital America Company 144A | 2.38 | 2-10-2023 | 1,720,000 | 1,724,859 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,400,000 | 2,517,576 | |
Onemain Finance Corporation | 5.63 | 3-15-2023 | 4,550,000 | 4,663,750 | |
The American Express Company (3 Month LIBOR +0.62%) ± | 1.10 | 5-20-2022 | 3,000,000 | 3,001,544 | |
Volkswagen Group of America Finance LLC 144A | 2.70 | 9-26-2022 | 3,875,000 | 3,897,787 | |
100,592,277 | |||||
Diversified financial services: 1.01% | |||||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 5,250,000 | 5,037,889 | |
Jackson Financial Incorporated 144A | 1.13 | 11-22-2023 | 5,725,000 | 5,632,071 | |
Jackson National Life Global 144A | 1.75 | 1-12-2025 | 10,000,000 | 9,833,107 | |
National Securities Clearing Corporation 144A | 0.40 | 12-7-2023 | 5,000,000 | 4,877,767 | |
National Securities Clearing Corporation 144A | 1.20 | 4-23-2023 | 5,000,000 | 4,984,931 | |
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 4,766,000 | 4,881,048 | |
35,246,813 |
Interest rate | Maturity date | Principal | Value | ||
Insurance: 2.88% | |||||
AIG Global Funding 144A | 0.80% | 7-7-2023 | $ 5,000,000 | $ 4,937,682 | |
AIG Global Funding 144A | 0.65 | 6-17-2024 | 6,000,000 | 5,785,408 | |
Athene Global Funding 144A | 1.20 | 10-13-2023 | 5,000,000 | 4,932,211 | |
Athene Global Funding 144A | 2.80 | 5-26-2023 | 5,000,000 | 5,060,317 | |
Athene Global Funding 144A | 0.91 | 8-19-2024 | 5,000,000 | 4,844,820 | |
Brighthouse Financial 144A | 0.60 | 6-28-2023 | 6,595,000 | 6,493,847 | |
Brighthouse Financial 144A | 1.75 | 1-13-2025 | 11,340,000 | 11,091,677 | |
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 20,775,000 | 20,078,469 | |
Met Tower Global Funding 144A | 0.70 | 4-5-2024 | 12,000,000 | 11,701,375 | |
Principal Life Global Funding II 144A | 1.38 | 1-10-2025 | 13,000,000 | 12,652,553 | |
Protective Life Global Funding 144A | 0.47 | 1-12-2024 | 10,000,000 | 9,698,524 | |
Protective Life Global Funding 144A | 0.63 | 10-13-2023 | 2,000,000 | 1,965,270 | |
Security Benefit Company 144A | 1.25 | 5-17-2024 | 1,665,000 | 1,622,565 | |
100,864,718 | |||||
Health care: 0.83% | |||||
Health care providers & services: 0.41% | |||||
HCA Incorporated | 5.25 | 4-15-2025 | 13,185,000 | 14,154,775 | |
Life sciences tools & services: 0.42% | |||||
Thermo Fisher Scientific | 0.80 | 10-18-2023 | 15,000,000 | 14,797,636 | |
Industrials: 0.85% | |||||
Aerospace & defense: 0.26% | |||||
The Boeing Company | 1.43 | 2-4-2024 | 5,000,000 | 4,918,437 | |
The Boeing Company | 4.51 | 5-1-2023 | 4,000,000 | 4,109,981 | |
9,028,418 | |||||
Airlines: 0.41% | |||||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 10,000,000 | 10,266,066 | |
Delta Airlines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 4,070,580 | 4,158,569 | |
14,424,635 | |||||
Industrial conglomerates: 0.02% | |||||
Honeywell International Incorporated | 0.48 | 8-19-2022 | 600,000 | 599,224 | |
Trading companies & distributors: 0.16% | |||||
Air Lease Corporation | 0.70 | 2-15-2024 | 6,000,000 | 5,813,697 | |
Information technology: 0.33% | |||||
Semiconductors & semiconductor equipment: 0.24% | |||||
Marvell Technology Incorporated | 4.20 | 6-22-2023 | 2,800,000 | 2,876,520 | |
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 3,475,000 | 3,506,087 | |
Skyworks Solutions Incorporated | 0.90 | 6-1-2023 | 2,000,000 | 1,972,886 | |
8,355,493 | |||||
Technology hardware, storage & peripherals: 0.09% | |||||
Western Digital Corporation | 4.75 | 2-15-2026 | 3,000,000 | 3,117,600 |
Interest rate | Maturity date | Principal | Value | ||
Materials: 0.30% | |||||
Chemicals: 0.24% | |||||
International Flavors & Fragrances Incorporated 144A | 0.70% | 9-15-2022 | $ 1,000,000 | $ 996,755 | |
Westlake Chemical Corporation | 3.60 | 7-15-2022 | 7,269,000 | 7,293,221 | |
8,289,976 | |||||
Containers & packaging: 0.06% | |||||
Sealed Air Corporation 144A | 5.13 | 12-1-2024 | 2,000,000 | 2,070,000 | |
Real estate: 0.89% | |||||
Equity REITs: 0.89% | |||||
Piedmont Operating Partnership LP | 4.45 | 3-15-2024 | 10,235,000 | 10,598,516 | |
SBA Tower Trust 144A | 3.45 | 3-15-2048 | 7,175,000 | 7,196,572 | |
Service Properties Trust | 4.50 | 6-15-2023 | 3,500,000 | 3,463,600 | |
Simon Property Group LP (U.S. SOFR +0.43%) ± | 0.48 | 1-11-2024 | 10,000,000 | 10,008,745 | |
31,267,433 | |||||
Utilities: 3.60% | |||||
Electric utilities: 2.04% | |||||
American Electric Power | 0.75 | 11-1-2023 | 7,000,000 | 6,854,308 | |
American Electric Power | 2.03 | 3-15-2024 | 8,500,000 | 8,480,377 | |
Entergy Louisiana LLC | 0.62 | 11-17-2023 | 10,000,000 | 9,808,565 | |
ITC Holdings Corporation | 2.70 | 11-15-2022 | 5,700,000 | 5,747,757 | |
NextEra Energy Operating Partners LP (3 Month LIBOR +0.27%) ± | 0.75 | 2-22-2023 | 20,000,000 | 19,978,540 | |
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 2,030,000 | 2,069,910 | |
Pacific Gas & Electric (U.S. SOFR +1.15%) ± | 2.19 | 11-14-2022 | 2,500,000 | 2,499,116 | |
Southern California Edison Company | 0.70 | 4-3-2023 | 7,800,000 | 7,707,597 | |
Southern California Edison Company | 3.50 | 10-1-2023 | 8,000,000 | 8,155,128 | |
71,301,298 | |||||
Gas utilities: 1.00% | |||||
Atmos Energy Corporation | 0.63 | 3-9-2023 | 5,000,000 | 4,943,431 | |
One Gas Incorporated | 0.85 | 3-11-2023 | 20,230,000 | 20,060,571 | |
Southern California Gas Company (3 Month LIBOR +0.35%) ± | 0.55 | 9-14-2023 | 10,000,000 | 9,978,106 | |
34,982,108 | |||||
Independent power & renewable electricity producers: 0.10% | |||||
TerraForm Power Operating LLC 144A | 4.25 | 1-31-2023 | 3,640,000 | 3,644,550 | |
Multi-utilities: 0.46% | |||||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 0.70 | 3-2-2023 | 4,625,000 | 4,576,691 | |
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 0.70 | 5-13-2024 | 3,840,000 | 3,840,710 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 1.00 | 3-2-2023 | 2,665,000 | 2,665,032 | |
DTE Energy Company | 2.25 | 11-1-2022 | 5,000,000 | 5,029,957 | |
16,112,390 | |||||
Total Corporate bonds and notes (Cost $813,235,586) | 801,881,347 |
Shares | Value | ||||
Investment companies: 2.80% | |||||
Exchange-traded funds: 2.80% | |||||
Invesco BulletShares 2022 High Yield Corporate Bond ETF | 334,000 | $ 7,682,000 | |||
iShares 0-5 Year High Yield Corporate Bond ETF « | 773,000 | 34,267,090 | |||
iShares Short-Term Corporate Bond ETF « | 572,000 | 30,201,600 | |||
SPDR Portfolio Short Term Corporate Bond ETF « | 847,800 | 25,883,334 | |||
Total Investment companies (Cost $98,928,987) | 98,034,024 |
Interest rate | Principal | ||||
Municipal obligations: 0.12% | |||||
Indiana: 0.07% | |||||
Education revenue: 0.07% | |||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 0.91% | 2-25-2044 | $ 2,389,342 | 2,390,511 | |
New Jersey: 0.05% | |||||
Transportation revenue: 0.05% | |||||
New Jersey Transportation Trust Authority Transportation System Series B | 2.38 | 6-15-2022 | 1,700,000 | 1,706,974 | |
Total Municipal obligations (Cost $4,067,291) | 4,097,485 | ||||
Non-agency mortgage-backed securities: 18.42% | |||||
ACC Trust Series 2021-1 Class A 144A | 0.74 | 11-20-2023 | 2,006,274 | 2,004,555 | |
Affirm Incorporated Series 2020-A Class A 144A | 2.10 | 2-18-2025 | 14,557,000 | 14,564,789 | |
Affirm Incorporated Series 2021-A Class A 144A | 0.88 | 8-15-2025 | 10,000,000 | 9,973,848 | |
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 1.28 | 7-25-2029 | 10,780,000 | 10,717,174 | |
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 639,529 | 640,374 | |
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 1,370,151 | 1,356,802 | |
Angel Oak Mortgage Trust I LLC Series 2020-5 Class A2 144A±± | 1.58 | 5-25-2065 | 1,078,165 | 1,068,074 | |
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 4,362,568 | 4,326,821 | |
Avery Point CLO Limited Series 2015-7A Class AR2 (3 Month LIBOR +0.96%) 144A± | 1.20 | 1-15-2028 | 7,934,529 | 7,933,395 | |
Bayview Opportunity Master Fund Series 2016-SPL2 Class A 144A±± | 4.00 | 6-28-2053 | 1,389,832 | 1,401,226 | |
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 1.31 | 4-24-2029 | 803,778 | 801,479 | |
Bravo Residential Funding Trust Series 2019-NQM1 Class A1 144A±± | 2.67 | 7-25-2059 | 1,430,250 | 1,417,927 | |
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 1,272,575 | 1,267,342 | |
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 0.80 | 11-25-2069 | 8,871,628 | 8,861,801 | |
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A | 2.88 | 7-25-2049 | 1,698,396 | 1,695,232 | |
Carlyle C17 CLO Limited Series C17-A Class A1AR (3 Month LIBOR +1.03%) 144A± | 1.33 | 4-30-2031 | 3,000,000 | 2,990,949 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00% | 10-25-2068 | $ 667,172 | $ 675,994 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 3,884,231 | 3,865,569 | |
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 12,537,744 | 12,392,531 | |
Cascade Funding Mortgage Trust Series 2021-EBO1 Class A 144A±± | 0.98 | 11-25-2050 | 7,289,852 | 7,234,686 | |
Cascade Funding Mortgage Trust Series 2021-HB7 Class A 144A±± | 1.15 | 10-27-2031 | 4,757,914 | 4,708,200 | |
CCG Receivables Trust Series 2019-1 Class A2 144A | 2.80 | 9-14-2026 | 182,607 | 183,154 | |
CGMS Series 2015-1A Class AR3 (3 Month LIBOR +0.98%) 144A± | 1.23 | 7-20-2031 | 11,250,000 | 11,189,216 | |
CHNGE Mortgage Trust Series 2022-2 Class A1 144A±± | 3.76 | 3-25-2067 | 15,000,000 | 14,997,090 | |
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 1.24 | 4-18-2031 | 1,750,000 | 1,739,864 | |
Citigroup Commercial Mortgage Trust Series 2017-MDRB Class A (1 Month LIBOR +1.10%) ± | 1.29 | 7-15-2030 | 1,077,679 | 1,074,620 | |
Citigroup Commercial Mortgage Trust Series 2019-IMC1 Class A1 144A±± | 2.72 | 7-25-2049 | 3,480,602 | 3,468,503 | |
Colt Funding LLC Series 2020-1R Class A1 144A±± | 1.26 | 9-25-2065 | 1,148,633 | 1,138,237 | |
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 1,182,967 | 1,183,667 | |
Colt Funding LLC Series 2021-1R Class A1 144A±± | 0.86 | 5-25-2065 | 3,492,641 | 3,448,705 | |
Colt Funding LLC Series 2021-HX1 Class A1 144A±± | 1.11 | 10-25-2066 | 13,913,375 | 13,392,949 | |
Commercial Mortgage Trust Series 2014-CR16 Class ASB | 3.65 | 4-10-2047 | 1,486,795 | 1,510,466 | |
Commercial Mortgage Trust Series 2014-UBS5 Class A2 | 3.03 | 9-10-2047 | 337,447 | 339,839 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 1A1 ±± | 1.75 | 6-19-2031 | 101,493 | 103,047 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 2.01 | 6-19-2031 | 63,898 | 64,281 | |
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 2,605,524 | 2,573,676 | |
Credit Suisse Mortgage Trust Series 2020-SPT1 Class A1 144A±± | 1.62 | 4-25-2065 | 1,433,624 | 1,430,178 | |
Credit Suisse Mortgage Trust Series 2021-NQM2 Class A1 144A±± | 1.18 | 2-25-2066 | 6,280,077 | 6,122,608 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 6,930,613 | 6,826,026 | |
CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A2 | 4.14 | 8-15-2051 | 860,292 | 872,425 | |
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 1.19 | 12-19-2030 | 635,000 | 628,632 | |
Dryden Senior Loan Fund Series 2013-30A (3 Month LIBOR +0.82%) 144A± | 1.33 | 11-15-2028 | 4,990,341 | 4,968,219 | |
Dryden Senior Loan Fund Series 2019-80A AR (U.S. SOFR 3 Month +1.25%) 144A± | 1.50 | 1-17-2033 | 11,000,000 | 10,997,360 | |
Ellington Financial Mortgage Trust Series 2020-1 Class A1 144A±± | 2.01 | 5-25-2065 | 667,607 | 667,566 | |
Ellington Financial Mortgage Trust Series 2021-1 Class A1 144A±± | 0.80 | 2-25-2066 | 964,128 | 938,479 | |
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 1.25 | 9-25-2033 | 218,110 | 217,148 | |
Freedom Financial Trust Series 2021-1CP Class A 144A | 0.66 | 3-20-2028 | 2,799,236 | 2,793,687 | |
Galton Funding Mortgage Trust Series 2020-H1 Class A1 144A±± | 2.31 | 1-25-2060 | 490,907 | 490,925 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
GCAT Series 2022 HX1 Class A1 144A±± | 2.89% | 12-27-2066 | $ 16,850,190 | $ 16,850,082 | |
Goldman Sachs Mortgage Securities Trust Series 2013-GC16 Class AAB | 3.81 | 11-10-2046 | 936,629 | 952,533 | |
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,232,901 | |
Goldman Sachs Mortgage Securities Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 9-27-2060 | 1,964,419 | 1,947,599 | |
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 26,647 | 26,033 | |
HGI CRE CLO Limited Series 2021-FL2 Class A (1 Month LIBOR +1.00%) 144A± | 1.13 | 9-17-2036 | 8,070,000 | 8,028,490 | |
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 1.19 | 11-15-2036 | 3,847,148 | 3,803,944 | |
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 3,861,198 | 3,797,738 | |
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 2,894,450 | 2,789,634 | |
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60 | 11-25-2056 | 7,343,700 | 6,901,476 | |
InTown Hotel Portfolio Trust Series 2018-STAY Class A (1 Month LIBOR +1.10%) 144A± | 1.29 | 1-15-2033 | 4,000,000 | 3,984,862 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.06%) 144A± | 2.56 | 6-15-2035 | 3,571,081 | 3,517,006 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-7 Class B2A 144A±± | 3.02 | 2-25-2050 | 2,365,213 | 2,307,357 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 1.15 | 7-15-2036 | 5,000,000 | 4,962,376 | |
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 9,696,492 | 9,763,311 | |
Marlette Funding Trust Series 2018-3A Class C 144A | 4.63 | 9-15-2028 | 1,034,071 | 1,033,769 | |
Marlette Funding Trust Series 2021-1A Class B 144A | 1.00 | 6-16-2031 | 6,375,000 | 6,309,773 | |
Marlette Funding Trust Series 2021-2A Class A 144A | 0.51 | 9-15-2031 | 3,432,062 | 3,417,059 | |
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.49 | 10-25-2032 | 1,787 | 1,815 | |
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 1.14 | 11-15-2038 | 8,000,000 | 7,879,824 | |
Mello Warehouse Securitization Trust Series 2020-1 Class A (1 Month LIBOR +0.90%) 144A± | 1.09 | 10-25-2053 | 8,500,000 | 8,487,110 | |
Mello Warehouse Securitization Trust Series 2020-2 Class A (1 Month LIBOR +0.80%) 144A± | 0.99 | 11-25-2053 | 7,405,000 | 7,358,169 | |
Mello Warehouse Securitization Trust Series 2021-1 Class B (1 Month LIBOR +0.90%) 144A± | 1.09 | 2-25-2055 | 7,135,000 | �� 7,083,061 | |
Mello Warehouse Securitization Trust Series 2021-2 Class A (1 Month LIBOR +0.75%) 144A± | 0.94 | 4-25-2055 | 16,680,000 | 16,538,280 | |
MF1 Multifamily Housing Mortgage Series 2020-FL3 Class A (U.S. SOFR 1 Month +2.16%) 144A± | 2.21 | 7-15-2035 | 633,726 | 632,722 | |
MF1 Multifamily Housing Mortgage Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 1.04 | 7-15-2036 | 14,547,640 | 14,401,537 | |
MF1 Multifamily Housing Mortgage Series 2021-FL7 Class A (1 Month LIBOR +1.08%) 144A± | 1.21 | 10-16-2036 | 12,000,000 | 11,901,888 | |
MF1 Multifamily Housing Mortgage Series 2022-FL8 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 1.40 | 2-19-2037 | 13,025,000 | 12,985,435 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,935,738 | 1,911,173 | |
MFRA Trust Series 2021-NQM1 Class A1 144A±± | 1.15 | 4-25-2065 | 6,316,330 | 6,264,131 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Mill City Mortgage Loan Trust Series 2017-2 Class A1 144A±± | 2.75% | 7-25-2059 | $ 1,456,677 | $ 1,463,147 | |
Mill City Mortgage Loan Trust Series 2018-2 Class A1 144A±± | 3.50 | 5-25-2058 | 2,202,045 | 2,222,525 | |
New Residential Mortgage Loan Series 2021-INV1 Class A6 144A±± | 2.50 | 6-25-2051 | 6,418,607 | 6,300,167 | |
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 0.94 | 5-25-2055 | 10,000,000 | 9,933,623 | |
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A±± | 1.22 | 12-29-2051 | 7,541,576 | 7,497,878 | |
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 1.25 | 3-17-2030 | 11,400,000 | 11,335,351 | |
OneMain Financial Issuance Trust Series 2020-1A Class A 144A | 3.84 | 5-14-2032 | 20,000,000 | 20,287,190 | |
Onslow Bay Financial LLC Series 2020-EXP1 Class 1A8 144A±± | 3.50 | 2-25-2060 | 840,266 | 835,494 | |
Onslow Bay Financial LLC Series 2021-NQM3 Class A1 144A±± | 1.05 | 7-25-2061 | 5,271,676 | 5,087,151 | |
OPG Trust Series 2021-PORT Class A (1 Month LIBOR +0.48%) 144A± | 0.68 | 10-15-2036 | 25,000,000 | 24,021,113 | |
Palmer Square Loan Funding Limited Series 2013-2A Class A1A3 (3 Month LIBOR +1.00%) 144A± | 1.25 | 10-17-2031 | 17,785,000 | 17,763,711 | |
PFS Financing Corporation Series 2020-E Class A 144A | 1.00 | 10-15-2025 | 15,000,000 | 14,797,034 | |
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 937,550 | 939,881 | |
Residential Mortgage Loan Trust Series 2019-2 Class A1 144A±± | 2.91 | 5-25-2059 | 747,110 | 749,324 | |
Residential Mortgage Loan Trust Series 2021-1R Class A1 144A±± | 0.86 | 1-25-2065 | 4,622,400 | 4,562,199 | |
Salomon Brothers Mortgage Securities VII Series 1990-2 Class A ±± | 1.63 | 11-25-2049 | 91,434 | 91,430 | |
SCF Equipment Trust LLC Series 2021-1A Class A2 144A | 0.42 | 8-20-2026 | 8,005,466 | 7,984,914 | |
Sound Point CLO Limited Series 2015-1RA Class AR (3 Month LIBOR +1.08%) 144A± | 1.32 | 4-15-2030 | 12,555,000 | 12,498,954 | |
SPGN TFLM Mortgage Trust Series 2022 Class A (U.S. SOFR 1 Month +1.55%) 144A± | 1.60 | 2-15-2039 | 20,000,000 | 19,905,842 | |
Starwood Mortgage Residential Trust Series 2019-INV1 Class A1 144A±± | 2.61 | 9-27-2049 | 504,522 | 506,364 | |
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 3,560,826 | 3,534,472 | |
Starwood Mortgage Residential Trust Series 2020-2 Class A1 144A±± | 2.72 | 4-25-2060 | 540,410 | 540,635 | |
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94 | 5-25-2065 | 4,180,943 | 4,124,022 | |
TCI Symphony CLO Series 2016-1A Class AR2 (3 Month LIBOR +1.02%) 144A± | 1.26 | 10-13-2032 | 7,685,000 | 7,623,435 | |
Toorak Mortgage Trust Series 2021-INV2 Class A1 144A±± | 1.97 | 11-25-2056 | 14,561,976 | 14,167,204 | |
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 1,312,672 | 1,320,576 | |
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 1,269,252 | 1,273,830 | |
Towd Point Mortgage Trust Series 2017-6 Class A1 144A±± | 2.75 | 10-25-2057 | 1,360,142 | 1,368,903 | |
Towd Point Mortgage Trust Series 2018-2 Class A1 144A±± | 3.25 | 3-25-2058 | 1,024,422 | 1,035,719 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Towd Point Mortgage Trust Series 2018-3 Class A1 144A±± | 3.75% | 5-25-2058 | $ 4,398,651 | $ 4,497,161 | |
TPG Real Estate Finance Trust Series 2022-FL5 Class A (30 Day Average U.S. SOFR +1.65%) 144A± | 1.70 | 2-15-2039 | 15,000,000 | 14,953,748 | |
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 1.04 | 2-15-2032 | 3,574,342 | 3,544,455 | |
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 2,141,404 | 2,145,484 | |
Verus Securitization Trust Series 2020-2 Class A1 144A±± | 2.23 | 5-25-2060 | 426,836 | 424,213 | |
Verus Securitization Trust Series 2020-INV1 Class A1 144A±± | 1.98 | 3-25-2060 | 986,953 | 982,190 | |
Verus Securitization Trust Series 2021-1 Class A2 144A±± | 1.05 | 1-25-2066 | 5,117,754 | 4,991,415 | |
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 2,831,040 | 2,767,734 | |
Verus Securitization Trust Series 2021-R3 Class A1 144A��± | 1.02 | 4-25-2064 | 5,901,821 | 5,834,979 | |
Vista Point Securitization Trust Series 2020-1 Class A1 144A±± | 1.76 | 3-25-2065 | 935,809 | 934,736 | |
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.42 | 8-25-2032 | 87,381 | 91,272 | |
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.42 | 8-25-2032 | 53,376 | 53,088 | |
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 2.08 | 12-28-2037 | 108,781 | 111,229 | |
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 1.24 | 10-18-2030 | 16,000,000 | 15,908,128 | |
Zais Matrix CDO Series 2020-14A Class A1AR (3 Month LIBOR +1.20%) 144A± | 1.44 | 4-15-2032 | 13,000,000 | 12,964,718 | |
Total Non-agency mortgage-backed securities (Cost $651,178,000) | 644,307,061 | ||||
Yankee corporate bonds and notes: 12.30% | |||||
Consumer discretionary: 0.71% | |||||
Auto components: 0.18% | |||||
Toyota Industries Corporation 144A | 3.11 | 3-12-2022 | 6,145,000 | 6,148,250 | |
Automobiles: 0.14% | |||||
Nissan Motor Company Limited 144A | 3.04 | 9-15-2023 | 4,500,000 | 4,542,243 | |
Stellantis NV | 5.25 | 4-15-2023 | 530,000 | 548,020 | |
5,090,263 | |||||
Household durables: 0.39% | |||||
Panasonic Corporation 144A | 2.54 | 7-19-2022 | 13,640,000 | 13,683,275 | |
Consumer staples: 0.14% | |||||
Beverages: 0.14% | |||||
Coca-Cola Europacific Partners plc 144A | 0.50 | 5-5-2023 | 5,000,000 | 4,921,039 | |
Energy: 1.30% | |||||
Oil, gas & consumable fuels: 1.30% | |||||
Enbridge Incorporated | 2.15 | 2-16-2024 | 7,000,000 | 7,010,403 | |
Enbridge Incorporated | 2.50 | 2-14-2025 | 3,000,000 | 3,009,888 | |
Enbridge Incorporated | 4.00 | 10-1-2023 | 5,000,000 | 5,129,097 | |
Harvest Operations Corporation 144A | 1.00 | 4-26-2024 | 5,000,000 | 4,889,595 | |
Petroleos Mexicanos Company (3 Month LIBOR +3.65%) ± | 3.85 | 3-11-2022 | 16,520,000 | 16,511,740 |
Interest rate | Maturitydate | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Saudi Arabian Oil 144A | 1.25% | 11-24-2023 | $ 2,000,000 | $ 1,975,000 | |
Saudi Arabian Oil 144A | 2.75 | 4-16-2022 | 7,000,000 | 7,017,220 | |
45,542,943 | |||||
Financials: 8.10% | |||||
Banks: 6.42% | |||||
ANZ New Zealand International Company 144A« | 1.90 | 2-13-2023 | 2,800,000 | 2,813,852 | |
ANZ New Zealand International Company 144A | 2.17 | 2-18-2025 | 7,000,000 | 6,983,635 | |
Banco Bilbao Vizcaya Argentaria SA | 0.88 | 9-18-2023 | 5,000,000 | 4,928,826 | |
Banco Santander SA | 3.50 | 4-11-2022 | 10,020,000 | 10,044,360 | |
Banco Santander SA 144A | 4.13 | 11-9-2022 | 7,797,000 | 7,906,158 | |
Bank of Montreal | 1.50 | 1-10-2025 | 15,000,000 | 14,674,921 | |
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 5,135,000 | 5,004,675 | |
Barclays Bank plc | 1.70 | 5-12-2022 | 5,000,000 | 5,004,323 | |
Barclays Bank plc | 11.00 | 4-5-2022 | 9,200,000 | 9,197,958 | |
BNP Paribas 144A | 3.50 | 3-1-2023 | 4,000,000 | 4,063,913 | |
BPCE SA 144A | 3.00 | 5-22-2022 | 4,000,000 | 4,014,559 | |
Corporación Andina de Fomento | 2.38 | 5-12-2023 | 4,860,000 | 4,894,094 | |
Corporación Andina de Fomento | 4.38 | 6-15-2022 | 5,400,000 | 5,440,554 | |
Credit Suisse New York | 0.52 | 8-9-2023 | 5,920,000 | 5,810,001 | |
Credit Suisse New York | 2.80 | 4-8-2022 | 2,000,000 | 2,004,519 | |
Credit Suisse New York | 3.63 | 9-9-2024 | 5,000,000 | 5,159,447 | |
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 3,500,000 | 3,491,699 | |
Deutsche Bank | 3.30 | 11-16-2022 | 9,000,000 | 9,096,060 | |
HSBC Holdings plc (U.S. SOFR +0.58%) ± | 1.16 | 11-22-2024 | 10,000,000 | 9,781,637 | |
HSBC Holdings plc (3 Month LIBOR +1.21%) ± | 3.80 | 3-11-2025 | 10,000,000 | 10,242,580 | |
Intesa Sanpaolo SpA 144A | 3.38 | 1-12-2023 | 4,800,000 | 4,848,961 | |
Lloyds Banking Group plc (1 Year Treasury Constant Maturity +1.10%) ± | 1.33 | 6-15-2023 | 3,215,000 | 3,210,980 | |
Lloyds Banking Group plc (3 Month LIBOR +0.81%) ± | 2.91 | 11-7-2023 | 10,000,000 | 10,070,425 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +0.68%) ± | 0.85 | 9-15-2024 | 4,000,000 | 3,925,981 | |
Mizuho Financial Group Incorporated (U.S. SOFR +0.87%) ± | 0.85 | 9-8-2024 | 6,990,000 | 6,847,997 | |
Mizuho Financial Group Incorporated (U.S. SOFR +1.25%) ± | 1.24 | 7-10-2024 | 2,420,000 | 2,391,945 | |
National Bank of Canada Company (U.S. SOFR +0.30%) ± | 0.35 | 5-16-2023 | 15,000,000 | 14,974,452 | |
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 5,290,000 | 5,325,771 | |
NatWest Markets plc | 6.13 | 12-15-2022 | 13,000,000 | 13,431,000 | |
Nordea Bank AB 144A | 3.75 | 8-30-2023 | 20,000,000 | 20,524,511 | |
Nordea Bank AB 144A | 4.25 | 9-21-2022 | 5,400,000 | 5,482,995 | |
Toronto-Dominion Bank (U.S. SOFR +0.45%) ± | 0.50 | 9-28-2023 | 3,000,000 | 3,002,845 | |
224,595,634 | |||||
Capital markets: 0.46% | |||||
UBS Group AG 144A | 0.38 | 6-1-2023 | 7,000,000 | 6,894,422 | |
UBS Group AG | 7.63 | 8-17-2022 | 9,000,000 | 9,214,662 | |
16,109,084 |
Interest rate | Maturitydate | Principal | Value | ||
Consumer finance: 0.17% | |||||
Hyundai Capital Services 144A | 3.00% | 8-29-2022 | $ 1,840,000 | $ 1,849,118 | |
Nissan Motor Acceptance Corporation 144A | 2.65 | 7-13-2022 | 4,100,000 | 4,117,806 | |
5,966,924 | |||||
Diversified financial services: 0.28% | |||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.15 | 10-29-2023 | 10,000,000 | 9,768,365 | |
Insurance: 0.21% | |||||
Sompo International Holdings Limited | 4.70 | 10-15-2022 | 7,000,000 | 7,136,655 | |
Thrifts & mortgage finance: 0.56% | |||||
Nationwide Building Society 144A | 0.55 | 1-22-2024 | 20,000,000 | 19,438,618 | |
Industrials: 0.39% | |||||
Airlines: 0.12% | |||||
AerCap Ireland Limited | 4.13 | 7-3-2023 | 4,000,000 | 4,089,322 | |
Transportation infrastructure: 0.27% | |||||
Sydney Airport Finance Company | 3.90 | 3-22-2023 | 9,265,000 | 9,459,936 | |
Information technology: 1.10% | |||||
Communications equipment: 0.30% | |||||
Ericsson LM | 4.13 | 5-15-2022 | 10,628,000 | 10,669,130 | |
Semiconductors & semiconductor equipment: 0.80% | |||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 25,670,000 | 24,964,825 | |
SK Hynix Incorporated 144A | 1.00 | 1-19-2024 | 3,000,000 | 2,922,553 | |
27,887,378 | |||||
Materials: 0.56% | |||||
Chemicals: 0.56% | |||||
Park Aerospace Holdings Company 144A | 4.50 | 3-15-2023 | 4,000,000 | 4,083,186 | |
Park Aerospace Holdings Company 144A | 5.25 | 8-15-2022 | 2,115,000 | 2,141,128 | |
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 13,000,000 | 13,276,071 | |
19,500,385 | |||||
Total Yankee corporate bonds and notes (Cost $433,535,797) | 430,007,201 | ||||
Yankee government bonds: 0.13% | |||||
Abu Dhabi Government Class L 144A | 0.75 | 9-2-2023 | 4,000,000 | 3,944,936 | |
Korea National Oil Corporation 144A | 1.75 | 4-18-2025 | 500,000 | 491,095 | |
Total Yankee government bonds (Cost $4,494,590) | 4,436,031 | ||||
Short-term investments: 29.98% | |||||
Commercial paper: 17.52% | |||||
AT&T Incorporated 144A☼ | 0.28 | 3-15-2022 | 25,000,000 | 24,996,771 | |
Aviation Capital Group, LLC 144A☼ | 0.45 | 3-7-2022 | 10,000,000 | 9,999,611 | |
Banco Santander SA 144A☼ | 0.52 | 6-6-2022 | 20,000,000 | 19,968,041 | |
Bank of America Corporation ☼ | 0.52 | 12-1-2022 | 25,000,000 | 24,794,150 | |
BPCE SA 144A☼ | 0.21 | 12-20-2022 | 20,000,000 | 19,812,347 | |
Brookfield Infrastructure Holding ☼ | 0.27 | 3-8-2022 | 25,000,000 | 24,998,639 | |
Brunswick Corporation 144A☼ | 0.63 | 4-1-2022 | 25,000,000 | 24,989,756 |
Interest rate | Maturitydate | Principal | Value | ||
Commercial paper (continued) | |||||
Campbell Soup Company 144A☼ | 0.39% | 4-18-2022 | $ 30,000,000 | $ 29,976,439 | |
Catholic Health Initiatives ☼ | 0.28 | 5-5-2022 | 25,000,000 | 24,957,742 | |
Cigna Corporation 144A☼ | 0.69 | 3-25-2022 | 5,000,000 | 4,998,649 | |
Citigroup Global Markets Incorporated 144A☼ | 1.04 | 10-21-2022 | 6,900,000 | 6,855,859 | |
Citigroup Incorporated 144A☼ | 1.04 | 2-1-2023 | 20,000,000 | 19,765,653 | |
Corporación Andina de Fomento 144A☼ | 0.00 | 3-1-2022 | 5,000,000 | 4,999,990 | |
Corporación Andina de Fomento 144A☼ | 0.39 | 5-5-2022 | 20,000,000 | 19,988,120 | |
Enel Finance America 144A☼ | 0.49 | 4-13-2022 | 23,000,000 | 22,984,736 | |
FMC Corporation 144A☼ | 0.22 | 3-7-2022 | 9,000,000 | 8,999,072 | |
General Motors Financial Company Incorporated 144A☼ | 0.49 | 4-4-2022 | 4,400,000 | 4,397,575 | |
Glencore Funding LLC 144A☼ | 0.62 | 3-7-2022 | 25,000,000 | 24,998,882 | |
Harley-Davidson Financial Services Incorporated 144A☼ | 0.62 | 5-17-2022 | 20,000,000 | 19,956,147 | |
HSBC USA Incorporated 144A☼ | 0.22 | 3-3-2022 | 20,000,000 | 19,999,817 | |
Humana Incorporated 144A☼ | 0.35 | 3-11-2022 | 10,000,000 | 9,999,236 | |
Macquarie Bank Limited 144A☼ | 1.11 | 2-3-2023 | 25,000,000 | 24,702,028 | |
Parker Hannifin Corporation 144A☼ | 0.57 | 3-22-2022 | 26,500,000 | 26,495,806 | |
Royal Bank of Canada 144A☼ | 0.20 | 9-16-2022 | 25,000,000 | 24,888,195 | |
Sempra Energy 144A☼ | 0.38 | 4-4-2022 | 25,000,000 | 24,987,920 | |
Societe Generale 144A☼ | 0.31 | 10-27-2022 | 25,000,000 | 24,833,811 | |
Standard Chartered Bank 144A☼ | 0.24 | 9-27-2022 | 25,000,000 | 24,851,274 | |
Swedbank AB ☼ | 0.10 | 3-4-2022 | 25,000,000 | 24,999,806 | |
TC Energy 144A☼ | 0.38 | 4-7-2022 | 25,000,000 | 24,986,727 | |
Toronto-Dominion Bank 144A☼ | 0.90 | 1-3-2023 | 30,000,000 | 29,695,635 | |
Walt Disney Company 144A☼ | 0.20 | 6-30-2022 | 10,000,000 | 9,976,718 | |
612,855,152 |
Yield | Shares | ||||
Investment companies: 6.17% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 0.03 | 165,111,957 | 165,111,957 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 0.11 | 50,645,778 | 50,645,778 | ||
215,757,735 |
Interest rate | Principal | ||||
U.S. Treasury securities: 6.29% | |||||
U.S. Treasury Bill ☼ | 0.01 | 3-29-2022 | $ 20,000,000 | 19,999,067 | |
U.S. Treasury Bill ☼ | 0.01 | 4-7-2022 | 35,000,000 | 34,996,673 | |
U.S. Treasury Bill ☼ | 0.01 | 4-14-2022 | 30,000,000 | 29,995,325 | |
U.S. Treasury Bill ☼ | 0.01 | 4-28-2022 | 50,000,000 | 49,985,097 | |
U.S. Treasury Bill ☼ | 0.01 | 5-5-2022 | 25,000,000 | 24,989,449 | |
U.S. Treasury Bill ☼ | 0.01 | 5-19-2022 | 30,000,000 | 29,979,965 | |
U.S. Treasury Bill ☼ | 0.01 | 6-16-2022 | 30,000,000 | 29,963,999 | |
219,909,575 | |||||
Total Short-term investments (Cost $1,049,352,214) | 1,048,522,462 | ||||
Total investments in securities (Cost $3,610,023,429) | 102.45% | 3,582,619,567 | |||
Other assets and liabilities, net | (2.45) | (85,741,399) | |||
Total net assets | 100.00% | $3,496,878,168 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
∞ | The rate represents the 7-day annualized yield at period end. |
Abbreviations: | |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |||
Short-term investments | ||||||||||
Allspring Government Money Market Fund Select Class | $133,602,899 | $1,424,326,205 | $(1,392,817,147) | $0 | $0 | $ 165,111,957 | 165,111,957 | $ 22,120 | ||
Securities Lending Cash Investments LLC | 4,593,975 | 323,666,960 | (277,615,157) | 0 | 0 | 50,645,778 | 50,645,778 | 5,028 # | ||
$0 | $0 | $215,757,735 | $27,148 |
# | Amount shown represents income before fees and rebates. |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
5-Year U.S. Treasury Notes | 510 | 6-30-2022 | $ 59,862,066 | $ 60,323,438 | $ 461,372 | $ 0 | |
Short | |||||||
10-Year U.S. Treasury Notes | (311) | 6-21-2022 | (39,248,114) | (39,633,062) | 0 | (384,948) | |
2-Year U.S. Treasury Notes | (867) | 6-30-2022 | (186,079,439) | (186,601,429) | 0 | (521,990) | |
$461,372 | $(906,938) |
Assets | |
Investments in unaffiliated securities (including $49,590,282 of securities loaned), at value (cost $3,394,265,694) | $ 3,366,861,832 |
Investments in affiliated securities, at value (cost $215,757,735) | 215,757,735 |
Cash | 453,023 |
Cash at broker segregated for futures contracts | 2,200,000 |
Receivable for interest | 9,616,180 |
Receivable for Fund shares sold | 3,331,701 |
Receivable for daily variation margin on open futures contracts | 430,333 |
Principal paydown receivable | 61,353 |
Receivable for securities lending income, net | 18,706 |
Prepaid expenses and other assets | 69,462 |
Total assets | 3,598,800,325 |
Liabilities | |
Payable upon receipt of securities loaned | 50,645,778 |
Payable for investments purchased | 27,253,234 |
Payable for Fund shares redeemed | 21,213,103 |
Payable for daily variation margin on open futures contracts | 1,003,218 |
Dividends payable | 939,554 |
Management fee payable | 414,644 |
Administration fees payable | 245,913 |
Distribution fee payable | 2,970 |
Accrued expenses and other liabilities | 203,743 |
Total liabilities | 101,922,157 |
Total net assets | $3,496,878,168 |
Net assets consist of | |
Paid-in capital | $ 3,547,958,187 |
Total distributable loss | (51,080,019) |
Total net assets | $3,496,878,168 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 277,033,844 |
Shares outstanding – Class A1 | 32,499,654 |
Net asset value per share – Class A | $8.52 |
Maximum offering price per share – Class A2 | $8.69 |
Net assets – Class A2 | $ 169,078,767 |
Shares outstanding – Class A21 | 19,848,871 |
Net asset value per share – Class A2 | $8.52 |
Net assets – Class C | $ 5,356,014 |
Shares outstanding – Class C1 | 629,075 |
Net asset value per share – Class C | $8.51 |
Net assets – Administrator Class | $ 19,234,668 |
Shares outstanding – Administrator Class1 | 2,266,715 |
Net asset value per share – Administrator Class | $8.49 |
Net assets – Institutional Class | $ 3,026,174,875 |
Shares outstanding – Institutional Class1 | 355,252,561 |
Net asset value per share – Institutional Class | $8.52 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/98 of net asset value. On investments of $100,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 15,078,597 |
Dividends | 1,359,427 |
Income from affiliated securities | 51,125 |
Total investment income | 16,489,149 |
Expenses | |
Management fee | 3,819,536 |
Administration fees | |
Class A | 230,108 |
Class A2 | 147,666 |
Class C | 4,515 |
Administrator Class | 9,502 |
Institutional Class | 1,115,232 |
Shareholder servicing fees | |
Class A | 359,544 |
Class A2 | 230,729 |
Class C | 6,952 |
Administrator Class | 23,685 |
Distribution fee | |
Class C | 20,855 |
Custody and accounting fees | 21,904 |
Professional fees | 33,666 |
Registration fees | 19,829 |
Shareholder report expenses | 6,457 |
Trustees’ fees and expenses | 9,592 |
Other fees and expenses | 6,260 |
Total expenses | 6,066,032 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (1,142,698) |
Class A | (119,660) |
Class A2 | (68,363) |
Class C | (5,722) |
Administrator Class | (1,811) |
Net expenses | 4,727,778 |
Net investment income | 11,761,371 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (363,579) |
Futures contracts | 5,071,666 |
Net realized gains on investments | 4,708,087 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (37,407,740) |
Futures contracts | (215,574) |
Net change in unrealized gains (losses) on investments | (37,623,314) |
Net realized and unrealized gains (losses) on investments | (32,915,227) |
Net decrease in net assets resulting from operations | $(21,153,856) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 11,761,371 | $ 22,957,822 | ||
Net realized gains on investments | 4,708,087 | 4,787,013 | ||
Net change in unrealized gains (losses) on investments | (37,623,314) | (4,231,232) | ||
Net increase (decrease) in net assets resulting from operations | (21,153,856) | 23,513,603 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (721,148) | (2,345,018) | ||
Class A2 | (451,967) | (694,134) | ||
Class C | (327) | (8,912) | ||
Administrator Class | (46,964) | (161,973) | ||
Institutional Class | (10,415,038) | (20,260,054) | ||
Total distributions to shareholders | (11,635,444) | (23,470,091) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 4,597,999 | 39,501,346 | 16,166,845 | 139,155,782 |
Class A2 | 8,150,302 | 69,955,786 | 26,507,255 | 228,084,423 |
Class C | 50,693 | 432,712 | 477,620 | 4,109,444 |
Administrator Class | 517,166 | 4,415,464 | 1,693,422 | 14,511,056 |
Institutional Class | 199,166,064 | 1,706,459,537 | 383,578,294 | 3,301,026,387 |
1,820,764,845 | 3,686,887,092 | |||
Reinvestment of distributions | ||||
Class A | 75,501 | 647,154 | 260,073 | 2,239,197 |
Class A2 | 52,754 | 451,915 | 80,634 | 693,844 |
Class C | 33 | 283 | 986 | 8,470 |
Administrator Class | 5,404 | 46,111 | 18,573 | 159,179 |
Institutional Class | 606,722 | 5,195,644 | 1,070,344 | 9,211,550 |
6,341,107 | 12,312,240 | |||
Payment for shares redeemed | ||||
Class A | (5,600,146) | (48,026,620) | (10,057,430) | (86,597,265) |
Class A2 | (9,414,401) | (80,667,658) | (9,015,289) | (77,583,649) |
Class C | (146,279) | (1,254,123) | (357,879) | (3,077,896) |
Administrator Class | (746,056) | (6,380,449) | (1,016,148) | (8,714,129) |
Institutional Class | (159,228,417) | (1,364,238,780) | (186,855,876) | (1,608,094,792) |
(1,500,567,630) | (1,784,067,731) | |||
Net increase in net assets resulting from capital share transactions | 326,538,322 | 1,915,131,601 | ||
Total increase in net assets | 293,749,022 | 1,915,175,113 | ||
Net assets | ||||
Beginning of period | 3,203,129,146 | 1,287,954,033 | ||
End of period | $ 3,496,878,168 | $ 3,203,129,146 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.61 | $8.60 | $8.54 | $8.46 | $8.48 | $8.49 |
Net investment income | 0.02 | 0.07 | 0.16 | 0.17 1 | 0.13 | 0.09 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.01 | 0.06 | 0.08 | (0.02) | (0.01) |
Total from investment operations | (0.07) | 0.08 | 0.22 | 0.25 | 0.11 | 0.08 |
Distributions to shareholders from | ||||||
Net investment income | (0.02) | (0.07) | (0.16) | (0.17) | (0.13) | (0.09) |
Net asset value, end of period | $8.52 | $8.61 | $8.60 | $8.54 | $8.46 | $8.48 |
Total return2 | (0.80)% | 0.99% | 2.62% | 3.04% | 1.24% | 0.97% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.65% | 0.66% | 0.77% | 0.80% | 0.80% | 0.79% |
Net expenses | 0.49% | 0.49% | 0.64% | 0.70% | 0.70% | 0.70% |
Net investment income | 0.51% | 0.84% | 1.92% | 2.05% | 1.47% | 1.09% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 106% | 68% | 36% | 55% | 56% |
Net assets, end of period (000s omitted) | $277,034 | $287,697 | $232,660 | $215,503 | $243,909 | $274,079 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | |||
Class A2 | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 1 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.52 |
Net investment income | 0.02 | 0.07 | 0.03 |
Net realized and unrealized gains (losses) on investments | (0.08) | 0.01 | 0.07 |
Total from investment operations | (0.06) | 0.08 | 0.10 |
Distributions to shareholders from | |||
Net investment income | (0.02) | (0.07) | (0.03) |
Net asset value, end of period | $8.52 | $8.60 | $8.59 |
Total return2 | (0.69)% | 0.97% | 1.22% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.65% | 0.65% | 0.66% |
Net expenses | 0.50% | 0.50% | 0.50% |
Net investment income | 0.50% | 0.73% | 1.38% |
Supplemental data | |||
Portfolio turnover rate | 44% | 106% | 68% |
Net assets, end of period (000s omitted) | $169,079 | $181,131 | $29,971 |
1 | For the period from May 29, 2020 (commencement of class operations) to August 31, 2020 |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.54 | $8.46 | $8.47 | $8.48 |
Net investment income | 0.00 1 | 0.01 2 | 0.10 | 0.11 | 0.06 | 0.02 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.01 | 0.05 | 0.08 | (0.01) | 0.00 |
Total from investment operations | (0.09) | 0.02 | 0.15 | 0.19 | 0.05 | 0.02 |
Distributions to shareholders from | ||||||
Net investment income | (0.00) 1 | (0.01) | (0.10) | (0.11) | (0.06) | (0.03) |
Net asset value, end of period | $8.51 | $8.60 | $8.59 | $8.54 | $8.46 | $8.47 |
Total return3 | (1.04)% | 0.28% | 1.73% | 2.27% | 0.60% | 0.22% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.38% | 1.40% | 1.51% | 1.55% | 1.55% | 1.54% |
Net expenses | 0.98% * | 1.19% * | 1.40% | 1.45% | 1.45% | 1.45% |
Net investment income | 0.02% | 0.13% | 1.16% | 1.31% | 0.72% | 0.34% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 106% | 68% | 36% | 55% | 56% |
Net assets, end of period (000s omitted) | $5,356 | $6,230 | $5,187 | $5,257 | $5,056 | $5,760 |
* | Ratio includes class-level expenses which were voluntarily waived by the investment manager. Without this voluntary waiver, the net expense ratio would be increased by the following amounts: |
Six months ended February 28, 2022 (unaudited) | 0.27% |
Year ended August 31, 2021 | 0.06% |
1 | Amount is less than $0.005. |
2 | Calculated based upon average shares outstanding |
3 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.57 | $8.56 | $8.51 | $8.43 | $8.45 | $8.46 |
Net investment income | 0.02 | 0.07 1 | 0.17 | 0.19 1 | 0.13 | 0.10 |
Net realized and unrealized gains (losses) on investments | (0.08) | 0.01 | 0.05 | 0.08 | (0.01) | (0.01) |
Total from investment operations | (0.06) | 0.08 | 0.22 | 0.27 | 0.12 | 0.09 |
Distributions to shareholders from | ||||||
Net investment income | (0.02) | (0.07) | (0.17) | (0.19) | (0.14) | (0.10) |
Net asset value, end of period | $8.49 | $8.57 | $8.56 | $8.51 | $8.43 | $8.45 |
Total return2 | (0.69)% | 0.98% | 2.61% | 3.19% | 1.39% | 1.12% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.59% | 0.60% | 0.71% | 0.74% | 0.74% | 0.73% |
Net expenses | 0.50% | 0.50% | 0.54% | 0.55% | 0.55% | 0.55% |
Net investment income | 0.50% | 0.82% | 2.03% | 2.20% | 1.54% | 1.24% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 106% | 68% | 36% | 55% | 56% |
Net assets, end of period (000s omitted) | $19,235 | $21,336 | $15,359 | $13,748 | $15,037 | $27,245 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2022 (unaudited) | 2021 | 2020 | 2019 | 2018 | 2017 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.54 | $8.46 | $8.48 | $8.49 |
Net investment income | 0.03 | 0.09 | 0.19 | 0.20 | 0.15 | 0.12 |
Net realized and unrealized gains (losses) on investments | (0.08) | 0.02 | 0.05 | 0.08 | (0.02) | (0.01) |
Total from investment operations | (0.05) | 0.11 | 0.24 | 0.28 | 0.13 | 0.11 |
Distributions to shareholders from | ||||||
Net investment income | (0.03) | (0.10) | (0.19) | (0.20) | (0.15) | (0.12) |
Net asset value, end of period | $8.52 | $8.60 | $8.59 | $8.54 | $8.46 | $8.48 |
Total return1 | (0.56)% | 1.23% | 2.83% | 3.40% | 1.59% | 1.33% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.32% | 0.33% | 0.44% | 0.47% | 0.47% | 0.46% |
Net expenses | 0.25% | 0.25% | 0.32% | 0.35% | 0.35% | 0.35% |
Net investment income | 0.75% | 1.03% | 2.25% | 2.41% | 1.80% | 1.43% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 106% | 68% | 36% | 55% | 56% |
Net assets, end of period (000s omitted) | $3,026,175 | $2,706,735 | $1,004,777 | $836,456 | $744,844 | $1,061,908 |
1 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 2,618,594 |
Gross unrealized losses | (30,238,030) |
Net unrealized losses | $(27,619,436) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 26,922,759 | $0 | $ 26,922,759 |
Asset-backed securities | 0 | 524,411,197 | 0 | 524,411,197 |
Corporate bonds and notes | 0 | 801,881,347 | 0 | 801,881,347 |
Investment companies | 98,034,024 | 0 | 0 | 98,034,024 |
Municipal obligations | 0 | 4,097,485 | 0 | 4,097,485 |
Non-agency mortgage-backed securities | 0 | 644,307,061 | 0 | 644,307,061 |
Yankee corporate bonds and notes | 0 | 430,007,201 | 0 | 430,007,201 |
Yankee government bonds | 0 | 4,436,031 | 0 | 4,436,031 |
Short-term investments | ||||
Commercial paper | 0 | 612,855,152 | 0 | 612,855,152 |
Investment companies | 215,757,735 | 0 | 0 | 215,757,735 |
U.S. Treasury securities | 219,909,575 | 0 | 0 | 219,909,575 |
533,701,334 | 3,048,918,233 | 0 | 3,582,619,567 | |
Futures contracts | 461,372 | 0 | 0 | 461,372 |
Total assets | $534,162,706 | $3,048,918,233 | $0 | $3,583,080,939 |
Liabilities | ||||
Futures contracts | $ 906,938 | $ 0 | $0 | $ 906,938 |
Total liabilities | $ 906,938 | $ 0 | $0 | $ 906,938 |
Average daily net assets | Management fee |
First $1 billion | 0.250% |
Next $4 billion | 0.225 |
Next $5 billion | 0.190 |
Over $10 billion | 0.180 |
Class-level administration fee | |
Class A | 0.16% |
Class A2 | 0.16 |
Class C | 0.16 |
Administrator Class | 0.10 |
Institutional Class | 0.08 |
Expense ratio caps | |
Class A | 0.50% |
Class A2 | 0.50 |
Class C | 1.25 |
Administrator Class | 0.50 |
Institutional Class | 0.25 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$551,279,716 | $1,083,296,081 | $668,119,537 | $331,527,691 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Inc. | $ 987,009 | $ (987,009) | $0 |
Barclays Capital Inc. | 3,026,248 | (3,026,248) | 0 |
Credit Suisse Securities (USA) LLC | 230,793 | (230,793) | 0 |
Morgan Stanley & Co. LLC | 45,346,232 | (45,346,232) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317400img64e801f11.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SA223/SAR223 02-22
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317452img66b010ad1.jpg)
■ | Allspring Managed Account CoreBuilder® Shares – Series CP |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2022 | |||||
Expense ratios (%) | |||||
Inception date | Since inception | Gross | Net 1 | ||
Allspring Managed Account CoreBuilder Shares - Series CP (WFCPX) | 6-2-2021 | -2.00 | 0.00 | 0.00 | |
Bloomberg U.S. Aggregate Bond Index2 | – | -2.44 * | – | – |
* | Based on the Fund's inception date. |
1 | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
2 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Credit quality as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317452imgc23a34002.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 28, 20221 |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317452imgcf21e87f3.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. These amounts are subject to change and may have changed since the date specified. |
Beginning account value 9-1-2021 | Ending account value 2-28-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Actual | $1,000.00 | $0.00 | $0.00* | 0.00%* |
Hypothetical (5% return before expenses) | $1,000.00 | $0.00 | $0.00* | 0.00%* |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 3.91% | ||||||
FNMA %% | 2.00% | 3-14-2052 | $ | 990,000 | $ 949,627 | |
Total Agency securities (Cost $962,409) | 949,627 | |||||
Asset-backed securities: 15.22% | ||||||
Affirm Asset Securitization Trust 2021-A Class C 144A | 1.66 | 8-15-2025 | 200,000 | 198,935 | ||
Carvana Auto Receivables Trust Series 2019-2A Class D 144A | 3.28 | 1-15-2025 | 410,000 | 414,646 | ||
ECMC Group Student Loan Trust Series 2018-1A Class A (1 Month LIBOR +0.75%) 144A± | 0.94 | 2-27-2068 | 236,787 | 235,852 | ||
Freedom Financial Trust Series 2021-2 Class B 144A | 1.03 | 6-19-2028 | 250,000 | 248,306 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 250,000 | 242,101 | ||
OneMain Financial Issuance Trust Series 2018-2A Class A 144A | 3.57 | 3-14-2033 | 250,000 | 254,364 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 165,598 | 164,263 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 300,000 | 291,462 | ||
Taco Bell Funding LLC Series 2016-1A Class A2 144A | 4.97 | 5-25-2046 | 238,125 | 245,855 | ||
Taco Bell Funding LLC Series 2021 Class A1 144A | 2.54 | 8-25-2051 | 498,750 | 467,992 | ||
Tidewater Auto Receivables Series 2018-AA Class D 144A | 4.30 | 11-15-2024 | 205,341 | 205,426 | ||
Wendy's Funding LLC Series 2021-1A 144A | 2.78 | 6-15-2051 | 248,750 | 239,156 | ||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84 | 12-5-2050 | 248,750 | 243,188 | ||
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 248,750 | 241,442 | ||
Total Asset-backed securities (Cost $3,813,390) | 3,692,988 | |||||
Corporate bonds and notes: 21.46% | ||||||
Communication services: 2.88% | ||||||
Diversified telecommunication services: 1.02% | ||||||
AT&T Incorporated | 3.55 | 9-15-2055 | 160,000 | 145,086 | ||
T-Mobile USA Incorporated 144A | 3.40 | 10-15-2052 | 60,000 | 53,176 | ||
Verizon Communications Incorporated | 3.55 | 3-22-2051 | 50,000 | 48,424 | ||
246,686 | ||||||
Media: 1.29% | ||||||
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 50,000 | 48,154 | ||
Charter Communications Operating LLC | 3.50 | 3-1-2042 | 100,000 | 86,205 | ||
Gray Television Incorporated 144A | 4.75 | 10-15-2030 | 50,000 | 46,885 | ||
Nielsen Finance LLC 144A | 5.88 | 10-1-2030 | 10,000 | 9,685 | ||
QVC Incorporated | 4.75 | 2-15-2027 | 60,000 | 56,400 | ||
Scripps Escrow II Incorporated 144A | 5.38 | 1-15-2031 | 70,000 | 66,570 | ||
313,899 | ||||||
Wireless telecommunication services: 0.57% | ||||||
Sprint Capital Corporation | 8.75 | 3-15-2032 | 100,000 | 138,750 | ||
Consumer discretionary: 1.26% | ||||||
Hotels, restaurants & leisure: 0.57% | ||||||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 140,000 | 138,006 | ||
Household durables: 0.21% | ||||||
KB Home Company | 4.80 | 11-15-2029 | 50,000 | 49,963 |
Interest rate | Maturity date | Principal | Value | |||
Multiline retail: 0.27% | ||||||
Nordstrom Incorporated | 4.00% | 3-15-2027 | $ | 70,000 | $ 66,850 | |
Specialty retail: 0.21% | ||||||
NMG Holding Company Incorporated 144A | 7.13 | 4-1-2026 | 50,000 | 51,500 | ||
Consumer staples: 0.23% | ||||||
Food products: 0.23% | ||||||
Kraft Heinz Foods Company | 4.88 | 10-1-2049 | 50,000 | 55,375 | ||
Energy: 5.65% | ||||||
Energy equipment & services: 0.42% | ||||||
Hilcorp Energy Company 144A | 6.25 | 11-1-2028 | 50,000 | 50,967 | ||
USA Compression Partners LP | 6.88 | 4-1-2026 | 50,000 | 50,213 | ||
101,180 | ||||||
Oil, gas & consumable fuels: 5.23% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 160,000 | 169,454 | ||
Apache Corporation | 5.35 | 7-1-2049 | 60,000 | 59,729 | ||
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 50,000 | 51,327 | ||
Buckeye Partners LP | 4.13 | 12-1-2027 | 50,000 | 47,225 | ||
Crestwood Midstream Partners LP 144A | 5.63 | 5-1-2027 | 60,000 | 59,550 | ||
DCP Midstream Operating Company | 5.13 | 5-15-2029 | 100,000 | 105,250 | ||
EQT Corporation | 3.90 | 10-1-2027 | 60,000 | 60,642 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 70,000 | 70,651 | ||
Murphy Oil Corporation | 5.88 | 12-1-2027 | 60,000 | 61,125 | ||
Nabors Industries Incorporated 144A | 7.38 | 5-15-2027 | 60,000 | 61,950 | ||
Occidental Petroleum Corporation | 8.88 | 7-15-2030 | 120,000 | 155,160 | ||
ONEOK Incorporated | 7.15 | 1-15-2051 | 75,000 | 99,231 | ||
Rockies Express Pipeline LLC 144A | 4.95 | 7-15-2029 | 50,000 | 48,375 | ||
Southwestern Energy Company | 7.75 | 10-1-2027 | 50,000 | 52,750 | ||
Tallgrass Energy Partners LP 144A | 6.00 | 12-31-2030 | 50,000 | 48,158 | ||
Western Midstream Operating LP | 5.30 | 3-1-2048 | 115,000 | 118,450 | ||
1,269,027 | ||||||
Financials: 4.51% | ||||||
Banks: 1.52% | ||||||
Bank of America Corporation (U.S. SOFR +1.21%) ± | 2.57 | 10-20-2032 | 200,000 | 189,344 | ||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 130,000 | 125,593 | ||
Citigroup Incorporated (3 Month LIBOR +4.52%) ± | 6.25 | 12-29-2049 | 50,000 | 53,750 | ||
368,687 | ||||||
Capital markets: 0.58% | ||||||
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 150,000 | 141,627 | ||
Consumer finance: 0.76% | ||||||
Springleaf Finance Corporation | 7.13 | 3-15-2026 | 170,000 | 184,280 | ||
Insurance: 1.65% | ||||||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 100,000 | 86,213 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 100,000 | 93,246 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 40,000 | 44,321 | ||
OneAmerica Financial Partners Incorporated 144A | 4.25 | 10-15-2050 | 40,000 | 40,910 |
Interest rate | Maturity date | Principal | Value | |||
Insurance (continued) | ||||||
PartnerRe Finance II Incorporated (3 Month LIBOR +2.33%) ± | 2.50% | 12-1-2066 | $ | 30,000 | $ 26,100 | |
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 73,000 | 108,121 | ||
398,911 | ||||||
Health care: 0.17% | ||||||
Pharmaceuticals: 0.17% | ||||||
Bausch Health Companies Incorporated 144A | 5.00 | 1-30-2028 | 50,000 | 41,875 | ||
Industrials: 3.23% | ||||||
Aerospace & defense: 0.69% | ||||||
The Boeing Company | 5.81 | 5-1-2050 | 140,000 | 166,321 | ||
Airlines: 1.54% | ||||||
American Airlines Group Incorporated 144A | 5.50 | 4-20-2026 | 50,000 | 51,177 | ||
American Airlines Group Incorporated 144A | 5.75 | 4-20-2029 | 80,000 | 81,786 | ||
Delta Air Lines Incorporated | 7.38 | 1-15-2026 | 170,000 | 190,800 | ||
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 50,000 | 50,625 | ||
374,388 | ||||||
Commercial services & supplies: 0.29% | ||||||
CoreCivic Incorporated | 8.25 | 4-15-2026 | 70,000 | 71,050 | ||
Industrial conglomerates: 0.27% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 3.53 | 12-29-2049 | 70,000 | 66,217 | ||
Trading companies & distributors: 0.44% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 50,000 | 50,625 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 50,000 | 54,875 | ||
105,500 | ||||||
Information technology: 2.05% | ||||||
Electronic equipment, instruments & components: 0.05% | ||||||
Dell International LLC | 8.35 | 7-15-2046 | 8,000 | 12,132 | ||
Software: 2.00% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 250,000 | 229,758 | ||
MPH Acquisition Holdings LLC 144A | 5.50 | 9-1-2028 | 60,000 | 58,203 | ||
MPH Acquisition Holdings LLC 144A | 5.75 | 11-1-2028 | 220,000 | 198,550 | ||
486,511 | ||||||
Real estate: 1.07% | ||||||
Equity REITs: 1.07% | ||||||
EPR Properties | 3.60 | 11-15-2031 | 25,000 | 23,600 | ||
EPR Properties | 3.75 | 8-15-2029 | 35,000 | 33,742 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 125,000 | 132,807 | ||
Service Properties Trust Company | 3.95 | 1-15-2028 | 80,000 | 69,400 | ||
259,549 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 0.41% | ||||||
Electric utilities: 0.41% | ||||||
Oglethorpe Power Corporation | 3.75% | 8-1-2050 | $ | 100,000 | $ 98,713 | |
Total Corporate bonds and notes (Cost $5,443,960) | 5,206,997 | |||||
Foreign corporate bonds and notes: 6.24% | ||||||
Communication services: 0.84% | ||||||
Media: 0.84% | ||||||
Tele Columbus AG 144A | 3.88 | 5-2-2025 | EUR | 100,000 | 104,818 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 100,000 | 99,870 | |
204,688 | ||||||
Consumer discretionary: 0.48% | ||||||
Automobiles: 0.48% | ||||||
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 100,000 | 115,843 | |
Consumer staples: 0.96% | ||||||
Food products: 0.39% | ||||||
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 100,000 | 94,032 | |
Tobacco: 0.57% | ||||||
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 130,000 | 137,894 | |
Energy: 0.92% | ||||||
Oil, gas & consumable fuels: 0.92% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 100,000 | 110,322 | |
TotalEnergies SE (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.78%) ± | 3.88 | 12-29-2049 | EUR | 100,000 | 112,723 | |
223,045 | ||||||
Financials: 1.74% | ||||||
Banks: 0.92% | ||||||
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 200,000 | 223,626 | |
Consumer finance: 0.82% | ||||||
Abertis Finance BV Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.27%) ʊ± | 2.63 | 1-26-2027 | EUR | 100,000 | 101,810 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 100,000 | 97,413 | |
199,223 | ||||||
Health care: 0.43% | ||||||
Pharmaceuticals: 0.43% | ||||||
Takeda Pharmaceutical Company Limited | 2.00 | 7-9-2040 | EUR | 100,000 | 105,185 | |
Industrials: 0.43% | ||||||
Containers & packaging: 0.43% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 100,000 | 105,420 |
Interest rate | Maturity date | Principal | Value | |||
Materials: 0.44% | ||||||
Paper & forest products: 0.44% | ||||||
Ahlstrom-Munksjo Holding 3 Oy 144A | 3.63% | 2-4-2028 | EUR | 100,000 | $ 105,622 | |
Total Foreign corporate bonds and notes (Cost $1,757,578) | 1,514,578 | |||||
Foreign government bonds: 4.29% | ||||||
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 4,000,000 | 599,435 | |
Hungary | 1.00 | 11-26-2025 | HUF | 22,000,000 | 56,990 | |
Mexico | 3.75 | 2-21-2024 | EUR | 100,000 | 113,029 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 3,750,000 | 270,875 | |
Total Foreign government bonds (Cost $1,090,561) | 1,040,329 | |||||
Non-agency mortgage-backed securities: 20.60% | ||||||
Auburn CLO Limited Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 1.87 | 10-20-2030 | $ | 250,000 | 246,853 | |
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 250,000 | 250,039 | ||
Carlyle Global Market Series 2017-2A Class R2 (3 Month LIBOR +1.60%) 144A± | 1.85 | 7-20-2031 | 250,000 | 247,015 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 284,019 | 286,494 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 250,000 | 245,368 | ||
Dryden Senior Loan Fund Series 2020-78A Class A (3 Month LIBOR +1.18%) 144A± | 1.42 | 4-17-2033 | 400,000 | 399,998 | ||
FREMF Mortgage Trust Series 2019-KF70 Class B (1 Month LIBOR +2.30%) 144A± | 2.41 | 9-25-2029 | 122,691 | 123,002 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 193,479 | 186,473 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 107,127 | 107,285 | ||
Madison Park Funding Limited Series 2020-46A Class B1R (3 Month LIBOR +1.65%) 144A± | 1.89 | 10-15-2034 | 500,000 | 496,510 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022 Class FL8-C (30 Day Average U.S. SOFR +2.20%) 144A± | 2.25 | 2-19-2037 | 250,000 | 249,348 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 250,000 | 247,331 | ||
Neuberger Berman CLO Limited Series 2017-25A Class BR (3 Month LIBOR +1.35%) 144A± | 1.59 | 10-18-2029 | 250,000 | 247,646 | ||
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 1.25 | 3-17-2030 | 250,000 | 248,582 | ||
Residential Mortgage Loan Trust Series 2019-3 Class A3 144A±± | 3.04 | 9-25-2059 | 107,771 | 107,253 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1 144A±± | 1.03 | 11-25-2055 | 127,111 | 125,442 | ||
Towd Point Mortgage Trust Series 2019-HY3 Class A2 (1 Month LIBOR +1.30%) 144A± | 1.49 | 10-25-2059 | 150,000 | 151,012 | ||
Towd Point Mortgage Trust Series 2020-4 Class A2 144A | 2.50 | 10-25-2060 | 350,000 | 343,230 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 139,920 | 138,335 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Verus Securitization Trust Series 2021-R3 Class A2 144A±± | 1.28% | 4-25-2064 | $ | 144,399 | $ 142,872 | |
Wind River CLO Limited Series 2018-2A Class A2 (3 Month LIBOR +1.45%) 144A± | 1.69 | 7-15-2030 | 409,000 | 406,588 | ||
Total Non-agency mortgage-backed securities (Cost $5,080,967) | 4,996,676 | |||||
U.S. Treasury securities: 22.43% | ||||||
U.S. Treasury Note | 0.88 | 6-30-2026 | 225,000 | 216,835 | ||
U.S. Treasury Note | 1.25 | 6-30-2028 | 225,000 | 217,318 | ||
U.S. Treasury Note | 1.38 | 11-15-2031 | 1,020,000 | 977,766 | ||
U.S. Treasury Note | 1.50 | 1-31-2027 | 205,000 | 202,582 | ||
U.S. Treasury Note ## | 1.88 | 2-15-2032 | 1,435,000 | 1,440,376 | ||
U.S. Treasury Note | 1.88 | 11-15-2051 | 355,000 | 331,204 | ||
U.S. Treasury Note | 2.00 | 8-15-2051 | 370,000 | 354,911 | ||
U.S. Treasury Note | 2.25 | 5-15-2041 | 550,000 | 548,260 | ||
U.S. Treasury Note | 2.38 | 5-15-2051 | 1,105,000 | 1,152,178 | ||
Total U.S. Treasury securities (Cost $5,503,853) | 5,441,430 | |||||
Yankee corporate bonds and notes: 4.86% | ||||||
Energy: 0.53% | ||||||
Oil, gas & consumable fuels: 0.53% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.40%) ʊ± | 4.88 | 3-22-2030 | 130,000 | 128,843 | ||
Financials: 3.08% | ||||||
Banks: 2.42% | ||||||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 200,000 | 201,002 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 200,000 | 199,150 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 200,000 | 186,341 | ||
586,493 | ||||||
Consumer finance: 0.66% | ||||||
Unifin Financiera SAB de CV 144A | 9.88 | 1-28-2029 | 250,000 | 160,000 | ||
Industrials: 0.52% | ||||||
Aerospace & defense: 0.52% | ||||||
Bombardier Incorporated 144A | 7.88 | 4-15-2027 | 125,000 | 126,750 | ||
Utilities: 0.73% | ||||||
Electric utilities: 0.73% | ||||||
Comision Federal de Electricidad 144A | 3.88 | 7-26-2033 | 200,000 | 177,452 | ||
Total Yankee corporate bonds and notes (Cost $1,290,782) | 1,179,538 | |||||
Yankee government bonds: 2.84% | ||||||
Dominican Republic 144A | 4.88 | 9-23-2032 | 230,000 | 209,302 | ||
Mexico | 4.75 | 4-27-2032 | 270,000 | 288,225 | ||
Republic of Panama | 4.50 | 1-19-2063 | 200,000 | 190,132 | ||
Total Yankee government bonds (Cost $741,208) | 687,659 |
Yield | Shares | Value | ||||
Short-term investments: 0.62% | ||||||
Investment companies: 0.62% | ||||||
Allspring Government Money Market Fund Select Class ♠∞ | 0.03% | 149,417 | $ 149,417 | |||
Total Short-term investments (Cost $149,417) | 149,417 | |||||
Total investments in securities (Cost $25,834,125) | 102.47% | 24,859,239 | ||||
Other assets and liabilities, net | (2.47) | (598,085) | ||||
Total net assets | 100.00% | $24,261,154 |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FNMA | Federal National Mortgage Association |
HUF | Hungarian forint |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
ZAR | South African rand |
Value, beginning of period | Purchases | Sales proceeds | Net realized gains (losses) | Net change in unrealized gains (losses) | Value, end of period | Shares, end of period | Income from affiliated securities | |
Short-term investments | ||||||||
Allspring Government Money Market Fund Select Class | $1,899,874 | $5,130,464 | $(6,880,921) | $0 | $0 | $149,417 | 149,417 | $70 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
1,786,448 USD | 1,578,000 EUR | Citibank National Association | 3-31-2022 | $ 14,993 | $ 0 | |
234,139 USD | 3,750,000 ZAR | Citibank National Association | 3-31-2022 | 0 | (8,859) | |
$14,993 | $(8,859) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
U.S. Long Term Bonds | 1 | 6-21-2022 | $ 153,963 | $ 156,688 | $ 2,725 | $ 0 | |
U.S. Ultra Treasury Bonds | 3 | 6-21-2022 | 551,193 | 557,812 | 6,619 | 0 | |
2-Year U.S. Treasury Notes | 36 | 6-30-2022 | 7,722,639 | 7,748,156 | 25,517 | 0 | |
5-Year U.S. Treasury Notes | 25 | 6-30-2022 | 2,934,415 | 2,957,031 | 22,616 | 0 | |
Short | |||||||
Euro-BOBL Futures | (5) | 3-8-2022 | (752,687) | (739,240) | 13,447 | 0 | |
Euro-Bund Futures | (6) | 3-8-2022 | (1,174,477) | (1,123,761) | 50,716 | 0 | |
Euro-Schatz Futures | (2) | 3-8-2022 | (251,594) | (251,137) | 457 | 0 | |
10-Year U.S. Treasury Notes | (42) | 6-21-2022 | (5,300,388) | (5,352,375) | 0 | (51,987) | |
$122,097 | $(51,987) |
Assets | |
Investments in unaffiliated securities, at value (cost $25,684,708) | $ 24,709,822 |
Investments in affiliated securities, at value (cost $149,417) | 149,417 |
Cash | 143 |
Cash at broker segregated for futures contracts | 88,000 |
Receivable for interest | 154,022 |
Receivable for investments sold | 118,937 |
Receivable for daily variation margin on open futures contracts | 57,404 |
Unrealized gains on forward foreign currency contracts | 14,993 |
Receivable from manager | 6,549 |
Prepaid expenses and other assets | 4,027 |
Total assets | 25,303,314 |
Liabilities | |
Payable for when-issued transactions | 963,124 |
Payable for daily variation margin on open futures contracts | 62,363 |
Unrealized losses on forward foreign currency contracts | 8,859 |
Cash collateral due to broker for forward foreign currency contracts | 4,394 |
Due to custodian bank, foreign currency, at value (cost $3,420) | 3,420 |
Total liabilities | 1,042,160 |
Total net assets | $24,261,154 |
Net assets consist of | |
Paid-in capital | $ 25,321,921 |
Total distributable loss | (1,060,767) |
Total net assets | $24,261,154 |
Computation of net asset value and offering price per share | |
Net assets | $ 24,261,154 |
Share outstanding 1 | 1,266,378 |
Net asset value per share | $19.16 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest (net of foreign withholding taxes of $203) | $ 338,525 |
Income from affiliated securities | 70 |
Total investment income | 338,595 |
Expenses | |
Professional fees | 73,602 |
Registration fees | 18,294 |
Shareholder report expenses | 5,052 |
Trustees’ fees and expenses | 10,243 |
Other fees and expenses | 1,740 |
Total expenses | 108,931 |
Less: Fee waivers and/or expense reimbursements | (108,931) |
Net expenses | 0 |
Net investment income | 338,595 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (138,539) |
Foreign currency and foreign currency translations | (3,589) |
Forward foreign currency contracts | 90,552 |
Futures contracts | (62,329) |
Net realized losses on investments | (113,905) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (1,152,821) |
Forward foreign currency contracts | 6,072 |
Futures contracts | 88,517 |
Net change in unrealized gains (losses) on investments | (1,058,232) |
Net realized and unrealized gains (losses) on investments | (1,172,137) |
Net decrease in net assets resulting from operations | $ (833,542) |
Six months ended February 28, 2022 (unaudited) | Year ended August 31, 20211 | |||
Operations | ||||
Net investment income | $ 338,595 | $ 170,896 | ||
Net realized gains (losses) on investments | (113,905) | 6,126 | ||
Net change in unrealized gains (losses) on investments | (1,058,232) | 160,162 | ||
Net increase (decrease) in net assets resulting from operations | (833,542) | 337,184 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | (564,409) | 0 | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | 0 | 0 | 1,250,000 | 25,000,000 |
Reinvestment of distributions | 16,378 | 321,921 | 0 | 0 |
Net increase in net assets resulting from capital share transactions | 321,921 | 25,000,000 | ||
Total increase (decrease) in net assets | (1,076,030) | 25,337,184 | ||
Net assets | ||||
Beginning of period | 25,337,184 | 0 | ||
End of period | $24,261,154 | �� | $25,337,184 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
Year ended August 31 | ||
Six months ended February 28, 2022 (unaudited) | 2021 1 | |
Net asset value, beginning of period | $20.27 | $20.00 |
Net investment income | 0.27 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.93) | 0.13 |
Total from investment operations | (0.66) | 0.27 |
Distributions to shareholders from | ||
Net investment income | (0.41) | 0.00 |
Net realized gains | (0.04) | 0.00 |
Total distributions to shareholders | (0.45) | 0.00 |
Net asset value, end of period | $19.16 | $20.27 |
Total return2 | (3.30)% | 1.35% |
Ratios to average net assets (annualized) | ||
Gross expenses | 0.88% | 0.83% |
Net expenses3 | 0.00% | 0.00% |
Net investment income | 2.74% | 2.75% |
Supplemental data | ||
Portfolio turnover rate | 54% | 27% |
Net assets, end of period (000s omitted) | $24,261 | $25,337 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
2 | Returns for periods of less than one year are not annualized. |
3 | The manager has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment-related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses, and others expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
Gross unrealized gains | $ 139,370 |
Gross unrealized losses | (1,017,770) |
Net unrealized losses | $ (878,400) |
■ | Level 1 – 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 (including the Fund’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $ 0 | $ 949,627 | $0 | $ 949,627 |
Asset-backed securities | 0 | 3,692,988 | 0 | 3,692,988 |
Corporate bonds and notes | 0 | 5,206,997 | 0 | 5,206,997 |
Foreign corporate bonds and notes | 0 | 1,514,578 | 0 | 1,514,578 |
Foreign government bonds | 0 | 1,040,329 | 0 | 1,040,329 |
Non-agency mortgage-backed securities | 0 | 4,996,676 | 0 | 4,996,676 |
U.S. Treasury securities | 5,441,430 | 0 | 0 | 5,441,430 |
Yankee corporate bonds and notes | 0 | 1,179,538 | 0 | 1,179,538 |
Yankee government bonds | 0 | 687,659 | 0 | 687,659 |
Short-term investments | ||||
Investment companies | 149,417 | 0 | 0 | 149,417 |
5,590,847 | 19,268,392 | 0 | 24,859,239 | |
Forward foreign currency contracts | 0 | 14,993 | 0 | 14,993 |
Futures contracts | 122,097 | 0 | 0 | 122,097 |
Total assets | $5,712,944 | $19,283,385 | $0 | $24,996,329 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 8,859 | $0 | $ 8,859 |
Futures contracts | 51,987 | 0 | 0 | 51,987 |
Total liabilities | $ 51,987 | $ 8,859 | $0 | $ 60,846 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$12,524,732 | $3,370,667 | $11,305,584 | $2,306,054 |
Futures contracts | |
Average notional balance on long futures | $12,164,359 |
Average notional balance on short futures | 9,658,756 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 452,666 |
Average contract amounts to sell | 2,403,543 |
Asset derivatives | Liability derivatives | ||||
Statement of Assets and Liabilities location | Fair value | Statement of Assets and Liabilities location | Fair value | ||
Interest rate risk | Unrealized gains on futures contracts | $ 122,097* | Unrealized losses on futures contracts | $ 51,987* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 14,993 | Unrealized losses on forward foreign currency contracts | 8,859 | |
$137,090 | $60,846 |
Amount of net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ (62,329) | $(62,329) |
Foreign currency risk | 90,552 | 0 | 90,552 |
$90,552 | $(62,329) | $ 28,223 |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ 88,517 | $ 88,517 |
Foreign currency risk | 6,072 | 0 | 6,072 |
$6,072 | $88,517 | $94,589 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral received | Net amount of assets |
Citibank National Association | $14,993 | $(8,859) | $6,134 | $0 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank National Association | $8,859 | $(8,859) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Endowment (non-profit organization). Mr. Ebsworth is a CFA® charterholder. | N/A |
Jane A. Freeman (Born 1953) | Trustee, since 2015; Chair Liaison, since 2018 | Retired. From 2012 to 2014 and 1999 to 2008, Chief Financial Officer of Scientific Learning Corporation. From 2008 to 2012, Ms. Freeman provided consulting services related to strategic business projects. Prior to 1999, Portfolio Manager at Rockefeller & Co. and Scudder, Stevens & Clark. Board member of the Harding Loevner Funds from 1996 to 2014, serving as both Lead Independent Director and chair of the Audit Committee. Board member of the Russell Exchange Traded Funds Trust from 2011 to 2012 and the chair of the Audit Committee. Ms. Freeman is also an inactive Chartered Financial Analyst. | N/A |
Isaiah Harris, Jr. (Born 1952) | Trustee, since 2009; Audit Committee Chair, since 2019 | Retired. Chairman of the Board of CIGNA Corporation from 2009 to 2021, and Director from 2005 to 2008. From 2003 to 2011, Director of Deluxe Corporation. Prior thereto, President and CEO of BellSouth Advertising and Publishing Corp. from 2005 to 2007, President and CEO of BellSouth Enterprises from 2004 to 2005 and President of BellSouth Consumer Services from 2000 to 2003. Emeritus member of the Iowa State University Foundation Board of Governors. Emeritus Member of the Advisory Board of Iowa State University School of Business. Advisory Board Member, Palm Harbor Academy (private school). Advisory Board Member, Fellowship of Christian Athletes. Mr. Harris is a certified public accountant (inactive status). | N/A |
David F. Larcker (Born 1950) | Trustee, since 2009 | James Irvin Miller Professor of Accounting at the Graduate School of Business (Emeritus), Stanford University, Director of the Corporate Governance Research Initiative and Senior Faculty of The Rock Center for Corporate Governance since 2006. From 2005 to 2008, Professor of Accounting at the Graduate School of Business, Stanford University. Prior thereto, Ernst & Young Professor of Accounting at The Wharton School, University of Pennsylvania from 1985 to 2005. | N/A |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
Olivia S. Mitchell (Born 1953) | Trustee, since 2006; Nominating and Governance Committee Chair, since 2018 | International Foundation of Employee Benefit Plans Professor since 1993, Wharton School of the University of Pennsylvania. Director of Wharton’s Pension Research Council and Boettner Center on Pensions & Retirement Research, and Research Associate at the National Bureau of Economic Research. Previously taught at Cornell University from 1978 to 1993. | N/A |
Timothy J. Penny (Born 1951) | Trustee, since 1996; Chair, since 2018 | President and Chief Executive Officer of Southern Minnesota Initiative Foundation, a non-profit organization, since 2007. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. | N/A |
James G. Polisson (Born 1959) | Trustee, since 2018 | Retired. Chief Marketing Officer, Source (ETF) UK Services, Ltd, from 2015 to 2017. From 2012 to 2015, Principal of The Polisson Group, LLC, a management consulting, corporate advisory and principal investing company. Chief Executive Officer and Managing Director at Russell Investments, Global Exchange Traded Funds from 2010 to 2012. Managing Director of Barclays Global Investors from 1998 to 2010 and Global Chief Marketing Officer for iShares and Barclays Global Investors from 2000 to 2010. Trustee of the San Francisco Mechanics’ Institute, a non-profit organization, from 2013 to 2015. Board member of the Russell Exchange Traded Fund Trust from 2011 to 2012. Director of Barclays Global Investors Holdings Deutschland GmbH from 2006 to 2009. Mr. Polisson is an attorney and has a retired status with the Massachusetts and District of Columbia Bar Associations. | N/A |
Pamela Wheelock (Born 1959) | Trustee, since January 2020; previously Trustee from January 2018 to July 2019 | Board member of the Destination Medical Center Economic Development Agency, Rochester, Minnesota since 2019. Interim President of the McKnight Foundation from January to September 2020. McKnight Foundation Consultant, November 2020 to February 2021. Acting Commissioner, Minnesota Department of Human Services, July 2019 through September 2019. Consultant (part-time), Minnesota Department of Human Services, October 2019 through December 2019. Chief Operating Officer, Twin Cities Habitat for Humanity from 2017 to 2019. Vice President of University Services, University of Minnesota from 2012 to 2016. Prior thereto, on the Board of Directors, Governance Committee and Finance Committee for the Minnesota Philanthropy Partners (Saint Paul Foundation) from 2012 to 2018, Interim Chief Executive Officer of Blue Cross Blue Shield of Minnesota from 2011 to 2012, Chairman of the Board from 2009 to 2012 and Board Director from 2003 to 2015. Vice President, Leadership and Community Engagement, Bush Foundation, Saint Paul, Minnesota (a private foundation) from 2009 to 2011. Executive Vice President and Chief Financial Officer, Minnesota Sports and Entertainment from 2004 to 2009 and Senior Vice President from 2002 to 2004. Executive Vice President of the Minnesota Wild Foundation from 2004 to 2008. Commissioner of Finance, State of Minnesota, from 1999 to 2002. Currently Board Chair of the Minnesota Wild Foundation since 2010. | N/A |
Name and year of birth | Position held and length of service | Principal occupations during past five years or longer |
Andrew Owen (Born 1960) | President, since 2017 | President, Chief Executive Officer and Director of Allspring Funds Management, LLC since 2017 and co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, since 2019. Prior thereto, Head of Affiliated Managers, Allspring Global Investments, from 2014 to 2019 and Executive Vice President responsible for marketing, investments and product development for Allspring Funds Management, LLC, from 2009 to 2014. In addition, Mr. Owen was an Executive Vice President of Wells Fargo & Company from 2014 to 2021. |
Jeremy DePalma (Born 1974) | Treasurer, since 2012 (for certain funds in the Fund Complex); since 2021 (for the remaining funds in the Fund Complex) | Senior Vice President of Allspring Funds Management, LLC since 2009. Senior Vice President of Evergreen Investment Management Company, LLC from 2008 to 2010 and head of the Fund Reporting and Control Team within Fund Administration from 2005 to 2010. |
Kate McKinley (Born 1977) | Chief Legal Officer, since 2021 | Chief Legal Officer of Allspring Global Investments since 2021. Prior thereto, held various roles at State Street Global Advisors beginning in 2010, including serving as Senior Vice President and General Counsel from 2019 to 2021, and Chief Operating Officer of the Institutional Client Group from 2016 - 2019. Prior to working at State Street Global Advisors served as Assistant General Counsel for Bank of America Corporation from 2005 to 2010 and as an Associate at WilmerHale from 2002 to 2005. |
Christopher Baker (Born 1976) | Chief Compliance Officer, since 2022 | Global Chief Compliance Officer for Allspring Global Investments since 2022. Prior thereto, Chief Compliance Officer for State Street Global Advisors from 2018 to 2021. Senior Compliance Officer for the State Street divisions of Alternative Investment Solutions, Sector Solutions, and Global Marketing from 2015 to 2018. From 2010 to 2015 Vice President, Global Head of Investment and Marketing Compliance for State Street Global Advisors. |
Matthew Prasse (Born 1983) | Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-143564/g317452img66b010ad1.jpg)
Attn: Managed Account Services
P.O. Box 1450
Milwaukee, WI 53201
1-888-877-9275 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SCBCP/SAR132 02-22
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 Portfolio of Investments for each series of Allspring Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMEENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The President and Treasurer have concluded that the Allspring Funds Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal half-year of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 13. EXHIBITS
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
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.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 27, 2022 |
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 date indicated.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 27, 2022 | ||
By: | /s/ Jeremy DePalma | |
Jeremy DePalma | ||
Treasurer |