UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09253
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, Allspring Ultra Short-Term Income Fund
Date of reporting period: August 31, 2022
ITEM 1. REPORT TO STOCKHOLDERS
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Adjustable Rate Government Fund
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Financial statements | |
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39 |
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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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
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President
Allspring Funds
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 August 31, 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 | -2.65 | 0.64 | 0.45 | -0.69 ♠ | 1.04 | 0.66 | 0.83 | 0.75 | ||
Class C (ESACX) | 6-30-2000 | -2.08 | 0.38 | 0.04 | -1.08 | 0.38 | 0.04 | 1.58 | 1.50 | ||
Administrator Class (ESADX) | 7-30-2010 | – | – | – | -0.67 | 1.18 | 0.80 | 0.77 | 0.61 | ||
Institutional Class (EKIZX) | 10-1-1991 | – | – | – | -0.53 | 1.30 | 0.93 | 0.50 | 0.47 | ||
Bloomberg 6-Month Treasury Bill Index3 | – | – | – | – | 0.23 | 1.23 | 0.81 | – | – |
♠ | Total return differs from the return in the Financial Highlights in this report. The total return presented is calculated based on the Net Asset Value (NAV) at which the shareholder transactions were processed. The NAV and total return presented in the Financial Highlights reflects certain adjustments made to the net assets of the Fund that are necessary under U.S. generally accepted accounting principles. |
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. |
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1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg 6-Month Treasury Bill Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
■ | The Fund underperformed its benchmark, the Bloomberg 6-Month Treasury Bill Index, for the 12-month period that ended August 31, 2022. |
■ | The largest detractor came from the Fund’s allocation to floating-rate agency collateralized mortgage obligations (CMOs) and private-label CMOs, as both sectors experienced significant spread widening over the 12-month period. Allocations to Federal Family Education Loan Program (FFELP) student loan asset-backed securities (ABS) and certain fixed-rate CMOs also detracted from performance to a lesser degree. |
■ | An allocation to post-reset adjustable-rate mortgages (ARMs) modestly contributed to performance. During the period, the Fund reduced its allocation to post-reset ARMs in favor of floating-rate CMOs given valuations. The Fund’s short duration position relative to the benchmark was the primary contributor to performance as rates rose materially during the period. The Fund’s duration during the period increased from 0.2 to 0.4 years as we covered duration underweights to the intermediate part of the yield curve. |
Ten largest holdings (%) as of August 31, 20221 | |
FHLMC Series 350 Class F2, 2.06%, 9-15-2040 | 1.37 |
FHLMC, 3.17%, 9-1-2036 | 1.35 |
FHLMC, 2.79%, 7-1-2038 | 1.35 |
FRESB Mortgage Trust Series 2022-SB94 Class A5H, 1.72%, 11-25-2041 | 1.25 |
FNMA Series 2017-M9 Class F, 2.92%, 5-25-2029 | 1.06 |
FNMA Series 2016-40 Class AF, 2.16%, 7-25-2046 | 1.03 |
FNMA Series 2016-40 Class PF, 2.16%, 7-25-2046 | 0.98 |
FHLMC Series 4915 Class FE, 2.11%, 2-15-2038 | 0.93 |
FNMA Series 2002-66 Class A3, 3.76%, 4-25-2042 | 0.92 |
FNMA Series 2021-85 Class EF, 1.24%, 12-25-2051 | 0.89 |
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 August 31, 20221 |
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1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 993.74 | $3.72 | 0.74% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.48 | $3.77 | 0.74% |
Class C | ||||
Actual | $1,000.00 | $ 991.71 | $5.82 | 1.16% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.36 | $5.90 | 1.16% |
Administrator Class | ||||
Actual | $1,000.00 | $ 994.44 | $3.02 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 995.13 | $2.31 | 0.46% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.89 | $2.35 | 0.46% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 85.22% | |||||
FHLMC (11th District COFI +1.25%) ± | 1.55% | 1-1-2030 | $ 1,616 | $ 1,561 | |
FHLMC (11th District COFI +1.25%) ± | 1.55 | 1-1-2030 | 375 | 362 | |
FHLMC (11th District COFI +1.25%) ± | 1.55 | 7-1-2030 | 83,988 | 81,024 | |
FHLMC (11th District COFI +1.28%) ± | 1.65 | 2-1-2035 | 28,946 | 28,490 | |
FHLMC (12 Month LIBOR +1.51%) ± | 1.76 | 2-1-2037 | 43,685 | 43,353 | |
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 1.81 | 7-1-2031 | 3,500,000 | 3,492,577 | |
FHLMC (12 Month LIBOR +1.73%) ± | 1.98 | 1-1-2035 | 153,491 | 152,432 | |
FHLMC (12 Month LIBOR +1.74%) ± | 1.99 | 12-1-2036 | 146,260 | 149,452 | |
FHLMC (12 Month LIBOR +1.78%) ± | 2.03 | 11-1-2035 | 110,953 | 113,600 | |
FHLMC (1 Year Treasury Constant Maturity +1.99%) ± | 2.11 | 11-1-2034 | 156,461 | 153,910 | |
FHLMC (1 Year Treasury Constant Maturity +2.03%) ± | 2.12 | 3-1-2025 | 8,063 | 7,968 | |
FHLMC (12 Month Treasury Average +1.90%) ± | 2.12 | 5-1-2028 | 81,577 | 80,659 | |
FHLMC (12 Month LIBOR +1.73%) ± | 2.16 | 5-1-2037 | 502,167 | 510,705 | |
FHLMC (1 Year Treasury Constant Maturity +0.85%) ± | 2.17 | 4-1-2030 | 11,666 | 11,497 | |
FHLMC (12 Month LIBOR +1.67%) ± | 2.17 | 8-1-2035 | 115,865 | 115,589 | |
FHLMC (12 Month LIBOR +1.99%) ± | 2.24 | 7-1-2036 | 192,921 | 191,717 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.27 | 9-1-2033 | 47,616 | 49,270 | |
FHLMC (12 Month LIBOR +1.85%) ± | 2.28 | 9-1-2036 | 218,108 | 220,995 | |
FHLMC (1 Year Treasury Constant Maturity +1.87%) ± | 2.31 | 5-1-2035 | 232,347 | 229,359 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 2.34 | 12-1-2033 | 289,933 | 285,495 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.35 | 2-1-2034 | 238,761 | 233,875 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 2.35 | 10-1-2036 | 111,962 | 110,779 | |
FHLMC (12 Month LIBOR +1.80%) ± | 2.35 | 9-1-2037 | 141,129 | 144,545 | |
FHLMC (12 Month LIBOR +1.78%) ± | 2.35 | 9-1-2037 | 157,233 | 160,488 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.36 | 2-1-2034 | 36,135 | 35,439 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.36 | 1-1-2037 | 27,091 | 27,805 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.37 | 12-1-2034 | 112,970 | 111,239 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 5-1-2034 | 28,751 | 29,177 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.38 | 2-1-2036 | 157,916 | 157,549 | |
FHLMC (1 Year Treasury Constant Maturity +2.10%) ± | 2.38 | 10-1-2037 | 333,943 | 335,842 | |
FHLMC (1 Year Treasury Constant Maturity +2.27%) ± | 2.40 | 11-1-2029 | 27,773 | 27,378 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.40 | 7-1-2031 | 39,407 | 38,999 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.40 | 9-1-2031 | 29,405 | 29,065 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 2.41 | 1-1-2035 | 144,176 | 142,216 | |
FHLMC (12 Month LIBOR +1.82%) ± | 2.42 | 5-1-2039 | 219,757 | 219,586 | |
FHLMC (12 Month LIBOR +1.81%) ± | 2.43 | 4-1-2035 | 562,793 | 570,864 | |
FHLMC (1 Year Treasury Constant Maturity +2.19%) ± | 2.45 | 6-1-2036 | 296,238 | 302,326 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.46 | 2-1-2035 | 265,554 | 261,199 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.47 | 4-1-2036 | 129,849 | 129,335 | |
FHLMC (1 Year Treasury Constant Maturity +2.16%) ± | 2.48 | 6-1-2033 | 268,029 | 263,306 | |
FHLMC (6 Month LIBOR +1.68%) ± | 2.49 | 1-1-2037 | 404,513 | 409,791 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.50 | 11-1-2027 | 175,710 | 174,285 | |
FHLMC (12 Month LIBOR +1.85%) ± | 2.51 | 7-1-2038 | 614,107 | 626,494 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.55 | 8-1-2027 | 2,723 | 2,689 | |
FHLMC (1 Year Treasury Constant Maturity +2.20%) ± | 2.55 | 1-1-2037 | 342,467 | 335,837 | |
FHLMC (12 Month LIBOR +1.79%) ± | 2.55 | 1-1-2040 | 1,148,730 | 1,175,353 | |
FHLMC (2 Year Treasury Constant Maturity +2.44%) ± | 2.57 | 8-1-2029 | 6,032 | 5,989 | |
FHLMC (12 Month LIBOR +1.84%) ± | 2.59 | 4-1-2037 | 188,078 | 192,829 | |
FHLMC (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +1.75%) ± | 2.60 | 1-1-2023 | 815 | 815 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.60 | 6-1-2030 | 18,646 | 18,350 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.60 | 4-1-2038 | 329,763 | 336,303 | |
FHLMC (12 Month LIBOR +1.91%) ± | 2.61 | 3-1-2032 | 153,512 | 152,170 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.62 | 4-1-2023 | 12,241 | 12,145 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (3 Year Treasury Constant Maturity +2.44%) ± | 2.62% | 5-1-2032 | $ 74,215 | $ 73,978 | |
FHLMC (1 Year Treasury Constant Maturity +2.00%) ± | 2.62 | 8-1-2033 | 424,480 | 419,054 | |
FHLMC (1 Year Treasury Constant Maturity +2.49%) ± | 2.64 | 12-1-2032 | 56,197 | 55,399 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.64 | 6-1-2050 | 2,587,719 | 2,443,902 | |
FHLMC (1 Year Treasury Constant Maturity +2.55%) ± | 2.67 | 9-1-2029 | 19,960 | 19,657 | |
FHLMC (6 Month LIBOR +1.42%) ± | 2.67 | 2-1-2037 | 1,591 | 1,608 | |
FHLMC (1 Year Treasury Constant Maturity +2.35%) ± | 2.69 | 4-1-2034 | 148,187 | 145,650 | |
FHLMC (12 Month LIBOR +2.06%) ± | 2.70 | 3-1-2038 | 566,615 | 581,208 | |
FHLMC (12 Month LIBOR +1.62%) ± | 2.71 | 7-1-2045 | 530,164 | 536,329 | |
FHLMC (12 Month LIBOR +1.88%) ± | 2.72 | 4-1-2037 | 128,305 | 130,765 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.73 | 10-1-2024 | 16,450 | 16,351 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.73 | 10-1-2025 | 4,446 | 4,419 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.73 | 2-1-2030 | 21,106 | 20,883 | |
FHLMC (12 Month LIBOR +1.93%) ± | 2.74 | 4-1-2035 | 495,750 | 495,639 | |
FHLMC (1 Year Treasury Constant Maturity +2.52%) ± | 2.75 | 11-1-2029 | 45,133 | 43,977 | |
FHLMC (12 Month LIBOR +1.80%) ± | 2.76 | 10-1-2043 | 2,824,675 | 2,880,685 | |
FHLMC (12 Month Treasury Average +2.52%) ± | 2.77 | 6-1-2028 | 21,210 | 20,903 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 2.79 | 4-1-2032 | 989,867 | 996,741 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 2.79 | 2-1-2036 | 2,196,584 | 2,243,907 | |
FHLMC (6 Month LIBOR +1.83%) ± | 2.79 | 6-1-2037 | 133,114 | 131,508 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 2.79 | 7-1-2038 | 5,857,079 | 5,989,184 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.80 | 4-1-2034 | 83,340 | 81,780 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.80 | 1-1-2037 | 661,651 | 679,727 | |
FHLMC (1 Year Treasury Constant Maturity +2.44%) ± | 2.82 | 4-1-2029 | 26,878 | 26,454 | |
FHLMC (12 Month LIBOR +1.83%) ± | 2.84 | 6-1-2043 | 3,155,670 | 3,243,603 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 2.87 | 11-1-2029 | 82,710 | 81,743 | |
FHLMC (12 Month LIBOR +1.80%) ± | 2.87 | 8-1-2037 | 744,720 | 760,842 | |
FHLMC (12 Month LIBOR +1.62%) ± | 2.87 | 11-1-2047 | 2,586,409 | 2,529,521 | |
FHLMC (12 Month Treasury Average +2.46%) ± | 2.89 | 10-1-2029 | 59,474 | 58,980 | |
FHLMC (1 Year Treasury Constant Maturity +2.37%) ± | 2.90 | 2-1-2034 | 1,674,330 | 1,698,227 | |
FHLMC (1 Year Treasury Constant Maturity +2.27%) ± | 2.90 | 9-1-2038 | 2,077,523 | 2,126,447 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 2.91 | 1-1-2028 | 1,002 | 993 | |
FHLMC (1 Year Treasury Constant Maturity +2.61%) ± | 2.91 | 9-1-2030 | 39,082 | 37,959 | |
FHLMC (6 Month LIBOR +2.12%) ± | 2.91 | 5-1-2037 | 20,936 | 20,693 | |
FHLMC (1 Year Treasury Constant Maturity +2.31%) ± | 2.92 | 7-1-2031 | 112,043 | 109,994 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.93 | 6-1-2030 | 55,841 | 54,771 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.94 | 9-1-2033 | 144,037 | 141,744 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.95 | 6-1-2035 | 32,004 | 32,759 | |
FHLMC (6 Month LIBOR +1.73%) ± | 2.98 | 6-1-2024 | 1,821 | 1,807 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.98 | 4-1-2037 | 1,165,087 | 1,195,973 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.98 | 5-1-2038 | 273,676 | 270,718 | |
FHLMC (12 Month LIBOR +1.75%) ± | 3.02 | 4-1-2035 | 80,564 | 82,656 | |
FHLMC (11th District COFI +2.29%) ± | 3.04 | 12-1-2025 | 2,014 | 2,012 | |
FHLMC (1 Year Treasury Constant Maturity +2.04%) ± | 3.05 | 12-1-2035 | 237,607 | 234,348 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.05 | 8-1-2042 | 166,951 | 172,467 | |
FHLMC (1 Year Treasury Constant Maturity +2.69%) ± | 3.10 | 5-1-2028 | 67,878 | 66,917 | |
FHLMC (1 Year Treasury Constant Maturity +2.38%) ± | 3.10 | 6-1-2035 | 360,120 | 364,848 | |
FHLMC (6 Month LIBOR +2.13%) ± | 3.11 | 6-1-2026 | 222,949 | 220,708 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 3.12 | 1-1-2028 | 6,559 | 6,514 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 3.12 | 10-1-2033 | 363,863 | 359,717 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.14 | 10-1-2036 | 170,085 | 174,240 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 3.17 | 9-1-2036 | 5,822,207 | 5,992,191 | |
FHLMC (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +1.94%) ± | 3.19 | 7-1-2024 | 6,649 | 6,655 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 3.23 | 4-1-2034 | 62,358 | 61,840 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (1 Year Treasury Constant Maturity +2.17%) ± | 3.23% | 5-1-2037 | $ 20,849 | $ 20,784 | |
FHLMC (12 Month LIBOR +1.61%) ± | 3.23 | 7-1-2044 | 96,117 | 97,240 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 3.24 | 3-1-2027 | 23,688 | 23,515 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25 | 5-1-2034 | 103,679 | 102,810 | |
FHLMC (12 Month LIBOR +1.75%) ± | 3.26 | 5-1-2033 | 117,452 | 116,903 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 3.29 | 7-1-2034 | 139,785 | 137,590 | |
FHLMC (1 Year Treasury Constant Maturity +2.31%) ± | 3.33 | 7-1-2027 | 154,013 | 153,450 | |
FHLMC (11th District COFI +2.57%) ± | 3.35 | 12-1-2025 | 61,773 | 61,610 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 3.36 | 4-1-2038 | 600,361 | 596,627 | |
FHLMC (12 Month LIBOR +1.87%) ± | 3.37 | 5-1-2035 | 19,511 | 19,456 | |
FHLMC (3 Year Treasury Constant Maturity +2.83%) ± | 3.39 | 6-1-2035 | 247,986 | 246,839 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.44 | 7-1-2029 | 29,791 | 29,638 | |
FHLMC (1 Year Treasury Constant Maturity +2.68%) ± | 3.44 | 9-1-2030 | 21,953 | 21,785 | |
FHLMC (5 Year Treasury Constant Maturity +2.44%) ± | 3.57 | 8-1-2027 | 20,002 | 19,720 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.59 | 10-1-2035 | 390,835 | 388,272 | |
FHLMC (1 Year Treasury Constant Maturity +2.60%) ± | 3.60 | 6-1-2032 | 119,839 | 118,909 | |
FHLMC (1 Year Treasury Constant Maturity +2.49%) ± | 3.61 | 6-1-2035 | 146,447 | 145,540 | |
FHLMC (12 Month LIBOR +1.75%) ± | 3.70 | 6-1-2033 | 166,810 | 166,394 | |
FHLMC (1 Year Treasury Constant Maturity +2.43%) ± | 3.93 | 6-1-2025 | 21,276 | 21,064 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 3.93 | 6-1-2030 | 150,014 | 148,746 | |
FHLMC (3 Year Treasury Constant Maturity +2.40%) ± | 3.97 | 5-1-2031 | 60,506 | 60,697 | |
FHLMC | 4.00 | 7-1-2029 | 888,389 | 887,996 | |
FHLMC (12 Month LIBOR +1.77%) ± | 4.02 | 6-1-2035 | 126,991 | 125,638 | |
FHLMC (11th District COFI +1.25%) ± | 4.08 | 11-1-2030 | 9,428 | 9,158 | |
FHLMC (6 Month LIBOR +3.83%) ± | 4.21 | 11-1-2026 | 13,586 | 13,464 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 4.22 | 8-1-2033 | 14,604 | 14,453 | |
FHLMC (1 Year Treasury Constant Maturity +2.47%) ± | 4.22 | 7-1-2034 | 96,260 | 95,204 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 4.23 | 11-1-2026 | 36,529 | 36,319 | |
FHLMC (1 Year Treasury Constant Maturity +2.35%) ± | 4.35 | 7-1-2038 | 139,401 | 138,506 | |
FHLMC (5 Year Treasury Constant Maturity +2.13%) ± | 4.50 | 8-1-2029 | 6,251 | 6,309 | |
FHLMC | 5.00 | 10-1-2022 | 149 | 152 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF112 Class AS (30 Day Average U.S. SOFR +0.23%) ± | 1.78 | 4-25-2031 | 1,332,055 | 1,310,773 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF114 Class AS (30 Day Average U.S. SOFR +0.22%) ± | 1.77 | 5-25-2031 | 917,392 | 901,971 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF46 Class A (1 Month LIBOR +0.22%) ± | 2.58 | 3-25-2028 | 183,825 | 181,766 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF65 Class A (1 Month LIBOR +0.52%) ± | 2.88 | 7-25-2029 | 994,996 | 989,828 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF84 Class AL (1 Month LIBOR +0.30%) ± | 2.66 | 7-25-2030 | 1,321,849 | 1,306,850 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF85 Class AL (1 Month LIBOR +0.30%) ± | 2.66 | 8-25-2030 | 351,754 | 348,277 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KX04 Class AFL (1 Month LIBOR +0.33%) ± | 2.69 | 3-25-2030 | 2,085,490 | 2,076,892 | |
FHLMC Multifamily Structured Pass-Through Certificates Series Q016 Class APT2 ±± | 1.48 | 5-25-2051 | 3,699,359 | 3,346,141 | |
FHLMC Series 1671 Class QA (11th District COFI +0.95%) ± | 1.32 | 2-15-2024 | 163,308 | 163,911 | |
FHLMC Series 1686 Class FE (Enterprise 11th District COFI Institutional Replacement +1.10%) ± | 1.47 | 2-15-2024 | 1,771 | 1,779 | |
FHLMC Series 1709 Class FA (10 Year Treasury Constant Maturity -0.85%) ± | 2.09 | 3-15-2024 | 29,832 | 29,542 | |
FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity -0.60%) ± | 2.34 | 5-15-2024 | 19,061 | 18,931 | |
FHLMC Series 20 Class F ±± | 1.55 | 7-1-2029 | 1,966 | 1,978 | |
FHLMC Series 2315 Class FW (1 Month LIBOR +0.55%) ± | 2.94 | 4-15-2027 | 23,086 | 23,122 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series 2391 Class EF (1 Month LIBOR +0.50%) ± | 2.89% | 6-15-2031 | $ 29,436 | $ 29,447 | |
FHLMC Series 2454 Class SL (1 Month LIBOR +8.00%) ♀± | 5.61 | 3-15-2032 | 61,004 | 4,515 | |
FHLMC Series 2461 Class FI (1 Month LIBOR +0.50%) ± | 2.89 | 4-15-2028 | 36,503 | 36,534 | |
FHLMC Series 2464 Class FE (1 Month LIBOR +1.00%) ± | 3.39 | 3-15-2032 | 39,761 | 40,488 | |
FHLMC Series 2466 Class FV (1 Month LIBOR +0.55%) ± | 2.94 | 3-15-2032 | 76,378 | 76,528 | |
FHLMC Series 2538 Class F (1 Month LIBOR +0.60%) ± | 2.99 | 12-15-2032 | 162,900 | 162,790 | |
FHLMC Series 264 Class F1 (1 Month LIBOR +0.55%) ± | 2.94 | 7-15-2042 | 623,082 | 632,399 | |
FHLMC Series 2682 Class FK (1 Month LIBOR +1.47%) ± | 3.86 | 1-15-2033 | 3,205,709 | 3,309,276 | |
FHLMC Series 3067 Class FA (1 Month LIBOR +0.35%) ± | 2.74 | 11-15-2035 | 554,454 | 551,373 | |
FHLMC Series 3114 Class FT (1 Month LIBOR +0.35%) ± | 2.74 | 9-15-2030 | 236,616 | 236,229 | |
FHLMC Series 3140 Class GF (1 Month LIBOR +0.35%) ± | 2.74 | 3-15-2036 | 455,613 | 452,990 | |
FHLMC Series 3146 Class FP (1 Month LIBOR +0.35%) ± | 2.74 | 4-15-2036 | 405,690 | 403,482 | |
FHLMC Series 3149 Class FB (1 Month LIBOR +0.35%) ± | 2.74 | 5-15-2036 | 705,453 | 701,832 | |
FHLMC Series 319 Class F1 (1 Month LIBOR +0.45%) ± | 2.84 | 11-15-2043 | 902,651 | 879,085 | |
FHLMC Series 3236 Class AF (1 Month LIBOR +0.35%) ± | 2.74 | 11-15-2036 | 1,921,422 | 1,910,107 | |
FHLMC Series 3240 Class FM (1 Month LIBOR +0.35%) ± | 2.74 | 11-15-2036 | 749,363 | 743,516 | |
FHLMC Series 3284 Class CF (1 Month LIBOR +0.37%) ± | 2.76 | 3-15-2037 | 493,590 | 491,071 | |
FHLMC Series 3286 Class FA (1 Month LIBOR +0.40%) ± | 2.79 | 3-15-2037 | 69,156 | 68,880 | |
FHLMC Series 3311 Class KF (1 Month LIBOR +0.34%) ± | 2.73 | 5-15-2037 | 859,437 | 853,560 | |
FHLMC Series 3312 Class FN (1 Month LIBOR +0.22%) ± | 2.61 | 7-15-2036 | 711,131 | 702,752 | |
FHLMC Series 3436 Class A ±± | 2.47 | 11-15-2036 | 245,542 | 250,883 | |
FHLMC Series 350 Class F2 (1 Month LIBOR +0.35%) ± | 2.06 | 9-15-2040 | 6,198,044 | 6,111,841 | |
FHLMC Series 3684 Class FM (1 Month LIBOR +0.35%) ± | 2.06 | 11-15-2036 | 1,041,149 | 1,034,719 | |
FHLMC Series 3753 Class FA (1 Month LIBOR +0.50%) ± | 2.89 | 11-15-2040 | 1,133,270 | 1,135,729 | |
FHLMC Series 3757 Class PF (1 Month LIBOR +0.50%) ± | 2.89 | 8-15-2040 | 265,969 | 266,126 | |
FHLMC Series 3822 Class FY (1 Month LIBOR +0.40%) ± | 2.79 | 2-15-2033 | 519,164 | 518,091 | |
FHLMC Series 3827 Class DF (1 Month LIBOR +0.45%) ± | 2.84 | 3-15-2041 | 259,300 | 258,821 | |
FHLMC Series 3925 Class FL (1 Month LIBOR +0.45%) ± | 2.84 | 1-15-2041 | 62,467 | 62,601 | |
FHLMC Series 3997 Class FQ (1 Month LIBOR +0.50%) ± | 2.89 | 2-15-2042 | 480,626 | 481,936 | |
FHLMC Series 4013 Class QF (1 Month LIBOR +0.55%) ± | 2.94 | 3-15-2041 | 240,390 | 240,716 | |
FHLMC Series 4039 Class FA (1 Month LIBOR +0.50%) ± | 2.89 | 5-15-2042 | 763,305 | 763,276 | |
FHLMC Series 4116 Class LF (1 Month LIBOR +0.30%) ± | 2.69 | 10-15-2042 | 2,165,804 | 2,141,892 | |
FHLMC Series 4136 Class DF (1 Month LIBOR +0.30%) ± | 2.69 | 11-15-2042 | 487,433 | 482,134 | |
FHLMC Series 4143 Class KF (1 Month LIBOR +0.35%) ± | 2.06 | 9-15-2037 | 1,480,422 | 1,468,437 | |
FHLMC Series 4246 Class FE (1 Month LIBOR +0.45%) ± | 2.84 | 2-15-2036 | 1,844,602 | 1,844,335 | |
FHLMC Series 4248 Class FL (1 Month LIBOR +0.45%) ± | 2.84 | 5-15-2041 | 202,539 | 202,489 | |
FHLMC Series 4316 Class JF (1 Month LIBOR +0.40%) ± | 2.79 | 1-15-2044 | 705,448 | 702,056 | |
FHLMC Series 4474 Class WF (1 Month LIBOR +0.35%) ± | 2.06 | 12-15-2036 | 1,196,826 | 1,176,929 | |
FHLMC Series 4477 Class FG (1 Month LIBOR +0.30%) ± | 2.01 | 10-15-2040 | 1,046,181 | 1,033,814 | |
FHLMC Series 4503 Class FA (1 Month LIBOR +0.35%) ± | 2.06 | 2-15-2042 | 1,364,284 | 1,352,785 | |
FHLMC Series 4515 Class FA (1 Month LIBOR +0.37%) ± | 2.08 | 8-15-2038 | 208,630 | 206,538 | |
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 215,426 | 212,761 | |
FHLMC Series 4624 Class FA (1 Month LIBOR +0.45%) ± | 2.16 | 12-15-2038 | 2,371,308 | 2,367,330 | |
FHLMC Series 4628 Class KF (1 Month LIBOR +0.50%) ± | 2.89 | 1-15-2055 | 1,266,729 | 1,264,789 | |
FHLMC Series 4678 Class AF (1 Month LIBOR +0.40%) ± | 2.11 | 12-15-2042 | 998,489 | 991,537 | |
FHLMC Series 4691 Class FA (1 Month LIBOR +0.35%) ± | 2.74 | 6-15-2047 | 478,837 | 478,512 | |
FHLMC Series 4707 Class FD (1 Month LIBOR +0.35%) ± | 2.06 | 9-15-2044 | 3,069,339 | 3,063,337 | |
FHLMC Series 4708 Class F (1 Month LIBOR +0.30%) ± | 2.69 | 8-15-2047 | 2,732,548 | 2,701,359 | |
FHLMC Series 4754 Class FM (1 Month LIBOR +0.30%) ± | 2.69 | 2-15-2048 | 1,220,586 | 1,206,026 | |
FHLMC Series 4779 Class WF (1 Month LIBOR +0.35%) ± | 2.06 | 7-15-2044 | 1,450,904 | 1,442,195 | |
FHLMC Series 4821 Class FA (1 Month LIBOR +0.30%) ± | 2.69 | 7-15-2048 | 359,275 | 355,493 | |
FHLMC Series 4831 Class FD (1 Month LIBOR +0.30%) ± | 2.69 | 10-15-2048 | 1,195,901 | 1,184,565 | |
FHLMC Series 4842 Class FA (1 Month LIBOR +0.35%) ± | 2.74 | 11-15-2048 | 914,046 | 907,934 | |
FHLMC Series 4851 Class PF (1 Month LIBOR +0.40%) ± | 2.79 | 8-15-2057 | 3,521,830 | 3,487,283 | |
FHLMC Series 4906 Class WF (1 Month LIBOR +0.40%) ± | 2.11 | 12-15-2038 | 1,717,506 | 1,707,734 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series 4908 Class FA (1 Month LIBOR +0.44%) ± | 2.15% | 12-15-2042 | $1,606,169 | $ 1,610,949 | |
FHLMC Series 4915 Class FE (1 Month LIBOR +0.40%) ± | 2.11 | 2-15-2038 | 4,136,965 | 4,150,411 | |
FHLMC Series 4921 Class FN (1 Month LIBOR +0.45%) ± | 2.89 | 10-25-2049 | 947,511 | 947,874 | |
FHLMC Series 4925 Class FY (1 Month LIBOR +0.45%) ± | 2.89 | 10-25-2049 | 357,866 | 356,482 | |
FHLMC Series 4925 Class WF (1 Month LIBOR +0.40%) ± | 2.11 | 8-15-2038 | 3,612,605 | 3,585,362 | |
FHLMC Series 4927 Class FG (1 Month LIBOR +0.50%) ± | 2.94 | 11-25-2049 | 1,370,022 | 1,367,998 | |
FHLMC Series 4933 Class FA (1 Month LIBOR +0.50%) ± | 2.94 | 12-25-2049 | 974,642 | 972,666 | |
FHLMC Series 5062 Class FC (30 Day Average U.S. SOFR +0.20%) ± | 2.38 | 1-25-2051 | 1,327,904 | 1,302,585 | |
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 2.84 | 11-25-2028 | 281,705 | 281,151 | |
FHLMC Series T-16 Class A (1 Month LIBOR +0.35%) ± | 2.79 | 6-25-2029 | 816,981 | 805,994 | |
FHLMC Series T-20 Class A7 (1 Month LIBOR +0.30%) ± | 2.74 | 12-25-2029 | 1,998,923 | 1,987,204 | |
FHLMC Series T-21 Class A (1 Month LIBOR +0.36%) ± | 2.80 | 10-25-2029 | 693,911 | 693,053 | |
FHLMC Series T-24 Class A (1 Month LIBOR +0.30%) ± | 2.74 | 6-25-2030 | 283,550 | 280,975 | |
FHLMC Series T-27 Class A (1 Month LIBOR +0.30%) ± | 2.74 | 10-25-2030 | 794,892 | 792,669 | |
FHLMC Series T-30 Class A7 (1 Month LIBOR +0.24%) ± | 2.68 | 12-25-2030 | 640,196 | 623,539 | |
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 2.72 | 9-25-2031 | 1,290,128 | 1,282,276 | |
FHLMC Series T-48 Class 2A ±± | 3.67 | 7-25-2033 | 1,071,418 | 1,036,012 | |
FHLMC Series T-54 Class 4A ±± | 3.65 | 2-25-2043 | 657,676 | 631,572 | |
FHLMC Series T-55 Class 1A1 | 6.50 | 3-25-2043 | 34,903 | 37,441 | |
FHLMC Series T-56 Class 3AF (1 Month LIBOR +1.00%) ± | 3.44 | 5-25-2043 | 820,174 | 820,095 | |
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 2.06 | 10-25-2044 | 1,575,668 | 1,641,930 | |
FHLMC Series T-63 Class 1A1 (12 Month Treasury Average +1.20%) ± | 1.84 | 2-25-2045 | 1,374,910 | 1,421,566 | |
FHLMC Series T-66 Class 2A1 ±± | 3.52 | 1-25-2036 | 904,081 | 921,155 | |
FHLMC Series T-67 Class 1A1C ±± | 3.22 | 3-25-2036 | 2,014,867 | 2,053,892 | |
FHLMC Series T-67 Class 2A1C ±± | 3.32 | 3-25-2036 | 2,068,177 | 2,154,813 | |
FNMA (Enterprise 11th District COFI Institutional Replacement +1.40%) ± | 1.62 | 4-1-2024 | 193,214 | 191,544 | |
FNMA (11th District COFI +1.27%) ± | 1.65 | 3-1-2033 | 41,881 | 40,318 | |
FNMA (6 Month LIBOR +1.18%) ± | 1.68 | 8-1-2033 | 41,245 | 41,262 | |
FNMA (11th District COFI +1.25%) ± | 1.74 | 11-1-2023 | 3,209 | 3,183 | |
FNMA (11th District COFI +1.25%) ± | 1.75 | 11-1-2024 | 50 | 50 | |
FNMA (11th District COFI +1.26%) ± | 1.78 | 1-1-2035 | 166,499 | 161,619 | |
FNMA (1 Year Treasury Constant Maturity +1.70%) ± | 1.82 | 2-1-2033 | 176,672 | 175,148 | |
FNMA (12 Month LIBOR +1.57%) ± | 1.82 | 11-1-2044 | 93,005 | 93,791 | |
FNMA (11th District COFI +1.26%) ± | 1.85 | 1-1-2038 | 9,981 | 9,811 | |
FNMA (1 Year Treasury Constant Maturity +1.58%) ± | 1.87 | 3-1-2034 | 180,341 | 177,280 | |
FNMA (11th District COFI +1.29%) ± | 1.91 | 9-1-2037 | 779,486 | 752,039 | |
FNMA (12 Month LIBOR +1.56%) ± | 1.98 | 2-1-2044 | 38,147 | 38,283 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.00 | 1-1-2035 | 164,751 | 167,495 | |
FNMA (12 Month Treasury Average +1.18%) ± | 2.03 | 10-1-2044 | 190,499 | 190,230 | |
FNMA (12 Month Treasury Average +1.21%) ± | 2.06 | 4-1-2042 | 651,723 | 664,145 | |
FNMA (12 Month LIBOR +1.82%) ± | 2.07 | 12-1-2046 | 59,822 | 59,420 | |
FNMA (1 Year Treasury Constant Maturity +1.83%) ± | 2.08 | 4-1-2030 | 2,376 | 2,369 | |
FNMA (12 Month LIBOR +1.83%) ± | 2.08 | 1-1-2033 | 53,426 | 52,845 | |
FNMA (12 Month LIBOR +1.60%) ± | 2.13 | 3-1-2046 | 702,150 | 703,636 | |
FNMA (6 Month LIBOR +1.03%) ± | 2.15 | 2-1-2033 | 94,812 | 93,838 | |
FNMA (11th District COFI +1.82%) ± | 2.17 | 5-1-2028 | 22,965 | 22,600 | |
FNMA (11th District COFI +1.92%) ± | 2.17 | 9-1-2030 | 126,320 | 124,164 | |
FNMA (6 Month LIBOR +1.42%) ± | 2.17 | 12-1-2031 | 107,468 | 107,523 | |
FNMA (12 Month LIBOR +1.59%) ± | 2.18 | 2-1-2043 | 540,273 | 552,058 | |
FNMA (6 Month LIBOR +1.31%) ± | 2.19 | 10-1-2037 | 286,653 | 288,034 | |
FNMA (12 Month LIBOR +1.60%) ± | 2.22 | 8-1-2050 | 2,504,188 | 2,331,518 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.13%) ± | 2.25% | 10-1-2025 | $ 15,075 | $ 14,964 | |
FNMA (12 Month Treasury Average +1.40%) ± | 2.26 | 12-1-2030 | 19,765 | 19,903 | |
FNMA (1 Year Treasury Constant Maturity +1.89%) ± | 2.27 | 6-1-2032 | 44,771 | 44,088 | |
FNMA (1 Year Treasury Constant Maturity +2.17%) ± | 2.29 | 12-1-2039 | 91,246 | 90,562 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 2.30 | 12-1-2024 | 9,578 | 9,489 | |
FNMA (1 Year Treasury Constant Maturity +0.00%) ± | 2.33 | 9-1-2022 | 593 | 592 | |
FNMA (11th District COFI +1.83%) ± | 2.33 | 3-1-2033 | 149,030 | 145,996 | |
FNMA (11th District COFI +1.66%) ± | 2.33 | 1-1-2036 | 111,960 | 109,083 | |
FNMA (11th District COFI +1.86%) ± | 2.34 | 10-1-2027 | 96,207 | 95,302 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.35 | 8-1-2031 | 78,343 | 77,224 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.35 | 10-1-2034 | 92,640 | 91,664 | |
FNMA (6 Month LIBOR +1.51%) ± | 2.36 | 11-1-2034 | 276,501 | 273,977 | |
FNMA (1 Year Treasury Constant Maturity +1.50%) ± | 2.39 | 8-1-2030 | 362,180 | 360,584 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.39 | 8-1-2050 | 2,895,700 | 2,699,855 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 2.40 | 7-1-2024 | 2,600 | 2,576 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.40 | 10-1-2024 | 8,535 | 8,503 | |
FNMA (12 Month LIBOR +1.68%) ± | 2.42 | 6-1-2041 | 872,877 | 891,686 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 2.44 | 5-1-2025 | 10,964 | 10,888 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.44 | 3-1-2035 | 183,285 | 180,256 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.45 | 1-1-2031 | 110,251 | 109,201 | |
FNMA (11th District COFI +1.09%) ± | 2.45 | 10-1-2034 | 12,328 | 12,268 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 2.46 | 12-1-2034 | 239,920 | 240,159 | |
FNMA (6 Month LIBOR +1.74%) ± | 2.49 | 10-1-2024 | 14,498 | 14,354 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 2.50 | 7-1-2027 | 10,954 | 10,837 | |
FNMA (6 Month LIBOR +1.16%) ± | 2.50 | 8-1-2033 | 2,684 | 2,661 | |
FNMA (11th District COFI +1.85%) ± | 2.51 | 1-1-2036 | 9,293 | 9,069 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 6-1-2024 | 10,538 | 10,443 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.53 | 4-1-2033 | 269,631 | 267,930 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 2.53 | 9-1-2033 | 278,032 | 276,462 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.53 | 4-1-2050 | 1,333,696 | 1,282,109 | |
FNMA (12 Month Treasury Average +1.73%) ± | 2.56 | 6-1-2035 | 207,284 | 214,019 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 2.57 | 9-1-2030 | 291,732 | 284,972 | |
FNMA (12 Month Treasury Average +1.74%) ± | 2.57 | 10-1-2035 | 273,436 | 275,333 | |
FNMA (12 Month LIBOR +1.72%) ± | 2.59 | 4-1-2034 | 274,076 | 279,160 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 2.61 | 5-1-2035 | 308,387 | 318,692 | |
FNMA (12 Month Treasury Average +1.80%) ± | 2.62 | 11-1-2035 | 36,262 | 36,895 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.63 | 6-1-2032 | 66,948 | 65,883 | |
FNMA (1 Year Treasury Constant Maturity +2.52%) ± | 2.64 | 11-1-2024 | 8,697 | 8,632 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 2.64 | 4-1-2028 | 54,923 | 54,022 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 2.64 | 9-1-2033 | 156,518 | 155,280 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 2.69 | 5-1-2033 | 52,069 | 51,387 | |
FNMA (12 Month Treasury Average +1.85%) ± | 2.69 | 11-1-2035 | 266,754 | 267,228 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 2.70 | 4-1-2024 | 1,086 | 1,082 | |
FNMA (11th District COFI +1.70%) ± | 2.70 | 4-1-2030 | 464 | 456 | |
FNMA (12 Month Treasury Average +1.85%) ± | 2.70 | 7-1-2035 | 293,900 | 304,754 | |
FNMA (12 Month Treasury Average +2.48%) ± | 2.71 | 6-1-2040 | 426,020 | 425,003 | |
FNMA (1 Year Treasury Constant Maturity +2.60%) ± | 2.72 | 10-1-2025 | 3,468 | 3,447 | |
FNMA (1 Year Treasury Constant Maturity +2.03%) ± | 2.72 | 12-1-2032 | 172,867 | 170,903 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 2.74 | 4-1-2038 | 157,860 | 155,230 | |
FNMA (Federal COFI +2.00%) ± | 2.75 | 8-1-2029 | 20,183 | 20,173 | |
FNMA (12 Month LIBOR +1.57%) ± | 2.75 | 1-1-2040 | 66,278 | 66,096 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 2.77 | 5-1-2036 | 890,162 | 901,361 | |
FNMA (12 Month Treasury Average +1.94%) ± | 2.78 | 11-1-2035 | 12,159 | 12,656 | |
FNMA (1 Year Treasury Constant Maturity +2.54%) ± | 2.80 | 8-1-2035 | 177,016 | 174,375 | |
FNMA (12 Month Treasury Average +1.96%) ± | 2.80 | 11-1-2035 | 271,135 | 272,402 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (6 Month LIBOR +2.01%) ± | 2.81% | 10-1-2024 | $ 3,948 | $ 3,919 | |
FNMA (1 Year Treasury Constant Maturity +2.33%) ± | 2.82 | 7-1-2030 | 121,140 | 120,163 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 2.82 | 5-1-2034 | 101,746 | 100,806 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.82 | 5-1-2035 | 333,612 | 340,714 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 2.83 | 10-1-2028 | 32,405 | 31,908 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.83 | 1-1-2033 | 325,042 | 325,435 | |
FNMA (12 Month Treasury Average +1.98%) ± | 2.83 | 7-1-2035 | 198,036 | 203,049 | |
FNMA (6 Month LIBOR +1.74%) ± | 2.87 | 12-1-2024 | 16,310 | 16,173 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 2.87 | 9-1-2030 | 268,277 | 261,850 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.87 | 4-1-2034 | 155,478 | 153,936 | |
FNMA (12 Month Treasury Average +2.05%) ± | 2.88 | 10-1-2035 | 123,849 | 129,351 | |
FNMA (12 Month LIBOR +1.65%) ± | 2.88 | 11-1-2038 | 88,711 | 90,592 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.90 | 8-1-2031 | 22,521 | 22,327 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.90 | 11-1-2038 | 1,674,486 | 1,721,661 | |
FNMA (12 Month Treasury Average +2.11%) ± | 2.91 | 8-1-2035 | 103,223 | 104,317 | |
FNMA (1 Month LIBOR +1.17%) ± | 2.92 | 5-1-2029 | 29,396 | 29,673 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.93 | 9-1-2042 | 160,041 | 163,400 | |
FNMA (6 Month LIBOR +1.55%) ± | 2.95 | 3-1-2034 | 91,488 | 91,620 | |
FNMA (12 Month Treasury Average +2.07%) ± | 2.95 | 1-1-2035 | 223,162 | 225,523 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.96 | 7-1-2029 | 146,768 | 143,420 | |
FNMA (1 Year Treasury Constant Maturity +2.15%) ± | 2.96 | 5-1-2034 | 282,652 | 278,082 | |
FNMA (1 Year Treasury Constant Maturity +2.25%) ± | 2.98 | 8-1-2026 | 21,849 | 21,704 | |
FNMA (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +2.23%) ± | 3.01 | 7-1-2025 | 107 | 105 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.01 | 5-1-2037 | 289,713 | 286,716 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.01 | 12-1-2040 | 1,305,111 | 1,338,758 | |
FNMA (12 Month LIBOR +1.90%) ± | 3.02 | 10-1-2034 | 272,585 | 270,448 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.02 | 1-1-2036 | 211,376 | 211,275 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 3.02 | 9-1-2037 | 168,125 | 165,965 | |
FNMA (6 Month LIBOR +1.93%) ± | 3.05 | 6-1-2032 | 52,798 | 52,511 | |
FNMA (12 Month LIBOR +1.55%) ± | 3.05 | 6-1-2043 | 3,253,589 | 3,289,587 | |
FNMA (6 Month LIBOR +2.31%) ± | 3.06 | 4-1-2033 | 150,227 | 148,374 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 3.06 | 10-1-2036 | 226,813 | 233,162 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.06 | 12-1-2040 | 1,529,950 | 1,569,472 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.06 | 12-1-2040 | 3,389,949 | 3,471,893 | |
FNMA (12 Month LIBOR +1.78%) ± | 3.07 | 1-1-2042 | 1,214,420 | 1,250,409 | |
FNMA (1 Year Treasury Constant Maturity +1.96%) ± | 3.08 | 3-1-2032 | 13,740 | 13,639 | |
FNMA (1 Year Treasury Constant Maturity +1.93%) ± | 3.08 | 7-1-2038 | 402,539 | 398,543 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.08 | 4-1-2040 | 63,503 | 64,901 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.10 | 7-1-2035 | 38,368 | 38,028 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 3.12 | 3-1-2031 | 18,148 | 17,984 | |
FNMA (6 Month LIBOR +2.50%) ± | 3.14 | 4-1-2033 | 137,021 | 135,069 | |
FNMA (1 Year Treasury Constant Maturity +2.41%) ± | 3.16 | 5-1-2027 | 28,433 | 28,081 | |
FNMA (12 Month LIBOR +1.72%) ± | 3.16 | 7-1-2043 | 1,141,251 | 1,168,300 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.19 | 9-1-2036 | 162,935 | 161,577 | |
FNMA (11th District COFI +1.25%) ± | 3.20 | 4-1-2034 | 244,105 | 242,944 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.20 | 7-1-2038 | 1,539,205 | 1,583,993 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.21 | 10-1-2034 | 511,624 | 525,038 | |
FNMA (12 Month Treasury Average +2.35%) ± | 3.21 | 8-1-2040 | 285,400 | 287,518 | |
FNMA (12 Month LIBOR +1.77%) ± | 3.21 | 7-1-2044 | 1,566,324 | 1,617,015 | |
FNMA (Federal COFI +2.45%) ± | 3.22 | 2-1-2029 | 287,611 | 287,818 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 3.22 | 4-1-2038 | 271,186 | 269,463 | |
FNMA (6 Month LIBOR +1.98%) ± | 3.23 | 9-1-2033 | 43,749 | 43,323 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 3.24 | 10-1-2029 | 190,292 | 188,435 | |
FNMA (1 Year Treasury Constant Maturity +1.66%) ± | 3.27 | 7-1-2048 | 393,172 | 399,398 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (6 Month LIBOR +1.96%) ± | 3.28% | 1-1-2033 | $ 47,738 | $ 47,289 | |
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 3.28 | 5-1-2033 | 236,017 | 233,739 | |
FNMA (12 Month LIBOR +1.53%) ± | 3.28 | 9-1-2035 | 345,973 | 354,379 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 3.30 | 1-1-2026 | 42,147 | 41,751 | |
FNMA (6 Month LIBOR +1.51%) ± | 3.33 | 6-1-2037 | 515,747 | 534,413 | |
FNMA (1 Year Treasury Constant Maturity +2.55%) ± | 3.34 | 7-1-2028 | 122,311 | 121,648 | |
FNMA (11th District COFI +1.83%) ± | 3.34 | 6-1-2034 | 39,733 | 39,926 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.34 | 6-1-2044 | 473,528 | 480,682 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.35 | 6-1-2035 | 180,082 | 183,919 | |
FNMA (1 Year Treasury Constant Maturity +2.09%) ± | 3.36 | 12-1-2033 | 194,229 | 192,882 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.37 | 7-1-2037 | 128,925 | 133,074 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 3.38 | 12-1-2030 | 202,386 | 201,228 | |
FNMA (6 Month LIBOR +1.38%) ± | 3.38 | 12-1-2031 | 13,898 | 13,839 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 3.40 | 6-1-2027 | 30,971 | 30,673 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 3.40 | 11-1-2034 | 139,897 | 144,533 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.40 | 9-1-2035 | 988,190 | 1,014,485 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.43 | 7-1-2028 | 48 | 47 | |
FNMA (1 Year Treasury Constant Maturity +2.53%) ± | 3.46 | 1-1-2029 | 43,426 | 43,132 | |
FNMA (6 Month LIBOR +1.53%) ± | 3.46 | 1-1-2035 | 439,041 | 448,554 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.46 | 1-1-2037 | 360,810 | 360,235 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 3.48 | 6-1-2027 | 30,021 | 29,823 | |
FNMA (12 Month LIBOR +1.55%) ± | 3.48 | 9-1-2036 | 184,172 | 182,609 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 3.49 | 8-1-2026 | 10,617 | 10,509 | |
FNMA (5 Year Treasury Constant Maturity +1.90%) ± | 3.49 | 9-1-2031 | 96,637 | 96,055 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 3.49 | 6-1-2037 | 708,595 | 726,672 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 3.50 | 3-1-2027 | 11,033 | 10,956 | |
FNMA (6 Month LIBOR +1.37%) ± | 3.50 | 1-1-2032 | 115,471 | 115,122 | |
FNMA (1 Year Treasury Constant Maturity +1.76%) ± | 3.51 | 8-1-2032 | 28,976 | 28,756 | |
FNMA (1 Year Treasury Constant Maturity +2.11%) ± | 3.51 | 7-1-2035 | 81,170 | 80,726 | |
FNMA (1 Year Treasury Constant Maturity +1.52%) ± | 3.52 | 8-1-2033 | 451,073 | 448,414 | |
FNMA (12 Month LIBOR +1.75%) ± | 3.52 | 7-1-2035 | 230,643 | 234,982 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.52 | 9-1-2044 | 750,052 | 762,429 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.54 | 1-1-2027 | 30,833 | 30,733 | |
FNMA (6 Month LIBOR +2.25%) ± | 3.54 | 3-1-2034 | 383,641 | 383,481 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.57 | 9-1-2035 | 494,066 | 509,455 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 3.61 | 7-1-2037 | 75,482 | 75,208 | |
FNMA (1 Year Treasury Constant Maturity +2.17%) ± | 3.62 | 9-1-2030 | 21,784 | 21,695 | |
FNMA (1 Year Treasury Constant Maturity +1.63%) ± | 3.63 | 11-1-2029 | 4,864 | 4,788 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.63 | 1-1-2036 | 154,318 | 153,184 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 3.64 | 3-1-2030 | 3,371 | 3,329 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.65 | 6-1-2035 | 48,289 | 47,954 | |
FNMA (1 Year Treasury Constant Maturity +2.45%) ± | 3.67 | 7-1-2037 | 946,524 | 981,433 | |
FNMA (1 Year Treasury Constant Maturity +1.88%) ± | 3.68 | 8-1-2031 | 33,057 | 32,843 | |
FNMA (12 Month LIBOR +1.74%) ± | 3.68 | 6-1-2036 | 57,517 | 59,205 | |
FNMA (12 Month LIBOR +1.93%) ± | 3.68 | 5-1-2037 | 522,070 | 534,208 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.69 | 8-1-2045 | 329,067 | 335,988 | |
FNMA (6 Month LIBOR +2.48%) ± | 3.73 | 7-1-2033 | 26,074 | 25,812 | |
FNMA (12 Month LIBOR +1.90%) ± | 3.75 | 5-1-2038 | 255,756 | 265,252 | |
FNMA (1 Year Treasury Constant Maturity +2.70%) ± | 3.76 | 5-1-2035 | 477,442 | 472,939 | |
FNMA (12 Month LIBOR +1.72%) ± | 3.78 | 6-1-2035 | 47,119 | 48,561 | |
FNMA (5 Year Treasury Constant Maturity +2.42%) ± | 3.79 | 6-1-2028 | 12,431 | 12,470 | |
FNMA (12 Month LIBOR +1.67%) ± | 3.81 | 7-1-2035 | 352,593 | 363,180 | |
FNMA (12 Month LIBOR +1.60%) ± | 3.85 | 9-1-2037 | 352,005 | 349,825 | |
FNMA (6 Month LIBOR +2.34%) ± | 3.86 | 5-1-2033 | 509,119 | 506,757 | |
FNMA (12 Month LIBOR +2.00%) ± | 3.86 | 9-1-2035 | 165,750 | 172,249 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.15%) ± | 3.87% | 2-1-2033 | $ 39,013 | $ 38,840 | |
FNMA (6 Month LIBOR +2.70%) ± | 3.91 | 4-1-2024 | 25,799 | 25,578 | |
FNMA (11th District COFI +1.93%) ± | 3.96 | 12-1-2036 | 18,263 | 18,610 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.97 | 7-1-2035 | 39,956 | 40,881 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 4.02 | 8-1-2035 | 213,680 | 219,234 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 4.09 | 7-1-2028 | 28,632 | 28,441 | |
FNMA (1 Year Treasury Constant Maturity +2.33%) ± | 4.10 | 11-1-2024 | 15,725 | 15,687 | |
FNMA (6 Month LIBOR +1.38%) ± | 4.13 | 8-1-2031 | 94,703 | 94,655 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 4.14 | 7-1-2035 | 203,163 | 207,799 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.19 | 8-1-2033 | 211,385 | 210,503 | |
FNMA (12 Month LIBOR +1.64%) ± | 4.25 | 9-1-2042 | 306,699 | 315,783 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 4.28 | 9-1-2026 | 10,907 | 10,856 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 4.29 | 12-1-2030 | 14,985 | 14,912 | |
FNMA (6 Month LIBOR +3.35%) ± | 4.35 | 12-1-2032 | 116,036 | 115,073 | |
FNMA (1 Year Treasury Constant Maturity +2.38%) ± | 4.38 | 7-1-2027 | 42,996 | 42,860 | |
FNMA (1 Year Treasury Constant Maturity +2.89%) ± | 4.38 | 9-1-2030 | 91,693 | 91,222 | |
FNMA (1 Year Treasury Constant Maturity +2.47%) ± | 4.47 | 9-1-2028 | 25,352 | 25,229 | |
FNMA (6 Month LIBOR +3.57%) ± | 4.57 | 11-1-2031 | 1,980 | 1,962 | |
FNMA (11th District COFI +1.89%) ± | 4.73 | 5-1-2034 | 55,265 | 56,479 | |
FNMA (3 Year Treasury Constant Maturity +2.14%) ± | 4.89 | 10-1-2025 | 2,877 | 2,880 | |
FNMA | 6.50 | 8-1-2028 | 25,295 | 25,344 | |
FNMA | 6.50 | 5-1-2031 | 22,378 | 23,362 | |
FNMA | 7.06 | 12-1-2024 | 9,451 | 9,453 | |
FNMA | 7.06 | 1-1-2027 | 10,888 | 10,886 | |
FNMA | 7.50 | 1-1-2031 | 17,585 | 17,712 | |
FNMA | 7.50 | 1-1-2033 | 42,803 | 44,062 | |
FNMA | 7.50 | 5-1-2033 | 43,163 | 44,363 | |
FNMA | 7.50 | 5-1-2033 | 45,556 | 46,191 | |
FNMA | 7.50 | 7-1-2033 | 21,700 | 21,765 | |
FNMA | 7.50 | 8-1-2033 | 39,631 | 39,807 | |
FNMA | 8.00 | 12-1-2026 | 18,203 | 18,426 | |
FNMA | 8.00 | 2-1-2030 | 108 | 108 | |
FNMA | 8.00 | 3-1-2030 | 64 | 64 | |
FNMA | 8.00 | 5-1-2033 | 32,049 | 32,161 | |
FNMA | 8.50 | 8-15-2024 | 1,881 | 1,889 | |
FNMA Series 1993-113 Class FA (10 Year Treasury Constant Maturity -0.65%) ± | 2.22 | 7-25-2023 | 3,651 | 3,649 | |
FNMA Series 1993-247 Class FM (12 Month LIBOR +1.20%) ± | 4.81 | 12-25-2023 | 28,535 | 28,606 | |
FNMA Series 1994-14 Class F (12 Month LIBOR +1.60%) ± | 5.21 | 10-25-2023 | 14,368 | 14,427 | |
FNMA Series 2001-50 Class BA | 7.00 | 10-25-2041 | 62,042 | 65,283 | |
FNMA Series 2001-63 Class FD (1 Month LIBOR +0.60%) ± | 2.98 | 12-18-2031 | 46,665 | 46,812 | |
FNMA Series 2001-81 Class F (1 Month LIBOR +0.55%) ± | 2.99 | 1-25-2032 | 21,944 | 21,987 | |
FNMA Series 2001-T08 Class A1 | 7.50 | 7-25-2041 | 62,323 | 63,263 | |
FNMA Series 2001-T10 Class A2 | 7.50 | 12-25-2041 | 1,021,353 | 1,068,804 | |
FNMA Series 2001-T12 Class A2 | 7.50 | 8-25-2041 | 80,221 | 84,658 | |
FNMA Series 2001-T12 Class A4 ±± | 3.89 | 8-25-2041 | 1,923,056 | 1,938,859 | |
FNMA Series 2001-W01 Class AV1 (1 Month LIBOR +0.12%) ± | 2.50 | 8-25-2031 | 26,149 | 24,812 | |
FNMA Series 2001-W03 Class A ±± | 5.25 | 9-25-2041 | 238,981 | 239,713 | |
FNMA Series 2002-05 Class FD (1 Month LIBOR +0.90%) ± | 3.34 | 2-25-2032 | 38,267 | 38,616 | |
FNMA Series 2002-33 Class A4 ±± | 5.37 | 11-25-2030 | 71,893 | 73,234 | |
FNMA Series 2002-59 Class F (1 Month LIBOR +0.40%) ± | 2.84 | 9-25-2032 | 96,327 | 96,224 | |
FNMA Series 2002-66 Class A3 ±± | 3.76 | 4-25-2042 | 4,072,092 | 4,081,092 | |
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 811,910 | 879,355 | |
FNMA Series 2002-T12 Class A5 ±± | 4.33 | 10-25-2041 | 913,202 | 884,204 | |
FNMA Series 2002-T18 Class A5 ±± | 4.20 | 5-25-2042 | 1,862,634 | 1,814,084 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2002-T19 Class A4 ±± | 4.26% | 3-25-2042 | $ 106,067 | $ 106,189 | |
FNMA Series 2002-W01 Class 3A ±± | 2.23 | 4-25-2042 | 467,802 | 445,885 | |
FNMA Series 2002-W04 Class A6 ±± | 3.60 | 5-25-2042 | 850,742 | 836,552 | |
FNMA Series 2003-07 Class A2 ±± | 3.70 | 5-25-2042 | 328,357 | 327,930 | |
FNMA Series 2003-63 Class A8 ±± | 3.51 | 1-25-2043 | 667,150 | 665,287 | |
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.14%) ± | 2.46 | 3-25-2033 | 790,407 | 786,605 | |
FNMA Series 2003-W02 Class 1A3 | 7.50 | 7-25-2042 | 217,443 | 236,515 | |
FNMA Series 2003-W04 Class 5A ±± | 3.57 | 10-25-2042 | 493,737 | 463,026 | |
FNMA Series 2003-W08 Class 4A ±± | 3.78 | 11-25-2042 | 659,604 | 631,866 | |
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 2.50 | 6-25-2033 | 949,658 | 914,577 | |
FNMA Series 2003-W10 Class 2A ±± | 3.30 | 6-25-2043 | 1,259,138 | 1,188,852 | |
FNMA Series 2003-W18 Class 2A ±± | 3.60 | 6-25-2043 | 1,558,539 | 1,517,011 | |
FNMA Series 2003-W6 Class 6A ±± | 3.36 | 8-25-2042 | 560,357 | 549,896 | |
FNMA Series 2004-17 Class FT (1 Month LIBOR +0.40%) ± | 2.84 | 4-25-2034 | 454,273 | 453,218 | |
FNMA Series 2004-T03 Class 1A3 | 7.00 | 2-25-2044 | 257,030 | 276,196 | |
FNMA Series 2004-T03 Class 2A ±± | 3.67 | 8-25-2043 | 644,502 | 645,183 | |
FNMA Series 2004-T1 Class 2A ±± | 3.08 | 8-25-2043 | 792,842 | 751,798 | |
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 131,093 | 141,309 | |
FNMA Series 2004-W01 Class 3A ±± | 4.02 | 1-25-2043 | 35,242 | 34,460 | |
FNMA Series 2004-W02 Class 5A | 7.50 | 3-25-2044 | 44,380 | 47,593 | |
FNMA Series 2004-W12 Class 2A ±± | 3.58 | 6-25-2044 | 2,017,940 | 1,949,974 | |
FNMA Series 2004-W15 Class 3A ±± | 3.48 | 6-25-2044 | 2,752,268 | 2,691,926 | |
FNMA Series 2005-25 Class PF (1 Month LIBOR +0.35%) ± | 2.79 | 4-25-2035 | 636,446 | 633,386 | |
FNMA Series 2005-W03 Class 3A ±± | 3.46 | 4-25-2045 | 523,540 | 522,350 | |
FNMA Series 2006-112 Class LF (1 Month LIBOR +0.55%) ± | 2.99 | 11-25-2036 | 979,502 | 982,496 | |
FNMA Series 2006-16 Class FA (1 Month LIBOR +0.30%) ± | 2.74 | 3-25-2036 | 428,543 | 425,598 | |
FNMA Series 2006-44 Class FY (1 Month LIBOR +0.57%) ± | 3.01 | 6-25-2036 | 708,397 | 710,622 | |
FNMA Series 2006-5 Class 1-A ±± | 2.64 | 8-25-2034 | 2,105,031 | 2,135,803 | |
FNMA Series 2006-50 Class FE (1 Month LIBOR +0.40%) ± | 2.84 | 6-25-2036 | 1,276,941 | 1,275,653 | |
FNMA Series 2006-W01 Class 3A ±± | 2.59 | 10-25-2045 | 1,849,798 | 1,850,781 | |
FNMA Series 2007-109 Class PF (1 Month LIBOR +0.65%) ± | 3.09 | 12-25-2037 | 369,311 | 372,247 | |
FNMA Series 2007-4 Class DF (1 Month LIBOR +0.45%) ± | 2.89 | 2-25-2037 | 529,581 | 527,755 | |
FNMA Series 2007-86 Class FA (1 Month LIBOR +0.45%) ± | 2.89 | 9-25-2037 | 1,028,673 | 1,027,760 | |
FNMA Series 2007-95 Class A2 (1 Month LIBOR +0.25%) ± | 2.51 | 8-27-2036 | 104,629 | 102,465 | |
FNMA Series 2008-67 Class FG (1 Month LIBOR +1.00%) ± | 3.44 | 7-25-2038 | 548,477 | 561,146 | |
FNMA Series 2009-106 Class FA (1 Month LIBOR +0.75%) ± | 3.19 | 1-25-2040 | 839,828 | 849,329 | |
FNMA Series 2009-11 Class FU (1 Month LIBOR +1.00%) ± | 3.44 | 3-25-2049 | 222,544 | 224,040 | |
FNMA Series 2010-27 Class BF (1 Month LIBOR +0.55%) ± | 2.99 | 4-25-2040 | 1,724,299 | 1,729,824 | |
FNMA Series 2010-27 Class FG (1 Month LIBOR +1.00%) ± | 3.44 | 4-25-2040 | 2,580,824 | 2,609,289 | |
FNMA Series 2010-54 Class AF (1 Month LIBOR +0.56%) ± | 3.00 | 4-25-2037 | 232,765 | 233,625 | |
FNMA Series 2010-54 Class FT (1 Month LIBOR +0.76%) ± | 3.20 | 4-25-2037 | 3,457,731 | 3,500,323 | |
FNMA Series 2010-8 Class FE (1 Month LIBOR +0.79%) ± | 3.23 | 2-25-2040 | 2,764,658 | 2,805,506 | |
FNMA Series 2011-21 Class PF (1 Month LIBOR +0.35%) ± | 2.79 | 12-25-2041 | 204,535 | 202,833 | |
FNMA Series 2011-71 Class FA (1 Month LIBOR +0.62%) ± | 3.06 | 12-25-2036 | 1,639,151 | 1,649,672 | |
FNMA Series 2012-122 Class FM (1 Month LIBOR +0.40%) ± | 2.84 | 11-25-2042 | 974,996 | 969,855 | |
FNMA Series 2012-17 Class EF (1 Month LIBOR +0.45%) ± | 2.89 | 3-25-2041 | 1,358,651 | 1,358,825 | |
FNMA Series 2012-47 Class FW (1 Month LIBOR +1.70%) ± | 4.14 | 5-25-2027 | 101,458 | 103,994 | |
FNMA Series 2013-130 Class CF (1 Month LIBOR +0.25%) ± | 2.69 | 6-25-2043 | 336,857 | 334,112 | |
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 2.06 | 3-25-2043 | 3,091,741 | 3,073,053 | |
FNMA Series 2013-M2 Class AFL (1 Month LIBOR +0.35%) ± | 2.79 | 1-25-2023 | 1,098,287 | 1,098,618 | |
FNMA Series 2014-10 Class CF (1 Month LIBOR +0.30%) ± | 1.99 | 3-25-2044 | 674,574 | 666,084 | |
FNMA Series 2014-49 Class AF (1 Month LIBOR +0.32%) ± | 2.03 | 8-25-2044 | 122,642 | 121,592 | |
FNMA Series 2015-38 Class DF (1 Month LIBOR +0.31%) ± | 2.02 | 6-25-2055 | 1,617,421 | 1,611,564 | |
FNMA Series 2015-4 Class FA (1 Month LIBOR +0.35%) ± | 2.06 | 2-25-2045 | 1,031,167 | 1,023,575 | |
FNMA Series 2016-40 Class AF (1 Month LIBOR +0.45%) ± | 2.16 | 7-25-2046 | 4,623,585 | 4,596,148 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2016-40 Class PF (1 Month LIBOR +0.45%) ± | 2.16% | 7-25-2046 | $4,390,050 | $ 4,381,440 | |
FNMA Series 2016-58 Class FA (1 Month LIBOR +0.48%) ± | 2.19 | 8-25-2046 | 451,517 | 445,782 | |
FNMA Series 2016-62 Class AF (1 Month LIBOR +0.45%) ± | 2.16 | 9-25-2046 | 587,984 | 588,423 | |
FNMA Series 2016-64 Class KF (1 Month LIBOR +0.47%) ± | 2.18 | 9-25-2046 | 1,175,466 | 1,175,909 | |
FNMA Series 2016-76 Class CF (1 Month LIBOR +0.45%) ± | 2.16 | 10-25-2046 | 731,961 | 727,105 | |
FNMA Series 2016-82 Class FM (1 Month LIBOR +0.40%) ± | 2.11 | 11-25-2046 | 1,420,046 | 1,410,607 | |
FNMA Series 2016-87 Class AF (1 Month LIBOR +0.40%) ± | 2.11 | 11-25-2046 | 316,241 | 312,938 | |
FNMA Series 2016-M10 Class FA (1 Month LIBOR +0.62%) ± | 3.06 | 8-25-2028 | 3,016,621 | 3,019,727 | |
FNMA Series 2017-45 Class FA (1 Month LIBOR +0.32%) ± | 2.03 | 6-25-2047 | 3,658,923 | 3,621,378 | |
FNMA Series 2017-M6 Class F (1 Month LIBOR +0.48%) ± | 2.92 | 4-25-2029 | 2,523,236 | 2,510,512 | |
FNMA Series 2017-M9 Class F (1 Month LIBOR +0.48%) ± | 2.92 | 5-25-2029 | 4,684,331 | 4,705,252 | |
FNMA Series 2018-39 Class WF (1 Month LIBOR +0.30%) ± | 2.01 | 6-25-2048 | 3,418,957 | 3,396,451 | |
FNMA Series 2018-47 Class PC | 3.50 | 9-25-2047 | 185,588 | 179,371 | |
FNMA Series 2018-72 Class FB (1 Month LIBOR +0.35%) ± | 2.79 | 10-25-2058 | 2,646,051 | 2,615,721 | |
FNMA Series 2019-25 Class FA (1 Month LIBOR +0.45%) ± | 2.89 | 6-25-2049 | 284,986 | 284,142 | |
FNMA Series 2019-38 Class AF (1 Month LIBOR +0.40%) ± | 2.11 | 7-25-2049 | 3,730,705 | 3,751,543 | |
FNMA Series 2019-41 Class F (1 Month LIBOR +0.50%) ± | 2.94 | 8-25-2059 | 2,476,095 | 2,459,687 | |
FNMA Series 2019-42 Class MF (1 Month LIBOR +0.40%) ± | 2.11 | 8-25-2059 | 2,016,331 | 1,990,134 | |
FNMA Series 2019-5 Class FE (1 Month LIBOR +0.45%) ± | 2.89 | 3-25-2049 | 398,478 | 397,493 | |
FNMA Series 2019-53 Class FA (1 Month LIBOR +0.40%) ± | 2.11 | 9-25-2049 | 1,522,073 | 1,508,325 | |
FNMA Series 2020-10 Class Q | 3.00 | 3-25-2050 | 2,808,303 | 2,614,347 | |
FNMA Series 2020-29 Class FA (1 Month LIBOR +0.65%) ± | 2.36 | 5-25-2050 | 1,088,630 | 1,088,775 | |
FNMA Series 2020-36 Class FH (1 Month LIBOR +0.45%) ± | 2.89 | 6-25-2050 | 2,716,898 | 2,706,661 | |
FNMA Series 2020-37 Class FD (1 Month LIBOR +0.40%) ± | 2.84 | 6-25-2050 | 2,597,601 | 2,590,541 | |
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR +0.18%) ± | 1.24 | 12-25-2051 | 3,974,921 | 3,945,215 | |
FNMA Series G93-1 Class K | 6.68 | 1-25-2023 | 697 | 697 | |
GNMA (1 Month LIBOR +0.62%) ± | 2.25 | 5-20-2058 | 146,316 | 145,556 | |
GNMA (1 Year Treasury Constant Maturity +1.50%) ± | 2.63 | 1-20-2034 | 884,507 | 877,544 | |
GNMA (1 Year Treasury Constant Maturity +2.00%) ± | 3.13 | 1-20-2041 | 23,072 | 23,435 | |
GNMA (1 Year Treasury Constant Maturity +2.00%) ± | 3.38 | 4-20-2041 | 26,757 | 27,084 | |
GNMA (1 Year Treasury Constant Maturity +1.40%) ± | 4.23 | 6-20-2058 | 34,283 | 34,442 | |
GNMA | 6.45 | 4-20-2025 | 14,409 | 14,753 | |
GNMA | 6.45 | 9-20-2025 | 17,153 | 18,220 | |
GNMA | 6.50 | 8-20-2034 | 118,604 | 117,985 | |
GNMA | 9.00 | 9-20-2024 | 335 | 336 | |
GNMA | 9.00 | 11-20-2024 | 40 | 41 | |
GNMA | 9.00 | 1-20-2025 | 1,202 | 1,215 | |
GNMA | 9.00 | 2-20-2025 | 2,118 | 2,133 | |
GNMA Series 2004-80 Class FA (1 Month LIBOR +0.40%) ± | 2.77 | 10-20-2034 | 390,997 | 390,626 | |
GNMA Series 2006-16 Class DF (1 Month LIBOR +0.11%) ± | 2.48 | 4-20-2036 | 1,980,995 | 1,968,173 | |
GNMA Series 2008-65 Class FG (1 Month LIBOR +0.75%) ± | 3.12 | 8-20-2038 | 675,542 | 679,365 | |
GNMA Series 2008-68 Class FA (1 Month LIBOR +0.95%) ± | 3.32 | 8-20-2038 | 832,574 | 840,553 | |
GNMA Series 2009-12 Class FA (1 Month LIBOR +0.95%) ± | 3.32 | 3-20-2039 | 1,079,601 | 1,089,459 | |
GNMA Series 2009-15 Class FL (1 Month LIBOR +0.95%) ± | 3.32 | 3-20-2039 | 1,079,601 | 1,088,030 | |
GNMA Series 2009-29 Class FL (1 Month LIBOR +0.65%) ± | 3.04 | 5-16-2039 | 1,152,717 | 1,160,054 | |
GNMA Series 2009-36 Class FE (1 Month LIBOR +0.80%) ± | 3.17 | 9-20-2038 | 1,086,162 | 1,094,282 | |
GNMA Series 2009-50 Class FW (1 Month LIBOR +1.00%) ± | 3.37 | 7-20-2039 | 822,585 | 832,649 | |
GNMA Series 2009-52 Class FD (1 Month LIBOR +0.95%) ± | 3.34 | 7-16-2039 | 402,189 | 407,014 | |
GNMA Series 2010-25 Class FH (1 Month LIBOR +0.72%) ± | 3.11 | 2-16-2040 | 553,832 | 558,080 | |
GNMA Series 2010-79 Class YF (1 Month LIBOR +0.35%) ± | 2.72 | 5-20-2035 | 1,817,840 | 1,813,017 | |
GNMA Series 2011-117 Class FJ (1 Month LIBOR +0.87%) ± | 3.24 | 8-20-2041 | 1,035,202 | 1,048,723 | |
GNMA Series 2011-H12 Class FA (1 Month LIBOR +0.49%) ± | 2.29 | 2-20-2061 | 567,062 | 563,840 | |
GNMA Series 2011-H17 Class FA (1 Month LIBOR +0.53%) ± | 2.33 | 6-20-2061 | 418,075 | 415,876 | |
GNMA Series 2012-124 Class GF (1 Month LIBOR +0.25%) ± | 2.62 | 10-20-2042 | 1,139,387 | 1,125,003 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
GNMA Series 2014-44 Class IA ♀ | 3.50% | 5-20-2028 | $2,106,684 | $ 99,186 | |
GNMA Series 2014-H16 Class FL (1 Month LIBOR +0.47%) ± | 1.59 | 7-20-2064 | 785,748 | 779,320 | |
GNMA Series 2014-H22 Class FC (1 Month LIBOR +0.48%) ± | 2.28 | 11-20-2064 | 1,564,205 | 1,551,275 | |
GNMA Series 2015-H23 Class TA (1 Month LIBOR +0.47%) ± | 2.27 | 9-20-2065 | 1,546,355 | 1,532,588 | |
GNMA Series 2016-H24 Class FD (12 Month LIBOR +0.30%) ± | 0.53 | 11-20-2066 | 381,980 | 377,390 | |
GNMA Series 2017-130 Class FH (1 Month LIBOR +0.30%) ± | 2.67 | 8-20-2047 | 1,706,468 | 1,686,233 | |
GNMA Series 2017-H11 Class FE (12 Month LIBOR +0.18%) ± | 2.35 | 5-20-2067 | 2,879,428 | 2,819,291 | |
GNMA Series 2017-H11 Class FP (1 Month LIBOR +0.22%) ± | 2.02 | 4-20-2067 | 62,901 | 62,715 | |
GNMA Series 2018-120 Class FL (1 Month LIBOR +0.30%) ± | 2.67 | 9-20-2048 | 273,406 | 271,172 | |
GNMA Series 2018-49 Class FM (1 Month LIBOR +0.25%) ± | 2.62 | 4-20-2048 | 1,277,723 | 1,265,178 | |
GNMA Series 2018-H07 Class FD (1 Month LIBOR +0.30%) ± | 2.10 | 5-20-2068 | 411,056 | 409,292 | |
GNMA Series 2018-H13 Class FC (1 Month LIBOR +0.30%) ± | 2.10 | 7-20-2068 | 310,523 | 306,796 | |
GNMA Series 2019-103 Class FG (1 Month LIBOR +0.45%) ± | 2.82 | 4-20-2049 | 1,118,081 | 1,107,819 | |
GNMA Series 2019-129 Class WF (1 Month LIBOR +0.40%) ± | 2.10 | 2-20-2046 | 1,408,351 | 1,395,261 | |
GNMA Series 2019-42 Class F (1 Month LIBOR +0.45%) ± | 2.50 | 3-20-2046 | 1,441,120 | 1,434,179 | |
GNMA Series 2019-90 Class FD (1 Month LIBOR +0.35%) ± | 2.72 | 7-20-2049 | 3,053,562 | 3,031,741 | |
GNMA Series 2019-H06 Class FD (1 Month LIBOR +0.72%) ± | 1.82 | 1-20-2069 | 651,666 | 641,364 | |
GNMA Series 2019-H09 Class FE (1 Month LIBOR +0.50%) ± | 2.30 | 4-20-2069 | 1,005,608 | 995,860 | |
GNMA Series 2019-H10 Class FB (1 Month LIBOR +0.60%) ± | 2.40 | 6-20-2069 | 2,988,302 | 2,935,243 | |
GNMA Series 2019-H15 Class FE (1 Month LIBOR +0.63%) ± | 2.43 | 9-20-2069 | 2,061,983 | 2,034,809 | |
GNMA Series 2020-H12 Class F (1 Month LIBOR +0.50%) ± | 2.30 | 7-20-2070 | 787,253 | 772,947 | |
GNMA Series 2020-H19 Class FB (1 Month LIBOR +0.45%) ± | 2.22 | 11-20-2070 | 2,402,473 | 2,352,182 | |
GNMA Series 2021-H01 Class FC (1 Month LIBOR +0.40%) ± | 2.20 | 11-20-2070 | 1,570,699 | 1,536,985 | |
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR +0.30%) ± | 1.47 | 4-20-2070 | 3,769,250 | 3,652,185 | |
Total Agency securities (Cost $385,510,596) | 379,478,671 | ||||
Asset-backed securities: 9.02% | |||||
Brazos Education Funding Series 2015-1 Class A (1 Month LIBOR +1.00%) 144A± | 3.44 | 10-25-2056 | 1,910,949 | 1,892,425 | |
Cal Dive I Title XI Incorporated | 4.93 | 2-1-2027 | 2,577,413 | 2,608,220 | |
ECMC Group Student Loan Trust Series 2018-1A Class A (1 Month LIBOR +0.75%) 144A± | 3.19 | 2-27-2068 | 2,303,448 | 2,239,380 | |
ECMC Group Student Loan Trust Series 2018-2A Class A (1 Month LIBOR +0.80%) 144A± | 3.24 | 9-25-2068 | 3,920,750 | 3,834,181 | |
ECMC Group Student Loan Trust Series 2019-1A Class A1B (1 Month LIBOR +1.00%) 144A± | 3.44 | 7-25-2069 | 2,628,794 | 2,549,068 | |
ECMC Group Student Loan Trust Series 2020-2A Class A (1 Month LIBOR +1.15%) 144A± | 3.59 | 11-25-2069 | 3,078,688 | 3,008,900 | |
ECMC Group Student Loan Trust Series 2020-3A Class A1B (1 Month LIBOR +1.00%) 144A± | 3.44 | 1-27-2070 | 2,455,673 | 2,399,841 | |
EFS Volunteer LLC Series 2010-1 Class A2 (3 Month LIBOR +0.85%) 144A± | 3.63 | 10-25-2035 | 535,053 | 530,963 | |
Navient Student Loan Trust Series 2017-3A Class A2 (1 Month LIBOR +0.60%) 144A± | 3.04 | 7-26-2066 | 865,703 | 864,794 | |
Navient Student Loan Trust Series 2018-2A Class A2 (1 Month LIBOR +0.38%) 144A± | 2.82 | 3-25-2067 | 554,502 | 553,500 | |
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 2.86 | 3-25-2067 | 1,075,975 | 1,072,153 | |
Navient Student Loan Trust Series 2018-4A Class A2 144A (1 Month LIBOR +0.68%) 144A± | 3.12 | 6-27-2067 | 4,033,805 | 3,902,905 | |
Navient Student Loan Trust Series 2020-2A Class A1B (1 Month LIBOR +0.90%) 144A± | 3.34 | 8-26-2069 | 1,181,947 | 1,158,286 | |
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,233,669 | 1,129,815 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Navient Student Loan Trust Series 2021-1A Class A1B 144A (1 Month LIBOR +0.60%) 144A± | 3.04% | 12-26-2069 | $ 937,416 | $ 907,720 | |
Nelnet Student Loan Trust Series 2019-2A Class A (1 Month LIBOR +0.90%) 144A± | 3.34 | 6-27-2067 | 3,301,626 | 3,269,225 | |
Nelnet Student Loan Trust Series 2019-4A Class A (1 Month LIBOR +0.87%) 144A± | 3.31 | 9-26-2067 | 702,961 | 691,526 | |
Nelnet Student Loan Trust Series 2019-7A Class A1 (1 Month LIBOR +0.50%) 144A± | 2.94 | 1-25-2068 | 562,313 | 559,893 | |
New Hampshire Higher Education Loan Corporation Series 2020-1 Class A1B (1 Month LIBOR +1.20%) ± | 3.46 | 9-25-2060 | 2,611,671 | 2,528,346 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 2.50 | 12-17-2068 | 3,889,914 | 3,746,929 | |
SLM Student Loan Trust Series 2004-10 Class A7B (3 Month LIBOR +0.60%) 144A± | 3.38 | 10-25-2029 | 323,995 | 320,856 | |
SLM Student Loan Trust Series 2005-4 Class A3 (3 Month LIBOR +0.12%) ± | 2.90 | 1-25-2027 | 278,538 | 277,451 | |
South Carolina Student Loan Series 2008-1 Class A4 (3 Month LIBOR +1.00%) ± | 2.58 | 9-3-2024 | 124,396 | 124,234 | |
Total Asset-backed securities (Cost $41,121,970) | 40,170,611 | ||||
Non-agency mortgage-backed securities: 4.70% | |||||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 813,733 | 784,719 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 1,025,012 | 1,009,973 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 2,827,296 | 2,518,186 | |
FRESB Mortgage Trust Series 2022-SB94 Class A5H ±± | 1.72 | 11-25-2041 | 5,974,596 | 5,586,764 | |
Goldman Sachs Mortgage-Backed Securities Trust Series 2020-PJ4 Class A2 144A±± | 3.00 | 1-25-2051 | 679,204 | 580,509 | |
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A2 144A±± | 1.36 | 9-25-2056 | 670,514 | 567,242 | |
Imperial Fund Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.49 | 2-25-2067 | 2,575,543 | 2,370,927 | |
JPMorgan Mortgage Trust Series 2016-5 Class A1 144A±± | 3.23 | 12-25-2046 | 769,492 | 715,162 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 342,827 | 329,598 | |
New Residential Mortgage Loan Trust Series 2018-4A Class A1M (1 Month LIBOR +0.90%) 144A± | 3.16 | 1-25-2048 | 1,180,805 | 1,150,380 | |
New Residential Mortgage Loan Trust Series 2020-RPL1 Class A1 144A±± | 2.75 | 11-25-2059 | 219,429 | 207,418 | |
Onslow Bay Financial LLC Series 2022-NQM1 Class A1 144A±± | 2.31 | 11-25-2061 | 3,004,738 | 2,719,239 | |
Starwood Commercial Mortgage Trust Series 2022-FL3 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 3.23 | 11-15-2038 | 960,000 | 923,793 | |
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94 | 5-25-2065 | 961,105 | 903,004 | |
Towd Point Mortgage Trust Series 2017-5 Class A1 (1 Month LIBOR +0.60%) 144A± | 3.04 | 2-25-2057 | 569,538 | 564,674 | |
Total Non-agency mortgage-backed securities (Cost $22,608,516) | 20,931,588 |
Yield | Shares | Value | |||
Short-term investments: 0.43% | |||||
Investment companies: 0.43% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 2.09% | 1,904,979 | $ 1,904,979 | ||
Total Short-term investments (Cost $1,904,979) | 1,904,979 | ||||
Total investments in securities (Cost $451,146,061) | 99.37% | 442,485,849 | |||
Other assets and liabilities, net | 0.63 | 2,817,266 | |||
Total net assets | 100.00% | $445,303,115 |
± | 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. |
Abbreviations: | |
COFI | Cost of Funds Index |
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 | $453,226,292 | $(494,085,451) | $0 | $0 | $1,904,979 | 1,904,979 | $60,162 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Short | |||||||
10-Year U.S. Treasury Notes | (55) | 12-20-2022 | $ (6,442,161) | $ (6,429,844) | $ 12,317 | $0 | |
2-Year U.S. Treasury Notes | (437) | 12-30-2022 | (91,104,979) | (91,039,391) | 65,588 | 0 | |
5-Year U.S. Treasury Notes | (256) | 12-30-2022 | (28,397,960) | (28,370,000) | 27,960 | 0 | |
$105,865 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $449,241,082) | $ 440,580,870 |
Investments in affiliated securities, at value (cost $1,904,979) | 1,904,979 |
Cash | 48,085 |
Cash at broker segregated for futures contracts | 939,000 |
Principal paydown receivable | 1,883,618 |
Receivable for interest | 859,206 |
Receivable for Fund shares sold | 73,509 |
Prepaid expenses and other assets | 97,003 |
Total assets | 446,386,270 |
Liabilities | |
Payable for Fund shares redeemed | 823,551 |
Management fee payable | 122,653 |
Dividends payable | 58,851 |
Administration fees payable | 38,096 |
Payable for daily variation margin on open futures contracts | 7,620 |
Distribution fee payable | 2,043 |
Trustees’ fees and expenses payable | 289 |
Accrued expenses and other liabilities | 30,052 |
Total liabilities | 1,083,155 |
Total net assets | $445,303,115 |
Net assets consist of | |
Paid-in capital | $ 447,851,175 |
Total distributable loss | (2,548,060) |
Total net assets | $445,303,115 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 82,283,250 |
Shares outstanding – Class A1 | 9,324,351 |
Net asset value per share – Class A | $8.82 |
Maximum offering price per share – Class A2 | $9.00 |
Net assets – Class C | $ 3,104,145 |
Shares outstanding – Class C1 | 352,381 |
Net asset value per share – Class C | $8.81 |
Net assets – Administrator Class | $ 6,366,852 |
Shares outstanding – Administrator Class1 | 721,196 |
Net asset value per share – Administrator Class | $8.83 |
Net assets – Institutional Class | $ 353,548,868 |
Shares outstanding – Institutional Class1 | 40,068,022 |
Net asset value per share – Institutional Class | $8.82 |
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 | $ 5,351,227 |
Income from affiliated securities | 60,162 |
Total investment income | 5,411,389 |
Expenses | |
Management fee | 1,811,239 |
Administration fees | |
Class A | 145,242 |
Class C | 4,959 |
Administrator Class | 8,093 |
Institutional Class | 332,423 |
Shareholder servicing fees | |
Class A | 225,731 |
Class C | 7,748 |
Administrator Class | 20,222 |
Distribution fee | |
Class C | 23,242 |
Custody and accounting fees | 38,195 |
Professional fees | 91,496 |
Registration fees | 60,437 |
Shareholder report expenses | 33,806 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 58,047 |
Total expenses | 2,881,273 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (148,435) |
Class A | (43,502) |
Class C | (16,157) |
Administrator Class | (10,413) |
Net expenses | 2,662,766 |
Net investment income | 2,748,623 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (676,057) |
Futures contracts | 6,861,045 |
Net realized gains on investments | 6,184,988 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (12,207,357) |
Futures contracts | 183,174 |
Net change in unrealized gains (losses) on investments | (12,024,183) |
Net realized and unrealized gains (losses) on investments | (5,839,195) |
Net decrease in net assets resulting from operations | $ (3,090,572) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 2,748,623 | $ 3,082,137 | ||
Net realized gains on investments | 6,184,988 | 2,755,083 | ||
Net change in unrealized gains (losses) on investments | (12,024,183) | (614,193) | ||
Net increase (decrease) in net assets resulting from operations | (3,090,572) | 5,223,027 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (692,300) | (566,177) | ||
Class C | (14,135) | (1,311) | ||
Administrator Class | (71,924) | (49,812) | ||
Institutional Class | (4,255,890) | (2,722,077) | ||
Total distributions to shareholders | (5,034,249) | (3,339,377) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 593,643 | 5,293,269 | 1,717,622 | 15,375,208 |
Class C | 123,328 | 1,091,402 | 198,409 | 1,770,746 |
Administrator Class | 804,889 | 7,188,561 | 412,523 | 3,701,212 |
Institutional Class | 43,022,173 | 383,515,387 | 40,953,608 | 366,875,929 |
397,088,619 | 387,723,095 | |||
Reinvestment of distributions | ||||
Class A | 66,182 | 589,152 | 53,731 | 481,201 |
Class C | 1,573 | 14,008 | 141 | 1,262 |
Administrator Class | 7,992 | 71,176 | 5,497 | 49,250 |
Institutional Class | 415,798 | 3,699,149 | 264,936 | 2,373,163 |
4,373,485 | 2,904,876 | |||
Payment for shares redeemed | ||||
Class A | (2,188,993) | (19,473,541) | (3,420,031) | (30,618,407) |
Class C | (141,789) | (1,259,441) | (357,221) | (3,193,038) |
Administrator Class | (1,017,358) | (9,065,328) | (397,467) | (3,564,439) |
Institutional Class | (52,928,850) | (471,262,780) | (23,947,576) | (214,470,110) |
(501,061,090) | (251,845,994) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (99,598,986) | 138,781,977 | ||
Total increase (decrease) in net assets | (107,723,807) | 140,665,627 | ||
Net assets | ||||
Beginning of period | 553,026,922 | 412,361,295 | ||
End of period | $ 445,303,115 | $ 553,026,922 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.02 | 0.04 | 0.17 | 0.18 1 | 0.10 |
Net realized and unrealized gains (losses) on investments | (0.09) | 0.05 | (0.06) | 0.05 | (0.01) |
Total from investment operations | (0.07) | 0.09 | 0.11 | 0.23 | 0.09 |
Distributions to shareholders from | |||||
Net investment income | (0.03) | (0.05) | (0.17) | (0.18) | (0.12) |
Net realized gains | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.07) | (0.05) | (0.17) | (0.18) | (0.12) |
Net asset value, end of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Total return3 | (0.81)% | 0.99% | 1.25% | 2.64% | 0.98% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.82% | 0.82% | 0.88% | 0.88% | 0.83% |
Net expenses | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% |
Net investment income | 0.30% | 0.49% | 1.92% | 2.04% | 1.28% |
Supplemental data | |||||
Portfolio turnover rate | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $82,283 | $97,274 | $111,538 | $118,675 | $103,963 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.95 | $8.91 | $8.97 | $8.93 | $8.96 |
Net investment income (loss) | 0.00 1,2 | (0.00) 1,3 | 0.10 1 | 0.10 1 | 0.05 1 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.04 | (0.06) | 0.06 | (0.03) |
Total from investment operations | (0.10) | 0.04 | 0.04 | 0.16 | 0.02 |
Distributions to shareholders from | |||||
Net investment income | (0.00) 2 | (0.00) 2 | (0.10) | (0.12) | (0.05) |
Net realized gains | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.04) | (0.00) 2 | (0.10) | (0.12) | (0.05) |
Net asset value, end of period | $8.81 | $8.95 | $8.91 | $8.97 | $8.93 |
Total return4 | (1.08)% | 0.48% | 0.50% | 1.76% | 0.23% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.57% | 1.57% | 1.63% | 1.62% | 1.55% |
Net expenses | 1.02% * | 1.27% * | 1.49% | 1.49% | 1.49% |
Net investment income (loss) | 0.04% | (0.02)% | 1.17% | 1.13% | 0.54% |
Supplemental data | |||||
Portfolio turnover rate | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $3,104 | $3,304 | $4,702 | $6,594 | $45,693 |
* | 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: |
Year ended August 31, 2022 | 0.47% |
Year ended August 31, 2021 | 0.22% |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Amount is more than $(0.005) |
4 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.97 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.04 1 | 0.06 1 | 0.18 1 | 0.19 1 | 0.13 1 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.05 | (0.06) | 0.06 | (0.03) |
Total from investment operations | (0.06) | 0.11 | 0.12 | 0.25 | 0.10 |
Distributions to shareholders from | |||||
Net investment income | (0.04) | (0.06) | (0.18) | (0.20) | (0.13) |
Net realized gains | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.08) | (0.06) | (0.18) | (0.20) | (0.13) |
Net asset value, end of period | $8.83 | $8.97 | $8.92 | $8.98 | $8.93 |
Total return | (0.67)% | 1.24% | 1.40% | 2.78% | 1.12% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.76% | 0.76% | 0.81% | 0.81% | 0.77% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 0.43% | 0.64% | 1.98% | 2.12% | 1.42% |
Supplemental data | |||||
Portfolio turnover rate | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $6,367 | $8,299 | $8,076 | $5,337 | $9,140 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.05 1 | 0.07 1 | 0.19 1 | 0.22 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.10) | 0.04 | (0.06) | 0.04 | (0.05) |
Total from investment operations | (0.05) | 0.11 | 0.13 | 0.26 | 0.11 |
Distributions to shareholders from | |||||
Net investment income | (0.05) | (0.07) | (0.19) | (0.21) | (0.14) |
Net realized gains | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.09) | (0.07) | (0.19) | (0.21) | (0.14) |
Net asset value, end of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Total return | (0.53)% | 1.27% | 1.54% | 2.93% | 1.26% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.49% | 0.49% | 0.54% | 0.54% | 0.50% |
Net expenses | 0.46% | 0.46% | 0.46% | 0.46% | 0.46% |
Net investment income | 0.59% | 0.74% | 2.12% | 2.27% | 1.55% |
Supplemental data | |||||
Portfolio turnover rate | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $353,549 | $444,150 | $288,045 | $158,147 | $235,078 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
Gross unrealized gains | $ 696,740 |
Gross unrealized losses | (9,527,867) |
Net unrealized losses | $(8,831,127) |
■ | 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 | $ 379,478,671 | $0 | $ 379,478,671 |
Asset-backed securities | 0 | 40,170,611 | 0 | 40,170,611 |
Non-agency mortgage-backed securities | 0 | 20,931,588 | 0 | 20,931,588 |
Short-term investments | ||||
Investment companies | 1,904,979 | 0 | 0 | 1,904,979 |
1,904,979 | 440,580,870 | 0 | 442,485,849 | |
Futures contracts | 105,865 | 0 | 0 | 105,865 |
Total assets | $2,010,844 | $440,580,870 | $0 | $442,591,714 |
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 | |
$192,168,946 | $71,456,922 | $133,639,819 | $41,207,021 |
Year ended August 31 | ||
2022 | 2021 | |
Ordinary income | $2,699,890 | $3,283,861 |
Long-term capital gain | 2,334,359 | 55,516 |
Undistributed ordinary income | Undistributed long-term gain | Unrealized losses |
$2,584,557 | $3,825,253 | $(8,831,127) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394842img4d340f536.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g394842img492078c91.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394842imgbe2bfc847.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
ACBCP/AR132 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616imge3cb8c0e1.jpg)
Conservative Income Fund
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616img917ed4232.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616img81f7fd233.jpg)
President
Allspring Funds
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 August 31, 2022 | ||||||
Expense ratios1 (%) | ||||||
Inception date | 1 year | 5 year | Since inception | Gross | Net 2 | |
Class A2 (WCIAX)3 | 5-29-2020 | -0.92 | 1.02 | 0.77 | 0.60 | 0.40 |
Institutional Class (WCIIX) | 5-31-2013 | -0.69 | 1.26 | 1.01 | 0.37 | 0.25 |
Bloomberg 6-9 Month Treasury Bill Index4 | – | -0.39 | 1.10 | 0.73 * | – | – |
* | 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, 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 0.40% 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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616img5b683ad84.gif)
1 | The chart compares the performance of Institutional Class shares since inception with the Bloomberg 6-9 Month Treasury Bill Index. The chart assumes a hypothetical investment of $1,000,000 in Institutional Class shares and reflects all operating expenses. |
■ | The Fund underperformed its benchmark, the Bloomberg 6–9 Month Treasury Bill Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund’s largest allocation was to corporate notes. Spreads moved wider during the period, which caused the sector to underperform the benchmark. |
■ | The allocation to the asset-backed securities (ABS) sector was the largest contributor to performance. The municipal sector allocation, while relatively small, also contributed. |
Ten largest holdings (%) as of August 31, 20221 | |
HPEFS Equipment Trust Series 2021-1A Class C, 0.75%, 3-20-2031 | 2.13 |
Southern California Edison's First Mortgage, 2.57%, 4-3-2023 | 1.46 |
BP Capital Markets America Incorporated, 2.75%, 9-19-2022 | 1.39 |
JPMorgan Chase & Company, 2.40%, 3-16-2024 | 1.38 |
Royal Bank of Canada, 1.60%, 4-17-2023 | 1.37 |
Hyundai Auto Lease Securitization Trust Series 2021- C Class A3 , 0.38%, 9-16-2024 | 1.33 |
Tesla Auto Lease Trust Series 2021-A Class C, 1.18%, 3-20-2025 | 1.32 |
Deutsche Bank AG, 2.78%, 11-8-2023 | 1.21 |
Atmos Energy Corporation, 2.07%, 3-9-2023 | 1.15 |
AbbVie Incorporated, 3.63%, 11-21-2022 | 1.04 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
* | The credit quality is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. 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 and Fitch’s rates the creditworthiness of bonds from AAA (highest) to D (lowest). Moody’s rates the creditworthiness of bonds from Aaa (highest) to C (lowest). |
** | The Bloomberg U.S. 1–3 Year Corporate Bond Index measures the investment return of US dollar-denominated, investment-grade, fixed-rate, taxable securities issued by industrial, utility, and financial companies with maturities between 1 and 3 years. |
Portfolio composition as of August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616imga0e81a555.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A2 | ||||
Actual | $1,000.00 | $ 996.34 | $1.96 | 0.39% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.24 | $1.99 | 0.39% |
Institutional Class | ||||
Actual | $1,000.00 | $ 997.30 | $1.26 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.95 | $1.28 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 0.76% | |||||
GNMA ±±## | 4.58% | 8-20-2070 | $2,171,838 | $ 2,179,830 | |
Total Agency securities (Cost $2,316,981) | 2,179,830 | ||||
Asset-backed securities: 24.64% | |||||
AmeriCredit Automobile Receivables Trust Series 2020-1 Class A3 | 1.11 | 8-19-2024 | 270,347 | 269,977 | |
AmeriCredit Automobile Receivables Trust Series 2022 -2 Class A2A | 4.20 | 12-18-2025 | 585,000 | 584,386 | |
CarMax Auto Owner Trust Series 2021-4 Class A2A | 0.24 | 11-15-2024 | 640,203 | 634,175 | |
Carvana Auto Receivables Trust 2021-P3 Class A | 0.38 | 1-10-2025 | 1,618,737 | 1,599,703 | |
Carvana Auto Receivables Trust 2022-P3 Class A2 %% | 4.42 | 12-10-2025 | 1,380,000 | 1,379,476 | |
CCG Receivables Trust Series 2020-1 Class A2 144A | 0.54 | 12-14-2027 | 748,201 | 733,730 | |
Chesapeake Funding II LLC Series 2020-1A Class A1 144A | 0.87 | 8-15-2032 | 813,276 | 803,908 | |
Citibank Credit Card Issuance Trust Series 2018-A3 Class A3 | 3.29 | 5-23-2025 | 3,000,000 | 2,989,055 | |
Dell Equipment Finance Trust Series 2021-2 Class A2 144A | 0.33 | 12-22-2026 | 2,158,022 | 2,127,673 | |
DLLAD LLC Series 2021-1 144A | 0.35 | 9-20-2024 | 483,072 | 474,403 | |
DLLMT Series 2021-1A Class A2 144A | 0.60 | 3-20-2024 | 1,686,908 | 1,662,173 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1 (1 Month LIBOR +0.33%) 144A± | 1.53 | 12-11-2034 | 1,550,304 | 1,542,108 | |
Enterprise Fleet Financing LLC Series 2020-1 Class A2 144A | 1.78 | 12-22-2025 | 2,196,404 | 2,179,450 | |
Evergreen Credit Card Trust 2022 CRT-1 Class B 144A | 5.61 | 7-15-2026 | 2,000,000 | 1,990,538 | |
Ford Credit Auto Lease Trust Series 2022-A Class A2A | 2.78 | 10-15-2024 | 860,000 | 853,019 | |
Ford Credit Auto Owner Trust Series 2018-2 Class A 144A | 3.47 | 1-15-2030 | 2,000,000 | 1,987,627 | |
Ford Credit Auto Owner Trust Series 2019-B Class A3 | 2.23 | 10-15-2023 | 18,623 | 18,616 | |
Ford Credit Auto Owner Trust Series 2022- B Class A2A | 3.44 | 2-15-2025 | 1,470,000 | 1,463,549 | |
Foursight Capital Automobile Receivables Trust Series 2022-1 Class A2 144A | 1.15 | 9-15-2025 | 655,743 | 642,851 | |
General Motors Financial Securitized Term 2021-2 Class A3 | 0.51 | 4-16-2026 | 2,000,000 | 1,931,057 | |
GM Financial Auto Lease Trust Series 2021-3 Class A3 | 0.39 | 10-21-2024 | 2,000,000 | 1,936,274 | |
Golden Credit Card Trust Series 2018-4A Class A 144A | 3.44 | 8-15-2025 | 3,000,000 | 2,985,128 | |
Great America Leasing Receivables Funding LLC Series 2021-1 Class A2 144A | 0.27 | 6-15-2023 | 704,704 | 701,950 | |
HPEFS Equipment Trust Series 2021-1A Class C 144A | 0.75 | 3-20-2031 | 6,400,000 | 6,135,164 | |
Hyundai Auto Lease Securitization Trust Series 2021- C Class A3 144A | 0.38 | 9-16-2024 | 3,959,000 | 3,829,317 | |
Hyundai Auto Lease Securitization Trust Series 2021-A Class B 144A | 0.61 | 10-15-2025 | 1,800,000 | 1,747,380 | |
John Deere Owner Trust Series 2021- A Class A2 | 0.20 | 12-15-2023 | 185,922 | 185,407 | |
John Deere Owner Trust Series 2022- B Class A2 | 3.73 | 6-16-2025 | 935,000 | 930,891 | |
Mercedes-Benz Auto Receivables Trust Series 2019-1 Class 3 | 1.94 | 3-15-2024 | 653,792 | 652,430 | |
MMAF Equipment Finance LLC Series 2020-B Class A2 144A | 0.38 | 8-14-2023 | 147,076 | 146,599 | |
Oscar US Funding Trust Series 2021-1A Class A2 144A | 0.40 | 3-11-2024 | 307,812 | 305,769 | |
Oscar US Funding Trust Series 2021-2A Class A2 144A | 0.39 | 8-12-2024 | 876,989 | 863,976 | |
Santander Drive Auto Receivable Series 2022-5 Class A3 | 4.11 | 8-17-2026 | 1,250,000 | 1,245,777 | |
Santander Drive Auto Receivable Trust Series 2021-4 A3 | 0.51 | 8-15-2025 | 1,500,000 | 1,487,885 | |
Santander Retail Auto Lease Trust Series 2020 Class A C 144A | 2.08 | 3-20-2024 | 1,500,000 | 1,484,724 | |
Santander Retail Auto Lease Trust Series 2020-B Class A2 144A | 0.42 | 11-20-2023 | 118,009 | 117,746 | |
Santander Retail Auto Lease Trust Series 2021-C Class A2 144A | 0.29 | 4-22-2024 | 809,144 | 803,634 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 1,097,059 | 1,062,814 | |
Tesla Auto Lease Trust Series 2021-A Class A2 144A | 0.36 | 3-20-2025 | 493,016 | 485,945 | |
Tesla Auto Lease Trust Series 2021-A Class B 144A | 1.02 | 3-20-2025 | 1,600,000 | 1,528,149 |
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 | $ 3,805,559 | |
Venture CDO Limited Series 16-25A Class AR (3 Month LIBOR +1.02%) 144A± | 3.73 | 4-20-2029 | 2,556,716 | 2,523,210 | |
Verizon Master Trust Series 2022-5 Class A1A øø | 3.72 | 7-20-2027 | 2,050,000 | 2,049,994 | |
Volkswagen Group of America Auto Lease Trust Series 2022-A Class A2 | 3.02 | 10-21-2024 | 2,440,000 | 2,419,286 | |
Wheels SPV LLC Series 2020-1A Class A2 144A | 0.51 | 8-20-2029 | 386,760 | 381,779 | |
World Omni Auto Lease Trust Series 2021-A Class A3 | 0.42 | 8-15-2024 | 3,000,000 | 2,899,561 | |
World Omni Auto Lease Trust Series 2022-A Class A | 2.63 | 10-15-2024 | 2,414,504 | 2,392,830 | |
Total Asset-backed securities (Cost $72,034,250) | 70,976,652 | ||||
Corporate bonds and notes: 44.35% | |||||
Communication services: 0.82% | |||||
Entertainment: 0.82% | |||||
Take-Two Interactive Software Incorporated | 3.30 | 3-28-2024 | 2,400,000 | 2,366,221 | |
Consumer discretionary: 0.39% | |||||
Hotels, restaurants & leisure: 0.39% | |||||
McDonald's Corporation | 3.35 | 4-1-2023 | 1,120,000 | 1,117,410 | |
Consumer staples: 4.27% | |||||
Beverages: 0.69% | |||||
Constellation Brands Incorporated | 3.60 | 5-9-2024 | 2,000,000 | 1,982,107 | |
Food & staples retailing: 0.98% | |||||
Georgia Pacific LLC 144A | 0.63 | 5-15-2024 | 3,000,000 | 2,823,376 | |
Food products: 1.02% | |||||
Cargill Incorporated 144A | 1.38 | 7-23-2023 | 3,000,000 | 2,938,429 | |
Household products: 0.54% | |||||
GSK Consumer Healthcare Capital US LLC 144A | 3.02 | 3-24-2024 | 1,600,000 | 1,564,635 | |
Tobacco: 1.04% | |||||
Philip Morris International Incorporated | 2.63 | 3-6-2023 | 3,000,000 | 2,985,387 | |
Energy: 3.81% | |||||
Energy equipment & services: 0.69% | |||||
Enterprise Products Operating LP | 3.35 | 3-15-2023 | 2,000,000 | 1,996,381 | |
Oil, gas & consumable fuels: 3.12% | |||||
Baker Hughes LLC | 1.23 | 12-15-2023 | 1,025,000 | 993,037 | |
Boardwalk Pipelines LP | 3.38 | 2-1-2023 | 2,000,000 | 1,993,151 | |
BP Capital Markets America Incorporated (3 Month LIBOR +0.65%) ± | 2.75 | 9-19-2022 | 4,000,000 | 3,999,611 | |
Phillips 66 | 3.70 | 4-6-2023 | 2,000,000 | 1,999,691 | |
8,985,490 | |||||
Financials: 21.38% | |||||
Banks: 5.87% | |||||
Bank of America Corporation (3 Month LIBOR +0.78%) ± | 3.55 | 3-5-2024 | 2,000,000 | 1,991,910 | |
Fifth Third Bancorp | 1.63 | 5-5-2023 | 2,000,000 | 1,972,725 |
�� | Interest rate | Maturity date | Principal | Value | |
Banks (continued) | |||||
JPMorgan Chase & Company (U.S. SOFR +0.58%) ± | 2.40% | 3-16-2024 | $4,000,000 | $ 3,972,196 | |
PNC Financial Services Group Incorporated | 2.95 | 1-30-2023 | 3,000,000 | 2,995,302 | |
Truist Bank | 2.20 | 3-16-2023 | 2,000,000 | 1,984,400 | |
US Bank NA | 3.40 | 7-24-2023 | 2,000,000 | 1,995,155 | |
Wells Fargo & Company | 3.75 | 1-24-2024 | 2,000,000 | 1,993,994 | |
16,905,682 | |||||
Capital markets: 2.75% | |||||
Bank of New York Mellon Corporation | 2.95 | 1-29-2023 | 1,470,000 | 1,465,601 | |
Bank of New York Mellon Corporation | 3.50 | 4-28-2023 | 2,000,000 | 2,000,996 | |
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.63 | 11-17-2023 | 1,000,000 | 991,857 | |
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 2.82 | 11-17-2023 | 1,500,000 | 1,494,645 | |
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 2,000,000 | 1,956,368 | |
7,909,467 | |||||
Consumer finance: 5.53% | |||||
American Honda Finance Corporation | 2.05 | 1-10-2023 | 3,000,000 | 2,986,770 | |
Aviation Capital Group 144A | 3.88 | 5-1-2023 | 2,000,000 | 1,974,189 | |
Daimler Finance North America LLC (3 Month LIBOR +0.84%) 144A± | 3.65 | 5-4-2023 | 2,000,000 | 2,004,633 | |
Daimler Finance North America LLC 144A | 3.70 | 5-4-2023 | 3,000,000 | 2,994,919 | |
Hyundai Capital America Company 144A | 2.85 | 11-1-2022 | 2,000,000 | 1,996,789 | |
Toyota Motor Credit Corporation | 2.90 | 3-30-2023 | 2,000,000 | 1,993,189 | |
Volkswagen Group of America Finance LLC 144A | 3.13 | 5-12-2023 | 2,000,000 | 1,989,436 | |
15,939,925 | |||||
Diversified financial services: 0.85% | |||||
Blackstone Holdings Finace Company LLC 144A | 4.75 | 2-15-2023 | 1,200,000 | 1,198,744 | |
National Rural Utilities Cooperative Finance | 2.70 | 2-15-2023 | 1,255,000 | 1,248,274 | |
2,447,018 | |||||
Insurance: 6.38% | |||||
Athene Global Funding 144A | 2.80 | 5-26-2023 | 3,000,000 | 2,970,412 | |
Athene Global Funding (U.S. SOFR +0.70%) 144A± | 2.98 | 5-24-2024 | 2,500,000 | 2,449,869 | |
Brighthouse Financial Global Funding 144A | 1.20 | 12-15-2023 | 1,075,000 | 1,032,369 | |
Brighthouse Financial Global Funding Series 2021-1 (U.S. SOFR +0.76%) 144A± | 2.76 | 4-12-2024 | 1,200,000 | 1,187,073 | |
Equitable Financial Life Insurance Company of America (U.S. SOFR +0.39%) 144A± | 2.37 | 4-6-2023 | 2,250,000 | 2,246,783 | |
GA Global Funding Trust (U.S. SOFR +1.36%) 144A± | 3.35 | 4-11-2025 | 2,000,000 | 1,960,569 | |
Jackson National Life Global Funding 144A | 3.25 | 1-30-2024 | 2,000,000 | 1,966,218 | |
Metropolitan Life Global Funding I 144A | 3.00 | 1-10-2023 | 1,000,000 | 998,825 | |
Principal Life Global Funding II (U.S. SOFR +0.38%) 144A± | 2.66 | 8-23-2024 | 670,000 | 663,511 | |
Protective Life Global Funding 144A | 0.63 | 10-13-2023 | 2,000,000 | 1,928,117 | |
Protective Life Global Funding 144A | 1.08 | 6-9-2023 | 1,000,000 | 978,030 | |
18,381,776 | |||||
Health care: 1.04% | |||||
Biotechnology: 1.04% | |||||
AbbVie Incorporated (3 Month LIBOR +0.65%) ± | 3.63 | 11-21-2022 | 3,000,000 | 3,002,455 |
Interest rate | Maturity date | Principal | Value | ||
Industrials: 1.62% | |||||
Trading companies & distributors: 0.76% | |||||
Air Lease Corporation | 3.00% | 9-15-2023 | $2,200,000 | $ 2,169,179 | |
Transportation infrastructure: 0.86% | |||||
Penske Truck Leasing Company LP 144A | 2.70 | 3-14-2023 | 2,500,000 | 2,481,262 | |
Materials: 0.69% | |||||
Metals & mining: 0.69% | |||||
Glencore Funding LLC Company 144A | 4.13 | 3-12-2024 | 2,000,000 | 1,985,861 | |
Real estate: 1.45% | |||||
Equity REITs: 1.45% | |||||
Public Storage (U.S. SOFR +0.47%) ± | 2.62 | 4-23-2024 | 1,195,000 | 1,189,533 | |
Simon Property Group LP | 2.75 | 6-1-2023 | 3,000,000 | 2,978,637 | |
4,168,170 | |||||
Utilities: 8.88% | |||||
Electric utilities: 6.64% | |||||
American Electric Power | 2.03 | 3-15-2024 | 2,000,000 | 1,937,137 | |
Entergy Arkansas Incorporated | 3.05 | 6-1-2023 | 2,000,000 | 1,987,681 | |
Florida Power & Light Company (U.S. SOFR +0.25%) ± | 2.53 | 5-10-2023 | 2,000,000 | 1,994,332 | |
Nextera Energy Capital Company | 4.26 | 9-1-2024 | 2,500,000 | 2,501,529 | |
Oklahoma Gas & Electric Company | 0.55 | 5-26-2023 | 2,910,000 | 2,843,274 | |
Southern California Edison's First Mortgage (U.S. SOFR +0.64%) ± | 2.57 | 4-3-2023 | 4,220,000 | 4,211,913 | |
Southern Company (U.S. SOFR +0.37%) ± | 2.65 | 5-10-2023 | 2,000,000 | 1,990,100 | |
Tampa Electric Company | 3.88 | 7-12-2024 | 1,670,000 | 1,662,601 | |
19,128,567 | |||||
Gas utilities: 1.15% | |||||
Atmos Energy Corporation (3 Month LIBOR +0.38%) ± | 2.07 | 3-9-2023 | 3,320,000 | 3,318,735 | |
Multi-utilities: 1.09% | |||||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 2.11 | 3-2-2023 | 1,705,000 | 1,702,232 | |
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 2.93 | 5-13-2024 | 1,445,000 | 1,429,269 | |
3,131,501 | |||||
Total Corporate bonds and notes (Cost $128,881,911) | 127,729,034 | ||||
Municipal obligations: 5.20% | |||||
California: 2.06% | |||||
Education revenue: 0.51% | |||||
University of California Series BF | 0.63 | 5-15-2023 | 1,500,000 | 1,469,112 | |
Miscellaneous revenue: 1.55% | |||||
Pomona CA Pension Obligation Series BJ | 4.00 | 8-1-2023 | 1,000,000 | 999,971 | |
San Luis Unit/Westlands Water District Financing Authority | 1.09 | 9-1-2022 | 1,000,000 | 1,000,000 |
Interest rate | Maturity date | Principal | Value | ||
Miscellaneous revenue (continued) | |||||
Torrance CA Joint Powers Financing Authority | 1.29% | 10-1-2022 | $1,000,000 | $ 998,489 | |
Torrance CA Joint Powers Financing Authority | 1.43 | 10-1-2023 | 1,500,000 | 1,461,954 | |
4,460,414 | |||||
5,929,526 | |||||
Colorado: 1.00% | |||||
Transportation revenue: 1.00% | |||||
Colorado Bridge Enterprise Senior Project Infrastructure | 0.92 | 12-31-2023 | 3,000,000 | 2,882,220 | |
Connecticut: 0.37% | |||||
GO revenue: 0.37% | |||||
Connecticut | 4.25 | 6-15-2023 | 1,070,000 | 1,074,695 | |
Illinois: 0.35% | |||||
Airport revenue: 0.35% | |||||
Chicago IL O’Hare International Airport Senior Lien Series D | 0.96 | 1-1-2023 | 1,000,000 | 991,641 | |
New York: 1.42% | |||||
Airport revenue: 0.44% | |||||
Port Authority of New York & New Jersey Series AAA | 1.09 | 7-1-2023 | 1,305,000 | 1,277,144 | |
Housing revenue: 0.83% | |||||
New York City NY City Housing Development Corporation Refunding Sustainable Bonds Series A | 2.32 | 1-1-2023 | 2,410,000 | 2,400,855 | |
Utilities revenue: 0.15% | |||||
Long Island NY Power Authority Electric System Series C | 0.76 | 3-1-2023 | 430,000 | 424,029 | |
4,102,028 | |||||
Total Municipal obligations (Cost $15,252,546) | 14,980,110 | ||||
Yankee corporate bonds and notes: 24.42% | |||||
Energy: 1.95% | |||||
Energy equipment & services: 1.04% | |||||
Schlumberger Limited 144A | 2.65 | 11-20-2022 | 3,000,000 | 2,996,063 | |
Oil, gas & consumable fuels: 0.91% | |||||
Enbridge Incorporated | 4.00 | 10-1-2023 | 2,617,000 | 2,609,406 | |
Financials: 21.96% | |||||
Banks: 18.34% | |||||
Bank of Montreal (U.S. SOFR +0.27%) ± | 2.07 | 9-15-2023 | 2,000,000 | 1,987,774 | |
Banque Federative du Credit Mutuel SA 144A | 0.65 | 2-27-2024 | 2,000,000 | 1,898,215 | |
Banque Federative du Credit Mutuel SA 144A | 2.13 | 11-21-2022 | 1,000,000 | 997,722 | |
Canadian Imperial Bank of Commerce | 0.95 | 6-23-2023 | 1,500,000 | 1,464,769 | |
Canadian Imperial Bank of Commerce (U.S. SOFR +0.34%) ± | 2.20 | 6-22-2023 | 2,875,000 | 2,864,741 | |
Cooperatieve Rabobank UA (U.S. SOFR +0.30%) ± | 2.30 | 1-12-2024 | 2,000,000 | 1,987,286 | |
Credit Agricole SA London 144A | 3.75 | 4-24-2023 | 3,000,000 | 2,994,602 | |
Credit Suisse AG New York | 1.00 | 5-5-2023 | 3,000,000 | 2,935,700 | |
DNB Bank ASA (3 Month LIBOR +0.62%) 144A± | 2.23 | 12-2-2022 | 500,000 | 500,332 | |
Lloyds Banking Group plc (3 Month LIBOR +0.81%) ± | 2.91 | 11-7-2023 | 1,000,000 | 997,028 | |
Mitsubishi UFJ Financial Group Incorporated | 3.46 | 3-2-2023 | 3,000,000 | 2,998,499 |
Interest rate | Maturity date | Principal | Value | ||
Banks (continued) | |||||
Mitsubishi UFJ Financial Group Incorporated | 3.76% | 7-26-2023 | $1,000,000 | $ 998,580 | |
Mizuho Financial Group | 3.55 | 3-5-2023 | 2,000,000 | 1,999,273 | |
National Bank of Canada 144A | 2.15 | 10-7-2022 | 2,500,000 | 2,497,996 | |
NatWest Markets plc (U.S. SOFR +0.53%) 144A± | 2.81 | 8-12-2024 | 1,250,000 | 1,235,202 | |
NatWest Markets plc 144A | 3.63 | 9-29-2022 | 3,000,000 | 3,001,112 | |
Nordea Bank AB 144A | 1.00 | 6-9-2023 | 2,000,000 | 1,956,742 | |
Royal Bank of Canada | 1.60 | 4-17-2023 | 4,000,000 | 3,950,334 | |
Santander UK plc | 2.10 | 1-13-2023 | 2,000,000 | 1,987,722 | |
Santander UK plc | 4.00 | 3-13-2024 | 2,000,000 | 1,998,196 | |
Skandinaviska Enskilda Banken (3 Month LIBOR +0.32%) 144A± | 1.90 | 9-1-2023 | 3,000,000 | 2,988,882 | |
Skandinaviska Enskilda Banken (3 Month LIBOR +0.65%) 144A± | 2.37 | 12-12-2022 | 1,250,000 | 1,250,617 | |
Sumitomo Mitsui Trust Bank Limited (U.S. SOFR +0.44%) 144A± | 2.18 | 9-16-2024 | 1,200,000 | 1,184,835 | |
Swedbank AB 144A | 1.30 | 6-2-2023 | 2,225,000 | 2,177,955 | |
Toronto Dominion Bank | 3.50 | 7-19-2023 | 2,000,000 | 1,996,508 | |
Westpac Banking Corporation (U.S. SOFR +0.30%) ± | 2.58 | 11-18-2024 | 2,000,000 | 1,980,660 | |
52,831,282 | |||||
Capital markets: 2.92% | |||||
Deutsche Bank AG | 0.96 | 11-8-2023 | 1,000,000 | 960,334 | |
Deutsche Bank AG (U.S. SOFR +0.50%) ± | 2.78 | 11-8-2023 | 3,500,000 | 3,474,590 | |
UBS AG 144A | 0.38 | 6-1-2023 | 1,000,000 | 975,081 | |
UBS AG (U.S. SOFR +0.45%) 144A± | 2.73 | 8-9-2024 | 3,000,000 | 2,980,008 | |
8,390,013 | |||||
Diversified financial services: 0.70% | |||||
Federation des caisses Desjardins (U.S. SOFR +0.43%) 144A± | 2.71 | 5-21-2024 | 2,050,000 | 2,023,422 | |
Industrials: 0.51% | |||||
Electrical equipment: 0.51% | |||||
Siemens Financieringsmaatschappij NV 144A | 0.40 | 3-11-2023 | 1,500,000 | 1,476,942 | |
Total Yankee corporate bonds and notes (Cost $70,861,460) | 70,327,128 | ||||
Short-term investments: 2.09% | |||||
Commercial paper: 1.87% | |||||
Dollar General Corporation ☼ | 0.00 | 9-1-2022 | 5,400,000 | 5,399,617 |
Yield | Shares | ||||
Investment companies: 0.22% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09 | 637,978 | 637,978 | ||
Total Short-term investments (Cost $6,037,978) | 6,037,595 | ||||
Total investments in securities (Cost $295,385,126) | 101.46% | 292,230,349 | |||
Other assets and liabilities, net | (1.46) | (4,209,267) | |||
Total net assets | 100.00% | $288,021,082 |
±± | 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. |
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. |
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. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
GNMA | Government National Mortgage Association |
GO | General obligation |
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 | $227,318,584 | $(227,389,125) | $0 | $0 | $ 637,978 | 637,978 | $ 5,022 | ||
Investments in affiliates no longer held at end of period | ||||||||||
Securities Lending Cash Investments LLC | 103,500 | 928,250 | (1,031,750) | 0 | 0 | 0 | 0 | 67 # | ||
$0 | $0 | $637,978 | $5,089 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities, at value (cost $294,747,148) | $ 291,592,371 |
Investments in affiliated securities, at value (cost $637,978) | 637,978 |
Cash | 14,387 |
Receivable for interest | 1,446,168 |
Receivable for Fund shares sold | 112 |
Prepaid expenses and other assets | 43,043 |
Total assets | 293,734,059 |
Liabilities | |
Payable for investments purchased | 3,990,445 |
Payable for when-issued transactions | 1,379,476 |
Dividends payable | 218,174 |
Payable for Fund shares redeemed | 70,827 |
Management fee payable | 25,567 |
Administration fees payable | 19,148 |
Accrued expenses and other liabilities | 9,340 |
Total liabilities | 5,712,977 |
Total net assets | $288,021,082 |
Net assets consist of | |
Paid-in capital | $ 295,265,808 |
Total distributable loss | (7,244,726) |
Total net assets | $288,021,082 |
Computation of net asset value per share | |
Net assets – Class A2 | $ 215,993 |
Shares outstanding – Class A21 | 21,881 |
Net asset value per share – Class A2 | $9.87 |
Net assets – Institutional Class | $ 287,805,089 |
Shares outstanding – Institutional Class1 | 29,168,537 |
Net asset value per share – Institutional Class | $9.87 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest | $ 3,505,135 |
Income from affiliated securities | 6,196 |
Total investment income | 3,511,331 |
Expenses | |
Management fee | 826,092 |
Administration fees | |
Class A2 | 335 |
Institutional Class | 264,182 |
Shareholder servicing fees | |
Class A2 | 433 |
Custody and accounting fees | 23,549 |
Professional fees | 71,031 |
Registration fees | 36,814 |
Shareholder report expenses | 28,116 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 8,977 |
Total expenses | 1,279,922 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (453,228) |
Class A2 | (220) |
Net expenses | 826,474 |
Net investment income | 2,684,857 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (1,298,652) |
Net change in unrealized gains (losses) on investments | (4,047,704) |
Net realized and unrealized gains (losses) on investments | (5,346,356) |
Net decrease in net assets resulting from operations | $(2,661,499) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 2,684,857 | $ 2,658,894 | ||
Net realized gains (losses) on investments | (1,298,652) | 175,508 | ||
Net change in unrealized gains (losses) on investments | (4,047,704) | (1,147,268) | ||
Net increase (decrease) in net assets resulting from operations | (2,661,499) | 1,687,134 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A2 | (1,263) | (591) | ||
Institutional Class | (2,494,224) | (2,697,958) | ||
Tax basis return of capital | ||||
Class A2 | 0 | (57) | ||
Institutional Class | 0 | (147,279) | ||
Total distributions to shareholders | (2,495,487) | (2,845,885) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A2 | 6,012 | 60,186 | 22,773 | 228,637 |
Institutional Class | 13,115,815 | 130,901,840 | 37,823,593 | 379,633,192 |
130,962,026 | 379,861,829 | |||
Reinvestment of distributions | ||||
Class A2 | 127 | 1,257 | 53 | 528 |
Institutional Class | 153,634 | 1,523,254 | 211,441 | 2,121,809 |
1,524,511 | 2,122,337 | |||
Payment for shares redeemed | ||||
Class A2 | (1,498) | (14,987) | (12,656) | (126,965) |
Institutional Class | (21,174,036) | (211,050,695) | (39,195,871) | (393,264,805) |
(211,065,682) | (393,391,770) | |||
Net decrease in net assets resulting from capital share transactions | (78,579,145) | (11,407,604) | ||
Total decrease in net assets | (83,736,131) | (12,566,355) | ||
Net assets | ||||
Beginning of period | 371,757,213 | 384,323,568 | ||
End of period | $ 288,021,082 | $ 371,757,213 |
Year ended August 31 | |||
Class A2 | 2022 | 2021 | 2020 1 |
Net asset value, beginning of period | $10.02 | $10.05 | $10.02 |
Net investment income | 0.07 | 0.04 | 0.02 |
Net realized and unrealized gains (losses) on investments | (0.16) | (0.03) | 0.03 |
Total from investment operations | (0.09) | 0.01 | 0.05 |
Distributions to shareholders from | |||
Net investment income | (0.06) | (0.04) | (0.02) |
Tax basis return of capital | 0.00 | (0.00) 2 | 0.00 |
Total distributions to shareholders | (0.06) | (0.04) | (0.02) |
Net asset value, end of period | $9.87 | $10.02 | $10.05 |
Total return3 | (0.92)% | 0.11% | 0.53% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.68% | 0.70% | 0.70% |
Net expenses | 0.43% | 0.49% | 0.50% |
Net investment income | 0.70% | 0.35% | 0.78% |
Supplemental data | |||
Portfolio turnover rate | 112% | 111% | 102% |
Net assets, end of period (000s omitted) | $216 | $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 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $10.02 | $10.05 | $10.00 | $9.99 | $10.01 |
Net investment income | 0.09 | 0.06 | 0.17 | 0.26 | 0.18 |
Net realized and unrealized gains (losses) on investments | (0.16) | (0.02) | 0.06 | 0.01 | (0.02) |
Total from investment operations | (0.07) | 0.04 | 0.23 | 0.27 | 0.16 |
Distributions to shareholders from | |||||
Net investment income | (0.08) | (0.07) | (0.18) | (0.26) | (0.18) |
Tax basis return of capital | 0.00 | (0.00) 1 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.08) | (0.07) | (0.18) | (0.26) | (0.18) |
Net asset value, end of period | $9.87 | $10.02 | $10.05 | $10.00 | $9.99 |
Total return | (0.69)% | 0.35% | 2.30% | 2.71% | 1.65% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.39% | 0.37% | 0.38% | 0.37% | 0.37% |
Net expenses | 0.25% | 0.26% | 0.27% | 0.27% | 0.27% |
Net investment income | 0.81% | 0.61% | 1.74% | 2.54% | 1.79% |
Supplemental data | |||||
Portfolio turnover rate | 112% | 111% | 102% | 171% | 197% |
Net assets, end of period (000s omitted) | $287,805 | $371,584 | $384,253 | $332,551 | $400,002 |
1 | Amount is less than $0.005. |
Gross unrealized gains | $ 2,731 |
Gross unrealized losses | (3,157,509) |
Net unrealized losses | $(3,154,778) |
■ | 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 | $ 2,179,830 | $0 | $ 2,179,830 |
Asset-backed securities | 0 | 70,976,652 | 0 | 70,976,652 |
Corporate bonds and notes | 0 | 127,729,034 | 0 | 127,729,034 |
Municipal obligations | 0 | 14,980,110 | 0 | 14,980,110 |
Yankee corporate bonds and notes | 0 | 70,327,128 | 0 | 70,327,128 |
Short-term investments | ||||
Commercial paper | 0 | 5,399,617 | 0 | 5,399,617 |
Investment companies | 637,978 | 0 | 0 | 637,978 |
Total assets | $637,978 | $291,592,371 | $0 | $292,230,349 |
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 | 0.40% |
Institutional Class | 0.25 |
Year ended August 31 | ||
2022 | 2021 | |
Ordinary income | $ 2,495,487 | $ 2,698,549 |
Tax basis return of capital | 0 | 147,336 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$370,843 | $(3,154,778) | $(4,242,617) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616img9021b2eb6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g396616imge3cb8c0e1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396616imgfca25e3a7.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A265/AR265 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877img331101261.jpg)
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877img29f826202.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877img6839f1c73.jpg)
President
Allspring Funds
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 August 31, 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 | -16.18 | 0.43 | 1.82 | -12.21 | 1.36 | 2.29 | 0.86 | 0.69 | ||
Class C (WFIPX) | 7-13-1998 | -13.89 | 0.60 | 1.68 | -12.89 | 0.60 | 1.68 | 1.61 | 1.44 | ||
Class R6 (STYJX)3 | 10-31-2016 | – | – | – | -11.95 | 1.71 | 2.63 | 0.48 | 0.31 | ||
Administrator Class (WIPDX) | 7-30-2010 | – | – | – | -12.18 | 1.44 | 2.40 | 0.80 | 0.61 | ||
Institutional Class (WIPIX) | 7-18-2008 | – | – | – | -11.92 | 1.68 | 2.60 | 0.53 | 0.36 | ||
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | -11.52 | 0.52 | 1.35 | – | – |
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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877imgf51260b54.gif)
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
■ | The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund’s allocations to out-of-benchmark “plus” sectors detracted from performance though individual sector exposures produced mixed results. Out-of-benchmark sector allocations, especially European credit and emerging market debt, detracted from performance while allocations to U.S. high-yield bonds and floating-rate loans contributed. |
■ | An overweight to U.S. securitized credit contributed to performance while an overweight to corporates and an underweight to U.S. Treasury debt detracted. |
■ | The Fund’s strategic short duration position for most of the period, backed by an expectation that interest rates would rise as growth and inflation came in hotter than expectations, contributed to performance along with tactical interest rate exposure adjustments. The Fund has been biased toward flattening curve posture, which also contributed to performance. |
Ten largest holdings (%) as of August 31, 20221 | |
U.S. Treasury Note, 3.25%, 8-31-2024 | 5.01 |
U.S. Treasury Note, 3.00%, 7-31-2024 | 3.88 |
U.S. Treasury Note, 2.75%, 4-30-2027 | 2.96 |
U.S. Treasury Note, 2.88%, 5-15-2032 | 2.61 |
FNMA, 2.00%, 10-1-2051 | 2.28 |
FNMA, 4.50%, 9-14-2052 | 1.72 |
U.S. Treasury Note, 2.75%, 8-15-2032 | 1.70 |
U.S. Treasury Note, 2.50%, 4-30-2024 | 1.67 |
FNMA , 3.00%, 11-1-2051 | 1.53 |
U.S. Treasury Bond, 2.38%, 5-15-2051 | 1.42 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877imgab8416c05.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 914.39 | $3.23 | 0.67% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.83 | $3.41 | 0.67% |
Class C | ||||
Actual | $1,000.00 | $ 910.75 | $6.89 | 1.43% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.00 | $7.27 | 1.43% |
Class R6 | ||||
Actual | $1,000.00 | $ 915.44 | $1.45 | 0.30% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.69 | $1.53 | 0.30% |
Administrator Class | ||||
Actual | $1,000.00 | $ 914.48 | $2.90 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 915.93 | $1.69 | 0.35% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.44 | $1.79 | 0.35% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 20.28% | ||||||
FHLB | 3.00% | 9-1-2034 | $ | 370,882 | $ 360,172 | |
FHLB | 5.50 | 7-15-2036 | 9,750,000 | 11,633,833 | ||
FHLMC (12 Month LIBOR +1.33%) ± | 1.61 | 1-1-2036 | 5,530 | 5,527 | ||
FHLMC | 2.50 | 11-1-2051 | 11,569,057 | 10,386,002 | ||
FHLMC | 3.00 | 6-1-2050 | 679,973 | 637,026 | ||
FHLMC | 3.00 | 7-1-2050 | 1,778,539 | 1,666,210 | ||
FHLMC | 3.00 | 8-1-2050 | 863,455 | 808,913 | ||
FHLMC | 3.00 | 8-1-2050 | 1,684,025 | 1,569,486 | ||
FHLMC | 3.50 | 12-1-2045 | 841,070 | 815,254 | ||
FHLMC | 3.50 | 12-1-2045 | 355,315 | 344,426 | ||
FHLMC | 4.00 | 6-1-2044 | 678,925 | 678,056 | ||
FHLMC | 4.00 | 5-1-2049 | 1,180,676 | 1,170,060 | ||
FHLMC | 5.00 | 6-1-2036 | 94,526 | 98,714 | ||
FHLMC | 5.00 | 8-1-2040 | 96,881 | 101,216 | ||
FHLMC | 5.50 | 8-1-2038 | 23,770 | 25,224 | ||
FHLMC | 5.50 | 12-1-2038 | 191,662 | 203,384 | ||
FHLMC | 5.50 | 6-1-2040 | 376,562 | 394,836 | ||
FHLMC | 8.00 | 2-1-2030 | 90 | 94 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 123,062 | 117,692 | ||
FHLMC Series T-42 Class A5 | 7.50 | 2-25-2042 | 962,486 | 1,062,888 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.58 | 7-25-2043 | 29,896 | 28,997 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.43 | 10-25-2043 | 139,290 | 115,074 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 14,105,000 | 7,562,016 | ||
FNMA (12 Month LIBOR +1.73%) ± | 1.98 | 9-1-2036 | 6,060 | 6,187 | ||
FNMA | 2.00 | 5-1-2051 | 31,913,920 | 27,523,653 | ||
FNMA | 2.00 | 8-1-2051 | 12,556,032 | 10,811,985 | ||
FNMA | 2.00 | 10-1-2051 | 66,904,141 | 57,621,546 | ||
FNMA | 2.00 | 12-1-2051 | 11,219,338 | 9,656,252 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.39 | 3-1-2046 | 412,969 | 419,513 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.48 | 5-1-2046 | 217,548 | 220,366 | ||
FNMA %% | 2.50 | 9-14-2052 | 27,575,000 | 24,619,305 | ||
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.90 | 11-1-2038 | 13,131 | 13,501 | ||
FNMA | 3.00 | 11-1-2045 | 580,617 | 549,172 | ||
FNMA | 3.00 | 12-1-2045 | 1,525,492 | 1,442,817 | ||
FNMA | 3.00 | 12-1-2046 | 770,253 | 729,587 | ||
FNMA | 3.00 | 8-1-2050 | 1,867,112 | 1,736,752 | ||
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 3.06 | 8-1-2036 | 299,439 | 307,814 | ||
FNMA | 3.48 | 3-1-2029 | 947,772 | 930,631 | ||
FNMA %% | 3.50 | 9-19-2037 | 18,800,000 | 18,461,505 | ||
FNMA | 3.50 | 10-1-2043 | 519,101 | 505,258 | ||
FNMA | 3.50 | 4-1-2045 | 85,173 | 82,627 | ||
FNMA | 3.50 | 8-1-2045 | 1,305,965 | 1,264,835 | ||
FNMA | 3.50 | 3-1-2048 | 2,772,130 | 2,679,232 | ||
FNMA | 3.62 | 3-1-2029 | 440,560 | 435,936 | ||
FNMA | 3.63 | 3-1-2029 | 1,203,309 | 1,191,361 | ||
FNMA | 3.77 | 3-1-2029 | 952,988 | 950,818 | ||
FNMA | 3.77 | 3-1-2029 | 1,034,538 | 1,032,145 | ||
FNMA %% | 4.00 | 9-19-2037 | 21,865,000 | 21,788,690 | ||
FNMA | 4.00 | 2-1-2046 | 186,070 | 185,060 | ||
FNMA | 4.00 | 4-1-2046 | 823,248 | 817,888 | ||
FNMA | 4.00 | 6-1-2048 | 937,445 | 932,071 | ||
FNMA | 4.00 | 2-1-2050 | 1,306,626 | 1,287,414 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA %% | 4.00% | 9-14-2052 | $ | 11,635,000 | $ 11,355,942 | |
FNMA (12 Month LIBOR +1.78%) ± | 4.03 | 8-1-2036 | 17,570 | 18,191 | ||
FNMA | 4.50 | 11-1-2048 | 938,996 | 942,442 | ||
FNMA %% | 4.50 | 9-14-2052 | 43,685,000 | 43,418,795 | ||
FNMA | 5.00 | 1-1-2024 | 5,274 | 5,396 | ||
FNMA | 5.00 | 2-1-2036 | 11,078 | 11,559 | ||
FNMA | 5.00 | 6-1-2040 | 29,206 | 30,481 | ||
FNMA | 5.00 | 8-1-2040 | 618,816 | 635,159 | ||
FNMA %% | 5.00 | 9-15-2052 | 12,305,000 | 12,417,480 | ||
FNMA | 5.50 | 11-1-2023 | 3,926 | 3,936 | ||
FNMA | 5.50 | 8-1-2034 | 42,037 | 44,447 | ||
FNMA | 5.50 | 2-1-2035 | 12,626 | 13,362 | ||
FNMA | 5.50 | 8-1-2038 | 86,787 | 88,837 | ||
FNMA | 5.50 | 8-1-2038 | 165,101 | 169,001 | ||
FNMA | 6.00 | 10-1-2037 | 244,426 | 263,354 | ||
FNMA | 6.00 | 11-1-2037 | 16,012 | 17,252 | ||
FNMA | 6.50 | 7-1-2036 | 11,114 | 11,815 | ||
FNMA | 6.50 | 7-1-2036 | 2,940 | 3,086 | ||
FNMA | 6.50 | 11-1-2036 | 2,073 | 2,159 | ||
FNMA | 7.00 | 12-1-2022 | 70 | 70 | ||
FNMA | 7.00 | 7-1-2036 | 5,140 | 5,177 | ||
FNMA | 7.00 | 11-1-2037 | 2,864 | 3,004 | ||
FNMA | 2.50 | 1-1-2052 | 11,590,060 | 10,361,896 | ||
FNMA | 3.00 | 10-1-2051 | 27,487,686 | 25,546,871 | ||
FNMA | 3.00 | 11-1-2051 | 41,849,479 | 38,848,033 | ||
FNMA | 3.50 | 5-1-2052 | 11,681,140 | 11,140,578 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 4,142 | 4,487 | ||
FNMA Series 2003-W08 Class 4A ±± | 3.78 | 11-25-2042 | 77,202 | 73,956 | ||
FNMA Series 2003-W14 Class 2A ±± | 2.75 | 6-25-2045 | 43,749 | 43,188 | ||
FNMA Series 2003-W14 Class 2A ±± | 3.84 | 1-25-2043 | 123,191 | 118,829 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 724,673 | 749,685 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 285,558 | 308,385 | ||
GNMA %% | 2.00 | 9-21-2052 | 18,340,000 | 16,194,721 | ||
GNMA | 2.50 | 3-20-2052 | 17,074,561 | 15,593,340 | ||
GNMA | 2.50 | 4-20-2052 | 23,129,204 | 21,103,297 | ||
GNMA | 3.00 | 11-20-2045 | 1,230,715 | 1,174,959 | ||
GNMA | 3.00 | 4-20-2051 | 5,632,834 | 5,308,677 | ||
GNMA | 3.50 | 9-20-2047 | 705,539 | 691,648 | ||
GNMA | 3.50 | 12-20-2047 | 1,520,354 | 1,482,872 | ||
GNMA | 4.00 | 12-20-2047 | 818,067 | 816,034 | ||
GNMA | 4.50 | 8-20-2049 | 280,873 | 282,113 | ||
GNMA %% | 4.50 | 9-21-2052 | 12,400,000 | 12,401,934 | ||
GNMA | 5.00 | 7-20-2040 | 221,473 | 230,486 | ||
GNMA %% | 5.00 | 9-21-2052 | 9,810,000 | 9,939,521 | ||
GNMA | 7.50 | 12-15-2029 | 334 | 340 | ||
GNMA Series 2008-22 Class XM ♀±± | 1.26 | 2-16-2050 | 495,016 | 10,979 | ||
STRIPS ¤ | 0.00 | 7-15-2037 | 1,690,000 | 956,557 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 27,955,000 | 14,990,812 | ||
STRIPS ¤ | 0.00 | 5-15-2044 | 9,270,000 | 4,109,684 | ||
TVA | 5.88 | 4-1-2036 | 9,420,000 | 11,225,323 | ||
TVA Principal STRIPS ¤ | 0.00 | 4-1-2056 | 42,270,000 | 9,279,539 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 3,090,000 | 3,045,154 | ||
Total Agency securities (Cost $542,498,528) | 513,483,864 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities: 6.83% | ||||||
ACM Auto Trust Series 2022-1A Class A 144A | 3.23% | 4-20-2029 | $ | 4,595,974 | $ 4,581,433 | |
ACM Auto Trust Series 2022-1A Class C 144A | 5.48 | 4-20-2029 | 7,315,000 | 7,235,912 | ||
Affirm Asset Securitization Trust 2021-A Class C 144A | 1.66 | 8-15-2025 | 800,000 | 773,086 | ||
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 7,167,615 | 7,102,835 | ||
Arbys Funding LLC Series 2020-1A Class A2 144A | 3.24 | 7-30-2050 | 6,566,000 | 5,782,046 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 8,700,000 | 8,021,583 | ||
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 3,955,000 | 3,465,498 | ||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 12,252,500 | 11,879,693 | ||
ECMC Group Student Loan Trust Series 2020-3A Class A1B (1 Month LIBOR +1.00%) 144A± | 3.44 | 1-27-2070 | 3,508,104 | 3,428,344 | ||
Five Guys Funding LLC Series 17-1A Class A2 144A | 4.60 | 7-25-2047 | 1,593,900 | 1,521,947 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 1,733,446 | 1,714,111 | ||
GLS Auto Receivables Trust Series 2A Class B 144A | 3.16 | 6-16-2025 | 5,371,431 | 5,351,092 | ||
Hertz Vehicle Financing LLC Series 1A Class B 144A | 1.56 | 12-26-2025 | 4,700,000 | 4,352,512 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 4,100,000 | 3,958,045 | ||
Neighborly Issuer LLC Series 2021-1 144A | 3.58 | 4-30-2051 | 7,900,000 | 6,819,588 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 4,600,000 | 4,206,693 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 1,785,059 | 1,764,002 | ||
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 545,967 | 528,968 | ||
Octane Receivables Trust Series 2021-1A Class B 144A | 1.53 | 4-20-2027 | 3,000,000 | 2,742,263 | ||
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 8,500,000 | 7,944,004 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 4,345,665 | 4,249,425 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 9,121,857 | 8,636,896 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 7,290,000 | 6,856,432 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class C | 1.46 | 9-15-2025 | 4,549,735 | 4,526,635 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 15,941,000 | 15,655,611 | ||
Santander Retail Auto Lease Trust Series 2020-A Class A3 144A | 1.74 | 7-20-2023 | 812,152 | 811,559 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 7,669,314 | 7,052,786 | ||
ServiceMaster Brands Series 2020-1 Class A2I 144A | 2.84 | 1-30-2051 | 3,644,500 | 2,997,149 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 2.50 | 12-17-2068 | 4,862,392 | 4,683,661 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
SLM Student Loan Trust Series 2004-1 Class A4 (3 Month LIBOR +0.26%) ± | 3.04% | 10-27-2025 | $ | 95,279 | $ 95,140 | |
South Carolina Student Loan Corporation Series 2014-1 Class A1 (1 Month LIBOR +0.75%) ± | 3.12 | 5-1-2030 | 508,922 | 507,785 | ||
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 3,195,031 | 2,949,935 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 10,867,875 | 9,440,966 | ||
Taco Bell Funding LLC Series 2021-1A Class A23 144A | 2.54 | 8-25-2051 | 496,250 | 390,161 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 3.04 | 1-25-2046 | 793,837 | 789,226 | ||
Wendy's Funding LLC Series 2021-1A Class A2II 144A | 2.78 | 6-15-2051 | 544,500 | 444,523 | ||
Westlake Automobile Receivable Series 2020-1A Class C 144A | 2.52 | 4-15-2025 | 2,374,044 | 2,364,769 | ||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84 | 12-5-2050 | 3,620,805 | 3,088,174 | ||
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 4,870,800 | 4,133,570 | ||
Total Asset-backed securities (Cost $185,063,081) | 172,848,058 | |||||
Corporate bonds and notes: 18.94% | ||||||
Communication services: 1.17% | ||||||
Diversified telecommunication services: 0.21% | ||||||
AT&T Incorporated | 3.55 | 9-15-2055 | 7,330,000 | 5,366,963 | ||
Media: 0.62% | ||||||
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 5,000,000 | 3,806,800 | ||
Charter Communications Operating LLC | 4.40 | 12-1-2061 | 6,000,000 | 4,219,758 | ||
Charter Communications Operating LLC | 6.48 | 10-23-2045 | 655,000 | 625,221 | ||
Charter Communications Operating LLC | 3.50 | 3-1-2042 | 2,900,000 | 2,003,177 | ||
Magallanes Incorporated 144A | 5.14 | 3-15-2052 | 5,135,000 | 4,110,037 | ||
QVC Incorporated | 4.38 | 9-1-2028 | 1,175,000 | 891,725 | ||
15,656,718 | ||||||
Wireless telecommunication services: 0.34% | ||||||
SBA Tower Trust 144A | 1.63 | 5-15-2051 | 6,595,000 | 5,802,174 | ||
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 2,701,875 | 2,711,731 | ||
8,513,905 | ||||||
Consumer discretionary: 0.96% | ||||||
Automobiles: 0.25% | ||||||
Ford Motor Company | 3.25 | 2-12-2032 | 7,000,000 | 5,467,630 | ||
General Motors Company | 5.95 | 4-1-2049 | 985,000 | 914,593 | ||
6,382,223 | ||||||
Diversified consumer services: 0.09% | ||||||
Howard University | 5.21 | 10-1-2052 | 2,565,000 | 2,361,238 |
Interest rate | Maturity date | Principal | Value | |||
Hotels, restaurants & leisure: 0.20% | ||||||
Genting New York LLC 144A | 3.30% | 2-15-2026 | $ | 3,920,000 | $ 3,474,743 | |
International Game Technology 144A | 3.50 | 6-15-2026 | 1,500,000 | 1,418,777 | ||
4,893,520 | ||||||
Household durables: 0.16% | ||||||
KB Home Company | 4.00 | 6-15-2031 | 3,000,000 | 2,366,445 | ||
KB Home Company | 4.80 | 11-15-2029 | 2,000,000 | 1,724,010 | ||
4,090,455 | ||||||
Textiles, apparel & luxury goods: 0.26% | ||||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 6,753,000 | 6,617,940 | ||
Consumer staples: 0.49% | ||||||
Beverages: 0.15% | ||||||
Anheuser-Busch InBev Worldwide Incorporated | 4.60 | 4-15-2048 | 1,810,000 | 1,641,565 | ||
Anheuser-Busch InBev Worldwide Incorporated | 4.70 | 2-1-2036 | 2,225,000 | 2,152,660 | ||
3,794,225 | ||||||
Food products: 0.25% | ||||||
Smithfield Foods Incorporated 144A | 2.63 | 9-13-2031 | 8,000,000 | 6,181,070 | ||
Tobacco: 0.09% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | 2,000,000 | 1,907,894 | ||
Reynolds American Incorporated | 7.00 | 8-4-2041 | 450,000 | 453,950 | ||
2,361,844 | ||||||
Energy: 1.67% | ||||||
Energy equipment & services: 0.02% | ||||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 630,000 | 587,739 | ||
Oil, gas & consumable fuels: 1.65% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 3,000,000 | 2,998,740 | ||
Buckeye Partners LP | 4.13 | 12-1-2027 | 1,300,000 | 1,149,210 | ||
Crestwood Midstream Partners LP 144A | 5.63 | 5-1-2027 | 2,300,000 | 2,144,750 | ||
Devon Energy Corporation | 5.25 | 10-15-2027 | 4,482,000 | 4,543,702 | ||
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 2,000,000 | 1,904,097 | ||
EnLink Midstream Partners LP | 5.45 | 6-1-2047 | 1,385,000 | 1,057,794 | ||
EnLink Midstream Partners LP 144A | 5.63 | 1-15-2028 | 145,000 | 139,294 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 2,275,000 | 2,152,464 | ||
MPLX LP | 4.95 | 9-1-2032 | 4,255,000 | 4,122,569 | ||
Occidental Petroleum Corporation | 4.30 | 8-15-2039 | 3,000,000 | 2,588,373 | ||
Occidental Petroleum Corporation | 8.88 | 7-15-2030 | 4,100,000 | 4,789,620 | ||
Plains All American Pipeline LP | 3.55 | 12-15-2029 | 3,420,000 | 2,993,322 | ||
Plains All American Pipeline LP | 3.80 | 9-15-2030 | 3,215,000 | 2,851,804 | ||
Rockies Express Pipeline LLC 144A | 4.95 | 7-15-2029 | 1,975,000 | 1,781,390 | ||
Rockies Express Pipeline LLC 144A | 6.88 | 4-15-2040 | 1,000,000 | 832,310 | ||
Southwestern Energy Company | 7.75 | 10-1-2027 | 1,250,000 | 1,295,313 | ||
Western Midstream Operating LP | 5.30 | 3-1-2048 | 5,000,000 | 4,396,400 | ||
41,741,152 |
Interest rate | Maturity date | Principal | Value | |||
Financials: 7.74% | ||||||
Banks: 2.22% | ||||||
Bank of America Corporation (3 Month LIBOR +0.64%) ± | 2.02% | 2-13-2026 | $ | 5,000,000 | $ 4,688,508 | |
Bank of America Corporation (U.S. SOFR +1.22%) ± | 2.65 | 3-11-2032 | 7,655,000 | 6,346,625 | ||
Bank of America Corporation (3 Month LIBOR +1.58%) ± | 3.82 | 1-20-2028 | 6,000,000 | 5,743,389 | ||
Bank of America Corporation (3 Month LIBOR +3.90%) ± | 6.10 | 12-29-2049 | 2,590,000 | 2,565,714 | ||
Bank of America Corporation (5 Year Treasury Constant Maturity +2.76%) ʊ± | 4.38 | 1-27-2027 | 2,500,000 | 2,142,675 | ||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 5,000,000 | 4,387,500 | ||
Citigroup Incorporated (U.S. SOFR +2.09%) ± | 4.91 | 5-24-2033 | 6,265,000 | 6,128,563 | ||
Citigroup Incorporated (3 Month LIBOR +4.52%) ± | 6.25 | 12-29-2049 | 1,030,000 | 1,022,224 | ||
JP Morgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 3,165,000 | 2,786,799 | ||
JP Morgan Chase & Company (U.S. SOFR +1.75%) ± | 4.57 | 6-14-2030 | 4,040,000 | 3,918,934 | ||
JPMorgan Chase & Company (U.S. SOFR +1.02%) ± | 2.07 | 6-1-2029 | 7,000,000 | 5,981,619 | ||
JPMorgan Chase & Company (5 Year Treasury Constant Maturity +2.85%) ʊ± | 3.65 | 6-1-2026 | 4,000,000 | 3,470,000 | ||
JPMorgan Chase & Company (3 Month LIBOR +3.25%) ± | 5.15 | 12-29-2049 | 3,625,000 | 3,441,965 | ||
PNC Financial Services (3 Month LIBOR +3.30%) ± | 5.00 | 12-29-2049 | 565,000 | 517,220 | ||
PNC Financial Services (5 Year Treasury Constant Maturity +3.00%) ʊ± | 6.00 | 5-15-2027 | 1,850,000 | 1,799,125 | ||
Truist Financial Corporation (5 Year Treasury Constant Maturity +4.61%) ʊ± | 4.95 | 9-1-2025 | 1,200,000 | 1,183,500 | ||
56,124,360 | ||||||
Capital markets: 1.70% | ||||||
Ares Capital Corporation | 2.88 | 6-15-2028 | 1,980,000 | 1,644,643 | ||
Athene Global Funding 144A | 1.99 | 8-19-2028 | 2,860,000 | 2,372,033 | ||
BAT Capital Corporation | 5.65 | 3-16-2052 | 2,845,000 | 2,413,172 | ||
Berkshire Hathaway Finance Company | 3.85 | 3-15-2052 | 7,850,000 | 6,772,408 | ||
Blackstone Holdings Finance Company LLC 144A | 3.20 | 1-30-2052 | 5,700,000 | 4,121,208 | ||
Blackstone Holdings Finance Company LLC 144A | 5.00 | 6-15-2044 | 1,015,000 | 972,451 | ||
Charles Schwab Corporation (5 Year Treasury Constant Maturity +4.97%) ʊ± | 5.38 | 6-1-2025 | 3,905,000 | 3,880,594 | ||
Charles Schwab Corporation (5 Year Treasury Constant Maturity +3.17%) ʊ± | 4.00 | 6-1-2026 | 4,000,000 | 3,440,000 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +1.25%) ± | 2.38 | 7-21-2032 | 5,535,000 | 4,480,468 | ||
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 4,850,000 | 3,971,615 | ||
Morgan Stanley (U.S. SOFR +2.62%) ± | 5.30 | 4-20-2037 | 3,850,000 | 3,680,740 | ||
Sammons Financial Group 144A | 4.75 | 4-8-2032 | 6,000,000 | 5,268,850 | ||
43,018,182 | ||||||
Consumer finance: 1.59% | ||||||
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 9,000,000 | 8,541,806 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance (continued) | ||||||
Hyundai Capital America Company 144A | 1.30% | 1-8-2026 | $ | 4,205,000 | $ 3,721,683 | |
Private Export Funding Corporation 144A | 0.55 | 7-30-2024 | 29,766,000 | 28,080,149 | ||
40,343,638 | ||||||
Diversified financial services: 0.28% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 4,940,000 | 4,387,767 | ||
Jackson Financial Incorporated 144A | 4.00 | 11-23-2051 | 1,680,000 | 1,155,698 | ||
KKR Group Finance Company LLC 144A | 3.50 | 8-25-2050 | 1,910,000 | 1,443,734 | ||
6,987,199 | ||||||
Insurance: 1.75% | ||||||
Athene Global Funding 144A | 2.55 | 11-19-2030 | 3,000,000 | 2,395,239 | ||
Athene Global Funding 144A | 2.95 | 11-12-2026 | 3,550,000 | 3,223,309 | ||
Guardian Life Insurance Company 144A | 4.85 | 1-24-2077 | 1,045,000 | 944,932 | ||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 6,955,000 | 5,049,700 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 4,000,000 | 3,042,203 | ||
Metlife Incorporated (5 Year Treasury Constant Maturity +3.58%) ʊ± | 3.85 | 9-15-2025 | 7,000,000 | 6,502,315 | ||
MetLife Incorporated | 5.00 | 7-15-2052 | 3,430,000 | 3,470,587 | ||
Minnesota Life Insurance Company 144A« | 8.25 | 9-15-2025 | 6,790,000 | 7,406,971 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 1,668,000 | 1,505,461 | ||
Northwestern Mutual Life 144A | 3.63 | 9-30-2059 | 1,500,000 | 1,145,196 | ||
OneAmerica Financial Partners Incorporated 144A | 4.25 | 10-15-2050 | 570,000 | 455,195 | ||
Prudential Financial Incorporated (5 Year Treasury Constant Maturity +3.16%) ± | 5.13 | 3-1-2052 | 3,600,000 | 3,343,754 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 3,000,000 | 2,819,914 | ||
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 2,329,000 | 2,944,806 | ||
44,249,582 | ||||||
Thrifts & mortgage finance: 0.20% | ||||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 3,600,000 | 3,438,000 | ||
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 1,820,000 | 1,770,423 | ||
5,208,423 | ||||||
Health care: 0.05% | ||||||
Health care providers & services: 0.05% | ||||||
CommonSpirit Health | 2.95 | 11-1-2022 | 1,250,000 | 1,249,139 | ||
Industrials: 1.91% | ||||||
Aerospace & defense: 0.24% | ||||||
BAE Systmes Holdings Incorporated 144A | 4.75 | 10-7-2044 | 1,710,000 | 1,560,835 | ||
The Boeing Company | 5.81 | 5-1-2050 | 4,820,000 | 4,622,999 | ||
6,183,834 | ||||||
Airlines: 0.79% | ||||||
Delta Air Lines Incorporated | 2.00 | 12-10-2029 | 3,279,535 | 2,843,653 | ||
Delta Air Lines Incorporated 144A | 4.75 | 10-20-2028 | 1,850,000 | 1,767,371 | ||
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 4,623,645 | 4,490,601 |
Interest rate | Maturity date | Principal | Value | |||
Airlines (continued) | ||||||
Jetblue Airways Corporation | 4.00% | 5-15-2034 | $ | 1,803,689 | $ 1,638,129 | |
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 9,125,000 | 9,147,813 | ||
19,887,567 | ||||||
Commercial services & supplies: 0.35% | ||||||
Ashtead Capital Incorporated 144A | 5.50 | 8-11-2032 | 3,990,000 | 3,914,884 | ||
CoreCivic Incorporated | 8.25 | 4-15-2026 | 5,005,000 | 4,947,897 | ||
8,862,781 | ||||||
Industrial conglomerates: 0.10% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 5.16 | 12-29-2049 | 2,537,000 | 2,399,368 | ||
Machinery: 0.03% | ||||||
TK Elevator US Newco Incorporated 144A | 5.25 | 7-15-2027 | 780,000 | 709,800 | ||
Trading companies & distributors: 0.16% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 1,640,000 | 1,395,427 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 1,659,000 | 1,545,624 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 1,110,000 | 1,112,692 | ||
4,053,743 | ||||||
Transportation infrastructure: 0.24% | ||||||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2026 | 5,630,000 | 4,538,606 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2027 | 1,050,000 | 789,397 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2028 | 1,150,000 | 810,612 | ||
6,138,615 | ||||||
Information technology: 1.86% | ||||||
Communications equipment: 0.07% | ||||||
Ciena Corporation 144A | 4.00 | 1-31-2030 | 1,890,000 | 1,632,488 | ||
Electronic equipment, instruments & components: 0.01% | ||||||
Dell International LLC | 8.35 | 7-15-2046 | 291,000 | 352,106 | ||
IT services: 0.40% | �� | |||||
Fidelity National Information Services Incorporated | 5.63 | 7-15-2052 | 1,485,000 | 1,470,508 | ||
Global Payments Incorporated | 5.95 | 8-15-2052 | 2,295,000 | 2,223,852 | ||
Kyndryl Holdings Incorporated 144A | 2.05 | 10-15-2026 | 7,700,000 | 6,385,628 | ||
10,079,988 | ||||||
Semiconductors & semiconductor equipment: 0.66% | ||||||
Intel Corporation | 4.90 | 8-5-2052 | 2,990,000 | 2,917,781 | ||
KLA Corporation | 4.95 | 7-15-2052 | 3,280,000 | 3,295,545 | ||
Marvell Technology Incorporated | 4.88 | 6-22-2028 | 10,775,000 | 10,563,345 | ||
16,776,671 | ||||||
Software: 0.72% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 11,500,000 | 9,124,014 |
Interest rate | Maturity date | Principal | Value | |||
Software (continued) | ||||||
Oracle Corporation | 2.88% | 3-25-2031 | $ | 4,340,000 | $ 3,597,729 | |
Oracle Corporation | 3.95 | 3-25-2051 | 7,680,000 | 5,516,203 | ||
18,237,946 | ||||||
Materials: 0.51% | ||||||
Chemicals: 0.51% | ||||||
Celanese US Holdings LLC | 6.38 | 7-15-2032 | 10,835,000 | 10,755,996 | ||
Westlake Chemical Corporation | 1.63 | 7-17-2029 | 2,750,000 | 2,211,720 | ||
12,967,716 | ||||||
Real estate: 1.45% | ||||||
Equity REITs: 1.45% | ||||||
EPR Properties | 3.60 | 11-15-2031 | 2,060,000 | 1,616,567 | ||
EPR Properties | 3.75 | 8-15-2029 | 3,870,000 | 3,255,860 | ||
GLP Capital LP | 3.25 | 1-15-2032 | 5,000,000 | 4,047,827 | ||
National Health Investor Company | 3.00 | 2-1-2031 | 2,000,000 | 1,516,866 | ||
Omega Healthcare Investors Incorporated | 3.38 | 2-1-2031 | 2,930,000 | 2,386,635 | ||
Omega Healthcare Investors Incorporated | 3.63 | 10-1-2029 | 3,495,000 | 2,987,388 | ||
Omega Healthcare Investors Incorporated | 4.50 | 1-15-2025 | 5,823,000 | 5,770,913 | ||
Omega Healthcare Investors Incorporated | 4.75 | 1-15-2028 | 840,000 | 803,361 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 8,140,000 | 7,862,783 | ||
Service Properties Trust Company | 3.95 | 1-15-2028 | 3,000,000 | 2,233,740 | ||
Simon Property Group LP | 3.80 | 7-15-2050 | 2,880,000 | 2,338,532 | ||
WEA Finance LLC 144A | 4.75 | 9-17-2044 | 2,610,000 | 2,003,957 | ||
36,824,429 | ||||||
Utilities: 1.13% | ||||||
Electric utilities: 0.86% | ||||||
Basin Electric Power Cooperative 144A | 4.75 | 4-26-2047 | 2,315,000 | 1,966,121 | ||
NRG Energy Incorporated 144A | 4.45 | 6-15-2029 | 6,415,000 | 5,808,876 | ||
Oglethorpe Power Corporation | 5.05 | 10-1-2048 | 1,060,000 | 977,917 | ||
Southern California Edison Company | 3.65 | 2-1-2050 | 1,600,000 | 1,224,493 | ||
The Southern Company (5 Year Treasury Constant Maturity +3.73%) ± | 4.00 | 1-15-2051 | 2,665,000 | 2,467,630 | ||
Vistra Operations Company LLC 144A | 3.70 | 1-30-2027 | 10,325,000 | 9,371,260 | ||
21,816,297 | ||||||
Multi-utilities: 0.27% | ||||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 2,865,000 | 2,822,574 | ||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 2.11 | 3-2-2023 | 1,647,000 | 1,644,326 | ||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 2.93 | 5-13-2024 | 2,480,000 | 2,453,001 | ||
6,919,901 | ||||||
Total Corporate bonds and notes (Cost $534,594,361) | 479,572,765 |
Interest rate | Maturity date | Principal | Value | |||
Foreign corporate bonds and notes : 1.90% | ||||||
Communication services: 0.15% | ||||||
Media: 0.15% | ||||||
Tele Columbus AG 144A | 3.88% | 5-2-2025 | EUR | 2,320,000 | $ 1,981,762 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 2,500,000 | 1,885,458 | |
3,867,220 | ||||||
Consumer discretionary: 0.15% | ||||||
Auto components: 0.08% | ||||||
Adler Pelzer Holding GmbH 144A | 4.13 | 4-1-2024 | EUR | 2,480,000 | 2,067,095 | |
Automobiles: 0.07% | ||||||
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 1,800,000 | 1,759,491 | |
Consumer staples: 0.22% | ||||||
Food products: 0.05% | ||||||
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 1,500,000 | 1,085,723 | |
Tobacco: 0.17% | ||||||
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 5,250,000 | 4,368,150 | |
Energy: 0.11% | ||||||
Oil, gas & consumable fuels: 0.11% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 3,200,000 | 2,857,455 | |
Financials: 0.98% | ||||||
Banks: 0.79% | ||||||
ABN AMRO Bank NV (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.90%) ʊ± | 4.75 | 9-22-2027 | EUR | 3,300,000 | 2,789,868 | |
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 9,300,000 | 8,838,829 | |
Nordea Bank (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.00%) ʊ«± | 3.50 | 3-12-2025 | EUR | 9,000,000 | 8,479,269 | |
20,107,966 | ||||||
Consumer finance: 0.19% | ||||||
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 | 2,314,751 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 3,400,000 | 2,478,822 | |
4,793,573 | ||||||
Industrials: 0.24% | ||||||
Containers & packaging: 0.19% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 5,500,000 | 4,694,606 | |
Electrical equipment: 0.05% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 1,300,000 | 1,260,710 | |
Real estate: 0.05% | ||||||
Real estate management & development: 0.05% | ||||||
Akelius Residential Property AB (EURIBOR ICE Swap Rate 11:00am +3.49%) ± | 3.88 | 10-5-2078 | EUR | 1,254,000 | 1,222,402 | |
Total Foreign corporate bonds and notes (Cost $63,605,516) | 48,084,391 |
Interest rate | Maturity date | Principal | Value | |||
Foreign government bonds : 2.76% | ||||||
Brazil ¤ | 0.00% | 1-1-2024 | BRL | 57,000,000 | $ 9,308,725 | |
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 60,000,000 | 9,305,028 | |
Brazil | 10.00 | 1-1-2025 | BRL | 8,600,000 | 1,587,404 | |
Brazil | 10.00 | 1-1-2029 | BRL | 8,000,000 | 1,400,907 | |
Chile | 4.50 | 3-1-2026 | CLP | 10,440,000,000 | 10,502,379 | |
Germany | 1.70 | 8-15-2032 | EUR | 24,050,000 | 24,532,608 | |
Hungary | 1.00 | 11-26-2025 | HUF | 900,000,000 | 1,675,218 | |
Mexico | 3.75 | 2-21-2024 | EUR | 1,000,000 | 981,390 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 172,500,000 | 10,574,830 | |
Total Foreign government bonds (Cost $79,218,575) | 69,868,489 | |||||
Loans: 0.76% | ||||||
Communication services: 0.14% | ||||||
Media: 0.14% | ||||||
DIRECTV Financing LLC (1 Month LIBOR +5.00%) ± | 7.52 | 8-2-2027 | $ | 3,730,000 | 3,561,218 | |
Energy: 0.13% | ||||||
Oil, gas & consumable fuels: 0.13% | ||||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 6.75 | 9-29-2028 | 3,217,729 | 3,181,529 | ||
Financials: 0.00% | ||||||
Diversified financial services: 0.00% | ||||||
Intelsat Jackson Holdings SA (U.S. SOFR 1 Month +4.50%) <± | 7.44 | 2-1-2029 | 6 | 6 | ||
Health care: 0.02% | ||||||
Health care equipment & supplies: 0.02% | ||||||
Surgery Center Holdings Incorporated (1 Month LIBOR +3.75%) ± | 5.63 | 8-31-2026 | 448,909 | 434,961 | ||
Industrials: 0.36% | ||||||
Airlines: 0.16% | ||||||
AAdvantage Loyalty IP Limited (1 Month LIBOR +4.75%) ± | 7.46 | 4-20-2028 | 1,583,000 | 1,555,962 | ||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 7.31 | 6-21-2027 | 2,475,000 | 2,510,195 | ||
4,066,157 | ||||||
Commercial services & supplies: 0.13% | ||||||
The Geo Group Incorporated (3 Month LIBOR +2.00%) ± | 4.79 | 3-22-2024 | 3,481,627 | 3,356,289 | ||
Machinery: 0.07% | ||||||
Vertical US Newco Incorporated (6 Month LIBOR +3.50%) ± | 6.87 | 7-30-2027 | 882,522 | 855,499 | ||
Werner FinCo LP (3 Month LIBOR +4.00%) ‡± | 6.52 | 7-24-2024 | 1,017,433 | 938,582 | ||
1,794,081 |
Interest rate | Maturity date | Principal | Value | |||
Information technology: 0.07% | ||||||
Software: 0.07% | ||||||
MPH Acquisition Holdings LLC (1 Month LIBOR +4.25%) ± | 7.32% | 9-1-2028 | $ | 1,989,975 | $ 1,878,397 | |
Materials: 0.04% | ||||||
Construction materials: 0.04% | ||||||
Standard Industries Incorporated (3 Month LIBOR +2.50%) ± | 3.79 | 9-22-2028 | 882,998 | 873,223 | ||
Total Loans (Cost $19,652,698) | 19,145,861 | |||||
Municipal obligations: 0.31% | ||||||
California: 0.06% | ||||||
Transportation revenue: 0.06% | ||||||
Alameda CA Corridor Transportation Authority CAB Refunding Bond Subordinated Series B ¤ | 0.00 | 10-1-2028 | 2,115,000 | 1,584,523 | ||
Illinois: 0.14% | ||||||
GO revenue: 0.07% | ||||||
Will County IL Lincoln-Way Community High School District #210 Unrefunded Bond CAB ¤ | 0.00 | 1-1-2025 | 1,820,000 | 1,690,589 | ||
Tax revenue: 0.07% | ||||||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2010-B1 ¤ | 0.00 | 6-15-2026 | 1,975,000 | 1,759,579 | ||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2012-B ¤ | 0.00 | 12-15-2051 | 765,000 | 167,084 | ||
1,926,663 | ||||||
Kansas: 0.00% | ||||||
Health revenue: 0.00% | ||||||
Kansas Development Finance Authority Village Shalom Project Series 2018-B | 4.00 | 11-15-2025 | 90,000 | 84,644 | ||
Maryland: 0.01% | ||||||
Education revenue: 0.01% | ||||||
Maryland Health & HEFAR Green Street Academy Series B 144A | 6.75 | 7-1-2023 | 195,000 | 191,729 | ||
Michigan: 0.02% | ||||||
Miscellaneous revenue: 0.02% | ||||||
Michigan Finance Authority Local Government Loan Program Project Series E | 7.19 | 11-1-2022 | 445,000 | 447,798 | ||
Pennsylvania: 0.08% | ||||||
Education revenue: 0.08% | ||||||
Commonwealth of Pennsylvania Financing Authority Series A | 4.14 | 6-1-2038 | 1,995,000 | 1,910,721 | ||
Total Municipal obligations (Cost $7,656,302) | 7,836,667 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities: 13.76% | ||||||
Agate Bay Mortgage Loan Trust Series 2015-3 Class B3 144A±± | 3.54% | 4-25-2045 | $ | 905,076 | $ 866,933 | |
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 3.80 | 7-25-2029 | 7,099,284 | 7,013,255 | ||
American Money Management Corporation Series 2015-16A Class AR2 (3 Month LIBOR +0.98%) 144A± | 3.46 | 4-14-2029 | 2,628,432 | 2,602,845 | ||
American Money Management Corporation Series 2016-19A Class AR (3 Month LIBOR +1.14%) 144A± | 3.65 | 10-16-2028 | 868,401 | 862,064 | ||
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 567,631 | 563,921 | ||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 1,179,480 | 1,122,177 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 3.70 | 9-20-2029 | 10,000,000 | 9,563,260 | ||
Apidos CLO Series 2019 Class 3-1-A (3 Month LIBOR +3.10%) 144A± | 5.61 | 4-15-2031 | 3,000,000 | 2,809,065 | ||
Bain Capital Create CLO Limited Series 2017 Class 1 (3 Month LIBOR +1.95%) 144A± | 4.66 | 7-20-2030 | 3,725,000 | 3,505,128 | ||
BDS Limited Series 2021-FL9 Class B (1 Month LIBOR +1.70%) 144A± | 4.08 | 11-16-2038 | 5,475,000 | 5,155,288 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 7,407,775 | 6,813,523 | ||
Brookside Mill CLO Limited Series 2013 Class 1A (3 Month LIBOR +2.65%) 144A± | 5.39 | 1-17-2028 | 4,000,000 | 3,742,980 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A±± | 2.72 | 11-25-2059 | 974,332 | 943,588 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 4,975,000 | 4,393,043 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 4.29 | 10-15-2036 | 8,035,000 | 7,552,898 | ||
Carlyle Global Market Series 2016-1A Class R2 (3 Month LIBOR +3.35%) 144A± | 6.06 | 4-20-2034 | 1,500,000 | 1,357,754 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 418,596 | 408,188 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 5,750,000 | 5,388,105 | ||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46 | 11-13-2050 | 1,035,000 | 985,498 | ||
Change Mortgage Trust Series 2022-1 Class A1 144A±± | 3.01 | 1-25-2067 | 7,109,747 | 6,676,167 | ||
CIFC Funding Limited Series 2012-2RA Class A1 (3 Month LIBOR +0.80%) 144A± | 3.51 | 1-20-2028 | 1,555,955 | 1,540,960 | ||
Colt Funding LLC Series 2022-7 Class A1 144A±± | 5.16 | 4-25-2067 | 6,903,903 | 6,883,198 | ||
Credit Suisse Mortgage Trust Series 2013-IVR2 Class B4 144A±± | 3.40 | 4-25-2043 | 850,687 | 794,482 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 5,787,542 | 4,901,048 | ||
CSMLT Trust Series 2015-1 Class B4 144A±± | 3.79 | 5-25-2045 | 2,552,380 | 2,399,538 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 3.40 | 12-19-2030 | 582,684 | 569,225 | ||
Dryden Senior Loan Fund Series 2013-28A Class A2LR (3 Month LIBOR +1.65%) 144A± | 4.56 | 8-15-2030 | 4,000,000 | 3,895,380 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 4.76% | 5-15-2032 | $ | 3,550,000 | $ 3,336,979 | |
Educational Services of America Series 2015-1 Class A (1 Month LIBOR +0.80%) 144A± | 3.24 | 10-25-2056 | 552,353 | 541,752 | ||
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 | 7,543,766 | ||
First Key Homes Series 2021 Class C 144A | 1.89 | 8-17-2038 | 6,770,000 | 5,984,642 | ||
FREMF Mortgage Trust Series 2020-KF76 Class B (1 Month LIBOR +2.75%) 144A± | 5.11 | 1-25-2030 | 2,581,510 | 2,452,854 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 4.19 | 11-16-2036 | 3,000,000 | 2,855,181 | ||
FWD Securitization Trust Series 2019-INV1 Class A3 144A±± | 3.11 | 6-25-2049 | 1,078,092 | 1,041,190 | ||
GCAT Series 2019-RPl1 Class A1 144A±± | 2.65 | 10-25-2068 | 2,290,846 | 2,186,653 | ||
Gilbert Park CLO Series 2017-1A Class B (3 Month LIBOR +1.60%) 144A± | 4.11 | 10-15-2030 | 3,000,000 | 2,908,788 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-GSA1 Class C ±± | 3.93 | 11-10-2052 | 500,000 | 425,893 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-PJ2 Class A4 144A±± | 4.00 | 11-25-2049 | 245,386 | 238,267 | ||
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 3.77 | 5-2-2023 | 5,859,771 | 5,858,661 | ||
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR +2.25%) 144A± | 3.31 | 4-1-2024 | 12,000,000 | 11,985,312 | ||
Gracie Point International Funding Series 2022-2A Class A (30 Day Average U.S. SOFR +2.75%) 144A± | 4.30 | 7-1-2024 | 9,405,000 | 9,404,994 | ||
GS Mortgage Securities Trust Series 2017-GS7 Class A3 | 3.17 | 8-10-2050 | 990,000 | 933,965 | ||
Homeward Opportunities Fund Trust Series 2020-2 Class A2 144A±± | 2.64 | 5-25-2065 | 715,000 | 697,555 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 3.39 | 11-15-2036 | 2,304,429 | 2,248,199 | ||
Imperial Fund LLC Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 1,688,935 | 1,512,474 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 1,000,178 | 948,077 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3 144A±± | 4.46 | 5-25-2067 | 17,223,000 | 15,879,909 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-3 Class B4 144A±± | 3.35 | 7-25-2043 | 3,616,907 | 2,965,595 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 3.35 | 7-15-2036 | 5,000,000 | 4,910,872 | ||
JPMorgan Mortgage Trust Series 2014-2 Class B4 144A±± | 3.42 | 6-25-2029 | 1,215,000 | 1,056,333 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 1,302,852 | 1,197,510 | ||
LoanCore Limited Series 2018-CRE1 Class A (1 Month LIBOR +1.13%) 144A± | 3.52 | 5-15-2028 | 173,701 | 173,315 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 4,581,000 | 4,394,181 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
MED Trust Series 2021-MDLN Class B (1 Month LIBOR +1.45%)���144A± | 3.84% | 11-15-2038 | $ | 9,000,000 | $ 8,690,401 | |
Mello Warehouse Securitization Trust Series 2021-2 Class C (1 Month LIBOR +1.10%) 144A± | 3.54 | 4-25-2055 | 6,735,000 | 6,592,898 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 3.26 | 7-15-2036 | 5,445,525 | 5,395,195 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022-FL8 Class C (30 Day Average U.S. SOFR +2.20%) 144A± | 4.23 | 2-19-2037 | 8,750,000 | 8,212,565 | ||
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,187,702 | 1,141,872 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 2,650,000 | 2,533,549 | ||
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 3,755,619 | 3,463,924 | ||
Mill City Mortgage Trust Series 2019 Class M2 144A±± | 3.25 | 7-25-2059 | 4,592,000 | 4,168,811 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±± | 3.31 | 9-15-2049 | 610,000 | 550,851 | ||
New Residential Mortgage Loan Trust Series 2019-RPL3 Class M1 144A±± | 3.25 | 7-25-2059 | 5,000,000 | 4,421,027 | ||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 4.16 | 3-17-2030 | 8,205,000 | 7,862,934 | ||
Octane Receivables Trust Series 2022-2A Class A 144A | 5.11 | 2-22-2028 | 7,530,000 | 7,507,156 | ||
Ondeck Asset Secuitization Trust Series 2021-1A Class B 144A | 2.28 | 5-17-2027 | 4,000,000 | 3,643,257 | ||
Onslow Bay Financial LLC Series 2020 Class A21 144A±± | 3.50 | 12-25-2049 | 824,981 | 777,163 | ||
Onslow Bay Financial LLC Series 2022 Class A1 144A±± | 5.11 | 8-25-2062 | 5,500,000 | 5,491,956 | ||
Palmer Square Loan Funding Limited Series 2021-3A Class A2 (3 Month LIBOR +1.40%) 144A± | 4.11 | 7-20-2029 | 12,060,000 | 11,695,414 | ||
Parallel Limited Series 2021-1A Class D (3 Month LIBOR +3.45%) 144A± | 5.96 | 7-15-2034 | 8,500,000 | 7,683,958 | ||
Residential Mortgage Loan Trust Series 2020-1 Class M1 144A±± | 3.24 | 1-26-2060 | 5,000,000 | 4,571,915 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10 | 1-25-2065 | 1,309,108 | 1,253,160 | ||
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class D 144A±± | 4.53 | 1-5-2043 | 1,927,000 | 1,142,633 | ||
Shellpoint Company Originator Trust Series 2016-1 Class B2 144A±± | 3.55 | 11-25-2046 | 5,112,338 | 4,600,861 | ||
Sierra Receivables Funding Series 2018-3A Class C 144A | 4.17 | 9-20-2035 | 435,736 | 425,720 | ||
Sound Point CLO Limited Series 2013-2RA Class A1 (3 Month LIBOR +0.95%) 144A± | 3.46 | 4-15-2029 | 2,539,939 | 2,502,587 | ||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 4.06 | 4-15-2030 | 10,340,000 | 9,794,699 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 2,314,822 | 2,051,363 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.35 | 11-25-2060 | 4,492,767 | 4,453,796 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75% | 6-25-2057 | $ | 897,483 | $ 869,021 | |
Towd Point Mortgage Trust Series 2019-4 Class M1 144A±± | 3.50 | 10-25-2059 | 4,000,000 | 3,511,976 | ||
Towd Point Mortgage Trust Series 2019-4 Class M2 144A±± | 3.75 | 10-25-2059 | 3,680,000 | 3,188,288 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 593,907 | 584,438 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 1,140,000 | 1,085,912 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 3.24 | 2-15-2032 | 2,545,036 | 2,473,367 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 2,357,014 | 2,230,445 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 4.64 | 4-17-2030 | 4,500,000 | 4,211,906 | ||
Westgate Resorts Series 2022-1A Class C 144A | 2.49 | 8-20-2036 | 14,266,743 | 13,538,106 | ||
Zais CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 5.16 | 7-15-2029 | 7,450,000 | 7,128,562 | ||
Zais Matrix CDO Series 2020-14A Class A1AR (3 Month LIBOR +1.20%) 144A± | 3.71 | 4-15-2032 | 1,983,826 | 1,938,700 | ||
Total Non-agency mortgage-backed securities (Cost $368,826,148) | 348,382,816 | |||||
U.S. Treasury securities: 26.84% | ||||||
U.S. Treasury Bond ## | 1.88 | 2-15-2051 | 24,465,000 | 17,850,849 | ||
U.S. Treasury Bond | 2.00 | 8-15-2051 | 8,075,000 | 6,066,344 | ||
U.S. Treasury Bond | 2.25 | 2-15-2052 | 29,535,000 | 23,591,081 | ||
U.S. Treasury Bond | 2.38 | 5-15-2051 | 43,525,000 | 35,833,316 | ||
U.S. Treasury Bond | 2.88 | 5-15-2052 | 34,225,000 | 31,540,477 | ||
U.S. Treasury Bond | 3.00 | 2-15-2048 | 2,075,000 | 1,900,489 | ||
U.S. Treasury Bond | 3.00 | 8-15-2052 | 13,405,000 | 12,707,521 | ||
U.S. Treasury Note | 1.25 | 6-30-2028 | 3,940,000 | 3,501,059 | ||
U.S. Treasury Note | 1.75 | 1-31-2029 | 29,060,000 | 26,421,897 | ||
U.S. Treasury Note | 1.88 | 11-15-2051 | 2,370,000 | 1,725,841 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 26,675,000 | 20,721,057 | ||
U.S. Treasury Note | 2.38 | 2-15-2042 | 3,960,000 | 3,282,469 | ||
U.S. Treasury Note | 2.50 | 4-30-2024 | 43,040,000 | 42,357,412 | ||
U.S. Treasury Note ## | 2.63 | 5-31-2027 | 25,415,000 | 24,614,824 | ||
U.S. Treasury Note ## | 2.75 | 5-15-2025 | 2,505,000 | 2,456,759 | ||
U.S. Treasury Note | 2.75 | 4-30-2027 | 77,080,000 | 75,023,529 | ||
U.S. Treasury Note | 2.75 | 7-31-2027 | 2,505,000 | 2,437,874 | ||
U.S. Treasury Note | 2.75 | 8-15-2032 | 44,705,000 | 43,126,355 | ||
U.S. Treasury Note | 2.88 | 5-15-2032 | 67,675,000 | 65,961,977 | ||
U.S. Treasury Note | 3.00 | 6-30-2024 | 6,990,000 | 6,929,384 | ||
U.S. Treasury Note « | 3.00 | 7-31-2024 | 99,000,000 | 98,133,750 | ||
U.S. Treasury Note | 3.25 | 8-31-2024 | 127,500,000 | 126,952,148 | ||
U.S. Treasury Note ## | 3.25 | 6-30-2027 | 5,070,000 | 5,045,838 | ||
U.S. Treasury Note | 3.25 | 5-15-2042 | 1,235,000 | 1,181,355 | ||
Total U.S. Treasury securities (Cost $701,270,801) | 679,363,605 |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 12.51% | ||||||
Communication services: 0.43% | ||||||
Diversified telecommunication services: 0.09% | ||||||
Telefonica Emisiones SAU | 5.21% | 3-8-2047 | $ | 2,485,000 | $ 2,149,715 | |
Interactive media & services: 0.10% | ||||||
Tencent Holdings Limited 144A | 3.68 | 4-22-2041 | 3,250,000 | 2,523,722 | ||
Wireless telecommunication services: 0.24% | ||||||
Rogers Communications Incorporated 144A | 4.55 | 3-15-2052 | 6,975,000 | 6,122,513 | ||
Consumer discretionary: 0.71% | ||||||
Hotels, restaurants & leisure: 0.41% | ||||||
GENM Capital Labuan Limited 144A | 3.88 | 4-19-2031 | 8,900,000 | 6,957,895 | ||
Royal Caribbean Cruises Limited « | 4.25 | 6-15-2023 | 3,400,000 | 3,341,034 | ||
10,298,929 | ||||||
Internet & direct marketing retail: 0.30% | ||||||
Alibaba Group Holding | 3.15 | 2-9-2051 | 4,135,000 | 2,737,314 | ||
Prosus NV 144A | 3.83 | 2-8-2051 | 3,000,000 | 1,870,197 | ||
Prosus NV 144A | 4.03 | 8-3-2050 | 1,565,000 | 985,427 | ||
Prosus NV 144A | 4.99 | 1-19-2052 | 3,000,000 | 2,157,502 | ||
7,750,440 | ||||||
Consumer staples: 0.88% | ||||||
Food products: 0.69% | ||||||
Agrospuer SA 144A | 4.60 | 1-20-2032 | 2,050,000 | 1,735,384 | ||
JBS USA LLC 144A | 2.50 | 1-15-2027 | 4,285,000 | 3,845,402 | ||
JBS USA LLC 144A | 4.38 | 2-2-2052 | 5,640,000 | 4,457,172 | ||
JBS USA LLC 144A | 6.50 | 4-15-2029 | 201,000 | 207,977 | ||
Viterra Finance BV 144A | 4.90 | 4-21-2027 | 7,615,000 | 7,310,078 | ||
17,556,013 | ||||||
Tobacco: 0.19% | ||||||
Imperial Brands plc 144A | 6.13 | 7-27-2027 | 4,660,000 | 4,730,404 | ||
Energy: 0.62% | ||||||
Oil, gas & consumable fuels: 0.62% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.40%) ʊ± | 4.88 | 3-22-2030 | 4,950,000 | 4,528,013 | ||
Galaxy Pipeline Assets Company 144A | 2.16 | 3-31-2034 | 4,799,496 | 4,188,135 | ||
Petroleos Mexicanos | 6.70 | 2-16-2032 | 2,650,000 | 2,069,332 | ||
Qatar Petroleum 144A | 3.13 | 7-12-2041 | 6,000,000 | 4,875,000 | ||
15,660,480 | ||||||
Financials: 8.14% | ||||||
Banks: 4.22% | ||||||
ABN AMRO Bank NV 144A | 4.75 | 7-28-2025 | 1,800,000 | 1,775,261 | ||
African Export Import Bank 144A | 3.80 | 5-17-2031 | 2,600,000 | 2,134,912 | ||
Banco de Bogota SA 144A | 6.25 | 5-12-2026 | 1,400,000 | 1,383,340 | ||
Banco del Estado de Chile 144A | 2.70 | 1-9-2025 | 3,145,000 | 2,985,655 | ||
Banco do Brasil SA 144A« | 4.63 | 1-15-2025 | 2,415,000 | 2,368,101 | ||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 3,425,000 | 3,270,687 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
Banco Industrial SA (5 Year Treasury Constant Maturity +4.44%) 144A± | 4.88% | 1-29-2031 | $ | 1,500,000 | $ 1,400,444 | |
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.64%) 144Aʊ± | 5.88 | 1-24-2027 | 4,250,000 | 3,676,250 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.97%) 144Aʊ± | 6.75 | 9-27-2024 | 1,565,000 | 1,504,748 | ||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ʊ± | 0.70 | 6-30-2024 | 9,000,000 | 8,710,890 | ||
Banco Santander (5 Year Treasury Constant Maturity +3.00%) 144A± | 5.95 | 10-1-2028 | 1,700,000 | 1,687,250 | ||
Banque Ouest Africaine de Developpement 144A | 5.00 | 7-27-2027 | 960,000 | 901,728 | ||
BNP Paribas (U.S. SOFR +1.00%) 144A± | 1.32 | 1-13-2027 | 5,455,000 | 4,785,082 | ||
Danske Bank (1 Year Treasury Constant Maturity +1.75%) 144A± | 4.30 | 4-1-2028 | 10,000,000 | 9,331,244 | ||
Danske Bank 144A | 5.38 | 1-12-2024 | 3,205,000 | 3,228,791 | ||
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ± | 4.88 | 12-1-2032 | 1,750,000 | 1,486,587 | ||
Federation dex Caisses Desjardins 144A | 4.55 | 8-23-2027 | 12,450,000 | 12,211,741 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 4,200,000 | 3,915,006 | ||
HSBC Holdings plc (U.S. SOFR +2.11%) ± | 4.76 | 6-9-2028 | 6,000,000 | 5,786,353 | ||
HSBC Holdings plc (U.S. SOFR +2.87%) ± | 5.40 | 8-11-2033 | 8,495,000 | 8,082,774 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 3,510,000 | 3,406,455 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 8,875,000 | 6,914,471 | ||
National Australia Bank (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.35 | 1-12-2037 | 8,835,000 | 7,313,997 | ||
NatWest Markets plc 144A | 1.60 | 9-29-2026 | 4,000,000 | 3,525,798 | ||
Perrigo Finance plc | 4.90 | 12-15-2044 | 1,500,000 | 1,102,500 | ||
Unicredit SpA (5 Year Treasury Constant Maturity +4.75%) 144A± | 5.46 | 6-30-2035 | 3,000,000 | 2,368,746 | ||
Westpac Banking Corporation | 2.96 | 11-16-2040 | 2,160,000 | 1,538,420 | ||
106,797,231 | ||||||
Capital markets: 1.52% | ||||||
CI Financial Corporation | 4.10 | 6-15-2051 | 10,490,000 | 6,870,887 | ||
Credit Suisse Group AG (U.S. SOFR +1.73%) 144A± | 3.09 | 5-14-2032 | 4,695,000 | 3,548,496 | ||
Credit Suisse Group AG (U.S. SOFR +0.98%) 144A± | 1.31 | 2-2-2027 | 6,405,000 | 5,389,535 | ||
Credit Suisse Group AG (5 Year Treasury Constant Maturity +4.89%) 144Aʊ± | 5.25 | 2-11-2027 | 3,500,000 | 2,631,090 | ||
Credit Suisse Group Funding Limited (3 Month LIBOR +1.20%) 144A± | 3.00 | 12-14-2023 | 1,485,000 | 1,474,658 | ||
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 5,800,000 | 5,037,393 | ||
UBS Group AG (1 Year Treasury Constant Maturity +1.55%) 144A± | 4.49 | 5-12-2026 | 5,700,000 | 5,640,603 | ||
UBS Group AG (1 Year Treasury Constant Maturity +2.05%) 144A± | 4.70 | 8-5-2027 | 4,480,000 | 4,397,330 | ||
UBS Group AG (5 Year Treasury Constant Maturity +3.40%) 144Aʊ± | 4.88 | 2-12-2027 | 3,940,000 | 3,396,247 | ||
38,386,239 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance: 0.01% | ||||||
Unifin Financiera SAB de CV 144A | 9.88% | 1-28-2029 | $ | 2,350,000 | $ 329,235 | |
Diversified financial services: 1.22% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 11,015,000 | 9,712,512 | ||
Avolon Holdings Funding Limited 144A | 2.75 | 2-21-2028 | 2,000,000 | 1,629,283 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 2,515,000 | 2,425,048 | ||
Brookfield Finance Incorporated | 3.50 | 3-30-2051 | 5,865,000 | 4,183,755 | ||
Brookfield Finance Incorporated | 3.90 | 1-25-2028 | 6,519,000 | 6,160,265 | ||
Cellnex Finance Company 144A | 3.88 | 7-7-2041 | 4,120,000 | 2,857,467 | ||
Corporacion Financiera de Desarrollo SA (3 Month LIBOR +5.61%) 144A± | 5.25 | 7-15-2029 | 1,185,000 | 1,129,763 | ||
DAE Funding LLC 144A | 3.38 | 3-20-2028 | 3,205,000 | 2,852,392 | ||
30,950,485 | ||||||
Insurance: 0.71% | ||||||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.65%) 144A± | 2.75 | 1-21-2051 | 4,595,000 | 3,829,459 | ||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.60%) 144A± | 2.90 | 9-16-2051 | 2,000,000 | 1,667,247 | ||
Sompo International Holdings Limited | 7.00 | 7-15-2034 | 1,330,000 | 1,490,237 | ||
Swiss Re Finance (Luxembourg) SA (5 Year Treasury Constant Maturity +3.58%) 144A± | 5.00 | 4-2-2049 | 11,700,000 | 11,115,000 | ||
18,101,943 | ||||||
Thrifts & mortgage finance: 0.46% | ||||||
Nationwide Building Society 144A | 4.85 | 7-27-2027 | 11,630,000 | 11,548,494 | ||
Health care: 0.15% | ||||||
Biotechnology: 0.13% | ||||||
Grifols Escrow Issuer SA 144A | 4.75 | 10-15-2028 | 4,000,000 | 3,334,209 | ||
Pharmaceuticals: 0.02% | ||||||
Bausch Health Companies Incorporated 144A | 5.25 | 1-30-2030 | 1,250,000 | 462,500 | ||
Industrials: 0.26% | ||||||
Airlines: 0.16% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 4,000,000 | 4,191,569 | ||
Trading companies & distributors: 0.08% | ||||||
Fly Leasing Limited 144A | 7.00 | 10-15-2024 | 3,600,000 | 1,980,000 | ||
Transportation infrastructure: 0.02% | ||||||
Mexico City Airport Trust 144A | 5.50 | 7-31-2047 | 570,000 | 428,925 | ||
Information technology: 0.60% | ||||||
Semiconductors & semiconductor equipment: 0.60% | ||||||
Renesas Electronics Corporation 144A | 2.17 | 11-25-2026 | 11,455,000 | 10,156,086 | ||
TSMC Global Limited 144A | 4.63 | 7-22-2032 | 4,945,000 | 4,952,966 | ||
15,109,052 | ||||||
Materials: 0.31% | ||||||
Chemicals: 0.31% | ||||||
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 8,000,000 | 7,977,357 |
Interest rate | Maturity date | Principal | Value | |||
Utilities: 0.41% | ||||||
Electric utilities: 0.28% | ||||||
Comision Federal de Electricidad SAB de CV 144A« | 3.35% | 2-9-2031 | $ | 4,815,000 | $ 3,803,850 | |
Comision Federal de Electricidad SAB de CV 144A | 3.88 | 7-26-2033 | 2,985,000 | 2,290,988 | ||
Electricite de France SA 144A | 4.95 | 10-13-2045 | 1,130,000 | 971,878 | ||
7,066,716 | ||||||
Independent power & renewable electricity producers: 0.13% | ||||||
Colbun SA 144A | 3.15 | 1-19-2032 | 3,900,000 | 3,256,500 | ||
Total Yankee corporate bonds and notes (Cost $359,263,795) | 316,712,671 | |||||
Yankee government bonds: 1.49% | ||||||
Bermuda 144A | 3.38 | 8-20-2050 | 1,080,000 | 793,728 | ||
Dominican Republic 144A | 4.50 | 1-30-2030 | 1,000,000 | 838,137 | ||
Dominican Republic 144A | 4.88 | 9-23-2032 | 1,800,000 | 1,452,414 | ||
Dominican Republic 144A | 5.50 | 2-22-2029 | 800,000 | 729,703 | ||
Government of Bermuda 144A | 5.00 | 7-15-2032 | 4,320,000 | 4,348,766 | ||
Panama | 4.50 | 1-19-2063 | 6,000,000 | 4,531,229 | ||
Provincia de Cordoba 144Aøø | 6.88 | 12-10-2025 | 1,781,310 | 1,339,723 | ||
Provincia de Santa Fe 144A | 7.00 | 3-23-2023 | 1,000,000 | 930,000 | ||
Republic of Argentina | 1.00 | 7-9-2029 | 206,310 | 47,863 | ||
Republic of Argentina øø | 1.50 | 7-9-2030 | 1,703,981 | 404,694 | ||
Republic of Argentina øø | 1.50 | 7-9-2035 | 1,817,118 | 408,617 | ||
Republic of Chile | 4.34 | 3-7-2042 | 2,570,000 | 2,205,962 | ||
Republic of Kenya 144A | 8.25 | 2-28-2048 | 750,000 | 509,415 | ||
Republic of Paraguay 144A | 5.40 | 3-30-2050 | 1,750,000 | 1,463,994 | ||
Republic of Senegal 144A« | 6.25 | 5-23-2033 | 750,000 | 607,500 | ||
State of Israel | 5.50 | 9-18-2033 | 13,050,000 | 15,124,739 | ||
Sultanate of Oman 144A | 6.25 | 1-25-2031 | 1,700,000 | 1,713,566 | ||
Ukraine 144A | 7.38 | 9-25-2034 | 1,200,000 | 168,722 | ||
Total Yankee government bonds (Cost $46,028,345) | 37,618,772 |
Yield | Shares | |||||
Short-term investments: 7.84% | ||||||
Investment companies: 7.21% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09 | 124,106,379 | 124,106,379 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 2.39 | 58,279,333 | 58,279,333 | |||
182,385,712 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury Securities: 0.63% | ||||||
U.S. Treasury Bill ☼# | 2.04% | 9-15-2022 | $ | 16,000,000 | $ 15,986,653 | |
Total Short-term investments (Cost $198,372,122) | 198,372,365 | |||||
Total investments in securities (Cost $3,106,050,272) | 114.22% | 2,891,290,324 | ||||
Other assets and liabilities, net | (14.22) | (359,934,047) | ||||
Total net assets | 100.00% | $2,531,356,277 |
± | Variable rate investment. 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. |
## | All or a portion of this security is segregated for when-issued securities and unfunded loans. |
† | Non-income-earning security |
‡ | 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. |
♀ | 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. |
¤ | 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. |
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. |
# | All or a portion of this security is segregated as collateral for investments in derivative instruments. |
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: | |
BRL | Brazilian real |
CAB | Capital appreciation bond |
CLP | Chile Peso |
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 | $1,825,834,995 | $(1,889,316,938) | $0 | $0 | $ 124,106,379 | 124,106,379 | $ 708,605 | ||
Securities Lending Cash Investments LLC | 5,572,383 | 663,785,927 | (611,078,977) | 0 | 0 | 58,279,333 | 58,279,333 | 91,963 # | ||
$0 | $0 | $182,385,712 | $800,568 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
72,302,364 USD | 67,900,000 EUR | Citibank NA | 9-30-2022 | $ 3,940,857 | $ 0 | |
11,800,000 EUR | 12,152,163 USD | Citibank NA | 9-30-2022 | 0 | (271,960) | |
26,380,640 USD | 26,000,000 EUR | Citibank NA | 9-30-2022 | 203,922 | 0 | |
10,717,947 USD | 172,500,000 ZAR | Citibank NA | 9-30-2022 | 672,870 | 0 | |
$4,817,649 | $(271,960) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
10-Year U.S. Treasury Notes | 171 | 12-20-2022 | $ 20,112,931 | $ 19,990,969 | $ 0 | $ (121,962) | |
U.S. Long Term Bonds | 70 | 12-20-2022 | 9,576,998 | 9,509,063 | 0 | (67,935) | |
U.S. Ultra Treasury Bonds | 146 | 12-20-2022 | 21,827,288 | 21,827,000 | 0 | (288) | |
2-Year U.S. Treasury Notes | 255 | 12-30-2022 | 53,201,775 | 53,123,672 | 0 | (78,103) | |
5-Year U.S. Treasury Notes | 583 | 12-30-2022 | 64,902,786 | 64,608,243 | 0 | (294,543) | |
Short | |||||||
Euro-BOBL Futures | (182) | 9-8-2022 | (22,904,432) | (22,511,451) | 392,981 | 0 | |
Euro-Bund Futures | (90) | 9-8-2022 | (13,756,639) | (13,383,226) | 373,413 | 0 | |
Euro-Schatz Futures | (67) | 9-8-2022 | (7,364,308) | (7,312,894) | 51,414 | 0 | |
$817,808 | $(562,831) |
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 | $(48,832) | $439,035 | $0 | $(487,867) |
Assets | |
Investments in unaffiliated securities (including $57,024,760 of securities loaned), at value (cost $2,923,664,560) | $ 2,708,904,612 |
Investments in affiliated securities, at value (cost $182,385,712) | 182,385,712 |
Cash | 17,168,127 |
Cash due from broker | 1,975,685 |
Cash at broker segregated for futures contracts | 4,975,000 |
Segregated cash for swap contracts | 334,668 |
Receivable for investments sold | 282,047,989 |
Receivable for interest | 16,550,119 |
Receivable for Fund shares sold | 9,613,189 |
Unrealized gains on forward foreign currency contracts | 4,817,649 |
Receivable for securities lending income, net | 18,738 |
Principal paydown receivable | 1,218 |
Prepaid expenses and other assets | 180,656 |
Total assets | 3,228,973,362 |
Liabilities | |
Payable for when-issued transactions | 449,457,530 |
Payable for investments purchased | 181,318,367 |
Payable upon receipt of securities loaned | 58,279,333 |
Cash collateral due to broker for forward foreign currency contracts | 4,910,000 |
Payable for Fund shares redeemed | 2,461,015 |
Management fee payable | 520,598 |
Unrealized losses on forward foreign currency contracts | 271,960 |
Administration fees payable | 186,803 |
Payable for daily variation margin on open futures contracts | 79,770 |
Distribution fee payable | 21,445 |
Payable for daily variation margin on centrally cleared swap contracts | 13,994 |
Accrued expenses and other liabilities | 96,270 |
Total liabilities | 697,617,085 |
Total net assets | $2,531,356,277 |
Net assets consist of | |
Paid-in capital | $ 2,849,708,623 |
Total distributable loss | (318,352,346) |
Total net assets | $2,531,356,277 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 250,553,282 |
Shares outstanding – Class A1 | 21,662,152 |
Net asset value per share – Class A | $11.57 |
Maximum offering price per share – Class A2 | $12.12 |
Net assets – Class C | $ 32,888,885 |
Shares outstanding – Class C1 | 2,845,934 |
Net asset value per share – Class C | $11.56 |
Net assets – Class R6 | $ 141,833,422 |
Shares outstanding – Class R61 | 12,244,076 |
Net asset value per share – Class R6 | $11.58 |
Net assets – Administrator Class | $ 140,779,114 |
Shares outstanding – Administrator Class1 | 12,195,405 |
Net asset value per share – Administrator Class | $11.54 |
Net assets – Institutional Class | $ 1,965,301,574 |
Shares outstanding – Institutional Class1 | 169,717,733 |
Net asset value per share – Institutional Class | $11.58 |
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 $14,902) | $ 66,991,829 |
Income from affiliated securities | 798,958 |
Dividends | 64,235 |
Total investment income | 67,855,022 |
Expenses | |
Management fee | 10,204,613 |
Administration fees | |
Class A | 437,956 |
Class C | 59,806 |
Class R6 | 36,286 |
Administrator Class | 168,931 |
Institutional Class | 1,485,135 |
Shareholder servicing fees | |
Class A | 683,964 |
Class C | 93,447 |
Administrator Class | 422,327 |
Distribution fee | |
Class C | 280,340 |
Custody and accounting fees | 128,308 |
Professional fees | 90,806 |
Registration fees | 171,495 |
Shareholder report expenses | 114,282 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 38,356 |
Total expenses | 14,436,445 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (3,728,924) |
Class A | (25,788) |
Class C | (3) |
Administrator Class | (49,991) |
Net expenses | 10,631,739 |
Net investment income | 57,223,283 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (119,015,881) |
Forward foreign currency contracts | 10,488,189 |
Futures contracts | (2,716,829) |
Swap contracts | (284,669) |
Net realized losses on investments | (111,529,190) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (269,296,871) |
Forward foreign currency contracts | 4,005,834 |
Futures contracts | 1,726,604 |
Swap contracts | (33,006) |
Net change in unrealized gains (losses) on investments | (263,597,439) |
Net realized and unrealized gains (losses) on investments | (375,126,629) |
Net decrease in net assets resulting from operations | $(317,903,346) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 57,223,283 | $ 39,804,791 | ||
Net realized gains (losses) on investments | (111,529,190) | 13,100,292 | ||
Net change in unrealized gains (losses) on investments | (263,597,439) | 8,104,511 | ||
Net increase (decrease) in net assets resulting from operations | (317,903,346) | 61,009,594 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (7,044,171) | (12,927,846) | ||
Class C | (680,832) | (1,312,280) | ||
Class R6 | (3,489,902) | (4,070,527) | ||
Administrator Class | (4,436,318) | (5,658,851) | ||
Institutional Class | (53,511,044) | (62,947,979) | ||
Total distributions to shareholders | (69,162,267) | (86,917,483) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 4,397,137 | 54,439,448 | 7,271,226 | 98,269,502 |
Class C | 958,213 | 12,136,398 | 1,527,005 | 20,676,856 |
Class R6 | 7,732,999 | 97,935,749 | 3,510,925 | 47,375,550 |
Administrator Class | 6,536,979 | 83,956,872 | 16,952,734 | 227,567,012 |
Institutional Class | 130,624,519 | 1,626,306,890 | 98,898,472 | 1,339,236,932 |
1,874,775,357 | 1,733,125,852 | |||
Reinvestment of distributions | ||||
Class A | 503,593 | 6,387,680 | 887,127 | 11,996,059 |
Class C | 47,708 | 607,468 | 90,527 | 1,223,603 |
Class R6 | 267,538 | 3,364,456 | 249,035 | 3,372,019 |
Administrator Class | 349,602 | 4,432,909 | 419,260 | 5,652,053 |
Institutional Class | 3,954,554 | 49,922,919 | 4,273,565 | 57,812,022 |
64,715,432 | 80,055,756 | |||
Payment for shares redeemed | ||||
Class A | (6,041,415) | (76,500,372) | (4,548,362) | (61,469,054) |
Class C | (1,093,929) | (13,588,305) | (742,549) | (10,014,815) |
Class R6 | (2,333,786) | (29,040,415) | (3,218,395) | (43,643,562) |
Administrator Class | (15,318,377) | (199,468,087) | (2,570,782) | (34,666,373) |
Institutional Class | (95,979,266) | (1,192,329,620) | (32,694,760) | (439,851,508) |
(1,510,926,799) | (589,645,312) | |||
Net increase in net assets resulting from capital share transactions | 428,563,990 | 1,223,536,296 | ||
Total increase in net assets | 41,498,377 | 1,197,628,407 | ||
Net assets | ||||
Beginning of period | 2,489,857,900 | 1,292,229,493 | ||
End of period | $ 2,531,356,277 | $2,489,857,900 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $13.52 | $13.77 | $13.09 | $12.27 | $12.71 |
Net investment income | 0.26 | 0.24 | 0.34 | 0.37 | 0.34 |
Net realized and unrealized gains (losses) on investments | (1.88) | 0.16 | 0.77 | 0.80 | (0.45) |
Total from investment operations | (1.62) | 0.40 | 1.11 | 1.17 | (0.11) |
Distributions to shareholders from | |||||
Net investment income | (0.22) | (0.27) | (0.36) | (0.35) | (0.33) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.33) | (0.65) | (0.43) | (0.35) | (0.33) |
Net asset value, end of period | $11.57 | $13.52 | $13.77 | $13.09 | $12.27 |
Total return1 | (12.21)% | 3.00% | 8.72% | 9.74% | (0.84)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.85% | 0.85% | 0.88% | 0.91% | 0.92% |
Net expenses | 0.69% | 0.72% | 0.72% | 0.73% | 0.73% |
Net investment income | 2.03% | 1.90% | 2.60% | 2.99% | 2.63% |
Supplemental data | |||||
Portfolio turnover rate | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $250,553 | $308,270 | $264,366 | $245,879 | $229,688 |
1 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $13.51 | $13.77 | $13.09 | $12.26 | $12.71 |
Net investment income | 0.16 | 0.14 | 0.23 | 0.28 | 0.23 |
Net realized and unrealized gains (losses) on investments | (1.88) | 0.15 | 0.78 | 0.81 | (0.44) |
Total from investment operations | (1.72) | 0.29 | 1.01 | 1.09 | (0.21) |
Distributions to shareholders from | |||||
Net investment income | (0.12) | (0.17) | (0.26) | (0.26) | (0.24) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.23) | (0.55) | (0.33) | (0.26) | (0.24) |
Net asset value, end of period | $11.56 | $13.51 | $13.77 | $13.09 | $12.26 |
Total return1 | (12.89)% | 2.16% | 7.85% | 8.91% | (1.66)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.60% | 1.60% | 1.63% | 1.66% | 1.67% |
Net expenses | 1.45% | 1.48% | 1.48% | 1.48% | 1.48% |
Net investment income | 1.28% | 1.13% | 1.85% | 2.25% | 1.89% |
Supplemental data | |||||
Portfolio turnover rate | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $32,889 | $39,628 | $28,342 | $18,195 | $20,550 |
1 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class R6 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $13.54 | $13.79 | $13.11 | $12.28 | $12.73 |
Net investment income | 0.30 | 0.30 | 0.39 1 | 0.41 | 0.39 |
Net realized and unrealized gains (losses) on investments | (1.89) | 0.15 | 0.77 | 0.82 | (0.46) |
Total from investment operations | (1.59) | 0.45 | 1.16 | 1.23 | (0.07) |
Distributions to shareholders from | |||||
Net investment income | (0.26) | (0.32) | (0.41) | (0.40) | (0.38) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.37) | (0.70) | (0.48) | (0.40) | (0.38) |
Net asset value, end of period | $11.58 | $13.54 | $13.79 | $13.11 | $12.28 |
Total return | (11.95)% | 3.37% | 9.10% | 10.14% | (0.55)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.47% | 0.47% | 0.50% | 0.53% | 0.54% |
Net expenses | 0.31% | 0.35% | 0.35% | 0.35% | 0.35% |
Net investment income | 2.50% | 2.28% | 2.98% | 3.36% | 3.05% |
Supplemental data | |||||
Portfolio turnover rate | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $141,833 | $89,048 | $83,260 | $62,522 | $45,159 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $13.49 | $13.75 | $13.07 | $12.25 | $12.69 |
Net investment income | 0.26 | 0.26 | 0.35 | 0.38 | 0.35 |
Net realized and unrealized gains (losses) on investments | (1.87) | 0.14 | 0.77 | 0.81 | (0.44) |
Total from investment operations | (1.61) | 0.40 | 1.12 | 1.19 | (0.09) |
Distributions to shareholders from | |||||
Net investment income | (0.23) | (0.28) | (0.37) | (0.37) | (0.35) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.34) | (0.66) | (0.44) | (0.37) | (0.35) |
Net asset value, end of period | $11.54 | $13.49 | $13.75 | $13.07 | $12.25 |
Total return | (12.18)% | 3.04% | 8.85% | 9.88% | (0.74)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.79% | 0.79% | 0.82% | 0.85% | 0.86% |
Net expenses | 0.61% | 0.62% | 0.62% | 0.62% | 0.62% |
Net investment income | 2.09% | 1.95% | 2.71% | 3.07% | 2.74% |
Supplemental data | |||||
Portfolio turnover rate | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $140,779 | $278,294 | $80,099 | $57,316 | $32,241 |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $13.53 | $13.79 | $13.11 | $12.28 | $12.72 |
Net investment income | 0.29 | 0.29 | 0.38 | 0.39 | 0.37 1 |
Net realized and unrealized gains (losses) on investments | (1.87) | 0.14 | 0.77 | 0.83 | (0.44) |
Total from investment operations | (1.58) | 0.43 | 1.15 | 1.22 | (0.07) |
Distributions to shareholders from | |||||
Net investment income | (0.26) | (0.31) | (0.40) | (0.39) | (0.37) |
Net realized gains | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.37) | (0.69) | (0.47) | (0.39) | (0.37) |
Net asset value, end of period | $11.58 | $13.53 | $13.79 | $13.11 | $12.28 |
Total return | (11.92)% | 3.24% | 9.05% | 10.17% | (0.52)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.52% | 0.52% | 0.55% | 0.58% | 0.59% |
Net expenses | 0.37% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 2.40% | 2.19% | 2.92% | 3.29% | 3.00% |
Supplemental data | |||||
Portfolio turnover rate | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $1,965,302 | $1,774,619 | $836,162 | $524,743 | $264,292 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $ 2,227,396 |
Gross unrealized losses | (211,582,679) |
Net unrealized losses | $(209,355,283) |
■ | 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 | $ 513,483,864 | $ 0 | $ 513,483,864 |
Asset-backed securities | 0 | 172,848,058 | 0 | 172,848,058 |
Corporate bonds and notes | 0 | 479,572,765 | 0 | 479,572,765 |
Foreign corporate bonds and notes | 0 | 48,084,391 | 0 | 48,084,391 |
Foreign government bonds | 0 | 69,868,489 | 0 | 69,868,489 |
Loans | 0 | 18,207,279 | 938,582 | 19,145,861 |
Municipal obligations | 0 | 7,836,667 | 0 | 7,836,667 |
Non-agency mortgage-backed securities | 0 | 348,382,816 | 0 | 348,382,816 |
U.S. Treasury securities | 679,363,605 | 0 | 0 | 679,363,605 |
Yankee corporate bonds and notes | 0 | 316,712,671 | 0 | 316,712,671 |
Yankee government bonds | 0 | 37,618,772 | 0 | 37,618,772 |
Short-term investments | ||||
Investment companies | 182,385,712 | 0 | 0 | 182,385,712 |
U.S. Treasury Securities | 15,986,653 | 0 | 0 | 15,986,653 |
877,735,970 | 2,012,615,772 | 938,582 | 2,891,290,324 | |
Forward foreign currency contracts | 0 | 4,817,649 | 0 | 4,817,649 |
Futures contracts | 817,808 | 0 | 0 | 817,808 |
Total assets | $878,553,778 | $2,017,433,421 | $938,582 | $2,896,925,781 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 271,960 | $ 0 | $ 271,960 |
Futures contracts | 562,831 | 0 | 0 | 562,831 |
Swap contracts | 0 | 487,867 | 0 | 487,867 |
Total liabilities | $ 562,831 | $ 759,827 | $ 0 | $ 1,322,658 |
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 | |
$6,603,429,466 | $1,691,115,909 | $6,489,100,546 | $946,488,850 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Barclays Capital Incorporated | $ 4,410,163 | $ (4,410,163) | $0 |
Citigroup Global Markets Incorporated | 494,971 | (494,971) | 0 |
Credit Suisse Securities (USA) LLC | 1,830,962 | (1,830,962) | 0 |
Jefferies LLC | 24,560 | (24,560) | 0 |
Morgan Stanley & Company LLC | 521,414 | (521,414) | 0 |
Nomura Securities International Incorporated | 49,742,690 | (49,742,690) | 0 |
Futures contracts | |
Average notional balance on long futures | $252,901,875 |
Average notional balance on short futures | 167,497,430 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 18,842,841 |
Average contract amounts to sell | 103,310,118 |
Swap contracts | |
Average notional balance | $ 15,381,986 |
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 | $ 817,808* | Unrealized losses on futures contracts | $ 562,831* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 4,817,649 | Unrealized losses on forward foreign currency contracts | 271,960 | |
Credit risk | Net unrealized gains on swap contracts | 0* | Net unrealized losses on swap contracts | 487,867* | |
$5,635,457 | $1,322,658 |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ (2,716,829) | $ 0 | $ (2,716,829) |
Foreign currency risk | 10,488,189 | 0 | 0 | 10,488,189 |
Credit risk | 0 | 0 | (284,669) | (284,669) |
$10,488,189 | $(2,716,829) | $(284,669) | $ 7,486,691 |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ 1,726,604 | $ 0 | $ 1,726,604 |
Foreign currency risk | 4,005,834 | 0 | 0 | 4,005,834 |
Credit risk | 0 | 0 | (33,006) | (33,006) |
$4,005,834 | $1,726,604 | $(33,006) | $5,699,432 |
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 | $4,817,649 | $(271,960) | $4,545,689 | $0 |
Counterparty | Gross amounts of assets in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank NA | $271,960 | $(271,960) | $0 | $0 |
Year ended August 31 | ||
2022 | 2021 | |
Ordinary income | $62,108,762 | $69,843,148 |
Long-term capital gain | 7,053,505 | 17,074,335 |
Undistributed ordinary income | Unrealized losses | Post-October capital losses deferred |
$7,945,882 | $(209,814,054) | $(116,471,034) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877imgd82e672d6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g399877img331101261.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399877img92baa60b7.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A219/AR219 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623img19a6e9b21.jpg)
Government Securities Fund
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623img0ef294582.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623img2c53656d3.jpg)
President
Allspring Funds
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 August 31, 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 | -14.95 | -0.96 | 0.12 | -10.95 | -0.05 | 0.59 | 0.90 | 0.86 | ||
Class C (WGSCX) | 12-26-2002 | -12.71 | -0.82 | -0.01 | -11.71 | -0.82 | -0.01 | 1.65 | 1.61 | ||
Administrator Class (WGSDX) | 4-8-2005 | – | – | – | -10.78 | 0.14 | 0.79 | 0.84 | 0.65 | ||
Institutional Class (SGVIX) | 8-31-1999 | – | – | – | -10.63 | 0.31 | 0.96 | 0.57 | 0.49 | ||
Bloomberg U.S. Aggregate ex Credit Index3 | – | – | – | – | -10.28 | 0.27 | 0.98 | – | – | ||
Bloomberg U.S. Government Intermediate Bond Index4 | – | – | – | – | -7.53 | 0.55 | 0.83 | – | – |
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 1- 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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623imgc83da8b34.gif)
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. Aggregate ex Credit Index and Bloomberg U.S. Government Intermediate Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 4.50%. |
■ | The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate ex Credit Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund’s out-of-benchmark allocation to agency and private-label collateralized mortgage obligations (CMOs) and overweight to commercial mortgage-backed securities (CMBS) detracted from performance given significant spread widening during the first half of 2022. Security selection within CMBS contributed given the Fund’s overweight to agency CMBS and shorter-duration conduit CMBS. |
■ | The Fund’s overweight to agency debentures contributed to performance. However, security selection detracted due to overweights in the long end of the curve. |
■ | A modest underweight to agency mortgage-backed securities (MBS) contributed to performance, while positioning detracted due to overweights in lower coupons. |
■ | The Fund’s duration and yield-curve positioning contributed to performance. |
Ten largest holdings (%) as of August 31, 20221 | |
U.S. Treasury Note, 2.75%, 4-30-2027 | 4.38 |
FNMA, 2.00%, 2-1-2052 | 3.18 |
State of Israel, 5.50%, 12-4-2023 | 3.00 |
FNMA, 2.00%, 2-1-2052 | 2.53 |
Resolution Funding Corporation STRIPS, 0.00%, 1-15-2030 | 2.32 |
FNMA, 2.00%, 2-1-2052 | 2.23 |
STRIPS, 0.00%, 5-15-2039 | 2.17 |
FNMA, 4.50%, 9-14-2052 | 2.14 |
GNMA, 2.50%, 4-20-2052 | 2.00 |
U.S. Treasury Bond, 2.25%, 5-15-2041 | 1.97 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623img584a2c3b5.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 923.87 | $4.07 | 0.84% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.97 | $4.28 | 0.84% |
Class C | ||||
Actual | $1,000.00 | $ 919.41 | $7.74 | 1.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.14 | $8.13 | 1.60% |
Administrator Class | ||||
Actual | $1,000.00 | $ 923.88 | $3.10 | 0.64% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.98 | $3.26 | 0.64% |
Institutional Class | ||||
Actual | $1,000.00 | $ 924.63 | $2.33 | 0.48% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.79 | $2.45 | 0.48% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 77.78% | ||||||
FHLB | 5.50% | 7-15-2036 | $ | 1,150,000 | $ 1,372,196 | |
FHLB | 5.63 | 3-14-2036 | 6,020,000 | 7,146,739 | ||
FHLMC ¤ | 0.00 | 9-15-2036 | 2,500,000 | 1,450,331 | ||
FHLMC ¤ | 0.00 | 11-15-2038 | 1,575,000 | 835,595 | ||
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 1.81 | 7-1-2031 | 3,013,000 | 3,006,610 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16 | 9-1-2031 | 2,354 | 2,340 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16 | 9-1-2031 | 31,549 | 31,264 | ||
FHLMC | 2.50 | 11-1-2051 | 10,150,611 | 9,112,606 | ||
FHLMC (12 Month LIBOR +1.68%) ± | 2.64 | 7-1-2038 | 534,717 | 546,763 | ||
FHLMC (1 Year Treasury Constant Maturity +2.15%) ± | 2.71 | 10-1-2026 | 50,602 | 49,998 | ||
FHLMC | 3.00 | 6-1-2050 | 558,294 | 523,032 | ||
FHLMC | 3.00 | 7-1-2050 | 1,459,795 | 1,367,597 | ||
FHLMC | 3.00 | 8-1-2050 | 709,267 | 664,464 | ||
FHLMC | 3.00 | 8-1-2050 | 3,056,933 | 2,849,017 | ||
FHLMC (3 Year Treasury Constant Maturity +2.28%) ± | 3.05 | 5-1-2026 | 5,431 | 5,396 | ||
FHLMC (11th District COFI +1.25%) ± | 3.30 | 7-1-2032 | 154,864 | 149,781 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.38 | 6-1-2032 | 4,968 | 4,936 | ||
FHLMC | 3.50 | 8-1-2045 | 1,351,966 | 1,310,471 | ||
FHLMC | 3.50 | 11-1-2045 | 2,367,834 | 2,297,147 | ||
FHLMC | 3.50 | 12-1-2045 | 1,707,038 | 1,654,642 | ||
FHLMC | 3.50 | 12-1-2045 | 646,570 | 626,756 | ||
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.53 | 7-1-2029 | 7,449 | 7,403 | ||
FHLMC | 4.00 | 6-1-2044 | 1,277,692 | 1,276,055 | ||
FHLMC | 4.00 | 5-1-2049 | 780,174 | 773,159 | ||
FHLMC | 4.00 | 9-1-2049 | 280,283 | 276,844 | ||
FHLMC | 4.50 | 3-1-2042 | 101,812 | 104,001 | ||
FHLMC | 4.50 | 9-1-2044 | 1,440,839 | 1,471,839 | ||
FHLMC | 4.50 | 9-1-2049 | 3,218,848 | 3,233,347 | ||
FHLMC | 5.00 | 6-1-2026 | 157,455 | 161,219 | ||
FHLMC | 5.00 | 8-1-2040 | 452,684 | 472,941 | ||
FHLMC | 5.50 | 7-1-2035 | 1,400,840 | 1,477,819 | ||
FHLMC | 5.50 | 12-1-2038 | 767,171 | 814,088 | ||
FHLMC | 6.00 | 10-1-2032 | 12,615 | 13,602 | ||
FHLMC (1 Year Treasury Constant Maturity +2.13%) ± | 6.38 | 1-1-2026 | 8,994 | 8,948 | ||
FHLMC | 6.50 | 9-1-2028 | 6,883 | 7,172 | ||
FHLMC | 6.50 | 7-1-2031 | 1 | 1 | ||
FHLMC | 7.00 | 12-1-2023 | 321 | 324 | ||
FHLMC | 7.00 | 12-1-2026 | 183 | 187 | ||
FHLMC | 7.00 | 4-1-2029 | 687 | 724 | ||
FHLMC | 7.00 | 5-1-2029 | 3,392 | 3,577 | ||
FHLMC | 7.00 | 4-1-2032 | 41,817 | 44,995 | ||
FHLMC | 7.50 | 11-1-2031 | 56,926 | 58,143 | ||
FHLMC | 7.50 | 4-1-2032 | 104,831 | 110,954 | ||
FHLMC | 8.00 | 8-1-2023 | 589 | 590 | ||
FHLMC | 8.00 | 6-1-2024 | 779 | 793 | ||
FHLMC | 8.00 | 6-1-2024 | 914 | 915 | ||
FHLMC | 8.00 | 6-1-2024 | 1,652 | 1,654 | ||
FHLMC | 8.00 | 8-1-2026 | 4,169 | 4,361 | ||
FHLMC | 8.00 | 11-1-2026 | 4,519 | 4,721 | ||
FHLMC | 8.00 | 11-1-2028 | 2,052 | 2,111 | ||
FHLMC | 8.50 | 12-1-2025 | 2,441 | 2,513 | ||
FHLMC | 8.50 | 5-1-2026 | 393 | 394 | ||
FHLMC | 8.50 | 8-1-2026 | 2,550 | 2,552 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2 Class A1 | 2.75% | 3-25-2027 | $ | 3,647,994 | $ 3,595,335 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KW02 Class A1 | 2.90 | 4-25-2026 | 5,085,428 | 4,999,054 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KW03 Class A1 | 2.62 | 12-25-2026 | 2,756,675 | 2,708,788 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K075 Class A2 ±± | 3.65 | 2-25-2028 | 4,370,000 | 4,339,039 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KF80 Class AS (30 Day Average U.S. SOFR +0.51%) ± | 2.06 | 6-25-2030 | 1,389,410 | 1,379,639 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 319,402 | 305,463 | ||
FHLMC Series 2733 Class FB (1 Month LIBOR +0.60%) ± | 2.99 | 10-15-2033 | 218,606 | 218,534 | ||
FHLMC Series 3070 Class FT (1 Month LIBOR +0.35%) ± | 2.74 | 11-15-2035 | 441,783 | 440,626 | ||
FHLMC Series 3614 Class QB | 4.00 | 12-15-2024 | 339,100 | 339,280 | ||
FHLMC Series 3830 Class FD (1 Month LIBOR +0.36%) ± | 2.75 | 3-15-2041 | 187,762 | 187,173 | ||
FHLMC Series 3906 Class EA | 3.00 | 5-15-2026 | 75,639 | 75,297 | ||
FHLMC Series 4057 Class FN (1 Month LIBOR +0.35%) ± | 2.74 | 12-15-2041 | 134,609 | 133,817 | ||
FHLMC Series 4068 Class FK (1 Month LIBOR +0.30%) ± | 2.69 | 6-15-2040 | 72,304 | 72,277 | ||
FHLMC Series 4093 Class FB (1 Month LIBOR +0.35%) ± | 2.74 | 7-15-2039 | 197,398 | 197,424 | ||
FHLMC Series 4159 Class AF (1 Month LIBOR +1.18%) ± | 3.57 | 12-15-2036 | 172,894 | 176,003 | ||
FHLMC Series 4218 Class DF (1 Month LIBOR +0.25%) ± | 2.64 | 7-15-2042 | 222,124 | 219,741 | ||
FHLMC Series 4409 Class MA | 3.00 | 1-15-2054 | 25,792 | 25,334 | ||
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 169,013 | 166,922 | ||
FHLMC Series 4620 Class AF (1 Month LIBOR +0.44%) ± | 2.15 | 11-15-2042 | 1,799,887 | 1,794,156 | ||
FHLMC Series K039 Class A2 | 3.30 | 7-25-2024 | 325,000 | 321,788 | ||
FHLMC Series K153 Class A3 ±± | 3.12 | 10-25-2031 | 160,000 | 150,815 | ||
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 2.84 | 11-25-2028 | 51,773 | 51,671 | ||
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 2.72 | 9-25-2031 | 367,752 | 365,514 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 525,960 | 599,419 | ||
FHLMC Series T-55 Class 2A1 ±± | 3.11 | 3-25-2043 | 250,122 | 239,414 | ||
FHLMC Series T-56 Class A4 | 6.00 | 5-25-2043 | 3,023,821 | 3,218,413 | ||
FHLMC Series T-57 Class 1A1 | 6.50 | 7-25-2043 | 693,412 | 744,646 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.58 | 7-25-2043 | 1,325,527 | 1,285,659 | ||
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 2.06 | 10-25-2044 | 523,130 | 545,129 | ||
FHLMC Series T-67 Class 1A1C ±± | 3.22 | 3-25-2036 | 476,899 | 486,136 | ||
FHLMC Series T-67 Class 2A1C ±± | 3.32 | 3-25-2036 | 801,934 | 835,527 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 6,510,000 | 3,490,161 | ||
FNMA | 1.38 | 7-1-2030 | 4,034,170 | 3,436,595 | ||
FNMA | 1.65 | 6-1-2030 | 1,396,175 | 1,210,903 | ||
FNMA | 1.65 | 7-1-2030 | 2,391,210 | 2,062,058 | ||
FNMA | 1.66 | 7-1-2032 | 4,079,220 | 3,423,737 | ||
FNMA | 1.97 | 5-1-2030 | 4,393,103 | 3,899,737 | ||
FNMA (12 Month LIBOR +1.73%) ± | 1.98 | 9-1-2036 | 165,076 | 168,519 | ||
FNMA | 2.00 | 2-1-2052 | 15,844,428 | 13,640,870 | ||
FNMA | 2.00 | 2-1-2052 | 19,880,678 | 17,130,728 | ||
FNMA | 2.00 | 2-1-2052 | 13,968,056 | 12,022,017 | ||
FNMA (11th District COFI +1.29%) ± | 2.02 | 5-1-2036 | 393,174 | 380,090 | ||
FNMA | 2.32 | 1-1-2026 | 6,104,268 | 5,825,223 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 69,231 | 68,553 | ||
FNMA (11th District COFI +1.25%) ± | 2.35 | 9-1-2027 | 77,903 | 76,400 | ||
FNMA | 2.35 | 2-1-2032 | 2,279,581 | 2,031,770 | ||
FNMA (12 Month LIBOR +1.62%) ± | 2.39 | 8-1-2050 | 1,583,838 | 1,476,718 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.48 | 5-1-2046 | 814,938 | 825,493 | ||
FNMA | 2.50 | 9-1-2050 | 391,038 | 350,509 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA %% | 2.50% | 9-14-2052 | $ | 6,020,000 | $ 5,374,731 | |
FNMA | 2.51 | 9-1-2031 | 5,134,215 | 4,649,866 | ||
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 2.52 | 7-1-2026 | 10,052 | 9,990 | ||
FNMA | 2.60 | 12-1-2023 | 1,852,160 | 1,829,537 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 2.63 | 12-1-2034 | 150,869 | 148,662 | ||
FNMA | 2.65 | 2-1-2032 | 2,885,839 | 2,616,996 | ||
FNMA | 2.65 | 2-1-2032 | 2,244,542 | 2,042,884 | ||
FNMA | 2.75 | 9-1-2031 | 897,738 | 823,733 | ||
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.85 | 12-1-2040 | 17,515 | 17,346 | ||
FNMA | 2.86 | 7-1-2029 | 980,235 | 925,235 | ||
FNMA (11th District COFI +1.26%) ± | 2.97 | 5-1-2036 | 173,038 | 172,781 | ||
FNMA | 3.00 | 5-1-2027 | 337,724 | 331,894 | ||
FNMA | 3.00 | 6-1-2034 | 2,475,462 | 2,404,044 | ||
FNMA | 3.00 | 4-1-2045 | 32,651 | 30,891 | ||
FNMA | 3.00 | 11-1-2045 | 2,876,036 | 2,720,273 | ||
FNMA | 3.00 | 12-1-2045 | 6,859,516 | 6,487,764 | ||
FNMA | 3.00 | 12-1-2046 | 252,565 | 239,231 | ||
FNMA | 3.00 | 8-1-2050 | 3,394,494 | 3,157,494 | ||
FNMA | 3.00 | 9-1-2050 | 3,378,962 | 3,159,037 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.06 | 12-1-2040 | 59,064 | 60,590 | ||
FNMA (1 Year Treasury Constant Maturity +2.43%) ± | 3.18 | 10-1-2027 | 36,263 | 36,072 | ||
FNMA (12 Month LIBOR +1.77%) ± | 3.21 | 7-1-2044 | 81,733 | 84,378 | ||
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.34 | 6-1-2032 | 67,412 | 67,041 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.40 | 9-1-2035 | 158,944 | 163,173 | ||
FNMA | 3.48 | 3-1-2029 | 881,428 | 865,487 | ||
FNMA | 3.50 | 4-1-2034 | 3,852,616 | 3,811,211 | ||
FNMA %% | 3.50 | 9-19-2037 | 6,880,000 | 6,756,125 | ||
FNMA | 3.50 | 2-1-2043 | 17,369 | 16,907 | ||
FNMA | 3.50 | 2-1-2045 | 387,829 | 377,534 | ||
FNMA | 3.50 | 4-1-2045 | 1,705,485 | 1,654,505 | ||
FNMA | 3.50 | 8-1-2045 | 148,688 | 144,006 | ||
FNMA | 3.50 | 12-1-2045 | 603,245 | 584,974 | ||
FNMA | 3.50 | 2-1-2046 | 598,124 | 578,407 | ||
FNMA | 3.63 | 3-1-2029 | 375,432 | 371,705 | ||
FNMA | 3.77 | 3-1-2029 | 952,988 | 950,818 | ||
FNMA | 3.86 | 3-1-2029 | 803,145 | 805,206 | ||
FNMA %% | 4.00 | 9-19-2037 | 6,785,000 | 6,761,320 | ||
FNMA | 4.00 | 4-1-2046 | 4,497,374 | 4,468,092 | ||
FNMA | 4.00 | 3-1-2047 | 1,034,242 | 1,030,899 | ||
FNMA | 4.00 | 9-1-2048 | 84,904 | 84,150 | ||
FNMA %% | 4.00 | 9-14-2052 | 3,035,000 | 2,962,207 | ||
FNMA (12 Month LIBOR +1.78%) ± | 4.03 | 8-1-2036 | 459,367 | 475,603 | ||
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 4.07 | 9-1-2031 | 16,707 | 16,620 | ||
FNMA | 4.38 | 7-1-2032 | 1,031,000 | 1,067,310 | ||
FNMA | 4.50 | 1-1-2026 | 8,501 | 8,598 | ||
FNMA | 4.50 | 10-1-2046 | 97,857 | 98,548 | ||
FNMA | 4.50 | 9-1-2049 | 894,207 | 896,098 | ||
FNMA %% | 4.50 | 9-14-2052 | 11,605,000 | 11,534,282 | ||
FNMA (6 Month LIBOR +3.13%) ± | 4.99 | 7-1-2033 | 116,271 | 115,922 | ||
FNMA | 5.00 | 4-1-2023 | 4,244 | 4,341 | ||
FNMA | 5.00 | 6-1-2023 | 27,169 | 27,795 | ||
FNMA | 5.00 | 3-1-2034 | 196,453 | 204,477 | ||
FNMA | 5.00 | 8-1-2040 | 2,357,289 | 2,419,545 | ||
FNMA | 5.00 | 10-1-2040 | 231,259 | 241,405 | ||
FNMA | 5.00 | 1-1-2042 | 194,205 | 203,162 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 5.00% | 12-1-2048 | $ | 237,087 | $ 240,656 | |
FNMA %% | 5.00 | 9-15-2052 | 2,685,000 | 2,709,544 | ||
FNMA | 5.50 | 11-1-2023 | 5,813 | 5,828 | ||
FNMA | 5.50 | 1-1-2025 | 1,506 | 1,506 | ||
FNMA | 5.50 | 1-1-2025 | 6,577 | 6,575 | ||
FNMA | 5.50 | 9-1-2033 | 947,724 | 1,001,372 | ||
FNMA | 5.50 | 9-1-2033 | 298,424 | 313,291 | ||
FNMA | 5.50 | 8-1-2035 | 314,041 | 332,921 | ||
FNMA | 5.50 | 1-1-2037 | 246,752 | 261,586 | ||
FNMA | 5.50 | 4-1-2040 | 645,732 | 684,545 | ||
FNMA | 5.63 | 7-15-2037 | 1,225,000 | 1,481,369 | ||
FNMA | 6.00 | 3-1-2024 | 10,675 | 11,032 | ||
FNMA | 6.00 | 1-1-2028 | 331,488 | 342,635 | ||
FNMA | 6.00 | 2-1-2035 | 544,946 | 557,927 | ||
FNMA | 6.00 | 11-1-2037 | 206,671 | 222,675 | ||
FNMA | 6.00 | 7-1-2038 | 68,250 | 73,534 | ||
FNMA | 6.50 | 3-1-2028 | 6,849 | 6,901 | ||
FNMA | 6.50 | 12-1-2029 | 81,110 | 84,444 | ||
FNMA | 6.50 | 11-1-2031 | 17,190 | 17,897 | ||
FNMA | 6.50 | 7-1-2036 | 169,233 | 179,907 | ||
FNMA | 6.50 | 7-1-2036 | 81,840 | 85,911 | ||
FNMA | 7.00 | 11-1-2026 | 1,596 | 1,623 | ||
FNMA | 7.00 | 1-1-2032 | 1,197 | 1,212 | ||
FNMA | 7.00 | 2-1-2032 | 32,702 | 34,729 | ||
FNMA | 7.00 | 10-1-2032 | 109,314 | 116,711 | ||
FNMA | 7.00 | 2-1-2034 | 1,487 | 1,563 | ||
FNMA | 7.00 | 4-1-2034 | 53,635 | 56,758 | ||
FNMA | 7.00 | 1-1-2036 | 5,598 | 5,773 | ||
FNMA | 7.50 | 9-1-2031 | 38,506 | 40,819 | ||
FNMA | 7.50 | 2-1-2032 | 16,489 | 17,435 | ||
FNMA | 7.50 | 10-1-2037 | 359,811 | 393,919 | ||
FNMA | 8.00 | 5-1-2027 | 16,564 | 16,611 | ||
FNMA | 8.00 | 6-1-2028 | 612 | 615 | ||
FNMA | 8.00 | 2-1-2030 | 18,705 | 18,808 | ||
FNMA | 8.00 | 7-1-2031 | 390,419 | 409,228 | ||
FNMA | 8.50 | 8-1-2024 | 1,099 | 1,099 | ||
FNMA | 8.50 | 5-1-2026 | 23,385 | 23,644 | ||
FNMA | 8.50 | 7-1-2026 | 7,677 | 7,680 | ||
FNMA | 8.50 | 11-1-2026 | 1,552 | 1,560 | ||
FNMA | 8.50 | 11-1-2026 | 15,488 | 15,492 | ||
FNMA | 8.50 | 12-1-2026 | 45,803 | 47,675 | ||
FNMA | 8.50 | 12-1-2026 | 6,628 | 6,861 | ||
FNMA | 8.50 | 3-1-2027 | 427 | 435 | ||
FNMA | 8.50 | 6-1-2027 | 24,245 | 24,378 | ||
FNMA | 9.00 | 1-1-2025 | 4,994 | 5,029 | ||
FNMA | 9.00 | 3-1-2025 | 884 | 884 | ||
FNMA | 9.00 | 3-1-2025 | 114 | 114 | ||
FNMA | 9.00 | 7-1-2028 | 1,379 | 1,383 | ||
FNMA | 9.50 | 7-1-2028 | 2,201 | 2,201 | ||
FNMA | 2.50 | 1-1-2052 | 10,169,280 | 9,091,672 | ||
FNMA | 3.00 | 10-1-2051 | 1,892,984 | 1,759,327 | ||
FNMA | 3.00 | 11-1-2051 | 2,879,335 | 2,672,829 | ||
FNMA | 3.50 | 5-1-2052 | 6,002,399 | 5,724,630 | ||
FNMA 2006-50 Class BF (1 Month LIBOR +0.40%) ± | 2.84 | 6-25-2036 | 504,786 | 503,463 | ||
FNMA 2010-136 Class FA (1 Month LIBOR +0.50%) ± | 2.94 | 12-25-2040 | 591,750 | 592,996 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2000-T6 Class A2 | 9.50% | 11-25-2040 | $ | 393,785 | $ 412,897 | |
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 427,873 | 462,406 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 115,592 | 127,153 | ||
FNMA Series 2002 Class 5F (1 Month LIBOR +0.35%) ± | 2.79 | 2-25-2032 | 131,055 | 131,073 | ||
FNMA Series 2002-T1 Class A3 | 7.50 | 11-25-2031 | 184,623 | 197,547 | ||
FNMA Series 2002-T12 Class A5 ±± | 4.33 | 10-25-2041 | 515,011 | 498,657 | ||
FNMA Series 2002-T19 Class A1 | 6.50 | 7-25-2042 | 2,387,912 | 2,518,523 | ||
FNMA Series 2002-T5 Class A1 (1 Month LIBOR +0.24%) ± | 2.68 | 5-25-2032 | 11,276 | 11,266 | ||
FNMA Series 2002-T6 Class A1 | 6.50 | 7-25-2042 | 936,545 | 994,276 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 336,406 | 352,468 | ||
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.14%) ± | 2.46 | 3-25-2033 | 908,968 | 904,595 | ||
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 2.50 | 6-25-2033 | 52,187 | 50,259 | ||
FNMA Series 2003-W1 Class 1A1 ±± | 4.87 | 12-25-2042 | 446,400 | 439,857 | ||
FNMA Series 2003-W11 Class A1 ±± | 3.72 | 6-25-2033 | 28,019 | 28,614 | ||
FNMA Series 2003-W3 Class 1A4 ±± | 3.64 | 8-25-2042 | 1,303,050 | 1,256,796 | ||
FNMA Series 2003-W5 Class A (1 Month LIBOR +0.11%) ± | 2.48 | 4-25-2033 | 234,201 | 229,426 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.36 | 8-25-2042 | 623,272 | 611,636 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.28 | 10-25-2042 | 786,711 | 870,435 | ||
FNMA Series 2003-W8 Class PT1 ±± | 8.37 | 12-25-2042 | 290,897 | 307,943 | ||
FNMA Series 2004-T1 Class 1A2 | 6.50 | 1-25-2044 | 219,014 | 231,275 | ||
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 640,570 | 690,492 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 362,792 | 391,793 | ||
FNMA Series 2005-71 Class DB | 4.50 | 8-25-2025 | 49,888 | 49,645 | ||
FNMA Series 2007-101 Class A2 (1 Month LIBOR +0.25%) ± | 2.68 | 6-27-2036 | 52,380 | 51,634 | ||
FNMA Series 2007-W10 Class 2A ±± | 6.32 | 8-25-2047 | 155,790 | 159,936 | ||
FNMA Series 2008-17 Class DP | 4.75 | 2-25-2038 | 697,315 | 696,285 | ||
FNMA Series 2011-110 Class FE (1 Month LIBOR +0.40%) ± | 2.84 | 4-25-2041 | 55,253 | 55,184 | ||
FNMA Series 2011-128 Class FK (1 Month LIBOR +0.35%) ± | 2.79 | 7-25-2041 | 106,454 | 106,132 | ||
FNMA Series 2011-15 Class HI ♀ | 5.50 | 3-25-2026 | 16 | 0 | ||
FNMA Series 2013-114 Class LM | 4.00 | 3-25-2042 | 765,657 | 751,864 | ||
FNMA Series 2014-17 Class FE (1 Month LIBOR +0.55%) ± | 2.99 | 4-25-2044 | 1,140,584 | 1,144,488 | ||
FNMA Series 2014-20 Class TM ±± | 4.50 | 4-25-2044 | 337,645 | 59,228 | ||
FNMA Series 2017-M2 Class A2 ±± | 2.85 | 2-25-2027 | 7,528,014 | 7,231,200 | ||
FNMA Series 2018-M1 Class A2 ±± | 3.09 | 12-25-2027 | 705,229 | 681,238 | ||
FNMA Series 2018-M13 Class A2 ±± | 3.87 | 9-25-2030 | 389,913 | 389,303 | ||
FNMA Series 2019-M5 Class A2 | 3.27 | 2-25-2029 | 5,200,000 | 5,022,568 | ||
FNMA Series 265 Class 2 | 9.00 | 3-25-2024 | 5,731 | 5,816 | ||
FNMA Series G93-39 Class ZQ | 6.50 | 12-25-2023 | 129,166 | 130,012 | ||
GNMA %% | 2.00 | 9-21-2052 | 9,550,000 | 8,432,911 | ||
GNMA | 2.50 | 3-20-2052 | 5,082,296 | 4,641,406 | ||
GNMA | 2.50 | 4-20-2052 | 11,827,266 | 10,791,306 | ||
GNMA | 3.00 | 11-20-2045 | 3,147,896 | 3,005,285 | ||
GNMA | 3.00 | 4-20-2051 | 4,763,548 | 4,489,416 | ||
GNMA | 3.50 | 12-20-2047 | 2,883,098 | 2,812,020 | ||
GNMA | 3.50 | 7-20-2051 | 2,334,635 | 2,255,525 | ||
GNMA | 4.00 | 11-15-2024 | 261,217 | 263,603 | ||
GNMA | 4.00 | 12-20-2047 | 1,952,984 | 1,948,132 | ||
GNMA | 4.25 | 6-20-2036 | 197,728 | 198,946 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 4.50% | 8-20-2049 | $ | 441,988 | $ 443,939 | |
GNMA %% | 4.50 | 9-21-2052 | 2,705,000 | 2,705,422 | ||
GNMA | 5.00 | 7-20-2040 | 434,501 | 452,181 | ||
GNMA %% | 5.00 | 9-21-2052 | 2,140,000 | 2,168,254 | ||
GNMA | 6.00 | 8-20-2034 | 40,665 | 41,410 | ||
GNMA | 6.50 | 12-15-2025 | 3,628 | 3,786 | ||
GNMA | 6.50 | 5-15-2029 | 332 | 346 | ||
GNMA | 6.50 | 5-15-2031 | 567 | 592 | ||
GNMA | 6.50 | 9-20-2033 | 27,142 | 29,066 | ||
GNMA | 7.00 | 12-15-2022 | 67 | 67 | ||
GNMA | 7.00 | 5-15-2026 | 673 | 686 | ||
GNMA | 7.00 | 3-15-2028 | 5,211 | 5,216 | ||
GNMA | 7.00 | 4-15-2031 | 568 | 570 | ||
GNMA | 7.00 | 8-15-2031 | 15,259 | 15,447 | ||
GNMA | 7.00 | 3-15-2032 | 11,564 | 11,639 | ||
GNMA | 8.00 | 6-15-2023 | 253 | 254 | ||
GNMA | 8.00 | 12-15-2023 | 15,716 | 15,736 | ||
GNMA | 8.00 | 2-15-2024 | 108 | 109 | ||
GNMA | 8.00 | 9-15-2024 | 53 | 53 | ||
GNMA | 8.00 | 6-15-2025 | 12 | 12 | ||
GNMA Series 2005-23 Class IO ♀±± | 0.00 | 6-17-2045 | 566,407 | 33 | ||
GNMA Series 2006-32 Class XM ♀±± | 0.13 | 11-16-2045 | 2,250,793 | 23 | ||
GNMA Series 2008-22 Class XM ♀±± | 1.26 | 2-16-2050 | 6,772,674 | 150,213 | ||
GNMA Series 2010-158 Class EI ♀ | 4.00 | 12-16-2025 | 1,861,326 | 55,543 | ||
GNMA Series 2012-12 Class HD | 2.00 | 5-20-2062 | 18,397 | 17,204 | ||
GNMA Series 2019-H06 Class HI ♀±± | 1.81 | 4-20-2069 | 3,283,545 | 114,163 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 1-15-2030 | 16,245,000 | 12,463,368 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 4-15-2030 | 9,185,000 | 6,975,374 | ||
STRIPS ¤ | 0.00 | 7-15-2037 | 7,810,000 | 4,420,541 | ||
STRIPS ¤ | 0.00 | 5-15-2039 | 20,000,000 | 11,670,276 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 7,275,000 | 3,901,204 | ||
TVA | 4.25 | 9-15-2065 | 2,600,000 | 2,615,359 | ||
TVA | 4.63 | 9-15-2060 | 7,550,000 | 8,166,022 | ||
TVA | 5.38 | 4-1-2056 | 5,000,000 | 6,045,507 | ||
TVA | 5.88 | 4-1-2036 | 4,380,000 | 5,219,418 | ||
TVA STRIPS ¤ | 0.00 | 11-1-2025 | 5,650,000 | 5,009,041 | ||
TVA STRIPS ¤ | 0.00 | 6-15-2035 | 2,448,000 | 1,481,392 | ||
TVA STRIPS ¤ | 0.00 | 1-15-2048 | 1,000,000 | 323,883 | ||
U.S. International Development Finance Corporation ¤ | 0.00 | 1-17-2026 | 2,000,000 | 2,014,377 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 5,713,333 | 5,630,415 | ||
U.S. International Development Finance Corporation | 2.82 | 3-20-2024 | 5,070,000 | 5,023,320 | ||
Total Agency securities (Cost $445,295,243) | 418,679,786 | |||||
Asset-backed securities: 1.38% | ||||||
American Tower Trust I 144A | 3.65 | 3-15-2048 | 4,000,000 | 3,839,578 | ||
Navient Student Loan Trust Series 2017-3A Class A2 (1 Month LIBOR +0.60%) 144A± | 3.04 | 7-26-2066 | 129,086 | 128,950 | ||
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 2.86 | 3-25-2067 | 736,274 | 733,659 | ||
Navient Student Loan Trust Series 2019-2A Class A2 (1 Month LIBOR +1.00%) 144A± | 3.44 | 2-27-2068 | 2,762,275 | 2,716,761 | ||
Total Asset-backed securities (Cost $7,632,344) | 7,418,948 |
Interest rate | Maturity date | Principal | Value | |||
Corporate bonds and notes: 2.59% | ||||||
Financials: 2.06% | ||||||
Consumer finance: 1.70% | ||||||
Private Export Funding Corporation 144A | 0.55% | 7-30-2024 | $ | 9,715,000 | $ 9,164,773 | |
Diversified financial services: 0.36% | ||||||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 2,000,000 | 1,917,777 | ||
Industrials: 0.53% | ||||||
Commercial services & supplies: 0.53% | ||||||
Rockfeller Foundation Class B | 2.49 | 10-1-2050 | 4,000,000 | 2,846,416 | ||
Total Corporate bonds and notes (Cost $15,861,558) | 13,928,966 | |||||
Non-agency mortgage-backed securities: 6.86% | ||||||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 707,688 | 673,306 | ||
Arroyo Mortgage Trust Series 2019-1 Class A1 144A±± | 3.81 | 1-25-2049 | 1,488,174 | 1,427,768 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 305,000 | 289,207 | ||
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 2,125,325 | 2,041,137 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 3,030,000 | 2,675,562 | ||
CD Commercial Mortgage Trust Series 2014-CR16 Class A3 | 3.78 | 4-10-2047 | 2,540,783 | 2,507,208 | ||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46 | 11-13-2050 | 2,340,000 | 2,228,082 | ||
Firstkey Homes 2020 SFR1 Trust Series 2021-SFR1 Class A 144A | 1.54 | 8-17-2038 | 1,244,266 | 1,102,981 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-G1 Class A2 144A±± | 3.56 | 4-10-2031 | 2,863,071 | 2,842,142 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC24 Class A4 | 3.67 | 9-10-2047 | 4,049,163 | 3,982,108 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C28 Class A4 | 3.23 | 10-15-2048 | 5,000,000 | 4,828,921 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 2,589,416 | 2,483,425 | ||
New Residential Mortgage Loan Series 2020-NQM2 Class A1 144A±± | 1.65 | 5-24-2060 | 432,424 | 404,132 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 4,144,422 | 3,672,728 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.35 | 11-25-2060 | 2,757,150 | 2,733,235 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 2,581,000 | 2,458,542 | ||
Vendee Mortgage Trust Series 1995-1 Class 4 ±± | 8.01 | 2-15-2025 | 31,447 | 32,305 | ||
Vendee Mortgage Trust Series 1995-2C Class 3A | 8.79 | 6-15-2025 | 56,943 | 59,875 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 506,450 | 479,254 | ||
Total Non-agency mortgage-backed securities (Cost $39,402,337) | 36,921,918 | |||||
U.S. Treasury securities: 14.43% | ||||||
U.S. Treasury Bond | 1.88 | 2-15-2051 | 4,720,000 | 3,443,941 | ||
U.S. Treasury Bond ## | 2.25 | 5-15-2041 | 13,005,000 | 10,605,171 | ||
U.S. Treasury Bond | 2.25 | 2-15-2052 | 5,100,000 | 4,073,625 | ||
U.S. Treasury Bond | 2.38 | 5-15-2051 | 4,435,000 | 3,651,252 | ||
U.S. Treasury Bond | 2.88 | 5-15-2043 | 2,245,000 | 2,000,856 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Bond | 2.88% | 5-15-2052 | $ | 2,780,000 | $ 2,561,944 | |
U.S. Treasury Bond | 3.00 | 2-15-2048 | 5,275,000 | 4,831,364 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 5,230,000 | 4,062,648 | ||
U.S. Treasury Note | 2.63 | 5-31-2027 | 9,770,000 | 9,462,398 | ||
U.S. Treasury Note | 2.75 | 4-30-2027 | 24,245,000 | 23,598,154 | ||
U.S. Treasury Note | 2.75 | 7-31-2027 | 4,925,000 | 4,793,025 | ||
U.S. Treasury Note | 2.88 | 5-15-2032 | 4,705,000 | 4,585,905 | ||
Total U.S. Treasury securities (Cost $84,624,978) | 77,670,283 | |||||
Yankee corporate bonds and notes: 0.72% | ||||||
Financials: 0.72% | ||||||
Banks: 0.72% | ||||||
Inter-American Development Bank | 7.00 | 6-15-2025 | 2,000,000 | 2,172,103 | ||
International Bank for Reconstruction and Development ¤ | 0.00 | 3-11-2031 | 2,377,000 | 1,735,365 | ||
Total Yankee corporate bonds and notes (Cost $4,214,311) | 3,907,468 | |||||
Yankee government bonds: 4.42% | ||||||
State of Israel | 5.50 | 12-4-2023 | 15,790,000 | 16,155,563 | ||
State of Israel | 5.50 | 9-18-2033 | 6,585,000 | 7,631,909 | ||
Total Yankee government bonds (Cost $25,838,563) | 23,787,472 |
Yield | Shares | |||||
Short-term investments: 11.11% | ||||||
Investment companies: 8.14% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09 | 43,810,728 | 43,810,728 |
Principal | ||||||
U.S. Treasury Securities: 2.97% | ||||||
U.S. Treasury Bill ☼ | 2.01 | 9-13-2022 | $ | 16,000,000 | 15,988,426 | |
Total Short-term investments (Cost $59,799,125) | 59,799,154 | |||||
Total investments in securities (Cost $682,668,459) | 119.29% | 642,113,995 | ||||
Other assets and liabilities, net | (19.29) | (103,813,538) | ||||
Total net assets | 100.00% | $ 538,300,457 |
¤ | 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. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
COFI | Cost of Funds Index |
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 | $401,565,479 | $(415,149,549) | $0 | $0 | $43,810,728 | 43,810,728 | $89,474 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 210 | 12-30-2022 | $ 43,813,226 | $ 43,748,906 | $ 0 | $ (64,320) | |
5-Year U.S. Treasury Notes | 213 | 12-30-2022 | 23,712,339 | 23,604,727 | 0 | (107,612) | |
Short | |||||||
10-Year U.S. Treasury Notes | (190) | 12-20-2022 | (22,254,738) | (22,212,187) | 42,551 | 0 | |
U.S. Long Term Bonds | (166) | 12-20-2022 | (22,608,056) | (22,550,063) | 57,993 | 0 | |
U.S. Ultra Bond | (129) | 12-20-2022 | (19,317,659) | (19,285,500) | 32,159 | 0 | |
$132,703 | $(171,932) |
Assets | |
Investments in unaffiliated securities, at value (cost $638,857,731) | $ 598,303,267 |
Investments in affiliated securities, at value (cost $43,810,728) | 43,810,728 |
Cash held at broker | 1,290,000 |
Cash at broker segregated for futures contracts | 2,666,000 |
Receivable for investments sold | 97,716,165 |
Receivable for interest | 2,588,529 |
Receivable for Fund shares sold | 237,722 |
Receivable for daily variation margin on open futures contracts | 229,237 |
Principal paydown receivable | 39,979 |
Prepaid expenses and other assets | 67,284 |
Total assets | 746,948,911 |
Liabilities | |
Payable for when-issued transactions | 148,922,483 |
Payable for investments purchased | 58,841,872 |
Payable for Fund shares redeemed | 428,124 |
Management fee payable | 169,101 |
Dividends payable | 133,977 |
Administration fees payable | 53,050 |
Distribution fee payable | 1,475 |
Accrued expenses and other liabilities | 98,372 |
Total liabilities | 208,648,454 |
Total net assets | $538,300,457 |
Net assets consist of | |
Paid-in capital | $ 609,760,750 |
Total distributable loss | (71,460,293) |
Total net assets | $538,300,457 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 196,838,556 |
Shares outstanding – Class A1 | 19,477,365 |
Net asset value per share – Class A | $10.11 |
Maximum offering price per share – Class A2 | $10.59 |
Net assets – Class C | $ 2,078,217 |
Shares outstanding – Class C1 | 205,670 |
Net asset value per share – Class C | $10.10 |
Net assets – Administrator Class | $ 83,432,003 |
Shares outstanding – Administrator Class1 | 8,259,485 |
Net asset value per share – Administrator Class | $10.10 |
Net assets – Institutional Class | $ 255,951,681 |
Shares outstanding – Institutional Class1 | 25,336,816 |
Net asset value per share – Institutional Class | $10.10 |
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 | $ 13,167,780 |
Income from affiliated securities | 89,474 |
Total investment income | 13,257,254 |
Expenses | |
Management fee | 2,766,735 |
Administration fees | |
Class A | 367,071 |
Class C | 4,154 |
Administrator Class | 97,362 |
Institutional Class | 233,766 |
Shareholder servicing fees | |
Class A | 571,988 |
Class C | 6,413 |
Administrator Class | 240,185 |
Distribution fee | |
Class C | 19,208 |
Custody and accounting fees | 23,451 |
Professional fees | 86,089 |
Registration fees | 45,906 |
Shareholder report expenses | 39,507 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 11,031 |
Total expenses | 4,533,259 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (181,260) |
Class A | (47,374) |
Class C | (1) |
Administrator Class | (154,839) |
Institutional Class | (153,818) |
Net expenses | 3,995,967 |
Net investment income | 9,261,287 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (31,813,594) |
Futures contracts | 15,972,666 |
Net realized losses on investments | (15,840,928) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (63,494,984) |
Futures contracts | (751,090) |
Net change in unrealized gains (losses) on investments | (64,246,074) |
Net realized and unrealized gains (losses) on investments | (80,087,002) |
Net decrease in net assets resulting from operations | $(70,825,715) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 9,261,287 | $ 8,420,114 | ||
Net realized gains (losses) on investments | (15,840,928) | 3,132,021 | ||
Net change in unrealized gains (losses) on investments | (64,246,074) | (13,317,450) | ||
Net decrease in net assets resulting from operations | (70,825,715) | (1,765,315) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,702,584) | (2,629,349) | ||
Class C | (10,895) | (9,588) | ||
Administrator Class | (1,343,333) | (1,342,037) | ||
Institutional Class | (4,534,056) | (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 | (8,590,868) | (9,442,481) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,408,891 | 15,372,202 | 3,821,440 | 44,148,871 |
Class C | 30,432 | 315,688 | 84,895 | 984,073 |
Administrator Class | 1,353,906 | 14,726,732 | 3,117,628 | 35,945,787 |
Institutional Class | 17,751,806 | 191,802,896 | 11,234,719 | 129,701,776 |
222,217,518 | 210,780,507 | |||
Reinvestment of distributions | ||||
Class A | 223,519 | 2,401,606 | 240,687 | 2,774,757 |
Class C | 883 | 9,353 | 1,425 | 16,461 |
Administrator Class | 122,729 | 1,319,682 | 132,935 | 1,531,630 |
Institutional Class | 314,703 | 3,374,424 | 304,806 | 3,512,623 |
7,105,065 | 7,835,471 | |||
Payment for shares redeemed | ||||
Class A | (5,223,872) | (56,935,298) | (4,674,962) | (53,950,641) |
Class C | (90,454) | (963,071) | (469,382) | (5,425,434) |
Administrator Class | (2,938,959) | (32,001,376) | (3,833,251) | (44,305,484) |
Institutional Class | (19,414,727) | (207,837,081) | (13,070,255) | (150,729,234) |
(297,736,826) | (254,410,793) | |||
Net decrease in net assets resulting from capital share transactions | (68,414,243) | (35,794,815) | ||
Total decrease in net assets | (147,830,826) | (47,002,611) | ||
Net assets | ||||
Beginning of period | 686,131,283 | 733,133,894 | ||
End of period | $ 538,300,457 | $ 686,131,283 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.14 | 0.12 1 | 0.18 1 | 0.23 | 0.19 |
Net realized and unrealized gains (losses) on investments | (1.39) | (0.17) | 0.38 | 0.68 | (0.35) |
Total from investment operations | (1.25) | (0.05) | 0.56 | 0.91 | (0.16) |
Distributions to shareholders from | |||||
Net investment income | (0.13) | (0.11) | (0.19) | (0.25) | (0.20) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.13) | (0.13) | (0.20) | (0.25) | (0.20) |
Net asset value, end of period | $10.11 | $11.49 | $11.67 | $11.31 | $10.65 |
Total return2 | (10.95)% | (0.40)% | 5.02% | 8.65% | (1.44)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.89% | 0.89% | 0.91% | 0.91% | 0.90% |
Net expenses | 0.84% | 0.84% | 0.84% | 0.85% | 0.85% |
Net investment income | 1.28% | 1.00% | 1.56% | 2.20% | 1.86% |
Supplemental data | |||||
Portfolio turnover rate | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $196,839 | $265,018 | $276,310 | $271,986 | $292,550 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.06 1 | 0.03 1 | 0.09 1 | 0.15 1 | 0.12 1 |
Net realized and unrealized gains (losses) on investments | (1.40) | (0.17) | 0.38 | 0.68 | (0.36) |
Total from investment operations | (1.34) | (0.14) | 0.47 | 0.83 | (0.24) |
Distributions to shareholders from | |||||
Net investment income | (0.05) | (0.02) | (0.10) | (0.17) | (0.12) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.05) | (0.04) | (0.11) | (0.17) | (0.12) |
Net asset value, end of period | $10.10 | $11.49 | $11.67 | $11.31 | $10.65 |
Total return2 | (11.71)% | (1.16)% | 4.24% | 7.84% | (2.18)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.63% | 1.64% | 1.66% | 1.66% | 1.65% |
Net expenses | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% |
Net investment income | 0.52% | 0.24% | 0.81% | 1.44% | 1.12% |
Supplemental data | |||||
Portfolio turnover rate | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $2,078 | $3,042 | $7,560 | $11,026 | $15,508 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.48 | $11.66 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.16 1 | 0.14 1 | 0.20 1 | 0.26 1 | 0.22 1 |
Net realized and unrealized gains (losses) on investments | (1.39) | (0.16) | 0.37 | 0.67 | (0.35) |
Total from investment operations | (1.23) | (0.02) | 0.57 | 0.93 | (0.13) |
Distributions to shareholders from | |||||
Net investment income | (0.15) | (0.14) | (0.21) | (0.27) | (0.23) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.15) | (0.16) | (0.22) | (0.27) | (0.23) |
Net asset value, end of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Total return | (10.78)% | (0.21)% | 5.15% | 8.88% | (1.23)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.83% | 0.83% | 0.85% | 0.85% | 0.84% |
Net expenses | 0.64% | 0.64% | 0.64% | 0.64% | 0.64% |
Net investment income | 1.49% | 1.21% | 1.75% | 2.42% | 2.07% |
Supplemental data | |||||
Portfolio turnover rate | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $83,432 | $111,639 | $120,181 | $106,355 | $91,671 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.48 | $11.66 | $11.31 | $10.65 | $11.00 |
Net investment income | 0.17 | 0.16 1 | 0.21 1 | 0.27 1 | 0.24 1 |
Net realized and unrealized gains (losses) on investments | (1.38) | (0.17) | 0.38 | 0.68 | (0.35) |
Total from investment operations | (1.21) | (0.01) | 0.59 | 0.95 | (0.11) |
Distributions to shareholders from | |||||
Net investment income | (0.17) | (0.15) | (0.23) | (0.29) | (0.24) |
Tax basis return of capital | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.17) | (0.17) | (0.24) | (0.29) | (0.24) |
Net asset value, end of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Total return | (10.63)% | (0.05)% | 5.31% | 9.05% | (0.99)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.56% | 0.56% | 0.58% | 0.58% | 0.57% |
Net expenses | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income | 1.66% | 1.36% | 1.87% | 2.56% | 2.22% |
Supplemental data | |||||
Portfolio turnover rate | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $255,952 | $306,431 | $329,083 | $210,424 | $310,966 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $ 1,698,742 |
Gross unrealized losses | (51,647,532) |
Net unrealized losses | $(49,948,790) |
■ | 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 | $ 418,679,786 | $0 | $ 418,679,786 |
Asset-backed securities | 0 | 7,418,948 | 0 | 7,418,948 |
Corporate bonds and notes | 0 | 13,928,966 | 0 | 13,928,966 |
Non-agency mortgage-backed securities | 0 | 36,921,918 | 0 | 36,921,918 |
U.S. Treasury securities | 77,670,283 | 0 | 0 | 77,670,283 |
Yankee corporate bonds and notes | 0 | 3,907,468 | 0 | 3,907,468 |
Yankee government bonds | 0 | 23,787,472 | 0 | 23,787,472 |
Short-term investments | ||||
Investment companies | 43,810,728 | 0 | 0 | 43,810,728 |
U.S. Treasury Securities | 15,988,426 | 0 | 0 | 15,988,426 |
137,469,437 | 504,644,558 | 0 | 642,113,995 | |
Futures contracts | 132,703 | 0 | 0 | 132,703 |
Total assets | $137,602,140 | $504,644,558 | $0 | $642,246,698 |
Liabilities | ||||
Futures contracts | $ 171,932 | $ 0 | $0 | $ 171,932 |
Total liabilities | $ 171,932 | $ 0 | $0 | $ 171,932 |
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 | |
$1,963,586,148 | $226,732,672 | $2,104,053,178 | $99,635,604 |
Year ended August 31 | ||
2022 | 2021 | |
Ordinary income | $8,590,868 | $8,119,461 |
Tax basis return of capital | 0 | 1,323,020 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$347,963 | $(49,948,790) | $(21,709,751) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623img22bdcc4f6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g399623img19a6e9b21.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g399623imge5cefb417.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A216/AR216 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g397493imgb8aa4fd41.jpg)
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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. |
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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. |
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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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
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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 August 31, 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 | -15.67 | 0.05 | 2.89 | -11.76 | 0.97 | 3.36 | 1.02 | 0.93 | ||
Class C (EKHCX) | 1-21-1998 | -13.39 | 0.28 | 2.78 | -12.39 | 0.28 | 2.78 | 1.77 | 1.68 | ||
Administrator Class (EKHYX) | 4-14-1998 | – | – | – | -11.91 | 1.04 | 3.54 | 0.96 | 0.80 | ||
Institutional Class (EKHIX)3 | 10-31-2014 | – | – | – | -11.68 | 1.31 | 3.72 | 0.69 | 0.53 | ||
ICE BofA U.S. High Yield Constrained Index4 | – | – | – | – | -10.42 | 2.41 | 4.43 | – | – |
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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g397493imgc9c10ad74.gif)
■ | The Fund underperformed its benchmark, the ICE BofA U.S. High Yield Constrained Index, for the 12-month period that ended August 31, 2022. |
■ | Detractors from performance included securities in the air leasing, pharmaceutical, and hospital sectors. |
■ | Contributors included debt in the pharmaceutical, leisure, and oil and gas sectors. |
Ten largest holdings (%) as of August 31, 20221 | |
TerraForm Power Operating LLC, 5.00%, 1-31-2028 | 1.47 |
Sabre GLBL Incorporated , 9.25%, 4-15-2025 | 1.41 |
Occidental Petroleum Corporation, 6.45%, 9-15-2036 | 1.34 |
Enviva Partners LP, 6.50%, 1-15-2026 | 1.32 |
Gray Escrow II Incorporated, 5.38%, 11-15-2031 | 1.31 |
CCM Merger Incorporated , 6.38%, 5-1-2026 | 1.20 |
Hawaiian Brand Intellectual Property Limited , 5.75%, 1-20-2026 | 1.08 |
Iron Mountain Incorporated, 4.50%, 2-15-2031 | 1.05 |
Ford Motor Credit Company LLC, 5.11%, 5-3-2029 | 1.02 |
Enact Holdings Incorporated, 6.50%, 8-15-2025 | 1.00 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g397493img4a7181f25.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 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 917.64 | $4.45 | 0.92% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.57 | $4.69 | 0.92% |
Class C | ||||
Actual | $1,000.00 | $ 914.42 | $8.11 | 1.68% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.74 | $8.54 | 1.68% |
Administrator Class | ||||
Actual | $1,000.00 | $ 915.38 | $3.86 | 0.80% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 | 0.80% |
Institutional Class | ||||
Actual | $1,000.00 | $ 916.62 | $2.56 | 0.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.53 | $2.70 | 0.53% |
Shares | Value | ||||
Common stocks: 0.43% | |||||
Energy: 0.18% | |||||
Oil, gas & consumable fuels: 0.18% | |||||
Denbury Incorporated † | 6,070 | $ 539,805 | |||
Financials: 0.25% | |||||
Mortgage REITs: 0.25% | |||||
Blackstone Mortgage Trust Incorporated Class A | 9,000 | 260,820 | |||
Ladder Capital Corporation | 23,000 | 254,380 | |||
Starwood Property Trust Incorporated | 11,000 | 252,230 | |||
767,430 | |||||
Total Common stocks (Cost $1,220,134) | 1,307,235 |
Interest rate | Maturity date | Principal | |||
Corporate bonds and notes: 79.16% | |||||
Communication services: 12.44% | |||||
Diversified telecommunication services: 0.47% | |||||
Level 3 Financing Incorporated 144A | 3.63% | 1-15-2029 | $ 1,775,000 | 1,424,633 | |
Entertainment: 1.16% | |||||
Live Nation Entertainment Incorporated 144A | 3.75 | 1-15-2028 | 1,275,000 | 1,115,906 | |
Live Nation Entertainment Incorporated 144A | 5.63 | 3-15-2026 | 670,000 | 646,550 | |
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 1,735,000 | 1,732,181 | |
3,494,637 | |||||
Media: 10.81% | |||||
CCO Holdings LLC 144A | 4.25 | 2-1-2031 | 50,000 | 40,797 | |
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 890,000 | 677,610 | |
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 2,075,000 | 1,745,023 | |
CCO Holdings LLC 144A | 5.00 | 2-1-2028 | 975,000 | 890,975 | |
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 1,975,000 | 1,874,660 | |
Cinemark USA Incorporated 144A | 5.25 | 7-15-2028 | 1,675,000 | 1,356,867 | |
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 1,250,000 | 1,282,055 | |
Clear Channel Outdoor Holdings 144A | 7.50 | 6-1-2029 | 1,865,000 | 1,499,413 | |
CSC Holdings LLC 144A | 4.13 | 12-1-2030 | 1,750,000 | 1,417,500 | |
CSC Holdings LLC 144A | 5.75 | 1-15-2030 | 1,725,000 | 1,335,909 | |
DIRECTV Financing LLC 144A | 5.88 | 8-15-2027 | 1,060,000 | 969,900 | |
DISH DBS Corporation 144A | 5.75 | 12-1-2028 | 1,225,000 | 940,637 | |
Gray Escrow II Incorporated 144A | 5.38 | 11-15-2031 | 4,675,000 | 3,951,217 | |
Lamar Media Corporation | 4.88 | 1-15-2029 | 890,000 | 826,338 | |
Lamar Media Corporation | 4.00 | 2-15-2030 | 600,000 | 522,372 | |
Match Group Holdings II LLC 144A | 5.63 | 2-15-2029 | 1,655,000 | 1,545,616 | |
Nexstar Broadcasting Incorporated 144A | 4.75 | 11-1-2028 | 950,000 | 859,750 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 905,000 | 861,718 | |
Outfront Media Capital Corporation 144A | 4.63 | 3-15-2030 | 1,275,000 | 1,063,726 | |
Outfront Media Capital Corporation 144A | 5.00 | 8-15-2027 | 1,250,000 | 1,144,075 | |
QVC Incorporated | 4.38 | 9-1-2028 | 1,330,000 | 1,009,357 | |
QVC Incorporated | 4.75 | 2-15-2027 | 2,380,000 | 1,965,713 | |
QVC Incorporated | 5.95 | 3-15-2043 | 700,000 | 483,566 | |
Scripps Escrow II Incorporated 144A« | 5.38 | 1-15-2031 | 125,000 | 103,438 |
Interest rate | Maturity date | Principal | Value | ||
Media (continued) | |||||
Scripps Escrow II Incorporated 144A | 5.88% | 7-15-2027 | $ 1,800,000 | $ 1,628,955 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 2,815,000 | 2,633,658 | |
32,630,845 | |||||
Consumer discretionary: 11.04% | |||||
Auto components: 0.65% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 775,000 | 728,561 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 176,000 | 174,045 | |
Clarios Global LP 144A | 6.75 | 5-15-2025 | 1,070,000 | 1,064,474 | |
1,967,080 | |||||
Automobiles: 0.27% | |||||
Ford Motor Company | 3.25 | 2-12-2032 | 1,035,000 | 808,428 | |
Hotels, restaurants & leisure: 6.12% | |||||
Carnival Corporation 144A | 4.00 | 8-1-2028 | 1,175,000 | 979,645 | |
Carnival Corporation 144A | 6.00 | 5-1-2029 | 1,350,000 | 1,023,503 | |
Carnival Corporation 144A | 9.88 | 8-1-2027 | 1,850,000 | 1,856,942 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,845,000 | 3,613,407 | |
Cedar Fair LP 144A | 5.50 | 5-1-2025 | 545,000 | 534,593 | |
Churchill Downs Incorporated 144A | 4.75 | 1-15-2028 | 885,000 | 805,040 | |
Hilton Domestic Operating Company Incorporated 144A | 5.38 | 5-1-2025 | 745,000 | 738,557 | |
NCL Corporation Limited 144A | 5.88 | 3-15-2026 | 1,945,000 | 1,572,815 | |
NCL Corporation Limited 144A | 5.88 | 2-15-2027 | 1,310,000 | 1,187,286 | |
NCL Corporation Limited 144A | 7.75 | 2-15-2029 | 830,000 | 674,038 | |
Royal Caribbean Cruises Limited 144A | 5.38 | 7-15-2027 | 200,000 | 154,727 | |
Royal Caribbean Cruises Limited 144A | 5.50 | 4-1-2028 | 875,000 | 660,625 | |
Royal Caribbean Cruises Limited 144A | 9.13 | 6-15-2023 | 2,080,000 | 2,096,869 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 700,000 | 712,691 | |
Royal Caribbean Cruises Limited 144A | 11.63 | 8-15-2027 | 1,195,000 | 1,171,291 | |
Six Flags Entertainment Company 144A« | 5.50 | 4-15-2027 | 350,000 | 320,948 | |
Six Flags Entertainment Company 144A | 7.00 | 7-1-2025 | 380,000 | 384,053 | |
18,487,030 | |||||
Household durables: 0.31% | |||||
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 1,000,000 | 936,290 | |
Multiline retail: 1.02% | |||||
LSF9 Atlantis Holdings LLC 144A | 7.75 | 2-15-2026 | 1,350,000 | 1,248,756 | |
Macy's Retail Holdings LLC 144A« | 5.88 | 4-1-2029 | 1,920,000 | 1,661,760 | |
Macy's Retail Holdings LLC 144A | 6.13 | 3-15-2032 | 210,000 | 174,385 | |
3,084,901 | |||||
Specialty retail: 1.94% | |||||
GAP Incorporated 144A | 3.88 | 10-1-2031 | 1,725,000 | 1,196,313 | |
Group 1 Automotive Incorporated 144A | 4.00 | 8-15-2028 | 1,175,000 | 1,003,897 | |
Michaels Companies Incorporated 144A | 7.88 | 5-1-2029 | 1,090,000 | 724,850 | |
NMG Holding Company Incorporated 144A | 7.13 | 4-1-2026 | 1,325,000 | 1,239,629 | |
Rent-A-Center Incorporated 144A | 6.38 | 2-15-2029 | 1,980,000 | 1,672,466 | |
5,837,155 | |||||
Textiles, apparel & luxury goods: 0.73% | |||||
G-III Apparel Group Limited 144A | 7.88 | 8-15-2025 | 2,240,000 | 2,210,275 |
Interest rate | Maturity date | Principal | Value | ||
Consumer staples: 0.52% | |||||
Food products: 0.52% | |||||
CHS Incorporated 144A | 5.25% | 5-15-2030 | $ 1,055,000 | $ 799,194 | |
CHS Incorporated 144A | 6.88 | 4-15-2029 | 1,240,000 | 775,000 | |
1,574,194 | |||||
Energy: 16.49% | |||||
Energy equipment & services: 3.56% | |||||
Bristow Group Incorporated 144A | 6.88 | 3-1-2028 | 3,025,000 | 2,805,688 | |
Hilcorp Energy Company 144A | 5.75 | 2-1-2029 | 190,000 | 172,954 | |
Hilcorp Energy Company 144A | 6.00 | 4-15-2030 | 350,000 | 322,221 | |
Hilcorp Energy Company 144A | 6.25 | 11-1-2028 | 610,000 | 576,413 | |
Hilcorp Energy Company 144A | 6.25 | 4-15-2032 | 350,000 | 313,719 | |
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 900,000 | 839,627 | |
Oceaneering International Incorporated | 6.00 | 2-1-2028 | 1,875,000 | 1,600,791 | |
Pattern Energy Operations LP 144A | 4.50 | 8-15-2028 | 3,250,000 | 2,928,398 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 1,150,000 | 1,078,528 | |
USA Compression Partners LP | 6.88 | 9-1-2027 | 100,000 | 92,444 | |
10,730,783 | |||||
Oil, gas & consumable fuels: 12.93% | |||||
Aethon United 144A | 8.25 | 2-15-2026 | 1,600,000 | 1,599,328 | |
Antero Resources Corporation 144A | 5.38 | 3-1-2030 | 695,000 | 654,179 | |
Archrock Partners LP 144A | 6.25 | 4-1-2028 | 415,000 | 377,650 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 1,300,000 | 1,218,750 | |
Buckeye Partners LP 144A | 4.13 | 3-1-2025 | 760,000 | 710,622 | |
Buckeye Partners LP 144A | 4.50 | 3-1-2028 | 1,025,000 | 907,494 | |
Cheniere Energy Partners LP | 4.50 | 10-1-2029 | 1,000,000 | 920,825 | |
CQP Holdco LP 144A | 5.50 | 6-15-2031 | 2,075,000 | 1,835,275 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 1,870,000 | 1,802,259 | |
DT Midstream Incorporated 144A | 4.38 | 6-15-2031 | 2,475,000 | 2,116,125 | |
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 2,735,000 | 2,603,852 | |
EnLink Midstream Partners LP | 5.38 | 6-1-2029 | 2,360,000 | 2,206,600 | |
EnLink Midstream Partners LP | 5.45 | 6-1-2047 | 870,000 | 664,463 | |
EnLink Midstream Partners LP 144A | 6.50 | 9-1-2030 | 1,050,000 | 1,044,750 | |
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 4,115,000 | 3,997,105 | |
EQM Midstream Partners 144A | 7.50 | 6-1-2027 | 20,000 | 19,777 | |
EQM Midstream Partners 144A | 7.50 | 6-1-2030 | 815,000 | 809,140 | |
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 1,000,000 | 946,138 | |
Hess Midstream Operation Company 144A | 5.50 | 10-15-2030 | 205,000 | 186,655 | |
Kinetik Holdings LP Company 144A | 5.88 | 6-15-2030 | 810,000 | 770,561 | |
Murphy Oil Corporation | 5.75 | 8-15-2025 | 150,000 | 148,573 | |
Murphy Oil Corporation | 6.38 | 7-15-2028 | 1,800,000 | 1,772,568 | |
Nabors Industries Limited 144A | 7.38 | 5-15-2027 | 1,240,000 | 1,196,600 | |
New Fortress Energy Incorporated 144A | 6.50 | 9-30-2026 | 2,175,000 | 2,060,486 | |
Occidental Petroleum Corporation | 6.45 | 9-15-2036 | 3,800,000 | 4,061,022 | |
Rockies Express Pipeline LLC 144A | 6.88 | 4-15-2040 | 975,000 | 811,502 | |
Southwestern Energy Company | 4.75 | 2-1-2032 | 1,825,000 | 1,626,736 | |
Tallgrass Energy Partners LP 144A | 6.00 | 12-31-2030 | 20,000 | 17,505 | |
Tallgrass Energy Partners LP 144A | 6.00 | 9-1-2031 | 155,000 | 135,625 | |
Tallgrass Energy Partners LP 144A | 7.50 | 10-1-2025 | 500,000 | 500,625 | |
Western Midstream Operating LP | 5.30 | 3-1-2048 | 1,500,000 | 1,318,920 | |
39,041,710 |
Interest rate | Maturity date | Principal | Value | ||
Financials: 13.54% | |||||
Capital markets: 0.54% | |||||
MSCI Incorporated 144A | 4.00% | 11-15-2029 | $ 900,000 | $ 801,099 | |
Oppenheimer Holdings Incorporated | 5.50 | 10-1-2025 | 825,000 | 821,411 | |
1,622,510 | |||||
Consumer finance: 5.84% | |||||
FirstCash Incorporated 144A | 4.63 | 9-1-2028 | 1,375,000 | 1,190,562 | |
FirstCash Incorporated 144A | 5.63 | 1-1-2030 | 210,000 | 187,950 | |
Ford Motor Credit Company LLC | 4.39 | 1-8-2026 | 2,800,000 | 2,636,144 | |
Ford Motor Credit Company LLC | 5.11 | 5-3-2029 | 3,325,000 | 3,072,882 | |
Ford Motor Credit Company LLC | 5.13 | 6-16-2025 | 200,000 | 195,368 | |
LFS TopCo LLC 144A | 5.88 | 10-15-2026 | 895,000 | 728,653 | |
Navient Corporation | 5.00 | 3-15-2027 | 1,325,000 | 1,134,357 | |
Navient Corporation | 5.50 | 3-15-2029 | 1,450,000 | 1,174,554 | |
Navient Corporation | 5.63 | 8-1-2033 | 700,000 | 522,898 | |
Navient Corporation | 5.88 | 10-25-2024 | 350,000 | 336,068 | |
OneMain Finance Corporation | 5.38 | 11-15-2029 | 935,000 | 774,376 | |
OneMain Finance Corporation | 7.13 | 3-15-2026 | 575,000 | 535,607 | |
PECF USS Intermediate Holding III Corporation 144A | 8.00 | 11-15-2029 | 1,625,000 | 1,357,133 | |
PRA Group Incorporated 144A | 5.00 | 10-1-2029 | 2,075,000 | 1,787,858 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 1,375,000 | 1,155,000 | |
Rocket Mortgage LLC 144A | 4.00 | 10-15-2033 | 1,135,000 | 845,697 | |
17,635,107 | |||||
Diversified financial services: 1.63% | |||||
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 850,000 | 737,622 | |
Hat Holdings LLC 144A | 6.00 | 4-15-2025 | 890,000 | 862,362 | |
LPL Holdings Incorporated 144A | 4.38 | 5-15-2031 | 2,475,000 | 2,178,124 | |
United Wholesale Mortgage LLC 144A | 5.50 | 11-15-2025 | 1,310,000 | 1,156,075 | |
4,934,183 | |||||
Insurance: 2.00% | |||||
Amwins Group Incorporated 144A | 4.88 | 6-30-2029 | 1,490,000 | 1,296,340 | |
AssuredPartners Incorporated 144A | 5.63 | 1-15-2029 | 1,050,000 | 872,771 | |
Broadstreet Partners Incorporated 144A | 5.88 | 4-15-2029 | 2,425,000 | 1,999,621 | |
HUB International Limited 144A | 5.63 | 12-1-2029 | 500,000 | 437,326 | |
HUB International Limited 144A | 7.00 | 5-1-2026 | 385,000 | 377,206 | |
Ryan Specialty Group LLC 144A | 4.38 | 2-1-2030 | 1,165,000 | 1,049,956 | |
6,033,220 | |||||
Mortgage REITs: 1.19% | |||||
Blackstone Mortgage Trust Incorporated 144A | 3.75 | 1-15-2027 | 940,000 | 817,941 | |
Starwood Property Trust Incorporated 144A | 4.38 | 1-15-2027 | 1,495,000 | 1,330,550 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 1,510,000 | 1,437,822 | |
3,586,313 | |||||
Thrifts & mortgage finance: 2.34% | |||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 3,170,000 | 3,027,350 | |
Ladder Capital Finance Holdings LP 144A | 4.25 | 2-1-2027 | 3,250,000 | 2,842,963 | |
Ladder Capital Finance Holdings LP 144A | 4.75 | 6-15-2029 | 100,000 | 84,735 | |
United Wholesale Mortgage LLC 144A | 5.50 | 4-15-2029 | 1,440,000 | 1,120,205 | |
7,075,253 |
Interest rate | Maturity date | Principal | Value | ||
Health care: 2.01% | |||||
Health care providers & services: 1.89% | |||||
180 Medical Incorporated 144A | 3.88% | 10-15-2029 | $ 2,025,000 | $ 1,762,953 | |
Air Methods Corporation 144A« | 8.00 | 5-15-2025 | 755,000 | 421,120 | |
Davita Incorporated 144A | 4.63 | 6-1-2030 | 2,480,000 | 1,996,499 | |
Pediatrix Medical Group 144A« | 5.38 | 2-15-2030 | 830,000 | 707,550 | |
Tenet Healthcare Corporation 144A | 4.88 | 1-1-2026 | 875,000 | 831,250 | |
5,719,372 | |||||
Life sciences tools & services: 0.12% | |||||
Charles River Laboratories Incorporated 144A | 4.00 | 3-15-2031 | 425,000 | 360,726 | |
Industrials: 9.77% | |||||
Aerospace & defense: 2.18% | |||||
Spirit AeroSystems Holdings Incorporated 144A | 5.50 | 1-15-2025 | 2,635,000 | 2,579,981 | |
Spirit AeroSystems Holdings Incorporated 144A | 7.50 | 4-15-2025 | 840,000 | 821,444 | |
TransDigm Group Incorporated | 6.38 | 6-15-2026 | 2,000,000 | 1,920,000 | |
TransDigm Group Incorporated | 7.50 | 3-15-2027 | 1,300,000 | 1,267,500 | |
6,588,925 | |||||
Airlines: 1.84% | |||||
American Airlines Group Incorporated 144A | 5.75 | 4-20-2029 | 660,000 | 595,808 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 3,575,000 | 3,263,206 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 1,660,000 | 1,686,012 | |
5,545,026 | |||||
Commercial services & supplies: 1.97% | |||||
Allied Universal Holdco LLC 144A | 6.00 | 6-1-2029 | 2,205,000 | 1,636,540 | |
Aramark Services Incorporated 144A | 6.38 | 5-1-2025 | 1,555,000 | 1,541,394 | |
CoreCivic Incorporated | 8.25 | 4-15-2026 | 2,810,000 | 2,777,940 | |
5,955,874 | |||||
Electrical equipment: 0.34% | |||||
Sensata Technologies BV 144A | 5.88 | 9-1-2030 | 1,060,000 | 1,036,129 | |
Electronic equipment, instruments & components: 0.55% | |||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 1,660,000 | 1,660,298 | |
Machinery: 0.78% | |||||
Stevens Holding Company Incorporated 144A | 6.13 | 10-1-2026 | 1,165,000 | 1,156,263 | |
TK Elevator US Newco Incorporated 144A | 5.25 | 7-15-2027 | 1,300,000 | 1,183,000 | |
2,339,263 | |||||
Road & rail: 1.25% | |||||
Uber Technologies Incorporated 144A | 4.50 | 8-15-2029 | 2,025,000 | 1,757,953 | |
Uber Technologies Incorporated 144A | 8.00 | 11-1-2026 | 2,000,000 | 2,020,545 | |
3,778,498 | |||||
Trading companies & distributors: 0.86% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 2,205,000 | 1,876,168 | |
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 50,000 | 46,583 | |
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 675,000 | 676,637 | |
2,599,388 |
Interest rate | Maturity date | Principal | Value | ||
Information technology: 4.45% | |||||
Communications equipment: 0.45% | |||||
Ciena Corporation 144A | 4.00% | 1-31-2030 | $ 585,000 | $ 505,294 | |
CommScope Technologies LLC 144A | 4.75 | 9-1-2029 | 415,000 | 353,144 | |
CommScope Technologies LLC 144A | 5.00 | 3-15-2027 | 620,000 | 489,313 | |
1,347,751 | |||||
IT services: 1.54% | |||||
Sabre GLBL Incorporated 144A | 7.38 | 9-1-2025 | 435,000 | 412,119 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 4,315,000 | 4,251,526 | |
4,663,645 | |||||
Semiconductors & semiconductor equipment: 0.16% | |||||
QORVO Incorporated 144A | 3.38 | 4-1-2031 | 610,000 | 488,366 | |
Software: 2.30% | |||||
Fair Isaac Corporation 144A | 5.25 | 5-15-2026 | 750,000 | 725,543 | |
MPH Acquisition Holdings LLC 144A | 5.50 | 9-1-2028 | 820,000 | 699,050 | |
MPH Acquisition Holdings LLC 144A« | 5.75 | 11-1-2028 | 2,235,000 | 1,774,590 | |
NCR Corporation 144A | 6.13 | 9-1-2029 | 1,575,000 | 1,501,823 | |
NortonLifeLock Incorporated 144A | 5.00 | 4-15-2025 | 1,510,000 | 1,490,370 | |
SS&C Technologies Incorporated 144A | 5.50 | 9-30-2027 | 800,000 | 758,040 | |
6,949,416 | |||||
Materials: 3.88% | |||||
Chemicals: 1.31% | |||||
Avient Corporation 144A | 7.13 | 8-1-2030 | 405,000 | 399,905 | |
Celanese US Holding LLC | 6.05 | 3-15-2025 | 1,580,000 | 1,584,018 | |
Chemours Company 144A | 4.63 | 11-15-2029 | 1,300,000 | 1,072,500 | |
Olympus Water US Holding Corporation 144A | 4.25 | 10-1-2028 | 1,125,000 | 914,625 | |
3,971,048 | |||||
Containers & packaging: 2.26% | |||||
Ball Corporation | 2.88 | 8-15-2030 | 935,000 | 758,350 | |
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 2,450,000 | 2,392,425 | |
Clydesdale Acquisition Holdings Incorporated 144A | 8.75 | 4-15-2030 | 970,000 | 843,444 | |
Crown Cork & Seal Company Incorporated | 7.38 | 12-15-2026 | 1,035,000 | 1,081,575 | |
Owens-Brockway Packaging Incorporated 144A | 5.88 | 8-15-2023 | 1,176,000 | 1,169,062 | |
Sealed Air Corporation 144A | 5.00 | 4-15-2029 | 410,000 | 389,500 | |
Sealed Air Corporation 144A | 5.50 | 9-15-2025 | 200,000 | 199,000 | |
6,833,356 | |||||
Metals & mining: 0.31% | |||||
Arches Buyer Incorporated 144A | 4.25 | 6-1-2028 | 725,000 | 583,625 | |
Cleveland-Cliffs Incorporated | 5.88 | 6-1-2027 | 355,000 | 339,913 | |
923,538 | |||||
Real estate: 2.05% | |||||
Equity REITs: 2.05% | |||||
Iron Mountain Incorporated 144A | 4.50 | 2-15-2031 | 3,800,000 | 3,156,736 |
Interest rate | Maturity date | Principal | Value | ||
Equity REITs (continued) | |||||
Service Properties Trust Company | 4.95% | 2-15-2027 | $ 3,700,000 | $ 2,996,493 | |
Service Properties Trust Company | 5.25 | 2-15-2026 | 50,000 | 42,554 | |
6,195,783 | |||||
Utilities: 2.97% | |||||
Electric utilities: 0.95% | |||||
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 174,000 | 167,651 | |
NextEra Energy Operating Partners LP 144A | 4.50 | 9-15-2027 | 890,000 | 823,250 | |
PG&E Corporation | 5.25 | 7-1-2030 | 2,175,000 | 1,880,288 | |
2,871,189 | |||||
Independent power & renewable electricity producers: 2.02% | |||||
NSG Holdings LLC 144A | 7.75 | 12-15-2025 | 172,888 | 167,269 | |
TerraForm Power Operating LLC 144A | 5.00 | 1-31-2028 | 4,830,000 | 4,427,027 | |
Vistra Operations Company LLC 144A | 4.38 | 5-1-2029 | 1,300,000 | 1,133,340 | |
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 375,000 | 360,938 | |
6,088,574 | |||||
Total Corporate bonds and notes (Cost $267,855,931) | 239,030,712 | ||||
Loans: 7.68% | |||||
Communication services: 0.18% | |||||
Media: 0.18% | |||||
Clear Channel Outdoor Holdings (1 Month LIBOR +3.50%) <± | 5.94 | 8-21-2026 | 585,000 | 540,558 | |
Consumer discretionary: 0.44% | |||||
Hotels, restaurants & leisure: 0.18% | |||||
Dave & Buster's Incorporated (U.S. SOFR 1 Month 5.00%) <± | 7.46 | 6-29-2029 | 560,000 | 546,465 | |
Multiline retail: 0.14% | |||||
LSF9 Atlantis Holdings LLC (U.S. SOFR 1 Month +7.25%) ‡± | 9.30 | 3-31-2029 | 425,000 | 413,313 | |
Specialty retail: 0.12% | |||||
Michaels Companies Incorporated (1 Month LIBOR +4.25%) ± | 6.50 | 4-15-2028 | 462,663 | 382,132 | |
Energy: 1.75% | |||||
Oil, gas & consumable fuels: 1.75% | |||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 6.75 | 9-29-2028 | 2,174,160 | 2,149,701 | |
GIP III Stetson I LP (3 Month LIBOR +4.25%) ± | 6.77 | 7-18-2025 | 2,693,160 | 2,573,099 | |
M6 ETX Holdings II MidCo LLC (U.S. SOFR 1 Month 4.50%) <± | 7.12 | 8-10-2029 | 560,000 | 551,253 | |
5,274,053 | |||||
Financials: 1.95% | |||||
Diversified financial services: 1.48% | |||||
CTC Holdings LP (U.S. SOFR 1 Month +5.00%) ‡± | 8.36 | 2-20-2029 | 289,275 | 279,150 | |
Intelsat Jackson Holdings SA (U.S. SOFR 1 Month +4.50%) <± | 7.44 | 2-1-2029 | 2,636,420 | 2,493,605 |
Interest rate | Maturity date | Principal | Value | ||
Diversified financial services (continued) | |||||
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 5.00% | 5-30-2025 | $ 954,513 | $ 901,423 | |
Solis IV BV (U.S. SOFR 1 Month +3.50%) ± | 6.34 | 2-26-2029 | 930,000 | 810,495 | |
4,484,673 | |||||
Insurance: 0.47% | |||||
Asurion LLC (1 Month LIBOR +5.25%) <± | 5.36 | 11-3-2023 | 775,000 | 722,044 | |
Asurion LLC (1 Month LIBOR +5.25%) ± | 7.77 | 1-31-2028 | 800,000 | 684,000 | |
1,406,044 | |||||
Health care: 0.85% | |||||
Health care technology: 0.34% | |||||
Athenahealth Incorporated (U.S. SOFR 1 Month +3.50%) ± | 5.79 | 2-15-2029 | 154,228 | 147,288 | |
Athenahealth Incorporated (U.S. SOFR 1 Month +3.50%) ± | 5.79 | 2-15-2029 | 909,946 | 868,999 | |
1,016,287 | |||||
Pharmaceuticals: 0.51% | |||||
Bausch Health Companies Incorporated (U.S. SOFR 1 Month +5.25%) <± | 7.66 | 2-1-2027 | 1,935,000 | 1,538,325 | |
Industrials: 1.76% | |||||
Airlines: 0.73% | |||||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 7.31 | 6-21-2027 | 1,400,000 | 1,419,908 | |
SkyMiles IP Limited (3 Month LIBOR +3.75%) ± | 6.46 | 10-20-2027 | 790,000 | 799,448 | |
2,219,356 | |||||
Commercial services & supplies: 1.03% | |||||
Amentum Government Services Holdings LLC (U.S. SOFR 1 Month +4.00%) ± | 5.60 | 2-15-2029 | 440,000 | 427,627 | |
Polaris Newco LLC (1 Month LIBOR +4.00%) ± | 6.52 | 6-2-2028 | 1,073,603 | 1,028,919 | |
The Geo Group Incorporated (3 Month LIBOR +2.00%) ± | 4.79 | 3-22-2024 | 1,798,595 | 1,651,281 | |
3,107,827 | |||||
Information technology: 0.75% | |||||
Software: 0.75% | |||||
Emerald Topco Incorporated (1 Month LIBOR +3.50%) ± | 6.02 | 7-24-2026 | 1,291,662 | 1,235,475 | |
McAfee Corporation (U.S. SOFR 1 Month +3.75%) ± | 6.16 | 3-1-2029 | 1,070,000 | 1,012,488 | |
2,247,963 | |||||
Total Loans (Cost $24,292,913) | 23,176,996 | ||||
Yankee corporate bonds and notes: 9.49% | |||||
Communication services: 1.38% | |||||
Media: 0.57% | |||||
Videotron Limited 144A | 5.13 | 4-15-2027 | 1,850,000 | 1,734,375 | |
Wireless telecommunication services: 0.81% | |||||
Connect U.S. Finco LLC 144A | 6.75 | 10-1-2026 | 1,150,000 | 1,054,527 | |
VMED O2 UK Financing I plc 144A | 4.75 | 7-15-2031 | 1,675,000 | 1,378,734 | |
2,433,261 |
Interest rate | Maturity date | Principal | Value | ||
Energy: 1.31% | |||||
Oil, gas & consumable fuels: 1.31% | |||||
Baytex Energy Corporation 144A | 8.75% | 4-1-2027 | $ 1,780,000 | $ 1,820,050 | |
Northriver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 2,230,000 | 2,140,800 | |
3,960,850 | |||||
Financials: 1.03% | |||||
Diversified financial services: 1.03% | |||||
Castlelake Aviation Finance 144A | 5.00 | 4-15-2027 | 1,905,000 | 1,642,747 | |
New Red Finance Incorporated 144A | 3.88 | 1-15-2028 | 850,000 | 755,574 | |
New Red Finance Incorporated 144A | 4.00 | 10-15-2030 | 875,000 | 710,119 | |
3,108,440 | |||||
Health care: 1.55% | |||||
Biotechnology: 0.50% | |||||
Grifols Escrow Issuer SA 144A | 4.75 | 10-15-2028 | 1,800,000 | 1,500,394 | |
Pharmaceuticals: 1.05% | |||||
Bausch Health Companies Incorporated 144A | 4.88 | 6-1-2028 | 770,000 | 532,270 | |
Bausch Health Companies Incorporated 144A | 5.25 | 1-30-2030 | 2,815,000 | 1,041,550 | |
Teva Pharmaceutical Finance Netherlands III BV | 4.75 | 5-9-2027 | 185,000 | 161,816 | |
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 970,000 | 942,239 | |
Teva Pharmaceutical Finance Netherlands III BV | 6.75 | 3-1-2028 | 500,000 | 477,890 | |
3,155,765 | |||||
Industrials: 3.10% | |||||
Aerospace & defense: 0.51% | |||||
Bombardier Incorporated 144A | 7.88 | 4-15-2027 | 1,620,000 | 1,551,231 | |
Airlines: 1.22% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 2,475,000 | 2,593,533 | |
VistaJet Malta Finance PLC 144A | 6.38 | 2-1-2030 | 1,250,000 | 1,075,000 | |
3,668,533 | |||||
Electrical equipment: 0.71% | |||||
Sensata Technologies BV 144A | 4.00 | 4-15-2029 | 2,490,000 | 2,149,742 | |
Trading companies & distributors: 0.66% | |||||
Fly Leasing Limited 144A | 7.00 | 10-15-2024 | 3,625,000 | 1,993,750 | |
Materials: 1.12% | |||||
Containers & packaging: 0.81% | |||||
Ardagh Packaging Finance plc 144A | 5.25 | 4-30-2025 | 1,500,000 | 1,418,678 | |
Ardagh Packaging Finance plc 144A | 6.00 | 6-15-2027 | 1,050,000 | 1,029,250 | |
2,447,928 | |||||
Metals & mining: 0.31% | |||||
Constellium SE 144A | 5.88 | 2-15-2026 | 975,000 | 937,728 | |
Total Yankee corporate bonds and notes (Cost $34,847,610) | 28,641,997 |
Yield | Shares | Value | |||
Short-term investments: 4.43% | |||||
Investment companies: 4.43% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09% | 11,285,787 | $ 11,285,787 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 2.39 | 2,080,069 | 2,080,069 | ||
13,365,856 | |||||
Total Short-term investments (Cost $13,365,856) | 13,365,856 | ||||
Total investments in securities (Cost $341,582,444) | 101.19% | 305,522,796 | |||
Other assets and liabilities, net | (1.19) | (3,586,004) | |||
Total net assets | 100.00% | $301,936,792 |
† | 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 | $243,984,263 | $(233,728,825) | $0 | $0 | $ 11,285,787 | 11,285,787 | $ 75,681 | ||
Securities Lending Cash Investments LLC | 7,814,000 | 82,487,170 | (88,221,101) | 0 | 0 | 2,080,069 | 2,080,069 | 32,292 # | ||
$0 | $0 | $13,365,856 | $107,973 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $2,037,922 of securities loaned), at value (cost $328,216,588) | $ 292,156,940 |
Investments in affiliated securities, at value (cost $13,365,856) | 13,365,856 |
Cash | 20,099 |
Receivable for interest | 4,715,835 |
Receivable for investments sold | 1,868,186 |
Receivable for Fund shares sold | 123,329 |
Receivable for securities lending income, net | 6,514 |
Total assets | 312,256,759 |
Liabilities | |
Payable for investments purchased | 7,183,793 |
Payable upon receipt of securities loaned | 2,080,069 |
Payable for Fund shares redeemed | 585,980 |
Management fee payable | 117,708 |
Dividends payable | 78,308 |
Administration fees payable | 35,140 |
Distribution fee payable | 1,558 |
Trustees’ fees and expenses payable | 362 |
Accrued expenses and other liabilities | 237,049 |
Total liabilities | 10,319,967 |
Total net assets | $301,936,792 |
Net assets consist of | |
Paid-in capital | $ 392,394,901 |
Total distributable loss | (90,458,109) |
Total net assets | $301,936,792 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 186,532,353 |
Shares outstanding – Class A1 | 63,932,264 |
Net asset value per share – Class A | $2.92 |
Maximum offering price per share – Class A2 | $3.06 |
Net assets – Class C | $ 2,384,416 |
Shares outstanding – Class C1 | 814,885 |
Net asset value per share – Class C | $2.93 |
Net assets – Administrator Class | $ 14,044,715 |
Shares outstanding – Administrator Class1 | 4,807,939 |
Net asset value per share – Administrator Class | $2.92 |
Net assets – Institutional Class | $ 98,975,308 |
Shares outstanding – Institutional Class1 | 33,874,302 |
Net asset value per share – Institutional Class | $2.92 |
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 | $ 16,809,168 |
Dividends | 343,450 |
Income from affiliated securities | 221,472 |
Total investment income | 17,374,090 |
Expenses | |
Management fee | 1,931,162 |
Administration fees | |
Class A | 340,208 |
Class C | 5,119 |
Administrator Class | 16,219 |
Institutional Class | 95,257 |
Shareholder servicing fees | |
Class A | 530,258 |
Class C | 7,972 |
Administrator Class | 40,420 |
Distribution fee | |
Class C | 23,917 |
Custody and accounting fees | 18,141 |
Professional fees | 69,804 |
Registration fees | 35,967 |
Shareholder report expenses | 35,091 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 8,027 |
Total expenses | 3,177,955 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (278,295) |
Class A | (29,861) |
Administrator Class | (12,412) |
Institutional Class | (88,338) |
Net expenses | 2,769,049 |
Net investment income | 14,605,041 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (8,111,652) |
Net change in unrealized gains (losses) on investments | (50,715,580) |
Net realized and unrealized gains (losses) on investments | (58,827,232) |
Net decrease in net assets resulting from operations | $(44,222,191) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 14,605,041 | $ 12,884,421 | ||
Net realized gains (losses) on investments | (8,111,652) | 11,162,085 | ||
Net change in unrealized gains (losses) on investments | (50,715,580) | 2,699,989 | ||
Net increase (decrease) in net assets resulting from operations | (44,222,191) | 26,746,495 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (8,681,745) | (8,074,306) | ||
Class C | (104,228) | (134,538) | ||
Administrator Class | (681,298) | (661,080) | ||
Institutional Class | (5,359,209) | (4,056,776) | ||
Total distributions to shareholders | (14,826,480) | (12,926,700) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,258,343 | 7,258,246 | 3,375,311 | 11,421,763 |
Class C | 26,839 | 85,400 | 102,665 | 349,658 |
Administrator Class | 126,614 | 418,863 | 309,396 | 1,048,199 |
Institutional Class | 18,518,205 | 60,159,788 | 22,915,767 | 76,886,642 |
67,922,297 | 89,706,262 | |||
Reinvestment of distributions | ||||
Class A | 2,509,753 | 7,928,405 | 2,169,138 | 7,345,372 |
Class C | 32,772 | 104,172 | 39,360 | 133,219 |
Administrator Class | 201,763 | 638,979 | 183,842 | 622,697 |
Institutional Class | 1,659,213 | 5,256,201 | 1,189,236 | 4,038,381 |
13,927,757 | 12,139,669 | |||
Payment for shares redeemed | ||||
Class A | (9,975,519) | (32,130,537) | (11,816,630) | (39,953,404) |
Class C | (434,843) | (1,408,617) | (1,424,599) | (4,819,114) |
Administrator Class | (817,280) | (2,640,902) | (1,543,816) | (5,221,846) |
Institutional Class | (21,193,164) | (66,599,574) | (11,261,048) | (38,184,989) |
(102,779,630) | (88,179,353) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (20,929,576) | 13,666,578 | ||
Total increase (decrease) in net assets | (79,978,247) | 27,486,373 | ||
Net assets | ||||
Beginning of period | 381,915,039 | 354,428,666 | ||
End of period | $ 301,936,792 | $381,915,039 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $3.45 | $3.33 | $3.29 | $3.28 | $3.40 |
Net investment income | 0.13 | 0.11 | 0.13 | 0.14 | 0.14 |
Payment from affiliate | 0.00 | 0.00 | 0.00 1 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.53) | 0.12 | 0.04 | 0.01 | (0.12) |
Total from investment operations | (0.40) | 0.23 | 0.17 | 0.15 | 0.02 |
Distributions to shareholders from | |||||
Net investment income | (0.13) | (0.11) | (0.13) | (0.14) | (0.13) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.13) | (0.11) | (0.13) | (0.14) | (0.14) |
Net asset value, end of period | $2.92 | $3.45 | $3.33 | $3.29 | $3.28 |
Total return2 | (11.76)% | 7.07% | 5.31% 3 | 4.79% | 0.68% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.01% | 1.01% | 1.04% | 1.04% | 1.02% |
Net expenses | 0.92% | 0.92% | 0.93% | 0.93% | 0.93% |
Net investment income | 4.08% | 3.29% | 4.01% | 4.36% | 4.26% |
Supplemental data | |||||
Portfolio turnover rate | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $186,532 | $238,817 | $251,410 | $273,553 | $272,170 |
1 | Amount is less than $0.005. |
2 | Total return calculations do not include any sales charges. |
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 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.28 | $3.40 |
Net investment income | 0.11 1 | 0.09 1 | 0.11 1 | 0.12 1 | 0.12 |
Payment from affiliate | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.53) | 0.12 | 0.03 | 0.01 | (0.12) |
Total from investment operations | (0.42) | 0.21 | 0.15 | 0.13 | 0.00 |
Distributions to shareholders from | |||||
Net investment income | (0.11) | (0.09) | (0.10) | (0.12) | (0.11) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.11) | (0.09) | (0.10) | (0.12) | (0.12) |
Net asset value, end of period | $2.93 | $3.46 | $3.34 | $3.29 | $3.28 |
Total return2 | (12.39)% | 6.25% | 4.83% 3 | 4.00% | (0.07)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.76% | 1.76% | 1.79% | 1.79% | 1.77% |
Net expenses | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% |
Net investment income | 3.26% | 2.57% | 3.25% | 3.64% | 3.51% |
Supplemental data | |||||
Portfolio turnover rate | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $2,384 | $4,123 | $8,265 | $12,220 | $47,811 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
3 | 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 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.29 | $3.41 |
Net investment income | 0.14 | 0.12 1 | 0.13 | 0.15 1 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.54) | 0.12 | 0.05 | 0.00 | (0.12) |
Total from investment operations | (0.40) | 0.24 | 0.18 | 0.15 | 0.03 |
Distributions to shareholders from | |||||
Net investment income | (0.14) | (0.12) | (0.13) | (0.15) | (0.14) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.14) | (0.12) | (0.13) | (0.15) | (0.15) |
Net asset value, end of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.29 |
Total return | (11.91)% | 7.20% | 5.76% | 4.60% | 0.82% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.95% | 0.95% | 0.99% | 0.98% | 0.96% |
Net expenses | 0.80% | 0.79% | 0.79% | 0.80% | 0.80% |
Net investment income | 4.20% | 3.42% | 4.14% | 4.48% | 4.39% |
Supplemental data | |||||
Portfolio turnover rate | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $14,045 | $18,317 | $21,185 | $24,667 | $23,940 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $3.46 | $3.34 | $3.29 | $3.28 | $3.41 |
Net investment income | 0.14 | 0.12 | 0.14 | 0.15 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.54) | 0.13 | 0.05 | 0.01 | (0.13) |
Total from investment operations | (0.40) | 0.25 | 0.19 | 0.16 | 0.03 |
Distributions to shareholders from | |||||
Net investment income | (0.14) | (0.13) | (0.14) | (0.15) | (0.15) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.14) | (0.13) | (0.14) | (0.15) | (0.16) |
Net asset value, end of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.28 |
Total return | (11.68)% | 7.48% | 6.04% | 5.20% | 0.79% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.68% | 0.69% | 0.71% | 0.71% | 0.69% |
Net expenses | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% |
Net investment income | 4.50% | 3.66% | 4.39% | 4.75% | 4.67% |
Supplemental data | |||||
Portfolio turnover rate | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $98,975 | $120,658 | $73,568 | $75,877 | $134,770 |
Gross unrealized gains | $ 139,472 |
Gross unrealized losses | (36,470,027) |
Net unrealized losses | $(36,330,555) |
■ | 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 | $ 539,805 | $ 0 | $ 0 | $ 539,805 |
Financials | 767,430 | 0 | 0 | 767,430 |
Corporate bonds and notes | 0 | 239,030,712 | 0 | 239,030,712 |
Loans | 0 | 22,484,533 | 692,463 | 23,176,996 |
Yankee corporate bonds and notes | 0 | 28,641,997 | 0 | 28,641,997 |
Short-term investments | ||||
Investment companies | 13,365,856 | 0 | 0 | 13,365,856 |
Total assets | $14,673,091 | $290,157,242 | $692,463 | $305,522,796 |
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 | $ 766,275 | $ (44,231) |
Bausch Health Companies Incorporated | 535,288 | (225,381) |
Clear Channel Outdoor Holdings | 536,738 | 3,820 |
Dave & Buster's Incorporated | 557,200 | (10,735) |
Intelsat Jackson Holdings SA | 2,047,343 | (139,267) |
M6 ETX Holdings II MidCo LLC | 550,219 | 1,034 |
$4,993,063 | $(414,760) |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $741,903 | $(741,903) | $0 |
BNP Paribas Securities Corporation | 312,338 | (312,338) | 0 |
Credit Suisse Securities (USA) LLC | 318,656 | (318,656) | 0 |
Jefferies LLC | 218,569 | (218,569) | 0 |
Nomura Securities International Incorporated | 99,520 | (99,520) | 0 |
UBS Securities LLC | 346,936 | (346,936) | 0 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$483,412 | $(36,330,555) | $(54,508,762) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g397493imga59d952d6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g397493imgb8aa4fd41.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.
A218/AR218 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848imgee0f1cec1.jpg)
Government Bond Fund
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848img9aa018792.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848img2097bfbe3.jpg)
President
Allspring Funds
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 August 31, 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 | -7.54 | -0.33 | 0.06 | -5.65 | 0.08 | 0.27 | 0.80 | 0.79 | ||
Class C (MSDCX) | 5-31-2002 | -7.26 | -0.67 | -0.33 | -6.26 | -0.67 | -0.33 | 1.55 | 1.54 | ||
Class R6 (MSDRX)3 | 11-30-2012 | – | – | – | -5.24 | 0.47 | 0.70 | 0.42 | 0.38 | ||
Administrator Class (MNSGX) | 12-18-1992 | – | – | – | -5.47 | 0.26 | 0.46 | 0.74 | 0.61 | ||
Institutional Class (WSGIX) | 4-8-2005 | – | – | – | -5.20 | 0.44 | 0.64 | 0.47 | 0.43 | ||
Bloomberg U.S. 1-3 Year Government Bond Index4 | – | – | – | – | -4.03 | 0.75 | 0.72 | – | – |
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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848imgd88626514.gif)
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. 1-3 Year Government Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
■ | The Fund underperformed its benchmark, the Bloomberg U.S. 1–3 Year Government Bond Index, for the 12-month period that ended August 31, 2022. |
■ | An overweight to the mortgage-backed securities (MBS) and asset-backed securities (ABS) sectors weighed on returns during this 12-month period, as spreads widened. |
■ | Security selection within agency MBS detracted, as shorter-duration, high-coupon MBS underperformed due to weakness on the front end of the curve. |
■ | Within the ABS sector, our positions in non-qualified (non-QM) residential mortgage-backed securities (RMBS) and student loan ABS detracted, as spreads widened. |
■ | With higher-coupon mortgages extending in duration, we increased exposure to seasoned hybrid adjustable-rate mortgages (ARMs) and collateralized mortgage obligations (CMOs). |
Ten largest holdings (%) as of August 31, 20221 | |
FHLMC, 2.80%, 5-1-2049 | 11.19 |
FNMA, 5.50%, 11-14-2052 | 5.58 |
FHLMC, 2.37%, 2-1-2046 | 5.55 |
FNMA, 3.47%, 7-1-2049 | 4.99 |
FHLMC, 2.45%, 6-1-2043 | 4.78 |
FHLMC, 2.98%, 1-1-2049 | 3.41 |
FHLMC, 2.79%, 4-1-2047 | 3.25 |
FHLMC, 3.50%, 2-1-2031 | 2.28 |
FHLMC, 2.78%, 9-1-2047 | 2.19 |
FHLMC, 2.42%, 10-1-2043 | 2.09 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848imga574eb715.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 966.89 | $3.87 | 0.78% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.27 | $3.97 | 0.78% |
Class C | ||||
Actual | $1,000.00 | $ 964.22 | $7.53 | 1.52% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.54 | $7.73 | 1.52% |
Class R6 | ||||
Actual | $1,000.00 | $ 969.02 | $1.84 | 0.37% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.34 | $1.89 | 0.37% |
Administrator Class | ||||
Actual | $1,000.00 | $ 967.86 | $2.98 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.18 | $3.06 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 968.72 | $2.08 | 0.42% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.09 | $2.14 | 0.42% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 77.15% | ||||||
FHLMC (12 Month LIBOR +1.62%) ± | 2.37% | 2-1-2046 | $ | 24,082,948 | $ 24,282,086 | |
FHLMC (12 Month LIBOR +1.85%) ± | 2.41 | 5-1-2042 | 600,608 | 610,704 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 2.42 | 10-1-2043 | 9,132,179 | 9,159,634 | ||
FHLMC (12 Month LIBOR +1.62%) ± | 2.44 | 8-1-2046 | 7,128,025 | 7,172,043 | ||
FHLMC (12 Month LIBOR +1.66%) ± | 2.45 | 6-1-2043 | 20,649,886 | 20,945,835 | ||
FHLMC (12 Month LIBOR +1.65%) ± | 2.46 | 9-1-2045 | 6,967,276 | 6,995,031 | ||
FHLMC | 2.50 | 5-15-2047 | 6,557,196 | 6,305,587 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 2.57 | 10-1-2043 | 6,959,390 | 7,010,565 | ||
FHLMC (12 Month LIBOR +1.68%) ± | 2.78 | 9-1-2047 | 9,445,675 | 9,573,223 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 2.79 | 4-1-2047 | 14,143,017 | 14,231,759 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.80 | 5-1-2049 | 49,444,018 | 48,989,599 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.83 | 7-1-2047 | 1,702,295 | 1,673,356 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 2.98 | 1-1-2049 | 14,907,308 | 14,940,493 | ||
FHLMC | 3.50 | 2-1-2031 | 10,104,384 | 9,980,997 | ||
FHLMC | 3.50 | 3-1-2031 | 967,069 | 955,204 | ||
FHLMC (30 Day Average U.S. SOFR +2.13%) ± | 4.21 | 6-1-2052 | 4,643,001 | 4,599,665 | ||
FHLMC Series 3632 Class PK | 5.00 | 2-15-2040 | 1,485,076 | 1,510,805 | ||
FHLMC Series 4426 Class QC | 1.75 | 7-15-2037 | 2,384,340 | 2,240,771 | ||
FHLMC Series 4940 Class AG | 3.00 | 5-15-2040 | 8,318,998 | 7,926,544 | ||
FNMA (12 Month LIBOR +1.60%) ± | 2.31 | 9-1-2043 | 3,684,395 | 3,733,348 | ||
FNMA (12 Month LIBOR +1.56%) ± | 2.48 | 9-1-2045 | 786,792 | 786,150 | ||
FNMA (12 Month LIBOR +1.69%) ± | 2.54 | 11-1-2042 | 881,499 | 909,149 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.65 | 1-1-2046 | 777,258 | 791,334 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.67 | 2-1-2046 | 1,001,239 | 1,021,633 | ||
FNMA (12 Month LIBOR +1.58%) ± | 2.73 | 6-1-2045 | 571,904 | 580,290 | ||
FNMA (12 Month LIBOR +1.59%) ± | 2.90 | 5-1-2047 | 1,685,097 | 1,717,102 | ||
FNMA | 3.00 | 4-1-2035 | 3,841,154 | 3,730,238 | ||
FNMA | 3.00 | 5-25-2035 | 9,185,648 | 9,006,255 | ||
FNMA | 3.00 | 12-1-2035 | 2,602,880 | 2,532,582 | ||
FNMA | 3.00 | 8-1-2036 | 3,419,812 | 3,291,866 | ||
FNMA (12 Month LIBOR +1.61%) ± | 3.47 | 7-1-2049 | 22,280,255 | 21,844,767 | ||
FNMA | 3.50 | 6-1-2035 | 1,474,609 | 1,449,273 | ||
FNMA | 3.50 | 7-1-2043 | 2,497,896 | 2,446,896 | ||
FNMA (1 Year Treasury Constant Maturity +2.04%) ± | 3.94 | 3-1-2049 | 2,542,412 | 2,539,606 | ||
FNMA | 4.00 | 2-1-2034 | 2,279,487 | 2,279,799 | ||
FNMA | 4.00 | 6-1-2038 | 5,505,925 | 5,514,073 | ||
FNMA | 4.50 | 7-1-2048 | 1,947,419 | 1,979,037 | ||
FNMA ## | 4.50 | 10-1-2048 | 4,992,354 | 5,088,840 | ||
FNMA | 4.50 | 11-1-2049 | 1,486,924 | 1,525,772 | ||
FNMA | 5.00 | 10-1-2040 | 657,344 | 686,040 | ||
FNMA | 5.00 | 1-1-2049 | 1,882,095 | 1,945,597 | ||
FNMA | 5.00 | 8-1-2049 | 2,436,738 | 2,525,564 | ||
FNMA | 5.00 | 11-1-2049 | 2,435,434 | 2,527,746 | ||
FNMA | 5.00 | 12-1-2049 | 1,253,170 | 1,307,110 | ||
FNMA %% | 5.00 | 9-15-2052 | 3,400,000 | 3,431,078 | ||
FNMA | 5.50 | 6-1-2049 | 2,893,068 | 3,063,268 | ||
FNMA %% | 5.50 | 11-14-2052 | 24,000,000 | 24,413,548 | ||
FNMA Series 2019-15 Class AB | 3.50 | 5-25-2053 | 8,386,575 | 8,277,240 | ||
FNMA Series 2019-33 Class MA | 3.50 | 7-25-2055 | 6,480,929 | 6,426,634 | ||
GNMA | 4.00 | 9-20-2044 | 856,111 | 853,990 | ||
GNMA | 4.00 | 12-20-2044 | 1,038,751 | 1,036,165 | ||
GNMA | 4.00 | 1-20-2045 | 703,845 | 702,092 | ||
GNMA | 4.50 | 6-20-2048 | 1,523,933 | 1,538,805 | ||
GNMA | 5.00 | 3-20-2048 | 516,257 | 532,547 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 5.00% | 3-20-2049 | $ | 562,530 | $ 587,395 | |
GNMA | 5.50 | 1-20-2049 | 58,519 | 60,534 | ||
GNMA | 5.50 | 5-20-2049 | 4,286,865 | 4,467,050 | ||
GNMA Series 2018-11 Class PC | 2.75 | 12-20-2047 | 1,409,662 | 1,340,181 | ||
GNMA Series 2019-132 Class NA | 3.50 | 9-20-2049 | 193,402 | 190,801 | ||
Total Agency securities (Cost $347,868,065) | 337,785,296 | |||||
Asset-backed securities: 10.73% | ||||||
AmeriCredit Automobile Receivables Series 2022-1 Class A3 | 2.45 | 11-18-2026 | 2,271,000 | 2,215,041 | ||
Hertz Vehicle Financing LLC Series 2022-1A Class A 144A | 1.99 | 6-25-2026 | 4,756,000 | 4,420,963 | ||
Navient Student Loan Trust Series 2019-GA Class A 144A | 2.40 | 10-15-2068 | 1,881,397 | 1,795,161 | ||
Navient Student Loan Trust Series 2020-DA Class A 144A | 1.69 | 5-15-2069 | 4,055,145 | 3,761,663 | ||
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,427,883 | 1,307,680 | ||
Navient Student Loan Trust Series 2020-HA Class A 144A | 1.31 | 1-15-2069 | 845,897 | 779,907 | ||
Navient Student Loan Trust Series 2020-IA Class A1A 144A | 1.33 | 4-15-2069 | 4,917,418 | 4,430,334 | ||
Navient Student Loan Trust Series 2021-A Class A 144A | 0.84 | 5-15-2069 | 1,011,258 | 909,059 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ± | 2.94 | 1-25-2037 | 2,119,210 | 2,054,950 | ||
Nelnet Student Loan Trust Series 2012-1A Class A (1 Month LIBOR +0.80%) 144A± | 3.24 | 12-27-2039 | 1,342,961 | 1,320,709 | ||
Nelnet Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.80%) 144A± | 3.24 | 9-25-2065 | 3,450,818 | 3,402,435 | ||
Santander Drive Auto Receivables Series 2022-3 Class A3 | 3.40 | 12-15-2026 | 2,959,000 | 2,921,412 | ||
SLC Student Loan Trust Series 2010-1 Class A (3 Month LIBOR +0.88%) ± | 3.87 | 11-25-2042 | 604,352 | 598,494 | ||
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 3.09 | 12-27-2038 | 4,133,498 | 4,001,632 | ||
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A± | 3.84 | 2-17-2032 | 767,187 | 766,267 | ||
SMB Private Education Loan Trust Series 2021-A Class APT1 144A | 1.07 | 1-15-2053 | 4,371,209 | 3,882,422 | ||
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A | 2.72 | 11-26-2040 | 131,824 | 131,052 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX 144A | 1.95 | 2-15-2046 | 743,759 | 694,736 | ||
SoFi Professional Loan Program LLC Series 2021-A Class AFX 144A | 1.03 | 8-17-2043 | 2,552,392 | 2,278,882 | ||
Westlake Automobile Receivables Series 2022-1A 144A | 2.42 | 7-15-2025 | 2,267,000 | 2,209,677 | ||
World Omni Automobile Lease Series 2022-A Class A3 | 3.21 | 2-18-2025 | 3,153,000 | 3,114,370 | ||
Total Asset-backed securities (Cost $49,778,712) | 46,996,846 | |||||
Non-agency mortgage-backed securities: 8.59% | ||||||
Angel Oak Mortgage Trust Series 2019-2 Class A1 144A±± | 3.63 | 3-25-2049 | 17,701 | 17,633 | ||
Angel Oak Mortgage Trust Series 2020-5 Class A1 144A±± | 1.37 | 5-25-2065 | 737,413 | 696,375 | ||
Angel Oak Mortgage Trust Series 2021-1 Class A1 144A±± | 0.91 | 1-25-2066 | 3,368,897 | 3,030,337 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A±± | 2.88 | 7-25-2049 | 561,583 | 533,545 | ||
BX Trust Series 2021-VOLT Class A (1 Month LIBOR +0.70%) 144A± | 3.09 | 9-15-2036 | 5,045,000 | 4,873,536 | ||
BX Trust Series 2021-XL2 Class A (1 Month LIBOR +0.69%) 144A± | 3.08 | 10-15-2038 | 4,664,510 | 4,492,390 | ||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class AAB | 3.37 | 10-10-2047 | 237,222 | 234,122 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 3.34% | 11-15-2038 | $ | 2,528,000 | $ 2,444,481 | |
Mello Warehouse Securitization Trust Series 2021-1 Class A (1 Month LIBOR +0.70%) 144A± | 2.32 | 2-25-2055 | 4,092,000 | 3,997,379 | ||
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 3.19 | 5-25-2055 | 5,533,000 | 5,451,940 | ||
Verus Securitization Trust Series 2019-2 Class A1 144A±± | 2.91 | 7-25-2059 | 488,074 | 485,382 | ||
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 515,527 | 500,954 | ||
Verus Securitization Trust Series 2019-4 Class A1 144A±± | 2.64 | 11-25-2059 | 216,336 | 212,433 | ||
Verus Securitization Trust Series 2020-5 Class A1 144A±± | 1.22 | 5-25-2065 | 1,422,343 | 1,341,411 | ||
Verus Securitization Trust Series 2021-3 Class A1 144A±± | 1.05 | 6-25-2066 | 2,216,250 | 1,963,189 | ||
Verus Securitization Trust Series 2021-4 Class A1 144A±± | 0.94 | 7-25-2066 | 2,702,216 | 2,281,879 | ||
Verus Securitization Trust Series 2021-6 Class A1 144A±± | 1.63 | 10-25-2066 | 1,475,985 | 1,293,028 | ||
Verus Securitization Trust Series 2021-7 Class A1 144A±± | 1.83 | 10-25-2066 | 4,259,051 | 3,783,645 | ||
Total Non-agency mortgage-backed securities (Cost $40,064,369) | 37,633,659 | |||||
U.S. Treasury securities: 6.69% | ||||||
U.S. Treasury Note | 0.13 | 4-30-2023 | 4,842,000 | 4,740,432 | ||
U.S. Treasury Note | 2.50 | 4-30-2024 | 6,628,000 | 6,522,884 | ||
U.S. Treasury Note | 2.75 | 5-15-2025 | 4,491,000 | 4,404,513 | ||
U.S. Treasury Note | 2.88 | 6-15-2025 | 1,274,000 | 1,252,899 | ||
U.S. Treasury Note | 3.00 | 6-30-2024 | 2,548,000 | 2,525,904 | ||
U.S. Treasury Note | 3.00 | 7-31-2024 | 4,327,000 | 4,289,139 | ||
U.S. Treasury Note | 3.13 | 8-15-2025 | 5,602,000 | 5,545,542 | ||
Total U.S. Treasury securities (Cost $29,862,238) | 29,281,313 |
Yield | Shares | |||||
Short-term investments: 2.12% | ||||||
Investment companies: 2.12% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09 | 9,265,106 | 9,265,106 | |||
Total Short-term investments (Cost $9,265,106) | 9,265,106 | |||||
Total investments in securities (Cost $476,838,490) | 105.28% | 460,962,220 | ||||
Other assets and liabilities, net | (5.28) | (23,111,976) | ||||
Total net assets | 100.00% | $437,850,244 |
± | 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. |
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 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. |
♠ | 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 |
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 | $4,833,244 | $668,781,294 | $(664,349,432) | $0 | $0 | $9,265,106 | 9,265,106 | $42,921 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 824 | 12-30-2022 | $172,201,985 | $171,662,376 | $ 0 | $ (539,609) | |
Short | |||||||
10-Year Ultra Futures | (104) | 12-20-2022 | (13,168,011) | (13,019,500) | 148,511 | 0 | |
5-Year U.S. Treasury Note | (394) | 12-30-2022 | (43,983,356) | (43,663,204) | 320,152 | 0 | |
$468,663 | $(539,609) |
Assets | |
Investments in unaffiliated securities, at value (cost $467,573,384) | $ 451,697,114 |
Investments in affiliated securities, at value (cost $9,265,106) | 9,265,106 |
Cash at broker segregated for futures contracts | 1,127,000 |
Receivable for investments sold | 49,781,618 |
Principal paydown receivable | 3,186,057 |
Receivable for interest | 1,450,857 |
Receivable for daily variation margin on open futures contracts | 57,354 |
Receivable for Fund shares sold | 32,707 |
Prepaid expenses and other assets | 68,733 |
Total assets | 516,666,546 |
Liabilities | |
Payable for when-issued transactions | 77,089,597 |
Payable for Fund shares redeemed | 1,173,121 |
Cash collateral due to broker | 260,000 |
Dividends payable | 110,965 |
Management fee payable | 110,265 |
Administration fees payable | 31,481 |
Distribution fee payable | 1,667 |
Accrued expenses and other liabilities | 39,206 |
Total liabilities | 78,816,302 |
Total net assets | $ 437,850,244 |
Net assets consist of | |
Paid-in capital | $ 559,741,721 |
Total distributable loss | (121,891,477) |
Total net assets | $ 437,850,244 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 30,817,407 |
Shares outstanding – Class A1 | 3,407,808 |
Net asset value per share – Class A | $9.04 |
Maximum offering price per share – Class A2 | $9.22 |
Net assets – Class C | $ 2,602,062 |
Shares outstanding – Class C1 | 287,319 |
Net asset value per share – Class C | $9.06 |
Net assets – Class R6 | $ 43,142,255 |
Shares outstanding – Class R61 | 4,754,345 |
Net asset value per share – Class R6 | $9.07 |
Net assets – Administrator Class | $ 27,228,906 |
Shares outstanding – Administrator Class1 | 3,005,434 |
Net asset value per share – Administrator Class | $9.06 |
Net assets – Institutional Class | $ 334,059,614 |
Shares outstanding – Institutional Class1 | 36,883,962 |
Net asset value per share – Institutional Class | $9.06 |
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 | $ 7,376,606 |
Income from affiliated securities | 42,921 |
Total investment income | 7,419,527 |
Expenses | |
Management fee | 2,138,686 |
Administration fees | |
Class A | 78,259 |
Class C | 5,959 |
Class R6 | 13,120 |
Administrator Class | 29,162 |
Institutional Class | 388,418 |
Shareholder servicing fees | |
Class A | 122,280 |
Class C | 9,213 |
Administrator Class | 72,430 |
Distribution fee | |
Class C | 27,640 |
Custody and accounting fees | 28,169 |
Professional fees | 58,061 |
Registration fees | 57,462 |
Shareholder report expenses | 37,514 |
Trustees’ fees and expenses | 20,394 |
Other fees and expenses | 11,768 |
Total expenses | 3,098,535 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (139,770) |
Class A | (645) |
Class R6 | (13,120) |
Administrator Class | (34,994) |
Institutional Class | (97,104) |
Net expenses | 2,812,902 |
Net investment income | 4,606,625 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (17,047,509) |
Futures contracts | (3,186,469) |
Net realized losses on investments | (20,233,978) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (18,456,221) |
Futures contracts | (63,484) |
Net change in unrealized gains (losses) on investments | (18,519,705) |
Net realized and unrealized gains (losses) on investments | (38,753,683) |
Net decrease in net assets resulting from operations | $(34,147,058) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 4,606,625 | $ 2,480,874 | ||
Net realized gains (losses) on investments | (20,233,978) | 2,129,791 | ||
Net change in unrealized gains (losses) on investments | (18,519,705) | (6,156,851) | ||
Net decrease in net assets resulting from operations | (34,147,058) | (1,546,186) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (598,430) | (769,324) | ||
Class C | (17,988) | (20,179) | ||
Class R6 | (758,267) | (771,167) | ||
Administrator Class | (434,404) | (397,032) | ||
Institutional Class | (7,869,553) | (8,039,703) | ||
Total distributions to shareholders | (9,678,642) | (9,997,405) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 170,022 | 1,592,587 | 3,774,730 | 37,095,633 |
Class C | 8,053 | 74,814 | 367,534 | 3,621,671 |
Class R6 | 1,230,686 | 11,586,137 | 4,738,622 | 46,544,647 |
Administrator Class | 378,650 | 3,509,562 | 281,599 | 2,767,417 |
Institutional Class | 16,694,832 | 156,076,726 | 39,262,633 | 386,254,397 |
172,839,826 | 476,283,765 | |||
Reinvestment of distributions | ||||
Class A | 62,180 | 581,610 | 77,029 | 754,316 |
Class C | 1,944 | 17,988 | 2,035 | 20,022 |
Class R6 | 76,231 | 712,095 | 70,861 | 695,505 |
Administrator Class | 46,297 | 432,110 | 40,238 | 394,799 |
Institutional Class | 745,676 | 6,981,870 | 767,741 | 7,529,367 |
8,725,673 | 9,394,009 | |||
Payment for shares redeemed | ||||
Class A | (3,825,387) | (35,919,031) | (2,984,638) | (29,143,334) |
Class C | (233,246) | (2,192,919) | (757,870) | (7,449,819) |
Class R6 | (1,425,467) | (13,557,384) | (4,828,999) | (47,240,710) |
Administrator Class | (748,286) | (7,075,499) | (667,106) | (6,554,060) |
Institutional Class | (39,209,404) | (364,188,674) | (27,158,902) | (266,343,103) |
(422,933,507) | (356,731,026) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (241,368,008) | 128,946,748 | ||
Total increase (decrease) in net assets | (285,193,708) | 117,403,157 | ||
Net assets | ||||
Beginning of period | 723,043,952 | 605,640,795 | ||
End of period | $ 437,850,244 | $ 723,043,952 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.71 | $9.85 | $9.73 | $9.60 | $9.85 |
Net investment income | 0.04 1 | 0.00 1,2 | 0.15 | 0.21 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.59) | (0.04) | 0.18 | 0.16 | (0.20) |
Total from investment operations | (0.55) | (0.04) | 0.33 | 0.37 | (0.06) |
Distributions to shareholders from | |||||
Net investment income | (0.12) | (0.10) | (0.21) | (0.24) | (0.19) |
Net asset value, end of period | $9.04 | $9.71 | $9.85 | $9.73 | $9.60 |
Total return3 | (5.65)% | (0.45)% | 3.41% | 3.92% | (0.56)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.79% | 0.79% | 0.81% | 0.81% | 0.80% |
Net expenses | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% |
Net investment income | 0.38% | 0.01% | 1.32% | 2.22% | 1.36% |
Supplemental data | |||||
Portfolio turnover rate | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $30,817 | $67,959 | $60,425 | $29,618 | $30,538 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income (loss) | (0.03) 1 | (0.07) 1 | 0.07 | 0.14 1 | 0.06 1 |
Net realized and unrealized gains (losses) on investments | (0.58) | (0.06) | 0.18 | 0.16 | (0.19) |
Total from investment operations | (0.61) | (0.13) | 0.25 | 0.30 | (0.13) |
Distributions to shareholders from | |||||
Net investment income | (0.05) | (0.02) | (0.13) | (0.17) | (0.12) |
Net asset value, end of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Total return2 | (6.26)% | (1.29)% | 2.64% | 3.14% | (1.30)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.53% | 1.54% | 1.56% | 1.56% | 1.55% |
Net expenses | 1.52% | 1.53% | 1.53% | 1.53% | 1.53% |
Net investment income (loss) | (0.34)% | (0.69)% | 0.61% | 1.49% | 0.62% |
Supplemental data | |||||
Portfolio turnover rate | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $2,602 | $4,963 | $8,868 | $10,032 | $15,093 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class R6 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.74 | $9.89 | $9.77 | $9.64 | $9.89 |
Net investment income | 0.09 | 0.04 | 0.19 | 0.25 1 | 0.16 1 |
Net realized and unrealized gains (losses) on investments | (0.60) | (0.05) | 0.18 | 0.16 | (0.17) |
Total from investment operations | (0.51) | (0.01) | 0.37 | 0.41 | (0.01) |
Distributions to shareholders from | |||||
Net investment income | (0.16) | (0.14) | (0.25) | (0.28) | (0.24) |
Net asset value, end of period | $9.07 | $9.74 | $9.89 | $9.77 | $9.64 |
Total return | (5.24)% | (0.13)% | 3.83% | 4.34% | (0.14)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.42% | 0.41% | 0.43% | 0.43% | 0.42% |
Net expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 0.93% | 0.42% | 1.77% | 2.62% | 1.64% |
Supplemental data | |||||
Portfolio turnover rate | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $43,142 | $47,471 | $48,371 | $41,987 | $35,472 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.73 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income | 0.06 | 0.02 1 | 0.16 1 | 0.23 1 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | (0.59) | (0.05) | 0.19 | 0.16 | (0.19) |
Total from investment operations | (0.53) | (0.03) | 0.35 | 0.39 | (0.04) |
Distributions to shareholders from | |||||
Net investment income | (0.14) | (0.11) | (0.23) | (0.26) | (0.21) |
Net asset value, end of period | $9.06 | $9.73 | $9.87 | $9.75 | $9.62 |
Total return | (5.47)% | (0.26)% | 3.60% | 4.10% | (0.37)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.73% | 0.73% | 0.75% | 0.75% | 0.74% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 0.68% | 0.20% | 1.54% | 2.41% | 1.56% |
Supplemental data | |||||
Portfolio turnover rate | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $27,229 | $32,375 | $36,262 | $38,816 | $71,997 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income | 0.07 1 | 0.04 1 | 0.17 | 0.25 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.57) | (0.06) | 0.19 | 0.16 | (0.19) |
Total from investment operations | (0.50) | (0.02) | 0.36 | 0.41 | (0.02) |
Distributions to shareholders from | |||||
Net investment income | (0.16) | (0.13) | (0.24) | (0.28) | (0.23) |
Net asset value, end of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Total return | (5.20)% | (0.19)% | 3.78% | 4.29% | (0.20)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.46% | 0.46% | 0.48% | 0.48% | 0.47% |
Net expenses | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% |
Net investment income | 0.79% | 0.37% | 1.72% | 2.57% | 1.75% |
Supplemental data | |||||
Portfolio turnover rate | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $334,060 | $570,276 | $451,715 | $445,211 | $493,372 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $ 781,739 |
Gross unrealized losses | (16,397,242) |
Net unrealized losses | $(15,615,503) |
■ | 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 | $ 337,785,296 | $0 | $ 337,785,296 |
Asset-backed securities | 0 | 46,996,846 | 0 | 46,996,846 |
Non-agency mortgage-backed securities | 0 | 37,633,659 | 0 | 37,633,659 |
U.S. Treasury securities | 29,281,313 | 0 | 0 | 29,281,313 |
Short-term investments | ||||
Investment companies | 9,265,106 | 0 | 0 | 9,265,106 |
38,546,419 | 422,415,801 | 0 | 460,962,220 | |
Futures contracts | 468,663 | 0 | 0 | 468,663 |
Total assets | $39,015,082 | $422,415,801 | $0 | $461,430,883 |
Liabilities | ||||
Futures contracts | $ 539,609 | $ 0 | $0 | $ 539,609 |
Total liabilities | $ 539,609 | $ 0 | $0 | $ 539,609 |
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 | |
$1,751,322,001 | $503,933,111 | $1,986,661,232 | $343,909,735 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$388,848 | $(15,615,503) | $(106,553,857) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848img48bf041d6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g392848imgee0f1cec1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g392848img6727157d7.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A220/AR220 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img017ece531.jpg)
Short-Term Bond Plus Fund
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img168384ab2.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092imgd2c36e6a3.jpg)
President
Allspring Funds
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 August 31, 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 | -6.74 | 0.89 | 1.06 | -4.83 | 1.30 | 1.26 | 0.83 | 0.74 | ||
Class C (WFSHX) | 3-31-2008 | -6.57 | 0.54 | 0.65 | -5.57 | 0.54 | 0.65 | 1.58 | 1.49 | ||
Class R6 (SSTYX)3 | 7-31-2018 | – | – | – | -4.65 | 1.55 | 1.54 | 0.45 | 0.42 | ||
Institutional Class (SSHIX) | 8-31-1999 | – | – | – | -4.69 | 1.53 | 1.53 | 0.50 | 0.47 | ||
Bloomberg U.S. 1-3 Year Government/Credit Bond Index4 | – | – | – | – | -3.98 | 0.92 | 0.94 | – | – |
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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img75ad60464.gif)
1 | The chart compares the performance of Class A shares for the most recent ten years with the Bloomberg U.S. 1-3 Year Government/Credit Bond Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 2.00%. |
■ | The Fund underperformed its benchmark, the Bloomberg U.S. 1–3 Year Government/Credit Bond Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund’s allocations to out-of-benchmark “plus” sectors detracted from performance. U.S. high-yield bonds and floating-rate loans contributed, while European high-yield and investment-grade and emerging market bonds detracted from performance. |
■ | An underweight to government-related securities contributed, while our overweight to securitized sectors in lieu of U.S. Treasuries and our allocations to corporates detracted from performance. |
■ | The Fund was short duration as the period began, backed by an expectation that interest rates would rise as growth and inflation came in hotter than expectations, and shifted to a neutral posture in the second half of the period. Overall, this positioning contributed. |
Ten largest holdings (%) as of August 31, 20221 | |
U.S. Treasury Note, 0.25%, 4-15-2023 | 4.42 |
U.S. Treasury Note, 0.25%, 5-15-2024 | 3.30 |
U.S. Treasury Note, 2.50%, 5-31-2024 | 2.42 |
U.S. Treasury Note, 0.25%, 3-15-2024 | 2.42 |
U.S. Treasury Note, 2.75%, 4-30-2027 | 1.74 |
U.S. Treasury Note, 3.25%, 6-30-2027 | 1.35 |
U.S. Treasury Note, 0.38%, 12-31-2025 | 1.10 |
U.S. Treasury Note, 1.13%, 1-15-2025 | 1.05 |
Germany, 1.30%, 10-15-2027 | 0.99 |
CPS Auto Receivables Trust 2021-A Class D, 1.16%, 12-15-2026 | 0.73 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img1d636a535.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 969.85 | $3.48 | 0.70% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 | 0.70% |
Class C | ||||
Actual | $1,000.00 | $ 965.92 | $7.28 | 1.47% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.80 | $7.48 | 1.47% |
Class R6 | ||||
Actual | $1,000.00 | $ 970.19 | $1.99 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.19 | $2.04 | 0.40% |
Institutional Class | ||||
Actual | $1,000.00 | $ 969.99 | $2.23 | 0.45% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.94 | $2.29 | 0.45% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 0.74% | ||||||
FHLMC (12 Month LIBOR +1.91%) ± | 2.16% | 9-1-2031 | $ | 1,766 | $ 1,755 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.47 | 4-1-2038 | 84,378 | 85,859 | ||
FHLMC (3 Year Treasury Constant Maturity +2.28%) ± | 3.05 | 5-1-2026 | 4,758 | 4,727 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25 | 4-1-2032 | 15,963 | 15,878 | ||
FHLMC | 3.50 | 10-15-2025 | 117,228 | 116,779 | ||
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.53 | 7-1-2029 | 180 | 179 | ||
FHLMC | 4.00 | 5-1-2025 | 153,714 | 153,487 | ||
FHLMC Series 2597 Class AE | 5.50 | 4-15-2033 | 11,569 | 11,780 | ||
FHLMC Series 2642 Class AR | 4.50 | 7-15-2023 | 17,421 | 17,404 | ||
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 1.84 | 5-25-2044 | 329,521 | 329,490 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 212,640 | 242,339 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.58 | 7-25-2043 | 51,570 | 50,019 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.43 | 10-25-2043 | 547,747 | 452,520 | ||
FNMA (1 Year Treasury Constant Maturity +1.27%) ± | 1.40 | 8-1-2034 | 65,219 | 64,243 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 23,077 | 22,851 | ||
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 3.06 | 8-1-2036 | 449,158 | 461,721 | ||
FNMA (12 Month LIBOR +1.77%) ± | 3.21 | 7-1-2044 | 275,685 | 284,607 | ||
FNMA ±± | 4.00 | 6-25-2026 | 117,227 | 117,348 | ||
FNMA | 4.00 | 8-25-2037 | 45,270 | 45,221 | ||
FNMA | 5.50 | 3-1-2023 | 4,536 | 4,534 | ||
FNMA | 6.00 | 3-1-2033 | 132,531 | 137,094 | ||
FNMA | 6.50 | 8-1-2031 | 120,741 | 128,218 | ||
FNMA | 9.00 | 11-1-2024 | 9,344 | 9,356 | ||
FNMA Grantor Trust Series 2002-T12 Class A4 | 9.50 | 5-25-2042 | 342,777 | 368,336 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 17,144 | 19,243 | ||
FNMA Series 2003-41 Class PE | 5.50 | 5-25-2023 | 10,960 | 10,966 | ||
FNMA Series 2003-W11 Class A1 ±± | 3.72 | 6-25-2033 | 3,849 | 3,930 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.36 | 8-25-2042 | 291,743 | 286,296 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.28 | 10-25-2042 | 35,801 | 39,611 | ||
FNMA Series 2005-84 Class MB | 5.75 | 10-25-2035 | 117,070 | 120,795 | ||
FNMA Series 2006-W1 Class 2AF2 (1 Month LIBOR +0.19%) ± | 2.63 | 2-25-2046 | 626,023 | 617,776 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 262,915 | 263,026 | ||
GNMA | 4.50 | 4-20-2035 | 27,861 | 27,980 | ||
GNMA | 8.00 | 12-15-2023 | 1,207 | 1,209 | ||
Total Agency securities (Cost $4,579,554) | 4,516,577 | |||||
Asset-backed securities: 11.86% | ||||||
American Airlines Pass-Through Trust Series 2014-1 Class B | 4.38 | 4-1-2024 | 792,110 | 791,083 | ||
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 2,147,818 | 1,988,623 | ||
AVIS Budget Rental Car Funding Series 2019-2A Class A 144A | 3.35 | 9-22-2025 | 4,330,000 | 4,238,727 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 2,220,000 | 2,046,887 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Brean Asset-Backed Securities Trust 2021-RM2 Class A 144A±± | 1.75% | 10-25-2061 | $ | 1,815,182 | $ 1,611,116 | |
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 988,750 | 866,374 | ||
Chase Auto Credit Linked Note Series 2020-1 Class B 144A | 0.99 | 1-25-2028 | 1,358,945 | 1,335,895 | ||
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56 | 9-25-2045 | 865,819 | 845,660 | ||
CPS Auto Receivables Trust 2021-A Class D 144A | 1.16 | 12-15-2026 | 4,645,000 | 4,430,967 | ||
CPS Auto Receivables Trust Series 2020-A Class D 144A | 2.90 | 12-15-2025 | 3,750,000 | 3,722,655 | ||
Dell Equipment Finance Trust Series 2020-1 Class D 144A | 5.92 | 3-23-2026 | 918,000 | 919,704 | ||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 3,110,250 | 3,015,614 | ||
Drive Auto Receivables Trust Series 2018-4 Class D | 4.09 | 1-15-2026 | 1,372,214 | 1,372,879 | ||
Drive Auto Receivables Trust Series 2019 Class 3D | 3.18 | 10-15-2026 | 2,715,000 | 2,687,377 | ||
DT Auto Owner Trust Series 2020-2A Class C 144A | 3.28 | 3-16-2026 | 1,937,000 | 1,919,842 | ||
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 3.44 | 12-25-2056 | 311,781 | 312,137 | ||
Flagship Credit Acceptance LLC 144A | 5.10 | 5-15-2025 | 2,000,000 | 2,002,689 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 520,034 | 514,233 | ||
GM Financial Securitized Term Trust Series 2018-4 Class C | 3.62 | 6-17-2024 | 300,000 | 300,014 | ||
Gracie Point International Funding Series 2021-1A Class B (1 Month LIBOR +1.40%) 144A± | 3.77 | 11-1-2023 | 1,500,000 | 1,490,083 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 2,325,000 | 2,158,681 | ||
Lendmark Funding Trust Series 2019-2A Class A 144A | 2.78 | 4-20-2028 | 3,000,000 | 2,927,290 | ||
Mercury Financial Credit Card Master Trust 144A | 1.54 | 3-20-2026 | 1,600,000 | 1,515,641 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 3,000,000 | 2,896,131 | ||
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 1,590,410 | 1,394,396 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 610,333 | 603,133 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 1,124,846 | 1,099,935 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 2,589,598 | 2,451,922 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 2,010,000 | 1,890,456 | ||
Prodigy Finance Series 2021 Class A (1 Month LIBOR +1.25%) 144A± | 3.69 | 7-25-2051 | 2,441,120 | 2,386,274 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 4,115,000 | 4,041,330 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 2,460,742 | 2,262,926 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 2.50 | 12-17-2068 | 2,431,196 | 2,341,831 | ||
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 3.09 | 12-27-2038 | 1,368,465 | 1,324,808 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 2.99 | 5-26-2055 | 688,622 | 663,817 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
SoFi Consumer Loan Program Series 2019 Class C 144A | 2.84% | 8-25-2028 | $ | 1,326,617 | $ 1,319,717 | |
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 1,040,243 | 960,444 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 2,739,300 | 2,379,641 | ||
Tidewater Auto Receivables Series 2018-AA Class D 144A | 4.30 | 11-15-2024 | 632,939 | 632,230 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 3.04 | 1-25-2046 | 595,378 | 591,919 | ||
Total Asset-backed securities (Cost $75,702,660) | 72,255,081 | |||||
Convertible debenture: 0.08% | ||||||
Consumer discretionary: 0.08% | ||||||
Hotels, restaurants & leisure: 0.08% | ||||||
Royal Caribbean Cruises Limited | 4.25 | 6-15-2023 | 500,000 | 491,329 | ||
Total Convertible debenture (Cost $599,583) | 491,329 | |||||
Corporate bonds and notes: 22.07% | ||||||
Communication services: 0.75% | ||||||
Interactive media & services: 0.40% | ||||||
Meta Platforms Incorporated 144A | 3.50 | 8-15-2027 | 2,525,000 | 2,446,143 | ||
Wireless telecommunication services: 0.35% | ||||||
Sprint Corporation | 7.63 | 3-1-2026 | 2,000,000 | 2,115,249 | ||
Consumer discretionary: 1.50% | ||||||
Automobiles: 0.21% | ||||||
General Motors Company | 5.00 | 4-9-2027 | 1,315,000 | 1,297,239 | ||
Hotels, restaurants & leisure: 0.61% | ||||||
Genting New York LLC 144A | 3.30 | 2-15-2026 | 1,080,000 | 957,327 | ||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 2,155,000 | 2,039,545 | ||
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 715,000 | 727,963 | ||
3,724,835 | ||||||
Internet & direct marketing retail: 0.32% | ||||||
QVC Incorporated | 4.85 | 4-1-2024 | 2,000,000 | 1,924,160 | ||
Textiles, apparel & luxury goods: 0.36% | ||||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 2,241,000 | 2,196,180 | ||
Consumer staples: 0.24% | ||||||
Tobacco: 0.24% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | 1,515,000 | 1,445,230 | ||
Energy: 1.48% | ||||||
Oil, gas & consumable fuels: 1.48% | ||||||
Energy Transfer Operating Company | 3.60 | 2-1-2023 | 1,188,000 | 1,186,470 | ||
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 2,205,000 | 2,195,943 | ||
Plains All American Pipeline LP | 4.65 | 10-15-2025 | 758,000 | 749,591 | ||
Range Resources Corporation | 5.00 | 3-15-2023 | 2,000,000 | 1,997,640 | ||
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 3,000,000 | 2,892,465 | ||
9,022,109 |
Interest rate | Maturity date | Principal | Value | |||
Financials: 11.53% | ||||||
Banks: 4.20% | ||||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81% | 10-24-2024 | $ | 3,000,000 | $ 2,877,827 | |
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 2,500,000 | 2,332,897 | ||
Bank of America Corporation (U.S. SOFR +0.91%) ± | 1.66 | 3-11-2027 | 2,370,000 | 2,123,895 | ||
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 1,000,000 | 994,630 | ||
Citigroup Incorporated (U.S. SOFR +1.28%) ± | 3.07 | 2-24-2028 | 2,500,000 | 2,311,510 | ||
JP Morgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 835,000 | 735,222 | ||
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 2,000,000 | 1,863,629 | ||
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 1,220,000 | 1,141,354 | ||
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 3,000,000 | 2,935,283 | ||
M +T Bank Corporation (U.S. SOFR +1.78%) ± | 4.55 | 8-16-2028 | 2,710,000 | 2,707,317 | ||
Santander Holdings USA Incorporated (U.S. SOFR +1.38%) ± | 4.26 | 6-9-2025 | 800,000 | 784,541 | ||
Wells Fargo & Company (U.S. SOFR +1.51%) ± | 3.53 | 3-24-2028 | 3,000,000 | 2,834,026 | ||
Wells Fargo & Company (U.S. SOFR +1.32%) ± | 3.91 | 4-25-2026 | 2,000,000 | 1,959,627 | ||
25,601,758 | ||||||
Capital markets: 1.91% | ||||||
Athene Global Funding 144A | 3.21 | 3-8-2027 | 1,625,000 | 1,476,529 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.63 | 11-17-2023 | 1,500,000 | 1,487,785 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +0.91%) ± | 1.95 | 10-21-2027 | 3,000,000 | 2,664,560 | ||
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 2,000,000 | 1,956,369 | ||
Morgan Stanley (U.S. SOFR +1.99%) ± | 2.19 | 4-28-2026 | 2,305,000 | 2,165,106 | ||
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 2,000,000 | 1,856,972 | ||
11,607,321 | ||||||
Consumer finance: 1.97% | ||||||
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 2,580,000 | 2,448,651 | ||
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 2,000,000 | 1,822,400 | ||
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 1,115,000 | 986,843 | ||
Hyundai Capital America Company 144A | 2.38 | 2-10-2023 | 1,695,000 | 1,681,747 | ||
Nissan Motor Acceptance Corporation 144A | 3.88 | 9-21-2023 | 2,030,000 | 2,015,398 | ||
Volkswagen Group of America 144A | 2.70 | 9-26-2022 | 1,600,000 | 1,599,601 | ||
Volkswagen Group of America Finance LLC 144A | 4.35 | 6-8-2027 | 1,500,000 | 1,460,189 | ||
12,014,829 | ||||||
Diversified financial services: 1.11% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 1,335,000 | 1,185,763 | ||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 1,000,000 | 934,977 | ||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 1,900,000 | 1,821,888 | ||
Jackson Financial Incorporated 144A | 1.13 | 11-22-2023 | 965,000 | 927,879 | ||
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 2,000,000 | 1,917,601 | ||
6,788,108 | ||||||
Insurance: 2.21% | ||||||
Brighthouse Financial Incorporated 144A | 1.00 | 4-12-2024 | 2,000,000 | 1,886,593 | ||
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 3,022,000 | 2,839,121 | ||
Met Life Incorporated 144A | 4.40 | 6-30-2027 | 2,000,000 | 2,011,752 |
Interest rate | Maturity date | Principal | Value | |||
Insurance (continued) | ||||||
Minnesota Life Insurance Company 144A | 8.25% | 9-15-2025 | $ | 1,805,000 | $ 1,969,011 | |
OneBeacon US Holdings Incorporated | 4.60 | 11-9-2022 | 2,285,000 | 2,287,454 | ||
Protective Life Global 144A | 1.62 | 4-15-2026 | 2,370,000 | 2,145,075 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 335,000 | 314,890 | ||
13,453,896 | ||||||
Mortgage REITs: 0.13% | ||||||
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 65,000 | 60,567 | ||
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 750,000 | 746,462 | ||
807,029 | ||||||
Health care: 0.68% | ||||||
Health care providers & services: 0.68% | ||||||
Dignity Health | 3.13 | 11-1-2022 | 2,255,000 | 2,253,259 | ||
HCA Incorporated | 5.25 | 4-15-2025 | 1,870,000 | 1,891,052 | ||
4,144,311 | ||||||
Industrials: 1.80% | ||||||
Aerospace & defense: 0.49% | ||||||
The Boeing Company | 4.51 | 5-1-2023 | 2,000,000 | 2,003,654 | ||
The Boeing Company | 4.88 | 5-1-2025 | 1,000,000 | 1,002,794 | ||
3,006,448 | ||||||
Airlines: 0.88% | ||||||
American Airline Series 2014-1 | 3.70 | 4-15-2027 | 1,786,726 | 1,579,465 | ||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 2,455,000 | 2,404,666 | ||
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 797,639 | 774,687 | ||
United Airlines Pass-Through Trust Certificates Series 2020-1 Class B | 4.88 | 7-15-2027 | 644,760 | 613,887 | ||
5,372,705 | ||||||
Trading companies & distributors: 0.11% | ||||||
Aircastle Limited 144A | 5.25 | 8-11-2025 | 700,000 | 673,270 | ||
Transportation infrastructure: 0.32% | ||||||
Penske Truck Leasing 144A | 4.40 | 7-1-2027 | 2,000,000 | 1,944,550 | ||
Information technology: 0.79% | ||||||
IT services: 0.54% | ||||||
Global Payments Incorporated | 4.95 | 8-15-2027 | 1,540,000 | 1,525,363 | ||
Kyndryl Holdings Incorporated 144A | 2.05 | 10-15-2026 | 2,150,000 | 1,783,000 | ||
3,308,363 | ||||||
Semiconductors & semiconductor equipment: 0.25% | ||||||
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 1,525,000 | 1,502,638 | ||
Materials: 0.56% | ||||||
Chemicals: 0.40% | ||||||
Celanese US Holding LLC | 6.05 | 3-15-2025 | 2,400,000 | 2,406,103 |
Interest rate | Maturity date | Principal | Value | |||
Containers & packaging: 0.16% | ||||||
Ball Corporation | 4.00% | 11-15-2023 | $ | 1,000,000 | $ 989,610 | |
Real estate: 1.94% | ||||||
Equity REITs: 1.94% | ||||||
EPR Properties Company | 4.50 | 4-1-2025 | 1,500,000 | 1,447,572 | ||
Omega Healthcare Investors Incorporated | 4.50 | 1-15-2025 | 1,430,000 | 1,417,209 | ||
Omega Healthcare Investors Incorporated | 4.75 | 1-15-2028 | 145,000 | 138,675 | ||
Piedmont Operating Partnership LP | 4.45 | 3-15-2024 | 1,765,000 | 1,764,556 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 1,490,000 | 1,439,256 | ||
SBA Tower Trust 144A | 3.45 | 3-15-2048 | 2,335,000 | 2,324,324 | ||
Service Properties Trust | 4.50 | 6-15-2023 | 1,500,000 | 1,470,285 | ||
VICI Properties LP | 4.38 | 5-15-2025 | 1,835,000 | 1,791,822 | ||
11,793,699 | ||||||
Utilities: 0.80% | ||||||
Electric utilities: 0.36% | ||||||
Southern California Edison Company | 0.70 | 4-3-2023 | 2,200,000 | 2,167,400 | ||
Gas utilities: 0.13% | ||||||
One Gas Incorporated | 0.85 | 3-11-2023 | 838,000 | 825,233 | ||
Multi-utilities: 0.31% | ||||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 765,000 | 753,671 | ||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 2.11 | 3-2-2023 | 443,000 | 442,281 | ||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 2.93 | 5-13-2024 | 680,000 | 672,597 | ||
1,868,549 | ||||||
Total Corporate bonds and notes (Cost $141,450,640) | 134,446,965 | |||||
Foreign corporate bonds and notes : 1.28% | ||||||
Communication services: 0.22% | ||||||
Media: 0.22% | ||||||
SES SA Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.19%) ʊ± | 2.88 | 5-27-2026 | EUR | 1,625,000 | 1,338,535 | |
Financials: 0.55% | ||||||
Banks: 0.55% | ||||||
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 2,500,000 | 2,376,029 | |
Permanent TSB Group (EUR Swap Annual (vs. 6 Month EURIBOR) 1 Year +2.55%) ± | 2.13 | 9-26-2024 | EUR | 1,000,000 | 978,142 | |
3,354,171 | ||||||
Industrials: 0.29% | ||||||
Containers & packaging: 0.21% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 1,500,000 | 1,280,347 | |
Electrical equipment: 0.08% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 500,000 | 484,889 |
Interest rate | Maturity date | Principal | Value | |||
Real estate: 0.22% | ||||||
Equity REITs: 0.22% | ||||||
Aedas Homes Opco SLU 144A | 4.00% | 8-15-2026 | EUR | 1,500,000 | $ 1,315,380 | |
Total Foreign corporate bonds and notes (Cost $10,092,395) | 7,773,322 | |||||
Foreign government bonds : 2.01% | ||||||
Brazil ¤ | 0.00 | 1-1-2024 | BRL | 17,000,000 | 2,776,287 | |
Chile | 4.50 | 3-1-2026 | CLP | 1,250,000,000 | 1,290,377 | |
Germany | 1.30 | 10-15-2027 | EUR | 6,000,000 | 6,005,270 | |
Hungary Government Bond | 1.50 | 8-23-2023 | HUF | 350,000,000 | 810,609 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 22,600,000 | 1,385,456 | |
Total Foreign government bonds (Cost $13,356,519) | 12,267,999 | |||||
Loans: 1.08% | ||||||
Communication services: 0.61% | ||||||
Media: 0.61% | ||||||
CSC Holdings LLC (3 Month LIBOR +2.25%) ± | 2.39 | 7-17-2025 | $ | 1,958,656 | 1,893,786 | |
Gray Television Incorporated (1 Month LIBOR +2.50%) ± | 4.87 | 2-7-2024 | 1,831,940 | 1,816,167 | ||
3,709,953 | ||||||
Financials: 0.15% | ||||||
Diversified financial services: 0.15% | ||||||
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 5.00 | 5-30-2025 | 991,610 | 936,456 | ||
Industrials: 0.32% | ||||||
Aerospace & defense: 0.32% | ||||||
TransDigm Incorporated (1 Month LIBOR +2.25%) ± | 2.52 | 8-22-2024 | 1,994,772 | 1,955,555 | ||
Total Loans (Cost $6,682,765) | 6,601,964 | |||||
Municipal obligations: 0.49% | ||||||
Indiana: 0.16% | ||||||
Education revenue: 0.16% | ||||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 1.47 | 2-25-2044 | 996,960 | 995,293 | ||
New Jersey: 0.33% | ||||||
Miscellaneous revenue: 0.33% | ||||||
New Jersey Transportation Trust Fund Authority System Series B | 2.55 | 6-15-2023 | 2,000,000 | 1,981,499 | ||
Total Municipal obligations (Cost $2,987,905) | 2,976,792 | |||||
Non-agency mortgage-backed securities: 20.85% | ||||||
Affirm Incorporated Series 2021-B Class A 144A | 1.03 | 8-17-2026 | 3,653,000 | 3,459,556 | ||
Ajax Mortgage Loan Trust Series 2021-E Class A1 144A±± | 1.74 | 12-25-2060 | 3,249,813 | 2,843,310 | ||
Anchorage Capital CLO Limited Series 2015-6A Class B2RR (3 Month LIBOR +1.85%) 144A± | 4.36 | 7-15-2030 | 4,000,000 | 3,901,200 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47% | 6-25-2065 | $ | 471,792 | $ 448,871 | |
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 813,733 | 784,719 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 3.70 | 9-20-2029 | 3,000,000 | 2,868,978 | ||
Auburn CLO Limited. Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 4.33 | 10-20-2030 | 470,000 | 453,151 | ||
Bayview Opportunity Master Fund Trust Series 2017 Class RT5 144A±± | 3.50 | 5-28-2069 | 1,150,087 | 1,116,315 | ||
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 3.83 | 4-24-2029 | 2,350,930 | 2,325,965 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 2,213,875 | 2,036,278 | ||
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 2.93 | 11-25-2069 | 2,416,322 | 2,392,714 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A±± | 2.72 | 11-25-2059 | 389,516 | 377,225 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 4.29 | 10-15-2036 | 2,165,000 | 2,035,100 | ||
Carlyle Global Market Series 2015-1A Class CR3 (3 Month LIBOR +2.00%) 144A± | 4.71 | 7-20-2031 | 3,000,000 | 2,816,526 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 231,609 | 225,850 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 868,944 | 836,947 | ||
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 2,315,190 | 2,281,222 | ||
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 1,880,037 | 1,804,036 | ||
CIFC Funding Limited Series 2017-2A (3 Month LIBOR +1.85%) 144A± | 4.56 | 4-20-2030 | 1,250,000 | 1,184,588 | ||
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 3.74 | 4-18-2031 | 4,000,000 | 3,920,000 | ||
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 142,443 | 140,681 | ||
Commercial Mortgage Trust Series 2012-CR4 Class A | 3.25 | 10-15-2045 | 2,000,000 | 1,963,270 | ||
Commercial Mortgage Trust Series 2014-CR14 Class B ±± | 4.74 | 2-10-2047 | 680,000 | 670,893 | ||
Commercial Mortgage Trust Series 2015-DC1 Class A3 | 3.22 | 2-10-2048 | 187,803 | 187,624 | ||
ContiMortgage Home Equity Loan Trust Series 1996-2 Class IO ♀±± | 0.00 | 7-15-2027 | 434,713 | 5,727 | ||
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 2.01 | 6-19-2031 | 69,473 | 66,527 | ||
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 764,335 | 719,642 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 1,490,108 | 1,261,864 | ||
CSAIL Commercial Mortgage Trust Series 2016-C5 Class A4 | 3.49 | 11-15-2048 | 1,163,493 | 1,128,410 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 3.40 | 12-19-2030 | 550,000 | 537,296 | ||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 4.76 | 5-15-2032 | 1,000,000 | 939,994 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 3.51% | 9-25-2033 | $ | 154,103 | $ 151,143 | |
First Key Homes Series 2021 Class B 144A | 1.61 | 9-17-2038 | 2,235,000 | 1,943,552 | ||
First Key Homes Series 2021 Class C 144A | 1.89 | 8-17-2038 | 1,835,000 | 1,622,130 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 4.19 | 11-16-2036 | 2,000,000 | 1,903,454 | ||
FWD Securitization Trust Series 2020-INV1 Class A3 144A±± | 2.44 | 1-25-2050 | 847,036 | 805,734 | ||
GCAT Series 2021-NQM1 Class A1 144A±± | 0.87 | 1-25-2066 | 1,386,914 | 1,269,503 | ||
Golden National Mortgage Asset-Backed Certificates Series 1998-GN1 Class M2 | 8.02 | 2-25-2027 | 34,322 | 33,586 | ||
Goldman Sachs Mortgage Securities Trust Series 2013-G1 Class A2 144A±± | 3.56 | 4-10-2031 | 283,715 | 281,641 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,231,603 | ||
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 3.77 | 5-2-2023 | 1,849,928 | 1,849,577 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 121,205 | 114,299 | ||
Harbor Group International Limited Series 2021-FL1 Class A (1 Month LIBOR +1.05%) 144A± | 3.44 | 6-16-2036 | 1,782,000 | 1,726,889 | ||
Harbor Group International Limited Series 2021-FL2 Class C (1 Month LIBOR +1.80%) 144A± | 4.19 | 9-17-2036 | 1,000,000 | 946,466 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 3.39 | 11-15-2036 | 1,675,948 | 1,635,054 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60 | 11-25-2056 | 2,723,492 | 2,402,875 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3 144A±± | 4.46 | 5-25-2067 | 4,005,000 | 3,692,680 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-LC11 Class A4 | 2.69 | 4-15-2046 | 1,576,823 | 1,562,914 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.21%) 144A± | 3.60 | 6-15-2035 | 566,915 | 552,967 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 3.35 | 7-15-2036 | 2,500,000 | 2,455,436 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2020 Class A7 144A±± | 3.50 | 7-25-2050 | 1,067,463 | 991,051 | ||
LoanCore Limited Series 2018-CRE1 Class A (1 Month LIBOR +1.13%) 144A± | 3.52 | 5-15-2028 | 115,800 | 115,543 | ||
Madison Park Funding Limited Series 2012-0A (3 Month LIBOR +1.55%) 144A± | 4.32 | 7-27-2030 | 1,570,000 | 1,510,087 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 4,000,000 | 3,836,875 | ||
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.83 | 10-25-2032 | 856 | 829 | ||
MED Trust Series 2021-MDLN Class B (1 Month LIBOR +1.45%) 144A± | 3.84 | 11-15-2038 | 3,000,000 | 2,896,800 | ||
Mello Warehouse Securitization Trust Series 2021-1 Class B (1 Month LIBOR +0.90%) 144A± | 2.52 | 2-25-2055 | 1,460,000 | 1,421,315 | ||
Mello Warehouse Securitization Trust Series 2021-2 Class C (1 Month LIBOR +1.10%) 144A± | 3.54 | 4-25-2055 | 1,825,000 | 1,786,494 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 3.26 | 7-15-2036 | 1,485,143 | 1,471,417 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
MFRA Trust Series 2020-NQM1 Class A2 144A±± | 1.79% | 8-25-2049 | $ | 628,147 | $ 607,970 | |
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 1,038,004 | 957,383 | ||
New Residential Mortgage Loan Series 2018-5A Class A1A 144A±± | 4.25 | 12-25-2057 | 2,074,248 | 2,038,149 | ||
New Residential Mortgage Loan Series 2019-6A Class A1B 144A±± | 3.50 | 9-25-2059 | 842,874 | 805,006 | ||
New York Mortgage Trust Series 2022 Class A1 144A | 2.04 | 7-25-2061 | 2,931,463 | 2,741,417 | ||
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A | 1.22 | 12-29-2051 | 869,712 | 860,184 | ||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 4.16 | 3-17-2030 | 2,190,000 | 2,098,699 | ||
Octane Receivables Trust Series 2022-2A Class A 144A | 5.11 | 2-22-2028 | 1,890,000 | 1,884,266 | ||
OPG Trust 2021 PORT (1 Month LIBOR +0.71%) 144A± | 3.10 | 10-15-2036 | 3,422,255 | 3,211,442 | ||
PKHL Commercial Mortgage Trust Series 2021 Class B (1 Month LIBOR +1.18%) 144A± | 3.57 | 7-15-2038 | 3,342,000 | 3,190,148 | ||
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 220,135 | 217,518 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10 | 1-25-2065 | 374,031 | 358,046 | ||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 4.06 | 4-15-2030 | 2,660,000 | 2,519,720 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 1,452,077 | 1,390,607 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 550,611 | 545,852 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 418,398 | 405,130 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1 144A±± | 2.90 | 10-25-2059 | 977,975 | 939,296 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 263,959 | 259,750 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 3.24 | 2-15-2032 | 1,459,270 | 1,418,177 | ||
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 1,353,451 | 1,197,493 | ||
Verus Securitization Trust Series 2021-8 Class A2 144A±± | 2.29 | 11-25-2066 | 2,198,364 | 1,961,307 | ||
Verus Securitization Trust Series 2021-R1 Class A2 144A±± | 1.06 | 10-25-2063 | 147,579 | 138,353 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 1,155,399 | 1,093,355 | ||
Vibrant CLO Limited (3 Month LIBOR +0.95%) 144A± | 3.05 | 6-20-2029 | 1,918,607 | 1,897,412 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 4.64 | 4-17-2030 | 2,500,000 | 2,339,948 | ||
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.43 | 8-25-2032 | 52,867 | 54,372 | ||
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.43 | 8-25-2032 | 32,596 | 32,055 | ||
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 2.48 | 12-28-2037 | 4,835 | 4,832 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 3.74% | 10-18-2030 | $ | 4,000,000 | $ 3,953,324 | |
Zais CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 5.16 | 7-15-2029 | 2,050,000 | 1,961,551 | ||
Total Non-agency mortgage-backed securities (Cost $133,008,013) | 127,029,155 | |||||
U.S. Treasury securities: 18.79% | ||||||
U.S. Treasury Note | 0.25 | 4-15-2023 | 27,475,000 | 26,946,193 | ||
U.S. Treasury Note | 0.25 | 3-15-2024 | 15,490,000 | 14,743,334 | ||
U.S. Treasury Note | 0.25 | 5-15-2024 | 21,250,000 | 20,122,754 | ||
U.S. Treasury Note | 0.38 | 12-31-2025 | 7,420,000 | 6,697,420 | ||
U.S. Treasury Note | 1.13 | 1-15-2025 | 6,740,000 | 6,379,305 | ||
U.S. Treasury Note | 2.50 | 5-31-2024 | 15,000,000 | 14,752,148 | ||
U.S. Treasury Note | 2.63 | 4-15-2025 | 1,240,000 | 1,213,069 | ||
U.S. Treasury Note | 2.75 | 5-15-2025 | 645,000 | 632,579 | ||
U.S. Treasury Note | 2.75 | 4-30-2027 | 10,900,000 | 10,609,191 | ||
U.S. Treasury Note | 2.88 | 6-15-2025 | 2,470,000 | 2,429,091 | ||
U.S. Treasury Note | 3.00 | 6-30-2024 | 1,720,000 | 1,705,084 | ||
U.S. Treasury Note | 3.25 | 6-30-2027 | 8,275,000 | 8,235,564 | ||
Total U.S. Treasury securities (Cost $116,913,016) | 114,465,732 | |||||
Yankee corporate bonds and notes: 13.25% | ||||||
Consumer discretionary: 0.79% | ||||||
Automobiles: 0.36% | ||||||
Conti Gummi Finance BV | 1.13 | 9-25-2024 | 2,000,000 | 1,956,405 | ||
Stellantis NV | 5.25 | 4-15-2023 | 250,000 | 251,110 | ||
2,207,515 | ||||||
Internet & direct marketing retail: 0.43% | ||||||
Prosus NV 144A | 3.26 | 1-19-2027 | 3,000,000 | 2,596,021 | ||
Consumer staples: 0.51% | ||||||
Food products: 0.32% | ||||||
Viterra Finance BV 144A | 4.90 | 4-21-2027 | 2,000,000 | 1,919,915 | ||
Tobacco: 0.19% | ||||||
Imperial Brands plc 144A | 6.13 | 7-27-2027 | 1,145,000 | 1,162,299 | ||
Energy: 0.47% | ||||||
Oil, gas & consumable fuels: 0.47% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.04%) ʊ± | 4.38 | 6-22-2025 | 3,000,000 | 2,871,750 | ||
Financials: 10.08% | ||||||
Banks: 6.47% | ||||||
ANZ New Zealand International Company 144A | 1.90 | 2-13-2023 | 2,200,000 | 2,181,756 | ||
Banco Internacional del Peru SAA Interbank 144A | 3.38 | 1-18-2023 | 1,305,000 | 1,298,214 | ||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ± | 0.70 | 6-30-2024 | 2,000,000 | 1,935,753 | ||
Banque Fédérative du Crédit Mutuel 144A | 4.52 | 7-13-2025 | 3,000,000 | 2,985,619 | ||
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 1,155,000 | 1,094,605 |
Interest rate | Maturity date | Principal | Value | |||
Banks (continued) | ||||||
BNP Paribas (U.S. SOFR +1.00%) 144A± | 1.32% | 1-13-2027 | $ | 1,545,000 | $ 1,355,262 | |
BPCE SA 144A | 4.75 | 7-19-2027 | 2,560,000 | 2,534,142 | ||
Central American Bank 144A | 1.14 | 2-9-2026 | 2,500,000 | 2,253,950 | ||
Credicorp Limited 144A | 2.75 | 6-17-2025 | 3,000,000 | 2,825,396 | ||
Danske Bank A/S (1 Year Treasury Constant Maturity +0.55%) 144A± | 0.98 | 9-10-2025 | 2,000,000 | 1,836,469 | ||
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 1,500,000 | 1,446,653 | ||
Deutsche Bank | 3.30 | 11-16-2022 | 1,000,000 | 998,303 | ||
Federation des Caisses Desjardins 144A | 4.40 | 8-23-2025 | 3,000,000 | 2,974,882 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 600,000 | 559,287 | ||
HSBC Holdings plc (U.S. SOFR +1.10%) ± | 2.25 | 11-22-2027 | 1,760,000 | 1,551,610 | ||
HSBC Holdings plc (U.S. SOFR +2.61%) ± | 5.21 | 8-11-2028 | 2,400,000 | 2,342,527 | ||
Intesa Sanpaolo SpA 144A | 3.25 | 9-23-2024 | 2,000,000 | 1,918,902 | ||
Mizuho Financial Group (U.S. SOFR +1.24%) ± | 2.84 | 7-16-2025 | 1,000,000 | 962,651 | ||
National Bank of Canada Company (U.S. SOFR +1.01%) ± | 3.75 | 6-9-2025 | 1,000,000 | 986,205 | ||
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 1,375,000 | 1,356,693 | ||
Nordea Bank AB 144A | 3.75 | 8-30-2023 | 2,000,000 | 1,992,610 | ||
Sumitomo Mitsui Financial Group (3 Month LIBOR +0.80%) ± | 3.54 | 10-16-2023 | 2,000,000 | 2,001,126 | ||
39,392,615 | ||||||
Capital markets: 1.04% | ||||||
Credit Suisse Group AG (U.S. SOFR +3.34%) 144A± | 6.37 | 7-15-2026 | 3,000,000 | 2,985,924 | ||
Macquarie Group Limited (U.S. SOFR +1.07%) 144A± | 1.34 | 1-12-2027 | 1,885,000 | 1,649,380 | ||
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 2,000,000 | 1,737,032 | ||
6,372,336 | ||||||
Diversified financial services: 1.21% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.65 | 10-29-2024 | 2,500,000 | 2,313,275 | ||
African Export Import BA 144A | 2.63 | 5-17-2026 | 550,000 | 494,945 | ||
Avolon Holdings Funding Limited 144A | 2.53 | 11-18-2027 | 862,000 | 703,998 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 965,000 | 930,486 | ||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 1,000,000 | 935,810 | ||
New Red Finance Incorporated 144A« | 5.75 | 4-15-2025 | 2,000,000 | 2,010,000 | ||
7,388,514 | ||||||
Insurance: 0.89% | ||||||
Allied World Assurance Company Holdings Limited | 4.35 | 10-29-2025 | 2,880,000 | 2,801,871 | ||
Sompo International Holdings Limited | 4.70 | 10-15-2022 | 2,628,000 | 2,631,792 | ||
5,433,663 | ||||||
Thrifts & mortgage finance: 0.47% | ||||||
Nationwide Building Society 144A | 4.85 | 7-27-2027 | 2,860,000 | 2,839,956 | ||
Information technology: 0.43% | ||||||
Semiconductors & semiconductor equipment: 0.43% | ||||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 2,830,000 | 2,625,719 |
Interest rate | Maturity date | Principal | Value | |||
Materials: 0.33% | ||||||
Chemicals: 0.33% | ||||||
Syngenta Finance NV 144A | 4.44% | 4-24-2023 | $ | 2,000,000 | $ 1,994,339 | |
Real estate: 0.31% | ||||||
Equity REITs: 0.31% | ||||||
Scentre Group Trust 144A | 3.63 | 1-28-2026 | 2,000,000 | 1,912,879 | ||
Utilities: 0.33% | ||||||
Independent power & renewable electricity producers: 0.33% | ||||||
Colbun SA 144A | 4.50 | 7-10-2024 | 2,000,000 | 1,997,500 | ||
Total Yankee corporate bonds and notes (Cost $84,906,505) | 80,715,021 |
Yield | Shares | |||||
Short-term investments: 5.79% | ||||||
Investment companies: 5.79% | ||||||
Allspring Government Money Market Fund Select Class ♠∞ | 2.09 | 34,859,487 | 34,859,487 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 2.39 | 385,605 | 385,605 | |||
Total Short-term investments (Cost $35,245,092) | 35,245,092 | |||||
Total investments in securities (Cost $625,524,647) | 98.29% | 598,785,029 | ||||
Other assets and liabilities, net | 1.71 | 10,405,911 | ||||
Total net assets | 100.00% | $609,190,940 |
± | 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. |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
♀ | 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. |
« | 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. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
CLP | Chile Peso |
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 | $328,323,210 | $(315,590,024) | $0 | $0 | $ 34,859,487 | 34,859,487 | $ 110,193 | ||
Securities Lending Cash Investments LLC | 667,600 | 36,751,850 | (37,033,845) | 0 | 0 | 385,605 | 385,605 | 19,076 # | ||
$0 | $0 | $35,245,092 | $129,269 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
975,000 EUR | 1,003,580 USD | Morgan Stanley | 9-30-2022 | $ 0 | $ (21,953) | |
13,075,376 USD | 12,280,000 EUR | Morgan Stanley | 9-30-2022 | 711,910 | 0 | |
1,406,785 USD | 22,600,000 ZAR | Morgan Stanley | 9-30-2022 | 90,734 | 0 | |
6,291,515 USD | 6,200,000 EUR | Morgan Stanley | 9-30-2022 | 49,375 | 0 | |
$852,019 | $(21,953) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 1,220 | 12-30-2022 | $254,533,986 | $254,160,314 | $ 0 | $ (373,672) | |
Short | |||||||
Euro-BOBL Futures | (38) | 9-8-2022 | (4,782,244) | (4,700,193) | 82,051 | 0 | |
10-Year U.S. Treasury Notes | (38) | 12-20-2022 | (4,450,948) | (4,442,438) | 8,510 | 0 | |
5-Year U.S. Treasury Notes | (578) | 12-30-2022 | (64,117,270) | (64,054,141) | 63,129 | 0 | |
$153,690 | $(373,672) |
Assets | |
Investments in unaffiliated securities (including $377,879 of securities loaned), at value (cost $590,279,555) | $ 563,539,937 |
Investments in affiliated securities, at value (cost $35,245,092) | 35,245,092 |
Cash at broker segregated for futures contracts | 1,505,000 |
Receivable for investments sold | 7,893,691 |
Receivable for interest | 2,824,459 |
Receivable for Fund shares sold | 1,872,805 |
Unrealized gains on forward foreign currency contracts | 852,019 |
Receivable for daily variation margin on open futures contracts | 66,503 |
Principal paydown receivable | 2,249 |
Receivable for securities lending income, net | 760 |
Prepaid expenses and other assets | 93,532 |
Total assets | 613,896,047 |
Liabilities | |
Payable for investments purchased | 2,429,440 |
Cash collateral due to broker for forward foreign currency contracts | 1,020,000 |
Payable upon receipt of securities loaned | 385,605 |
Payable for Fund shares redeemed | 338,614 |
Overdraft due to custodian bank | 239,734 |
Management fee payable | 158,342 |
Administration fees payable | 50,219 |
Unrealized losses on forward foreign currency contracts | 21,953 |
Distribution fee payable | 2,726 |
Due to custodian bank, foreign currency, at value | 538 |
Accrued expenses and other liabilities | 57,936 |
Total liabilities | 4,705,107 |
Total net assets | $609,190,940 |
Net assets consist of | |
Paid-in capital | $ 638,908,725 |
Total distributable loss | (29,717,785) |
Total net assets | $609,190,940 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 141,781,888 |
Shares outstanding – Class A1 | 16,861,495 |
Net asset value per share – Class A | $8.41 |
Maximum offering price per share – Class A2 | $8.58 |
Net assets – Class C | $ 4,224,671 |
Shares outstanding – Class C1 | 503,161 |
Net asset value per share – Class C | $8.40 |
Net assets – Class R6 | $ 16,574,827 |
Shares outstanding – Class R61 | 1,972,096 |
Net asset value per share – Class R6 | $8.40 |
Net assets – Institutional Class | $ 446,609,554 |
Shares outstanding – Institutional Class1 | 53,091,907 |
Net asset value per share – Institutional Class | $8.41 |
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 | $ 11,568,687 |
Dividends | 184,053 |
Income from affiliated securities | 125,833 |
Total investment income | 11,878,573 |
Expenses | |
Management fee | 2,064,085 |
Administration fees | |
Class A | 251,589 |
Class C | 8,044 |
Class R6 | 6,768 |
Institutional Class | 323,926 |
Shareholder servicing fees | |
Class A | 392,888 |
Class C | 12,541 |
Distribution fee | |
Class C | 37,624 |
Custody and accounting fees | 36,569 |
Professional fees | 71,114 |
Registration fees | 63,398 |
Shareholder report expenses | 64,674 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 17,317 |
Total expenses | 3,370,930 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (149,833) |
Class A | (121,032) |
Class C | (2,978) |
Institutional Class | (3,548) |
Net expenses | 3,093,539 |
Net investment income | 8,785,034 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (2,911,611) |
Forward foreign currency contracts | 1,532,822 |
Futures contracts | (3,052,537) |
Swap contracts | (86,887) |
Net realized losses on investments | (4,518,213) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (32,985,812) |
Forward foreign currency contracts | 768,720 |
Futures contracts | (273,194) |
Swap contracts | 91,265 |
Net change in unrealized gains (losses) on investments | (32,399,021) |
Net realized and unrealized gains (losses) on investments | (36,917,234) |
Net decrease in net assets resulting from operations | $(28,132,200) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 8,785,034 | $ 8,427,704 | ||
Net realized gains (losses) on investments | (4,518,213) | 5,410,137 | ||
Net change in unrealized gains (losses) on investments | (32,399,021) | (4,088,103) | ||
Net increase (decrease) in net assets resulting from operations | (28,132,200) | 9,749,738 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (3,260,447) | (4,371,256) | ||
Class C | (66,976) | (88,211) | ||
Class R6 | (576,380) | (938,088) | ||
Institutional Class | (9,456,485) | (7,974,832) | ||
Total distributions to shareholders | (13,360,288) | (13,372,387) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,472,078 | 12,971,130 | 3,139,712 | 28,458,791 |
Class C | 111,895 | 994,577 | 284,356 | 2,570,007 |
Class R6 | 489,531 | 4,166,599 | 1,264,284 | 11,449,057 |
Institutional Class | 29,373,532 | 254,171,578 | 27,299,468 | 247,209,753 |
272,303,884 | 289,687,608 | |||
Reinvestment of distributions | ||||
Class A | 351,308 | 3,077,067 | 458,328 | 4,146,649 |
Class C | 7,551 | 66,318 | 9,763 | 88,211 |
Class R6 | 4,660 | 40,256 | 783 | 7,069 |
Institutional Class | 867,848 | 7,589,450 | 667,665 | 6,042,969 |
10,773,091 | 10,284,898 | |||
Payment for shares redeemed | ||||
Class A | (4,367,651) | (38,301,946) | (3,009,123) | (27,264,373) |
Class C | (203,015) | (1,765,491) | (343,589) | (3,111,137) |
Class R6 | (2,084,157) | (18,249,955) | (1,589,516) | (14,408,643) |
Institutional Class | (22,157,051) | (192,938,192) | (10,620,580) | (96,232,227) |
(251,255,584) | (141,016,380) | |||
Net increase in net assets resulting from capital share transactions | 31,821,391 | 158,956,126 | ||
Total increase (decrease) in net assets | (9,671,097) | 155,333,477 | ||
Net assets | ||||
Beginning of period | 618,862,037 | 463,528,560 | ||
End of period | $ 609,190,940 | $ 618,862,037 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.02 | $9.09 | $8.84 | $8.65 | $8.77 |
Net investment income | 0.11 1 | 0.14 | 0.19 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.54) | 0.02 | 0.24 | 0.19 | (0.12) |
Total from investment operations | (0.43) | 0.16 | 0.43 | 0.39 | 0.03 |
Distributions to shareholders from | |||||
Net investment income | (0.11) | (0.13) | (0.18) | (0.20) | (0.15) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.18) | (0.23) | (0.18) | (0.20) | (0.15) |
Net asset value, end of period | $8.41 | $9.02 | $9.09 | $8.84 | $8.65 |
Total return2 | (4.83)% | 1.76% | 4.96% | 4.60% | 0.31% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.81% | 0.81% | 0.82% | 0.82% | 0.82% |
Net expenses | 0.70% | 0.70% | 0.71% | 0.72% | 0.72% |
Net investment income | 1.30% | 1.48% | 2.10% | 2.33% | 1.68% |
Supplemental data | |||||
Portfolio turnover rate | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $141,782 | $175,111 | $170,975 | $170,345 | $182,179 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.01 | $9.07 | $8.83 | $8.64 | $8.76 |
Net investment income | 0.05 | 0.06 | 0.12 | 0.14 | 0.08 |
Net realized and unrealized gains (losses) on investments | (0.55) | 0.04 | 0.24 | 0.19 | (0.12) |
Total from investment operations | (0.50) | 0.10 | 0.36 | 0.33 | (0.04) |
Distributions to shareholders from | |||||
Net investment income | (0.04) | (0.06) | (0.12) | (0.14) | (0.08) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.11) | (0.16) | (0.12) | (0.14) | (0.08) |
Net asset value, end of period | $8.40 | $9.01 | $9.07 | $8.83 | $8.64 |
Total return1 | (5.57)% | 1.10% | 4.10% | 3.82% | (0.44)% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.55% | 1.56% | 1.56% | 1.57% | 1.57% |
Net expenses | 1.47% | 1.47% | 1.47% | 1.47% | 1.47% |
Net investment income | 0.53% | 0.71% | 1.36% | 1.57% | 0.93% |
Supplemental data | |||||
Portfolio turnover rate | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $4,225 | $5,286 | $5,773 | $7,146 | $8,588 |
1 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class R6 | 2022 | 2021 | 2020 | 2019 | 2018 1 |
Net asset value, beginning of period | $9.02 | $9.08 | $8.83 | $8.66 | $8.64 |
Net investment income | 0.14 2 | 0.16 | 0.21 | 0.23 | 0.02 2 |
Net realized and unrealized gains (losses) on investments | (0.56) | 0.03 | 0.25 | 0.17 | 0.02 |
Total from investment operations | (0.42) | 0.19 | 0.46 | 0.40 | 0.04 |
Distributions to shareholders from | |||||
Net investment income | (0.13) | (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 | (0.20) | (0.25) | (0.21) | (0.23) | (0.02) |
Net asset value, end of period | $8.40 | $9.02 | $9.08 | $8.83 | $8.66 |
Total return3 | (4.65)% | 2.18% | 5.28% | 4.69% | 0.42% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.43% | 0.43% | 0.44% | 0.44% | 0.44% |
Net expenses | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 1.55% | 1.79% | 2.41% | 2.71% | 2.24% |
Supplemental data | |||||
Portfolio turnover rate | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $16,575 | $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 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.03 | $9.09 | $8.84 | $8.65 | $8.78 |
Net investment income | 0.13 | 0.15 | 0.21 | 0.23 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.55) | 0.04 | 0.24 | 0.19 | (0.13) |
Total from investment operations | (0.42) | 0.19 | 0.45 | 0.42 | 0.04 |
Distributions to shareholders from | �� | ||||
Net investment income | (0.13) | (0.15) | (0.20) | (0.23) | (0.17) |
Net realized gains | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.20) | (0.25) | (0.20) | (0.23) | (0.17) |
Net asset value, end of period | $8.41 | $9.03 | $9.09 | $8.84 | $8.65 |
Total return | (4.69)% | 2.13% | 5.23% | 4.88% | 0.46% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.48% | 0.48% | 0.49% | 0.49% | 0.49% |
Net expenses | 0.45% | 0.45% | 0.45% | 0.45% | 0.46% |
Net investment income | 1.57% | 1.69% | 2.37% | 2.60% | 1.95% |
Supplemental data | |||||
Portfolio turnover rate | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $446,610 | $406,333 | $251,480 | $226,517 | $226,655 |
Gross unrealized gains | $ 191,815 |
Gross unrealized losses | (24,606,849) |
Net unrealized losses | $(24,415,034) |
■ | 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 | $ 4,516,577 | $0 | $ 4,516,577 |
Asset-backed securities | 0 | 72,255,081 | 0 | 72,255,081 |
Convertible debenture | 0 | 491,329 | 0 | 491,329 |
Corporate bonds and notes | 0 | 134,446,965 | 0 | 134,446,965 |
Foreign corporate bonds and notes | 0 | 7,773,322 | 0 | 7,773,322 |
Foreign government bonds | 0 | 12,267,999 | 0 | 12,267,999 |
Loans | 0 | 6,601,964 | 0 | 6,601,964 |
Municipal obligations | 0 | 2,976,792 | 0 | 2,976,792 |
Non-agency mortgage-backed securities | 0 | 127,029,155 | 0 | 127,029,155 |
U.S. Treasury securities | 114,465,732 | 0 | 0 | 114,465,732 |
Yankee corporate bonds and notes | 0 | 80,715,021 | 0 | 80,715,021 |
Short-term investments | ||||
Investment companies | 35,245,092 | 0 | 0 | 35,245,092 |
149,710,824 | 449,074,205 | 0 | 598,785,029 | |
Forward foreign currency contracts | 0 | 852,019 | 0 | 852,019 |
Futures contracts | 153,690 | 0 | 0 | 153,690 |
Total assets | $149,864,514 | $449,926,224 | $0 | $599,790,738 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 21,953 | $0 | $ 21,953 |
Futures contracts | 373,672 | 0 | 0 | 373,672 |
Total liabilities | $ 373,672 | $ 21,953 | $0 | $ 395,625 |
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 | |
$170,332,778 | $285,544,326 | $117,982,474 | $245,756,511 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Jefferies LLC | $377,879 | $(377,879) | $0 |
purposes and entered into swap contracts for hedging and speculative purposes.
Futures contracts | |
Average notional balance on long futures | $252,944,881 |
Average notional balance on short futures | 81,647,257 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 2,544,459 |
Average contract amounts to sell | 16,008,125 |
Swap contracts | |
Average notional balance | $ 1,993,151 |
below specific levels identified by the counterparty. If these levels are triggered, the counterparty may terminate the
transaction and seek payment or request full collateralization of the derivative transactions in net liability positions.
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 | $ 153,690* | Unrealized losses on futures contracts | $ 373,672* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 852,019 | Unrealized losses on forward foreign currency contracts | 21,953 | |
$1,005,709 | $395,625 |
* | Amount represents cumulative unrealized gains (losses) on futures contracts as reported in the table following the Portfolio of Investments. For futures contracts, only the current day’s variation margin as of August 31, 2022 is reported separately on the Statements of Assets and Liabilities. |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ (3,052,537) | $ 0 | $ (3,052,537) |
Foreign currency risk | 1,532,822 | 0 | 0 | 1,532,822 |
Credit risk | 0 | 0 | (86,887) | (86,887) |
$1,532,822 | $(3,052,537) | $(86,887) | $(1,606,602) |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ (273,194) | $ 0 | $(273,194) |
Foreign currency risk | 768,720 | 0 | 0 | 768,720 |
Credit risk | 0 | 0 | 91,265 | 91,265 |
$768,720 | $(273,194) | $91,265 | $ 586,791 |
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 | $852,019 | $(21,953) | $0 | $830,066 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of assets |
Morgan Stanley | $21,953 | $(21,953) | $0 | $0 |
Year ended August 31 | ||
2022 | 2021 | |
Ordinary income | $12,313,837 | $12,290,492 |
Long-term capital gain | 1,046,451 | 1,081,895 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$960,278 | $(24,448,853) | $(6,229,206) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img2cde7b886.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g391092img017ece531.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g391092img257a36a57.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A221/AR221 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499img0929ed761.jpg)
Short-Term High Yield Bond Fund
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499imgbf8f305c2.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499imgd49acebb3.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 August 31, 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 | -5.65 | 1.94 | 2.36 | -2.73 | 2.56 | 2.67 | 0.94 | 0.82 | ||
Class C (WFHYX) | 3-31-2008 | -4.58 | 1.79 | 2.06 | -3.58 | 1.79 | 2.06 | 1.69 | 1.57 | ||
Administrator Class (WDHYX) | 7-30-2010 | – | – | – | -2.58 | 2.72 | 2.83 | 0.88 | 0.66 | ||
Institutional Class (STYIX)3 | 11-30-2012 | – | – | – | -2.44 | 2.87 | 2.97 | 0.61 | 0.51 | ||
ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index4 | – | – | – | – | -3.73 | 2.92 | 3.76 | – | – |
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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499imgb5be28574.gif)
1 | The chart compares the performance of Class A shares for the most recent ten years with the ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index. The chart assumes a hypothetical investment of $10,000 in Class A shares and reflects all operating expenses and assumes the maximum initial sales charge of 3.00%. |
■ | The Fund outperformed its benchmark, the ICE BofA 1–3 Year BB U.S. Cash Pay High Yield Index (BB 1–3 Year Index), for the 12-month period that ended August 31, 2022. |
■ | The Fund’s leveraged loan allocation along with its leisure and energy holdings contributed to performance. |
■ | Our allocation to single-Bs detracted from performance. |
Ten largest holdings (%) as of August 31, 20221 | |
NextEra Energy Operating Partners LP, 4.25%, 7-15-2024 | 1.70 |
Enact Holdings Incorporated, 6.50%, 8-15-2025 | 1.65 |
QVC Incorporated, 4.85%, 4-1-2024 | 1.59 |
Celanese US Holding LLC, 6.05%, 3-15-2025 | 1.49 |
Sensata Technologies BV, 4.88%, 10-15-2023 | 1.46 |
New Red Finance Incorporated, 5.75%, 4-15-2025 | 1.42 |
Ford Motor Credit Company LLC, 5.58%, 3-18-2024 | 1.41 |
Spirit Loyalty Cayman Limited, 8.00%, 9-20-2025 | 1.39 |
Cedar Fair LP, 5.50%, 5-1-2025 | 1.37 |
Cinemark USA Incorporated, 8.75%, 5-1-2025 | 1.36 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499imga8c3cd6b5.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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499img9620fb3b6.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 973.65 | $3.98 | 0.80% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 | 0.80% |
Class C | ||||
Actual | $1,000.00 | $ 969.95 | $7.75 | 1.56% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.34 | $7.93 | 1.56% |
Administrator Class | ||||
Actual | $1,000.00 | $ 974.41 | $3.23 | 0.65% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | $3.31 | 0.65% |
Institutional Class | ||||
Actual | $1,000.00 | $ 975.10 | $2.49 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | $2.55 | 0.50% |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 76.20% | |||||
Communication services: 9.52% | |||||
Diversified telecommunication services: 0.99% | |||||
CenturyLink Incorporated | 6.75% | 12-1-2023 | $ 7,000,000 | $ 7,080,010 | |
Level 3 Financing Incorporated 144A | 4.63 | 9-15-2027 | 525,000 | 463,796 | |
Lumen Technologies Incorporated | 7.50 | 4-1-2024 | 3,915,000 | 3,941,622 | |
11,485,428 | |||||
Entertainment: 1.33% | |||||
Live Nation Entertainment Incorporated 144A | 4.88 | 11-1-2024 | 12,550,000 | 12,142,125 | |
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 3,350,000 | 3,344,556 | |
15,486,681 | |||||
Media: 5.50% | |||||
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 430,000 | 408,154 | |
CCO Holdings LLC 144A | 5.50 | 5-1-2026 | 15,000,000 | 14,850,000 | |
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 15,447,000 | 15,843,121 | |
CSC Holdings LLC 144A | 5.50 | 4-15-2027 | 1,990,000 | 1,886,082 | |
DISH DBS Corporation | 5.00 | 3-15-2023 | 4,800,000 | 4,697,436 | |
Gray Television Incorporated 144A | 5.88 | 7-15-2026 | 12,152,000 | 11,725,222 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 6,930,000 | 6,598,573 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 8,630,000 | 8,074,055 | |
64,082,643 | |||||
Wireless telecommunication services: 1.70% | |||||
Sprint Corporation | 7.13 | 6-15-2024 | 15,109,000 | 15,599,438 | |
Sprint Corporation | 7.88 | 9-15-2023 | 4,080,000 | 4,203,624 | |
19,803,062 | |||||
Consumer discretionary: 13.43% | |||||
Auto components: 1.62% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 915,000 | 860,172 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 6,605,000 | 6,531,618 | |
Clarios Global LP 144A | 6.75 | 5-15-2025 | 7,058,000 | 7,021,547 | |
Goodyear Tire & Rubber Company « | 5.00 | 5-31-2026 | 4,624,000 | 4,461,836 | |
18,875,173 | |||||
Automobiles: 0.36% | |||||
Ford Motor Company | 4.13 | 8-17-2027 | 4,600,000 | 4,143,358 | |
Hotels, restaurants & leisure: 7.87% | |||||
Carnival Corporation 144A | 9.88 | 8-1-2027 | 400,000 | 401,501 | |
Carnival Corporation 144A | 10.50 | 2-1-2026 | 8,110,000 | 8,353,259 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,145,000 | 2,955,570 | |
Cedar Fair LP 144A | 5.50 | 5-1-2025 | 16,215,000 | 15,905,375 | |
Hilton Domestic Operating Company Incorporated 144A | 5.38 | 5-1-2025 | 15,522,000 | 15,387,757 | |
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 15,700,000 | 14,858,869 | |
Royal Caribbean Cruises Limited 144A | 9.13 | 6-15-2023 | 5,800,000 | 5,847,038 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 6,550,000 | 6,668,752 | |
Royal Caribbean Cruises Limited 144A | 11.50 | 6-1-2025 | 4,939,000 | 5,241,810 |
Interest rate | Maturity date | Principal | Value | ||
Hotels, restaurants & leisure (continued) | |||||
SeaWorld Parks & Entertainment Incorporated 144A | 8.75% | 5-1-2025 | $14,912,000 | $ 15,413,411 | |
Six Flags Entertainment Company 144A« | 5.50 | 4-15-2027 | 650,000 | 596,047 | |
91,629,389 | |||||
Household durables: 0.40% | |||||
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 4,955,000 | 4,639,317 | |
Internet & direct marketing retail: 1.59% | |||||
QVC Incorporated | 4.85 | 4-1-2024 | 19,275,000 | 18,544,092 | |
Leisure products: 0.09% | |||||
Mattel Incorporated 144A | 3.38 | 4-1-2026 | 1,150,000 | 1,044,861 | |
Specialty retail: 0.44% | |||||
Bath & Body Works Incorporated 144A | 9.38 | 7-1-2025 | 4,551,000 | 4,814,480 | |
Penske Automotive Group Incorporated | 3.50 | 9-1-2025 | 375,000 | 352,075 | |
5,166,555 | |||||
Textiles, apparel & luxury goods: 1.06% | |||||
G-III Apparel Group Limited 144A | 7.88 | 8-15-2025 | 7,755,000 | 7,652,091 | |
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 4,755,000 | 4,659,900 | |
12,311,991 | |||||
Consumer staples: 0.59% | |||||
Food products: 0.59% | |||||
Performance Food Group Incorporated 144A | 6.88 | 5-1-2025 | 6,880,000 | 6,871,400 | |
Energy: 13.67% | |||||
Energy equipment & services: 1.66% | |||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 15,585,000 | 14,539,546 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 3,330,000 | 3,123,041 | |
USA Compression Partners LP | 6.88 | 9-1-2027 | 1,795,000 | 1,659,370 | |
19,321,957 | |||||
Oil, gas & consumable fuels: 12.01% | |||||
Antero Midstream Company 144A | 7.88 | 5-15-2026 | 4,823,000 | 4,907,403 | |
Antero Resources Corporation 144A | 8.38 | 7-15-2026 | 6,395,000 | 6,861,497 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 250,000 | 234,375 | |
Buckeye Partners LP 144A | 4.13 | 3-1-2025 | 1,795,000 | 1,678,377 | |
Buckeye Partners LP | 4.15 | 7-1-2023 | 6,519,000 | 6,397,062 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 14,390,000 | 13,868,722 | |
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 8,640,000 | 8,661,600 | |
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 5,392,000 | 5,254,776 | |
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 14,880,000 | 14,453,688 | |
EQM Midsteram Partners LP | 4.00 | 8-1-2024 | 7,785,000 | 7,362,975 | |
EQT Corporation | 6.13 | 2-1-2025 | 5,546,000 | 5,699,735 | |
Murphy Oil Corporation | 5.75 | 8-15-2025 | 10,980,000 | 10,875,525 | |
New Fortress Energy Incorporated 144A | 6.50 | 9-30-2026 | 4,580,000 | 4,338,863 | |
Occidental Petroleum Corporation | 8.00 | 7-15-2025 | 7,960,000 | 8,646,550 | |
Range Resources Corporation | 5.00 | 3-15-2023 | 2,500,000 | 2,497,050 | |
Range Resources Corporation | 8.25 | 1-15-2029 | 1,910,000 | 2,004,927 | |
Rockies Express Pipeline LLC 144A | 3.60 | 5-15-2025 | 12,920,000 | 11,870,250 | |
Southwestern Energy Company | 5.70 | 1-23-2025 | 902,000 | 902,009 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Southwestern Energy Company | 7.75% | 10-1-2027 | $ 4,931,000 | $ 5,109,749 | |
Tallgrass Energy Partners LP 144A | 7.50 | 10-1-2025 | 11,390,000 | 11,404,238 | |
Western Gas Partners LP | 3.95 | 6-1-2025 | 1,735,000 | 1,657,585 | |
Western Gas Partners LP | 4.65 | 7-1-2026 | 5,335,000 | 5,077,159 | |
139,764,115 | |||||
Financials: 12.83% | |||||
Consumer finance: 5.31% | |||||
Ford Motor Credit Company LLC | 5.58 | 3-18-2024 | 16,460,000 | 16,381,013 | |
LFS TopCo LLC 144A | 5.88 | 10-15-2026 | 2,860,000 | 2,328,432 | |
Navient Corporation | 5.88 | 10-25-2024 | 13,950,000 | 13,394,718 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,265,000 | 2,268,805 | |
OneMain Finance Corporation | 6.13 | 3-15-2024 | 13,235,000 | 12,922,588 | |
OneMain Finance Corporation | 7.13 | 3-15-2026 | 2,350,000 | 2,189,002 | |
OneMain Finance Corporation | 3.50 | 1-15-2027 | 2,440,000 | 2,012,425 | |
PRA Group Incorporated 144A | 7.38 | 9-1-2025 | 6,880,000 | 6,859,464 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 4,115,000 | 3,456,600 | |
61,813,047 | |||||
Diversified financial services: 2.77% | |||||
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 5,000,000 | 4,338,950 | |
Hat Holdings LLC 144A | 6.00 | 4-15-2025 | 15,915,000 | 15,420,773 | |
United Wholesale Mortgage LLC 144A | 5.50 | 11-15-2025 | 14,125,000 | 12,465,313 | |
32,225,036 | |||||
Insurance: 0.79% | |||||
Tri Pointe Homes | 5.88 | 6-15-2024 | 9,355,000 | 9,233,966 | |
Mortgage REITs: 1.44% | |||||
Starwood Property Trust Incorporated 144A | 3.63 | 7-15-2026 | 2,930,000 | 2,593,050 | |
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 2,730,000 | 2,543,824 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 10,120,000 | 9,636,264 | |
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 2,040,000 | 2,030,376 | |
16,803,514 | |||||
Thrifts & mortgage finance: 2.52% | |||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 20,102,000 | 19,197,410 | |
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 10,390,000 | 10,106,976 | |
29,304,386 | |||||
Health care: 1.70% | |||||
Health care providers & services: 1.40% | |||||
Tenet Healthcare Corporation | 4.63 | 7-15-2024 | 8,702,000 | 8,521,085 | |
Tenet Healthcare Corporation 144A | 4.88 | 1-1-2026 | 8,135,000 | 7,728,250 | |
16,249,335 | |||||
Health care technology: 0.30% | |||||
IQVIA Incorporated 144A | 5.00 | 10-15-2026 | 3,635,000 | 3,521,443 | |
Industrials: 12.51% | |||||
Aerospace & defense: 2.56% | |||||
Spirit AeroSystems Holdings Incorporated 144A | 5.50 | 1-15-2025 | 15,215,000 | 14,897,311 |
Interest rate | Maturity date | Principal | Value | ||
Aerospace & defense (continued) | |||||
TransDigm Group Incorporated 144A | 6.25% | 3-15-2026 | $ 2,120,000 | $ 2,082,900 | |
TransDigm Group Incorporated 144A | 8.00 | 12-15-2025 | 12,510,000 | 12,812,742 | |
29,792,953 | |||||
Airlines: 2.63% | |||||
Hawaiian Airlines Incorporated | 3.90 | 7-15-2027 | 3,731,243 | 3,141,857 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 6,345,000 | 5,791,621 | |
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 5,560,000 | 5,573,900 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 15,906,000 | 16,155,247 | |
30,662,625 | |||||
Commercial services & supplies: 2.95% | |||||
Aramark Services Incorporated 144A | 6.38 | 5-1-2025 | 15,340,000 | 15,205,775 | |
CoreCivic Incorporated | 8.25 | 4-15-2026 | 5,675,000 | 5,610,253 | |
Stericycle Incorporated 144A | 5.38 | 7-15-2024 | 13,785,000 | 13,489,381 | |
34,305,409 | |||||
Construction & engineering: 0.40% | |||||
Taylor Morrison Communities Incorporated 144A | 5.88 | 4-15-2023 | 4,695,000 | 4,675,844 | |
Electronic equipment, instruments & components: 1.34% | |||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 15,537,000 | 15,539,794 | |
Machinery: 0.43% | |||||
Stevens Holding Company Incorporated 144A | 6.13 | 10-1-2026 | 5,025,000 | 4,987,313 | |
Road & rail: 0.92% | |||||
Uber Technologies Incorporated 144A | 7.50 | 5-15-2025 | 10,670,000 | 10,739,029 | |
Trading companies & distributors: 1.28% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 15,978,000 | 14,886,063 | |
Information technology: 2.60% | |||||
IT services: 1.24% | |||||
Block Incorporated | 2.75 | 6-1-2026 | 1,760,000 | 1,564,059 | |
Sabre GLBL Incorporated 144A | 7.38 | 9-1-2025 | 1,180,000 | 1,117,932 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 11,960,000 | 11,784,068 | |
14,466,059 | |||||
Software: 1.36% | |||||
NCR Corporation 144A | 5.75 | 9-1-2027 | 2,060,000 | 1,981,383 | |
NortonLifeLock Incorporated 144A | 5.00 | 4-15-2025 | 13,997,000 | 13,815,039 | |
15,796,422 | |||||
Materials: 5.01% | |||||
Chemicals: 1.91% | |||||
Avient Corporation 144A | 5.75 | 5-15-2025 | 5,000,000 | 4,931,100 | |
Celanese US Holding LLC | 6.05 | 3-15-2025 | 17,345,000 | 17,389,104 | |
22,320,204 | |||||
Containers & packaging: 2.12% | |||||
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 140,000 | 136,710 | |
Owens-Brockway Packaging Incorporated 144A | 5.88 | 8-15-2023 | 11,054,000 | 10,988,781 |
Interest rate | Maturity date | Principal | Value | ||
Containers & packaging (continued) | |||||
Sealed Air Corporation 144A | 5.13% | 12-1-2024 | $ 6,080,000 | $ 6,019,200 | |
Sealed Air Corporation 144A | 5.50 | 9-15-2025 | 7,550,000 | 7,512,250 | |
24,656,941 | |||||
Metals & mining: 0.33% | |||||
Cleveland-Cliffs Incorporated 144A | 6.75 | 3-15-2026 | 3,795,000 | 3,837,011 | |
Paper & forest products: 0.65% | |||||
Clearwater Paper Corporation 144A | 5.38 | 2-1-2025 | 7,605,000 | 7,538,456 | |
Real estate: 0.34% | |||||
Equity REITs: 0.34% | |||||
Service Properties Trust Company | 7.50 | 9-15-2025 | 4,085,000 | 3,920,211 | |
Utilities: 4.00% | |||||
Electric utilities: 1.70% | |||||
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 20,527,000 | 19,778,021 | |
Independent power & renewable electricity producers: 2.30% | |||||
NSG Holdings LLC 144A | 7.75 | 12-15-2025 | 7,646,152 | 7,397,652 | |
Vistra Operations Company LLC 144A | 5.50 | 9-1-2026 | 14,225,000 | 13,734,949 | |
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 5,910,000 | 5,688,375 | |
26,820,976 | |||||
Total Corporate bonds and notes (Cost $928,091,339) | 887,044,080 | ||||
Loans: 7.66% | |||||
Communication services: 0.31% | |||||
Media: 0.31% | |||||
Gray Television Incorporated (1 Month LIBOR +2.50%) ± | 4.87 | 2-7-2024 | 2,637,994 | 2,615,280 | |
Hubbard Radio LLC (3 Month LIBOR +4.25%) ± | 6.78 | 3-28-2025 | 1,046,386 | 987,087 | |
3,602,367 | |||||
Consumer discretionary: 2.68% | |||||
Auto components: 0.82% | |||||
Clarios Global LP (1 Month LIBOR +3.25%) ± | 5.77 | 4-30-2026 | 2,194,428 | 2,132,984 | |
Tenneco Incorporated (3 Month LIBOR +3.00%) ± | 5.52 | 10-1-2025 | 7,549,579 | 7,447,358 | |
9,580,342 | |||||
Hotels, restaurants & leisure: 1.22% | |||||
Carnival Corporation (1 Month LIBOR +3.00%) ± | 5.88 | 6-30-2025 | 6,737,488 | 6,404,859 | |
Four Seasons Hotels Limited (3 Month LIBOR +2.00%) <± | 5.12 | 11-30-2023 | 7,793,651 | 7,761,151 | |
14,166,010 | |||||
Leisure products: 0.64% | |||||
SeaWorld Parks & Entertainment Incorporated (1 Month LIBOR +3.00%) ± | 5.56 | 8-25-2028 | 7,548,104 | 7,412,239 | |
Energy: 0.36% | |||||
Oil, gas & consumable fuels: 0.36% | |||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 6.75 | 9-29-2028 | 4,247,402 | 4,199,619 |
Interest rate | Maturity date | Principal | Value | ||
Financials: 1.12% | |||||
Diversified financial services: 0.89% | |||||
Intelsat Jackson Holdings SA (U.S. SOFR 1 Month +4.50%) <± | 7.44% | 2-1-2029 | $ 296 | $ 280 | |
Resolute Investment Managers Incorporated (1 Month LIBOR +4.25%) ‡± | 6.50 | 4-30-2024 | 2,492,935 | 2,268,571 | |
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 5.00 | 5-30-2025 | 8,512,718 | 8,039,241 | |
10,308,092 | |||||
Mortgage REITs: 0.23% | |||||
Claros Mortgage Trust Incorporated (U.S. SOFR 1 Month +4.50%) ‡± | 6.89 | 8-9-2026 | 2,795,950 | 2,719,061 | |
Health care: 0.44% | |||||
Health care technology: 0.44% | |||||
Change Healthcare Holdings Incorporated (1 Month LIBOR +2.50%) ± | 5.02 | 3-1-2024 | 5,225,000 | 5,188,007 | |
Industrials: 2.22% | |||||
Aerospace & defense: 0.45% | |||||
Spirit AeroSystems Incorporated (1 Month LIBOR +3.75%) ± | 6.27 | 1-15-2025 | 5,295,349 | 5,249,015 | |
Airlines: 1.30% | |||||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 7.31 | 6-21-2027 | 9,375,000 | 9,508,313 | |
SkyMiles IP Limited (3 Month LIBOR +3.75%) ± | 6.46 | 10-20-2027 | 5,555,000 | 5,621,438 | |
15,129,751 | |||||
Commercial services & supplies: 0.22% | |||||
GFL Environmental Incorporated (1 Month LIBOR +3.00%) ± | 5.81 | 5-30-2025 | 2,585,625 | 2,568,379 | |
Machinery: 0.00% | |||||
Vertical US Newco Incorporated (6 Month LIBOR +3.50%) ± | 6.87 | 7-30-2027 | 16,878 | 16,362 | |
Road & rail: 0.25% | |||||
Uber Technologies Incorporated (1 Month LIBOR +3.50%) ± | 6.57 | 4-4-2025 | 2,870,154 | 2,846,590 | |
Utilities: 0.53% | |||||
Electric utilities: 0.53% | |||||
ExGen Renewables IV LLC (1 Month LIBOR +2.50%) ± | 5.57 | 12-15-2027 | 6,242,650 | 6,151,258 | |
Total Loans (Cost $91,109,917) | 89,137,092 | ||||
Non-agency mortgage-backed securities: 0.00% | |||||
Salomon Brothers Mortgage Securities VII Series 1994-5 Class B2 ±± | 2.81 | 4-25-2024 | 5,041 | 4,863 | |
Total Non-agency mortgage-backed securities (Cost $4,992) | 4,863 | ||||
Yankee corporate bonds and notes: 11.27% | |||||
Communication services: 1.15% | |||||
Media: 1.15% | |||||
Clear Channel International Limited 144A | 6.63 | 8-1-2025 | 3,000,000 | 2,836,185 |
Interest rate | Maturity date | Principal | Value | ||
Media (continued) | |||||
Nielsen Holding and Finance BV 144A | 5.00% | 2-1-2025 | $ 2,485,000 | $ 2,495,039 | |
Videotron Limited 144A | 5.38 | 6-15-2024 | 8,143,000 | 8,084,452 | |
13,415,676 | |||||
Consumer discretionary: 0.53% | |||||
Auto components: 0.45% | |||||
Adient Global Holdings Limited 144A | 4.88 | 8-15-2026 | 5,605,000 | 5,187,091 | |
Automobiles: 0.08% | |||||
Stellantis NV | 5.25 | 4-15-2023 | 896,000 | 899,978 | |
Energy: 1.01% | |||||
Oil, gas & consumable fuels: 1.01% | |||||
Northriver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 12,275,000 | 11,784,000 | |
Financials: 2.10% | |||||
Diversified financial services: 2.10% | |||||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 5,910,000 | 5,530,637 | |
FMG Resources Proprietary Limited 144A | 5.13 | 5-15-2024 | 2,485,000 | 2,458,957 | |
New Red Finance Incorporated 144A | 5.75 | 4-15-2025 | 16,390,000 | 16,471,950 | |
24,461,544 | |||||
Health care: 1.35% | |||||
Pharmaceuticals: 1.35% | |||||
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 16,195,000 | 15,731,499 | |
Industrials: 2.56% | |||||
Airlines: 0.57% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 6,315,000 | 6,617,440 | |
Electrical equipment: 1.60% | |||||
Sensata Technologies BV 144A | 4.88 | 10-15-2023 | 16,885,000 | 17,036,039 | |
Sensata Technologies BV 144A | 5.63 | 11-1-2024 | 1,605,000 | 1,611,797 | |
18,647,836 | |||||
Trading companies & distributors: 0.39% | |||||
Fly Leasing Limited 144A | 7.00 | 10-15-2024 | 8,255,000 | 4,540,250 | |
Materials: 2.57% | |||||
Chemicals: 0.71% | |||||
Park Aerospace Holdings Company 144A | 5.50 | 2-15-2024 | 8,312,000 | 8,207,774 | |
Containers & packaging: 1.31% | |||||
Ardagh Packaging Finance plc 144A | 5.25 | 4-30-2025 | 16,129,000 | 15,254,577 | |
Metals & mining: 0.55% | |||||
Constellium SE 144A | 5.88 | 2-15-2026 | 6,710,000 | 6,453,492 | |
Total Yankee corporate bonds and notes (Cost $140,247,702) | 131,201,157 |
Yield | Shares | Value | |||
Short-term investments: 5.10% | |||||
Investment companies: 5.10% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 2.09% | 59,079,830 | $ 59,079,830 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 2.39 | 257,700 | 257,700 | ||
Total Short-term investments (Cost $59,337,530) | 59,337,530 | ||||
Total investments in securities (Cost $1,218,791,480) | 100.23% | 1,166,724,722 | |||
Other assets and liabilities, net | (0.23) | (2,668,277) | |||
Total net assets | 100.00% | $1,164,056,445 |
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 the position represents an unfunded loan commitment. The rate represents the current interest rate if the loan is partially funded. |
‡ | 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 | $689,741,742 | $(683,365,260) | $0 | $0 | $ 59,079,830 | 59,079,830 | $ 237,034 | ||
Securities Lending Cash Investments LLC | 11,753,565 | 15,626,875 | (27,122,740) | 0 | 0 | 257,700 | 257,700 | 5,703 # | ||
$0 | $0 | $59,337,530 | $242,737 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $252,587 of securities loaned) , at value (cost $1,159,453,950) | $ 1,107,387,192 |
Investments in affiliated securities, at value (cost $59,337,530) | 59,337,530 |
Cash | 8,358,152 |
Receivable for interest | 18,235,561 |
Receivable for investments sold | 10,383,599 |
Receivable for Fund shares sold | 1,740,015 |
Receivable for securities lending income, net | 692 |
Prepaid expenses and other assets | 65,989 |
Total assets | 1,205,508,730 |
Liabilities | |
Payable for Fund shares redeemed | 24,295,138 |
Payable for investments purchased | 16,017,836 |
Management fee payable | 382,085 |
Dividends payable | 285,638 |
Payable upon receipt of securities loaned | 257,700 |
Administration fees payable | 87,785 |
Distribution fee payable | 12,637 |
Accrued expenses and other liabilities | 113,466 |
Total liabilities | 41,452,285 |
Total net assets | $1,164,056,445 |
Net assets consist of | |
Paid-in capital | $ 1,266,706,390 |
Total distributable loss | (102,649,945) |
Total net assets | $1,164,056,445 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 99,828,492 |
Shares outstanding – Class A1 | 12,932,649 |
Net asset value per share – Class A | $7.72 |
Maximum offering price per share – Class A2 | $7.96 |
Net assets – Class C | $ 19,566,751 |
Shares outstanding – Class C1 | 2,534,155 |
Net asset value per share – Class C | $7.72 |
Net assets – Administrator Class | $ 60,460,410 |
Shares outstanding – Administrator Class1 | 7,833,353 |
Net asset value per share – Administrator Class | $7.72 |
Net assets – Institutional Class | $ 984,200,792 |
Shares outstanding – Institutional Class1 | 127,690,574 |
Net asset value per share – Institutional Class | $7.71 |
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 | $ 46,213,339 |
Income from affiliated securities | 249,835 |
Dividends | 21,320 |
Total investment income | 46,484,494 |
Expenses | |
Management fee | 5,041,954 |
Administration fees | |
Class A | 184,460 |
Class C | 38,729 |
Administrator Class | 77,511 |
Institutional Class | 656,197 |
Shareholder servicing fees | |
Class A | 288,219 |
Class C | 60,243 |
Administrator Class | 193,776 |
Distribution fee | |
Class C | 180,729 |
Custody and accounting fees | 54,266 |
Professional fees | 63,501 |
Registration fees | 60,185 |
Shareholder report expenses | 43,403 |
Trustees’ fees and expenses | 20,393 |
Other fees and expenses | 12,756 |
Total expenses | 6,976,322 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (940,978) |
Class A | (27,694) |
Class C | (3,532) |
Administrator Class | (92,847) |
Net expenses | 5,911,271 |
Net investment income | 40,573,223 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (1,017,745) |
Net change in unrealized gains (losses) on investments | (68,869,372) |
Net realized and unrealized gains (losses) on investments | (69,887,117) |
Net decrease in net assets resulting from operations | $(29,313,894) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 40,573,223 | $ 31,855,418 | ||
Net realized gains (losses) on investments | (1,017,745) | 2,455,931 | ||
Net change in unrealized gains (losses) on investments | (68,869,372) | 14,096,952 | ||
Net increase (decrease) in net assets resulting from operations | (29,313,894) | 48,408,301 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,440,504) | (4,075,494) | ||
Class C | (747,079) | (999,417) | ||
Administrator Class | (3,101,812) | (2,341,850) | ||
Institutional Class | (34,334,025) | (25,712,624) | ||
Total distributions to shareholders | (42,623,420) | (33,129,385) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,984,697 | 24,088,926 | 5,631,595 | 46,187,619 |
Class C | 461,803 | 3,733,142 | 536,933 | 4,412,827 |
Administrator Class | 2,784,449 | 22,285,584 | 4,377,643 | 36,026,529 |
Institutional Class | 86,332,743 | 683,450,660 | 56,119,432 | 460,887,081 |
733,558,312 | 547,514,056 | |||
Reinvestment of distributions | ||||
Class A | 537,113 | 4,300,266 | 476,655 | 3,913,558 |
Class C | 93,087 | 746,042 | 121,608 | 996,525 |
Administrator Class | 386,235 | 3,095,742 | 284,415 | 2,335,290 |
Institutional Class | 3,866,076 | 30,795,541 | 2,786,739 | 22,857,554 |
38,937,591 | 30,102,927 | |||
Payment for shares redeemed | ||||
Class A | (5,537,985) | (44,164,124) | (3,272,897) | (26,862,792) |
Class C | (1,550,050) | (12,485,964) | (2,822,417) | (23,070,577) |
Administrator Class | (5,289,215) | (41,553,437) | (1,189,379) | (9,762,053) |
Institutional Class | (62,445,161) | (496,501,163) | (27,559,461) | (225,499,186) |
(594,704,688) | (285,194,608) | |||
Net increase in net assets resulting from capital share transactions | 177,791,215 | 292,422,375 | ||
Total increase in net assets | 105,853,901 | 307,701,291 | ||
Net assets | ||||
Beginning of period | 1,058,202,544 | 750,501,253 | ||
End of period | $1,164,056,445 | $1,058,202,544 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.25 | $8.09 | $8.07 | $7.99 | $8.07 |
Net investment income | 0.29 | 0.28 | 0.26 | 0.25 | 0.24 |
Net realized and unrealized gains (losses) on investments | (0.51) | 0.18 | 0.02 | 0.09 | (0.08) |
Total from investment operations | (0.22) | 0.46 | 0.28 | 0.34 | 0.16 |
Distributions to shareholders from | |||||
Net investment income | (0.31) | (0.30) | (0.26) | (0.26) | (0.24) |
Net asset value, end of period | $7.72 | $8.25 | $8.09 | $8.07 | $7.99 |
Total return1 | (2.73)% | 5.73% | 3.61% | 4.40% | 2.00% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.92% | 0.93% | 0.94% | 0.94% | 0.93% |
Net expenses | 0.81% | 0.80% | 0.81% | 0.81% | 0.81% |
Net investment income | 3.65% | 3.46% | 3.19% | 3.18% | 2.96% |
Supplemental data | |||||
Portfolio turnover rate | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $99,828 | $123,375 | $97,985 | $104,671 | $127,024 |
1 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Class C | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.26 | $8.09 | $8.07 | $8.00 | $8.07 |
Net investment income | 0.24 | 0.24 | 0.20 | 0.19 | 0.18 |
Net realized and unrealized gains (losses) on investments | (0.53) | 0.17 | 0.02 | 0.08 | (0.07) |
Total from investment operations | (0.29) | 0.41 | 0.22 | 0.27 | 0.11 |
Distributions to shareholders from | |||||
Net investment income | (0.25) | (0.24) | (0.20) | (0.20) | 0.18 |
Net asset value, end of period | $7.72 | $8.26 | $8.09 | $8.07 | $8.00 |
Total return1 | (3.58)% | 5.06% | 2.84% | 3.49% | 1.36% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.67% | 1.68% | 1.69% | 1.69% | 1.68% |
Net expenses | 1.56% | 1.56% | 1.56% | 1.56% | 1.56% |
Net investment income | 2.88% | 2.73% | 2.43% | 2.43% | 2.21% |
Supplemental data | |||||
Portfolio turnover rate | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $19,567 | $29,136 | $46,066 | $59,113 | $77,169 |
1 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.25 | $8.09 | $8.06 | $7.99 | $8.07 |
Net investment income | 0.30 | 0.30 1 | 0.27 | 0.27 | 0.25 |
Net realized and unrealized gains (losses) on investments | (0.51) | 0.17 | 0.03 | 0.08 | (0.08) |
Total from investment operations | (0.21) | 0.47 | 0.30 | 0.35 | 0.17 |
Distributions to shareholders from | |||||
Net investment income | (0.32) | (0.31) | (0.27) | (0.28) | (0.25) |
Net asset value, end of period | $7.72 | $8.25 | $8.09 | $8.06 | $7.99 |
Total return | (2.58)% | 5.90% | 3.90% | 4.44% | 2.16% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.86% | 0.87% | 0.88% | 0.87% | 0.86% |
Net expenses | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Net investment income | 3.80% | 3.63% | 3.29% | 3.34% | 3.13% |
Supplemental data | |||||
Portfolio turnover rate | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $60,460 | $82,124 | $52,406 | $86,892 | $102,673 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.24 | $8.08 | $8.05 | $7.98 | $8.06 |
Net investment income | 0.32 | 0.31 1 | 0.29 | 0.28 | 0.27 |
Net realized and unrealized gains (losses) on investments | (0.52) | 0.17 | 0.03 | 0.08 | (0.08) |
Total from investment operations | (0.20) | 0.48 | 0.32 | 0.36 | 0.19 |
Distributions to shareholders from | |||||
Net investment income | (0.33) | (0.32) | (0.29) | (0.29) | (0.27) |
Net asset value, end of period | $7.71 | $8.24 | $8.08 | $8.05 | $7.98 |
Total return | (2.44)% | 6.06% | 4.06% | 4.59% | 2.31% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.59% | 0.60% | 0.61% | 0.61% | 0.59% |
Net expenses | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
Net investment income | 3.99% | 3.78% | 3.47% | 3.49% | 3.27% |
Supplemental data | |||||
Portfolio turnover rate | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $984,201 | $823,568 | $554,044 | $701,157 | $764,680 |
1 | Calculated based upon average shares outstanding |
Gross unrealized gains | $ 239,965 |
Gross unrealized losses | (54,937,784) |
Net unrealized losses | $(54,697,819) |
■ | 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 | $ 887,044,080 | $ 0 | $ 887,044,080 |
Loans | 0 | 84,149,460 | 4,987,632 | 89,137,092 |
Non-agency mortgage-backed securities | 0 | 4,863 | 0 | 4,863 |
Yankee corporate bonds and notes | 0 | 131,201,157 | 0 | 131,201,157 |
Short-term investments | ||||
Investment companies | 59,337,530 | 0 | 0 | 59,337,530 |
Total assets | $59,337,530 | $1,102,399,560 | $4,987,632 | $1,166,724,722 |
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 |
Jefferies LLC | $252,587 | $(252,587) | $0 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$271,814 | $(54,697,819) | $(47,938,302) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499img240851497.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g384499img0929ed761.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g384499img2a3e44f48.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A222/AR222 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474img9af17e661.jpg)
Ultra Short-Term Income Fund
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![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474imgffca460a2.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. |
2 | The MSCI ACWI (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets. You cannot invest directly in an index. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474img53cc4d273.jpg)
President
Allspring Funds
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 August 31, 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 | -3.48 | 0.85 | 0.77 | -1.51 | 1.26 | 0.97 | 0.67 | 0.51 | ||
Class A2 (WUSNX)3 | 5-29-2020 | – | – | – | -1.49 | 1.24 | 0.96 | 0.57 | 0.41 | ||
Class C (WUSTX) | 7-18-2008 | -3.13 | 0.54 | 0.37 | -2.13 | 0.54 | 0.37 | 1.42 | 1.26 | ||
Administrator Class (WUSDX) | 4-8-2005 | – | – | – | -1.53 | 1.31 | 1.08 | 0.61 | 0.51 | ||
Institutional Class (SADIX) | 8-31-1999 | – | – | – | -1.28 | 1.54 | 1.29 | 0.34 | 0.26 | ||
Bloomberg Short-Term Government/Corporate Bond Index4 | – | – | – | – | -0.17 | 1.25 | 0.85 | – | – |
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 Portfolio on January 1, 2022. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474imgda5c04344.gif)
■ | The Fund underperformed its benchmark, the Bloomberg Short-Term Government/Corporate Bond Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund was short relative to its strategic neutral duration, which is long relative to the benchmark, as the period began, backed by an expectation that interest rates would rise as growth and inflation came in hotter than expectations, and shifted to a neutral posture in the second half of the period. Overall, this positioning detracted. |
■ | An overweight to corporates contributed, while an out-of-benchmark allocation to securitized debt detracted. Within corporate bonds, overweights to financials, industrials, and utilities contributed, as did selection within industrials. |
■ | An overweight to A-rated and BBB-rated securities contributed during the period, but selection in this area was a detractor. |
Ten largest holdings (%) as of August 31, 20221 | |
SPDR Portfolio Short Term Corporate Bond ETF | 1.13 |
Westlake Automobile Receivables Trust Series 2020-3A Class B, 0.78%, 11-17-2025 | 0.96 |
Santander Drive Auto Receivable Trust Series 2020-4 Class D, 1.48%, 1-15-2027 | 0.92 |
Bayer US Finance II LLC Company, 3.88%, 12-15-2023 | 0.92 |
NextEra Energy Operating Partners LP, 3.25%, 2-22-2023 | 0.90 |
Nordea Bank AB, 3.75%, 8-30-2023 | 0.90 |
GA Global Funding Trust , 1.00%, 4-8-2024 | 0.88 |
SPGN TFLM Mortgage Trust Series 2022 Class A , 3.86%, 2-15-2039 | 0.86 |
Mercury Financial Credit Card Master Trust MFCC Series 2022-1A , 2.50%, 9-21-2026 | 0.86 |
Nationwide Building Society, 0.55%, 1-22-2024 | 0.85 |
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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474img5242ed735.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 992.81 | $2.46 | 0.49% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.74 | $2.50 | 0.49% |
Class A2 | ||||
Actual | $1,000.00 | $ 991.97 | $2.11 | 0.42% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.09 | $2.14 | 0.42% |
Class C | ||||
Actual | $1,000.00 | $ 988.99 | $6.27 | 1.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.90 | $6.36 | 1.25% |
Administrator Class | ||||
Actual | $1,000.00 | $ 991.51 | $2.51 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.68 | $2.55 | 0.50% |
Institutional Class | ||||
Actual | $1,000.00 | $ 992.80 | $1.26 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.95 | $1.28 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 0.99% | |||||
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 2.47% | 4-1-2038 | $ 254,319 | $ 258,783 | |
FHLMC (1 Year Treasury Constant Maturity +2.21%) ± | 2.65 | 5-1-2035 | 79,646 | 80,999 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 2.86 | 9-1-2038 | 779,356 | 795,729 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.12 | 10-1-2038 | 289,527 | 284,403 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 3.23 | 3-1-2035 | 308,553 | 316,121 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25 | 4-1-2032 | 37,911 | 37,711 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.38 | 6-1-2032 | 384 | 381 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.53 | 7-1-2029 | 180 | 179 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.05 | 11-1-2035 | 752,767 | 775,766 | |
FHLMC | 4.50 | 6-1-2024 | 146,670 | 148,481 | |
FHLMC | 4.50 | 9-1-2026 | 240,672 | 243,643 | |
FHLMC | 5.50 | 12-1-2022 | 8,425 | 8,421 | |
FHLMC | 5.50 | 12-1-2023 | 32,062 | 32,100 | |
FHLMC | 6.00 | 1-1-2024 | 8,232 | 8,240 | |
FHLMC | 7.00 | 6-1-2031 | 157,646 | 163,672 | |
FHLMC Series 2611 Class HD | 5.00 | 5-15-2023 | 36,237 | 36,269 | |
FHLMC Series 2704 Class BH | 4.50 | 11-15-2023 | 37,107 | 37,061 | |
FHLMC Series 3924 Class MF (1 Month LIBOR +0.50%) ± | 2.89 | 9-15-2041 | 549,039 | 548,952 | |
FHLMC Series 4172 Class PB | 1.50 | 7-15-2040 | 11,573 | 11,531 | |
FHLMC Series 4348 Class MH | 3.00 | 6-15-2039 | 49,846 | 49,795 | |
FHLMC Series 4889 Class CD | 3.00 | 4-15-2049 | 668,591 | 635,016 | |
FHLMC Series 4938 Class BF (1 Month LIBOR +0.50%) ± | 2.94 | 12-25-2049 | 3,104,631 | 3,101,662 | |
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 1.84 | 5-25-2044 | 1,032,842 | 1,032,745 | |
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 408,924 | 466,037 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 2.32 | 11-1-2031 | 33,169 | 32,844 | |
FNMA (1 Year Treasury Constant Maturity +2.02%) ± | 2.32 | 12-1-2034 | 123,663 | 126,454 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 2.38 | 11-1-2035 | 39,171 | 38,734 | |
FNMA (6 Month LIBOR +1.51%) ± | 2.55 | 9-1-2037 | 186,363 | 188,544 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 2.85 | 12-1-2040 | 91,956 | 91,067 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 2.90 | 11-1-2038 | 309,869 | 318,599 | |
FNMA (12 Month Treasury Average +2.05%) ± | 2.92 | 8-1-2045 | 160,898 | 164,896 | |
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 3.06 | 8-1-2036 | 763,569 | 784,925 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.06 | 12-1-2040 | 1,333,521 | 1,367,969 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.20 | 7-1-2038 | 1,116,500 | 1,148,988 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.21 | 10-1-2034 | 3,073 | 3,154 | |
FNMA (12 Month LIBOR +1.77%) ± | 3.21 | 7-1-2044 | 827,055 | 853,821 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.34 | 6-1-2032 | 56,626 | 56,314 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.35 | 6-1-2034 | 368,695 | 369,534 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 3.40 | 11-1-2034 | 351,870 | 363,530 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.40 | 9-1-2035 | 171,040 | 175,591 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 3.55 | 5-1-2036 | 189,021 | 193,574 | |
FNMA (6 Month LIBOR +1.38%) ± | 4.13 | 10-1-2031 | 36,540 | 36,577 | |
FNMA | 4.50 | 1-1-2027 | 386,789 | 391,226 | |
FNMA | 5.00 | 6-1-2024 | 172,266 | 176,234 | |
FNMA | 6.00 | 1-1-2023 | 11,152 | 11,139 | |
FNMA | 6.50 | 8-1-2031 | 194,257 | 206,288 | |
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 189,126 | 198,305 | |
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 281,030 | 303,712 | |
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 254,056 | 279,466 | |
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 319,823 | 358,994 | |
FNMA Series 2002-W04 Class A6 ±± | 3.60 | 5-25-2042 | 344,672 | 338,923 | |
FNMA Series 2003-W11 Class A1 ±± | 3.72 | 6-25-2033 | 9,922 | 10,133 | |
FNMA Series 2003-W3 Class 1A4 ±± | 3.64 | 8-25-2042 | 18,231 | 17,584 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2007-W2 Class 1A1 (1 Month LIBOR +0.32%) ± | 2.58% | 3-25-2037 | $ 193,333 | $ 191,771 | |
FNMA Series 2010-115 Class NC | 2.75 | 1-25-2039 | 22,997 | 22,933 | |
FNMA Series 2010-25 Class ND | 3.50 | 3-25-2025 | 31 | 30 | |
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 792,024 | 792,359 | |
FNMA Series 2010-57 Class DQ | 3.00 | 6-25-2025 | 10,404 | 10,361 | |
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 2.06 | 3-25-2043 | 2,928,762 | 2,911,059 | |
FNMA Series 2014-19 Class HA | 2.00 | 6-25-2040 | 224,026 | 214,279 | |
GNMA | 7.00 | 6-15-2033 | 246,520 | 267,535 | |
Total Agency securities (Cost $22,067,327) | 22,091,143 | ||||
Asset-backed securities: 15.80% | |||||
ACM Auto Trust Series 2022-1A Class A 144A | 3.23 | 4-20-2029 | 7,468,457 | 7,444,828 | |
Acres plc Series 2021-FL2 Class A (1 Month LIBOR +1.40%) 144A± | 3.78 | 1-15-2037 | 4,000,000 | 3,857,036 | |
American Airlines Pass-Through Trust Series 2013-2 | 4.95 | 7-15-2024 | 3,375,173 | 3,318,116 | |
American Airlines Pass-Through Trust Series 2014-1 Class B | 4.38 | 4-1-2024 | 4,331,138 | 4,325,522 | |
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 9,474,706 | 9,389,075 | |
American Credit Acceptance Receivables Trust Series 2021-1 Class C 144A | 0.83 | 3-15-2027 | 9,361,000 | 9,188,146 | |
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 2,351,860 | 2,177,542 | |
Bankers Healthcare Group Series 2021-A Class A 144A | 1.42 | 11-17-2033 | 3,057,703 | 2,856,951 | |
CarMax Auto Owner Trust Series 2018-3 Class D | 3.91 | 1-15-2025 | 1,280,000 | 1,280,076 | |
CarNow Auto Receivables Trust 2020 Class C 144A | 3.84 | 9-16-2024 | 2,951,563 | 2,941,965 | |
CarNow Auto Receivables Trust 2021 Class A 144A | 0.73 | 9-15-2023 | 1,407,228 | 1,403,305 | |
Carvana Auto Receivables Trust Series 2019-3A Class C 144A | 2.71 | 10-15-2024 | 979,867 | 979,207 | |
Carvana Auto Receivables Trust Series 2019-4A Class D 144A | 3.07 | 7-15-2025 | 8,749,000 | 8,646,806 | |
Chesapeake Funding II LLC Series 2018-3A Class A1 144A | 3.39 | 1-15-2031 | 295,639 | 295,709 | |
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56 | 9-25-2045 | 2,635,983 | 2,574,608 | |
Credit Acceptance Auto Loan Trust Series 2020-3A Class A 144A | 1.24 | 10-15-2029 | 3,950,000 | 3,858,524 | |
Crossroads Asset Trust Series 2021-A Class A2 144A | 0.82 | 3-20-2024 | 978,985 | 968,253 | |
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 16,022,500 | 15,534,983 | |
DT Auto Owner Trust Series 2018-3A Class D 144A | 4.19 | 7-15-2024 | 1,330,050 | 1,331,263 | |
DT Auto Owner Trust Series 2019-4A Class D 144A | 2.85 | 7-15-2025 | 6,880,000 | 6,796,418 | |
DT Auto Owner Trust Series 2020-1A Class C 144A | 2.29 | 11-17-2025 | 2,358,154 | 2,344,626 | |
ECMC Group Student Loan Trust Series 2020-2A Class A (1 Month LIBOR +1.15%) 144A± | 3.59 | 11-25-2069 | 5,351,054 | 5,229,755 | |
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 3.44 | 12-25-2056 | 328,634 | 329,009 | |
Enterprise Fleet Financing LLC Series 2019-3 Class A2 144A | 2.06 | 5-20-2025 | 1,857,650 | 1,847,106 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2 144A | 0.44 | 12-21-2026 | 5,865,287 | 5,676,114 | |
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 8,418,000 | 8,030,016 | |
Exeter Automobile Receivables Trust Series 2020-1A Class D 144A | 2.73 | 12-15-2025 | 5,800,000 | 5,719,383 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Flagship Credit Auto Trust Series FCAT 2018-3 Class D 144A | 4.15% | 12-16-2024 | $ 3,896,000 | $ 3,872,118 | |
Foursight Capital Series 2019-1 Class C 144A | 3.07 | 4-15-2025 | 2,891,732 | 2,888,148 | |
GLS Automobile Receivables Trust Series 2019-3A Class C 144A | 2.96 | 5-15-2025 | 3,000,000 | 2,968,688 | |
GLS Automobile Receivables Trust Series 2020-1A Class C 144A | 2.72 | 11-17-2025 | 8,870,000 | 8,722,521 | |
GLS Automobile Receivables Trust Series 2021-1A Class B 144A | 0.82 | 4-15-2025 | 1,509,179 | 1,502,192 | |
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 11,325,000 | 10,514,866 | |
Mercury Financial Credit Card Master Trust 144A | 1.54 | 3-20-2026 | 8,400,000 | 7,957,116 | |
Mercury Financial Credit Card Master Trust MFCC Series 2022-1A 144A | 2.50 | 9-21-2026 | 20,000,000 | 19,084,338 | |
MFRA Trust Series 2020-NQM1 Class A1 144A±± | 1.48 | 3-25-2065 | 1,375,706 | 1,330,193 | |
Navient Student Loan Trust Series 2017-3A Class A3 (1 Month LIBOR +1.05%) 144A± | 3.49 | 7-26-2066 | 5,700,000 | 5,653,929 | |
Navient Student Loan Trust Series 2018-CA Class A2 144A | 3.52 | 6-16-2042 | 597,163 | 592,839 | |
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 7,740,519 | 6,786,519 | |
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 1,830,998 | 1,809,399 | |
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 8,275,537 | 8,017,880 | |
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 8,500,000 | 7,944,004 | |
OneMain Direct Auto Receivables Trust Series 2021-1A Class A 144A | 0.87 | 7-14-2028 | 11,760,000 | 10,986,736 | |
Oscar US Funding Trust Series 2018-2A Class A4 144A | 3.63 | 9-10-2025 | 1,499,715 | 1,500,144 | |
Oscar US Funding Trust Series 2021-1A Class A2 144A | 0.40 | 3-11-2024 | 2,793,360 | 2,774,824 | |
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 8,635,269 | 8,444,031 | |
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 9,340,000 | 8,784,509 | |
Prestige Auto Receivables Trust Series 2020-1A Class B 144A | 0.77 | 10-15-2024 | 314,851 | 314,469 | |
Santander Drive Auto Receivable Trust Series 2020-4 Class D | 1.48 | 1-15-2027 | 21,370,000 | 20,543,319 | |
Santander Drive Auto Receivable Trust Series 2021-2 Class B | 0.59 | 9-15-2025 | 10,150,000 | 10,071,721 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 2.50 | 12-17-2068 | 18,511,127 | 17,830,698 | |
SLM Student Loan Trust Series 2004-B Class A3 (3 Month LIBOR +0.33%) ± | 2.16 | 3-15-2024 | 3,412,339 | 3,399,759 | |
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 3.09 | 12-27-2038 | 3,474,710 | 3,363,861 | |
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 2.99 | 5-26-2055 | 3,712,819 | 3,579,080 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 1,367,596 | 1,324,905 | |
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A± | 3.14 | 3-26-2040 | 580,261 | 579,094 | |
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 3,195,031 | 2,949,935 | |
Taco Bell Funding LLC Series 2016-1A Class A23 144A | 4.97 | 5-25-2046 | 6,495,113 | 6,425,823 | |
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 3.04 | 1-25-2046 | 1,190,756 | 1,183,838 | |
United Airlines Pass-Through Trust Series 2015-1 Class A | 3.70 | 6-1-2024 | 9,550,000 | 9,499,878 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Voya CLO Limited Series 2017-1A Class A1R (3 Month LIBOR +0.95%) 144A± | 3.69% | 4-17-2030 | $ 8,389,154 | $ 8,254,919 | |
Westlake Automobile Receivables Trust Series 2020-3A Class B 144A | 0.78 | 11-17-2025 | 21,565,000 | 21,342,268 | |
Total Asset-backed securities (Cost $363,672,874) | 351,142,903 | ||||
Corporate bonds and notes: 29.02% | |||||
Communication services: 0.83% | |||||
Entertainment: 0.60% | |||||
Take-Two Interactive Software Incorporated | 3.30 | 3-28-2024 | 13,500,000 | 13,309,994 | |
Wireless telecommunication services: 0.23% | |||||
Sprint Corporation | 7.13 | 6-15-2024 | 5,000,000 | 5,162,300 | |
Consumer discretionary: 2.20% | |||||
Automobiles: 0.57% | |||||
General Motors Company | 5.40 | 10-2-2023 | 12,459,000 | 12,583,646 | |
Hotels, restaurants & leisure: 0.86% | |||||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 14,845,000 | 14,049,676 | |
Royal Caribbean Cruises Limited 144A | 10.88 | 6-1-2023 | 5,065,000 | 5,156,828 | |
19,206,504 | |||||
Internet & direct marketing retail: 0.22% | |||||
QVC Incorporated | 4.85 | 4-1-2024 | 5,000,000 | 4,810,400 | |
Textiles, apparel & luxury goods: 0.55% | |||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 12,574,000 | 12,322,520 | |
Energy: 2.18% | |||||
Energy equipment & services: 0.53% | |||||
Alexander Funding Trust 144A | 1.84 | 11-15-2023 | 12,265,000 | 11,653,664 | |
Oil, gas & consumable fuels: 1.65% | |||||
Cheniere Corporation | 5.88 | 3-31-2025 | 8,800,000 | 8,978,959 | |
Energy Transfer Partners LP | 4.20 | 9-15-2023 | 4,866,000 | 4,855,803 | |
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 8,971,000 | 8,934,152 | |
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 14,500,000 | 13,980,248 | |
36,749,162 | |||||
Financials: 15.12% | |||||
Banks: 3.11% | |||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81 | 10-24-2024 | 12,000,000 | 11,511,309 | |
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 4,500,000 | 4,199,214 | |
Bank of America Corporation (U.S. SOFR +0.67%) ± | 1.84 | 2-4-2025 | 8,000,000 | 7,689,448 | |
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 4,894,000 | 4,867,721 | |
Citigroup Incorporated (U.S. SOFR +0.69%) ± | 0.78 | 10-30-2024 | 8,000,000 | 7,672,141 | |
Citigroup Incorporated (U.S. SOFR +0.67%) ± | 0.98 | 5-1-2025 | 2,000,000 | 1,882,413 | |
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 6,000,000 | 5,590,887 | |
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 6,280,000 | 5,875,167 | |
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 7,250,000 | 7,093,599 |
Interest rate | Maturity date | Principal | Value | ||
Banks (continued) | |||||
JPMorgan Chase & Company (U.S. SOFR +0.92%) ± | 3.20% | 2-24-2026 | $ 5,000,000 | $ 4,926,879 | |
Santander Holdings USA Incorporated (U.S. SOFR +1.38%) ± | 4.26 | 6-9-2025 | 7,900,000 | ��� 7,747,343 | |
69,056,121 | |||||
Capital markets: 2.37% | |||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.54%) ± | 0.63 | 11-17-2023 | 11,500,000 | 11,406,355 | |
Goldman Sachs Group Incorporated (U.S. SOFR +0.49%) ± | 0.93 | 10-21-2024 | 8,000,000 | 7,657,003 | |
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 5,000,000 | 4,890,922 | |
Morgan Stanley (U.S. SOFR +1.16%) ± | 3.62 | 4-17-2025 | 10,000,000 | 9,852,786 | |
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 8,000,000 | 7,427,887 | |
Morgan Stanley (U.S. SOFR +0.94%) ± | 2.63 | 2-18-2026 | 12,000,000 | 11,406,977 | |
52,641,930 | |||||
Consumer finance: 4.58% | |||||
Bayer US Finance II LLC Company 144A | 3.88 | 12-15-2023 | 20,700,000 | 20,537,007 | |
BMW US Capital LLC 144A | 3.80 | 4-6-2023 | 5,000,000 | 5,005,415 | |
BOC Aviation USA Corporation 144A | 1.63 | 4-29-2024 | 12,320,000 | 11,692,783 | |
Bunge Limited | 3.00 | 9-25-2022 | 1,000,000 | 999,972 | |
Daimler Finance North America LLC 144A | 1.75 | 3-10-2023 | 1,715,000 | 1,697,236 | |
Daimler Finance North America LLC 144A | 1.13 | 12-14-2023 | 18,780,000 | 18,011,633 | |
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 8,000,000 | 7,289,600 | |
Hyundai Capital America Company 144A | 0.80 | 1-8-2024 | 10,000,000 | 9,501,497 | |
Hyundai Capital America Company 144A | 1.25 | 9-18-2023 | 4,750,000 | 4,607,865 | |
Hyundai Capital America Company 144A | 2.38 | 2-10-2023 | 1,720,000 | 1,706,552 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,400,000 | 2,404,032 | |
Onemain Finance Corporation | 5.63 | 3-15-2023 | 4,550,000 | 4,509,452 | |
Volkswagen Group of America 144A | 2.70 | 9-26-2022 | 3,875,000 | 3,874,033 | |
Volkswagen Group of America 144A | 3.95 | 6-6-2025 | 10,000,000 | 9,840,304 | |
101,677,381 | |||||
Diversified financial services: 0.93% | |||||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 5,250,000 | 4,908,628 | |
Jackson Financial Incorporated 144A | 1.13 | 11-22-2023 | 5,725,000 | 5,504,777 | |
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 10,766,000 | 10,322,448 | |
20,735,853 | |||||
Insurance: 4.13% | |||||
Athene Global Funding 144A | 1.20 | 10-13-2023 | 5,000,000 | 4,806,893 | |
Athene Global Funding 144A | 2.80 | 5-26-2023 | 5,000,000 | 4,950,687 | |
Athene Global Funding 144A | 0.91 | 8-19-2024 | 5,000,000 | 4,614,800 | |
Brighthouse Financial 144A | 0.60 | 6-28-2023 | 6,595,000 | 6,394,592 | |
Brighthouse Financial 144A | 1.75 | 1-13-2025 | 11,340,000 | 10,504,003 | |
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 20,775,000 | 19,517,783 | |
Met Tower Global Funding 144A | 0.70 | 4-5-2024 | 12,000,000 | 11,353,516 | |
OneBeacon US Holdings Incorporated | 4.60 | 11-9-2022 | 6,500,000 | 6,506,980 | |
Principal Life Global Funding II 144A | 1.38 | 1-10-2025 | 13,000,000 | 12,120,960 | |
Protective Life Global Funding 144A | 0.47 | 1-12-2024 | 10,000,000 | 9,494,129 | |
Security Benefit Company 144A | 1.25 | 5-17-2024 | 1,665,000 | 1,565,052 | |
91,829,395 |
Interest rate | Maturity date | Principal | Value | ||
Health care: 0.60% | |||||
Health care providers & services: 0.60% | |||||
HCA Incorporated | 5.25% | 4-15-2025 | $13,185,000 | $ 13,333,433 | |
Industrials: 1.00% | |||||
Aerospace & defense: 0.39% | |||||
The Boeing Company | 1.43 | 2-4-2024 | 5,000,000 | 4,793,290 | |
The Boeing Company | 4.51 | 5-1-2023 | 4,000,000 | 4,007,308 | |
8,800,598 | |||||
Airlines: 0.61% | |||||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 10,000,000 | 9,794,975 | |
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 3,828,665 | 3,718,497 | |
13,513,472 | |||||
Information technology: 1.07% | |||||
IT services: 0.57% | |||||
Fidelity National Information Services Incorporated | 0.38 | 3-1-2023 | 13,000,000 | 12,792,323 | |
Semiconductors & semiconductor equipment: 0.37% | |||||
Marvell Technology Incorporated | 4.20 | 6-22-2023 | 2,800,000 | 2,793,901 | |
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 3,475,000 | 3,424,044 | |
Skyworks Solutions Incorporated | 0.90 | 6-1-2023 | 2,000,000 | 1,951,070 | |
8,169,015 | |||||
Technology hardware, storage & peripherals: 0.13% | |||||
Western Digital Corporation | 4.75 | 2-15-2026 | 3,000,000 | 2,889,600 | |
Materials: 0.84% | |||||
Chemicals: 0.53% | |||||
Celanese US Holding LLC | 6.05 | 3-15-2025 | 10,600,000 | 10,626,956 | |
International Flavors & Fragrances Incorporated 144A | 0.70 | 9-15-2022 | 1,000,000 | 998,963 | |
11,625,919 | |||||
Containers & packaging: 0.31% | |||||
Ball Corporation | 4.00 | 11-15-2023 | 5,000,000 | 4,948,050 | |
Sealed Air Corporation 144A | 5.13 | 12-1-2024 | 2,000,000 | 1,980,000 | |
6,928,050 | |||||
Real estate: 1.52% | |||||
Equity REITs: 1.52% | |||||
Camden Property Trust | 4.88 | 6-15-2023 | 3,000,000 | 3,015,002 | |
Piedmont Operating Partnership LP | 4.45 | 3-15-2024 | 10,235,000 | 10,232,425 | |
SBA Tower Trust 144A | 3.45 | 3-15-2048 | 7,175,000 | 7,142,194 | |
Service Properties Trust | 4.50 | 6-15-2023 | 3,500,000 | 3,430,665 | |
Simon Property Group LP (U.S. SOFR +0.43%) ± | 2.42 | 1-11-2024 | 10,000,000 | 9,907,822 | |
33,728,108 | |||||
Utilities: 3.66% | |||||
Electric utilities: 2.27% | |||||
American Electric Power | 0.75 | 11-1-2023 | 7,000,000 | 6,733,348 |
Interest rate | Maturity date | Principal | Value | ||
Electric utilities (continued) | |||||
Entergy Louisiana LLC | 0.62% | 11-17-2023 | $ 6,045,000 | $ 5,847,378 | |
ITC Holdings Corporation | 2.70 | 11-15-2022 | 5,700,000 | 5,690,436 | |
NextEra Energy Operating Partners LP (3 Month LIBOR +0.27%) ± | 3.25 | 2-22-2023 | 20,000,000 | 19,954,720 | |
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 2,030,000 | 1,955,931 | |
Pacific Gas & Electric (U.S. SOFR +1.15%) ± | 3.43 | 11-14-2022 | 2,500,000 | 2,497,123 | |
Southern California Edison Company | 0.70 | 4-3-2023 | 7,800,000 | 7,684,418 | |
50,363,354 | |||||
Gas utilities: 0.67% | |||||
One Gas Incorporated | 0.85 | 3-11-2023 | 5,058,000 | 4,980,942 | |
Southern California Gas Company (3 Month LIBOR +0.35%) ± | 2.09 | 9-14-2023 | 10,000,000 | 9,950,461 | |
14,931,403 | |||||
Multi-utilities: 0.72% | |||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 4,625,000 | 4,556,510 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 2.11 | 3-2-2023 | 2,665,000 | 2,660,674 | |
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 2.93 | 5-13-2024 | 3,840,000 | 3,798,195 | |
DTE Energy Company | 2.25 | 11-1-2022 | 5,000,000 | 4,992,081 | |
16,007,460 | |||||
Total Corporate bonds and notes (Cost $669,182,947) | 644,821,605 |
Shares | |||||
Investment companies: 1.90% | |||||
Exchange-traded funds: 1.90% | |||||
iShares 0-5 Year High Yield Corporate Bond ETF | 417,000 | 17,092,830 | |||
SPDR Portfolio Short Term Corporate Bond ETF | 847,800 | 25,154,226 | |||
Total Investment companies (Cost $44,581,230) | 42,247,056 |
Principal | |||||
Municipal obligations: 0.10% | |||||
Indiana: 0.10% | |||||
Education revenue: 0.10% | |||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 1.47 | 2-25-2044 | $ 2,219,039 | 2,184,956 | |
Total Municipal obligations (Cost $2,168,736) | 2,184,956 | ||||
Non-agency mortgage-backed securities: 24.14% | |||||
Affirm Incorporated Series 2021-A Class A 144A | 0.88 | 8-15-2025 | 9,820,956 | 9,751,734 | |
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 3.80 | 7-25-2029 | 8,930,022 | 8,821,808 | |
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 210,092 | 208,719 | |
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 943,584 | 897,741 | |
Angel Oak Mortgage Trust I LLC Series 2020-5 Class A2 144A±± | 1.58 | 5-25-2065 | 737,413 | 697,187 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99% | 4-25-2053 | $ 3,159,198 | $ 3,046,558 | |
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 3.83 | 4-24-2029 | 644,216 | 637,375 | |
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 1,062,663 | 1,020,568 | |
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 2.93 | 11-25-2069 | 7,248,965 | 7,178,143 | |
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A±± | 2.88 | 7-25-2049 | 1,321,311 | 1,255,341 | |
Carlyle C17 CLO Limited Series C17-A Class A1AR (3 Month LIBOR +1.03%) 144A± | 3.81 | 4-30-2031 | 3,000,000 | 2,954,514 | |
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 569,460 | 555,301 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 2,720,739 | 2,680,820 | |
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 9,400,187 | 9,020,182 | |
Cascade Funding Mortgage Trust Series 2021-EBO1 Class A 144A±± | 0.98 | 11-25-2050 | 5,073,929 | 4,862,032 | |
Cascade Funding Mortgage Trust Series 2021-HB7 Class A 144A±± | 1.15 | 10-27-2031 | 4,164,156 | 4,062,800 | |
CCG Receivables Trust Series 2022-1 Class A2 144A | 3.91 | 7-16-2029 | 5,000,000 | 4,940,861 | |
CGMS Series 2015-1A Class AR3 (3 Month LIBOR +0.98%) 144A± | 3.69 | 7-20-2031 | 11,250,000 | 11,097,675 | |
CHNGE Mortgage Trust Series 2022-2 Class A1 144A±± | 3.76 | 3-25-2067 | 14,056,853 | 13,338,001 | |
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 3.74 | 4-18-2031 | 1,750,000 | 1,715,000 | |
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 340,889 | 336,671 | |
Colt Funding LLC Series 2021-1R Class A1 144A±± | 0.86 | 5-25-2065 | 2,828,269 | 2,598,895 | |
Colt Funding LLC Series 2021-HX1 Class A1 144A±± | 1.11 | 10-25-2066 | 12,055,729 | 10,496,327 | |
Commercial Mortgage Trust Series 2014-CR16 Class ASB | 3.65 | 4-10-2047 | 1,054,501 | 1,048,639 | |
Commercial Mortgage Trust Series 2014-UBS5 Class A2 | 3.03 | 9-10-2047 | 337,447 | 333,623 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 1A1 ±± | 2.26 | 6-19-2031 | 94,306 | 92,454 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 2.01 | 6-19-2031 | 59,314 | 56,798 | |
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 1,874,560 | 1,764,949 | |
Credit Suisse Mortgage Trust Series 2020-SPT1 Class A1 144A±± | 1.62 | 4-25-2065 | 658,064 | 646,554 | |
Credit Suisse Mortgage Trust Series 2021-NQM2 Class A1 144A±± | 1.18 | 2-25-2066 | 4,759,032 | 4,324,967 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 6,597,023 | 5,875,766 | |
CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A2 | 4.14 | 8-15-2051 | 842,423 | 835,589 | |
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.03%) 144A± | 3.40 | 12-19-2030 | 635,000 | 620,332 | |
Dryden Senior Loan Fund Series 2013-30A (3 Month LIBOR +0.82%) 144A± | 3.73 | 11-15-2028 | 4,771,883 | 4,713,193 | |
Dryden Senior Loan Fund Series 2019-80A AR (U.S. SOFR 3 Month +1.25%) 144A± | 3.73 | 1-17-2033 | 11,000,000 | 10,770,155 | |
Ellington Financial Mortgage Trust Series 2020-1 Class A1 144A±± | 2.01 | 5-25-2065 | 436,348 | 421,696 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Ellington Financial Mortgage Trust Series 2021-1 Class A1 144A±± | 0.80% | 2-25-2066 | $ 795,597 | $ 714,616 | |
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 3.51 | 9-25-2033 | 204,047 | 200,127 | |
GCAT Series 2022 HX1 Class A1 144A±± | 2.89 | 12-27-2066 | 15,820,939 | 14,989,671 | |
Goldman Sachs Mortgage Securities Trust Series 2013-GC16 Class AAB | 3.81 | 11-10-2046 | 678,211 | 674,952 | |
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,231,603 | |
Goldman Sachs Mortgage Securities Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 9-27-2060 | 1,420,217 | 1,314,685 | |
Gracie Point International Funding Series 2020-B Class A (1 Month LIBOR +1.40%) 144A± | 3.77 | 5-2-2023 | 6,369,751 | 6,368,544 | |
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR +2.25%) 144A± | 3.31 | 4-1-2024 | 12,000,000 | 11,985,312 | |
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 27,877 | 26,289 | |
HGI CRE CLO Limited Series 2021-FL2 Class A (1 Month LIBOR +1.00%) 144A± | 3.39 | 9-17-2036 | 8,070,000 | 7,757,552 | |
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 3.39 | 11-15-2036 | 3,778,643 | 3,686,441 | |
Imperial Fund LLC Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 2,271,436 | 2,034,115 | |
Imperial Fund LLC Series 2022-NQM3 Class A1 144Aøø | 4.38 | 5-25-2067 | 14,539,438 | 14,167,429 | |
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 2,979,253 | 2,824,059 | |
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60 | 11-25-2056 | 6,855,029 | 6,048,035 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.21%) 144A± | 3.60 | 6-15-2035 | 3,571,081 | 3,483,219 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-7 Class B2A 144A±± | 3.03 | 2-25-2050 | 2,334,787 | 2,005,848 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 3.35 | 7-15-2036 | 5,000,000 | 4,910,872 | |
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 8,500,158 | 8,152,227 | |
Marlette Funding Trust Series 2018-3A Class C 144A | 4.63 | 9-15-2028 | 251,678 | 250,947 | |
Marlette Funding Trust Series 2021-1A Class B 144A | 1.00 | 6-16-2031 | 6,006,754 | 5,923,551 | |
Marlette Funding Trust Series 2021-2A Class A 144A | 0.51 | 9-15-2031 | 1,163,326 | 1,153,406 | |
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.83 | 10-25-2032 | 1,711 | 1,658 | |
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 3.34 | 11-15-2038 | 8,000,000 | 7,735,699 | |
Mello Warehouse Securitization Trust Series 2021-1 Class B (1 Month LIBOR +0.90%) 144A± | 2.52 | 2-25-2055 | 7,135,000 | 6,945,949 | |
Mello Warehouse Securitization Trust Series 2021-2 Class A (1 Month LIBOR +0.75%) 144A± | 3.19 | 4-25-2055 | 16,680,000 | 16,292,724 | |
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 3.26 | 7-15-2036 | 7,920,764 | 7,847,556 | |
MF1 Multifamily Housing Mortgage Series 2021-FL7 Class A (1 Month LIBOR +1.08%) 144A± | 3.46 | 10-16-2036 | 12,000,000 | 11,640,000 | |
MF1 Multifamily Housing Mortgage Series 2022-FL8 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 3.38 | 2-19-2037 | 13,025,000 | 12,734,695 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,338,316 | 1,286,674 | |
MFRA Trust Series 2021-NQM1 Class A1 144A±± | 1.15 | 4-25-2065 | 4,517,056 | 4,160,776 |
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 | $ 855,401 | $ 848,136 | |
Mill City Mortgage Loan Trust Series 2018-2 Class A1 144A±± | 3.50 | 5-25-2058 | 1,514,095 | 1,495,638 | |
New Residential Mortgage Loan Series 2021-INV1 Class A6 144A±± | 2.50 | 6-25-2051 | 5,939,604 | 5,350,359 | |
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 3.19 | 5-25-2055 | 10,000,000 | 9,853,498 | |
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A | 1.22 | 12-29-2051 | 3,913,702 | 3,870,828 | |
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 3.71 | 3-17-2030 | 11,400,000 | 11,237,288 | |
OneMain Financial Issuance Trust Series 2020-1A Class A 144A | 3.84 | 5-14-2032 | 14,362,472 | 14,274,154 | |
Onslow Bay Financial LLC Series 2020-EXP1 Class 1A8 144A±± | 3.50 | 2-25-2060 | 766,517 | 712,582 | |
Onslow Bay Financial LLC Series 2021-NQM3 Class A1 144A±± | 1.05 | 7-25-2061 | 4,623,232 | 3,805,569 | |
OPG Trust Series 2021-PORT Class A (1 Month LIBOR +0.48%) 144A± | 2.88 | 10-15-2036 | 18,599,213 | 17,732,499 | |
Palmer Square Loan Funding Limited Series 2013-2A Class A1A3 (3 Month LIBOR +1.00%) 144A± | 3.74 | 10-17-2031 | 17,785,000 | 17,459,872 | |
PFS Financing Corporation Series 2020-E Class A 144A | 1.00 | 10-15-2025 | 15,000,000 | 14,428,356 | |
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 556,813 | 550,194 | |
Residential Mortgage Loan Trust Series 2019-2 Class A1 144A±± | 2.91 | 5-25-2059 | 448,352 | 441,430 | |
Residential Mortgage Loan Trust Series 2021-1R Class A1 144A±± | 0.86 | 1-25-2065 | 3,740,308 | 3,579,183 | |
Salomon Brothers Mortgage Securities VII Series 1990-2 Class A ±± | 1.28 | 11-25-2049 | 84,030 | 83,815 | |
SCF Equipment Trust LLC Series 2021-1A Class A2 144A | 0.42 | 8-20-2026 | 2,799,048 | 2,789,186 | |
Sound Point CLO Limited Series 2015-1RA Class AR (3 Month LIBOR +1.08%) 144A± | 3.59 | 4-15-2030 | 12,555,000 | 12,355,777 | |
SPGN TFLM Mortgage Trust Series 2022 Class A (U.S. SOFR 1 Month +1.55%) 144A± | 3.86 | 2-15-2039 | 20,000,000 | 19,169,040 | |
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 3,560,826 | 3,410,086 | |
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94 | 5-25-2065 | 3,217,612 | 3,023,100 | |
TCI Symphony CLO Series 2016-1A Class AR2 (3 Month LIBOR +1.02%) 144A± | 3.48 | 10-13-2032 | 7,685,000 | 7,540,099 | |
Toorak Mortgage Trust Series 2021-INV2 Class A1 144A±± | 1.97 | 11-25-2056 | 13,745,871 | 12,475,163 | |
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 774,286 | 767,594 | |
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 1,032,442 | 999,700 | |
Towd Point Mortgage Trust Series 2017-6 Class A1 144A±± | 2.75 | 10-25-2057 | 1,094,751 | 1,063,055 | |
Towd Point Mortgage Trust Series 2018-2 Class A1 144A±± | 3.25 | 3-25-2058 | 1,977,602 | 1,935,231 | |
Towd Point Mortgage Trust Series 2018-3 Class A1 144A±± | 3.75 | 5-25-2058 | 3,838,323 | 3,726,038 | |
TPG Real Estate Finance Trust Series 2022-FL5 Class A (30 Day Average U.S. SOFR +1.65%) 144A± | 3.63 | 2-15-2039 | 15,000,000 | 14,686,974 | |
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 3.24 | 2-15-2032 | 3,574,342 | 3,473,688 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69% | 11-25-2059 | $ 1,573,188 | $ 1,528,717 | |
Verus Securitization Trust Series 2020-2 Class A1 144A±± | 2.23 | 5-25-2060 | 243,975 | 240,135 | |
Verus Securitization Trust Series 2020-INV1 Class A1 144A±± | 1.98 | 3-25-2060 | 541,438 | 532,195 | |
Verus Securitization Trust Series 2021-1 Class A2 144A±± | 1.05 | 1-25-2066 | 3,946,683 | 3,514,363 | |
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 2,250,625 | 1,991,285 | |
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 4,061,227 | 3,843,144 | |
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.43 | 8-25-2032 | 87,381 | 89,869 | |
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.43 | 8-25-2032 | 47,498 | 46,709 | |
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 2.48 | 12-28-2037 | 92,341 | 92,291 | |
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 3.74 | 10-18-2030 | 16,900,000 | 16,702,795 | |
Zais Matrix CDO Series 2020-14A Class A1AR (3 Month LIBOR +1.20%) 144A± | 3.71 | 4-15-2032 | 12,894,870 | 12,601,551 | |
Total Non-agency mortgage-backed securities (Cost $557,844,308) | 536,549,385 | ||||
Yankee corporate bonds and notes: 12.64% | |||||
Consumer discretionary: 0.22% | |||||
Automobiles: 0.22% | |||||
Nissan Motor Company Limited 144A | 3.04 | 9-15-2023 | 4,500,000 | 4,419,232 | |
Stellantis NV | 5.25 | 4-15-2023 | 530,000 | 532,353 | |
4,951,585 | |||||
Consumer staples: 0.22% | |||||
Beverages: 0.22% | |||||
Coca-Cola Europacific Partners plc 144A | 0.50 | 5-5-2023 | 5,000,000 | 4,875,900 | |
Energy: 0.46% | |||||
Oil, gas & consumable fuels: 0.46% | |||||
Canadian National Resources | 2.95 | 1-15-2023 | 5,389,000 | 5,360,496 | |
Harvest Operations Corporation 144A | 1.00 | 4-26-2024 | 5,000,000 | 4,738,000 | |
10,098,496 | |||||
Financials: 9.73% | |||||
Banks: 7.82% | |||||
ANZ New Zealand International Company 144A | 1.90 | 2-13-2023 | 2,800,000 | 2,776,780 | |
Banco Bilbao Vizcaya Argentaria SA | 0.88 | 9-18-2023 | 5,000,000 | 4,828,338 | |
Banco Santander SA | 3.89 | 5-24-2024 | 15,000,000 | 14,846,938 | |
Banco Santander SA 144A | 4.13 | 11-9-2022 | 7,797,000 | 7,788,423 | |
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 5,135,000 | 4,866,492 | |
BNP Paribas 144A | 3.50 | 3-1-2023 | 4,000,000 | 3,990,223 | |
Corporación Andina de Fomento | 2.38 | 5-12-2023 | 4,860,000 | 4,807,397 | |
Credit Suisse New York | 3.63 | 9-9-2024 | 8,000,000 | 7,807,574 | |
Danske Bank Class A (1 Year Treasury Constant Maturity +1.45%) 144A± | 3.77 | 3-28-2025 | 16,850,000 | 16,429,722 | |
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 3,500,000 | 3,375,524 | |
Deutsche Bank | 3.30 | 11-16-2022 | 9,000,000 | 8,984,726 | |
HSBC Holdings plc (U.S. SOFR +0.58%) ± | 1.16 | 11-22-2024 | 10,000,000 | 9,546,084 |
Interest rate | Maturitydate | Principal | Value | ||
Banks (continued) | |||||
HSBC Holdings plc (3 Month LIBOR +1.21%) ± | 3.80% | 3-11-2025 | $10,000,000 | $ 9,808,796 | |
ING Groep NV (U.S. SOFR +1.64%) ± | 3.87 | 3-28-2026 | 4,000,000 | 3,898,713 | |
Intesa Sanpaolo SpA 144A | 3.38 | 1-12-2023 | 4,800,000 | 4,775,915 | |
Lloyds Banking Group plc (3 Month LIBOR +0.81%) ± | 2.91 | 11-7-2023 | 10,000,000 | 9,970,278 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +0.68%) ± | 0.85 | 9-15-2024 | 4,000,000 | 3,856,527 | |
Mizuho Financial Group Incorporated (U.S. SOFR +0.87%) ± | 0.85 | 9-8-2024 | 6,990,000 | 6,724,214 | |
Mizuho Financial Group Incorporated (U.S. SOFR +1.25%) ± | 1.24 | 7-10-2024 | 2,420,000 | 2,350,499 | |
National Bank of Canada Company (U.S. SOFR +1.01%) ± | 3.75 | 6-9-2025 | 9,000,000 | 8,875,849 | |
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 5,290,000 | 5,219,568 | |
Nordea Bank AB 144A | 3.75 | 8-30-2023 | 20,000,000 | 19,926,095 | |
Nordea Bank AB 144A | 4.25 | 9-21-2022 | 5,400,000 | 5,402,215 | |
Toronto-Dominion Bank (U.S. SOFR +0.45%) ± | 2.32 | 9-28-2023 | 3,000,000 | 2,978,842 | |
173,835,732 | |||||
Capital markets: 0.31% | |||||
UBS AG 144A | 0.38 | 6-1-2023 | 7,000,000 | 6,825,566 | |
Diversified financial services: 0.43% | |||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.15 | 10-29-2023 | 10,000,000 | 9,565,350 | |
Insurance: 0.32% | |||||
Sompo International Holdings Limited | 4.70 | 10-15-2022 | 7,000,000 | 7,010,100 | |
Thrifts & mortgage finance: 0.85% | |||||
Nationwide Building Society 144A | 0.55 | 1-22-2024 | 20,000,000 | 18,962,803 | |
Industrials: 0.60% | |||||
Airlines: 0.18% | |||||
AerCap Ireland Limited | 4.13 | 7-3-2023 | 4,000,000 | 3,990,155 | |
Transportation infrastructure: 0.42% | |||||
Sydney Airport Finance Company | 3.90 | 3-22-2023 | 9,265,000 | 9,240,725 | |
Information technology: 0.65% | |||||
Semiconductors & semiconductor equipment: 0.65% | |||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 15,670,000 | 14,538,875 | |
Materials: 0.76% | |||||
Chemicals: 0.76% | |||||
Park Aerospace Holdings Company 144A | 4.50 | 3-15-2023 | 4,000,000 | 3,976,833 | |
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 13,000,000 | 12,963,206 | |
16,940,039 | |||||
Total Yankee corporate bonds and notes (Cost $288,558,618) | 280,835,326 | ||||
Short-term investments: 14.22% | |||||
Commercial paper: 7.90% | |||||
Bank of America Corporation | 0.52 | 12-1-2022 | 25,000,000 | 24,806,736 | |
Citigroup Global Markets Incorporated 144A | 0.27 | 10-21-2022 | 6,900,000 | 6,873,226 | |
Citigroup Incorporated 144A | 1.03 | 2-1-2023 | 20,000,000 | 19,701,411 | |
Groupe BPCE SA 144A | 0.51 | 12-20-2022 | 20,000,000 | 19,807,107 | |
Harley-Davidson Financial Services Incorporated 144A☼ | 0.00 | 9-1-2022 | 5,000,000 | 4,999,632 |
Interest rate | Maturitydate | Principal | Value | ||
Commercial paper (continued) | |||||
Macquarie Bank Limited 144A | 1.10% | 2-3-2023 | $25,000,000 | $ 24,617,367 | |
Royal Bank of Canada 144A | 0.19 | 9-16-2022 | 25,000,000 | 24,973,833 | |
Societe Generale 144A | 0.30 | 10-27-2022 | 25,000,000 | 24,898,033 | |
Standard Chartered Bank 144A | 0.23 | 9-27-2022 | 25,000,000 | 24,955,994 | |
175,633,339 |
Yield | Shares | ||||
Investment companies: 4.07% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 2.09 | 90,308,312 | 90,308,312 |
Interest rate | Principal | ||||
U.S. Treasury Securities: 2.25% | |||||
U.S. Treasury Bill ☼ | 1.72 | 9-6-2022 | $50,000,000 | 49,986,058 | |
Total Short-term investments (Cost $316,902,506) | 315,927,709 | ||||
Total investments in securities (Cost $2,264,978,546) | 98.81% | 2,195,800,083 | |||
Other assets and liabilities, net | 1.19 | 26,526,233 | |||
Total net assets | 100.00% | $2,222,326,316 |
± | 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. |
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. |
☼ | 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 | $2,371,679,750 | $(2,414,974,337) | $0 | $0 | $ 90,308,312 | 90,308,312 | $ 563,772 | ||
Investments in affiliates no longer held at end of period | ||||||||||
Securities Lending Cash Investments LLC | 4,593,975 | 690,667,090 | (695,261,065) | 0 | 0 | 0 | 0 | 185,838 # | ||
$0 | $0 | $90,308,312 | $749,610 |
# | 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 | 732 | 12-30-2022 | $ 81,490,290 | $ 81,120,469 | $ 0 | $ (369,821) | |
Short | |||||||
10-Year U.S. Treasury Notes | (321) | 12-20-2022 | (37,598,794) | (37,526,906) | 71,888 | 0 | |
2-Year U.S. Treasury Notes | (1,835) | 12-30-2022 | (382,557,519) | (382,282,111) | 275,408 | 0 | |
$347,296 | $(369,821) |
Assets | |
Investments in unaffiliated securities, at value (cost $2,174,670,234) | $ 2,105,491,771 |
Investments in affiliated securities, at value (cost $90,308,312) | 90,308,312 |
Cash | 1,571,935 |
Cash at broker segregated for futures contracts | 2,919,000 |
Receivable for investments sold | 27,872,002 |
Receivable for interest | 8,936,435 |
Receivable for Fund shares sold | 3,788,931 |
Receivable for daily variation margin on open futures contracts | 55,172 |
Receivable for securities lending income, net | 35,982 |
Principal paydown receivable | 29,384 |
Prepaid expenses and other assets | 106,729 |
Total assets | 2,241,115,653 |
Liabilities | |
Payable for investments purchased | 10,730,027 |
Payable for Fund shares redeemed | 5,942,388 |
Dividends payable | 1,485,941 |
Management fee payable | 277,134 |
Administration fees payable | 181,880 |
Payable for daily variation margin on open futures contracts | 71,682 |
Distribution fee payable | 3,315 |
Trustees’ fees and expenses payable | 58 |
Accrued expenses and other liabilities | 96,912 |
Total liabilities | 18,789,337 |
Total net assets | $2,222,326,316 |
Net assets consist of | |
Paid-in capital | $ 2,317,930,306 |
Total distributable loss | (95,603,990) |
Total net assets | $2,222,326,316 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 244,894,282 |
Shares outstanding – Class A1 | 29,121,167 |
Net asset value per share – Class A | $8.41 |
Maximum offering price per share – Class A2 | $8.58 |
Net assets – Class A2 | $ 99,901,505 |
Shares outstanding – Class A21 | 11,887,733 |
Net asset value per share – Class A2 | $8.40 |
Net assets – Class C | $ 5,218,922 |
Shares outstanding – Class C1 | 621,328 |
Net asset value per share – Class C | $8.40 |
Net assets – Administrator Class | $ 14,739,639 |
Shares outstanding – Administrator Class1 | 1,760,739 |
Net asset value per share – Administrator Class | $8.37 |
Net assets – Institutional Class | $ 1,857,571,968 |
Shares outstanding – Institutional Class1 | 221,041,227 |
Net asset value per share – Institutional Class | $8.40 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/98.00 of net asset value. On investments of $100,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 35,419,898 |
Dividends | 2,671,669 |
Income from affiliated securities | 890,235 |
Total investment income | 38,981,802 |
Expenses | |
Management fee | 7,217,629 |
Administration fees | |
Class A | 438,469 |
Class A2 | 251,593 |
Class C | 8,735 |
Administrator Class | 18,290 |
Institutional Class | 2,113,349 |
Shareholder servicing fees | |
Class A | 685,108 |
Class A2 | 342,106 |
Class C | 13,378 |
Administrator Class | 45,367 |
Distribution fee | |
Class C | 40,134 |
Custody and accounting fees | 47,869 |
Professional fees | 79,480 |
Registration fees | 90,655 |
Shareholder report expenses | 27,279 |
Trustees’ fees and expenses | 20,394 |
Other fees and expenses | 27,000 |
Total expenses | 11,466,835 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (2,233,823) |
Class A | (258,314) |
Class A2 | (128,666) |
Class C | (11,181) |
Administrator Class | (3,939) |
Net expenses | 8,830,912 |
Net investment income | 30,150,890 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (11,233,413) |
Futures contracts | 13,437,322 |
Net realized gains on investments | 2,203,909 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (79,182,341) |
Futures contracts | 207,467 |
Net change in unrealized gains (losses) on investments | (78,974,874) |
Net realized and unrealized gains (losses) on investments | (76,770,965) |
Net decrease in net assets resulting from operations | $(46,620,075) |
Year ended August 31, 2022 | Year ended August 31, 2021 | |||
Operations | ||||
Net investment income | $ 30,150,890 | $ 22,957,822 | ||
Net realized gains on investments | 2,203,909 | 4,787,013 | ||
Net change in unrealized gains (losses) on investments | (78,974,874) | (4,231,232) | ||
Net increase (decrease) in net assets resulting from operations | (46,620,075) | 23,513,603 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,203,328) | (2,345,018) | ||
Class A2 | (1,210,667) | (694,134) | ||
Class C | (10,434) | (8,912) | ||
Administrator Class | (144,350) | (161,973) | ||
Institutional Class | (27,124,417) | (20,260,054) | ||
Total distributions to shareholders | (30,693,196) | (23,470,091) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 5,895,635 | 50,420,825 | 16,166,845 | 139,155,782 |
Class A2 | 9,904,616 | 84,764,729 | 26,507,255 | 228,084,423 |
Class C | 159,424 | 1,346,884 | 477,620 | 4,109,444 |
Administrator Class | 813,408 | 6,904,746 | 1,693,422 | 14,511,056 |
Institutional Class | 273,686,740 | 2,334,975,807 | 383,578,294 | 3,301,026,387 |
2,478,412,991 | 3,686,887,092 | |||
Reinvestment of distributions | ||||
Class A | 232,255 | 1,967,202 | 260,073 | 2,239,197 |
Class A2 | 142,824 | 1,210,276 | 80,634 | 693,844 |
Class C | 1,082 | 9,096 | 986 | 8,470 |
Administrator Class | 16,776 | 141,490 | 18,573 | 159,179 |
Institutional Class | 1,711,908 | 14,504,288 | 1,070,344 | 9,211,550 |
17,832,352 | 12,312,240 | |||
Payment for shares redeemed | ||||
Class A | (10,433,023) | (88,799,648) | (10,057,430) | (86,597,265) |
Class A2 | (19,219,923) | (163,385,107) | (9,015,289) | (77,583,649) |
Class C | (263,806) | (2,242,894) | (357,879) | (3,077,896) |
Administrator Class | (1,559,646) | (13,205,778) | (1,016,148) | (8,714,129) |
Institutional Class | (369,065,613) | (3,132,101,475) | (186,855,876) | (1,608,094,792) |
(3,399,734,902) | (1,784,067,731) | |||
Net increase (decrease) in net assets resulting from capital share transactions | (903,489,559) | 1,915,131,601 | ||
Total increase (decrease) in net assets | (980,802,830) | 1,915,175,113 | ||
Net assets | ||||
Beginning of period | 3,203,129,146 | 1,287,954,033 | ||
End of period | $ 2,222,326,316 | $ 3,203,129,146 |
Year ended August 31 | |||||
Class A | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.61 | $8.60 | $8.54 | $8.46 | $8.48 |
Net investment income | 0.07 | 0.07 | 0.16 | 0.17 1 | 0.13 |
Net realized and unrealized gains (losses) on investments | (0.20) | 0.01 | 0.06 | 0.08 | (0.02) |
Total from investment operations | (0.13) | 0.08 | 0.22 | 0.25 | 0.11 |
Distributions to shareholders from | |||||
Net investment income | (0.07) | (0.07) | (0.16) | (0.17) | (0.13) |
Net asset value, end of period | $8.41 | $8.61 | $8.60 | $8.54 | $8.46 |
Total return2 | (1.51)% | 0.99% | 2.62% | 3.04% | 1.24% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.65% | 0.66% | 0.77% | 0.80% | 0.80% |
Net expenses | 0.49% | 0.49% | 0.64% | 0.70% | 0.70% |
Net investment income | 0.79% | 0.84% | 1.92% | 2.05% | 1.47% |
Supplemental data | |||||
Portfolio turnover rate | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $244,894 | $287,697 | $232,660 | $215,503 | $243,909 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||
Class A2 | 2022 | 2021 | 2020 1 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.52 |
Net investment income | 0.07 | 0.07 | 0.03 |
Net realized and unrealized gains (losses) on investments | (0.20) | 0.01 | 0.07 |
Total from investment operations | (0.13) | 0.08 | 0.10 |
Distributions to shareholders from | |||
Net investment income | (0.07) | (0.07) | (0.03) |
Net asset value, end of period | $8.40 | $8.60 | $8.59 |
Total return2 | (1.49)% | 0.97% | 1.22% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.62% | 0.65% | 0.66% |
Net expenses | 0.47% | 0.50% | 0.50% |
Net investment income | 0.75% | 0.73% | 1.38% |
Supplemental data | |||
Portfolio turnover rate | 77% | 106% | 68% |
Net assets, end of period (000s omitted) | $99,902 | $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 | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.54 | $8.46 | $8.47 |
Net investment income | 0.01 | 0.01 1 | 0.10 | 0.11 | 0.06 |
Net realized and unrealized gains (losses) on investments | (0.19) | 0.01 | 0.05 | 0.08 | (0.01) |
Total from investment operations | (0.18) | 0.02 | 0.15 | 0.19 | 0.05 |
Distributions to shareholders from | |||||
Net investment income | (0.02) | (0.01) | (0.10) | (0.11) | (0.06) |
Net asset value, end of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Total return2 | (2.13)% | 0.28% | 1.73% | 2.27% | 0.60% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 1.38% | 1.40% | 1.51% | 1.55% | 1.55% |
Net expenses | 1.11% * | 1.19% * | 1.40% | 1.45% | 1.45% |
Net investment income | 0.18% | 0.13% | 1.16% | 1.31% | 0.72% |
Supplemental data | |||||
Portfolio turnover rate | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $5,219 | $6,230 | $5,187 | $5,257 | $5,056 |
* | 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: |
Year ended August 31, 2022 | 0.14% |
Year ended August 31, 2021 | 0.06% |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. |
Year ended August 31 | |||||
Administrator Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.57 | $8.56 | $8.51 | $8.43 | $8.45 |
Net investment income | 0.07 1 | 0.07 1 | 0.17 | 0.19 1 | 0.13 |
Net realized and unrealized gains (losses) on investments | (0.20) | 0.01 | 0.05 | 0.08 | (0.01) |
Total from investment operations | (0.13) | 0.08 | 0.22 | 0.27 | 0.12 |
Distributions to shareholders from | |||||
Net investment income | (0.07) | (0.07) | (0.17) | (0.19) | (0.14) |
Net asset value, end of period | $8.37 | $8.57 | $8.56 | $8.51 | $8.43 |
Total return | (1.53)% | 0.98% | 2.61% | 3.19% | 1.39% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.59% | 0.60% | 0.71% | 0.74% | 0.74% |
Net expenses | 0.50% | 0.50% | 0.54% | 0.55% | 0.55% |
Net investment income | 0.77% | 0.82% | 2.03% | 2.20% | 1.54% |
Supplemental data | |||||
Portfolio turnover rate | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $14,740 | $21,336 | $15,359 | $13,748 | $15,037 |
1 | Calculated based upon average shares outstanding |
Year ended August 31 | |||||
Institutional Class | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.60 | $8.59 | $8.54 | $8.46 | $8.48 |
Net investment income | 0.09 | 0.09 | 0.19 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.20) | 0.02 | 0.05 | 0.08 | (0.02) |
Total from investment operations | (0.11) | 0.11 | 0.24 | 0.28 | 0.13 |
Distributions to shareholders from | |||||
Net investment income | (0.09) | (0.10) | (0.19) | (0.20) | (0.15) |
Net asset value, end of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Total return | (1.28)% | 1.23% | 2.83% | 3.40% | 1.59% |
Ratios to average net assets (annualized) | |||||
Gross expenses | 0.32% | 0.33% | 0.44% | 0.47% | 0.47% |
Net expenses | 0.25% | 0.25% | 0.32% | 0.35% | 0.35% |
Net investment income | 1.01% | 1.03% | 2.25% | 2.41% | 1.80% |
Supplemental data | |||||
Portfolio turnover rate | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $1,857,572 | $2,706,735 | $1,004,777 | $836,456 | $744,844 |
Gross unrealized gains | $ 304,132 |
Gross unrealized losses | (70,129,384) |
Net unrealized losses | $(69,825,252) |
■ | 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 | $ 22,091,143 | $0 | $ 22,091,143 |
Asset-backed securities | 0 | 351,142,903 | 0 | 351,142,903 |
Corporate bonds and notes | 0 | 644,821,605 | 0 | 644,821,605 |
Investment companies | 42,247,056 | 0 | 0 | 42,247,056 |
Municipal obligations | 0 | 2,184,956 | 0 | 2,184,956 |
Non-agency mortgage-backed securities | 0 | 536,549,385 | 0 | 536,549,385 |
Yankee corporate bonds and notes | 0 | 280,835,326 | 0 | 280,835,326 |
Short-term investments | ||||
Commercial paper | 0 | 175,633,339 | 0 | 175,633,339 |
Investment companies | 90,308,312 | 0 | 0 | 90,308,312 |
U.S. Treasury Securities | 49,986,058 | 0 | 0 | 49,986,058 |
182,541,426 | 2,013,258,657 | 0 | 2,195,800,083 | |
Futures contracts | 347,296 | 0 | 0 | 347,296 |
Total assets | $182,888,722 | $2,013,258,657 | $0 | $2,196,147,379 |
Liabilities | ||||
Futures contracts | $ 369,821 | $ 0 | $0 | $ 369,821 |
Total liabilities | $ 369,821 | $ 0 | $0 | $ 369,821 |
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 | 0.40 |
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 | $1,476,239,660 | $668,119,537 | $1,061,373,073 |
Undistributed ordinary income | Unrealized losses | Capital loss carryforward |
$1,011,608 | $(69,825,252) | $(25,304,405) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474imgd4358d1e6.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g394474img9af17e661.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g394474img2480bc4f7.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A223/AR223 08-22
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775img857f991c1.jpg)
■ | Allspring Managed Account CoreBuilder® Shares – Series CP |
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Financial statements | |
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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 August 31, 2022 | |||||
Expense ratios (%) | |||||
Inception date | 1 year | Since inception | Gross | Net 1 | |
Allspring Managed Account CoreBuilder Shares - Series CP (WFCPX) | 6-2-2021 | -11.59 | -8.43 | 0.83 | 0.00 |
Bloomberg U.S. Aggregate Bond Index2 | – | -11.52 | -8.11 ¤ | – | – |
¤ | 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. |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775img7ecb263a2.gif)
1 | The chart compares the performance of the Fund since inception with the Bloomberg U.S. Aggregate Bond Index. The chart assumes a hypothetical investment of $10,000 investment and reflects all operating expenses of the Fund. |
■ | The Fund underperformed its benchmark, the Bloomberg U.S. Aggregate Bond Index, for the 12-month period that ended August 31, 2022. |
■ | The Fund’s allocations to out-of-benchmark “plus” sectors detracted from performance though individual sector exposures produced mixed results. Out-of-benchmark sector allocations, especially European credit and emerging market debt, detracted from performance while allocations to U.S. high-yield bonds and floating-rate loans contributed. |
■ | An overweight to U.S. securitized sectors contributed to performance while an overweight to corporates and an underweight to U.S. Treasury debt detracted. |
■ | The Fund’s strategic short duration position for most of the period, backed by an expectation that interest rates would rise as growth and inflation came in hotter than expectations, as well as tactical interest rate exposure adjustments contributed to performance. The Fund was biased toward flattening curve posture, which also contributed to performance. |
Credit quality as of August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775img9e04be583.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 August 31, 20221 |
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775img04b4976c4.jpg)
1 | Figures represent the percentage of the Fund's long-term investments. Allocations are subject to change and may have changed since the date specified. |
Beginning account value 3-1-2022 | Ending account value 8-31-2022 | Expenses paid during the period1 | Annualized net expense ratio | |
Actual | $1,000.00 | $ 914.31 | $0.00 * | 0.00% * |
Hypothetical (5% return before expenses) | $1,000.00 | $1,025.21 | $0.00 * | 0.00% * |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 4.98% | ||||||
FHLB | 5.50% | 7-15-2036 | $ | 230,000 | $ 274,439 | |
FNMA | 2.00 | 2-1-2052 | 501,375 | 431,647 | ||
FNMA | 2.00 | 2-1-2052 | 490,521 | 422,181 | ||
Total Agency securities (Cost $1,141,201) | 1,128,267 | |||||
Asset-backed securities: 14.79% | ||||||
Affirm Asset Securitization Trust 2021-A Class C 144A | 1.66 | 8-15-2025 | 200,000 | 193,272 | ||
Carvana Auto Receivables Trust Series 2019-2A Class D 144A | 3.28 | 1-15-2025 | 373,954 | 371,936 | ||
DB Master Finance LLC Series 21-1A Class A23 144A | 2.79 | 11-20-2051 | 302,713 | 245,504 | ||
ECMC Group Student Loan Trust Series 2018-1A Class A (1 Month LIBOR +0.75%) 144A± | 3.19 | 2-27-2068 | 224,380 | 218,139 | ||
Freedom Financial Group Incorporated Series 2021-2 Class B 144A | 1.03 | 6-19-2028 | 151,861 | 150,808 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 250,000 | 228,625 | ||
OneMain Financial Trust Series 2018-2A Class A 144A | 3.57 | 3-14-2033 | 250,000 | 244,916 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 90,422 | 88,419 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 300,000 | 282,158 | ||
Taco Bell Funding LLC Series 2016-1A Class A23 144A | 4.97 | 5-25-2046 | 236,875 | 234,348 | ||
Taco Bell Funding LLC Series 2021-1A Class A23 144A | 2.54 | 8-25-2051 | 496,250 | 390,161 | ||
Tidewater Auto Receivables Series 2018-AA Class D 144A | 4.30 | 11-15-2024 | 76,503 | 76,417 | ||
Wendy's Funding LLC Series 2021-1A Class A2II 144A | 2.78 | 6-15-2051 | 247,500 | 202,056 | ||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84 | 12-5-2050 | 248,750 | 212,158 | ||
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 247,500 | 210,039 | ||
Total Asset-backed securities (Cost $3,694,044) | 3,348,956 | |||||
Corporate bonds and notes: 20.72% | ||||||
Communication services: 1.42% | ||||||
Diversified telecommunication services: 0.52% | ||||||
AT&T Incorporated | 3.55 | 9-15-2055 | 160,000 | 117,151 | ||
Media: 0.90% | ||||||
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 50,000 | 42,049 | ||
Charter Communications Operating LLC | 3.50 | 3-1-2042 | 100,000 | 69,075 | ||
Magallanes Incorporated 144A | 5.14 | 3-15-2052 | 45,000 | 36,018 | ||
Scripps Escrow II Incorporated 144A | 5.38 | 1-15-2031 | 70,000 | 57,925 | ||
205,067 | ||||||
Consumer discretionary: 1.82% | ||||||
Automobiles: 0.72% | ||||||
Ford Motor Company | 3.63 | 6-17-2031 | 200,000 | 161,946 | ||
Diversified consumer services: 0.12% | ||||||
Howard University | 5.21 | 10-1-2052 | 30,000 | 27,617 | ||
Hotels, restaurants & leisure: 0.58% | ||||||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 140,000 | 132,499 | ||
Household durables: 0.19% | ||||||
KB Home Company | 4.80 | 11-15-2029 | 50,000 | 43,100 |
Interest rate | Maturity date | Principal | Value | |||
Specialty retail: 0.21% | ||||||
NMG Holding Company Incorporated 144A | 7.13% | 4-1-2026 | $ | 50,000 | $ 46,778 | |
Consumer staples: 0.20% | ||||||
Food products: 0.20% | ||||||
Kraft Heinz Foods Company | 4.88 | 10-1-2049 | 50,000 | 45,362 | ||
Energy: 5.01% | ||||||
Energy equipment & services: 0.41% | ||||||
Hilcorp Energy Company 144A | 6.25 | 11-1-2028 | 50,000 | 47,247 | ||
USA Compression Partners LP | 6.88 | 4-1-2026 | 50,000 | 46,893 | ||
94,140 | ||||||
Oil, gas & consumable fuels: 4.60% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 160,000 | 159,933 | ||
Apache Corporation | 5.35 | 7-1-2049 | 60,000 | 49,238 | ||
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 50,000 | 46,875 | ||
Buckeye Partners LP | 4.13 | 12-1-2027 | 50,000 | 44,200 | ||
Crestwood Midstream Partners LP 144A | 5.63 | 5-1-2027 | 60,000 | 55,950 | ||
EQT Corporation | 3.90 | 10-1-2027 | 60,000 | 56,797 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 70,000 | 66,230 | ||
MPLX LP | 4.95 | 9-1-2032 | 40,000 | 38,755 | ||
Murphy Oil Corporation | 5.88 | 12-1-2027 | 60,000 | 58,343 | ||
Occidental Petroleum Corporation | 6.60 | 3-15-2046 | 130,000 | 143,090 | ||
ONEOK Incorporated | 7.15 | 1-15-2051 | 75,000 | 79,704 | ||
Rockies Express Pipeline LLC 144A | 4.95 | 7-15-2029 | 50,000 | 45,098 | ||
Southwestern Energy Company | 7.75 | 10-1-2027 | 50,000 | 51,813 | ||
Tallgrass Energy Partners LP 144A | 6.00 | 12-31-2030 | 50,000 | 43,763 | ||
Western Midstream Operating LP | 5.30 | 3-1-2048 | 115,000 | 101,117 | ||
1,040,906 | ||||||
Financials: 4.10% | ||||||
Banks: 0.72% | ||||||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 130,000 | 114,075 | ||
Citigroup Incorporated (3 Month LIBOR +4.52%) ± | 6.25 | 12-29-2049 | 50,000 | 49,623 | ||
163,698 | ||||||
Capital markets: 1.21% | ||||||
Berkshire Hathaway Finance Company | 3.85 | 3-15-2052 | 125,000 | 107,841 | ||
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 150,000 | 122,833 | ||
Morgan Stanley (U.S. SOFR +2.62%) ± | 5.30 | 4-20-2037 | 45,000 | 43,022 | ||
273,696 | ||||||
Consumer finance: 0.70% | ||||||
OneMain Finance Corporation | 7.13 | 3-15-2026 | 170,000 | 158,353 | ||
Insurance: 1.47% | ||||||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 100,000 | 72,605 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 100,000 | 76,055 | ||
MetLife Incorporated | 5.00 | 7-15-2052 | 35,000 | 35,414 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 40,000 | 36,102 |
Interest rate | Maturity date | Principal | Value | |||
Insurance (continued) | ||||||
OneAmerica Financial Partners Incorporated 144A | 4.25% | 10-15-2050 | $ | 25,000 | $ 19,965 | |
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 73,000 | 92,302 | ||
332,443 | ||||||
Health care: 0.63% | ||||||
Health care providers & services: 0.55% | ||||||
HCA Incorporated 144A | 4.63 | 3-15-2052 | 150,000 | 124,129 | ||
Pharmaceuticals: 0.08% | ||||||
Bausch Health Companies Incorporated 144A | 5.00 | 1-30-2028 | 50,000 | 18,750 | ||
Industrials: 2.86% | ||||||
Aerospace & defense: 0.59% | ||||||
The Boeing Company | 5.81 | 5-1-2050 | 140,000 | 134,278 | ||
Airlines: 1.29% | ||||||
American Airlines Group Incorporated 144A | 5.75 | 4-20-2029 | 80,000 | 72,219 | ||
Delta Air Lines Incorporated | 7.38 | 1-15-2026 | 170,000 | 173,400 | ||
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 50,000 | 45,639 | ||
291,258 | ||||||
Commercial services & supplies: 0.31% | ||||||
CoreCivic Incorporated | 8.25 | 4-15-2026 | 70,000 | 69,201 | ||
Industrial conglomerates: 0.29% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 5.16 | 12-29-2049 | 70,000 | 66,203 | ||
Trading companies & distributors: 0.38% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 38,000 | 35,403 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 50,000 | 50,121 | ||
85,524 | ||||||
Information technology: 2.20% | ||||||
Electronic equipment, instruments & components: 0.04% | ||||||
Dell International LLC | 8.35 | 7-15-2046 | 8,000 | 9,680 | ||
IT services: 0.28% | ||||||
Fidelity National Information Services Incorporated | 5.63 | 7-15-2052 | 40,000 | 39,610 | ||
Global Payments Incorporated | 5.95 | 8-15-2052 | 25,000 | 24,225 | ||
63,835 | ||||||
Software: 1.88% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 250,000 | 198,348 | ||
MPH Acquisition Holdings LLC 144A | 5.50 | 9-1-2028 | 60,000 | 51,150 | ||
MPH Acquisition Holdings LLC 144A | 5.75 | 11-1-2028 | 220,000 | 174,680 | ||
424,178 | ||||||
Materials: 1.47% | ||||||
Chemicals: 0.51% | ||||||
Celanese US Holdings LLC | 6.38 | 7-15-2032 | 115,000 | 114,161 |
Interest rate | Maturity date | Principal | Value | |||
Containers & packaging: 0.96% | ||||||
AptarGroup Incorporated | 3.60% | 3-15-2032 | $ | 250,000 | $ 218,071 | |
Real estate: 1.01% | ||||||
Equity REITs: 1.01% | ||||||
EPR Properties | 3.60 | 11-15-2031 | 25,000 | 19,619 | ||
EPR Properties | 3.75 | 8-15-2029 | 35,000 | 29,446 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 125,000 | 120,743 | ||
Service Properties Trust Company | 3.95 | 1-15-2028 | 80,000 | 59,566 | ||
229,374 | ||||||
Total Corporate bonds and notes (Cost $5,488,788) | 4,691,398 | |||||
Foreign corporate bonds and notes : 4.95% | ||||||
Communication services: 0.71% | ||||||
Media: 0.71% | ||||||
Tele Columbus AG 144A | 3.88 | 5-2-2025 | EUR | 100,000 | 85,421 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 100,000 | 75,418 | |
160,839 | ||||||
Consumer discretionary: 0.43% | ||||||
Automobiles: 0.43% | ||||||
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 100,000 | 97,750 | |
Consumer staples: 0.80% | ||||||
Food products: 0.32% | ||||||
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 100,000 | 72,382 | |
Tobacco: 0.48% | ||||||
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 130,000 | 108,164 | |
Energy: 0.40% | ||||||
Oil, gas & consumable fuels: 0.40% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 100,000 | 89,295 | |
Financials: 1.51% | ||||||
Banks: 0.84% | ||||||
Credit Agricole SA (3 Month EURIBOR +1.25%) ± | 1.00 | 4-22-2026 | EUR | 200,000 | 190,082 | |
Consumer finance: 0.67% | ||||||
Abertis Finance BV Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.27%) ʊ± | 2.63 | 1-26-2027 | EUR | 100,000 | 79,819 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 100,000 | 72,907 | |
152,726 | ||||||
Industrials: 0.38% | ||||||
Containers & packaging: 0.38% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 100,000 | 85,356 | |
Materials: 0.72% | ||||||
Chemicals: 0.36% | ||||||
Westlake Chemical Corporation | 1.63 | 7-17-2029 | EUR | 100,000 | 80,426 |
Interest rate | Maturity date | Principal | Value | |||
Paper & forest products: 0.36% | ||||||
Ahlstrom-Munksjo Holding 3 Oy 144A | 3.63% | 2-4-2028 | EUR | 100,000 | $ 82,506 | |
Total Foreign corporate bonds and notes (Cost $1,597,492) | 1,119,526 | |||||
Foreign government bonds : 6.55% | ||||||
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 2,900,000 | 444,346 | |
Chile | 4.50 | 3-1-2026 | CLP | 205,000,000 | 211,622 | |
Germany | 1.70 | 8-15-2032 | EUR | 450,000 | 459,030 | |
Hungary | 1.00 | 11-26-2025 | HUF | 22,000,000 | 40,950 | |
Mexico | 3.75 | 2-21-2024 | EUR | 100,000 | 98,139 | |
Republic of South Africa | 10.50 | 12-21-2026 | ZAR | 3,750,000 | 229,888 | |
Total Foreign government bonds (Cost $1,655,338) | 1,483,975 | |||||
Non-agency mortgage-backed securities: 20.06% | ||||||
Auburn CLO Limited. Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 4.33 | 10-20-2030 | $ | 250,000 | 241,038 | |
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 250,000 | 220,756 | ||
Carlyle Global Market Series 2017-2A Class R2 (3 Month LIBOR +1.60%) 144A± | 4.31 | 7-20-2031 | 250,000 | 237,937 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 289,612 | 278,948 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 250,000 | 234,265 | ||
Dryden Senior Loan Fund Series 2020-78A Class A (3 Month LIBOR +1.18%) 144A± | 3.92 | 4-17-2033 | 400,000 | 391,812 | ||
FREMF Mortgage Trust Series 2019-KF70 Class B (1 Month LIBOR +2.30%) 144A± | 4.66 | 9-25-2029 | 104,091 | 103,226 | ||
Imperial Fund LLC Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 151,834 | 135,970 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 91,475 | 84,079 | ||
Madison Park Funding Limited Series 2020-46A Class B1R (3 Month LIBOR +1.65%) 144A± | 4.16 | 10-15-2034 | 500,000 | 481,577 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022-FL8 Class C (30 Day Average U.S. SOFR +2.20%) 144A± | 4.23 | 2-19-2037 | 250,000 | 234,645 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 250,000 | 239,014 | ||
Neuberger Berman CLO Limited Series 2017-25A Class BR (3 Month LIBOR +1.35%) 144A± | 4.09 | 10-18-2029 | 250,000 | 240,603 | ||
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 3.71 | 3-17-2030 | 250,000 | 246,432 | ||
Residential Mortgage Loan Trust Series 2019-3 Class A3 144A±± | 3.04 | 9-25-2059 | 64,966 | 63,280 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1 144A±± | 1.03 | 11-25-2055 | 96,653 | 89,482 | ||
Towd Point Mortgage Trust Series 2019-HY3 Class A2 (1 Month LIBOR +1.30%) 144A± | 3.74 | 10-25-2059 | 150,000 | 144,383 | ||
Towd Point Mortgage Trust Series 2020-4 Class A2 144A | 2.50 | 10-25-2060 | 350,000 | 291,730 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 96,283 | 91,113 |
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 | $ | 99,366 | $ 94,120 | |
Wind River CLO Limited Series 2018-2A Class A2 (3 Month LIBOR +1.45%) 144A± | 3.96 | 7-15-2030 | 409,000 | 396,779 | ||
Total Non-agency mortgage-backed securities (Cost $4,842,590) | 4,541,189 | |||||
U.S. Treasury securities: 17.38% | ||||||
U.S. Treasury Bond | 2.00 | 8-15-2051 | 370,000 | 277,963 | ||
U.S. Treasury Bond | 2.25 | 5-15-2041 | 550,000 | 448,508 | ||
U.S. Treasury Bond | 2.25 | 2-15-2052 | 80,000 | 63,900 | ||
U.S. Treasury Bond | 2.38 | 5-15-2051 | 1,395,000 | 1,148,473 | ||
U.S. Treasury Bond | 2.88 | 5-15-2052 | 120,000 | 110,588 | ||
U.S. Treasury Bond | 3.00 | 8-15-2052 | 95,000 | 90,057 | ||
U.S. Treasury Note | 1.25 | 6-30-2028 | 540,000 | 479,841 | ||
U.S. Treasury Note | 2.63 | 5-31-2027 | 460,000 | 445,517 | ||
U.S. Treasury Note | 2.75 | 4-30-2027 | 290,000 | 282,263 | ||
U.S. Treasury Note | 2.75 | 8-15-2032 | 220,000 | 212,231 | ||
U.S. Treasury Note | 2.88 | 5-15-2032 | 310,000 | 302,153 | ||
U.S. Treasury Note | 3.00 | 6-30-2024 | 75,000 | 74,350 | ||
Total U.S. Treasury securities (Cost $4,463,961) | 3,935,844 | |||||
Yankee corporate bonds and notes: 5.99% | ||||||
Energy: 0.52% | ||||||
Oil, gas & consumable fuels: 0.52% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.40%) ʊ± | 4.88 | 3-22-2030 | 130,000 | 118,918 | ||
Financials: 4.26% | ||||||
Banks: 3.23% | ||||||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 200,000 | 190,989 | ||
HSBC Holdings plc (U.S. SOFR +2.87%) ± | 5.40 | 8-11-2033 | 200,000 | 190,295 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 200,000 | 194,100 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 200,000 | 155,819 | ||
731,203 | ||||||
Capital markets: 0.87% | ||||||
UBS Group AG (1 Year Treasury Constant Maturity +1.55%) 144A± | 4.49 | 5-12-2026 | 200,000 | 197,916 | ||
Consumer finance: 0.16% | ||||||
Unifin Financiera SAB de CV 144A | 9.88 | 1-28-2029 | 250,000 | 35,025 | ||
Industrials: 0.53% | ||||||
Aerospace & defense: 0.53% | ||||||
Bombardier Incorporated 144A | 7.88 | 4-15-2027 | 125,000 | 119,694 | ||
Utilities: 0.68% | ||||||
Electric utilities: 0.68% | �� | |||||
Comision Federal de Electricidad SAB de CV 144A | 3.88 | 7-26-2033 | 200,000 | 153,500 | ||
Total Yankee corporate bonds and notes (Cost $1,690,946) | 1,356,256 |
Interest rate | Maturity date | Principal | Value | |||
Yankee government bonds: 2.64% | ||||||
Dominican Republic 144A | 4.88% | 9-23-2032 | $ | 230,000 | $ 185,586 | |
Mexico | 4.75 | 4-27-2032 | 270,000 | 261,894 | ||
Panama | 4.50 | 1-19-2063 | 200,000 | 151,041 | ||
Total Yankee government bonds (Cost $739,454) | 598,521 |
Yield | Shares | |||||
Short-term investments: 5.41% | ||||||
Investment companies: 5.41% | ||||||
Allspring Government Money Market Fund Select Class ♠∞ | 2.09 | 1,224,726 | 1,224,726 | |||
Total Short-term investments (Cost $1,224,726) | 1,224,726 | |||||
Total investments in securities (Cost $26,538,540) | 103.47% | 23,428,658 | ||||
Other assets and liabilities, net | (3.47) | (786,434) | ||||
Total net assets | 100.00% | $22,642,224 |
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. |
♠ | 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. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
CLP | Chile Peso |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
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 | $10,931,301 | $(11,606,449) | $0 | $0 | $1,224,726 | 1,224,726 | $3,236 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
1,541,883 USD | 1,448,000 EUR | Citibank National Association | 9-30-2022 | $ 84,040 | $ 0 | |
220,000 EUR | 226,566 USD | Citibank National Association | 9-30-2022 | 0 | (5,070) | |
487,027 USD | 480,000 EUR | Citibank National Association | 9-30-2022 | 3,765 | 0 | |
232,999 USD | 3,750,000 ZAR | Citibank National Association | 9-30-2022 | 14,628 | 0 | |
$102,433 | $(5,070) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
U.S. Long Term Treasury Bonds | 1 | 12-20-2022 | $ 136,814 | $ 135,844 | $ 0 | $ (970) | |
U.S. Ultra Treasury Bonds | 6 | 12-20-2022 | 897,012 | 897,000 | 0 | (12) | |
2-Year U.S. Treasury Notes | 31 | 12-30-2022 | 6,467,667 | 6,458,172 | 0 | (9,495) | |
5-Year U.S. Treasury Notes | 33 | 12-30-2022 | 3,673,742 | 3,657,070 | 0 | (16,672) | |
Short | |||||||
Euro-BOBL Futures | (5) | 9-8-2022 | (629,243) | (618,447) | 10,796 | 0 | |
Euro-Bund Futures | (3) | 9-8-2022 | (458,555) | (446,108) | 12,447 | 0 | |
Euro-Schatz Futures | (2) | 9-8-2022 | (219,830) | (218,295) | 1,535 | 0 | |
10-Year U.S. Treasury Notes | (43) | 12-20-2022 | (5,036,599) | (5,026,969) | 9,630 | 0 | |
10-Year U.S. Ultra Treasury Notes | (7) | 12-20-2022 | (878,018) | (876,313) | 1,705 | 0 | |
$36,113 | $(27,149) |
Assets | |
Investments in unaffiliated securities, at value (cost $25,313,814) | $ 22,203,932 |
Investments in affiliated securities, at value (cost $1,224,726) | 1,224,726 |
Cash | 100,145 |
Cash at broker segregated for futures contracts | 100,000 |
Receivable for investments sold | 1,279,420 |
Receivable for interest | 179,684 |
Unrealized gains on forward foreign currency contracts | 102,433 |
Receivable for daily variation margin on open futures contracts | 7,350 |
Receivable from manager | 170 |
Prepaid expenses and other assets | 10,384 |
Total assets | 25,208,244 |
Liabilities | |
Payable for when-issued transactions | 1,298,318 |
Payable for investments purchased | 1,162,487 |
Cash due to broker | 100,145 |
Unrealized losses on forward foreign currency contracts | 5,070 |
Total liabilities | 2,566,020 |
Total net assets | $22,642,224 |
Net assets consist of | |
Paid-in capital | $ 26,207,576 |
Total distributable loss | (3,565,352) |
Total net assets | $22,642,224 |
Computation of net asset value per share | |
Net assets | $ 22,642,224 |
Share outstanding 1 | 1,314,873 |
Net asset value per share | $17.22 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest (net of foreign withholding taxes of $735) | $ 729,446 |
Income from affiliated securities | 3,236 |
Total investment income | 732,682 |
Expenses | |
Custody and accounting fees | 10,408 |
Professional fees | 155,346 |
Registration fees | 24,528 |
Shareholder report expenses | 16,484 |
Trustees’ fees and expenses | 20,935 |
Other fees and expenses | 3,891 |
Total expenses | 231,592 |
Less: Fee waivers and/or expense reimbursements | (231,592) |
Net expenses | 0 |
Net investment income | 732,682 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (729,280) |
Foreign currency and foreign currency translations | (7,104) |
Forward foreign currency contracts | 209,774 |
Futures contracts | 27,212 |
Net realized losses on investments | (499,398) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (3,299,198) |
Forward foreign currency contracts | 97,301 |
Futures contracts | 27,371 |
Net change in unrealized gains (losses) on investments | (3,174,526) |
Net realized and unrealized gains (losses) on investments | (3,673,924) |
Net decrease in net assets resulting from operations | $(2,941,242) |
Year ended August 31, 2022 | Year ended August 31, 20211 | |||
Operations | ||||
Net investment income | $ 732,682 | $ 170,896 | ||
Net realized gains (losses) on investments | (499,398) | 6,126 | ||
Net change in unrealized gains (losses) on investments | (3,174,526) | 160,162 | ||
Net increase (decrease) in net assets resulting from operations | (2,941,242) | 337,184 | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | (961,294) | 0 | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | 26,564 | 496,561 | 1,250,000 | 25,000,000 |
Reinvestment of distributions | 38,309 | 711,015 | 0 | 0 |
Net increase in net assets resulting from capital share transactions | 1,207,576 | 25,000,000 | ||
Total increase (decrease) in net assets | (2,694,960) | 25,337,184 | ||
Net assets | ||||
Beginning of period | 25,337,184 | 0 | ||
End of period | $22,642,224 | $25,337,184 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
Year ended August 31 | ||
2022 | 2021 1 | |
Net asset value, beginning of period | $20.27 | $20.00 |
Net investment income | 0.57 | 0.14 |
Net realized and unrealized gains (losses) on investments | (2.86) | 0.13 |
Total from investment operations | (2.29) | 0.27 |
Distributions to shareholders from | ||
Net investment income | (0.72) | 0.00 |
Net realized gains | (0.04) | 0.00 |
Total distributions to shareholders | (0.76) | 0.00 |
Net asset value, end of period | $17.22 | $20.27 |
Total return2 | (11.59)% | 1.35% |
Ratios to average net assets (annualized) | ||
Gross expenses | 0.96% | 0.83% |
Net expenses3 | 0.00% | 0.00% |
Net investment income | 3.04% | 2.75% |
Supplemental data | ||
Portfolio turnover rate | 125% | 27% |
Net assets, end of period (000s omitted) | $22,642 | $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 | $ 106,801 |
Gross unrealized losses | (3,236,608) |
Net unrealized losses | $(3,129,807) |
■ | 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 | $ 1,128,267 | $0 | $ 1,128,267 |
Asset-backed securities | 0 | 3,348,956 | 0 | 3,348,956 |
Corporate bonds and notes | 0 | 4,691,398 | 0 | 4,691,398 |
Foreign corporate bonds and notes | 0 | 1,119,526 | 0 | 1,119,526 |
Foreign government bonds | 0 | 1,483,975 | 0 | 1,483,975 |
Non-agency mortgage-backed securities | 0 | 4,541,189 | 0 | 4,541,189 |
U.S. Treasury securities | 3,935,844 | 0 | 0 | 3,935,844 |
Yankee corporate bonds and notes | 0 | 1,356,256 | 0 | 1,356,256 |
Yankee government bonds | 0 | 598,521 | 0 | 598,521 |
Short-term investments | ||||
Investment companies | 1,224,726 | 0 | 0 | 1,224,726 |
5,160,570 | 18,268,088 | 0 | 23,428,658 | |
Forward foreign currency contracts | 0 | 102,433 | 0 | 102,433 |
Futures contracts | 36,113 | 0 | 0 | 36,113 |
Total assets | $5,196,683 | $18,370,521 | $0 | $23,567,204 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 5,070 | $0 | $ 5,070 |
Futures contracts | 27,149 | 0 | 0 | 27,149 |
Total liabilities | $ 27,149 | $ 5,070 | $0 | $ 32,219 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$25,283,075 | $8,050,491 | $25,433,913 | $4,786,184 |
Futures contracts | |
Average notional balance on long futures | $11,203,632 |
Average notional balance on short futures | 8,680,525 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 388,771 |
Average contract amounts to sell | 2,148,667 |
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 | $ 36,113* | Unrealized losses on futures contracts | $ 27,149* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 102,433 | Unrealized losses on forward foreign currency contracts | 5,070 | |
$138,546 | $32,219 |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ 27,212 | $ 27,212 |
Foreign currency risk | 209,774 | 0 | 209,774 |
$209,774 | $27,212 | $236,986 |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ 27,371 | $ 27,371 |
Foreign currency risk | 97,301 | 0 | 97,301 |
$97,301 | $27,371 | $124,672 |
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 | $102,433 | $(5,070) | $0 | $97,363 |
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 | $5,070 | $(5,070) | $0 | $0 |
Undistributed ordinary income | Unrealized losses | Post-October capital losses deferred |
$260,698 | $(3,140,614) | $(685,436) |
Allspring Funds Trust:
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775imgf34ed1325.jpg)
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. Vice Chair of the Economic Club of Minnesota, since 2007. Co-Chair of the Committee for a Responsible Federal Budget, since 1995. Member of the Board of Trustees of NorthStar Education Finance, Inc., a non-profit organization, since 2007. Senior Fellow of the University of Minnesota Humphrey Institute from 1995 to 2017. | 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 | Retired. Executive and Senior Financial leadership positions in the public, private and nonprofit sectors. Interim President and CEO, McKnight Foundation, 2020. Interim Commissioner, Minnesota Department of Human Services, 2019. Chief Operating Officer, Twin Cities Habitat for Humanity, 2017-2019. Vice President for University Services, University of Minnesota, 2012-2016. Interim President and CEO, Blue Cross and Blue Shield of Minnesota, 2011-2012. Executive Vice-President and Chief Financial Officer, Minnesota Wild, 2002-2008. Commissioner, Minnesota Department of Finance, 1999-2002. Chair of the Board of Directors of Destination Medical Center Corporation. Board member of the Minnesota Wild Foundation. | 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-CSR/0001193125-22-277512/g396775img857f991c1.jpg)
Attn: Managed Account Services
P.O. Box 1450
Milwaukee, WI 53201
![](https://capedge.com/proxy/N-CSR/0001193125-22-277512/g396775img069cbb896.jpg)
1-888-877-9275 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
A215/AR215 08-22
ITEM 2. CODE OF ETHICS
(a) As of the end of the period covered by the report, Allspring Funds Trust has adopted a code of ethics that applies to its President and Treasurer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
(c) During the period covered by this report, there were no amendments to the provisions of the code of ethics adopted in Item 2(a) above.
(d) During the period covered by this report, there were no implicit or explicit waivers to the provisions of the code of ethics adopted in Item 2(a) above.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The Board of Trustees of Allspring Funds Trust has determined that Isaiah Harris is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Harris is independent for purposes of Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
(a), (b), (c), (d) The following table presents aggregate fees billed in each of the last two fiscal years for services rendered
to the Registrant by the Registrant’s principal accountant. These fees were billed to the registrant and were approved by
the Registrant’s audit committee.
Fiscal | Fiscal | |||||||
year ended | year ended | |||||||
August 31, 2022 | August 31, 2021 | |||||||
Audit fees | $ | 601,270 | $ | 503,450 | ||||
Audit-related fees | — | — | ||||||
Tax fees (1) | 46,820 | 41,070 | ||||||
All other fees | — | — | ||||||
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|
|
| |||||
$ | 648,090 | $ | 544,520 | |||||
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(1) | Tax fees consist of fees for tax compliance, tax advice, tax planning and excise tax. |
(e) The Chair of the Audit Committees is authorized to pre-approve: (1) audit services for the mutual funds of Allspring Funds Trust; (2) non-audit tax or compliance consulting or training services provided to the Funds by the independent auditors (“Auditors”) if the fees for any particular engagement are not anticipated to exceed $50,000; and (3) non-audit tax or compliance consulting or training services provided by the Auditors to a Fund’s investment adviser and its controlling entities (where pre-approval is required because the engagement relates directly to the operations and financial reporting of the Fund) if the fee to the Auditors for any particular engagement is not anticipated to exceed $50,000. For any such pre-approval sought from the Chair, Management shall prepare a brief description of the proposed services.
If the Chair approves of such service, he or she shall sign the statement prepared by Management.
Such written statement shall be presented to the full Committees at their next regularly scheduled meetings.
(f) Not applicable
(g) Not applicable
(h) 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 MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of 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) Code of Ethics.
(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: | October 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: | October 27, 2022 |
By: | /s/ Jeremy DePalma | |
Jeremy DePalma | ||
Treasurer | ||
Date: | October 27, 2022 |