UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09253
Allspring Funds Trust
(Exact name of registrant as specified in charter)
1415 Vantage Park Drive, 3rd Floor, Charlotte, NC 28203
(Address of principal executive offices) (Zip code)
Matthew Prasse
Allspring Funds Management, LLC
1415 Vantage Park Drive, 3rd Floor, Charlotte, NC 28203
(Address of principal executive offices) (Zip code)
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 Income Fund, and Allspring Ultra Short-Term Income Fund.
Date of reporting period: February 28, 2023
ITEM 1. REPORT TO STOCKHOLDERS
===============================================
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Adjustable Rate Government Fund
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
Investment objective | The Fund seeks current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Michal Stanczyk |
Average annual total returns (%) as of February 28, 2023 | |||||||||||
Including sales charge | Excluding sales charge | Expense ratios1 (%) | |||||||||
Inception date | 1 year | 5 year | 10 year | 1 year | 5 year | 10 year | Gross | Net 2 | |||
Class A (ESAAX) | 6-30-2000 | -1.16 | 0.86 | 0.57 | 0.84 | 1.26 | 0.78 | 0.82 | 0.74 | ||
Class C (ESACX) | 6-30-2000 | -0.74 | 0.60 | 0.15 | 0.26 | 0.60 | 0.15 | 1.57 | 1.49 | ||
Administrator Class (ESADX) | 7-30-2010 | – | – | – | 0.98 | 1.38 | 0.92 | 0.76 | 0.60 | ||
Institutional Class (EKIZX) | 10-1-1991 | – | – | – | 1.23 | 1.52 | 1.05 | 0.49 | 0.46 | ||
Bloomberg 6-Month Treasury Bill Index3 | – | – | – | – | 2.03 | 1.47 | 0.97 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.74% for Class A, 1.49% for Class C, 0.60% for Administrator Class, and 0.46% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | The Bloomberg 6-Month Treasury Bill Index tracks the performance and attributes of recently issued 6-Month U.S. Treasury bills. The index follows Bloomberg monthly rebalancing conventions. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
FHLMC Series 350 Class F2, 3.34%, 9-15-2040 | 1.58 |
FRESB Mortgage Trust Series 2022-SB94 Class A5H, 1.72%, 11-25-2041 | 1.56 |
FHLMC, 3.82%, 9-1-2036 | 1.55 |
FHLMC, 4.05%, 7-1-2038 | 1.53 |
FNMA Series 2017-M9 Class F, 5.10%, 5-25-2029 | 1.31 |
FNMA Series 2016-40 Class AF, 3.71%, 7-25-2046 | 1.20 |
FHLMC Series 4915 Class FE, 3.83%, 2-15-2038 | 1.09 |
FNMA Series 2002-66 Class A3, 3.97%, 4-25-2042 | 1.07 |
FNMA Series 2021-85 Class EF, 4.23%, 12-25-2051 | 1.06 |
Navient Student Loan Trust Series 2018-4A Class A2, 5.30%, 6-27-2067 | 1.02 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g480617imgdd8b34684.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,014.70 | $3.70 | 0.74% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.12 | $3.71 | 0.74% |
Class C | ||||
Actual | $1,000.00 | $1,010.95 | $7.43 | 1.49% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.41 | $7.45 | 1.49% |
Administrator Class | ||||
Actual | $1,000.00 | $1,015.41 | $3.00 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $1,017.26 | $2.30 | 0.46% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.51 | $2.31 | 0.46% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 88.02% | |||||
FHLMC (12 Month LIBOR +1.67%) ± | 2.17% | 8-1-2035 | $ 111,954 | $ 109,441 | |
FHLMC (12 Month LIBOR +1.81%) ± | 2.43 | 4-1-2035 | 457,543 | 450,876 | |
FHLMC (1 Year Treasury Constant Maturity +0.85%) ± | 2.46 | 4-1-2030 | 10,769 | 10,532 | |
FHLMC (12 Month Treasury Average +1.90%) ± | 2.51 | 5-1-2028 | 65,812 | 64,333 | |
FHLMC (2 Year Treasury Constant Maturity +2.44%) ± | 2.57 | 8-1-2029 | 2,807 | 2,777 | |
FHLMC (11th District COFI +1.25%) ± | 2.60 | 1-1-2030 | 1,508 | 1,456 | |
FHLMC (11th District COFI +1.25%) ± | 2.60 | 1-1-2030 | 351 | 339 | |
FHLMC (11th District COFI +1.25%) ± | 2.60 | 7-1-2030 | 76,078 | 73,341 | |
FHLMC (3 Year Treasury Constant Maturity +2.44%) ± | 2.61 | 5-1-2032 | 67,382 | 66,273 | |
FHLMC (12 Month LIBOR +1.86%) ± | 2.61 | 4-1-2037 | 130,112 | 128,442 | |
FHLMC (1 Year Treasury Constant Maturity +0.00%) | 2.63 | 4-1-2023 | 1,856 | 1,843 | |
FHLMC (12 Month LIBOR +1.91%) ± | 2.64 | 3-1-2032 | 104,036 | 101,909 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.64 | 6-1-2050 | 2,544,408 | 2,302,787 | |
FHLMC (12 Month LIBOR +2.06%) ± | 2.72 | 3-1-2038 | 465,167 | 472,671 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.73 | 10-1-2024 | 11,048 | 10,926 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.73 | 2-1-2030 | 19,842 | 19,530 | |
FHLMC (1 Year Treasury Constant Maturity +2.44%) ± | 2.82 | 4-1-2029 | 16,502 | 16,134 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 2.82 | 4-1-2034 | 74,977 | 73,359 | |
FHLMC (11th District COFI +1.28%) ± | 2.86 | 2-1-2035 | 22,726 | 22,376 | |
FHLMC (1 Year Treasury Constant Maturity +2.52%) ± | 2.87 | 11-1-2029 | 41,156 | 39,473 | |
FHLMC (12 Month LIBOR +1.62%) ± | 2.88 | 11-1-2047 | 2,395,968 | 2,295,229 | |
FHLMC (12 Month LIBOR +1.75%) ± | 2.91 | 5-1-2033 | 45,917 | 44,858 | |
FHLMC (1 Year Treasury Constant Maturity +2.03%) ± | 2.92 | 3-1-2025 | 6,321 | 6,187 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 2.93 | 6-1-2030 | 52,395 | 50,988 | |
FHLMC (1 Year Treasury Constant Maturity +2.44%) ± | 2.93 | 4-1-2034 | 79,776 | 77,604 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 2.94 | 9-1-2033 | 138,614 | 135,688 | |
FHLMC (1 Year Treasury Constant Maturity +2.61%) ± | 2.99 | 9-1-2030 | 25,060 | 23,876 | |
FHLMC (12 Month Treasury Average +2.46%) ± | 3.02 | 10-1-2029 | 53,784 | 52,749 | |
FHLMC (12 Month LIBOR +1.75%) ± | 3.02 | 4-1-2035 | 77,220 | 76,161 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.10 | 4-1-2038 | 314,310 | 317,470 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 3.15 | 8-1-2027 | 2,396 | 2,350 | |
FHLMC (12 Month LIBOR +1.73%) ± | 3.16 | 5-1-2037 | 487,806 | 490,871 | |
FHLMC (12 Month LIBOR +1.83%) ± | 3.21 | 4-1-2037 | 44,568 | 43,977 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 3.23 | 4-1-2034 | 59,694 | 58,920 | |
FHLMC (1 Year Treasury Constant Maturity +2.17%) ± | 3.23 | 5-1-2037 | 19,980 | 19,782 | |
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 3.24 | 3-1-2027 | 20,707 | 20,388 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25 | 5-1-2034 | 100,336 | 99,035 | |
FHLMC (12 Month LIBOR +1.62%) ± | 3.25 | 7-1-2045 | 486,057 | 487,314 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 3.36 | 4-1-2038 | 586,182 | 580,939 | |
FHLMC (12 Month LIBOR +1.87%) ± | 3.37 | 5-1-2035 | 18,171 | 17,847 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.40 | 10-1-2036 | 155,260 | 157,225 | |
FHLMC (11th District COFI +2.57%) ± | 3.43 | 12-1-2025 | 36,435 | 36,015 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.46 | 7-1-2029 | 16,055 | 15,844 | |
FHLMC (6 Month LIBOR +1.68%) ± | 3.49 | 1-1-2037 | 390,536 | 391,252 | |
FHLMC (1 Year Treasury Constant Maturity +2.33%) ± | 3.51 | 7-1-2031 | 66,107 | 64,233 | |
FHLMC (1 Year Treasury Constant Maturity +1.87%) ± | 3.51 | 5-1-2035 | 223,210 | 219,002 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.53 | 11-1-2029 | 52,347 | 51,338 | |
FHLMC (12 Month LIBOR +1.80%) ± | 3.56 | 8-1-2037 | 683,736 | 691,339 | |
FHLMC (5 Year Treasury Constant Maturity +2.44%) ± | 3.57 | 8-1-2027 | 17,947 | 17,360 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.59 | 10-1-2035 | 378,595 | 374,235 | |
FHLMC (1 Year Treasury Constant Maturity +2.60%) ± | 3.60 | 6-1-2032 | 117,156 | 115,624 | |
FHLMC (1 Year Treasury Constant Maturity +2.49%) ± | 3.61 | 6-1-2035 | 141,785 | 139,968 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 3.62 | 2-1-2036 | 2,032,659 | 2,055,539 | |
FHLMC (3 Year Treasury Constant Maturity +2.83%) ± | 3.63 | 6-1-2035 | 196,390 | 192,647 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.63% | 6-1-2035 | $ 28,709 | $ 29,102 | |
FHLMC (1 Year Treasury Constant Maturity +2.00%) ± | 3.66 | 8-1-2033 | 380,179 | 372,344 | |
FHLMC (6 Month LIBOR +1.42%) ± | 3.67 | 2-1-2037 | 1,546 | 1,541 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.69 | 9-1-2039 | 688,819 | 695,970 | |
FHLMC (12 Month LIBOR +1.75%) ± | 3.70 | 6-1-2033 | 159,242 | 158,060 | |
FHLMC (12 Month LIBOR +1.77%) ± | 3.71 | 9-1-2037 | 141,629 | 143,000 | |
FHLMC (12 Month LIBOR +1.61%) ± | 3.75 | 7-1-2044 | 89,365 | 89,879 | |
FHLMC (12 Month LIBOR +1.51%) ± | 3.76 | 2-1-2037 | 42,669 | 41,665 | |
FHLMC (12 Month Treasury Average +2.52%) ± | 3.77 | 6-1-2028 | 18,880 | 18,467 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 3.77 | 5-1-2038 | 244,914 | 241,165 | |
FHLMC (1 Year Treasury Constant Maturity +2.04%) ± | 3.78 | 12-1-2035 | 221,050 | 216,759 | |
FHLMC (12 Month LIBOR +1.80%) ± | 3.78 | 10-1-2043 | 2,539,154 | 2,562,689 | |
FHLMC (1 Year Treasury Constant Maturity +2.19%) ± | 3.79 | 1-1-2037 | 303,573 | 296,794 | |
FHLMC (1 Year Treasury Constant Maturity +2.16%) ± | 3.80 | 6-1-2033 | 256,941 | 250,398 | |
FHLMC (6 Month LIBOR +1.83%) ± | 3.81 | 6-1-2037 | 126,054 | 123,028 | |
FHLMC (12 Month LIBOR +1.82%) ± | 3.81 | 5-1-2039 | 213,134 | 209,477 | |
FHLMC (1 Year Treasury Constant Maturity +2.19%) ± | 3.82 | 6-1-2036 | 265,978 | 268,797 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 3.82 | 9-1-2036 | 5,220,276 | 5,314,616 | |
FHLMC (12 Month LIBOR +1.85%) ± | 3.82 | 7-1-2038 | 554,723 | 559,560 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 3.83 | 4-1-2037 | 1,059,833 | 1,076,321 | |
FHLMC (12 Month LIBOR +1.83%) ± | 3.89 | 6-1-2043 | 2,842,443 | 2,892,570 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 3.91 | 4-1-2032 | 836,030 | 834,231 | |
FHLMC (6 Month LIBOR +2.12%) ± | 3.91 | 5-1-2037 | 20,128 | 19,648 | |
FHLMC (1 Year Treasury Constant Maturity +2.43%) ± | 3.93 | 6-1-2025 | 16,754 | 16,420 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 3.94 | 1-1-2037 | 524,987 | 534,013 | |
FHLMC (1 Year Treasury Constant Maturity +2.37%) ± | 3.96 | 2-1-2034 | 1,440,695 | 1,447,403 | |
FHLMC (12 Month LIBOR +1.85%) ± | 3.96 | 9-1-2036 | 202,075 | 199,723 | |
FHLMC (12 Month LIBOR +1.80%) ± | 3.96 | 9-1-2037 | 135,159 | 136,862 | |
FHLMC (1 Year Treasury Constant Maturity +2.10%) ± | 3.97 | 10-1-2037 | 317,122 | 316,595 | |
FHLMC (12 Month LIBOR +1.79%) ± | 3.97 | 1-1-2040 | 1,018,970 | 1,033,477 | |
FHLMC (6 Month LIBOR +1.73%) ± | 3.98 | 6-1-2024 | 1,149 | 1,135 | |
FHLMC (12 Month LIBOR +1.73%) ± | 3.98 | 1-1-2035 | 148,456 | 145,620 | |
FHLMC (12 Month LIBOR +1.74%) ± | 3.99 | 12-1-2036 | 111,692 | 112,795 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 3.99 | 9-1-2038 | 1,720,433 | 1,743,768 | |
FHLMC (1 Year Treasury Constant Maturity +2.34%) ± | 4.02 | 10-1-2033 | 321,456 | 315,275 | |
FHLMC (12 Month LIBOR +1.77%) ± | 4.02 | 6-1-2035 | 123,292 | 121,526 | |
FHLMC (12 Month LIBOR +1.78%) ± | 4.03 | 11-1-2035 | 98,235 | 98,616 | |
FHLMC (1 Year Treasury Constant Maturity +2.26%) ± | 4.05 | 7-1-2038 | 5,192,229 | 5,255,303 | |
FHLMC (1 Year Treasury Constant Maturity +2.39%) ± | 4.06 | 6-1-2035 | 256,757 | 257,418 | |
FHLMC (1 Year Treasury Constant Maturity +2.76%) ± | 4.08 | 9-1-2030 | 16,180 | 15,945 | |
FHLMC (1 Year Treasury Constant Maturity +2.32%) ± | 4.09 | 7-1-2027 | 116,244 | 115,198 | |
FHLMC (1 Year Treasury Constant Maturity +1.99%) ± | 4.11 | 11-1-2034 | 151,091 | 147,500 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 4.14 | 7-1-2034 | 104,476 | 101,939 | |
FHLMC (6 Month LIBOR +2.16%) ± | 4.17 | 6-1-2026 | 153,809 | 151,211 | |
FHLMC (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +1.94%) ± | 4.19 | 7-1-2024 | 3,356 | 3,327 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 4.19 | 1-1-2028 | 886 | 871 | |
FHLMC (12 Month LIBOR +1.93%) ± | 4.20 | 4-1-2035 | 476,739 | 469,186 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 4.21 | 6-1-2030 | 137,947 | 135,940 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 4.22 | 8-1-2033 | 14,093 | 13,856 | |
FHLMC (1 Year Treasury Constant Maturity +2.47%) ± | 4.22 | 7-1-2034 | 93,143 | 91,535 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 4.23 | 11-1-2026 | 32,235 | 31,717 | |
FHLMC (12 Month LIBOR +1.99%) ± | 4.24 | 7-1-2036 | 187,020 | 183,517 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.27 | 9-1-2033 | 43,530 | 44,520 | |
FHLMC (11th District COFI +2.29%) ± | 4.29 | 12-1-2025 | 1,354 | 1,346 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (1 Year Treasury Constant Maturity +2.24%) ± | 4.31% | 4-1-2036 | $ 112,321 | $ 111,035 | |
FHLMC (1 Year Treasury Constant Maturity +2.22%) ± | 4.34 | 12-1-2033 | 278,301 | 271,730 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 4.35 | 2-1-2034 | 229,974 | 224,672 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 4.35 | 10-1-2036 | 109,096 | 107,195 | |
FHLMC (1 Year Treasury Constant Maturity +2.35%) ± | 4.35 | 7-1-2038 | 136,455 | 134,687 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 4.36 | 2-1-2034 | 34,302 | 33,387 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.36 | 1-1-2037 | 25,362 | 25,792 | |
FHLMC (1 Year Treasury Constant Maturity +2.29%) ± | 4.37 | 11-1-2027 | 152,550 | 150,139 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.37 | 12-1-2034 | 104,756 | 102,803 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.38 | 5-1-2034 | 27,449 | 27,520 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.38 | 2-1-2036 | 135,628 | 133,774 | |
FHLMC (1 Year Treasury Constant Maturity +2.27%) ± | 4.40 | 11-1-2029 | 26,094 | 25,584 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 4.40 | 7-1-2031 | 34,359 | 33,811 | |
FHLMC (1 Year Treasury Constant Maturity +2.40%) ± | 4.40 | 9-1-2031 | 27,882 | 27,401 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 4.41 | 1-1-2028 | 4,800 | 4,729 | |
FHLMC (1 Year Treasury Constant Maturity +2.28%) ± | 4.41 | 1-1-2035 | 117,364 | 114,448 | |
FHLMC (1 Year Treasury Constant Maturity +2.36%) ± | 4.46 | 2-1-2035 | 253,823 | 248,321 | |
FHLMC (11th District COFI +1.25%) ± | 4.47 | 11-1-2030 | 7,564 | 7,338 | |
FHLMC (5 Year Treasury Constant Maturity +2.13%) ± | 4.50 | 8-1-2029 | 5,859 | 5,845 | |
FHLMC (1 Year Treasury Constant Maturity +2.69%) ± | 4.53 | 5-1-2028 | 61,815 | 60,485 | |
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 4.56 | 7-1-2031 | 3,500,000 | 3,462,358 | |
FHLMC (1 Year Treasury Constant Maturity +2.48%) ± | 4.60 | 6-1-2030 | 16,904 | 16,535 | |
FHLMC (1 Year Treasury Constant Maturity +2.49%) ± | 4.60 | 12-1-2032 | 53,907 | 52,851 | |
FHLMC (1 Year Treasury Constant Maturity +2.55%) ± | 4.67 | 9-1-2029 | 18,037 | 17,607 | |
FHLMC (12 Month LIBOR +1.77%) ± | 5.04 | 8-1-2042 | 110,897 | 113,765 | |
FHLMC (3 Year Treasury Constant Maturity +2.40%) ± | 5.16 | 5-1-2031 | 57,144 | 55,981 | |
FHLMC (6 Month LIBOR +3.83%) ± | 5.21 | 11-1-2026 | 11,104 | 10,914 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF46 Class A (1 Month LIBOR +0.22%) ± | 4.79 | 3-25-2028 | 107,238 | 105,500 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KF85 Class AL (1 Month LIBOR +0.30%) ± | 4.87 | 8-25-2030 | 241,347 | 237,817 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KX04 Class AFL (1 Month LIBOR +0.33%) ± | 4.90 | 3-25-2030 | 1,808,827 | 1,789,879 | |
FHLMC Multifamily Structured Pass-Through Certificates Series Q016 Class APT2 ±± | 1.48 | 5-25-2051 | 3,689,590 | 3,233,997 | |
FHLMC Series 1671 Class QA (Enterprise 11th District COFI Institutional Replacement +0.95%) ± | 2.79 | 2-15-2024 | 92,202 | 92,341 | |
FHLMC Series 1686 Class FE (Enterprise 11th District COFI Institutional Replacement +1.10%) ± | 2.94 | 2-15-2024 | 746 | 748 | |
FHLMC Series 1709 Class FA (10 Year Treasury Constant Maturity -0.85%) ± | 2.59 | 3-15-2024 | 14,750 | 14,642 | |
FHLMC Series 1730 Class FA (10 Year Treasury Constant Maturity -0.60%) ± | 2.84 | 5-15-2024 | 10,941 | 10,885 | |
FHLMC Series 20 Class F ±± | 2.54 | 7-1-2029 | 1,395 | 1,398 | |
FHLMC Series 2315 Class FW (1 Month LIBOR +0.55%) ± | 5.14 | 4-15-2027 | 18,609 | 18,621 | |
FHLMC Series 2391 Class EF (1 Month LIBOR +0.50%) ± | 5.09 | 6-15-2031 | 25,051 | 25,009 | |
FHLMC Series 2454 Class SL (-1 Month LIBOR +8.00%) ♀± | 3.41 | 3-15-2032 | 54,525 | 5,410 | |
FHLMC Series 2461 Class FI (1 Month LIBOR +0.50%) ± | 5.09 | 4-15-2028 | 31,207 | 31,201 | |
FHLMC Series 2464 Class FE (1 Month LIBOR +1.00%) ± | 5.59 | 3-15-2032 | 35,538 | 36,077 | |
FHLMC Series 2466 Class FV (1 Month LIBOR +0.55%) ± | 5.14 | 3-15-2032 | 68,276 | 68,461 | |
FHLMC Series 2538 Class F (1 Month LIBOR +0.60%) ± | 5.19 | 12-15-2032 | 144,969 | 144,310 | |
FHLMC Series 264 Class F1 (1 Month LIBOR +0.55%) ± | 5.14 | 7-15-2042 | 584,933 | 577,469 | |
FHLMC Series 2682 Class FK (1 Month LIBOR +1.47%) ± | 6.06 | 1-15-2033 | 2,898,679 | 2,999,107 | |
FHLMC Series 3067 Class FA (1 Month LIBOR +0.35%) ± | 4.94 | 11-15-2035 | 518,043 | 513,055 | |
FHLMC Series 3114 Class FT (1 Month LIBOR +0.35%) ± | 4.94 | 9-15-2030 | 198,105 | 197,577 | |
FHLMC Series 3140 Class GF (1 Month LIBOR +0.35%) ± | 4.94 | 3-15-2036 | 404,752 | 400,677 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series 3146 Class FP (1 Month LIBOR +0.35%) ± | 4.94% | 4-15-2036 | $ 370,120 | $ 366,642 | |
FHLMC Series 3149 Class FB (1 Month LIBOR +0.35%) ± | 4.94 | 5-15-2036 | 661,001 | 656,873 | |
FHLMC Series 319 Class F1 (1 Month LIBOR +0.45%) ± | 5.04 | 11-15-2043 | 859,249 | 843,805 | |
FHLMC Series 3240 Class FM (1 Month LIBOR +0.35%) ± | 4.94 | 11-15-2036 | 671,593 | 664,329 | |
FHLMC Series 3284 Class CF (1 Month LIBOR +0.37%) ± | 4.96 | 3-15-2037 | 452,636 | 445,190 | |
FHLMC Series 3286 Class FA (1 Month LIBOR +0.40%) ± | 4.99 | 3-15-2037 | 50,657 | 49,784 | |
FHLMC Series 3311 Class KF (1 Month LIBOR +0.34%) ± | 4.93 | 5-15-2037 | 775,691 | 763,401 | |
FHLMC Series 3312 Class FN (1 Month LIBOR +0.22%) ± | 4.81 | 7-15-2036 | 657,892 | 647,355 | |
FHLMC Series 3436 Class A ±± | 4.09 | 11-15-2036 | 234,864 | 236,817 | |
FHLMC Series 350 Class F2 (1 Month LIBOR +0.35%) ± | 3.34 | 9-15-2040 | 5,563,182 | 5,418,784 | |
FHLMC Series 3684 Class FM (1 Month LIBOR +0.35%) ± | 3.98 | 11-15-2036 | 960,644 | 947,075 | |
FHLMC Series 3753 Class FA (1 Month LIBOR +0.50%) ± | 5.09 | 11-15-2040 | 1,063,550 | 1,049,983 | |
FHLMC Series 3757 Class PF (1 Month LIBOR +0.50%) ± | 5.09 | 8-15-2040 | 242,082 | 241,818 | |
FHLMC Series 3822 Class FY (1 Month LIBOR +0.40%) ± | 4.99 | 2-15-2033 | 469,238 | 468,235 | |
FHLMC Series 3827 Class DF (1 Month LIBOR +0.45%) ± | 5.04 | 3-15-2041 | 236,703 | 234,491 | |
FHLMC Series 3925 Class FL (1 Month LIBOR +0.45%) ± | 5.04 | 1-15-2041 | 50,053 | 49,930 | |
FHLMC Series 3997 Class FQ (1 Month LIBOR +0.50%) ± | 5.09 | 2-15-2042 | 458,458 | 451,813 | |
FHLMC Series 4013 Class QF (1 Month LIBOR +0.55%) ± | 5.14 | 3-15-2041 | 213,999 | 213,625 | |
FHLMC Series 4039 Class FA (1 Month LIBOR +0.50%) ± | 5.09 | 5-15-2042 | 721,178 | 716,724 | |
FHLMC Series 4136 Class DF (1 Month LIBOR +0.30%) ± | 4.89 | 11-15-2042 | 456,452 | 444,371 | |
FHLMC Series 4143 Class KF (1 Month LIBOR +0.35%) ± | 3.65 | 9-15-2037 | 1,360,490 | 1,337,937 | |
FHLMC Series 4248 Class FL (1 Month LIBOR +0.45%) ± | 5.04 | 5-15-2041 | 187,075 | 185,219 | |
FHLMC Series 4316 Class JF (1 Month LIBOR +0.40%) ± | 4.99 | 1-15-2044 | 644,946 | 634,909 | |
FHLMC Series 4474 Class WF (1 Month LIBOR +0.35%) ± | 3.58 | 12-15-2036 | 1,072,175 | 1,042,997 | |
FHLMC Series 4477 Class FG (1 Month LIBOR +0.30%) ± | 3.47 | 10-15-2040 | 995,299 | 973,520 | |
FHLMC Series 4503 Class FA (1 Month LIBOR +0.35%) ± | 3.63 | 2-15-2042 | 1,226,236 | 1,204,808 | |
FHLMC Series 4515 Class FA (1 Month LIBOR +0.37%) ± | 3.83 | 8-15-2038 | 181,978 | 179,079 | |
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 134,032 | 131,659 | |
FHLMC Series 4624 Class FA (1 Month LIBOR +0.45%) ± | 3.64 | 12-15-2038 | 2,088,006 | 2,062,314 | |
FHLMC Series 4628 Class KF (1 Month LIBOR +0.50%) ± | 5.09 | 1-15-2055 | 1,198,590 | 1,167,965 | |
FHLMC Series 4678 Class AF (1 Month LIBOR +0.40%) ± | 3.61 | 12-15-2042 | 903,945 | 895,480 | |
FHLMC Series 4691 Class FA (1 Month LIBOR +0.35%) ± | 4.94 | 6-15-2047 | 450,210 | 425,756 | |
FHLMC Series 4707 Class FD (1 Month LIBOR +0.35%) ± | 3.76 | 9-15-2044 | 2,642,838 | 2,632,761 | |
FHLMC Series 4754 Class FM (1 Month LIBOR +0.30%) ± | 4.89 | 2-15-2048 | 1,146,237 | 1,109,522 | |
FHLMC Series 4779 Class WF (1 Month LIBOR +0.35%) ± | 3.56 | 7-15-2044 | 1,288,309 | 1,267,501 | |
FHLMC Series 4821 Class FA (1 Month LIBOR +0.30%) ± | 4.89 | 7-15-2048 | 342,105 | 331,865 | |
FHLMC Series 4831 Class FD (1 Month LIBOR +0.30%) ± | 4.89 | 10-15-2048 | 1,133,161 | 1,098,069 | |
FHLMC Series 4842 Class FA (1 Month LIBOR +0.35%) ± | 4.94 | 11-15-2048 | 837,935 | 815,625 | |
FHLMC Series 4906 Class WF (1 Month LIBOR +0.40%) ± | 3.81 | 12-15-2038 | 1,523,489 | 1,507,737 | |
FHLMC Series 4908 Class FA (1 Month LIBOR +0.44%) ± | 3.66 | 12-15-2042 | 1,499,839 | 1,484,111 | |
FHLMC Series 4915 Class FE (1 Month LIBOR +0.40%) ± | 3.83 | 2-15-2038 | 3,713,439 | 3,742,803 | |
FHLMC Series 4921 Class FN (1 Month LIBOR +0.45%) ± | 5.07 | 10-25-2049 | 884,464 | 865,068 | |
FHLMC Series 4925 Class FY (1 Month LIBOR +0.45%) ± | 5.07 | 10-25-2049 | 342,118 | 334,036 | |
FHLMC Series 4925 Class WF (1 Month LIBOR +0.40%) ± | 3.92 | 8-15-2038 | 3,360,446 | 3,346,496 | |
FHLMC Series 4927 Class FG (1 Month LIBOR +0.50%) ± | 5.12 | 11-25-2049 | 1,327,987 | 1,300,618 | |
FHLMC Series 4933 Class FA (1 Month LIBOR +0.50%) ± | 5.12 | 12-25-2049 | 951,099 | 931,951 | |
FHLMC Series 5062 Class FC (30 Day Average U.S. SOFR +0.20%) ± | 4.68 | 1-25-2051 | 1,290,518 | 1,230,276 | |
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 5.02 | 11-25-2028 | 194,029 | 193,590 | |
FHLMC Series T-16 Class A (1 Month LIBOR +0.35%) ± | 4.97 | 6-25-2029 | 780,977 | 762,642 | |
FHLMC Series T-20 Class A7 (1 Month LIBOR +0.30%) ± | 4.92 | 12-25-2029 | 1,872,028 | 1,843,728 | |
FHLMC Series T-21 Class A (1 Month LIBOR +0.36%) ± | 4.98 | 10-25-2029 | 582,107 | 581,288 | |
FHLMC Series T-24 Class A (1 Month LIBOR +0.30%) ± | 4.92 | 6-25-2030 | 196,760 | 195,168 | |
FHLMC Series T-27 Class A (1 Month LIBOR +0.30%) ± | 4.92 | 10-25-2030 | 721,852 | 717,672 | |
FHLMC Series T-30 Class A7 (1 Month LIBOR +0.24%) ± | 4.86 | 12-25-2030 | 574,556 | 554,473 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 4.90% | 9-25-2031 | $1,133,064 | $ 1,126,988 | |
FHLMC Series T-48 Class 2A ±± | 3.82 | 7-25-2033 | 1,007,178 | 933,281 | |
FHLMC Series T-54 Class 4A ±± | 3.93 | 2-25-2043 | 579,156 | 530,207 | |
FHLMC Series T-55 Class 1A1 | 6.50 | 3-25-2043 | 32,176 | 32,519 | |
FHLMC Series T-56 Class 3AF (1 Month LIBOR +1.00%) ± | 5.62 | 5-25-2043 | 783,338 | 778,103 | |
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 3.99 | 10-25-2044 | 1,462,318 | 1,380,884 | |
FHLMC Series T-63 Class 1A1 (12 Month Treasury Average +1.20%) ± | 3.42 | 2-25-2045 | 1,295,377 | 1,291,054 | |
FHLMC Series T-66 Class 2A1 ±± | 4.21 | 1-25-2036 | 851,988 | 829,300 | |
FHLMC Series T-67 Class 1A1C ±± | 3.68 | 3-25-2036 | 1,937,047 | 1,882,100 | |
FHLMC Series T-67 Class 2A1C ±± | 3.74 | 3-25-2036 | 1,989,973 | 1,944,507 | |
FNMA (Enterprise 11th District COFI Institutional Replacement +1.40%) ± | 2.17 | 4-1-2024 | 120,329 | 119,299 | |
FNMA (12 Month LIBOR +1.60%) ± | 2.23 | 8-1-2050 | 2,216,681 | 1,988,742 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.39 | 8-1-2050 | 2,731,312 | 2,448,407 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.40 | 10-1-2024 | 5,375 | 5,332 | |
FNMA (12 Month LIBOR +1.62%) ± | 2.53 | 4-1-2050 | 1,313,664 | 1,227,401 | |
FNMA (11th District COFI +1.92%) ± | 2.59 | 9-1-2030 | 118,411 | 115,994 | |
FNMA (11th District COFI +1.82%) ± | 2.60 | 5-1-2028 | 20,536 | 20,075 | |
FNMA (11th District COFI +1.08%) ± | 2.67 | 10-1-2034 | 4,896 | 4,872 | |
FNMA (11th District COFI +1.27%) ± | 2.86 | 3-1-2033 | 37,629 | 36,221 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.88 | 4-1-2034 | 147,985 | 144,711 | |
FNMA (12 Month LIBOR +1.65%) ± | 2.88 | 11-1-2038 | 82,839 | 81,830 | |
FNMA (3 Year Treasury Constant Maturity +2.15%) ± | 2.90 | 8-1-2031 | 21,275 | 20,720 | |
FNMA (12 Month LIBOR +1.75%) ± | 2.93 | 5-1-2035 | 295,169 | 291,623 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.01 | 5-1-2037 | 282,099 | 277,368 | |
FNMA (1 Year Treasury Constant Maturity +1.96%) ± | 3.08 | 3-1-2032 | 12,972 | 12,813 | |
FNMA (11th District COFI +1.26%) ± | 3.09 | 1-1-2035 | 132,447 | 128,217 | |
FNMA (11th District COFI +1.29%) ± | 3.09 | 9-1-2037 | 709,228 | 683,944 | |
FNMA (12 Month LIBOR +1.75%) ± | 3.10 | 4-1-2033 | 258,389 | 253,344 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.10 | 7-1-2035 | 37,003 | 36,361 | |
FNMA (11th District COFI +1.25%) ± | 3.11 | 11-1-2023 | 1,851 | 1,839 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 3.12 | 3-1-2031 | 15,622 | 15,411 | |
FNMA (11th District COFI +1.25%) ± | 3.13 | 11-1-2024 | 39 | 38 | |
FNMA (6 Month LIBOR +1.03%) ± | 3.15 | 2-1-2033 | 90,890 | 88,975 | |
FNMA (1 Year Treasury Constant Maturity +1.50%) ± | 3.16 | 8-1-2030 | 260,542 | 257,005 | |
FNMA (6 Month LIBOR +1.31%) ± | 3.18 | 10-1-2037 | 279,143 | 277,771 | |
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.19 | 9-1-2036 | 158,193 | 155,492 | |
FNMA (1 Year Treasury Constant Maturity +1.58%) ± | 3.24 | 3-1-2034 | 172,625 | 168,449 | |
FNMA (11th District COFI +1.26%) ± | 3.33 | 1-1-2038 | 7,597 | 7,473 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.34 | 6-1-2044 | 426,398 | 431,433 | |
FNMA (6 Month LIBOR +1.51%) ± | 3.35 | 11-1-2034 | 266,102 | 261,128 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.35 | 6-1-2035 | 173,583 | 172,760 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 3.37 | 6-1-2027 | 21,105 | 20,773 | |
FNMA (12 Month LIBOR +1.56%) ± | 3.40 | 1-1-2040 | 59,477 | 58,720 | |
FNMA (12 Month LIBOR +1.56%) ± | 3.40 | 6-1-2043 | 3,032,011 | 3,048,552 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.43 | 7-1-2028 | 43 | 42 | |
FNMA (12 Month LIBOR +1.60%) ± | 3.44 | 3-1-2046 | 689,097 | 689,019 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 3.45 | 8-1-2026 | 10,716 | 10,569 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 3.47 | 6-1-2027 | 26,799 | 26,439 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.48 | 7-1-2029 | 121,645 | 117,464 | |
FNMA (6 Month LIBOR +1.74%) ± | 3.49 | 10-1-2024 | 11,257 | 11,084 | |
FNMA (1 Year Treasury Constant Maturity +2.12%) ± | 3.49 | 8-1-2026 | 7,800 | 7,675 | |
FNMA (5 Year Treasury Constant Maturity +1.90%) ± | 3.49 | 9-1-2031 | 90,831 | 88,153 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (6 Month LIBOR +1.16%) ± | 3.50% | 8-1-2033 | $ 2,585 | $ 2,531 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.50 | 9-1-2044 | 657,303 | 664,768 | |
FNMA (1 Year Treasury Constant Maturity +1.76%) ± | 3.51 | 8-1-2032 | 27,791 | 27,416 | |
FNMA (1 Year Treasury Constant Maturity +2.11%) ± | 3.51 | 7-1-2035 | 77,626 | 76,759 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 3.52 | 9-1-2030 | 215,868 | 206,732 | |
FNMA (1 Year Treasury Constant Maturity +1.52%) ± | 3.52 | 8-1-2033 | 361,902 | 357,116 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 3.55 | 4-1-2028 | 50,344 | 49,265 | |
FNMA (12 Month LIBOR +1.72%) ± | 3.55 | 4-1-2034 | 233,850 | 236,065 | |
FNMA (Federal COFI +2.45%) ± | 3.56 | 2-1-2029 | 233,392 | 231,655 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 3.57 | 9-1-2030 | 217,456 | 209,264 | |
FNMA (11th District COFI +1.25%) ± | 3.61 | 4-1-2034 | 165,733 | 161,259 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 3.61 | 7-1-2037 | 73,566 | 72,940 | |
FNMA (12 Month LIBOR +1.74%) ± | 3.62 | 6-1-2036 | 47,008 | 47,852 | |
FNMA (1 Year Treasury Constant Maturity +2.58%) ± | 3.63 | 8-1-2035 | 152,111 | 148,412 | |
FNMA (12 Month Treasury Average +2.48%) ± | 3.63 | 6-1-2040 | 397,357 | 390,373 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 3.64 | 3-1-2030 | 3,103 | 3,048 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.65 | 6-1-2035 | 46,398 | 45,824 | |
FNMA (1 Year Treasury Constant Maturity +2.41%) ± | 3.67 | 5-1-2027 | 21,822 | 21,427 | |
FNMA (1 Year Treasury Constant Maturity +1.88%) ± | 3.67 | 8-1-2031 | 29,634 | 29,266 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.68 | 10-1-2034 | 490,042 | 498,301 | |
FNMA (12 Month LIBOR +1.93%) ± | 3.68 | 5-1-2037 | 506,559 | 501,218 | |
FNMA (12 Month LIBOR +1.75%) ± | 3.69 | 7-1-2035 | 204,840 | 207,298 | |
FNMA (1 Year Treasury Constant Maturity +2.44%) ± | 3.69 | 7-1-2037 | 680,955 | 685,670 | |
FNMA (12 Month LIBOR +1.75%) ± | 3.69 | 9-1-2042 | 143,649 | 145,516 | |
FNMA (1 Year Treasury Constant Maturity +1.66%) ± | 3.69 | 7-1-2048 | 387,377 | 388,649 | |
FNMA (11th District COFI +1.86%) ± | 3.71 | 10-1-2027 | 76,774 | 76,025 | |
FNMA (6 Month LIBOR +1.96%) ± | 3.73 | 10-1-2024 | 1,869 | 1,854 | |
FNMA (1 Year Treasury Constant Maturity +2.03%) ± | 3.73 | 12-1-2032 | 162,555 | 159,741 | |
FNMA (11th District COFI +1.66%) ± | 3.73 | 1-1-2036 | 103,846 | 101,113 | |
FNMA (11th District COFI +1.70%) ± | 3.76 | 4-1-2030 | 317 | 311 | |
FNMA (11th District COFI +1.90%) ± | 3.76 | 3-1-2033 | 117,794 | 115,316 | |
FNMA (1 Year Treasury Constant Maturity +2.70%) ± | 3.76 | 5-1-2035 | 462,701 | 456,783 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.76 | 12-1-2040 | 3,096,037 | 3,143,042 | |
FNMA (12 Month LIBOR +1.68%) ± | 3.76 | 6-1-2041 | 730,777 | 738,901 | |
FNMA (12 Month LIBOR +1.72%) ± | 3.77 | 6-1-2035 | 42,799 | 43,667 | |
FNMA (12 Month LIBOR +1.53%) ± | 3.78 | 9-1-2035 | 289,427 | 292,770 | |
FNMA (12 Month LIBOR +1.54%) ± | 3.79 | 9-1-2036 | 176,753 | 174,584 | |
FNMA (12 Month LIBOR +1.67%) ± | 3.80 | 7-1-2035 | 313,910 | 319,996 | |
FNMA (1 Year Treasury Constant Maturity +1.70%) ± | 3.82 | 2-1-2033 | 168,892 | 165,841 | |
FNMA (12 Month LIBOR +1.57%) ± | 3.82 | 11-1-2044 | 64,680 | 64,123 | |
FNMA (1 Year Treasury Constant Maturity +2.07%) ± | 3.85 | 12-1-2033 | 151,086 | 148,656 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.85 | 9-1-2035 | 814,830 | 828,944 | |
FNMA (12 Month LIBOR +1.60%) ± | 3.85 | 9-1-2037 | 342,144 | 338,432 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 3.85 | 4-1-2038 | 244,055 | 240,777 | |
FNMA (6 Month LIBOR +1.74%) ± | 3.87 | 12-1-2024 | 11,804 | 11,637 | |
FNMA (12 Month LIBOR +1.90%) ± | 3.87 | 5-1-2038 | 246,391 | 252,996 | |
FNMA (1 Year Treasury Constant Maturity +2.35%) ± | 3.88 | 9-1-2037 | 30,027 | 29,545 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 3.89 | 5-1-2034 | 96,681 | 95,145 | |
FNMA (11th District COFI +1.83%) ± | 3.89 | 6-1-2034 | 33,566 | 33,113 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 3.90 | 6-1-2037 | 571,276 | 578,815 | |
FNMA (11th District COFI +1.85%) ± | 3.92 | 1-1-2036 | 8,453 | 8,247 | |
FNMA (12 Month LIBOR +1.72%) ± | 3.92 | 7-1-2043 | 1,063,607 | 1,078,309 | |
FNMA (12 Month LIBOR +1.77%) ± | 3.92 | 7-1-2044 | 1,421,952 | 1,451,569 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.94 | 1-1-2027 | 21,365 | 21,227 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.94 | 1-1-2037 | 307,539 | 304,869 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.10%) ± | 3.95% | 4-1-2040 | $ 58,490 | $ 59,184 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.97 | 7-1-2035 | 29,001 | 28,882 | |
FNMA (12 Month Treasury Average +1.18%) ± | 3.97 | 10-1-2044 | 185,088 | 178,938 | |
FNMA (U.S. Treasury H15 Treasury Bill 6 Month Auction High Discount +2.23%) ± | 3.98 | 7-1-2025 | 8 | 8 | |
FNMA (1 Year Treasury Constant Maturity +2.17%) ± | 3.98 | 9-1-2030 | 18,804 | 18,582 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 3.98 | 1-1-2036 | 149,756 | 148,126 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.98 | 7-1-2038 | 1,422,300 | 1,450,048 | |
FNMA (12 Month LIBOR +1.59%) ± | 3.98 | 8-1-2045 | 247,565 | 251,698 | |
FNMA (12 Month LIBOR +1.78%) ± | 3.99 | 1-1-2042 | 1,063,055 | 1,082,698 | |
FNMA (12 Month LIBOR +1.56%) ± | 3.99 | 2-1-2044 | 35,862 | 35,869 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 4.00 | 12-1-2030 | 181,354 | 178,967 | |
FNMA (12 Month LIBOR +1.75%) ± | 4.00 | 1-1-2035 | 159,101 | 158,040 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 4.00 | 7-1-2037 | 102,127 | 104,176 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 4.00 | 12-1-2040 | 1,391,600 | 1,414,272 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 4.01 | 8-1-2035 | 205,953 | 206,158 | |
FNMA (12 Month Treasury Average +1.21%) ± | 4.01 | 4-1-2042 | 543,482 | 517,808 | |
FNMA (1 Year Treasury Constant Maturity +2.16%) ± | 4.03 | 5-1-2034 | 246,232 | 240,255 | |
FNMA (1 Year Treasury Constant Maturity +1.93%) ± | 4.03 | 7-1-2038 | 389,980 | 384,072 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 4.04 | 4-1-2024 | 382 | 380 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 4.04 | 7-1-2030 | 91,481 | 90,102 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 4.04 | 11-1-2038 | 1,555,535 | 1,584,684 | |
FNMA (6 Month LIBOR +1.93%) ± | 4.05 | 6-1-2032 | 50,602 | 49,909 | |
FNMA (6 Month LIBOR +2.31%) ± | 4.06 | 4-1-2033 | 144,838 | 141,764 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 4.06 | 12-1-2040 | 1,169,901 | 1,188,791 | |
FNMA (12 Month LIBOR +1.82%) ± | 4.07 | 12-1-2046 | 59,026 | 57,840 | |
FNMA (12 Month LIBOR +1.83%) ± | 4.08 | 1-1-2033 | 50,963 | 50,122 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 4.09 | 7-1-2028 | 26,210 | 25,850 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.11 | 1-1-2033 | 235,164 | 233,624 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 4.11 | 9-1-2033 | 121,515 | 119,530 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 4.11 | 10-1-2036 | 218,193 | 222,191 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 4.12 | 5-1-2036 | 764,161 | 766,619 | |
FNMA (6 Month LIBOR +2.50%) ± | 4.13 | 4-1-2033 | 131,411 | 128,389 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 4.15 | 5-1-2033 | 185,885 | 182,861 | |
FNMA (12 Month LIBOR +1.90%) ± | 4.15 | 10-1-2034 | 220,332 | 217,599 | |
FNMA (11th District COFI +1.93%) ± | 4.15 | 12-1-2036 | 12,962 | 12,874 | |
FNMA (1 Year Treasury Constant Maturity +2.15%) ± | 4.16 | 2-1-2033 | 35,300 | 34,912 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 4.16 | 7-1-2035 | 174,135 | 176,152 | |
FNMA (6 Month LIBOR +1.42%) ± | 4.17 | 12-1-2031 | 102,581 | 102,832 | |
FNMA (12 Month Treasury Average +1.40%) ± | 4.19 | 12-1-2030 | 18,548 | 17,903 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.19 | 8-1-2033 | 203,905 | 201,224 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 4.22 | 10-1-2029 | 177,551 | 174,759 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 4.22 | 9-1-2035 | 411,838 | 419,755 | |
FNMA (6 Month LIBOR +1.98%) ± | 4.23 | 9-1-2033 | 42,216 | 41,220 | |
FNMA (1 Year Treasury Constant Maturity +2.13%) ± | 4.25 | 10-1-2025 | 10,514 | 10,362 | |
FNMA (Federal COFI +2.00%) ± | 4.25 | 8-1-2029 | 18,695 | 18,607 | |
FNMA (12 Month LIBOR +2.00%) ± | 4.25 | 9-1-2035 | 160,922 | 164,992 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 4.28 | 9-1-2026 | 9,654 | 9,520 | |
FNMA (6 Month LIBOR +1.96%) ± | 4.28 | 1-1-2033 | 45,973 | 45,019 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 4.29 | 12-1-2030 | 14,206 | 14,041 | |
FNMA (1 Year Treasury Constant Maturity +2.17%) ± | 4.29 | 12-1-2039 | 84,840 | 83,616 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 4.30 | 12-1-2024 | 7,592 | 7,500 | |
FNMA (1 Year Treasury Constant Maturity +2.30%) ± | 4.30 | 1-1-2026 | 32,775 | 32,326 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 4.32 | 5-1-2033 | 40,425 | 39,708 | |
FNMA (1 Year Treasury Constant Maturity +2.33%) ± | 4.35 | 11-1-2024 | 11,926 | 11,808 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 4.35% | 8-1-2031 | $ 74,263 | $ 72,388 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 4.35 | 10-1-2034 | 89,699 | 88,062 | |
FNMA (1 Year Treasury Constant Maturity +2.38%) ± | 4.38 | 7-1-2027 | 38,457 | 37,986 | |
FNMA (1 Year Treasury Constant Maturity +2.18%) ± | 4.39 | 1-1-2036 | 205,236 | 204,529 | |
FNMA (1 Year Treasury Constant Maturity +2.28%) ± | 4.40 | 7-1-2024 | 1,746 | 1,730 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 4.40 | 11-1-2034 | 125,283 | 128,004 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 4.41 | 12-1-2034 | 216,467 | 214,802 | |
FNMA (1 Year Treasury Constant Maturity +2.32%) ± | 4.44 | 5-1-2025 | 8,524 | 8,419 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.44 | 3-1-2035 | 175,250 | 170,959 | |
FNMA (5 Year Treasury Constant Maturity +2.42%) ± | 4.45 | 6-1-2028 | 10,944 | 11,032 | |
FNMA (1 Year Treasury Constant Maturity +2.29%) ± | 4.45 | 1-1-2031 | 98,646 | 96,837 | |
FNMA (1 Year Treasury Constant Maturity +2.47%) ± | 4.47 | 9-1-2028 | 23,487 | 23,172 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 4.50 | 3-1-2027 | 9,634 | 9,511 | |
FNMA (1 Year Treasury Constant Maturity +2.37%) ± | 4.50 | 7-1-2027 | 9,578 | 9,407 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 4.53 | 6-1-2024 | 7,078 | 7,014 | |
FNMA (1 Year Treasury Constant Maturity +2.54%) ± | 4.53 | 7-1-2028 | 93,648 | 92,149 | |
FNMA (1 Year Treasury Constant Maturity +2.40%) ± | 4.53 | 9-1-2033 | 256,263 | 252,777 | |
FNMA (6 Month LIBOR +2.25%) ± | 4.54 | 3-1-2034 | 367,280 | 362,814 | |
FNMA (6 Month LIBOR +1.18%) ± | 4.55 | 8-1-2033 | 37,684 | 37,679 | |
FNMA (12 Month Treasury Average +1.73%) ± | 4.55 | 6-1-2035 | 197,522 | 194,246 | |
FNMA (12 Month Treasury Average +1.74%) ± | 4.58 | 10-1-2035 | 265,316 | 258,385 | |
FNMA (12 Month Treasury Average +1.80%) ± | 4.60 | 11-1-2035 | 35,215 | 34,380 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 4.61 | 5-1-2035 | 291,492 | 292,893 | |
FNMA (1 Year Treasury Constant Maturity +1.63%) ± | 4.63 | 11-1-2029 | 4,532 | 4,440 | |
FNMA (1 Year Treasury Constant Maturity +2.50%) ± | 4.63 | 6-1-2032 | 63,895 | 62,464 | |
FNMA (1 Year Treasury Constant Maturity +2.52%) ± | 4.64 | 11-1-2024 | 6,765 | 6,682 | |
FNMA (12 Month Treasury Average +1.85%) ± | 4.65 | 11-1-2035 | 250,900 | 244,053 | |
FNMA (1 Year Treasury Constant Maturity +2.89%) ± | 4.70 | 9-1-2030 | 82,302 | 81,199 | |
FNMA (12 Month Treasury Average +1.85%) ± | 4.70 | 7-1-2035 | 279,342 | 272,656 | |
FNMA (1 Year Treasury Constant Maturity +2.60%) ± | 4.72 | 10-1-2025 | 2,881 | 2,842 | |
FNMA (12 Month Treasury Average +1.91%) ± | 4.72 | 7-1-2035 | 162,104 | 158,306 | |
FNMA (6 Month LIBOR +2.48%) ± | 4.73 | 7-1-2033 | 24,814 | 24,311 | |
FNMA (12 Month Treasury Average +1.94%) ± | 4.73 | 11-1-2035 | 11,830 | 11,623 | |
FNMA (1 Year Treasury Constant Maturity +2.49%) ± | 4.74 | 4-1-2038 | 145,589 | 141,718 | |
FNMA (12 Month Treasury Average +1.96%) ± | 4.75 | 11-1-2035 | 256,735 | 249,900 | |
FNMA (6 Month LIBOR +2.66%) ± | 4.79 | 4-1-2024 | 13,602 | 13,448 | |
FNMA (1 Year Treasury Constant Maturity +3.02%) ± | 4.79 | 1-1-2029 | 25,120 | 24,715 | |
FNMA (6 Month LIBOR +2.37%) ± | 4.80 | 5-1-2033 | 438,858 | 432,696 | |
FNMA (12 Month Treasury Average +2.07%) ± | 4.82 | 1-1-2035 | 214,320 | 210,595 | |
FNMA (1 Year Treasury Constant Maturity +2.64%) ± | 4.83 | 10-1-2028 | 29,618 | 29,017 | |
FNMA (12 Month Treasury Average +2.05%) ± | 4.84 | 10-1-2035 | 117,457 | 115,473 | |
FNMA (12 Month Treasury Average +2.11%) ± | 4.91 | 8-1-2035 | 100,236 | 98,831 | |
FNMA (6 Month LIBOR +1.55%) ± | 5.00 | 3-1-2034 | 77,860 | 77,914 | |
FNMA (6 Month LIBOR +3.36%) ± | 5.07 | 12-1-2032 | 79,237 | 77,553 | |
FNMA (12 Month Treasury Average +2.36%) ± | 5.15 | 8-1-2040 | 270,341 | 267,505 | |
FNMA (11th District COFI +1.90%) ± | 5.25 | 5-1-2034 | 41,013 | 41,266 | |
FNMA (6 Month LIBOR +1.55%) ± | 5.37 | 6-1-2037 | 415,804 | 422,589 | |
FNMA (12 Month LIBOR +1.64%) ± | 5.37 | 9-1-2042 | 114,561 | 115,776 | |
FNMA (6 Month LIBOR +1.53%) ± | 5.46 | 1-1-2035 | 379,614 | 383,435 | |
FNMA (1 Month LIBOR +1.17%) ± | 5.55 | 5-1-2029 | 27,550 | 27,765 | |
FNMA (6 Month LIBOR +3.57%) ± | 5.57 | 11-1-2031 | 664 | 653 | |
FNMA | 6.50 | 8-1-2028 | 21,588 | 21,538 | |
FNMA | 6.50 | 5-1-2031 | 21,429 | 21,969 | |
FNMA (6 Month LIBOR +1.38%) ± | 6.50 | 8-1-2031 | 90,435 | 90,579 | |
FNMA (6 Month LIBOR +1.38%) ± | 6.50 | 12-1-2031 | 13,257 | 13,227 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (6 Month LIBOR +1.37%) ± | 6.62% | 1-1-2032 | $ 102,943 | $ 103,060 | |
FNMA (12 Month LIBOR +1.59%) ± | 6.80 | 2-1-2043 | 334,281 | 341,214 | |
FNMA | 7.06 | 12-1-2024 | 7,321 | 7,302 | |
FNMA | 7.06 | 1-1-2027 | 8,861 | 8,833 | |
FNMA | 7.50 | 1-1-2031 | 15,126 | 15,131 | |
FNMA | 7.50 | 1-1-2033 | 37,573 | 37,588 | |
FNMA | 7.50 | 5-1-2033 | 37,546 | 37,559 | |
FNMA | 7.50 | 5-1-2033 | 40,870 | 40,994 | |
FNMA | 7.50 | 7-1-2033 | 18,518 | 18,490 | |
FNMA | 7.50 | 8-1-2033 | 37,442 | 37,418 | |
FNMA | 8.00 | 12-1-2026 | 16,145 | 16,168 | |
FNMA | 8.00 | 3-1-2030 | 52 | 51 | |
FNMA | 8.00 | 5-1-2033 | 30,559 | 30,491 | |
FNMA | 8.50 | 8-15-2024 | 1,325 | 1,325 | |
FNMA Series 1993-113 Class FA (10 Year Treasury Constant Maturity -0.65%) ± | 3.15 | 7-25-2023 | 1,004 | 1,004 | |
FNMA Series 1993-247 Class FM (12 Month LIBOR +1.20%) ± | 6.64 | 12-25-2023 | 13,796 | 13,787 | |
FNMA Series 1994-14 Class F (12 Month LIBOR +1.60%) ± | 7.04 | 10-25-2023 | 6,717 | 6,718 | |
FNMA Series 2001-50 Class BA | 7.00 | 10-25-2041 | 55,212 | 56,400 | |
FNMA Series 2001-63 Class FD (1 Month LIBOR +0.60%) ± | 5.20 | 12-18-2031 | 40,886 | 41,047 | |
FNMA Series 2001-81 Class F (1 Month LIBOR +0.55%) ± | 5.17 | 1-25-2032 | 19,930 | 19,924 | |
FNMA Series 2001-T08 Class A1 | 7.50 | 7-25-2041 | 57,817 | 57,731 | |
FNMA Series 2001-T10 Class A2 | 7.50 | 12-25-2041 | 955,808 | 971,643 | |
FNMA Series 2001-T12 Class A2 | 7.50 | 8-25-2041 | 73,547 | 75,281 | |
FNMA Series 2001-T12 Class A4 ±± | 4.28 | 8-25-2041 | 1,729,205 | 1,727,479 | |
FNMA Series 2001-W01 Class AV1 (1 Month LIBOR +0.12%) ± | 4.75 | 8-25-2031 | 16,826 | 16,025 | |
FNMA Series 2001-W03 Class A ±± | 7.00 | 9-25-2041 | 212,194 | 206,686 | |
FNMA Series 2002-05 Class FD (1 Month LIBOR +0.90%) ± | 5.52 | 2-25-2032 | 32,291 | 32,527 | |
FNMA Series 2002-59 Class F (1 Month LIBOR +0.40%) ± | 5.02 | 9-25-2032 | 84,541 | 84,371 | |
FNMA Series 2002-66 Class A3 ±± | 3.97 | 4-25-2042 | 3,766,715 | 3,689,580 | |
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 781,105 | 820,352 | |
FNMA Series 2002-T12 Class A5 ±± | 4.60 | 10-25-2041 | 862,211 | 808,750 | |
FNMA Series 2002-T18 Class A5 ±± | 4.38 | 5-25-2042 | 1,770,955 | 1,656,466 | |
FNMA Series 2002-T19 Class A4 ±± | 4.51 | 3-25-2042 | 98,504 | 95,032 | |
FNMA Series 2002-W01 Class 3A ±± | 3.55 | 4-25-2042 | 438,573 | 406,247 | |
FNMA Series 2002-W04 Class A6 ±± | 3.86 | 5-25-2042 | 779,750 | 745,705 | |
FNMA Series 2003-07 Class A2 ±± | 4.00 | 5-25-2042 | 300,820 | 296,968 | |
FNMA Series 2003-63 Class A8 ±± | 3.68 | 1-25-2043 | 561,266 | 546,316 | |
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.28%) ± | 4.35 | 3-25-2033 | 715,282 | 707,367 | |
FNMA Series 2003-W02 Class 1A3 | 7.50 | 7-25-2042 | 194,770 | 205,100 | |
FNMA Series 2003-W04 Class 5A ±± | 3.73 | 10-25-2042 | 432,975 | 389,230 | |
FNMA Series 2003-W08 Class 4A ±± | 4.02 | 11-25-2042 | 605,144 | 561,126 | |
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 4.75 | 6-25-2033 | 901,351 | 870,752 | |
FNMA Series 2003-W10 Class 2A ±± | 3.51 | 6-25-2043 | 1,162,434 | 1,054,872 | |
FNMA Series 2003-W18 Class 2A ±± | 3.89 | 6-25-2043 | 1,449,061 | 1,364,944 | |
FNMA Series 2003-W6 Class 6A ±± | 3.74 | 8-25-2042 | 503,039 | 481,522 | |
FNMA Series 2004-17 Class FT (1 Month LIBOR +0.40%) ± | 5.02 | 4-25-2034 | 415,556 | 414,263 | |
FNMA Series 2004-T03 Class 1A3 | 7.00 | 2-25-2044 | 235,457 | 244,887 | |
FNMA Series 2004-T03 Class 2A ±± | 3.90 | 8-25-2043 | 604,341 | 591,457 | |
FNMA Series 2004-T1 Class 2A ±± | 3.40 | 8-25-2043 | 731,897 | 671,973 | |
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 121,762 | 127,182 | |
FNMA Series 2004-W01 Class 3A ±± | 4.16 | 1-25-2043 | 33,105 | 31,128 | |
FNMA Series 2004-W02 Class 5A | 7.50 | 3-25-2044 | 39,316 | 40,959 | |
FNMA Series 2004-W12 Class 2A ±± | 3.88 | 6-25-2044 | 1,835,708 | 1,710,751 | |
FNMA Series 2004-W15 Class 3A ±± | 3.82 | 6-25-2044 | 2,559,111 | 2,412,963 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2005-25 Class PF (1 Month LIBOR +0.35%) ± | 4.97% | 4-25-2035 | $ 547,058 | $ 540,370 | |
FNMA Series 2005-W03 Class 3A ±± | 3.73 | 4-25-2045 | 472,668 | 452,885 | |
FNMA Series 2006-112 Class LF (1 Month LIBOR +0.55%) ± | 5.17 | 11-25-2036 | 902,784 | 894,721 | |
FNMA Series 2006-16 Class FA (1 Month LIBOR +0.30%) ± | 4.92 | 3-25-2036 | 367,626 | 363,838 | |
FNMA Series 2006-44 Class FY (1 Month LIBOR +0.57%) ± | 5.19 | 6-25-2036 | 692,325 | 692,363 | |
FNMA Series 2006-5 Class 1-A ±± | 3.19 | 8-25-2034 | 1,853,092 | 1,873,760 | |
FNMA Series 2006-50 Class FE (1 Month LIBOR +0.40%) ± | 5.02 | 6-25-2036 | 1,171,146 | 1,164,429 | |
FNMA Series 2006-W01 Class 3A ±± | 3.26 | 10-25-2045 | 1,649,809 | 1,608,037 | |
FNMA Series 2007-109 Class PF (1 Month LIBOR +0.65%) ± | 5.27 | 12-25-2037 | 319,169 | 319,440 | |
FNMA Series 2007-4 Class DF (1 Month LIBOR +0.45%) ± | 5.06 | 2-25-2037 | 535,682 | 521,435 | |
FNMA Series 2007-86 Class FA (1 Month LIBOR +0.45%) ± | 5.07 | 9-25-2037 | 945,033 | 940,658 | |
FNMA Series 2007-95 Class A2 (1 Month LIBOR +0.25%) ± | 4.25 | 8-27-2036 | 95,469 | 92,564 | |
FNMA Series 2008-67 Class FG (1 Month LIBOR +1.00%) ± | 5.62 | 7-25-2038 | 498,343 | 508,190 | |
FNMA Series 2009-106 Class FA (1 Month LIBOR +0.75%) ± | 5.37 | 1-25-2040 | 776,781 | 782,369 | |
FNMA Series 2009-11 Class FU (1 Month LIBOR +1.00%) ± | 5.62 | 3-25-2049 | 156,273 | 156,993 | |
FNMA Series 2010-27 Class BF (1 Month LIBOR +0.55%) ± | 5.17 | 4-25-2040 | 1,559,615 | 1,556,453 | |
FNMA Series 2010-54 Class AF (1 Month LIBOR +0.56%) ± | 5.18 | 4-25-2037 | 213,381 | 213,112 | |
FNMA Series 2010-54 Class FT (1 Month LIBOR +0.76%) ± | 5.38 | 4-25-2037 | 3,189,457 | 3,225,055 | |
FNMA Series 2010-8 Class FE (1 Month LIBOR +0.79%) ± | 5.41 | 2-25-2040 | 2,543,500 | 2,567,276 | |
FNMA Series 2011-21 Class PF (1 Month LIBOR +0.35%) ± | 4.97 | 12-25-2041 | 196,095 | 193,182 | |
FNMA Series 2011-71 Class FA (1 Month LIBOR +0.62%) ± | 5.24 | 12-25-2036 | 1,504,671 | 1,507,222 | |
FNMA Series 2012-122 Class FM (1 Month LIBOR +0.40%) ± | 5.02 | 11-25-2042 | 898,516 | 879,982 | |
FNMA Series 2012-17 Class EF (1 Month LIBOR +0.45%) ± | 5.07 | 3-25-2041 | 1,162,022 | 1,161,481 | |
FNMA Series 2012-47 Class FW (1 Month LIBOR +1.70%) ± | 6.32 | 5-25-2027 | 80,156 | 81,733 | |
FNMA Series 2013-130 Class CF (1 Month LIBOR +0.25%) ± | 4.87 | 6-25-2043 | 301,989 | 298,933 | |
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 3.92 | 3-25-2043 | 2,788,388 | 2,744,148 | |
FNMA Series 2014-10 Class CF (1 Month LIBOR +0.30%) ± | 3.98 | 3-25-2044 | 582,833 | 570,664 | |
FNMA Series 2014-49 Class AF (1 Month LIBOR +0.32%) ± | 3.67 | 8-25-2044 | 113,095 | 111,264 | |
FNMA Series 2015-38 Class DF (1 Month LIBOR +0.31%) ± | 3.83 | 6-25-2055 | 1,443,867 | 1,428,468 | |
FNMA Series 2015-4 Class FA (1 Month LIBOR +0.35%) ± | 3.81 | 2-25-2045 | 881,292 | 868,137 | |
FNMA Series 2016-40 Class AF (1 Month LIBOR +0.45%) ± | 3.71 | 7-25-2046 | 4,181,243 | 4,121,774 | |
FNMA Series 2016-58 Class FA (1 Month LIBOR +0.48%) ± | 3.91 | 8-25-2046 | 414,467 | 404,689 | |
FNMA Series 2016-62 Class AF (1 Month LIBOR +0.45%) ± | 3.66 | 9-25-2046 | 536,439 | 532,174 | |
FNMA Series 2016-64 Class KF (1 Month LIBOR +0.47%) ± | 3.82 | 9-25-2046 | 1,083,719 | 1,072,476 | |
FNMA Series 2016-76 Class CF (1 Month LIBOR +0.45%) ± | 3.89 | 10-25-2046 | 649,781 | 640,966 | |
FNMA Series 2016-82 Class FM (1 Month LIBOR +0.40%) ± | 3.82 | 11-25-2046 | 1,314,229 | 1,294,090 | |
FNMA Series 2016-87 Class AF (1 Month LIBOR +0.40%) ± | 3.61 | 11-25-2046 | 286,198 | 281,046 | |
FNMA Series 2017-45 Class FA (1 Month LIBOR +0.32%) ± | 3.75 | 6-25-2047 | 3,366,480 | 3,309,051 | |
FNMA Series 2017-M9 Class F (1 Month LIBOR +0.48%) ± | 5.10 | 5-25-2029 | 4,593,248 | 4,513,453 | |
FNMA Series 2018-39 Class WF (1 Month LIBOR +0.30%) ± | 3.60 | 6-25-2048 | 3,047,917 | 3,005,877 | |
FNMA Series 2018-47 Class PC | 3.50 | 9-25-2047 | 160,052 | 150,658 | |
FNMA Series 2019-25 Class FA (1 Month LIBOR +0.45%) ± | 5.07 | 6-25-2049 | 263,261 | 257,798 | |
FNMA Series 2019-38 Class AF (1 Month LIBOR +0.40%) ± | 3.79 | 7-25-2049 | 3,454,267 | 3,460,113 | |
FNMA Series 2019-41 Class F (1 Month LIBOR +0.50%) ± | 5.12 | 8-25-2059 | 2,317,658 | 2,279,995 | |
FNMA Series 2019-42 Class MF (1 Month LIBOR +0.40%) ± | 3.75 | 8-25-2059 | 1,812,176 | 1,773,043 | |
FNMA Series 2019-5 Class FE (1 Month LIBOR +0.45%) ± | 5.07 | 3-25-2049 | 373,481 | 365,669 | |
FNMA Series 2019-53 Class FA (1 Month LIBOR +0.40%) ± | 3.61 | 9-25-2049 | 1,416,186 | 1,387,381 | |
FNMA Series 2020-10 Class Q | 3.00 | 3-25-2050 | 2,714,434 | 2,418,211 | |
FNMA Series 2020-29 Class FA (1 Month LIBOR +0.65%) ± | 3.68 | 5-25-2050 | 935,260 | 927,957 | |
FNMA Series 2021-85 Class EF (30 Day Average U.S. SOFR +0.18%) ± | 4.23 | 12-25-2051 | 3,547,588 | 3,657,829 | |
GNMA (1 Year Treasury Constant Maturity +1.50%) ± | 2.63 | 1-20-2034 | 812,960 | 795,833 | |
GNMA (1 Year Treasury Constant Maturity +2.00%) ± | 3.13 | 1-20-2041 | 22,595 | 22,496 | |
GNMA (1 Year Treasury Constant Maturity +2.00%) ± | 3.38 | 4-20-2041 | 26,082 | 25,877 | |
GNMA (1 Month LIBOR +0.62%) ± | 5.01 | 5-20-2058 | 127,283 | 127,358 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
GNMA (1 Year Treasury Constant Maturity +1.40%) ± | 6.04% | 6-20-2058 | $ 26,005 | $ 26,104 | |
GNMA | 6.45 | 4-20-2025 | 11,369 | 11,461 | |
GNMA | 6.45 | 9-20-2025 | 14,355 | 15,017 | |
GNMA | 6.50 | 8-20-2034 | 114,585 | 111,723 | |
GNMA | 9.00 | 9-20-2024 | 244 | 244 | |
GNMA | 9.00 | 11-20-2024 | 28 | 28 | |
GNMA | 9.00 | 1-20-2025 | 325 | 325 | |
GNMA | 9.00 | 2-20-2025 | 1,442 | 1,445 | |
GNMA Series 2004-80 Class FA (1 Month LIBOR +0.40%) ± | 5.00 | 10-20-2034 | 361,465 | 360,982 | |
GNMA Series 2006-16 Class DF (1 Month LIBOR +0.11%) ± | 4.71 | 4-20-2036 | 1,826,508 | 1,810,865 | |
GNMA Series 2008-65 Class FG (1 Month LIBOR +0.75%) ± | 5.35 | 8-20-2038 | 628,791 | 633,361 | |
GNMA Series 2008-68 Class FA (1 Month LIBOR +0.95%) ± | 5.55 | 8-20-2038 | 775,537 | 785,018 | |
GNMA Series 2009-12 Class FA (1 Month LIBOR +0.95%) ± | 5.55 | 3-20-2039 | 1,000,093 | 1,010,224 | |
GNMA Series 2009-15 Class FL (1 Month LIBOR +0.95%) ± | 5.55 | 3-20-2039 | 1,000,093 | 1,008,809 | |
GNMA Series 2009-29 Class FL (1 Month LIBOR +0.65%) ± | 5.24 | 5-16-2039 | 1,074,214 | 1,079,732 | |
GNMA Series 2009-36 Class FE (1 Month LIBOR +0.80%) ± | 5.40 | 9-20-2038 | 1,009,353 | 1,017,138 | |
GNMA Series 2009-50 Class FW (1 Month LIBOR +1.00%) ± | 5.60 | 7-20-2039 | 757,311 | 768,796 | |
GNMA Series 2009-52 Class FD (1 Month LIBOR +0.95%) ± | 5.54 | 7-16-2039 | 376,870 | 381,286 | |
GNMA Series 2010-25 Class FH (1 Month LIBOR +0.72%) ± | 5.31 | 2-16-2040 | 527,126 | 528,598 | |
GNMA Series 2010-79 Class YF (1 Month LIBOR +0.35%) ± | 4.95 | 5-20-2035 | 1,747,207 | 1,735,662 | |
GNMA Series 2011-117 Class FJ (1 Month LIBOR +0.87%) ± | 5.47 | 8-20-2041 | 976,661 | 990,756 | |
GNMA Series 2011-H12 Class FA (1 Month LIBOR +0.49%) ± | 4.88 | 2-20-2061 | 402,299 | 400,595 | |
GNMA Series 2011-H17 Class FA (1 Month LIBOR +0.53%) ± | 4.92 | 6-20-2061 | 344,363 | 343,214 | |
GNMA Series 2012-124 Class GF (1 Month LIBOR +0.25%) ± | 4.85 | 10-20-2042 | 1,090,679 | 1,076,130 | |
GNMA Series 2014-44 Class IA ♀ | 3.50 | 5-20-2028 | 1,711,144 | 70,518 | |
GNMA Series 2014-H16 Class FL (1 Month LIBOR +0.47%) ± | 4.65 | 7-20-2064 | 713,281 | 704,137 | |
GNMA Series 2014-H22 Class FC (1 Month LIBOR +0.48%) ± | 4.87 | 11-20-2064 | 1,478,511 | 1,470,503 | |
GNMA Series 2015-H23 Class TA (1 Month LIBOR +0.47%) ± | 4.86 | 9-20-2065 | 1,437,464 | 1,428,686 | |
GNMA Series 2016-H24 Class FD (12 Month LIBOR +0.30%) ± | 4.43 | 11-20-2066 | 349,140 | 345,583 | |
GNMA Series 2017-130 Class FH (1 Month LIBOR +0.30%) ± | 4.90 | 8-20-2047 | 1,673,500 | 1,631,487 | |
GNMA Series 2017-H11 Class FE (12 Month LIBOR +0.18%) ± | 2.35 | 5-20-2067 | 2,663,452 | 2,625,333 | |
GNMA Series 2018-120 Class FL (1 Month LIBOR +0.30%) ± | 4.90 | 9-20-2048 | 244,689 | 238,729 | |
GNMA Series 2018-49 Class FM (1 Month LIBOR +0.25%) ± | 4.85 | 4-20-2048 | 1,164,091 | 1,134,578 | |
GNMA Series 2018-H07 Class FD (1 Month LIBOR +0.30%) ± | 4.69 | 5-20-2068 | 339,672 | 339,034 | |
GNMA Series 2018-H13 Class FC (1 Month LIBOR +0.30%) ± | 4.69 | 7-20-2068 | 271,574 | 269,045 | |
GNMA Series 2019-103 Class FG (1 Month LIBOR +0.45%) ± | 5.05 | 4-20-2049 | 1,030,716 | 1,013,607 | |
GNMA Series 2019-129 Class WF (1 Month LIBOR +0.40%) ± | 4.97 | 2-20-2046 | 1,285,587 | 1,244,572 | |
GNMA Series 2019-H06 Class FD (1 Month LIBOR +0.72%) ± | 5.11 | 1-20-2069 | 607,874 | 592,433 | |
GNMA Series 2019-H09 Class FE (1 Month LIBOR +0.50%) ± | 4.89 | 4-20-2069 | 945,946 | 935,585 | |
GNMA Series 2019-H10 Class FB (1 Month LIBOR +0.60%) ± | 2.97 | 6-20-2069 | 2,863,374 | 2,783,598 | |
GNMA Series 2019-H15 Class FE (1 Month LIBOR +0.63%) ± | 5.02 | 9-20-2069 | 1,936,158 | 1,906,596 | |
GNMA Series 2020-H12 Class F (1 Month LIBOR +0.50%) ± | 4.89 | 7-20-2070 | 742,706 | 724,088 | |
GNMA Series 2020-H19 Class FB (1 Month LIBOR +0.45%) ± | 4.84 | 11-20-2070 | 2,330,209 | 2,273,219 | |
GNMA Series 2021-H01 Class FC (1 Month LIBOR +0.40%) ± | 3.90 | 11-20-2070 | 1,449,895 | 1,406,845 | |
GNMA Series 2021-H14 Class FA (30 Day Average U.S. SOFR +0.30%) ± | 2.78 | 4-20-2070 | 3,613,027 | 3,470,718 | |
Total Agency securities (Cost $310,950,419) | 302,660,940 | ||||
Asset-backed securities: 4.85% | |||||
Brazos Education Funding Series 2015-1 Class A (1 Month LIBOR +1.00%) 144A± | 5.62 | 10-25-2056 | 1,490,633 | 1,478,331 | |
Cal Dive I Title XI Incorporated | 4.93 | 2-1-2027 | 2,318,125 | 2,284,398 | |
EFS Volunteer LLC Series 2010-1 Class A2 (3 Month LIBOR +0.85%) 144A± | 5.67 | 10-25-2035 | 298,095 | 296,789 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 5.04% | 3-25-2067 | $ 308,123 | $ 307,892 | |
Navient Student Loan Trust Series 2018-4A Class A2 (1 Month LIBOR +0.68%) 144A± | 5.30 | 6-27-2067 | 3,589,899 | 3,513,393 | |
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,102,422 | 979,268 | |
Navient Student Loan Trust Series 2021-1A Class A1B (1 Month LIBOR +0.60%) 144A± | 5.22 | 12-26-2069 | 828,297 | 811,521 | |
Nelnet Student Loan Trust Series 2019-2A Class A (1 Month LIBOR +0.90%) 144A± | 5.52 | 6-27-2067 | 2,840,169 | 2,801,163 | |
Nelnet Student Loan Trust Series 2019-4A Class A (1 Month LIBOR +0.87%) 144A± | 5.49 | 9-26-2067 | 592,394 | 584,234 | |
Nelnet Student Loan Trust Series 2019-7A Class A1 (1 Month LIBOR +0.50%) 144A± | 5.12 | 1-25-2068 | 106,231 | 106,154 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 5.44 | 12-17-2068 | 3,362,811 | 3,294,723 | |
SLM Student Loan Trust Series 2004-10 Class A7B (3 Month LIBOR +0.60%) 144A± | 5.42 | 10-25-2029 | 207,247 | 205,194 | |
Total Asset-backed securities (Cost $17,104,653) | 16,663,060 | ||||
Non-agency mortgage-backed securities: 5.46% | |||||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 662,497 | 609,771 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 759,598 | 737,966 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 2,747,377 | 2,373,664 | |
FRESB Mortgage Trust Series 2022-SB94 Class A5H ±± | 1.72 | 11-25-2041 | 5,929,205 | 5,373,325 | |
Goldman Sachs Mortgage-Backed Securities Trust Series 2020-PJ4 Class A2 144A±± | 3.00 | 1-25-2051 | 653,955 | 551,373 | |
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A2 144A±± | 1.36 | 9-25-2056 | 637,021 | 500,229 | |
Imperial Fund Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.49 | 2-25-2067 | 2,435,878 | 2,133,762 | |
JPMorgan Mortgage Trust Series 2016-5 Class A1 144A±± | 5.79 | 12-25-2046 | 534,431 | 512,980 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 299,790 | 274,490 | |
New Residential Mortgage Loan Trust Series 2018-4A Class A1M (1 Month LIBOR +0.90%) 144A± | 5.52 | 1-25-2048 | 1,028,113 | 1,006,614 | |
New Residential Mortgage Loan Trust Series 2020-RPL1 Class A1 144A±± | 2.75 | 11-25-2059 | 202,424 | 187,950 | |
Onslow Bay Financial LLC Series 2022-NQM1 Class A1 144A±± | 2.31 | 11-25-2061 | 2,871,042 | 2,390,442 | |
Starwood Commercial Mortgage Trust Series 2022-FL3 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 5.75 | 11-15-2038 | 960,000 | 928,026 | |
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94 | 5-25-2065 | 807,338 | 743,310 | |
Towd Point Mortgage Trust Series 2017-5 Class A1 (1 Month LIBOR +0.60%) 144A± | 4.20 | 2-25-2057 | 451,313 | 449,718 | |
Total Non-agency mortgage-backed securities (Cost $20,996,895) | 18,773,620 |
Yield | Shares | Value | |||
Short-term investments: 0.88% | |||||
Investment companies: 0.88% | |||||
Allspring Government Money Market Fund Select Class ♠∞ | 4.39% | 3,030,873 | $ 3,030,873 | ||
Total Short-term investments (Cost $3,030,873) | 3,030,873 | ||||
Total investments in securities (Cost $352,082,840) | 99.21% | 341,128,493 | |||
Other assets and liabilities, net | 0.79 | 2,707,338 | |||
Total net assets | 100.00% | $343,835,831 |
± | 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 | $1,904,979 | $92,123,631 | $(90,997,737) | $0 | $0 | $3,030,873 | 3,030,873 | $48,234 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Short | |||||||
10-Year U.S. Treasury Notes | (56) | 6-21-2023 | $ (6,263,212) | $ (6,252,750) | $ 10,462 | $0 | |
2-Year U.S. Treasury Notes | (543) | 6-30-2023 | (110,894,103) | (110,623,523) | 270,580 | 0 | |
5-Year U.S. Treasury Notes | (261) | 6-30-2023 | (28,009,815) | (27,941,273) | 68,542 | 0 | |
$349,584 | $0 |
Assets | |
Investments in unaffiliated securities, at value (cost $349,051,967) | $ 338,097,620 |
Investments in affiliated securities, at value (cost $3,030,873) | 3,030,873 |
Cash | 104,177 |
Cash at broker segregated for futures contracts | 1,146,000 |
Principal paydown receivable | 1,149,489 |
Receivable for interest | 1,091,293 |
Receivable for Fund shares sold | 57,654 |
Receivable for daily variation margin on open futures contracts | 12,142 |
Receivable for investments sold | 2,947 |
Prepaid expenses and other assets | 71,861 |
Total assets | 344,764,056 |
Liabilities | |
Payable for Fund shares redeemed | 696,968 |
Dividends payable | 96,258 |
Management fee payable | 76,324 |
Administration fees payable | 26,624 |
Distribution fee payable | 1,753 |
Accrued expenses and other liabilities | 30,298 |
Total liabilities | 928,225 |
Total net assets | $343,835,831 |
Net assets consist of | |
Paid-in capital | $ 351,469,006 |
Total distributable loss | (7,633,175) |
Total net assets | $343,835,831 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 76,685,238 |
Shares outstanding – Class A1 | 8,797,224 |
Net asset value per share – Class A | $8.72 |
Maximum offering price per share – Class A2 | $8.90 |
Net assets – Class C | $ 2,996,019 |
Shares outstanding – Class C1 | 344,336 |
Net asset value per share – Class C | $8.70 |
Net assets – Administrator Class | $ 4,964,285 |
Shares outstanding – Administrator Class1 | 569,269 |
Net asset value per share – Administrator Class | $8.72 |
Net assets – Institutional Class | $ 259,190,289 |
Shares outstanding – Institutional Class1 | 29,735,409 |
Net asset value per share – Institutional Class | $8.72 |
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 | $ 5,686,082 |
Income from affiliated securities | 48,234 |
Total investment income | 5,734,316 |
Expenses | |
Management fee | 678,148 |
Administration fees | |
Class A | 62,277 |
Class C | 2,487 |
Administrator Class | 2,865 |
Institutional Class | 120,331 |
Shareholder servicing fees | |
Class A | 96,954 |
Class C | 3,886 |
Administrator Class | 7,131 |
Distribution fee | |
Class C | 11,658 |
Custody and accounting fees | 19,253 |
Professional fees | 44,016 |
Registration fees | 29,969 |
Shareholder report expenses | 11,887 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 33,464 |
Total expenses | 1,134,951 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (91,896) |
Class A | (18,473) |
Class C | (749) |
Administrator Class | (3,622) |
Net expenses | 1,020,211 |
Net investment income | 4,714,105 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (957,696) |
Futures contracts | 3,986,698 |
Net realized gains on investments | 3,029,002 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (2,294,135) |
Futures contracts | 243,719 |
Net change in unrealized gains (losses) on investments | (2,050,416) |
Net realized and unrealized gains (losses) on investments | 978,586 |
Net increase in net assets resulting from operations | $ 5,692,691 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 4,714,105 | $ 2,748,623 | ||
Net realized gains on investments | 3,029,002 | 6,184,988 | ||
Net change in unrealized gains (losses) on investments | (2,050,416) | (12,024,183) | ||
Net increase (decrease) in net assets resulting from operations | 5,692,691 | (3,090,572) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,098,313) | (692,300) | ||
Class C | (69,695) | (14,135) | ||
Administrator Class | (155,834) | (71,924) | ||
Institutional Class | (8,453,964) | (4,255,890) | ||
Total distributions to shareholders | (10,777,806) | (5,034,249) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 278,147 | 2,421,635 | 593,643 | 5,293,269 |
Class C | 115,025 | 1,007,868 | 123,328 | 1,091,402 |
Administrator Class | 27,047 | 238,640 | 804,889 | 7,188,561 |
Institutional Class | 4,888,477 | 42,976,447 | 43,022,173 | 383,515,387 |
46,644,590 | 397,088,619 | |||
Reinvestment of distributions | ||||
Class A | 209,616 | 1,816,390 | 66,182 | 589,152 |
Class C | 7,942 | 68,590 | 1,573 | 14,008 |
Administrator Class | 17,715 | 153,565 | 7,992 | 71,176 |
Institutional Class | 871,988 | 7,558,244 | 415,798 | 3,699,149 |
9,596,789 | 4,373,485 | |||
Payment for shares redeemed | ||||
Class A | (1,014,890) | (8,865,622) | (2,188,993) | (19,473,541) |
Class C | (131,012) | (1,144,507) | (141,789) | (1,259,441) |
Administrator Class | (196,689) | (1,718,407) | (1,017,358) | (9,065,328) |
Institutional Class | (16,093,078) | (140,895,012) | (52,928,850) | (471,262,780) |
(152,623,548) | (501,061,090) | |||
Net decrease in net assets resulting from capital share transactions | (96,382,169) | (99,598,986) | ||
Total decrease in net assets | (101,467,284) | (107,723,807) | ||
Net assets | ||||
Beginning of period | 445,303,115 | 553,026,922 | ||
End of period | $ 343,835,831 | $ 445,303,115 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.09 | 0.02 | 0.04 | 0.17 | 0.18 1 | 0.10 |
Net realized and unrealized gains (losses) on investments | 0.04 | (0.09) | 0.05 | (0.06) | 0.05 | (0.01) |
Total from investment operations | 0.13 | (0.07) | 0.09 | 0.11 | 0.23 | 0.09 |
Distributions to shareholders from | ||||||
Net investment income | (0.09) | (0.03) | (0.05) | (0.17) | (0.18) | (0.12) |
Net realized gains | (0.14) | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.23) | (0.07) | (0.05) | (0.17) | (0.18) | (0.12) |
Net asset value, end of period | $8.72 | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Total return3 | 1.47% | (0.81)% | 0.99% | 1.25% | 2.64% | 0.98% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.84% | 0.82% | 0.82% | 0.88% | 0.88% | 0.83% |
Net expenses | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% | 0.74% |
Net investment income | 2.25% | 0.30% | 0.49% | 1.92% | 2.04% | 1.28% |
Supplemental data | ||||||
Portfolio turnover rate | 3% | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $76,685 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.81 | $8.95 | $8.91 | $8.97 | $8.93 | $8.96 |
Net investment income (loss) | 0.06 1 | 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 | 0.03 | (0.10) | 0.04 | (0.06) | 0.06 | (0.03) |
Total from investment operations | 0.09 | (0.10) | 0.04 | 0.04 | 0.16 | 0.02 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.00) 2 | (0.00) 2 | (0.10) | (0.12) | (0.05) |
Net realized gains | (0.14) | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.20) | (0.04) | (0.00) 2 | (0.10) | (0.12) | (0.05) |
Net asset value, end of period | $8.70 | $8.81 | $8.95 | $8.91 | $8.97 | $8.93 |
Total return4 | 1.10% | (1.08)% | 0.48% | 0.50% | 1.76% | 0.23% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.59% | 1.57% | 1.57% | 1.63% | 1.62% | 1.55% |
Net expenses | 1.49% | 1.02% * | 1.27% * | 1.49% | 1.49% | 1.49% |
Net investment income (loss) | 1.49% | 0.04% | (0.02)% | 1.17% | 1.13% | 0.54% |
Supplemental data | ||||||
Portfolio turnover rate | 3% | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $2,996 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.83 | $8.97 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.10 1 | 0.04 1 | 0.06 1 | 0.18 1 | 0.19 1 | 0.13 1 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.10) | 0.05 | (0.06) | 0.06 | (0.03) |
Total from investment operations | 0.13 | (0.06) | 0.11 | 0.12 | 0.25 | 0.10 |
Distributions to shareholders from | ||||||
Net investment income | (0.10) | (0.04) | (0.06) | (0.18) | (0.20) | (0.13) |
Net realized gains | (0.14) | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.24) | (0.08) | (0.06) | (0.18) | (0.20) | (0.13) |
Net asset value, end of period | $8.72 | $8.83 | $8.97 | $8.92 | $8.98 | $8.93 |
Total return3 | 1.54% | (0.67)% | 1.24% | 1.40% | 2.78% | 1.12% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.78% | 0.76% | 0.76% | 0.81% | 0.81% | 0.77% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 2.35% | 0.43% | 0.64% | 1.98% | 2.12% | 1.42% |
Supplemental data | ||||||
Portfolio turnover rate | 3% | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $4,964 | $6,367 | $8,299 | $8,076 | $5,337 | $9,140 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 | $8.96 |
Net investment income | 0.11 1 | 0.05 1 | 0.07 1 | 0.19 1 | 0.22 | 0.16 |
Net realized and unrealized gains (losses) on investments | 0.03 | (0.10) | 0.04 | (0.06) | 0.04 | (0.05) |
Total from investment operations | 0.14 | (0.05) | 0.11 | 0.13 | 0.26 | 0.11 |
Distributions to shareholders from | ||||||
Net investment income | (0.10) | (0.05) | (0.07) | (0.19) | (0.21) | (0.14) |
Net realized gains | (0.14) | (0.04) | 0.00 | (0.00) 2 | 0.00 | 0.00 |
Total distributions to shareholders | (0.24) | (0.09) | (0.07) | (0.19) | (0.21) | (0.14) |
Net asset value, end of period | $8.72 | $8.82 | $8.96 | $8.92 | $8.98 | $8.93 |
Total return3 | 1.73% | (0.53)% | 1.27% | 1.54% | 2.93% | 1.26% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.51% | 0.49% | 0.49% | 0.54% | 0.54% | 0.50% |
Net expenses | 0.46% | 0.46% | 0.46% | 0.46% | 0.46% | 0.46% |
Net investment income | 2.49% | 0.59% | 0.74% | 2.12% | 2.27% | 1.55% |
Supplemental data | ||||||
Portfolio turnover rate | 3% | 36% | 53% | 9% | 5% | 3% |
Net assets, end of period (000s omitted) | $259,190 | $353,549 | $444,150 | $288,045 | $158,147 | $235,078 |
1 | Calculated based upon average shares outstanding |
2 | Amount is less than $0.005. |
3 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 786,672 |
Gross unrealized losses | (11,637,782) |
Net unrealized losses | $(10,851,110) |
■ | 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 | $ 302,660,940 | $0 | $ 302,660,940 |
Asset-backed securities | 0 | 16,663,060 | 0 | 16,663,060 |
Non-agency mortgage-backed securities | 0 | 18,773,620 | 0 | 18,773,620 |
Short-term investments | ||||
Investment companies | 3,030,873 | 0 | 0 | 3,030,873 |
3,030,873 | 338,097,620 | 0 | 341,128,493 | |
Futures contracts | 349,584 | 0 | 0 | 349,584 |
Total assets | $3,380,457 | $338,097,620 | $0 | $341,478,077 |
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 | |
$76,940 | $10,666,377 | $36,306,950 | $32,693,985 |
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 Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g480617imgc23a03e81.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g480617img788aad2b5.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR0356 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g452392imgfb2453591.jpg)
Conservative Income Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g452392img880f1fec2.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 2023. 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. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g452392imga2419cf73.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 February 28, 2023 | ||||||
Expense ratios1 (%) | ||||||
Inception date | 1 year | 5 year | Since inception | Gross | Net 2 | |
Class A2 (WCIAX)3 | 5-29-2020 | 1.18 | 1.24 | 0.89 | 0.62 | 0.40 |
Institutional Class (WCIIX) | 5-31-2013 | 1.25 | 1.45 | 1.11 | 0.39 | 0.25 |
Bloomberg 6-9 Month Treasury Bill Index4 | – | 0.89 | 1.24 | 0.80 * | – | – |
* | Based on the inception date of the oldest Fund class. |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.40% for Class A2, and 0.25% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class A2 shares prior to their inception reflects the performance of the Institutional Class shares, adjusted to reflect the higher expenses applicable to the Class A2 shares. |
4 | The Bloomberg 6-9 Month Treasury Bill Index includes all publicly issued zero-coupon U.S. Treasury bills that have a remaining maturity of less than nine months and more than six, are rated investment-grade, and have $250 million or more of outstanding face value. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2, 5.20%, 5-15-2026 | 2.20 |
State Street Corporation, 3.10%, 5-15-2023 | 1.81 |
Southern California Edison's First Mortgage, 5.06%, 4-3-2023 | 1.79 |
JPMorgan Chase & Company, 4.98%, 3-16-2024 | 1.69 |
Morgan Stanley, 4.96%, 1-25-2024 | 1.69 |
Toyota Motor Credit Corporation, 0.45%, 1-11-2024 | 1.62 |
Royal Bank of Canada, 3.97%, 7-26-2024 | 1.54 |
Deutsche Bank AG, 5.06%, 11-8-2023 | 1.48 |
Banque Federative du Credit Mutuel SA, 3.75%, 7-20-2023 | 1.47 |
Oklahoma Gas & Electric Company, 0.55%, 5-26-2023 | 1.46 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g452392imge545eda74.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A2 | ||||
Actual | $1,000.00 | $1,015.52 | $2.00 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.81 | $2.01 | 0.40% |
Institutional Class | ||||
Actual | $1,000.00 | $1,015.22 | $1.25 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | $1.25 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 0.81% | |||||
GNMA ±± | 4.58% | 8-20-2070 | $1,938,445 | $ 1,911,629 | |
Total Agency securities (Cost $2,052,759) | 1,911,629 | ||||
Asset-backed securities: 25.55% | |||||
AmeriCredit Automobile Receivables Trust Series 2022-2 Class A2A | 4.20 | 12-18-2025 | 436,029 | 432,849 | |
BMW Vehicle Lease Trust Series 2021-1 Class A3 | 0.29 | 1-25-2024 | 1,308,505 | 1,301,721 | |
BMW Vehicle Lease Trust Series 2023-1 Class A2 | 5.27 | 2-25-2025 | 1,500,000 | 1,499,392 | |
BMW Vehicle Lease Trust Series 2023-1 Class A3 | 5.16 | 11-25-2025 | 885,000 | 883,900 | |
Capital One Prime Auto Receivables Trust Series 2023-1 Class A2 | 5.20 | 5-15-2026 | 5,200,000 | 5,195,071 | |
CarMax Auto Owner Trust Series 2020-4 Class A3 | 0.50 | 8-15-2025 | 1,288,241 | 1,255,537 | |
CarMax Auto Owner Trust Series 2021-4 Class A2A | 0.24 | 11-15-2024 | 191,536 | 190,500 | |
CarMax Auto Owner Trust Series 2021-4 Class A3 | 0.56 | 9-15-2026 | 2,599,000 | 2,460,035 | |
Carvana Auto Receivables Trust 2022-P3 Class A2 | 4.42 | 12-10-2025 | 1,164,519 | 1,157,213 | |
CCG Receivables Trust Series 2020-1 Class A2 144A | 0.54 | 12-14-2027 | 425,425 | 417,879 | |
Chase Auto Owner Trust Series 2022-AA Class A2 144A | 3.86 | 10-27-2025 | 1,129,105 | 1,119,514 | |
Chesapeake Funding II LLC Series 2020-1A Class A1 144A | 0.87 | 8-15-2032 | 612,606 | 606,779 | |
Daimler Trucks Retail Trust Series 2022-1 Class A2 | 5.07 | 9-16-2024 | 3,100,000 | 3,097,238 | |
DLLAD LLC Series 2021-1 144A | 0.35 | 9-20-2024 | 208,598 | 206,291 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1 (1 Month LIBOR +0.33%) 144A± | 4.73 | 12-11-2034 | 1,104,061 | 1,099,264 | |
Enterprise Fleet Financing LLC Series 2020-1 Class A2 144A | 1.78 | 12-22-2025 | 576,445 | 574,504 | |
Evergreen Credit Card Trust 2022 CRT-1 Class B 144A | 5.61 | 7-15-2026 | 2,000,000 | 1,963,622 | |
Evergreen Credit Card Trust 2022 CRT-2 Class B 144A | 6.56 | 11-15-2026 | 1,000,000 | 994,313 | |
Ford Credit Auto Lease Trust Series 2022-A Class A2A | 2.78 | 10-15-2024 | 590,383 | 585,647 | |
Ford Credit Auto Owner Trust Series 2018-2 Class A 144A | 3.47 | 1-15-2030 | 2,000,000 | 1,986,571 | |
Ford Credit Auto Owner Trust Series 2022- B Class A2A | 3.44 | 2-15-2025 | 1,160,453 | 1,152,364 | |
Ford Credit Auto Owner Trust Series 2022-C Class A2A | 4.52 | 4-15-2025 | 705,000 | 701,974 | |
Foursight Capital Automobile Receivables Trust Series 2022-1 Class A2 144A | 1.15 | 9-15-2025 | 345,200 | 340,313 | |
General Motors Financial Securitized Term 2021-2 Class A3 | 0.51 | 4-16-2026 | 1,719,969 | 1,659,155 | |
GM Financial Auto Lease Trust Series 2021-2 Class A3 | 0.34 | 5-20-2024 | 792,612 | 783,438 | |
GM Financial Auto Lease Trust Series 2023-1 Class A3A | 5.27 | 6-20-2025 | 1,300,000 | 1,299,736 | |
Honda Auto Receivables Owner Trust Series 2021-3 Class A3 | 0.41 | 11-18-2025 | 2,480,000 | 2,374,869 | |
Honda Auto Receivables Owner Trust Series 2023-1 Class A2 | 5.22 | 10-21-2025 | 1,500,000 | 1,498,663 | |
Hyundai Auto Lease Securitization Series 2022-A Class A3 144A | 1.16 | 1-15-2025 | 3,000,000 | 2,908,931 | |
John Deere Owner Trust Series 2022-B Class A2 | 3.73 | 6-16-2025 | 935,000 | 925,929 | |
John Deere Owner Trust Series 2022-C Class A2 | 4.98 | 8-15-2025 | 1,450,000 | 1,445,130 | |
Mercedes-Benz Auto Receivables Series 2022-1 Class A2 | 5.26 | 10-15-2025 | 1,460,000 | 1,459,653 | |
Nissan Auto Lease Trust Series 2022-A Class A3 | 3.81 | 5-15-2025 | 1,069,000 | 1,054,194 | |
Oscar US Funding Trust Series 2021-2A Class A2 144A | 0.39 | 8-12-2024 | 353,368 | 350,237 | |
Santander Drive Auto Receivable Trust Series 2021-4 A3 | 0.51 | 8-15-2025 | 196,365 | 196,029 | |
Santander Drive Auto Receivable Trust Series 2022-5 Class A3 | 4.11 | 8-17-2026 | 1,250,000 | 1,234,648 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 581,378 | 568,159 | |
Tesla Auto Lease Trust Series 2021-A Class A2 144A | 0.36 | 3-20-2025 | 105,173 | 104,644 | |
Toyota Auto Receivables Series 2023-A Class A2 | 5.05 | 1-15-2026 | 2,850,000 | 2,843,532 | |
Venture CDO Limited Series 16-25A Class AR (3 Month LIBOR +1.02%) 144A± | 5.83 | 4-20-2029 | 1,867,864 | 1,856,468 | |
Verizon Master Trust Series 2022-5 Class A1A | 3.72 | 7-20-2027 | 2,050,000 | 2,021,885 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Volkswagen Group of America Auto Lease Trust Series 2022-A Class A2 | 3.02% | 10-21-2024 | $2,000,627 | $ 1,975,245 | |
Wheels SPV LLC Series 2020-1A Class A2 144A | 0.51 | 8-20-2029 | 153,787 | 152,462 | |
World Omni Auto Lease Trust Series 2021-A Class A3 | 0.42 | 8-15-2024 | 2,901,911 | 2,829,184 | |
World Omni Auto Lease Trust Series 2022-A Class A | 2.63 | 10-15-2024 | 1,598,309 | 1,578,888 | |
Total Asset-backed securities (Cost $60,687,185) | 60,343,570 | ||||
Corporate bonds and notes: 45.67% | |||||
Communication services: 0.99% | |||||
Entertainment: 0.99% | |||||
Take-Two Interactive Software Incorporated | 3.30 | 3-28-2024 | 2,400,000 | 2,344,445 | |
Consumer discretionary: 1.34% | |||||
Food products: 0.69% | |||||
Cargill Incorporated 144A | 3.25 | 3-1-2023 | 1,637,000 | 1,637,000 | |
Multiline retail: 0.65% | |||||
Dollar General Corporation | 4.25 | 9-20-2024 | 1,560,000 | 1,532,573 | |
Consumer staples: 0.81% | |||||
Tobacco: 0.81% | |||||
BAT Capital Corporation | 2.79 | 9-6-2024 | 2,000,000 | 1,916,786 | |
Energy: 1.39% | |||||
Oil, gas & consumable fuels: 1.39% | |||||
Chevron Corporation | 1.14 | 5-11-2023 | 3,300,000 | 3,274,953 | |
Financials: 26.93% | |||||
Banks: 5.89% | |||||
Bank of America Corporation (3 Month LIBOR +0.78%) ± | 3.55 | 3-5-2024 | 2,000,000 | 1,999,739 | |
Bank of America Corporation | 4.13 | 1-22-2024 | 2,000,000 | 1,979,566 | |
Fifth Third Bancorp | 4.30 | 1-16-2024 | 2,000,000 | 1,977,354 | |
JPMorgan Chase & Company (U.S. SOFR +0.58%) ± | 4.98 | 3-16-2024 | 4,000,000 | 4,000,315 | |
PNC Financial Services Group Incorporated | 3.50 | 1-23-2024 | 2,000,000 | 1,968,604 | |
Truist Bank (3 Month LIBOR +0.74%) ±## | 3.69 | 8-2-2024 | 2,000,000 | 1,984,280 | |
13,909,858 | |||||
Capital markets: 5.27% | |||||
Bank of New York Mellon Corporation | 0.85 | 10-25-2024 | 3,442,000 | 3,210,217 | |
Goldman Sachs Group Incorporated | 1.22 | 12-6-2023 | 1,000,000 | 969,593 | |
Morgan Stanley (U.S. SOFR +0.46%) ± | 4.96 | 1-25-2024 | 4,000,000 | 3,997,508 | |
State Street Corporation | 3.10 | 5-15-2023 | 4,290,000 | 4,270,356 | |
12,447,674 | |||||
Consumer finance: 4.62% | |||||
American Express Company | 3.70 | 8-3-2023 | 1,140,000 | 1,132,388 | |
BMW US Capital LLC 144A | 3.45 | 4-12-2023 | 1,150,000 | 1,147,652 | |
Daimler Finance North America LLC (3 Month LIBOR +0.84%) 144A± | 5.65 | 5-4-2023 | 2,000,000 | 2,001,368 | |
Daimler Truck Financial North America Company 144A | 5.20 | 1-17-2025 | 800,000 | 794,856 |
Interest rate | Maturity date | Principal | Value | ||
Consumer finance (continued) | |||||
John Deere Capital Corporation (U.S. SOFR +0.12%) ± | 4.54% | 7-10-2023 | $2,000,000 | $ 1,999,406 | |
Toyota Motor Credit Corporation | 0.45 | 1-11-2024 | 4,000,000 | 3,838,245 | |
10,913,915 | |||||
Diversified financial services: 1.32% | |||||
National Rural Utilities Cooperative Finance | 0.35 | 2-8-2024 | 3,255,000 | 3,104,057 | |
Insurance: 9.83% | |||||
AIG Global Funding 144A | 0.45 | 12-8-2023 | 2,000,000 | 1,926,493 | |
Athene Global Funding 144A | 0.95 | 1-8-2024 | 1,000,000 | 961,048 | |
Athene Global Funding (U.S. SOFR +0.70%) 144A± | 5.25 | 5-24-2024 | 2,500,000 | 2,484,625 | |
Brighthouse Financial Global Funding 144A | 1.20 | 12-15-2023 | 2,000,000 | 1,932,529 | |
Brighthouse Financial Global Funding Series 2021-1 (U.S. SOFR +0.76%) 144A± | 5.20 | 4-12-2024 | 1,200,000 | 1,198,308 | |
Equitable Financial Life Insurance Company of America (U.S. SOFR +0.39%) 144A± | 4.82 | 4-6-2023 | 2,250,000 | 2,249,210 | |
GA Global Funding Trust (U.S. SOFR +1.36%) 144A± | 5.80 | 4-11-2025 | 2,000,000 | 1,986,160 | |
MassMutual Global Funding 144A« | 0.48 | 8-28-2023 | 3,000,000 | 2,928,800 | |
New York Life Global Funding (U.S. SOFR +0.31%) 144A± | 4.80 | 4-26-2024 | 3,000,000 | 3,001,428 | |
Principal Life Global Funding II 144A | 0.50 | 1-8-2024 | 3,000,000 | 2,878,546 | |
Principal Life Global Funding II (U.S. SOFR +0.38%) 144A± | 4.93 | 8-23-2024 | 670,000 | 667,586 | |
Protective Life Global Funding 144A | 1.08 | 6-9-2023 | 1,000,000 | 988,886 | |
23,203,619 | |||||
Health care: 0.82% | |||||
Life sciences tools & services: 0.82% | |||||
Thermo Fisher Scientific | 0.80 | 10-18-2023 | 2,000,000 | 1,943,678 | |
Industrials: 1.91% | |||||
Road & rail: 0.85% | |||||
Ryder System Incorporated | 3.40 | 3-1-2023 | 2,000,000 | 2,000,000 | |
Transportation infrastructure: 1.06% | |||||
Penske Truck Leasing Company LP 144A | 2.70 | 3-14-2023 | 2,500,000 | 2,497,200 | |
Information technology: 0.83% | |||||
Semiconductors & semiconductor equipment: 0.83% | |||||
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 2,000,000 | 1,969,453 | |
Materials: 0.83% | |||||
Metals & mining: 0.83% | |||||
Glencore Funding LLC Company 144A | 4.13 | 3-12-2024 | 2,000,000 | 1,969,208 | |
Real estate: 0.51% | |||||
Equity REITs: 0.51% | |||||
Public Storage (U.S. SOFR +0.47%) ± | 4.93 | 4-23-2024 | 1,195,000 | 1,195,121 | |
Utilities: 9.31% | |||||
Electric utilities: 6.57% | |||||
Florida Power & Light Company (U.S. SOFR +0.25%) ± | 4.80 | 5-10-2023 | 2,000,000 | 1,999,382 | |
NextEra Energy Capital Company | 4.26 | 9-1-2024 | 2,000,000 | 1,961,983 | |
NextEra Energy Capital Company %% | 6.05 | 3-1-2025 | 250,000 | 251,522 | |
Oklahoma Gas & Electric Company | 0.55 | 5-26-2023 | 3,493,000 | 3,454,825 |
Interest rate | Maturity date | Principal | Value | ||
Electric utilities (continued) | |||||
Southern California Edison's First Mortgage (U.S. SOFR +0.64%) ± | 5.06% | 4-3-2023 | $4,220,000 | $ 4,219,378 | |
Southern Company (U.S. SOFR +0.37%) ± | 4.92 | 5-10-2023 | 2,000,000 | 1,999,200 | |
Tampa Electric Company | 3.88 | 7-12-2024 | 1,670,000 | 1,631,317 | |
15,517,607 | |||||
Gas utilities: 1.41% | |||||
Atmos Energy Corporation (3 Month LIBOR +0.38%) ± | 5.10 | 3-9-2023 | 3,320,000 | 3,320,141 | |
Multi-utilities: 1.33% | |||||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 5.21 | 5-13-2024 | 1,445,000 | 1,438,066 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 5.28 | 3-2-2023 | 1,705,000 | 1,705,000 | |
3,143,066 | |||||
Total Corporate bonds and notes (Cost $108,173,236) | 107,840,354 | ||||
Municipal obligations: 3.30% | |||||
California: 1.89% | |||||
Miscellaneous revenue: 1.89% | |||||
California State Earthquake Authority | 5.39 | 7-1-2023 | 2,000,000 | 2,000,248 | |
Pomona CA Pension Obligation Series BJ | 4.00 | 8-1-2023 | 1,000,000 | 994,267 | |
Torrance CA Joint Powers Financing Authority | 1.43 | 10-1-2023 | 1,500,000 | 1,467,186 | |
4,461,701 | |||||
Colorado: 1.23% | |||||
Transportation revenue: 1.23% | |||||
Colorado Bridge Enterprise Senior Project Infrastructure | 0.92 | 12-31-2023 | 3,000,000 | 2,895,712 | |
New York: 0.18% | |||||
Utilities revenue: 0.18% | |||||
Long Island NY Power Authority Electric System Series C | 0.76 | 3-1-2023 | 430,000 | 430,000 | |
Total Municipal obligations (Cost $7,943,094) | 7,787,413 | ||||
Yankee corporate bonds and notes: 24.64% | |||||
Energy: 1.25% | |||||
Oil, gas & consumable fuels: 1.25% | |||||
Total Capital International SA | 3.70 | 1-15-2024 | 3,000,000 | 2,956,743 | |
Financials: 23.39% | |||||
Banks: 19.10% | |||||
Bank of Montreal | 0.40 | 9-15-2023 | 2,000,000 | 1,948,445 | |
Bank of Montreal (U.S. SOFR +0.27%) ± | 4.66 | 9-15-2023 | 2,000,000 | 2,000,182 | |
Bank of Nova Scotia « | 0.40 | 9-15-2023 | 2,000,000 | 1,948,067 | |
Bank of Nova Scotia | 0.70 | 4-15-2024 | 2,000,000 | 1,896,725 | |
Banque Federative du Credit Mutuel SA 144A | 3.75 | 7-20-2023 | 3,500,000 | 3,479,610 | |
Cooperatieve Rabobank UA (U.S. SOFR +0.30%) ± | 4.74 | 1-12-2024 | 2,000,000 | 1,998,994 | |
Credit Suisse AG New York | 1.00 | 5-5-2023 | 3,000,000 | 2,969,132 | |
Mitsubishi UFJ Financial Group Incorporated | 3.41 | 3-7-2024 | 2,000,000 | 1,958,865 | |
National Bank of Canada | 5.25 | 1-17-2025 | 2,000,000 | 1,993,485 | |
NatWest Markets plc (U.S. SOFR +0.53%) 144A± | 5.08 | 8-12-2024 | 1,250,000 | 1,236,540 | |
Nordea Bank AB 144A | 1.00 | 6-9-2023 | 2,000,000 | 1,977,625 |
Interest rate | Maturity date | Principal | Value | ||
Banks (continued) | |||||
Royal Bank of Canada | 3.97% | 7-26-2024 | $3,700,000 | $ 3,627,980 | |
Skandinaviska Enskilda Banken (3 Month LIBOR +0.32%) 144A± | 5.08 | 9-1-2023 | 3,000,000 | 2,997,697 | |
Sumitomo Mitsui Financial Group | 2.70 | 7-16-2024 | 1,750,000 | 1,684,432 | |
Sumitomo Mitsui Trust Bank Limited 144A | 0.80 | 9-12-2023 | 1,250,000 | 1,220,063 | |
Sumitomo Mitsui Trust Bank Limited 144A | 0.85 | 3-25-2024 | 1,000,000 | 951,748 | |
Sumitomo Mitsui Trust Bank Limited (U.S. SOFR +0.44%) 144A± | 4.81 | 9-16-2024 | 1,200,000 | 1,196,064 | |
Svenska Handelsbanken AB 144A | 0.63 | 6-30-2023 | 3,500,000 | 3,447,069 | |
Swedbank AB 144A | 0.60 | 9-25-2023 | 2,000,000 | 1,942,656 | |
Toronto Dominion Bank | 3.25 | 3-11-2024 | 665,000 | 650,657 | |
Toronto Dominion Bank | 4.29 | 9-13-2024 | 2,000,000 | 1,969,100 | |
Westpac Banking Corporation (U.S. SOFR +0.30%) ± | 4.85 | 11-18-2024 | 2,000,000 | 1,996,780 | |
45,091,916 | |||||
Capital markets: 2.75% | |||||
Deutsche Bank AG (U.S. SOFR +0.50%) ± | 5.06 | 11-8-2023 | 3,500,000 | 3,496,546 | |
UBS AG (U.S. SOFR +0.45%) 144A± | 5.01 | 8-9-2024 | 3,000,000 | 3,001,778 | |
6,498,324 | |||||
Diversified financial services: 1.54% | |||||
BNZ International Funding Limited 144A | 3.38 | 3-1-2023 | 1,585,000 | 1,585,000 | |
Federation des caisses Desjardins (U.S. SOFR +0.43%) 144A± | 4.98 | 5-21-2024 | 2,050,000 | 2,043,510 | |
3,628,510 | |||||
Total Yankee corporate bonds and notes (Cost $58,337,215) | 58,175,493 | ||||
Short-term investments: 1.71% | |||||
Commercial paper: 1.27% | |||||
Evergy Missouri ☼ | 0.00 | 3-1-2023 | 751,000 | 750,901 | |
FISERV Incorporated ☼ | 0.00 | 3-1-2023 | 2,250,000 | 2,249,702 | |
3,000,603 |
Yield | Shares | ||||
Investment companies: 0.44% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 788,699 | 788,699 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 254,000 | 254,000 | ||
1,042,699 | |||||
Total Short-term investments (Cost $4,043,699) | 4,043,302 | ||||
Total investments in securities (Cost $241,237,188) | 101.68% | 240,101,761 | |||
Other assets and liabilities, net | (1.68) | (3,964,787) | |||
Total net assets | 100.00% | $236,136,974 |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for when-issued securities. |
« | 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. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
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 | $637,978 | $65,058,853 | $(64,908,132) | $0 | $0 | $ 788,699 | 788,699 | $ 23,622 | ||
Securities Lending Cash Investments LLC | 0 | 4,649,303 | (4,395,303) | 0 | 0 | 254,000 | 254,000 | 4,032 # | ||
$0 | $0 | $1,042,699 | $27,654 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $248,533 of securities loaned), at value (cost $240,194,489) | $ 239,059,062 |
Investments in affiliated securities, at value (cost $1,042,699) | 1,042,699 |
Cash | 23,080 |
Receivable for interest | 1,190,929 |
Receivable for securities lending income, net | 575 |
Prepaid expenses and other assets | 38,784 |
Total assets | 241,355,129 |
Liabilities | |
Payable for investments purchased | 4,128,937 |
Dividends payable | 415,747 |
Payable upon receipt of securities loaned | 254,000 |
Payable for when-issued transactions | 250,625 |
Payable for Fund shares redeemed | 107,795 |
Management fee payable | 17,602 |
Administration fees payable | 14,725 |
Accrued expenses and other liabilities | 28,724 |
Total liabilities | 5,218,155 |
Total net assets | $236,136,974 |
Net assets consist of | |
Paid-in capital | $ 243,574,459 |
Total distributable loss | (7,437,485) |
Total net assets | $236,136,974 |
Computation of net asset value per share | |
Net assets – Class A2 | $ 371,408 |
Shares outstanding – Class A21 | 37,635 |
Net asset value per share – Class A2 | $9.87 |
Net assets – Institutional Class | $ 235,765,566 |
Shares outstanding – Institutional Class1 | 23,900,796 |
Net asset value per share – Institutional Class | $9.86 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest (net of foreign withholding taxes of $23,614) | $ 4,459,265 |
Income from affiliated securities | 25,163 |
Total investment income | 4,484,428 |
Expenses | |
Management fee | 326,911 |
Administration fees | |
Class A2 | 261 |
Institutional Class | 104,481 |
Shareholder servicing fees | |
Class A2 | 245 |
Custody and accounting fees | 11,678 |
Professional fees | 32,708 |
Registration fees | 18,256 |
Shareholder report expenses | 11,323 |
Trustees’ fees and expenses | 10,624 |
Other fees and expenses | 3,439 |
Total expenses | 519,926 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (192,645) |
Class A2 | (131) |
Net expenses | 327,150 |
Net investment income | 4,157,278 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on investments | (2,171,393) |
Net change in unrealized gains (losses) on investments | 2,019,350 |
Net realized and unrealized gains (losses) on investments | (152,043) |
Net increase in net assets resulting from operations | $ 4,005,235 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 4,157,278 | $ 2,684,857 | ||
Net realized losses on investments | (2,171,393) | (1,298,652) | ||
Net change in unrealized gains (losses) on investments | 2,019,350 | (4,047,704) | ||
Net increase (decrease) in net assets resulting from operations | 4,005,235 | (2,661,499) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A2 | (5,146) | (1,263) | ||
Institutional Class | (4,192,848) | (2,494,224) | ||
Total distributions to shareholders | (4,197,994) | (2,495,487) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A2 | 16,246 | 160,394 | 6,012 | 60,186 |
Institutional Class | 625,217 | 6,157,434 | 13,115,815 | 130,901,840 |
6,317,828 | 130,962,026 | |||
Reinvestment of distributions | ||||
Class A2 | 519 | 5,114 | 127 | 1,257 |
Institutional Class | 221,545 | 2,180,952 | 153,634 | 1,523,254 |
2,186,066 | 1,524,511 | |||
Payment for shares redeemed | ||||
Class A2 | (1,011) | (9,949) | (1,498) | (14,987) |
Institutional Class | (6,114,503) | (60,185,294) | (21,174,036) | (211,050,695) |
(60,195,243) | (211,065,682) | |||
Net decrease in net assets resulting from capital share transactions | (51,691,349) | (78,579,145) | ||
Total decrease in net assets | (51,884,108) | (83,736,131) | ||
Net assets | ||||
Beginning of period | 288,021,082 | 371,757,213 | ||
End of period | $236,136,974 | $ 288,021,082 |
Year ended August 31 | ||||
Class A2 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 1 |
Net asset value, beginning of period | $9.87 | $10.02 | $10.05 | $10.02 |
Net investment income | 0.15 | 0.07 | 0.04 | 0.02 |
Net realized and unrealized gains (losses) on investments | 0.00 2 | (0.16) | (0.03) | 0.03 |
Total from investment operations | 0.15 | (0.09) | 0.01 | 0.05 |
Distributions to shareholders from | ||||
Net investment income | (0.15) | (0.06) | (0.04) | (0.02) |
Tax basis return of capital | 0.00 | 0.00 | (0.00) 2 | 0.00 |
Total distributions to shareholders | (0.15) | (0.06) | (0.04) | (0.02) |
Net asset value, end of period | $9.87 | $9.87 | $10.02 | $10.05 |
Total return3 | 1.55% | (0.92)% | 0.11% | 0.53% |
Ratios to average net assets (annualized) | ||||
Gross expenses | 0.63% | 0.68% | 0.70% | 0.70% |
Net expenses | 0.40% | 0.43% | 0.49% | 0.50% |
Net investment income | 3.12% | 0.70% | 0.35% | 0.78% |
Supplemental data | ||||
Portfolio turnover rate | 59% | 112% | 111% | 102% |
Net assets, end of period (000s omitted) | $371 | $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 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.87 | $10.02 | $10.05 | $10.00 | $9.99 | $10.01 |
Net investment income | 0.16 | 0.09 | 0.06 | 0.17 | 0.26 | 0.18 |
Net realized and unrealized gains (losses) on investments | (0.01) | (0.16) | (0.02) | 0.06 | 0.01 | (0.02) |
Total from investment operations | 0.15 | (0.07) | 0.04 | 0.23 | 0.27 | 0.16 |
Distributions to shareholders from | ||||||
Net investment income | (0.16) | (0.08) | (0.07) | (0.18) | (0.26) | (0.18) |
Tax basis return of capital | 0.00 | 0.00 | (0.00) 1 | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.16) | (0.08) | (0.07) | (0.18) | (0.26) | (0.18) |
Net asset value, end of period | $9.86 | $9.87 | $10.02 | $10.05 | $10.00 | $9.99 |
Total return2 | 1.52% | (0.69)% | 0.35% | 2.30% | 2.71% | 1.65% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.40% | 0.39% | 0.37% | 0.38% | 0.37% | 0.37% |
Net expenses | 0.25% | 0.25% | 0.26% | 0.27% | 0.27% | 0.27% |
Net investment income | 3.18% | 0.81% | 0.61% | 1.74% | 2.54% | 1.79% |
Supplemental data | ||||||
Portfolio turnover rate | 59% | 112% | 111% | 102% | 171% | 197% |
Net assets, end of period (000s omitted) | $235,766 | $287,805 | $371,584 | $384,253 | $332,551 | $400,002 |
1 | Amount is less than $0.005. |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 41,610 |
Gross unrealized losses | (4,292,737) |
Net unrealized losses | $(4,251,127) |
■ | 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 | $ 1,911,629 | $0 | $ 1,911,629 |
Asset-backed securities | 0 | 60,343,570 | 0 | 60,343,570 |
Corporate bonds and notes | 0 | 107,840,354 | 0 | 107,840,354 |
Municipal obligations | 0 | 7,787,413 | 0 | 7,787,413 |
Yankee corporate bonds and notes | 0 | 58,175,493 | 0 | 58,175,493 |
Short-term investments | ||||
Commercial paper | 0 | 3,000,603 | 0 | 3,000,603 |
Investment companies | 1,042,699 | 0 | 0 | 1,042,699 |
Total assets | $1,042,699 | $239,059,062 | $0 | $240,101,761 |
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 |
Counterparty | Value of securities on loan | Collateral received 1 | Net amount |
Barclays Capital Incorporated | $215,261 | $(215,261) | $0 |
JPMorgan Securities LLC | 33,272 | (33,272) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g452392imgbfe9a0675.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR3174 02-23
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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 indices 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 2023. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡, Michal Stanczyk, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2023 | |||||||||||
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 | -14.01 | 0.40 | 1.60 | -9.98 | 1.33 | 2.07 | 0.85 | 0.68 | ||
Class C (WFIPX) | 7-13-1998 | -11.71 | 0.55 | 1.46 | -10.71 | 0.55 | 1.46 | 1.60 | 1.43 | ||
Class R6 (STYJX)3 | 10-31-2016 | – | – | – | -9.62 | 1.70 | 2.41 | 0.47 | 0.30 | ||
Administrator Class (WIPDX) | 7-30-2010 | – | – | – | -9.86 | 1.43 | 2.18 | 0.79 | 0.60 | ||
Institutional Class (WIPIX) | 7-18-2008 | – | – | – | -9.68 | 1.64 | 2.37 | 0.52 | 0.35 | ||
Bloomberg U.S. Aggregate Bond Index4 | – | – | – | – | -9.72 | 0.53 | 1.12 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.68% for Class A, 1.43% for Class C, 0.30% for Class R6, 0.60% for Administrator Class, and 0.35% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
U.S. Treasury Note, 3.25%, 8-31-2024 | 4.77 |
U.S. Treasury Note, 4.13%, 11-15-2032 | 3.32 |
FNMA, 5.50%, 3-13-2053 | 2.99 |
FNMA, 2.50%, 3-13-2053 | 2.79 |
Germany, 1.30%, 10-15-2027 | 2.08 |
France, 0.75%, 2-25-2028 | 2.06 |
U.S. Treasury Note, 3.50%, 2-15-2033 | 1.80 |
U.S. Treasury Bond, 3.13%, 5-15-2048 | 1.75 |
FNMA, 2.00%, 10-1-2051 | 1.66 |
U.S. Treasury Note, 3.50%, 1-31-2028 | 1.65 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g457521img1978bb4b4.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 984.51 | $3.35 | 0.68% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.42 | $3.41 | 0.68% |
Class C | ||||
Actual | $1,000.00 | $ 980.43 | $7.02 | 1.43% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.70 | $7.15 | 1.43% |
Class R6 | ||||
Actual | $1,000.00 | $ 987.26 | $1.48 | 0.30% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.31 | $1.51 | 0.30% |
Administrator Class | ||||
Actual | $1,000.00 | $ 985.68 | $2.95 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 986.14 | $1.72 | 0.35% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.06 | $1.76 | 0.35% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 27.93% | ||||||
FHLB | 3.00% | 9-1-2034 | $ | 340,441 | $ 318,204 | |
FHLB | 5.50 | 7-15-2036 | 9,750,000 | 10,895,555 | ||
FHLB | 5.63 | 3-14-2036 | 1,310,000 | 1,451,038 | ||
FHLMC | 2.50 | 11-1-2051 | 11,150,366 | 9,507,431 | ||
FHLMC | 3.00 | 6-1-2050 | 645,862 | 578,946 | ||
FHLMC | 3.00 | 7-1-2050 | 1,635,491 | 1,466,050 | ||
FHLMC | 3.00 | 8-1-2050 | 792,631 | 710,500 | ||
FHLMC | 3.00 | 8-1-2050 | 1,562,356 | 1,384,953 | ||
FHLMC | 3.00 | 3-1-2052 | 280,179 | 246,954 | ||
FHLMC | 3.50 | 12-1-2045 | 794,603 | 740,329 | ||
FHLMC | 3.50 | 12-1-2045 | 236,611 | 220,854 | ||
FHLMC | 3.50 | 5-1-2052 | 110,036 | 100,271 | ||
FHLMC (12 Month LIBOR +1.33%) ± | 3.61 | 1-1-2036 | 5,348 | 5,260 | ||
FHLMC | 4.00 | 6-1-2044 | 634,995 | 602,973 | ||
FHLMC | 4.00 | 5-1-2049 | 1,087,004 | 1,036,796 | ||
FHLMC | 5.00 | 6-1-2036 | 87,630 | 88,401 | ||
FHLMC | 5.00 | 8-1-2040 | 88,707 | 89,490 | ||
FHLMC | 5.00 | 7-1-2052 | 24,928,477 | 24,565,585 | ||
FHLMC | 5.50 | 8-1-2038 | 21,956 | 22,579 | ||
FHLMC | 5.50 | 12-1-2038 | 179,777 | 184,881 | ||
FHLMC | 5.50 | 6-1-2040 | 366,897 | 375,240 | ||
FHLMC | 5.50 | 11-1-2052 | 121,131 | 121,082 | ||
FHLMC | 8.00 | 2-1-2030 | 81 | 83 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 120,746 | 111,046 | ||
FHLMC Series T-42 Class A5 | 7.50 | 2-25-2042 | 908,064 | 924,855 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.69 | 7-25-2043 | 28,457 | 26,382 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.57 | 10-25-2043 | 130,659 | 98,013 | ||
FNMA ¤ | 0.00 | 7-15-2037 | 1,690,000 | 875,820 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 14,105,000 | 7,124,653 | ||
FNMA | 2.00 | 5-1-2051 | 31,160,508 | 25,450,482 | ||
FNMA | 2.00 | 8-1-2051 | 12,206,360 | 9,964,680 | ||
FNMA | 2.00 | 10-1-2051 | 65,045,456 | 53,008,036 | ||
FNMA | 2.00 | 12-1-2051 | 10,917,495 | 8,913,797 | ||
FNMA %% | 2.00 | 3-13-2053 | 50,035,000 | 40,746,276 | ||
FNMA | 2.50 | 1-1-2052 | 11,263,720 | 9,551,423 | ||
FNMA %% | 2.50 | 3-13-2053 | 104,965,000 | 88,904,534 | ||
FNMA (12 Month LIBOR +1.61%) ± | 2.52 | 5-1-2046 | 190,358 | 195,494 | ||
FNMA | 3.00 | 11-1-2045 | 552,885 | 498,543 | ||
FNMA | 3.00 | 12-1-2045 | 1,437,626 | 1,296,923 | ||
FNMA | 3.00 | 12-1-2046 | 737,936 | 665,481 | ||
FNMA | 3.00 | 8-1-2050 | 1,785,911 | 1,581,507 | ||
FNMA | 3.00 | 2-1-2052 | 8,738,485 | 7,702,267 | ||
FNMA (12 Month LIBOR +1.61%) ± | 3.25 | 3-1-2046 | 406,259 | 419,261 | ||
FNMA | 3.48 | 3-1-2029 | 939,519 | 888,083 | ||
FNMA | 3.50 | 12-1-2037 | 18,226,880 | 17,380,318 | ||
FNMA | 3.50 | 10-1-2043 | 510,794 | 477,599 | ||
FNMA | 3.50 | 4-1-2045 | 80,829 | 75,412 | ||
FNMA | 3.50 | 8-1-2045 | 1,248,417 | 1,163,467 | ||
FNMA | 3.50 | 3-1-2048 | 2,616,240 | 2,414,427 | ||
FNMA %% | 3.50 | 3-13-2053 | 37,770,000 | 34,379,552 | ||
FNMA | 3.62 | 3-1-2029 | 437,586 | 416,496 | ||
FNMA | 3.77 | 3-1-2029 | 1,025,462 | 984,130 | ||
FNMA (12 Month LIBOR +1.73%) ± | 3.98 | 9-1-2036 | 5,878 | 5,934 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 4.00% | 8-1-2036 | $ | 259,189 | $ 263,974 | |
FNMA %% | 4.00 | 3-16-2038 | 21,865,000 | 21,318,375 | ||
FNMA | 4.00 | 2-1-2046 | 155,651 | 149,171 | ||
FNMA | 4.00 | 4-1-2046 | 801,074 | 768,224 | ||
FNMA | 4.00 | 6-1-2048 | 882,763 | 843,957 | ||
FNMA | 4.00 | 2-1-2050 | 1,195,531 | 1,132,907 | ||
FNMA %% | 4.00 | 3-13-2053 | 44,775,000 | 42,025,535 | ||
FNMA (12 Month LIBOR +1.78%) ± | 4.03 | 8-1-2036 | 17,095 | 17,476 | ||
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 4.04 | 11-1-2038 | 12,198 | 12,427 | ||
FNMA | 4.50 | 11-1-2048 | 866,630 | 848,067 | ||
FNMA | 4.50 | 9-1-2052 | 43,023,207 | 41,575,665 | ||
FNMA %% | 4.50 | 3-13-2053 | 40,200,000 | 38,730,188 | ||
FNMA | 5.00 | 1-1-2024 | 2,449 | 2,445 | ||
FNMA | 5.00 | 2-1-2036 | 10,299 | 10,377 | ||
FNMA | 5.00 | 6-1-2040 | 27,477 | 27,686 | ||
FNMA | 5.00 | 8-1-2040 | 599,401 | 600,184 | ||
FNMA | 5.50 | 11-1-2023 | 1,636 | 1,632 | ||
FNMA | 5.50 | 8-1-2034 | 39,194 | 40,058 | ||
FNMA | 5.50 | 2-1-2035 | 11,645 | 11,890 | ||
FNMA | 5.50 | 8-1-2038 | 83,864 | 83,770 | ||
FNMA | 5.50 | 8-1-2038 | 158,828 | 158,742 | ||
FNMA %% | 5.50 | 3-13-2053 | 95,595,000 | 95,430,696 | ||
FNMA | 6.00 | 10-1-2037 | 223,044 | 231,037 | ||
FNMA | 6.00 | 11-1-2037 | 15,027 | 15,562 | ||
FNMA | 6.21 | 8-6-2038 | 11,421,000 | 13,436,984 | ||
FNMA | 6.50 | 7-1-2036 | 9,499 | 10,029 | ||
FNMA | 6.50 | 7-1-2036 | 1,811 | 1,857 | ||
FNMA | 6.50 | 11-1-2036 | 1,998 | 2,049 | ||
FNMA | 7.00 | 7-1-2036 | 5,004 | 4,923 | ||
FNMA | 7.00 | 11-1-2037 | 2,788 | 2,850 | ||
FNMA | 3.00 | 10-1-2051 | 25,872,473 | 22,879,615 | ||
FNMA | 3.00 | 11-1-2051 | 40,290,775 | 35,540,406 | ||
FNMA | 3.50 | 5-1-2052 | 11,388,847 | 10,373,806 | ||
FNMA Series 2002-T12 Class A3 | 7.50 | 5-25-2042 | 3,985 | 4,185 | ||
FNMA Series 2003-W08 Class 4A ±± | 4.02 | 11-25-2042 | 70,828 | 65,676 | ||
FNMA Series 2003-W14 Class 2A ±± | 3.28 | 6-25-2045 | 35,305 | 33,991 | ||
FNMA Series 2003-W14 Class 2A ±± | 4.12 | 1-25-2043 | 115,543 | 108,422 | ||
FNMA Series 2004-W11 Class 1A3 | 7.00 | 5-25-2044 | 663,729 | 665,240 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 248,414 | 259,732 | ||
GNMA %% | 2.00 | 3-21-2053 | 18,340,000 | 15,370,854 | ||
GNMA | 2.50 | 3-20-2052 | 16,484,857 | 14,259,915 | ||
GNMA | 2.50 | 4-20-2052 | 22,371,444 | 19,351,958 | ||
GNMA | 3.00 | 11-20-2045 | 1,159,627 | 1,057,856 | ||
GNMA | 3.00 | 4-20-2051 | 5,311,636 | 4,764,759 | ||
GNMA %% | 3.00 | 3-21-2053 | 49,020,000 | 43,755,137 | ||
GNMA | 3.50 | 9-20-2047 | 656,769 | 614,359 | ||
GNMA | 3.50 | 12-20-2047 | 1,416,170 | 1,321,337 | ||
GNMA | 4.00 | 12-20-2047 | 763,648 | 732,197 | ||
GNMA | 4.50 | 8-20-2049 | 262,459 | 256,018 | ||
GNMA | 4.50 | 7-20-2052 | 12,166,018 | 11,806,222 | ||
GNMA %% | 4.50 | 3-21-2053 | 8,000,000 | 7,756,562 | ||
GNMA | 5.00 | 7-20-2040 | 208,389 | 210,646 | ||
GNMA | 5.00 | 9-20-2052 | 9,688,995 | 9,586,636 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA %% | 5.00% | 3-21-2053 | $ | 9,240,000 | $ 9,128,831 | |
GNMA | �� | 7.50 | 12-15-2029 | 298 | 299 | |
GNMA Series 2008-22 Class XM ♀±± | 1.28 | 2-16-2050 | 454,563 | 9,083 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 4-15-2030 | 19,410,000 | 14,152,242 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 27,955,000 | 13,636,387 | ||
STRIPS ¤ | 0.00 | 5-15-2044 | 9,270,000 | 3,803,063 | ||
TVA | 5.88 | 4-1-2036 | 9,420,000 | 10,507,277 | ||
TVA Principal STRIPS ¤ | 0.00 | 4-1-2056 | 42,270,000 | 8,373,659 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 2,317,500 | 2,283,727 | ||
Total Agency securities (Cost $942,793,931) | 891,387,180 | |||||
Asset-backed securities: 6.06% | ||||||
ACHV ABS Trust Series2023-1PL Class A 144A | 6.42 | 3-18-2030 | 1,965,000 | 1,967,712 | ||
ACM Auto Trust Series 2022-1A Class A 144A | 3.23 | 4-20-2029 | 299,299 | 298,921 | ||
ACM Auto Trust Series 2022-1A Class C 144A | 5.48 | 4-20-2029 | 7,315,000 | 7,231,689 | ||
ACM Auto Trust Series 2023-1A Class A 144A | 6.61 | 1-22-2030 | 5,881,442 | 5,879,596 | ||
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 3,805,277 | 3,774,160 | ||
American Credit Acceptance Receivables Trust Series 2022-1 Class B 144A | 1.68 | 9-14-2026 | 4,398,000 | 4,318,836 | ||
Arbys Funding LLC Series 2020-1A Class A2 144A | 3.24 | 7-30-2050 | 6,532,500 | 5,670,648 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 8,700,000 | 8,001,277 | ||
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 3,925,000 | 3,324,051 | ||
CPS Auto Receivables Trust 2021-A Class D 144A | 1.16 | 12-15-2026 | 1,205,000 | 1,146,806 | ||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 12,187,500 | 11,729,262 | ||
Drive Auto Receivables Trust Series 2019-1 Class D | 4.09 | 6-15-2026 | 1,011,020 | 1,009,512 | ||
DT Auto Owner Trust Series 2021-1A Class C 144A | 0.84 | 10-15-2026 | 5,182,000 | 5,012,266 | ||
DT Auto Owner Trust Series 2021-3A Class B 144A | 0.58 | 11-17-2025 | 10,000,000 | 9,750,604 | ||
ECMC Group Student Loan Trust Series 2020-3A Class A1B (1 Month LIBOR +1.00%) 144A± | 5.62 | 1-27-2070 | 3,107,886 | 3,025,761 | ||
Exeter Automobile Receivables Series 2019-2A Class D 144A | 3.71 | 3-17-2025 | 2,918,355 | 2,893,151 | ||
First Investors Auto Owner Trust Series 2019-2A Class D 144A | 2.80 | 12-15-2025 | 3,060,000 | 2,991,189 | ||
Five Guys Funding LLC Series 17-1A Class A2 144A | 4.60 | 7-25-2047 | 1,585,850 | 1,530,415 | ||
Flagship Credit Auto Trust Series 2020-2 Class C 144A | 3.80 | 4-15-2026 | 3,224,149 | 3,207,933 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 325,854 | 324,719 | ||
GLS Auto Receivables Trust Series 2A Class B 144A | 3.16 | 6-16-2025 | 2,284,469 | 2,278,115 | ||
GLS Auto Receivables Trust Series 4A Class B 144A | 1.53 | 4-15-2026 | 1,765,000 | 1,691,848 | ||
Hertz Vehicle Financing LLC Series 1A Class B 144A | 1.56 | 12-26-2025 | 4,700,000 | 4,352,556 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 4,100,000 | 4,011,820 | ||
Neighborly Issuer LLC Series 2021-1 144A | 3.58 | 4-30-2051 | 7,860,000 | 6,459,505 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 4,925,000 | 4,436,618 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 1,029,506 | 1,020,478 | ||
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 375,089 | 361,978 | ||
Octane Receivables Trust Series 2021-1A Class B 144A | 1.53 | 4-20-2027 | 3,000,000 | 2,758,081 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59% | 5-17-2027 | $ | 12,621,944 | $ 11,740,891 | |
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 1,729,321 | 1,712,826 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 6,586,506 | 6,279,350 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 7,290,000 | 6,901,133 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class C | 1.46 | 9-15-2025 | 594,409 | 593,393 | ||
Santander Drive Auto Receivables Trust Series 2020-2 Class D | 2.22 | 9-15-2026 | 2,355,000 | 2,300,518 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 10,037,202 | 9,909,041 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 6,694,023 | 6,076,025 | ||
ServiceMaster Brands Series 2020-1 Class A2I 144A | 2.84 | 1-30-2051 | 3,626,000 | 2,982,943 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 5.44 | 12-17-2068 | 4,203,514 | 4,118,403 | ||
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 2,724,010 | 2,456,482 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 10,813,125 | 9,331,694 | ||
Taco Bell Funding LLC Series 2021-1A Class A23 144A | 2.54 | 8-25-2051 | 493,750 | 390,097 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 5.11 | 1-25-2046 | 550,400 | 547,232 | ||
Wendy's Funding LLC Series 2021-1A Class A2II 144A | 2.78 | 6-15-2051 | 541,750 | 440,220 | ||
Westlake Automobile Receivable Series 2020-1A Class C 144A | 2.52 | 4-15-2025 | 463,161 | 462,334 | ||
Westlake Automobile Receivable Series 2020-1A Class D 144A | 2.80 | 6-16-2025 | 4,748,000 | 4,679,858 | ||
Westlake Automobile Receivable Series 2020-3A Class C 144A | 1.24 | 11-17-2025 | 5,000,000 | 4,903,694 | ||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84 | 12-5-2050 | 3,602,610 | 3,116,604 | ||
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 4,846,200 | 4,010,240 | ||
Total Asset-backed securities (Cost $205,820,522) | 193,412,485 | |||||
Corporate bonds and notes: 17.65% | ||||||
Communication services: 1.45% | ||||||
Diversified telecommunication services: 0.16% | ||||||
AT&T Incorporated | 3.55 | 9-15-2055 | 7,330,000 | 4,965,367 | ||
Interactive media & services: 0.24% | ||||||
Meta Platforms Incorporated | 3.85 | 8-15-2032 | 8,555,000 | 7,687,107 | ||
Media: 0.59% | ||||||
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 5,000,000 | 3,742,763 | ||
Charter Communications Operating LLC | 4.40 | 12-1-2061 | 6,000,000 | 3,909,105 | ||
Charter Communications Operating LLC | 6.48 | 10-23-2045 | 655,000 | 592,610 | ||
Cinemark USA Incorporated 144A« | 5.25 | 7-15-2028 | 1,500,000 | 1,260,375 | ||
CSC Holdings LLC 144A | 4.63 | 12-1-2030 | 2,000,000 | 1,076,750 | ||
Magallanes Incorporated 144A | 5.14 | 3-15-2052 | 5,135,000 | 4,025,346 |
Interest rate | Maturity date | Principal | Value | |||
Media (continued) | ||||||
QVC Incorporated | 4.38% | 9-1-2028 | $ | 2,175,000 | $ 1,211,888 | |
Time Warner Cable Incorporated | 5.50 | 9-1-2041 | 3,605,000 | 3,034,927 | ||
18,853,764 | ||||||
Wireless telecommunication services: 0.46% | ||||||
SBA Tower Trust 144A | 1.63 | 5-15-2051 | 6,595,000 | 5,630,183 | ||
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 2,210,625 | 2,185,132 | ||
Sprint Spectrum Company 144A | 5.15 | 9-20-2029 | 6,900,000 | 6,823,402 | ||
14,638,717 | ||||||
Consumer discretionary: 0.95% | ||||||
Diversified consumer services: 0.07% | ||||||
Howard University | 5.21 | 10-1-2052 | 2,565,000 | 2,095,814 | ||
Hotels, restaurants & leisure: 0.32% | ||||||
Genting New York LLC 144A | 3.30 | 2-15-2026 | 3,920,000 | 3,428,666 | ||
Royal Caribbean Cruises Limited | 4.25 | 6-15-2023 | 3,400,000 | 3,647,616 | ||
Royal Caribbean Cruises Limited 144A | 11.63 | 8-15-2027 | 3,000,000 | 3,195,120 | ||
10,271,402 | ||||||
Household durables: 0.13% | ||||||
KB Home Company | 4.00 | 6-15-2031 | 3,000,000 | 2,450,183 | ||
KB Home Company | 4.80 | 11-15-2029 | 2,000,000 | 1,745,000 | ||
4,195,183 | ||||||
Multiline retail: 0.14% | ||||||
LSF9 Atlantis Holdings LLC 144A | 7.75 | 2-15-2026 | 5,000,000 | 4,396,543 | ||
Specialty retail: 0.09% | ||||||
Michaels Companies Incorporated 144A | 7.88 | 5-1-2029 | 1,500,000 | 1,128,750 | ||
Rent-A-Center Incorporated 144A« | 6.38 | 2-15-2029 | 2,000,000 | 1,715,740 | ||
2,844,490 | ||||||
Textiles, apparel & luxury goods: 0.20% | ||||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 6,753,000 | 6,474,439 | ||
Consumer staples: 0.20% | ||||||
Food products: 0.18% | ||||||
Smithfield Foods Incorporated 144A | 2.63 | 9-13-2031 | 8,000,000 | 5,866,076 | ||
Tobacco: 0.02% | ||||||
Reynolds American Incorporated | 7.00 | 8-4-2041 | 450,000 | 447,348 | ||
Energy: 1.01% | ||||||
Oil, gas & consumable fuels: 1.01% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 3,000,000 | 2,885,495 | ||
Devon Energy Corporation | 5.25 | 10-15-2027 | 4,482,000 | 4,430,072 | ||
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 2,255,000 | 1,969,720 | ||
Energy Transfer Partners LP | 5.00 | 5-15-2050 | 5,965,000 | 4,887,960 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 2,275,000 | 2,193,919 | ||
Kinder Morgan Incorporated | 5.20 | 6-1-2033 | 6,500,000 | 6,189,276 | ||
Occidental Petroleum Corporation | 4.30 | 8-15-2039 | 3,000,000 | 2,347,500 | ||
Plains All American Pipeline LP | 3.55 | 12-15-2029 | 5,420,000 | 4,699,541 |
Interest rate | Maturity date | Principal | Value | |||
Oil, gas & consumable fuels (continued) | ||||||
Rockies Express Pipeline LLC 144A | 4.95% | 7-15-2029 | $ | 1,975,000 | $ 1,718,053 | |
Rockies Express Pipeline LLC 144A | 6.88 | 4-15-2040 | 1,000,000 | 818,867 | ||
32,140,403 | ||||||
Financials: 7.39% | ||||||
Banks: 2.39% | ||||||
Bank of America Corporation (3 Month LIBOR +0.64%) ± | 2.02 | 2-13-2026 | 5,000,000 | 4,651,995 | ||
Bank of America Corporation (U.S. SOFR +1.22%) ± | 2.65 | 3-11-2032 | 7,655,000 | 6,218,344 | ||
Bank of America Corporation (3 Month LIBOR +1.58%) ± | 3.82 | 1-20-2028 | 6,000,000 | 5,631,289 | ||
Bank of America Corporation (3 Month LIBOR +3.90%) ± | 6.10 | 12-29-2049 | 2,590,000 | 2,564,100 | ||
Bank of America Corporation (5 Year Treasury Constant Maturity +2.76%) ʊ± | 4.38 | 1-27-2027 | 2,500,000 | 2,166,000 | ||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 5,000,000 | 4,575,000 | ||
Citigroup Incorporated (U.S. SOFR +2.09%) ± | 4.91 | 5-24-2033 | 7,765,000 | 7,358,762 | ||
Citigroup Incorporated (U.S. SOFR 3 Month +4.78%) ± | 6.25 | 12-29-2049 | 1,030,000 | 1,026,179 | ||
JPMorgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 3,165,000 | 2,779,271 | ||
JPMorgan Chase & Company (U.S. SOFR +1.02%) ± | 2.07 | 6-1-2029 | 7,000,000 | 5,902,164 | ||
JPMorgan Chase & Company (5 Year Treasury Constant Maturity +2.85%) ʊ± | 3.65 | 6-1-2026 | 4,000,000 | 3,472,075 | ||
JPMorgan Chase & Company (U.S. SOFR +1.75%) ± | 4.57 | 6-14-2030 | 4,040,000 | 3,842,375 | ||
JPMorgan Chase & Company (3 Month LIBOR +3.25%) ± | 5.15 | 12-29-2049 | 3,625,000 | 3,620,469 | ||
JPMorgan Chase & Company (U.S. SOFR +2.58%) ± | 5.72 | 9-14-2033 | 2,260,000 | 2,245,741 | ||
M&T Bank Corporation (U.S. SOFR +1.85%) ± | 5.05 | 1-27-2034 | 10,080,000 | 9,619,045 | ||
PNC Financial Services (3 Month LIBOR +3.30%) ± | 5.00 | 12-29-2049 | 565,000 | 526,580 | ||
PNC Financial Services (5 Year Treasury Constant Maturity +3.00%) ʊ± | 6.00 | 5-15-2027 | 1,850,000 | 1,788,950 | ||
PNC Financial Services (7 Year Treasury Constant Maturity +2.81%) ± | 6.25 | 12-31-2049 | 2,750,000 | 2,660,625 | ||
Wells Fargo & Company (U.S. SOFR +1.32%) ± | 3.91 | 4-25-2026 | 5,700,000 | 5,497,979 | ||
76,146,943 | ||||||
Capital markets: 1.53% | ||||||
Ares Capital Corporation | 2.88 | 6-15-2028 | 1,980,000 | 1,626,352 | ||
Athene Global Funding 144A | 1.99 | 8-19-2028 | 2,860,000 | 2,336,773 | ||
BAT Capital Corporation | 5.65 | 3-16-2052 | 2,845,000 | 2,399,782 | ||
Blackstone Holdings Finance Company LLC 144A | 5.00 | 6-15-2044 | 1,015,000 | 890,977 | ||
Blackstone Private Equity Funds 144A | 6.20 | 4-22-2033 | 9,485,000 | 9,732,607 | ||
Charles Schwab Corporation (5 Year Treasury Constant Maturity +3.17%) ʊ± | 4.00 | 6-1-2026 | 4,000,000 | 3,639,653 | ||
Goldman Sachs Group Incorporated (U.S. SOFR +1.25%) ± | 2.38 | 7-21-2032 | 5,535,000 | 4,347,300 | ||
Goldman Sachs Group Incorporated | 3.63 | 2-20-2024 | 7,000,000 | 6,874,332 | ||
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 4,850,000 | 3,838,695 | ||
Morgan Stanley (U.S. SOFR +1.73%) ± | 5.12 | 2-1-2029 | 8,930,000 | 8,769,343 | ||
Morgan Stanley (U.S. SOFR +2.62%) ± | 5.30 | 4-20-2037 | 4,850,000 | 4,519,233 | ||
48,975,047 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance: 1.45% | ||||||
Daimler Truck Financial NA Company 144A | 5.13% | 1-19-2028 | $ | 13,825,000 | $ 13,616,250 | |
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 4,205,000 | 3,723,963 | ||
PECF USS Intermediate Holding III Corporation 144A | 8.00 | 11-15-2029 | 1,500,000 | 1,054,404 | ||
Private Export Funding Corporation 144A | 0.55 | 7-30-2024 | 29,766,000 | 27,823,169 | ||
46,217,786 | ||||||
Diversified financial services: 0.80% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 4,940,000 | 4,263,832 | ||
Camelot Return Merger Sub Incorporated 144A | 8.75 | 8-1-2028 | 5,000,000 | 4,750,000 | ||
KKR Group Finance Company LLC 144A | 3.50 | 8-25-2050 | 1,910,000 | 1,290,261 | ||
National Rural Utilities Cooperative Finance Corporation | 5.80 | 1-15-2033 | 8,015,000 | 8,251,537 | ||
Sammons Financial Group 144A | 4.75 | 4-8-2032 | 6,500,000 | 5,490,526 | ||
Sammons Financial Group 144A | 3.35 | 4-16-2031 | 1,875,000 | 1,459,517 | ||
25,505,673 | ||||||
Insurance: 1.06% | ||||||
Athene Global Funding 144A | 2.55 | 11-19-2030 | 3,000,000 | 2,363,704 | ||
Guardian Life Insurance Company 144A | 4.85 | 1-24-2077 | 1,045,000 | 873,482 | ||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 6,955,000 | 4,934,483 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 4,000,000 | 2,857,757 | ||
Metlife Incorporated (5 Year Treasury Constant Maturity +3.58%) ʊ± | 3.85 | 9-15-2025 | 7,000,000 | 6,573,350 | ||
MetLife Incorporated | 5.00 | 7-15-2052 | 4,430,000 | 4,244,392 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 1,668,000 | 1,531,323 | ||
Northwestern Mutual Life 144A | 3.63 | 9-30-2059 | 1,500,000 | 1,060,923 | ||
OneAmerica Financial Partners Incorporated 144A | 4.25 | 10-15-2050 | 570,000 | 414,707 | ||
Prudential Financial Incorporated (5 Year Treasury Constant Maturity +3.16%) ± | 5.13 | 3-1-2052 | 3,600,000 | 3,289,860 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 3,000,000 | 2,823,322 | ||
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 2,329,000 | 2,905,991 | ||
33,873,294 | ||||||
Thrifts & mortgage finance: 0.16% | ||||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 3,600,000 | 3,537,900 | ||
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 1,820,000 | 1,700,629 | ||
5,238,529 | ||||||
Health care: 0.24% | ||||||
Biotechnology: 0.05% | ||||||
Amgen Incorporated %% | 5.65 | 3-2-2053 | 910,000 | 902,509 | ||
Amgen Incorporated %% | 5.75 | 3-2-2063 | 650,000 | 641,032 | ||
1,543,541 | ||||||
Health care providers & services: 0.19% | ||||||
UnitedHealth Group Incorporated | 5.88 | 2-15-2053 | 3,595,000 | 3,877,967 | ||
UnitedHealth Group Incorporated | 6.05 | 2-15-2063 | 2,125,000 | 2,325,710 | ||
6,203,677 |
Interest rate | Maturity date | Principal | Value | |||
Industrials: 1.17% | ||||||
Aerospace & defense: 0.21% | ||||||
Spirit AeroSystems Incorporated 144A | 9.38% | 11-30-2029 | $ | 2,000,000 | $ 2,112,500 | |
The Boeing Company | 5.81 | 5-1-2050 | 4,820,000 | 4,584,911 | ||
6,697,411 | ||||||
Airlines: 0.56% | ||||||
Delta Air Lines Incorporated | 2.00 | 12-10-2029 | 3,168,169 | 2,773,630 | ||
Delta Air Lines Incorporated 144A | 4.75 | 10-20-2028 | 2,850,000 | 2,706,691 | ||
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 4,331,498 | 4,294,358 | ||
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 8,212,500 | 8,212,500 | ||
17,987,179 | ||||||
Commercial services & supplies: 0.04% | ||||||
Allied Universal Holdco LLC 144A | 6.00 | 6-1-2029 | 1,750,000 | 1,303,704 | ||
Industrial conglomerates: 0.04% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 8.10 | 12-29-2049 | 1,166,000 | 1,164,461 | ||
Trading companies & distributors: 0.13% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 1,640,000 | 1,464,621 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 1,659,000 | 1,618,144 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 1,110,000 | 1,140,444 | ||
4,223,209 | ||||||
Transportation infrastructure: 0.19% | ||||||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2026 | 5,630,000 | 4,496,244 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2027 | 1,050,000 | 778,386 | ||
Toll Road Investors Partnership II LP 144A¤ | 0.00 | 2-15-2028 | 1,150,000 | 787,926 | ||
6,062,556 | ||||||
Information technology: 2.53% | ||||||
Communications equipment: 0.17% | ||||||
Motorola Solutions Incorporated | 5.60 | 6-1-2032 | 5,476,000 | 5,360,293 | ||
Electronic equipment, instruments & components: 0.01% | ||||||
Dell International LLC | 8.35 | 7-15-2046 | 291,000 | 330,343 | ||
IT services: 0.50% | ||||||
Fidelity National Information Services Incorporated | 5.63 | 7-15-2052 | 1,485,000 | 1,387,213 | ||
Global Payments Incorporated | 5.95 | 8-15-2052 | 3,295,000 | 3,046,413 | ||
Kyndryl Holdings Incorporated | 2.05 | 10-15-2026 | 7,700,000 | 6,618,380 | ||
Sabre GLBL Incorporated 144A | 11.25 | 12-15-2027 | 5,000,000 | 4,996,850 | ||
16,048,856 | ||||||
Semiconductors & semiconductor equipment: 1.02% | ||||||
Intel Corporation | 5.70 | 2-10-2053 | 9,550,000 | 9,332,027 | ||
KLA Corporation | 4.95 | 7-15-2052 | 3,280,000 | 3,101,870 |
Interest rate | Maturity date | Principal | Value | |||
Semiconductors & semiconductor equipment (continued) | ||||||
Marvell Technology Incorporated | 4.88% | 6-22-2028 | $ | 10,775,000 | $ 10,418,979 | |
Micron Technology Incorporated | 5.88 | 2-9-2033 | 10,120,000 | 9,804,420 | ||
32,657,296 | ||||||
Software: 0.83% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 13,000,000 | 10,366,819 | ||
Oracle Corporation | 3.95 | 3-25-2051 | 9,180,000 | 6,593,839 | ||
Oracle Corporation | 4.90 | 2-6-2033 | 10,000,000 | 9,444,913 | ||
26,405,571 | ||||||
Materials: 0.06% | ||||||
Containers & packaging: 0.06% | ||||||
Clydesdale Acquisition Holdings Incorporated 144A | 8.75 | 4-15-2030 | 2,000,000 | 1,806,760 | ||
Real estate: 1.44% | ||||||
Equity REITs: 1.44% | ||||||
Brandywine Operating Partnership Series 3 | 7.55 | 3-15-2028 | 5,370,000 | 5,264,899 | ||
EPR Properties | 3.60 | 11-15-2031 | 2,060,000 | 1,550,239 | ||
EPR Properties | 3.75 | 8-15-2029 | 3,870,000 | 3,154,169 | ||
EQUINIX Incorporated | 3.90 | 4-15-2032 | 7,000,000 | 6,185,528 | ||
GLP Capital LP | 3.25 | 1-15-2032 | 5,000,000 | 3,971,688 | ||
MPT Operating Partnership LP | 3.50 | 3-15-2031 | 5,000,000 | 3,427,300 | ||
National Health Investor Company | 3.00 | 2-1-2031 | 2,000,000 | 1,500,183 | ||
Omega Healthcare Investors Incorporated | 3.38 | 2-1-2031 | 2,930,000 | 2,308,888 | ||
Omega Healthcare Investors Incorporated | 3.63 | 10-1-2029 | 4,495,000 | 3,727,613 | ||
Omega Healthcare Investors Incorporated | 4.75 | 1-15-2028 | 840,000 | 787,867 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 8,140,000 | 7,699,435 | ||
Service Properties Trust Company | 4.35 | 10-1-2024 | 3,000,000 | 2,871,600 | ||
Service Properties Trust Company | 4.75 | 10-1-2026 | 2,000,000 | 1,735,000 | ||
WEA Finance LLC 144A | 4.75 | 9-17-2044 | 2,610,000 | 1,843,407 | ||
46,027,816 | ||||||
Utilities: 1.21% | ||||||
Electric utilities: 0.99% | ||||||
Basin Electric Power Cooperative 144A | 4.75 | 4-26-2047 | 2,315,000 | 1,940,654 | ||
NRG Energy Incorporated 144A | 4.45 | 6-15-2029 | 6,415,000 | 5,708,267 | ||
Oglethorpe Power Corporation | 5.05 | 10-1-2048 | 1,060,000 | 927,954 | ||
Oklahoma Gas & Electric Company | 5.40 | 1-15-2033 | 3,600,000 | 3,612,428 | ||
Oncor Electric Delivery Company | 2.95 | 4-1-2025 | 9,369,000 | 8,921,755 | ||
Southern California Edison Company | 3.65 | 2-1-2050 | 1,600,000 | 1,175,382 | ||
Vistra Operations Company LLC 144A | 3.70 | 1-30-2027 | 10,325,000 | 9,453,691 | ||
31,740,131 | ||||||
Multi-utilities: 0.22% | ||||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 2,865,000 | 2,865,000 |
Interest rate | Maturity date | Principal | Value | |||
Multi-utilities (continued) | ||||||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 5.21% | 5-13-2024 | $ | 2,480,000 | $ 2,468,099 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 5.28 | 3-2-2023 | 1,647,000 | 1,647,000 | ||
6,980,099 | ||||||
Total Corporate bonds and notes (Cost $616,014,528) | 563,376,828 | |||||
Foreign corporate bonds and notes : 2.33% | ||||||
Communication services: 0.41% | ||||||
Diversified telecommunication services: 0.10% | ||||||
Infrastrutture Wireless Italiane SpA | 1.75 | 4-19-2031 | EUR | 3,800,000 | 3,175,954 | |
Media: 0.17% | ||||||
SES SA | 2.88 | 12-31-2049 | EUR | 1,800,000 | 1,601,717 | |
Tele Columbus AG 144A | 3.88 | 5-2-2025 | EUR | 2,320,000 | 1,957,029 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 2,500,000 | 2,003,019 | |
5,561,765 | ||||||
Wireless telecommunication services: 0.14% | ||||||
Tele2 AB Company | 0.75 | 3-23-2031 | EUR | 5,400,000 | 4,355,649 | |
Consumer discretionary: 0.30% | ||||||
Auto components: 0.07% | ||||||
Adler Pelzer Holding GmbH 144A | 4.13 | 4-1-2024 | EUR | 2,480,000 | 2,147,271 | |
Automobiles: 0.23% | ||||||
Jaguar Land Rover Automobiles Company 144A | 6.88 | 11-15-2026 | EUR | 5,700,000 | 5,712,974 | |
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 1,800,000 | 1,832,712 | |
7,545,686 | ||||||
Consumer staples: 0.25% | ||||||
Food products: 0.04% | ||||||
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 1,500,000 | 1,270,303 | |
Tobacco: 0.21% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | EUR | 2,000,000 | 2,006,964 | |
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 5,250,000 | 4,513,616 | |
6,520,580 | ||||||
Energy: 0.09% | ||||||
Oil, gas & consumable fuels: 0.09% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 3,200,000 | 2,898,043 | |
Financials: 0.80% | ||||||
Banks: 0.51% | ||||||
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 | 3,010,478 | |
Deutsche Bank (3 Month EURIBOR +2.95%) ± | 5.00 | 9-5-2030 | EUR | 7,000,000 | 7,184,076 | |
Nordea Bank (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.00%) ʊ«± | 3.50 | 3-12-2025 | EUR | 6,000,000 | 5,937,503 | |
16,132,057 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance: 0.29% | ||||||
Abertis Finance BV Company | 2.63% | 1-26-2027 | EUR | 2,900,000 | $ 2,530,546 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 3,400,000 | 2,709,958 | |
Repsol International Finance Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +2.77%) ± | 2.50 | 12-31-2049 | EUR | 4,500,000 | 4,081,398 | |
9,321,902 | ||||||
Industrials: 0.19% | ||||||
Containers & packaging: 0.15% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 5,500,000 | 4,616,706 | |
Electrical equipment: 0.04% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 1,300,000 | 1,383,565 | |
Real estate: 0.04% | ||||||
Real estate management & development: 0.04% | ||||||
Akelius Residential Property AB (EURIBOR ICE Swap Rate 11:00am +3.49%) ± | 3.88 | 10-5-2078 | EUR | 1,254,000 | 1,279,906 | |
Utilities: 0.25% | ||||||
Independent power & renewable electricity producers: 0.25% | ||||||
RWE AG | 2.75 | 5-24-2030 | EUR | 8,330,000 | 8,034,526 | |
Total Foreign corporate bonds and notes (Cost $84,527,128) | 74,243,913 | |||||
Foreign government bonds : 6.10% | ||||||
Bonos y Obligaciones del Estado ¤ | 0.00 | 1-31-2028 | EUR | 27,435,000 | 24,676,898 | |
Brazil ¤ | 0.00 | 1-1-2024 | BRL | 57,000,000 | 9,808,351 | |
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 60,000,000 | 9,743,644 | |
Brazil | 10.00 | 1-1-2025 | BRL | 8,600,000 | 1,574,298 | |
Brazil | 10.00 | 1-1-2029 | BRL | 8,000,000 | 1,336,054 | |
France | 0.75 | 2-25-2028 | EUR | 69,285,000 | 65,653,402 | |
Germany | 1.30 | 10-15-2027 | EUR | 66,770,000 | 66,287,648 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 64,915,000 | 14,612,800 | |
Mexico | 3.75 | 2-21-2024 | EUR | 1,000,000 | 1,032,442 | |
Total Foreign government bonds (Cost $204,029,265) | 194,725,537 | |||||
Loans: 0.59% | ||||||
Communication services: 0.11% | ||||||
Media: 0.11% | ||||||
DIRECTV Financing LLC (1 Month LIBOR +5.00%) ± | 9.63 | 8-2-2027 | $ | 3,550,000 | 3,448,754 | |
Energy: 0.10% | ||||||
Oil, gas & consumable fuels: 0.10% | ||||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 9.23 | 9-29-2028 | 3,099,970 | 3,086,671 | ||
Health care: 0.01% | ||||||
Health care equipment & supplies: 0.01% | ||||||
Surgery Center Holdings Incorporated (1 Month LIBOR +3.75%) ± | 8.36 | 8-31-2026 | 404,670 | 401,356 |
Interest rate | Maturity date | Principal | Value | |||
Industrials: 0.29% | ||||||
Airlines: 0.12% | ||||||
AAdvantage Loyalty IP Limited (1 Month LIBOR +4.75%) ± | 9.56% | 4-20-2028 | $ | 1,583,000 | $ 1,620,058 | |
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 10.00 | 6-21-2027 | 2,227,500 | 2,317,157 | ||
3,937,215 | ||||||
Commercial services & supplies: 0.11% | ||||||
The Geo Group Incorporated (1 Month LIBOR +7.13%) ± | 11.74 | 3-23-2027 | 3,609,933 | 3,634,444 | ||
Machinery: 0.06% | ||||||
Vertical US Newco Incorporated (1 Month LIBOR +3.50%) ± | 8.60 | 7-30-2027 | 878,115 | 857,672 | ||
Werner FinCo LP (3 Month LIBOR +4.00%) ± | 8.73 | 7-24-2024 | 1,012,092 | 941,246 | ||
1,798,918 | ||||||
Information technology: 0.05% | ||||||
Software: 0.05% | ||||||
MPH Acquisition Holdings LLC (1 Month LIBOR +4.25%) ± | 9.20 | 9-1-2028 | 1,979,950 | 1,660,188 | ||
Materials: 0.03% | ||||||
Construction materials: 0.03% | ||||||
Standard Industries Incorporated (3 Month LIBOR +2.25%) ± | 6.43 | 9-22-2028 | 876,048 | 872,964 | ||
Total Loans (Cost $18,968,747) | 18,840,510 | |||||
Municipal obligations: 0.23% | ||||||
California: 0.05% | ||||||
Transportation revenue: 0.05% | ||||||
Alameda CA Corridor Transportation Authority CAB Refunding Bond Subordinated Series B (Ambac Insured)¤ | 0.00 | 10-1-2028 | 2,115,000 | 1,563,556 | ||
Illinois: 0.11% | ||||||
GO revenue: 0.05% | ||||||
Will County IL Lincoln-Way Community High School District #210 Unrefunded Bond CAB (AGM Insured)¤ | 0.00 | 1-1-2025 | 1,820,000 | 1,691,861 | ||
Tax revenue: 0.06% | ||||||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2010-B1 (AGM Insured)¤ | 0.00 | 6-15-2026 | 1,975,000 | 1,740,191 | ||
Metropolitan Pier & Exposition Authority Illinois CAB McCormick Place Expansion Project Series 2012-B ¤ | 0.00 | 12-15-2051 | 765,000 | 156,425 | ||
1,896,616 |
Interest rate | Maturity date | Principal | Value | |||
Kansas: 0.00% | ||||||
Health revenue: 0.00% | ||||||
Kansas Development Finance Authority Village Shalom Project Series 2018-B | 4.00% | 11-15-2025 | $ | 90,000 | $ 84,392 | |
Maryland: 0.01% | ||||||
Education revenue: 0.01% | ||||||
Maryland Health & HEFAR Green Street Academy Series B 144A | 6.75 | 7-1-2023 | 195,000 | 193,973 | ||
Pennsylvania: 0.06% | ||||||
Education revenue: 0.06% | ||||||
Commonwealth of Pennsylvania Financing Authority Series A | 4.14 | 6-1-2038 | 1,995,000 | 1,819,755 | ||
Total Municipal obligations (Cost $7,328,986) | 7,250,153 | |||||
Non-agency mortgage-backed securities: 11.74% | ||||||
Achieve Mortgage Series 2022-HE1 Class A 144A±± | 7.00 | 10-25-2037 | 11,218,352 | 11,226,326 | ||
Agate Bay Mortgage Loan Trust Series 2015-3 Class B3 144A±± | 3.54 | 4-25-2045 | 876,860 | 776,692 | ||
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 5.84 | 7-25-2029 | 4,321,752 | 4,306,388 | ||
American Money Management Corporation Series 2015-16A Class AR2 (3 Month LIBOR +0.98%) 144A± | 5.77 | 4-14-2029 | 1,352,416 | 1,349,082 | ||
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 187,991 | 187,072 | ||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 1,074,316 | 962,908 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 6.35 | 9-20-2029 | 10,000,000 | 9,718,370 | ||
Apidos CLO Series 2019 Class 3-1-A (3 Month LIBOR +3.10%) 144A± | 7.89 | 4-15-2031 | 3,000,000 | 2,824,749 | ||
Bain Capital Create CLO Limited Series 2017 Class 1 (3 Month LIBOR +1.95%) 144A± | 6.76 | 7-20-2030 | 3,725,000 | 3,590,170 | ||
BDS Limited Series 2021-FL9 Class B (1 Month LIBOR +1.70%) 144A± | 6.29 | 11-16-2038 | 5,475,000 | 5,240,010 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 7,370,550 | 6,682,472 | ||
Brightspire Capital Incorporated Series 2021-FL1 Class A (1 Month LIBOR +1.15%) 144A± | 5.74 | 8-19-2038 | 5,775,000 | 5,607,721 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A | 2.72 | 11-25-2059 | 819,627 | 791,089 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 4,975,000 | 4,286,381 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 6.48 | 10-15-2036 | 8,035,000 | 7,657,493 | ||
BX Trust Series 2022 Class A (1 Month LIBOR +0.90%) 144A± | 5.49 | 10-15-2036 | 3,680,000 | 3,590,148 | ||
BX Trust Series 2022 Class C 144A | 6.79 | 10-13-2027 | 1,000,000 | 974,483 | ||
Carlyle Global Market Series 2016-1A Class R2 (3 Month LIBOR +3.35%) 144A± | 8.16 | 4-20-2034 | 1,500,000 | 1,360,938 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 366,244 | 353,937 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 5,750,000 | 5,244,124 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46% | 11-13-2050 | $ | 1,035,000 | $ 956,590 | |
Change Mortgage Trust Series 2022-1 Class A1 144A±± | 3.01 | 1-25-2067 | 6,775,507 | 6,045,132 | ||
CIFC Funding Limited Series 2012-2RA Class A1 (3 Month LIBOR +0.80%) 144A± | 5.61 | 1-20-2028 | 963,232 | 958,944 | ||
Colt Funding LLC Series 2022-7 Class A1 144A | 5.16 | 4-25-2067 | 6,370,583 | 6,237,862 | ||
Credit Suisse Mortgage Trust Series 2013-IVR2 Class B4 144A±± | 3.39 | 4-25-2043 | 766,012 | 679,389 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 5,492,678 | 4,322,790 | ||
CSMLT Trust Series 2015-1 Class B4 144A±± | 3.79 | 5-25-2045 | 2,435,960 | 2,204,334 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.13%) 144A± | 5.73 | 12-19-2030 | 582,684 | 576,106 | ||
Dryden Senior Loan Fund Series 2013-28A Class A2LR (3 Month LIBOR +1.65%) 144A± | 6.51 | 8-15-2030 | 4,000,000 | 3,953,060 | ||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 6.71 | 5-15-2032 | 3,550,000 | 3,361,949 | ||
Educational Services of America Series 2015-1 Class A (1 Month LIBOR +0.80%) 144A± | 5.42 | 10-25-2056 | 474,581 | 467,429 | ||
Financial Asset Securitization Incorporated Series 1997-NAM2 Class B2 † | 8.00 | 7-25-2027 | 15,908 | 2 | ||
FirstKey Homes Trust Series 2021 Class A 144A | 1.54 | 8-17-2038 | 1,382,380 | 1,207,577 | ||
FirstKey Homes Trust Series 2021 Class B 144A | 1.61 | 9-17-2038 | 8,675,000 | 7,563,435 | ||
FirstKey Homes Trust Series 2021 Class C 144A | 1.89 | 8-17-2038 | 6,770,000 | 5,873,420 | ||
FREMF Mortgage Trust Series 2020-KF76 Class B (1 Month LIBOR +2.75%) 144A± | 7.32 | 1-25-2030 | 2,166,996 | 2,075,729 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 6.39 | 11-16-2036 | 3,000,000 | 2,838,901 | ||
GCAT Series 2019-RPl1 Class A1 144A±± | 2.65 | 10-25-2068 | 2,051,483 | 1,922,798 | ||
Gilbert Park CLO Series 2017-1A Class B (3 Month LIBOR +1.60%) 144A± | 6.39 | 10-15-2030 | 3,000,000 | 2,954,529 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-GSA1 Class C ±± | 3.81 | 11-10-2052 | 500,000 | 405,907 | ||
Goldman Sachs Mortgage Securities Trust Series 2019-PJ2 Class A4 144A±± | 4.00 | 11-25-2049 | 206,165 | 191,935 | ||
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR +2.25%) 144A± | 6.77 | 4-1-2024 | 11,999,887 | 11,957,988 | ||
Gracie Point International Funding Series 2022-2A Class A (30 Day Average U.S. SOFR +2.75%) 144A± | 7.27 | 7-1-2024 | 9,405,000 | 9,416,467 | ||
GS Mortgage Securities Trust Series 2017-GS7 Class A3 | 3.17 | 8-10-2050 | 990,000 | 910,397 | ||
Homeward Opportunities Fund Trust Series 2020-2 Class A2 144A±± | 2.64 | 5-25-2065 | 715,000 | 692,978 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 5.59 | 11-15-2036 | 2,274,077 | 2,254,319 | ||
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 875,492 | 769,855 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 1,608,431 | 1,324,464 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3 144A±± | 4.45 | 5-25-2067 | 17,223,000 | 14,580,778 | ||
Jonah Energy LLC Series 2022-1 Class A1 144A | 7.20 | 12-10-2037 | 10,919,882 | 10,822,081 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-3 Class B4 144A±± | 3.35% | 7-25-2043 | $ | 3,616,907 | $ 2,618,368 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 5.55 | 7-15-2036 | 2,299,009 | 2,273,836 | ||
JPMorgan Mortgage Trust Series 2014-2 Class B4 144A±± | 3.41 | 6-25-2029 | 1,215,000 | 1,001,711 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 1,249,723 | 1,100,354 | ||
Marlette Funding Trust Series 2019-2A Class C 144A | 4.11 | 7-16-2029 | 1,011,778 | 1,008,716 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 3,803,430 | 3,722,836 | ||
MED Trust Series 2021-MDLN Class B (1 Month LIBOR +1.45%) 144A± | 6.04 | 11-15-2038 | 8,973,342 | 8,771,513 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 5.53 | 7-15-2036 | 5,177,095 | 5,040,483 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022-FL8 Class C (30 Day Average U.S. SOFR +2.20%) 144A± | 6.63 | 2-19-2037 | 8,750,000 | 8,214,124 | ||
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,038,601 | 950,954 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 2,650,000 | 2,123,957 | ||
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 3,252,485 | 2,878,495 | ||
Mill City Mortgage Trust Series 2019 Class M2 144A±± | 3.25 | 7-25-2059 | 4,592,000 | 3,758,983 | ||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C30 Class B ±± | 3.31 | 9-15-2049 | 610,000 | 532,996 | ||
Morgan Stanley Capital I Trust 2014-150E Class A 144A | 3.91 | 9-9-2032 | 3,695,000 | 3,253,528 | ||
New Residential Mortgage Loan Trust Series 2019-RPL3 Class M1 144A±± | 3.25 | 7-25-2059 | 5,000,000 | 4,166,637 | ||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 6.26 | 3-17-2030 | 8,205,000 | 8,033,163 | ||
Octane Receivables Trust 2023-1 Class A 144A | 5.87 | 5-21-2029 | 3,740,000 | 3,737,663 | ||
Octane Receivables Trust 2023-1 Class B 144A | 5.96 | 7-20-2029 | 3,045,000 | 3,036,740 | ||
Octane Receivables Trust Series 2022-2A Class A 144A | 5.11 | 2-22-2028 | 5,804,498 | 5,747,729 | ||
Ondeck Asset Securitization Trust Series 2021-1A Class B 144A | 2.28 | 5-17-2027 | 3,994,286 | 3,588,780 | ||
OneMain Financial Issuance Trust Series 2020-1A Class A 144A | 3.84 | 5-14-2032 | 1,483,130 | 1,474,825 | ||
Onslow Bay Financial LLC Series 2020 Class A21 144A±± | 3.50 | 12-25-2049 | 790,005 | 698,794 | ||
Onslow Bay Financial LLC Series 2022 Class A1 144A | 5.11 | 8-25-2062 | 5,140,478 | 5,032,039 | ||
Pagaya AI Debt Selection Trust 2023-1 144A | 7.56 | 7-15-2030 | 5,885,000 | 5,898,770 | ||
Palmer Square Loan Funding Limited Series 2021-3A Class A2 (3 Month LIBOR +1.40%) 144A± | 6.21 | 7-20-2029 | 12,060,000 | 11,886,638 | ||
Parallel Limited Series 2021-1A Class D (3 Month LIBOR +3.45%) 144A± | 8.24 | 7-15-2034 | 8,500,000 | 7,593,577 | ||
Pawnee Equipment Receivables Series 2021-1 Class A2 144A | 1.10 | 7-15-2027 | 1,369,990 | 1,312,753 | ||
Residential Mortgage Loan Trust Series 2020-1 Class M1 144A±± | 3.24 | 1-26-2060 | 5,000,000 | 4,173,163 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10% | 1-25-2065 | $ | 1,050,076 | $ 964,737 | |
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class D 144A±± | 4.39 | 1-5-2043 | 1,927,000 | 1,037,547 | ||
Shellpoint Company Originator Trust Series 2016-1 Class B2 144A±± | 3.56 | 11-25-2046 | 4,913,188 | 4,264,902 | ||
Sierra Receivables Funding Series 2018-3A Class C 144A | 4.17 | 9-20-2035 | 341,379 | 331,777 | ||
Sound Point CLO Limited Series 2013-2RA Class A1 (3 Month LIBOR +0.95%) 144A± | 5.74 | 4-15-2029 | 1,829,802 | 1,812,534 | ||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 6.34 | 4-15-2030 | 10,340,000 | 10,004,726 | ||
Starwood Commercial Mortgage Trust Series 2022-FL3 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 5.75 | 11-15-2038 | 1,100,000 | 1,063,363 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 2,208,119 | 1,829,388 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.50 | 11-25-2060 | 3,575,610 | 3,492,575 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 790,752 | 748,975 | ||
Towd Point Mortgage Trust Series 2019-4 Class M1 144A±± | 3.50 | 10-25-2059 | 4,000,000 | 3,404,663 | ||
Towd Point Mortgage Trust Series 2019-4 Class M2 144A±± | 3.75 | 10-25-2059 | 3,680,000 | 2,935,560 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 367,828 | 361,219 | ||
Towd Point Mortgage Trust Series 2023-2 Class A 144A | 6.88 | 2-25-2063 | 10,560,000 | 10,568,744 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 1,140,000 | 1,053,123 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 5.44 | 2-15-2032 | 2,545,036 | 2,487,906 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 2,091,775 | 1,862,702 | ||
Verus Securitization Trust Series 2022-4 Class A1 144A | 4.47 | 4-25-2067 | 4,342,647 | 4,120,276 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 6.69 | 4-17-2030 | 4,500,000 | 4,241,241 | ||
Westgate Resorts Series 2022-1A Class C 144A | 2.49 | 8-20-2036 | 12,010,992 | 11,274,980 | ||
Zais CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 7.44 | 7-15-2029 | 7,450,000 | 7,209,656 | ||
Zais Matrix CDO Series 2020-14A Class A1AR (3 Month LIBOR +1.20%) 144A± | 5.99 | 4-15-2032 | 1,770,963 | 1,758,094 | ||
Total Non-agency mortgage-backed securities (Cost $399,645,769) | 374,718,511 | |||||
U.S. Treasury securities: 18.99% | ||||||
U.S. Treasury Bond | 3.00 | 2-15-2048 | 2,075,000 | 1,729,545 | ||
U.S. Treasury Bond | 3.00 | 2-15-2049 | 32,945,000 | 27,565,699 | ||
U.S. Treasury Bond ## | 3.00 | 8-15-2052 | 51,060,000 | 42,922,313 | ||
U.S. Treasury Bond | 3.13 | 5-15-2048 | 65,580,000 | 55,981,240 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 43,175,000 | 31,205,743 | ||
U.S. Treasury Note ## | 3.25 | 8-31-2024 | 156,250,000 | 152,227,783 | ||
U.S. Treasury Note | 3.25 | 5-15-2042 | 3,410,000 | 3,013,987 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 3.38% | 8-15-2042 | $ | 5,635,000 | $ 5,073,261 | |
U.S. Treasury Note | 3.50 | 1-31-2028 | 54,255,000 | 52,606,157 | ||
U.S. Treasury Note | 3.50 | 2-15-2033 | 59,335,000 | 57,378,799 | ||
U.S. Treasury Note ## | 4.00 | 11-15-2042 | 48,360,000 | 47,672,381 | ||
U.S. Treasury Note | 4.00 | 11-15-2052 | 19,485,000 | 19,832,077 | ||
U.S. Treasury Note | 4.13 | 10-31-2027 | 3,025,000 | 3,009,875 | ||
U.S. Treasury Note | 4.13 | 11-15-2032 | 104,295,000 | 105,957,202 | ||
Total U.S. Treasury securities (Cost $628,747,169) | 606,176,062 | |||||
Yankee corporate bonds and notes: 10.52% | ||||||
Communication services: 0.37% | ||||||
Diversified telecommunication services: 0.09% | ||||||
Telefonica Emisiones SAU | 5.21 | 3-8-2047 | 3,485,000 | 2,929,480 | ||
Interactive media & services: 0.08% | ||||||
Tencent Holdings Limited 144A | 3.68 | 4-22-2041 | 3,250,000 | 2,435,672 | ||
Wireless telecommunication services: 0.20% | ||||||
Rogers Communications Incorporated 144A | 4.55 | 3-15-2052 | 7,975,000 | 6,360,410 | ||
Consumer discretionary: 0.83% | ||||||
Auto components: 0.15% | ||||||
Faurecia SE | 7.25 | 6-15-2026 | 4,350,000 | 4,725,505 | ||
Hotels, restaurants & leisure: 0.26% | ||||||
GENM Capital Labuan Limited 144A | 3.88 | 4-19-2031 | 8,900,000 | 6,910,468 | ||
International Game Technology 144A | 3.50 | 6-15-2026 | 1,500,000 | 1,518,201 | ||
8,428,669 | ||||||
Internet & direct marketing retail: 0.42% | ||||||
Alibaba Group Holding | 3.15 | 2-9-2051 | 4,135,000 | 2,657,294 | ||
MercadoLibre Incorporated | 3.13 | 1-14-2031 | 7,250,000 | 5,589,750 | ||
Prosus NV 144A | 3.83 | 2-8-2051 | 3,000,000 | 1,817,054 | ||
Prosus NV 144A | 4.03 | 8-3-2050 | 1,565,000 | 989,844 | ||
Prosus NV 144A | 4.99 | 1-19-2052 | 3,000,000 | 2,164,875 | ||
13,218,817 | ||||||
Consumer staples: 0.28% | ||||||
Food products: 0.28% | ||||||
Agrospuer SA 144A | 4.60 | 1-20-2032 | 2,050,000 | 1,747,420 | ||
Viterra Finance BV 144A | 4.90 | 4-21-2027 | 7,615,000 | 7,213,950 | ||
8,961,370 | ||||||
Energy: 0.47% | ||||||
Oil, gas & consumable fuels: 0.47% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.40%) ʊ± | 4.88 | 3-22-2030 | 4,950,000 | 4,535,908 | ||
Galaxy Pipeline Assets Company 144A | 2.16 | 3-31-2034 | 4,618,677 | 3,897,995 | ||
Petroleos Mexicanos | 6.70 | 2-16-2032 | 2,650,000 | 2,106,449 | ||
Qatar Petroleum 144A | 3.13 | 7-12-2041 | 6,000,000 | 4,559,400 | ||
15,099,752 |
Interest rate | Maturity date | Principal | Value | |||
Financials: 6.24% | ||||||
Banks: 3.19% | ||||||
ABN AMRO Bank NV 144A | 4.75% | 7-28-2025 | $ | 1,800,000 | $ 1,749,420 | |
African Export Import Bank 144A | 3.80 | 5-17-2031 | 2,600,000 | 2,141,173 | ||
Banco del Estado de Chile 144A | 2.70 | 1-9-2025 | 3,145,000 | 2,986,001 | ||
Banco do Brasil SA 144A | 4.63 | 1-15-2025 | 2,415,000 | 2,331,154 | ||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 3,425,000 | 3,184,223 | ||
Banco Industrial SA (5 Year Treasury Constant Maturity +4.44%) 144A± | 4.88 | 1-29-2031 | 1,500,000 | 1,400,711 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.64%) 144Aʊ± | 5.88 | 1-24-2027 | 4,250,000 | 3,767,625 | ||
Banco Mercantil del Norte SA (5 Year Treasury Constant Maturity +4.97%) 144Aʊ± | 6.75 | 9-27-2024 | 1,565,000 | 1,502,635 | ||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ʊ± | 0.70 | 6-30-2024 | 9,000,000 | 8,826,570 | ||
Banco Santander (5 Year Treasury Constant Maturity +3.00%) 144A± | 5.95 | 10-1-2028 | 1,700,000 | 1,695,425 | ||
Bank of Montreal | 4.70 | 9-14-2027 | 11,975,000 | 11,710,133 | ||
Banque Ouest Africaine de Developpement 144A | 5.00 | 7-27-2027 | 960,000 | 896,448 | ||
Danske Bank (1 Year Treasury Constant Maturity +1.75%) 144A± | 4.30 | 4-1-2028 | 10,000,000 | 9,422,313 | ||
Danske Bank 144A | 5.38 | 1-12-2024 | 3,205,000 | 3,195,428 | ||
Deutsche Bank AG (USD ICE Swap Rate 11:00am NY 5 Year +2.55%) ± | 4.88 | 12-1-2032 | 1,750,000 | 1,537,362 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 4,200,000 | 3,950,883 | ||
HSBC Holdings plc (3 Month LIBOR +1.61%) ± | 3.97 | 5-22-2030 | 4,670,000 | 4,184,290 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 3,510,000 | 3,335,378 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 8,875,000 | 6,743,940 | ||
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.63%) ± | 5.44 | 2-22-2034 | 13,485,000 | 13,254,476 | ||
National Australia Bank (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.35 | 1-12-2037 | 8,835,000 | 7,056,060 | ||
NatWest Markets plc 144A | 1.60 | 9-29-2026 | 4,000,000 | 3,469,793 | ||
Perrigo Finance plc | 4.90 | 12-15-2044 | 1,500,000 | 1,042,500 | ||
Unicredit SpA (5 Year Treasury Constant Maturity +4.75%) 144A± | 5.46 | 6-30-2035 | 3,000,000 | 2,545,059 | ||
101,929,000 | ||||||
Capital markets: 0.99% | ||||||
CI Financial Corporation | 4.10 | 6-15-2051 | 10,490,000 | 6,300,765 | ||
Credit Suisse Group AG (U.S. SOFR +1.73%) 144A± | 3.09 | 5-14-2032 | 4,695,000 | 3,303,569 | ||
Credit Suisse Group AG (U.S. SOFR +0.98%) 144A± | 1.31 | 2-2-2027 | 8,405,000 | 6,773,078 | ||
Credit Suisse Group AG (5 Year Treasury Constant Maturity +4.89%) 144Aʊ± | 5.25 | 2-11-2027 | 3,500,000 | 2,411,146 | ||
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 5,800,000 | 5,026,536 | ||
UBS Group AG (1 Year Treasury Constant Maturity +2.05%) 144A± | 4.70 | 8-5-2027 | 4,480,000 | 4,336,867 | ||
UBS Group AG (5 Year Treasury Constant Maturity +3.40%) 144Aʊ± | 4.88 | 2-12-2027 | 3,940,000 | 3,451,440 | ||
31,603,401 |
Interest rate | Maturity date | Principal | Value | |||
Consumer finance: 0.24% | ||||||
Unifin Financiera SAB de CV 144A† | 9.88% | 1-28-2029 | $ | 2,350,000 | $ 88,125 | |
Volkswagen Financial Services AG | 3.38 | 4-6-2028 | 7,350,000 | 7,419,656 | ||
7,507,781 | ||||||
Diversified financial services: 0.83% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 2.45 | 10-29-2026 | 11,015,000 | 9,710,514 | ||
Avolon Holdings Funding Limited 144A | 2.75 | 2-21-2028 | 2,000,000 | 1,669,933 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 2,515,000 | 2,433,728 | ||
Brookfield Finance Incorporated | 3.50 | 3-30-2051 | 7,365,000 | 4,968,456 | ||
Cellnex Finance Company 144A | 3.88 | 7-7-2041 | 4,120,000 | 2,947,710 | ||
Cirsa Finance International 144A | 10.38 | 11-30-2027 | 3,150,000 | 3,528,327 | ||
Corporacion Financiera de Desarrollo SA (3 Month LIBOR +5.61%) 144A± | 5.25 | 7-15-2029 | 1,185,000 | 1,137,600 | ||
26,396,268 | ||||||
Insurance: 0.63% | ||||||
Athene Global Funding | 0.37 | 9-10-2026 | 5,600,000 | 5,047,361 | ||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.65%) 144A± | 2.75 | 1-21-2051 | 1,195,000 | 979,900 | ||
Nippon Life Insurance (5 Year Treasury Constant Maturity +2.60%) 144A± | 2.90 | 9-16-2051 | 2,000,000 | 1,637,093 | ||
Sompo International Holdings Limited | 7.00 | 7-15-2034 | 1,330,000 | 1,393,979 | ||
Swiss Re Finance (Luxembourg) SA (5 Year Treasury Constant Maturity +3.58%) 144A± | 5.00 | 4-2-2049 | 11,700,000 | 11,115,000 | ||
20,173,333 | ||||||
Thrifts & mortgage finance: 0.36% | ||||||
Nationwide Building Society 144A | 4.85 | 7-27-2027 | 11,630,000 | 11,336,854 | ||
Health care: 0.45% | ||||||
Life sciences tools & services: 0.45% | ||||||
Danaher Corporation | 2.50 | 3-30-2030 | 15,000,000 | 14,422,686 | ||
Industrials: 0.30% | ||||||
Airlines: 0.14% | ||||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 4,000,000 | 4,260,000 | ||
Commercial services & supplies: 0.05% | ||||||
Verisure Holding AB 144A | 9.25 | 10-15-2027 | 1,525,000 | 1,705,836 | ||
Trading companies & distributors: 0.10% | ||||||
Fly Leasing Limited 144A | 7.00 | 10-15-2024 | 3,600,000 | 3,123,319 | ||
Transportation infrastructure: 0.01% | ||||||
Mexico City Airport Trust 144A | 5.50 | 7-31-2047 | 570,000 | 422,820 | ||
Information technology: 0.49% | ||||||
IT services: 0.18% | ||||||
Computershare US Incorporated | 1.13 | 10-7-2031 | 7,450,000 | 5,845,597 | ||
Semiconductors & semiconductor equipment: 0.31% | ||||||
Renesas Electronics Corporation 144A | 2.17 | 11-25-2026 | 11,455,000 | 9,890,193 |
Interest rate | Maturity date | Principal | Value | |||
Materials: 0.66% | ||||||
Chemicals: 0.66% | ||||||
Braskem Netherlands BV 144A | 7.25% | 2-13-2033 | $ | 7,175,000 | $ 7,000,504 | |
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 8,000,000 | 7,979,308 | ||
Westlake Chemical Corporation | 1.63 | 7-17-2029 | 2,750,000 | 2,361,523 | ||
Yara International 144A | 7.38 | 11-14-2032 | 3,500,000 | 3,765,327 | ||
21,106,662 | ||||||
Utilities: 0.43% | ||||||
Electric utilities: 0.43% | ||||||
Comision Federal de Electricidad SA de CV 144A« | 3.35 | 2-9-2031 | 4,815,000 | 3,806,797 | ||
Comision Federal de Electricidad SA de CV 144A | 3.88 | 7-26-2033 | 2,985,000 | 2,261,349 | ||
Duke Energy Corporation | 3.10 | 6-15-2028 | 2,600,000 | 2,585,309 | ||
Duke Energy Corporation | 3.85 | 6-15-2034 | 4,400,000 | 4,205,254 | ||
Electricite de France SA 144A | 4.95 | 10-13-2045 | 1,130,000 | 948,151 | ||
13,806,860 | ||||||
Total Yankee corporate bonds and notes (Cost $376,523,409) | 335,690,285 | |||||
Yankee government bonds: 1.09% | ||||||
Bermuda 144A | 3.38 | 8-20-2050 | 1,080,000 | 745,205 | ||
Dominican Republic 144A | 4.50 | 1-30-2030 | 1,000,000 | 858,690 | ||
Dominican Republic 144A | 4.88 | 9-23-2032 | 1,800,000 | 1,504,492 | ||
Dominican Republic 144A | 5.50 | 2-22-2029 | 800,000 | 741,268 | ||
Government of Bermuda 144A | 5.00 | 7-15-2032 | 4,320,000 | 4,200,270 | ||
Mexico | 6.35 | 2-9-2035 | 8,700,000 | 8,926,058 | ||
Nota Do Tesouro Nacional | 10.00 | 1-1-2027 | 28,600,000 | 4,998,307 | ||
Panama | 4.50 | 1-19-2063 | 8,000,000 | 5,698,120 | ||
Provincia de Cordoba 144Aøø | 6.88 | 12-10-2025 | 1,781,310 | 1,541,785 | ||
Republic of Argentina | 1.00 | 7-9-2029 | 206,310 | 63,998 | ||
Republic of Argentina øø | 1.50 | 7-9-2035 | 1,817,118 | 516,603 | ||
Republic of Argentina øø | 1.75 | 7-9-2030 | 1,703,981 | 551,753 | ||
Republic of Kenya 144A | 8.25 | 2-28-2048 | 750,000 | 578,595 | ||
Republic of Paraguay 144A | 5.40 | 3-30-2050 | 1,750,000 | 1,465,362 | ||
Republic of Senegal 144A« | 6.25 | 5-23-2033 | 750,000 | 620,775 | ||
Sultanate of Oman 144A | 6.25 | 1-25-2031 | 1,700,000 | 1,717,517 | ||
Ukraine 144A | 7.38 | 9-25-2034 | 1,200,000 | 164,798 | ||
Total Yankee government bonds (Cost $40,377,557) | 34,893,596 |
Short-term investments: 10.19% | ||||||
Commercial paper: 0.63% | ||||||
Walgreens Boots Alliance Incorporated ¤ | 0.00 | 3-1-2023 | 20,000,000 | 19,997,327 |
Yield | Shares | |||||
Investment companies: 6.81% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 212,063,688 | 212,063,688 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 5,240,515 | 5,240,515 | |||
217,304,203 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities: 2.75% | ||||||
U.S. Treasury Bill ☼ | 4.28% | 3-21-2023 | $ | 65,000,000 | $ 64,837,852 | |
U.S. Treasury Bill ☼ | 4.54 | 6-15-2023 | 23,430,000 | 23,106,772 | ||
87,944,624 | ||||||
Total Short-term investments (Cost $325,260,156) | 325,246,154 | |||||
Total investments in securities (Cost $3,850,037,167) | 113.42% | 3,619,961,214 | ||||
Other assets and liabilities, net | (13.42) | (428,240,353) | ||||
Total net assets | 100.00% | $3,191,720,861 |
± | 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. |
¤ | 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. |
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. |
† | Non-income-earning security |
## | All or a portion of this security is segregated for when-issued securities. |
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 on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
%% | The security is purchased on a when-issued basis. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
AGM | Assured Guaranty Municipal |
Ambac | Ambac Financial Group Incorporated |
BRL | Brazilian real |
CAB | Capital appreciation bond |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
GO | General obligation |
HEFAR | Higher Education Facilities Authority Revenue |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
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 | $124,106,379 | $853,073,029 | $(765,115,720) | $ 0 | $ 0 | $ 212,063,688 | 212,063,688 | $ 1,739,059 | ||
Securities Lending Cash Investments LLC | 58,279,333 | 383,060,951 | (436,099,484) | (701) | 416 | 5,240,515 | 5,240,515 | 466,441 # | ||
$ (701) | $416 | $217,304,203 | $2,205,500 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
130,838,834 USD | 122,821,236 EUR | Citibank NA | 3-31-2023 | $ 705,187 | $ 0 | |
7,440,446 USD | 6,900,000 EUR | Citibank NA | 3-31-2023 | 129,641 | 0 | |
28,872,310 USD | 26,800,000 EUR | Citibank NA | 3-31-2023 | 476,718 | 0 | |
19,463,040 USD | 18,000,000 EUR | Citibank NA | 3-31-2023 | 391,374 | 0 | |
3,884,040 USD | 3,600,000 EUR | Citibank NA | 3-31-2023 | 69,707 | 0 | |
10,485,351 USD | 9,650,000 EUR | Citibank NA | 3-31-2023 | 260,819 | 0 | |
3,517,907 USD | 3,230,000 EUR | Citibank NA | 3-31-2023 | 95,602 | 0 | |
982,483,600 JPY | 7,000,000 EUR | Citibank NA | 3-31-2023 | 0 | (171,513) | |
7,800,000 EUR | 8,541,686 USD | Citibank NA | 3-31-2023 | 0 | (277,298) | |
4,459,660 USD | 4,100,000 EUR | Citibank NA | 3-31-2023 | 115,558 | 0 | |
8,024,828 USD | 7,335,000 EUR | Citibank NA | 3-31-2023 | 253,124 | 0 | |
15,939,282 USD | 14,900,000 EUR | Citibank NA | 3-31-2023 | 152,181 | 0 | |
15,544,380 USD | 14,500,000 EUR | Citibank NA | 3-31-2023 | 181,093 | 0 | |
56,348,663 USD | 52,650,000 EUR | Citibank NA | 3-31-2023 | 564,038 | 0 | |
$3,395,042 | $(448,811) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
U.S. Long Term Bonds | 67 | 6-21-2023 | $ 8,423,273 | $ 8,389,656 | $ 0 | $ (33,617) | |
U.S. Ultra Treasury Bonds | 26 | 6-21-2023 | 3,530,290 | 3,511,625 | 0 | (18,665) | |
2-Year U.S. Treasury Notes | 2,100 | 6-30-2023 | 428,797,936 | 427,825,780 | 0 | (972,156) | |
5-Year U.S. Treasury Notes | 1,857 | 6-30-2023 | 199,205,819 | 198,800,556 | 0 | (405,263) | |
Short | |||||||
Euro-BOBL Futures | (204) | 3-8-2023 | (25,743,303) | (24,852,472) | 890,831 | 0 | |
Euro-Bund Futures | (215) | 3-8-2023 | (32,125,245) | (30,224,454) | 1,900,791 | 0 | |
Euro-Schatz Futures | (67) | 3-8-2023 | (7,549,597) | (7,439,500) | 110,097 | 0 | |
10-Year U.S. Ultra Treasury Notes | (147) | 6-21-2023 | (17,152,813) | (17,226,563) | 0 | (73,750) | |
$2,901,719 | $(1,503,451) |
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 | $201,529 | $390,663 | $0 | $(189,134) |
Assets | |
Investments in unaffiliated securities (including $5,106,307 of securities loaned), at value (cost $3,632,733,380) | $ 3,402,657,011 |
Investments in affiliated securities, at value (cost $217,303,787) | 217,304,203 |
Cash | 356,055 |
Cash collateral due from broker | 7,469,346 |
Cash at broker segregated for futures contracts | 7,054,000 |
Segregated cash for swap contracts | 280,459 |
Foreign currency, at value (cost $2,389,952) | 2,259,363 |
Receivable for investments sold | 64,806,160 |
Receivable for interest | 21,571,303 |
Receivable for Fund shares sold | 12,694,167 |
Unrealized gains on forward foreign currency contracts | 3,395,042 |
Receivable for daily variation margin on open futures contracts | 128,518 |
Receivable for securities lending income, net | 9,317 |
Principal paydown receivable | 28 |
Prepaid expenses and other assets | 254,538 |
Total assets | 3,740,239,510 |
Liabilities | |
Payable for when-issued transactions | 492,230,395 |
Payable for investments purchased | 42,983,704 |
Payable upon receipt of securities loaned | 5,240,515 |
Payable for Fund shares redeemed | 4,335,195 |
Cash collateral due to broker for forward foreign currency contracts | 2,446,256 |
Management fee payable | 606,024 |
Unrealized losses on forward foreign currency contracts | 448,811 |
Administration fees payable | 207,308 |
Distribution fee payable | 19,901 |
Payable for daily variation margin on centrally cleared swap contracts | 540 |
Total liabilities | 548,518,649 |
Total net assets | $3,191,720,861 |
Net assets consist of | |
Paid-in capital | $ 3,606,412,747 |
Total distributable loss | (414,691,886) |
Total net assets | $3,191,720,861 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 239,738,275 |
Shares outstanding – Class A1 | 21,445,579 |
Net asset value per share – Class A | $11.18 |
Maximum offering price per share – Class A2 | $11.71 |
Net assets – Class C | $ 34,944,282 |
Shares outstanding – Class C1 | 3,127,287 |
Net asset value per share – Class C | $11.17 |
Net assets – Class R6 | $ 173,423,374 |
Shares outstanding – Class R61 | 15,489,679 |
Net asset value per share – Class R6 | $11.20 |
Net assets – Administrator Class | $ 132,908,509 |
Shares outstanding – Administrator Class1 | 11,912,293 |
Net asset value per share – Administrator Class | $11.16 |
Net assets – Institutional Class | $ 2,610,706,421 |
Shares outstanding – Institutional Class1 | 233,262,422 |
Net asset value per share – Institutional Class | $11.19 |
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 | $ 57,966,262 |
Income from affiliated securities | 1,923,026 |
Total investment income | 59,889,288 |
Expenses | |
Management fee | 5,757,834 |
Administration fees | |
Class A | 189,453 |
Class C | 25,982 |
Class R6 | 22,517 |
Administrator Class | 66,328 |
Institutional Class | 894,311 |
Shareholder servicing fees | |
Class A | 295,595 |
Class C | 40,598 |
Administrator Class | 165,820 |
Distribution fee | |
Class C | 121,793 |
Custody and accounting fees | 84,026 |
Professional fees | 47,333 |
Registration fees | 93,167 |
Shareholder report expenses | 62,409 |
Trustees’ fees and expenses | 10,624 |
Other fees and expenses | 20,608 |
Total expenses | 7,898,398 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (2,184,446) |
Class C | (1,624) |
Class R6 | (7,506) |
Administrator Class | (19,898) |
Institutional Class | (111,789) |
Net expenses | 5,573,135 |
Net investment income | 54,316,153 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (68,815,612) |
Affiliated securities | (701) |
Forward foreign currency contracts | (1,291,533) |
Futures contracts | (9,443,744) |
Swap contracts | 22,122 |
Net realized losses on investments | (79,529,468) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (14,365,773) |
Affiliated securities | 416 |
Forward foreign currency contracts | (1,599,458) |
Futures contracts | 1,143,291 |
Swap contracts | 298,733 |
Net change in unrealized gains (losses) on investments | (14,522,791) |
Net realized and unrealized gains (losses) on investments | (94,052,259) |
Net decrease in net assets resulting from operations | $(39,736,106) |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 54,316,153 | $ 57,223,283 | ||
Net realized losses on investments | (79,529,468) | (111,529,190) | ||
Net change in unrealized gains (losses) on investments | (14,522,791) | (263,597,439) | ||
Net decrease in net assets resulting from operations | (39,736,106) | (317,903,346) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,422,251) | (7,044,171) | ||
Class C | (476,176) | (680,832) | ||
Class R6 | (3,109,493) | (3,489,902) | ||
Administrator Class | (2,538,624) | (4,436,318) | ||
Institutional Class | (46,056,890) | (53,511,044) | ||
Total distributions to shareholders | (56,603,434) | (69,162,267) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,765,264 | 30,895,428 | 4,397,137 | 54,439,448 |
Class C | 605,924 | 6,797,002 | 958,213 | 12,136,398 |
Class R6 | 4,548,325 | 51,144,464 | 7,732,999 | 97,935,749 |
Administrator Class | 1,711,212 | 18,990,696 | 6,536,979 | 83,956,872 |
Institutional Class | 111,705,401 | 1,261,935,484 | 130,624,519 | 1,626,306,890 |
1,369,763,074 | 1,874,775,357 | |||
Reinvestment of distributions | ||||
Class A | 348,637 | 3,881,014 | 503,593 | 6,387,680 |
Class C | 39,827 | 443,931 | 47,708 | 607,468 |
Class R6 | 249,575 | 2,784,434 | 267,538 | 3,364,456 |
Administrator Class | 228,283 | 2,536,721 | 349,602 | 4,432,909 |
Institutional Class | 3,782,828 | 42,202,763 | 3,954,554 | 49,922,919 |
51,848,863 | 64,715,432 | |||
Payment for shares redeemed | ||||
Class A | (3,330,474) | (37,241,783) | (6,041,415) | (76,500,372) |
Class C | (364,398) | (4,068,377) | (1,093,929) | (13,588,305) |
Class R6 | (1,552,297) | (17,435,116) | (2,333,786) | (29,040,415) |
Administrator Class | (2,222,607) | (24,552,475) | (15,318,377) | (199,468,087) |
Institutional Class | (51,943,540) | (581,610,062) | (95,979,266) | (1,192,329,620) |
(664,907,813) | (1,510,926,799) | |||
Net increase in net assets resulting from capital share transactions | 756,704,124 | 428,563,990 | ||
Total increase in net assets | 660,364,584 | 41,498,377 | ||
Net assets | ||||
Beginning of period | 2,531,356,277 | 2,489,857,900 | ||
End of period | $3,191,720,861 | $ 2,531,356,277 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.57 | $13.52 | $13.77 | $13.09 | $12.27 | $12.71 |
Net investment income | 0.20 | 0.26 | 0.24 | 0.34 | 0.37 | 0.34 |
Net realized and unrealized gains (losses) on investments | (0.38) | (1.88) | 0.16 | 0.77 | 0.80 | (0.45) |
Total from investment operations | (0.18) | (1.62) | 0.40 | 1.11 | 1.17 | (0.11) |
Distributions to shareholders from | ||||||
Net investment income | (0.21) | (0.22) | (0.27) | (0.36) | (0.35) | (0.33) |
Net realized gains | 0.00 | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.21) | (0.33) | (0.65) | (0.43) | (0.35) | (0.33) |
Net asset value, end of period | $11.18 | $11.57 | $13.52 | $13.77 | $13.09 | $12.27 |
Total return1 | (1.55)% | (12.21)% | 3.00% | 8.72% | 9.74% | (0.84)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.84% | 0.85% | 0.85% | 0.88% | 0.91% | 0.92% |
Net expenses | 0.68% | 0.69% | 0.72% | 0.72% | 0.73% | 0.73% |
Net investment income | 3.60% | 2.03% | 1.90% | 2.60% | 2.99% | 2.63% |
Supplemental data | ||||||
Portfolio turnover rate | 107% | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $239,738 | $250,553 | $308,270 | $264,366 | $245,879 | $229,688 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.56 | $13.51 | $13.77 | $13.09 | $12.26 | $12.71 |
Net investment income | 0.15 | 0.16 | 0.14 | 0.23 | 0.28 | 0.23 |
Net realized and unrealized gains (losses) on investments | (0.38) | (1.88) | 0.15 | 0.78 | 0.81 | (0.44) |
Total from investment operations | (0.23) | (1.72) | 0.29 | 1.01 | 1.09 | (0.21) |
Distributions to shareholders from | ||||||
Net investment income | (0.16) | (0.12) | (0.17) | (0.26) | (0.26) | (0.24) |
Net realized gains | 0.00 | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.16) | (0.23) | (0.55) | (0.33) | (0.26) | (0.24) |
Net asset value, end of period | $11.17 | $11.56 | $13.51 | $13.77 | $13.09 | $12.26 |
Total return1 | (1.96)% | (12.89)% | 2.16% | 7.85% | 8.91% | (1.66)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.60% | 1.60% | 1.60% | 1.63% | 1.66% | 1.67% |
Net expenses | 1.43% | 1.45% | 1.48% | 1.48% | 1.48% | 1.48% |
Net investment income | 2.86% | 1.28% | 1.13% | 1.85% | 2.25% | 1.89% |
Supplemental data | ||||||
Portfolio turnover rate | 107% | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $34,944 | $32,889 | $39,628 | $28,342 | $18,195 | $20,550 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class R6 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.58 | $13.54 | $13.79 | $13.11 | $12.28 | $12.73 |
Net investment income | 0.22 1 | 0.30 | 0.30 | 0.39 1 | 0.41 | 0.39 |
Net realized and unrealized gains (losses) on investments | (0.37) | (1.89) | 0.15 | 0.77 | 0.82 | (0.46) |
Total from investment operations | (0.15) | (1.59) | 0.45 | 1.16 | 1.23 | (0.07) |
Distributions to shareholders from | ||||||
Net investment income | (0.23) | (0.26) | (0.32) | (0.41) | (0.40) | (0.38) |
Net realized gains | 0.00 | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.23) | (0.37) | (0.70) | (0.48) | (0.40) | (0.38) |
Net asset value, end of period | $11.20 | $11.58 | $13.54 | $13.79 | $13.11 | $12.28 |
Total return2 | (1.27)% | (11.95)% | 3.37% | 9.10% | 10.14% | (0.55)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.47% | 0.47% | 0.47% | 0.50% | 0.53% | 0.54% |
Net expenses | 0.30% | 0.31% | 0.35% | 0.35% | 0.35% | 0.35% |
Net investment income | 4.00% | 2.50% | 2.28% | 2.98% | 3.36% | 3.05% |
Supplemental data | ||||||
Portfolio turnover rate | 107% | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $173,423 | $141,833 | $89,048 | $83,260 | $62,522 | $45,159 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.54 | $13.49 | $13.75 | $13.07 | $12.25 | $12.69 |
Net investment income | 0.21 | 0.26 | 0.26 | 0.35 | 0.38 | 0.35 |
Net realized and unrealized gains (losses) on investments | (0.38) | (1.87) | 0.14 | 0.77 | 0.81 | (0.44) |
Total from investment operations | (0.17) | (1.61) | 0.40 | 1.12 | 1.19 | (0.09) |
Distributions to shareholders from | ||||||
Net investment income | (0.21) | (0.23) | (0.28) | (0.37) | (0.37) | (0.35) |
Net realized gains | 0.00 | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.21) | (0.34) | (0.66) | (0.44) | (0.37) | (0.35) |
Net asset value, end of period | $11.16 | $11.54 | $13.49 | $13.75 | $13.07 | $12.25 |
Total return1 | (1.43)% | (12.18)% | 3.04% | 8.85% | 9.88% | (0.74)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.79% | 0.79% | 0.79% | 0.82% | 0.85% | 0.86% |
Net expenses | 0.60% | 0.61% | 0.62% | 0.62% | 0.62% | 0.62% |
Net investment income | 3.68% | 2.09% | 1.95% | 2.71% | 3.07% | 2.74% |
Supplemental data | ||||||
Portfolio turnover rate | 107% | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $132,909 | $140,779 | $278,294 | $80,099 | $57,316 | $32,241 |
1 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $11.58 | $13.53 | $13.79 | $13.11 | $12.28 | $12.72 |
Net investment income | 0.22 1 | 0.29 | 0.29 | 0.38 | 0.39 | 0.37 1 |
Net realized and unrealized gains (losses) on investments | (0.38) | (1.87) | 0.14 | 0.77 | 0.83 | (0.44) |
Total from investment operations | (0.16) | (1.58) | 0.43 | 1.15 | 1.22 | (0.07) |
Distributions to shareholders from | ||||||
Net investment income | (0.23) | (0.26) | (0.31) | (0.40) | (0.39) | (0.37) |
Net realized gains | 0.00 | (0.11) | (0.38) | (0.07) | 0.00 | 0.00 |
Total distributions to shareholders | (0.23) | (0.37) | (0.69) | (0.47) | (0.39) | (0.37) |
Net asset value, end of period | $11.19 | $11.58 | $13.53 | $13.79 | $13.11 | $12.28 |
Total return2 | (1.39)% | (11.92)% | 3.24% | 9.05% | 10.17% | (0.52)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.52% | 0.52% | 0.52% | 0.55% | 0.58% | 0.59% |
Net expenses | 0.35% | 0.37% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 3.95% | 2.40% | 2.19% | 2.92% | 3.29% | 3.00% |
Supplemental data | ||||||
Portfolio turnover rate | 107% | 288% | 194% | 130% | 89% | 148% |
Net assets, end of period (000s omitted) | $2,610,706 | $1,965,302 | $1,774,619 | $836,162 | $524,743 | $264,292 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 28,769,708 |
Gross unrealized losses | (243,604,292) |
Net unrealized losses | $(214,834,584) |
■ | 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 | $ 891,387,180 | $ 0 | $ 891,387,180 |
Asset-backed securities | 0 | 193,412,485 | 0 | 193,412,485 |
Corporate bonds and notes | 0 | 563,376,828 | 0 | 563,376,828 |
Foreign corporate bonds and notes | 0 | 74,243,913 | 0 | 74,243,913 |
Foreign government bonds | 0 | 194,725,537 | 0 | 194,725,537 |
Loans | 0 | 17,899,264 | 941,246 | 18,840,510 |
Municipal obligations | 0 | 7,250,153 | 0 | 7,250,153 |
Non-agency mortgage-backed securities | 0 | 374,718,511 | 0 | 374,718,511 |
U.S. Treasury securities | 606,176,062 | 0 | 0 | 606,176,062 |
Yankee corporate bonds and notes | 0 | 335,690,285 | 0 | 335,690,285 |
Yankee government bonds | 0 | 34,893,596 | 0 | 34,893,596 |
Short-term investments | ||||
Commercial paper | 0 | 19,997,327 | 0 | 19,997,327 |
Investment companies | 217,304,203 | 0 | 0 | 217,304,203 |
U.S. Treasury securities | 87,944,624 | 0 | 0 | 87,944,624 |
911,424,889 | 2,707,595,079 | 941,246 | 3,619,961,214 | |
Forward foreign currency contracts | 0 | 3,395,042 | 0 | 3,395,042 |
Futures contracts | 2,901,719 | 0 | 0 | 2,901,719 |
Total assets | $914,326,608 | $2,710,990,121 | $941,246 | $3,626,257,975 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 448,811 | $ 0 | $ 448,811 |
Futures contracts | 1,503,451 | 0 | 0 | 1,503,451 |
Swap contracts | 0 | 189,134 | 0 | 189,134 |
Total liabilities | $ 1,503,451 | $ 637,945 | $ 0 | $ 2,141,396 |
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 | |
$1,964,953,216 | $1,952,528,942 | $1,766,670,550 | $1,381,788,758 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $2,457,689 | $(2,457,689) | $0 |
Barclays Capital Incorporated | 798,284 | (798,284) | 0 |
Credit Suisse Securities (USA) LLC | 1,850,334 | (1,850,334) | 0 |
Futures contracts | |
Average notional balance on long futures | $355,531,351 |
Average notional balance on short futures | 73,858,178 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 17,763,470 |
Average contract amounts to sell | 153,149,184 |
Swap contracts | |
Average notional balance | $ 5,204,319 |
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 | $ 2,901,719* | Unrealized losses on futures contracts | $ 1,503,451* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 3,395,042 | Unrealized losses on forward foreign currency contracts | 448,811 | |
Credit risk | Net unrealized gains on swap contracts | 0* | Net unrealized losses on swap contracts | 189,134* | |
$6,296,761 | $2,141,396 |
Net realized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ (9,443,744) | $ 0 | $ (9,443,744) |
Foreign currency risk | (1,291,533) | 0 | 0 | (1,291,533) |
Credit risk | 0 | 0 | 22,122 | 22,122 |
$(1,291,533) | $(9,443,744) | $22,122 | $(10,713,155) |
Net change in unrealized gains (losses) on derivatives | ||||
Forward foreign currency contracts | Futures contracts | Swap contracts | Total | |
Interest rate risk | $ 0 | $ 1,143,291 | $ 0 | $ 1,143,291 |
Foreign currency risk | (1,599,458) | 0 | 0 | (1,599,458) |
Credit risk | 0 | 0 | 298,733 | 298,733 |
$(1,599,458) | $1,143,291 | $298,733 | $ (157,434) |
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 | $3,395,042 | $(448,811) | $(2,446,256) | $499,975 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank NA | $448,811 | $(448,811) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g457521img177b37651.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g457521img1d554bac5.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR0059 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838img4932f8231.jpg)
Government Securities Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838imgc60ce6cd2.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 2023. 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. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838imgb2799a0d3.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 February 28, 2023 | |||||||||||
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 | -14.38 | -1.09 | -0.12 | -10.34 | -0.18 | 0.34 | 0.90 | 0.85 | ||
Class C (WGSCX) | 12-26-2002 | -12.02 | -0.93 | -0.25 | -11.02 | -0.93 | -0.25 | 1.65 | 1.60 | ||
Administrator Class (WGSDX) | 4-8-2005 | – | – | – | -10.25 | 0.01 | 0.55 | 0.84 | 0.64 | ||
Institutional Class (SGVIX) | 8-31-1999 | – | – | – | -10.02 | 0.20 | 0.72 | 0.57 | 0.48 | ||
Bloomberg U.S. Aggregate ex Credit Index3 | – | – | – | – | -9.53 | 0.25 | 0.75 | – | – | ||
Bloomberg U.S. Government Intermediate Bond Index4 | – | – | – | – | -6.27 | 0.68 | 0.67 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, 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. |
Ten largest holdings (%) as of February 28, 20231 | |
U.S. Treasury Note, 2.75%, 4-30-2027 | 4.61 |
FNMA, 2.00%, 2-1-2052 | 3.27 |
State of Israel, 5.50%, 12-4-2023 | 3.27 |
U.S. Treasury Note, 4.13%, 11-15-2032 | 2.73 |
FNMA, 2.00%, 2-1-2052 | 2.63 |
Resolution Funding Corporation STRIPS, 0.00%, 1-15-2030 | 2.47 |
FNMA, 2.00%, 2-1-2052 | 2.30 |
FNMA, 4.50%, 9-1-2052 | 2.28 |
STRIPS, 0.00%, 5-15-2039 | 2.21 |
GNMA, 2.50%, 4-20-2052 | 2.04 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838img710aa04a4.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 970.44 | $4.15 | 0.85% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.58 | $4.26 | 0.85% |
Class C | ||||
Actual | $1,000.00 | $ 967.77 | $7.81 | 1.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.86 | $8.00 | 1.60% |
Administrator Class | ||||
Actual | $1,000.00 | $ 971.41 | $3.13 | 0.64% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.62 | $3.21 | 0.64% |
Institutional Class | ||||
Actual | $1,000.00 | $ 973.18 | $2.35 | 0.48% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.41 | $2.41 | 0.48% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 77.93% | ||||||
FHLB | 5.50% | 7-15-2036 | $ | 1,150,000 | $ 1,285,117 | |
FHLB | 5.63 | 3-14-2036 | 6,020,000 | 6,668,127 | ||
FHLMC ¤ | 0.00 | 9-15-2036 | 2,500,000 | 1,373,620 | ||
FHLMC ¤ | 0.00 | 11-15-2038 | 1,575,000 | 780,340 | ||
FHLMC | 2.50 | 11-1-2051 | 9,783,254 | 8,341,754 | ||
FHLMC | 3.00 | 6-1-2050 | 530,287 | 475,345 | ||
FHLMC | 3.00 | 7-1-2050 | 1,342,383 | 1,203,309 | ||
FHLMC | 3.00 | 8-1-2050 | 651,090 | 583,625 | ||
FHLMC | 3.00 | 8-1-2050 | 2,836,074 | 2,514,041 | ||
FHLMC (3 Year Treasury Constant Maturity +2.28%) ± | 3.34 | 5-1-2026 | 3,119 | 3,073 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.38 | 6-1-2032 | 3,556 | 3,508 | ||
FHLMC | 3.50 | 8-1-2045 | 1,278,405 | 1,192,076 | ||
FHLMC | 3.50 | 11-1-2045 | 2,245,074 | 2,094,197 | ||
FHLMC | 3.50 | 12-1-2045 | 1,612,729 | 1,502,573 | ||
FHLMC | 3.50 | 12-1-2045 | 430,565 | 401,891 | ||
FHLMC (1 Year Treasury Constant Maturity +2.16%) ± | 3.61 | 10-1-2026 | 34,648 | 34,015 | ||
FHLMC (12 Month LIBOR +1.68%) ± | 3.67 | 7-1-2038 | 470,706 | 476,031 | ||
FHLMC (11th District COFI +1.25%) ± | 3.99 | 7-1-2032 | 142,606 | 137,766 | ||
FHLMC | 4.00 | 6-1-2044 | 1,195,019 | 1,134,754 | ||
FHLMC | 4.00 | 5-1-2049 | 718,277 | 685,101 | ||
FHLMC | 4.00 | 9-1-2049 | 264,993 | 251,714 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 4.16 | 9-1-2031 | 2,209 | 2,178 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 4.16 | 9-1-2031 | 29,737 | 29,355 | ||
FHLMC | 4.50 | 3-1-2042 | 98,891 | 98,290 | ||
FHLMC | 4.50 | 9-1-2044 | 1,420,934 | 1,399,560 | ||
FHLMC | 4.50 | 9-1-2049 | 2,914,195 | 2,848,070 | ||
FHLMC (30 Day Average U.S. SOFR +0.26%) ± | 4.56 | 7-1-2031 | 3,013,000 | 2,980,595 | ||
FHLMC | 5.00 | 6-1-2026 | 82,552 | 82,498 | ||
FHLMC | 5.00 | 8-1-2040 | 414,487 | 418,146 | ||
FHLMC | 5.00 | 7-1-2052 | 2,617,396 | 2,579,294 | ||
FHLMC | 5.50 | 7-1-2035 | 1,303,185 | 1,338,742 | ||
FHLMC | 5.50 | 12-1-2038 | 719,597 | 740,028 | ||
FHLMC | 6.00 | 10-1-2032 | 11,565 | 11,947 | ||
FHLMC (1 Year Treasury Constant Maturity +2.13%) ± | 6.38 | 1-1-2026 | 7,102 | 7,003 | ||
FHLMC | 6.50 | 9-1-2028 | 5,792 | 6,005 | ||
FHLMC | 6.50 | 7-1-2031 | 1 | 1 | ||
FHLMC | 7.00 | 12-1-2023 | 159 | 159 | ||
FHLMC | 7.00 | 12-1-2026 | 148 | 149 | ||
FHLMC | 7.00 | 4-1-2029 | 612 | 627 | ||
FHLMC | 7.00 | 5-1-2029 | 2,798 | 2,863 | ||
FHLMC | 7.00 | 4-1-2032 | 38,916 | 40,255 | ||
FHLMC | 7.50 | 11-1-2031 | 54,438 | 54,204 | ||
FHLMC | 7.50 | 4-1-2032 | 83,751 | 85,723 | ||
FHLMC | 8.00 | 8-1-2023 | 66 | 66 | ||
FHLMC | 8.00 | 6-1-2024 | 431 | 433 | ||
FHLMC | 8.00 | 6-1-2024 | 646 | 646 | ||
FHLMC | 8.00 | 6-1-2024 | 1,114 | 1,113 | ||
FHLMC | 8.00 | 8-1-2026 | 3,497 | 3,574 | ||
FHLMC | 8.00 | 11-1-2026 | 3,838 | 3,915 | ||
FHLMC | 8.00 | 11-1-2028 | 1,339 | 1,353 | ||
FHLMC | 8.50 | 12-1-2025 | 1,864 | 1,887 | ||
FHLMC | 8.50 | 5-1-2026 | 305 | 305 | ||
FHLMC | 8.50 | 8-1-2026 | 2,178 | 2,176 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2 Class A1 | 2.75% | 3-25-2027 | $ | 3,286,123 | $ 3,127,252 | |
FHLMC Multifamily Structured Pass-Through Certificates Series KW02 Class A1 | 2.90 | 4-25-2026 | 4,949,468 | 4,815,154 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KW03 Class A1 | 2.62 | 12-25-2026 | 2,627,008 | 2,531,673 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K039 Class A2 | 3.30 | 7-25-2024 | 325,000 | 317,289 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K075 Class A2 ±± | 3.65 | 2-25-2028 | 4,370,000 | 4,195,316 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series K153 Class A3 ±± | 3.12 | 10-25-2031 | 160,000 | 144,115 | ||
FHLMC Multifamily Structured Pass-Through Certificates Series KF80 Class AS (30 Day Average U.S. SOFR +0.51%) ± | 4.82 | 6-25-2030 | 1,116,603 | 1,110,607 | ||
FHLMC Series 2015-SC01 Class 1A | 3.50 | 5-25-2045 | 313,392 | 288,216 | ||
FHLMC Series 2733 Class FB (1 Month LIBOR +0.60%) ± | 5.19 | 10-15-2033 | 198,929 | 199,810 | ||
FHLMC Series 3070 Class FT (1 Month LIBOR +0.35%) ± | 4.94 | 11-15-2035 | 387,153 | 385,497 | ||
FHLMC Series 3614 Class QB | 4.00 | 12-15-2024 | 227,065 | 224,225 | ||
FHLMC Series 3830 Class FD (1 Month LIBOR +0.36%) ± | 4.95 | 3-15-2041 | 164,634 | 163,715 | ||
FHLMC Series 3906 Class EA | 3.00 | 5-15-2026 | 35,582 | 35,331 | ||
FHLMC Series 4057 Class FN (1 Month LIBOR +0.35%) ± | 4.94 | 12-15-2041 | 124,071 | 123,182 | ||
FHLMC Series 4068 Class FK (1 Month LIBOR +0.30%) ± | 4.89 | 6-15-2040 | 53,724 | 53,646 | ||
FHLMC Series 4093 Class FB (1 Month LIBOR +0.35%) ± | 4.94 | 7-15-2039 | 147,885 | 147,744 | ||
FHLMC Series 4159 Class AF (1 Month LIBOR +1.18%) ± | 5.77 | 12-15-2036 | 166,307 | 171,430 | ||
FHLMC Series 4218 Class DF (1 Month LIBOR +0.25%) ± | 4.84 | 7-15-2042 | 207,109 | 203,661 | ||
FHLMC Series 4409 Class MA | 3.00 | 1-15-2054 | 19,791 | 19,141 | ||
FHLMC Series 4604 Class PA | 3.00 | 1-15-2044 | 105,155 | 103,293 | ||
FHLMC Series 4620 Class AF (1 Month LIBOR +0.44%) ± | 3.61 | 11-15-2042 | 1,588,267 | 1,577,935 | ||
FHLMC Series T-15 Class A6 (1 Month LIBOR +0.40%) ± | 5.02 | 11-25-2028 | 35,660 | 35,579 | ||
FHLMC Series T-35 Class A (1 Month LIBOR +0.28%) ± | 4.90 | 9-25-2031 | 322,981 | 321,249 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 499,153 | 550,233 | ||
FHLMC Series T-55 Class 2A1 ±± | 3.27 | 3-25-2043 | 229,590 | 213,890 | ||
FHLMC Series T-56 Class A4 | 6.00 | 5-25-2043 | 2,873,344 | 2,914,381 | ||
FHLMC Series T-57 Class 1A1 | 6.50 | 7-25-2043 | 665,595 | 688,288 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.69 | 7-25-2043 | 1,261,746 | 1,169,724 | ||
FHLMC Series T-62 Class 1A1 (12 Month Treasury Average +1.20%) ± | 3.99 | 10-25-2044 | 485,497 | 458,461 | ||
FHLMC Series T-67 Class 1A1C ±± | 3.68 | 3-25-2036 | 458,480 | 445,474 | ||
FHLMC Series T-67 Class 2A1C ±± | 3.74 | 3-25-2036 | 771,611 | 753,981 | ||
FNMA ¤ | 0.00 | 7-15-2037 | 7,810,000 | 4,047,427 | ||
FNMA ¤ | 0.00 | 8-6-2038 | 6,510,000 | 3,288,302 | ||
FNMA | 1.38 | 7-1-2030 | 3,983,601 | 3,266,632 | ||
FNMA | 1.65 | 6-1-2030 | 1,382,357 | 1,153,056 | ||
FNMA | 1.65 | 7-1-2030 | 2,376,761 | 1,967,967 | ||
FNMA | 1.66 | 7-1-2032 | 4,037,362 | 3,261,961 | ||
FNMA | 1.97 | 5-1-2030 | 4,351,276 | 3,712,785 | ||
FNMA | 2.00 | 2-1-2052 | 15,599,018 | 12,719,919 | ||
FNMA | 2.00 | 2-1-2052 | 19,386,324 | 15,818,920 | ||
FNMA | 2.00 | 2-1-2052 | 13,621,223 | 11,116,035 | ||
FNMA | 2.32 | 1-1-2026 | 3,955,280 | 3,703,962 | ||
FNMA | 2.35 | 2-1-2032 | 2,259,503 | 1,937,182 | ||
FNMA (12 Month LIBOR +1.62%) ± | 2.39 | 8-1-2050 | 1,493,924 | 1,339,186 | ||
FNMA | 2.50 | 9-1-2050 | 375,957 | 320,834 | ||
FNMA | 2.50 | 1-1-2052 | 3,073,643 | 2,606,392 | ||
FNMA %% | 2.50 | 3-13-2053 | 6,020,000 | 5,098,893 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 2.51% | 9-1-2031 | $ | 5,086,059 | $ 4,427,587 | |
FNMA (12 Month LIBOR +1.61%) ± | 2.52 | 5-1-2046 | 713,084 | 732,322 | ||
FNMA | 2.60 | 12-1-2023 | 1,835,037 | 1,793,372 | ||
FNMA | 2.65 | 2-1-2032 | 2,858,876 | 2,511,128 | ||
FNMA | 2.65 | 2-1-2032 | 2,223,570 | 1,953,099 | ||
FNMA | 2.75 | 9-1-2031 | 890,926 | 786,722 | ||
FNMA | 2.86 | 7-1-2029 | 972,936 | 884,360 | ||
FNMA | 3.00 | 5-1-2027 | 274,124 | 263,967 | ||
FNMA | 3.00 | 6-1-2034 | 2,281,207 | 2,132,357 | ||
FNMA | 3.00 | 4-1-2045 | 31,085 | 28,075 | ||
FNMA | 3.00 | 11-1-2045 | 2,738,668 | 2,469,490 | ||
FNMA | 3.00 | 12-1-2045 | 6,464,418 | 5,831,737 | ||
FNMA | 3.00 | 12-1-2046 | 241,968 | 218,210 | ||
FNMA | 3.00 | 9-1-2050 | 3,343,983 | 2,969,032 | ||
FNMA (11th District COFI +1.29%) ± | 3.28 | 5-1-2036 | 347,288 | 335,361 | ||
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.34 | 6-1-2032 | 64,180 | 63,506 | ||
FNMA (11th District COFI +1.25%) ± | 3.37 | 9-1-2027 | 65,505 | 64,150 | ||
FNMA | 3.48 | 3-1-2029 | 873,752 | 825,917 | ||
FNMA | 3.50 | 4-1-2034 | 3,094,391 | 2,984,051 | ||
FNMA %% | 3.50 | 3-16-2038 | 6,880,000 | 6,557,500 | ||
FNMA | 3.50 | 2-1-2043 | 17,004 | 15,953 | ||
FNMA | 3.50 | 2-1-2045 | 380,003 | 356,073 | ||
FNMA | 3.50 | 4-1-2045 | 1,618,498 | 1,510,042 | ||
FNMA | 3.50 | 8-1-2045 | 142,136 | 132,464 | ||
FNMA | 3.50 | 12-1-2045 | 591,128 | 551,394 | ||
FNMA | 3.50 | 2-1-2046 | 554,088 | 514,951 | ||
FNMA (11th District COFI +1.26%) ± | 3.70 | 5-1-2036 | 155,776 | 152,633 | ||
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.78 | 12-1-2040 | 16,210 | 15,935 | ||
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.85 | 9-1-2035 | 131,060 | 133,330 | ||
FNMA | 3.86 | 3-1-2029 | 795,915 | 767,417 | ||
FNMA (12 Month LIBOR +1.77%) ± | 3.92 | 7-1-2044 | 74,199 | 75,745 | ||
FNMA (12 Month LIBOR +1.73%) ± | 3.98 | 9-1-2036 | 160,115 | 161,621 | ||
FNMA %% | 4.00 | 3-16-2038 | 6,785,000 | 6,615,375 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 4.00 | 12-1-2040 | 53,723 | 54,598 | ||
FNMA | 4.00 | 4-1-2046 | 4,376,238 | 4,196,778 | ||
FNMA | 4.00 | 3-1-2047 | 1,016,118 | 974,437 | ||
FNMA | 4.00 | 9-1-2048 | 79,452 | 75,799 | ||
FNMA %% | 4.00 | 3-13-2053 | 3,035,000 | 2,848,632 | ||
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 4.02 | 12-1-2034 | 143,759 | 140,395 | ||
FNMA (12 Month LIBOR +1.78%) ± | 4.03 | 8-1-2036 | 446,936 | 456,893 | ||
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 4.07 | 9-1-2031 | 15,841 | 15,664 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.32 | 11-1-2031 | 66,102 | 64,969 | ||
FNMA (1 Year Treasury Constant Maturity +2.42%) ± | 4.35 | 10-1-2027 | 29,186 | 28,822 | ||
FNMA | 4.38 | 7-1-2032 | 1,031,000 | 1,030,488 | ||
FNMA | 4.50 | 1-1-2026 | 6,793 | 6,736 | ||
FNMA | 4.50 | 10-1-2046 | 94,356 | 92,653 | ||
FNMA | 4.50 | 9-1-2049 | 808,524 | 790,671 | ||
FNMA | 4.50 | 9-1-2052 | 11,428,793 | 11,044,265 | ||
FNMA (1 Year Treasury Constant Maturity +2.47%) ± | 4.59 | 7-1-2026 | 4,291 | 4,257 | ||
FNMA | 5.00 | 4-1-2023 | 218 | 217 | ||
FNMA | 5.00 | 6-1-2023 | 5,861 | 5,850 | ||
FNMA | 5.00 | 3-1-2034 | 181,215 | 182,593 | ||
FNMA | 5.00 | 8-1-2040 | 2,283,330 | 2,286,312 | ||
FNMA | 5.00 | 10-1-2040 | 222,879 | 224,586 | ||
FNMA | 5.00 | 1-1-2042 | 181,710 | 184,224 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA | 5.00% | 12-1-2048 | $ | 234,787 | $ 233,740 | |
FNMA | 5.50 | 11-1-2023 | 2,422 | 2,416 | ||
FNMA | 5.50 | 1-1-2025 | 661 | 659 | ||
FNMA | 5.50 | 1-1-2025 | 2,835 | 2,825 | ||
FNMA | 5.50 | 9-1-2033 | 867,813 | 890,482 | ||
FNMA | 5.50 | 9-1-2033 | 274,650 | 281,820 | ||
FNMA | 5.50 | 8-1-2035 | 291,798 | 298,979 | ||
FNMA | 5.50 | 1-1-2037 | 227,696 | 233,189 | ||
FNMA | 5.50 | 4-1-2040 | 601,879 | 615,469 | ||
FNMA %% | 5.50 | 3-13-2053 | 6,920,000 | 6,908,106 | ||
FNMA | 5.63 | 7-15-2037 | 1,225,000 | 1,390,878 | ||
FNMA (6 Month LIBOR +3.13%) ± | 5.99 | 7-1-2033 | 112,531 | 111,360 | ||
FNMA | 6.00 | 3-1-2024 | 6,160 | 6,234 | ||
FNMA | 6.00 | 1-1-2028 | 283,090 | 286,486 | ||
FNMA | 6.00 | 2-1-2035 | 474,713 | 478,231 | ||
FNMA | 6.00 | 11-1-2037 | 193,957 | 200,862 | ||
FNMA | 6.00 | 7-1-2038 | 64,218 | 66,661 | ||
FNMA | 6.50 | 3-1-2028 | 6,188 | 6,168 | ||
FNMA | 6.50 | 12-1-2029 | 69,869 | 71,662 | ||
FNMA | 6.50 | 11-1-2031 | 14,987 | 15,371 | ||
FNMA | 6.50 | 7-1-2036 | 144,636 | 152,713 | ||
FNMA | 6.50 | 7-1-2036 | 50,416 | 51,704 | ||
FNMA | 7.00 | 11-1-2026 | 1,276 | 1,278 | ||
FNMA | 7.00 | 1-1-2032 | 1,150 | 1,142 | ||
FNMA | 7.00 | 2-1-2032 | 28,212 | 29,129 | ||
FNMA | 7.00 | 10-1-2032 | 98,779 | 102,208 | ||
FNMA | 7.00 | 2-1-2034 | 1,365 | 1,394 | ||
FNMA | 7.00 | 4-1-2034 | 47,460 | 48,427 | ||
FNMA | 7.50 | 9-1-2031 | 31,458 | 32,233 | ||
FNMA | 7.50 | 2-1-2032 | 15,539 | 15,974 | ||
FNMA | 7.50 | 10-1-2037 | 329,278 | 347,006 | ||
FNMA | 8.00 | 5-1-2027 | 14,796 | 14,785 | ||
FNMA | 8.00 | 6-1-2028 | 234 | 234 | ||
FNMA | 8.00 | 2-1-2030 | 16,498 | 16,501 | ||
FNMA | 8.00 | 7-1-2031 | 259,050 | 264,139 | ||
FNMA | 8.50 | 8-1-2024 | 418 | 417 | ||
FNMA | 8.50 | 5-1-2026 | 11,021 | 11,030 | ||
FNMA | 8.50 | 7-1-2026 | 5,549 | 5,539 | ||
FNMA | 8.50 | 11-1-2026 | 1,298 | 1,296 | ||
FNMA | 8.50 | 11-1-2026 | 13,713 | 13,686 | ||
FNMA | 8.50 | 12-1-2026 | 39,550 | 40,325 | ||
FNMA | 8.50 | 12-1-2026 | 5,818 | 5,836 | ||
FNMA | 8.50 | 3-1-2027 | 357 | 358 | ||
FNMA | 8.50 | 6-1-2027 | 18,122 | 18,126 | ||
FNMA | 9.00 | 1-1-2025 | 1,986 | 1,989 | ||
FNMA | 9.00 | 3-1-2025 | 729 | 727 | ||
FNMA | 9.00 | 7-1-2028 | 892 | 892 | ||
FNMA | 9.50 | 7-1-2028 | 1,641 | 1,638 | ||
FNMA | 3.50 | 5-1-2052 | 5,852,204 | 5,330,621 | ||
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 358,419 | 366,861 | ||
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 400,414 | 418,993 | ||
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 105,975 | 112,935 | ||
FNMA Series 2002-5 Class F (1 Month LIBOR +0.35%) ± | 4.97 | 2-25-2032 | 89,945 | 89,926 | ||
FNMA Series 2002-T1 Class A3 | 7.50 | 11-25-2031 | 172,068 | 179,077 | ||
FNMA Series 2002-T12 Class A5 ±± | 4.60 | 10-25-2041 | 486,254 | 456,104 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
FNMA Series 2002-T19 Class A1 | 6.50% | 7-25-2042 | $ | 2,206,128 | $ 2,248,060 | |
FNMA Series 2002-T6 Class A1 | 6.50 | 7-25-2042 | 893,889 | 916,040 | ||
FNMA Series 2002-W4 Class A4 | 6.25 | 5-25-2042 | 310,700 | 314,894 | ||
FNMA Series 2003-T2 Class A1 (1 Month LIBOR +0.28%) ± | 4.35 | 3-25-2033 | 822,574 | 813,472 | ||
FNMA Series 2003-W09 Class A (1 Month LIBOR +0.12%) ± | 4.75 | 6-25-2033 | 49,532 | 47,851 | ||
FNMA Series 2003-W1 Class 1A1 ±± | 4.83 | 12-25-2042 | 413,752 | 394,442 | ||
FNMA Series 2003-W11 Class A1 ±± | 4.72 | 6-25-2033 | 27,079 | 27,392 | ||
FNMA Series 2003-W3 Class 1A4 ±± | 3.95 | 8-25-2042 | 1,231,865 | 1,141,885 | ||
FNMA Series 2003-W5 Class A (1 Month LIBOR +0.11%) ± | 4.73 | 4-25-2033 | 204,530 | 200,506 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.74 | 8-25-2042 | 559,519 | 535,585 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.38 | 10-25-2042 | 717,600 | 768,533 | ||
FNMA Series 2003-W8 Class PT1 ±± | 8.26 | 12-25-2042 | 273,348 | 281,001 | ||
FNMA Series 2004-T1 Class 1A2 | 6.50 | 1-25-2044 | 195,727 | 200,165 | ||
FNMA Series 2004-W01 Class 2A2 | 7.00 | 12-25-2033 | 594,978 | 621,463 | ||
FNMA Series 2004-W15 Class 1A3 | 7.00 | 8-25-2044 | 315,602 | 329,980 | ||
FNMA Series 2005-71 Class DB | 4.50 | 8-25-2025 | 26,872 | 26,486 | ||
FNMA Series 2006-50 Class BF (1 Month LIBOR +0.40%) ± | 5.02 | 6-25-2036 | 465,780 | 463,029 | ||
FNMA Series 2007-101 Class A2 (1 Month LIBOR +0.25%) ± | 4.48 | 6-27-2036 | 49,506 | 48,832 | ||
FNMA Series 2007-W10 Class 2A ±± | 6.30 | 8-25-2047 | 141,552 | 140,576 | ||
FNMA Series 2008-17 Class DP | 4.75 | 2-25-2038 | 602,093 | 585,162 | ||
FNMA Series 2010-136 Class FA (1 Month LIBOR +0.50%) ± | 5.12 | 12-25-2040 | 547,423 | 539,963 | ||
FNMA Series 2011-110 Class FE (1 Month LIBOR +0.40%) ± | 5.02 | 4-25-2041 | 47,645 | 47,548 | ||
FNMA Series 2011-128 Class FK (1 Month LIBOR +0.35%) ± | 4.97 | 7-25-2041 | ��� 101,037 | 100,607 | ||
FNMA Series 2011-15 Class HI ♀ | 5.50 | 3-25-2026 | 7 | 0 | ||
FNMA Series 2013-114 Class LM | 4.00 | 3-25-2042 | 673,755 | 633,536 | ||
FNMA Series 2014-17 Class FE (1 Month LIBOR +0.55%) ± | 5.17 | 4-25-2044 | 1,062,849 | 1,047,979 | ||
FNMA Series 2014-20 Class TM ±± | 4.50 | 4-25-2044 | 334,570 | 57,793 | ||
FNMA Series 2017-M2 Class A2 ±± | 2.81 | 2-25-2027 | 6,515,925 | 6,127,873 | ||
FNMA Series 2018-M1 Class A2 ±± | 2.99 | 12-25-2027 | 630,416 | 589,618 | ||
FNMA Series 2018-M13 Class A2 ±± | 3.74 | 9-25-2030 | 373,974 | 354,895 | ||
FNMA Series 2019-M5 Class A2 | 3.27 | 2-25-2029 | 5,126,356 | 4,791,728 | ||
FNMA Series 265 Class 2 | 9.00 | 3-25-2024 | 2,481 | 2,496 | ||
FNMA Series G93-39 Class ZQ | 6.50 | 12-25-2023 | 61,035 | 60,885 | ||
GNMA %% | 2.00 | 3-21-2053 | 9,550,000 | 8,003,907 | ||
GNMA | 2.50 | 3-20-2052 | 4,906,769 | 4,244,508 | ||
GNMA | 2.50 | 4-20-2052 | 11,439,781 | 9,895,748 | ||
GNMA | 3.00 | 11-20-2045 | 2,966,069 | 2,705,762 | ||
GNMA | 3.00 | 4-20-2051 | 4,491,918 | 4,029,438 | ||
GNMA %% | 3.00 | 3-21-2053 | 2,665,000 | 2,378,773 | ||
GNMA | 3.50 | 12-20-2047 | 2,685,530 | 2,505,696 | ||
GNMA | 3.50 | 7-20-2051 | 2,223,052 | 2,054,616 | ||
GNMA | 4.00 | 11-15-2024 | 175,240 | 172,915 | ||
GNMA | 4.00 | 12-20-2047 | 1,823,069 | 1,747,986 | ||
GNMA | 4.25 | 6-20-2036 | 188,747 | 182,119 | ||
GNMA | 4.50 | 8-20-2049 | 413,011 | 402,876 | ||
GNMA | 4.50 | 7-20-2052 | 2,653,958 | 2,575,470 | ||
GNMA | 5.00 | 7-20-2040 | 408,832 | 413,258 | ||
GNMA | 5.00 | 9-20-2052 | 2,113,603 | 2,091,274 | ||
GNMA | 6.00 | 8-20-2034 | 39,450 | 39,096 | ||
GNMA | 6.50 | 12-15-2025 | 3,057 | 3,134 |
Interest rate | Maturity date | Principal | Value | |||
Agency securities (continued) | ||||||
GNMA | 6.50% | 5-15-2029 | $ | 268 | $ 275 | |
GNMA | 6.50 | 5-15-2031 | 543 | 557 | ||
GNMA | 6.50 | 9-20-2033 | 24,651 | 25,391 | ||
GNMA | 7.00 | 5-15-2026 | 533 | 534 | ||
GNMA | 7.00 | 3-15-2028 | 4,322 | 4,316 | ||
GNMA | 7.00 | 4-15-2031 | 509 | 506 | ||
GNMA | 7.00 | 8-15-2031 | 14,653 | 14,553 | ||
GNMA | 7.00 | 3-15-2032 | 11,131 | 11,034 | ||
GNMA | 8.00 | 6-15-2023 | 17 | 17 | ||
GNMA | 8.00 | 12-15-2023 | 3,760 | 3,758 | ||
GNMA | 8.00 | 2-15-2024 | 66 | 66 | ||
GNMA | 8.00 | 6-15-2025 | 3 | 3 | ||
GNMA Series 2005-23 Class IO ♀±± | 0.00 | 6-17-2045 | 553,090 | 1 | ||
GNMA Series 2006-32 Class XM ♀±± | 0.13 | 11-16-2045 | 2,200,332 | 23 | ||
GNMA Series 2008-22 Class XM ♀±± | 1.28 | 2-16-2050 | 6,219,217 | 124,264 | ||
GNMA Series 2010-158 Class EI ♀ | 4.00 | 12-16-2025 | 1,301,698 | 29,778 | ||
GNMA Series 2012-12 Class HD | 2.00 | 5-20-2062 | 18,235 | 16,612 | ||
GNMA Series 2019-H06 Class HI ♀±± | 1.81 | 4-20-2069 | 2,964,898 | 87,788 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 1-15-2030 | 16,245,000 | 11,953,303 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 4-15-2030 | 9,185,000 | 6,696,978 | ||
STRIPS ¤ | 0.00 | 5-15-2039 | 20,000,000 | 10,674,079 | ||
STRIPS ¤ | 0.00 | 5-15-2040 | 7,275,000 | 3,548,729 | ||
TVA | 4.25 | 9-15-2052 | 5,000,000 | 4,524,340 | ||
TVA | 4.25 | 9-15-2065 | 2,600,000 | 2,311,318 | ||
TVA | 4.63 | 9-15-2060 | 7,550,000 | 7,249,849 | ||
TVA | 5.88 | 4-1-2036 | 4,380,000 | 4,885,549 | ||
TVA STRIPS ¤ | 0.00 | 11-1-2025 | 5,650,000 | 4,971,493 | ||
TVA STRIPS ¤ | 0.00 | 6-15-2035 | 2,448,000 | 1,348,633 | ||
TVA STRIPS ¤ | 0.00 | 1-15-2048 | 1,000,000 | 286,500 | ||
U.S. International Development Finance Corporation ¤ | 0.00 | 1-17-2026 | 2,000,000 | 1,973,964 | ||
U.S. International Development Finance Corporation | 2.12 | 3-20-2024 | 4,285,000 | 4,222,554 | ||
U.S. International Development Finance Corporation | 2.82 | 3-20-2024 | 3,802,500 | 3,761,337 | ||
Total Agency securities (Cost $415,265,716) | 377,148,591 | |||||
Asset-backed securities: 1.31% | ||||||
American Tower Trust I 144A | 3.65 | 3-15-2048 | 4,000,000 | 3,668,005 | ||
Navient Student Loan Trust Series 2018-3A Class A2 (1 Month LIBOR +0.42%) 144A± | 5.04 | 3-25-2067 | 210,844 | 210,686 | ||
Navient Student Loan Trust Series 2019-2A Class A2 (1 Month LIBOR +1.00%) 144A± | 5.62 | 2-27-2068 | 2,485,611 | 2,449,056 | ||
Total Asset-backed securities (Cost $6,696,811) | 6,327,747 | |||||
Corporate bonds and notes: 2.81% | ||||||
Financials: 2.27% | ||||||
Consumer finance: 1.88% | ||||||
Private Export Funding Corporation 144A | 0.55 | 7-30-2024 | 9,715,000 | 9,080,901 | ||
Diversified financial services: 0.39% | ||||||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 2,000,000 | 1,893,716 |
Interest rate | Maturity date | Principal | Value | |||
Industrials: 0.54% | ||||||
Commercial services & supplies: 0.54% | ||||||
Rockfeller Foundation Class B | 2.49% | 10-1-2050 | $ | 4,000,000 | $ 2,628,218 | |
Total Corporate bonds and notes (Cost $15,859,295) | 13,602,835 | |||||
Non-agency mortgage-backed securities: 6.48% | ||||||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 644,590 | 577,745 | ||
Arroyo Mortgage Trust Series 2019-1 Class A1 144A±± | 3.81 | 1-25-2049 | 1,142,821 | 1,060,738 | ||
Benchmark Mortgage Trust Series 2018-B1 Class A4 | 3.40 | 1-15-2051 | 246,357 | 232,145 | ||
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 1,923,246 | 1,821,034 | ||
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 3,030,000 | 2,610,600 | ||
CD Commercial Mortgage Trust Series 2014-CR16 Class A3 | 3.78 | 4-10-2047 | 2,540,783 | 2,493,137 | ||
CD Commercial Mortgage Trust Series 2017-6 Class A5 | 3.46 | 11-13-2050 | 2,340,000 | 2,162,725 | ||
FirstKey Homes Trust Series 2021 Class A 144A | 1.54 | 8-17-2038 | 1,240,470 | 1,083,612 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC24 Class A4 | 3.67 | 9-10-2047 | 3,831,208 | 3,716,607 | ||
JPMorgan Chase Commercial Mortgage Securities Corporation Series 2015-C28 Class A4 | 3.23 | 10-15-2048 | 5,000,000 | 4,735,798 | ||
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 2,420,624 | 2,244,700 | ||
New Residential Mortgage Loan Series 2020-NQM2 Class A1 144A±± | 1.65 | 5-24-2060 | 409,190 | 371,470 | ||
Starwood Mortgage Residential Trust Series 2021-6 Class A1 144A±± | 1.92 | 11-25-2066 | 3,953,383 | 3,275,308 | ||
Towd Point Mortgage Trust Series 2015-2 Class 1M2 144A±± | 3.50 | 11-25-2060 | 2,194,304 | 2,143,347 | ||
UBS Commercial Mortgage Trust Series 2017-C5 Class A5 | 3.47 | 11-15-2050 | 2,581,000 | 2,384,307 | ||
Vendee Mortgage Trust Series 1995-1 Class 4 ±± | 7.84 | 2-15-2025 | 22,604 | 22,847 | ||
Vendee Mortgage Trust Series 1995-2C Class 3A | 8.79 | 6-15-2025 | 45,878 | 47,196 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 449,458 | 400,237 | ||
Total Non-agency mortgage-backed securities (Cost $34,514,815) | 31,383,553 | |||||
U.S. Treasury securities: 14.29% | ||||||
U.S. Treasury Bond ## | 2.25 | 5-15-2041 | 13,005,000 | 9,881,260 | ||
U.S. Treasury Bond | 2.25 | 2-15-2052 | 1,905,000 | 1,358,280 | ||
U.S. Treasury Bond | 2.88 | 5-15-2043 | 2,245,000 | 1,857,211 | ||
U.S. Treasury Bond | 3.00 | 8-15-2052 | 4,935,000 | 4,148,484 | ||
U.S. Treasury Bond | 3.13 | 5-15-2048 | 6,980,000 | 5,958,357 | ||
U.S. Treasury Note | 2.00 | 11-15-2041 | 5,230,000 | 3,780,105 | ||
U.S. Treasury Note ## | 2.75 | 4-30-2027 | 23,720,000 | 22,325,531 | ||
U.S. Treasury Note ## | 2.75 | 7-31-2027 | 1,225,000 | 1,150,830 | ||
U.S. Treasury Note ## | 3.50 | 2-15-2033 | 5,695,000 | 5,507,243 | ||
U.S. Treasury Note ## | 4.13 | 11-15-2032 | 13,005,000 | 13,212,267 | ||
Total U.S. Treasury securities (Cost $77,229,196) | 69,179,568 |
Interest rate | Maturity date | Principal | Value | |||
Yankee corporate bonds and notes: 0.52% | ||||||
Financials: 0.52% | ||||||
Banks: 0.52% | ||||||
Inter-American Development Bank | 7.00% | 6-15-2025 | $ | 2,000,000 | $ 2,089,143 | |
International Bank for Reconstruction and Development ¤ | 0.00 | 3-11-2031 | 615,000 | 434,845 | ||
Total Yankee corporate bonds and notes (Cost $2,687,379) | 2,523,988 | |||||
Yankee government bonds: 3.27% | ||||||
State of Israel | 5.50 | 12-4-2023 | 15,790,000 | 15,805,980 | ||
Total Yankee government bonds (Cost $16,410,142) | 15,805,980 |
Yield | Shares | |||||
Short-term investments: 1.10% | ||||||
Investment companies: 1.10% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 5,302,678 | 5,302,678 | |||
Total Short-term investments (Cost $5,302,678) | 5,302,678 | |||||
Total investments in securities (Cost $573,966,032) | 107.71% | 521,274,940 | ||||
Other assets and liabilities, net | (7.71) | (37,295,830) | ||||
Total net assets | 100.00% | $483,979,110 |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
♀ | Investment in an interest-only security that entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations: | |
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 | $43,810,728 | $87,592,637 | $(126,100,687) | $0 | $0 | $5,302,678 | 5,302,678 | $111,241 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 309 | 6-30-2023 | $ 63,137,885 | $ 62,951,508 | $ 0 | $ (186,377) | |
5-Year U.S. Treasury Notes | 398 | 6-30-2023 | 42,735,865 | 42,607,766 | 0 | (128,099) | |
Short | |||||||
10-Year U.S. Treasury Notes | (69) | 6-21-2023 | (7,717,172) | (7,704,281) | 12,891 | 0 | |
10-Year U.S. Ultra Treasury Notes | (74) | 6-21-2023 | (8,692,672) | (8,671,875) | 20,797 | 0 | |
U.S. Long Term Bonds | (159) | 6-21-2023 | (20,068,503) | (19,909,781) | 158,722 | 0 | |
U.S. Ultra Bond | (100) | 6-21-2023 | (13,620,656) | (13,506,250) | 114,406 | 0 | |
$306,816 | $(314,476) |
Assets | |
Investments in unaffiliated securities, at value (cost $568,663,354) | $ 515,972,262 |
Investments in affiliated securities, at value (cost $5,302,678) | 5,302,678 |
Cash | 5,135 |
Cash held at broker | 290,000 |
Cash at broker segregated for futures contracts | 2,666,000 |
Receivable for investments sold | 13,327,362 |
Receivable for interest | 2,422,773 |
Receivable for Fund shares sold | 355,905 |
Principal paydown receivable | 55,516 |
Receivable for daily variation margin on open futures contracts | 3,758 |
Prepaid expenses and other assets | 88,200 |
Total assets | 540,489,589 |
Liabilities | |
Payable for when-issued transactions | 52,370,144 |
Payable for investments purchased | 2,902,493 |
Payable for Fund shares redeemed | 786,981 |
Dividends payable | 172,663 |
Management fee payable | 132,335 |
Administration fees payable | 42,207 |
Distribution fee payable | 967 |
Accrued expenses and other liabilities | 102,689 |
Total liabilities | 56,510,479 |
Total net assets | $483,979,110 |
Net assets consist of | |
Paid-in capital | $ 576,609,778 |
Total distributable loss | (92,630,668) |
Total net assets | $483,979,110 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 176,410,615 |
Shares outstanding – Class A1 | 18,168,478 |
Net asset value per share – Class A | $9.71 |
Maximum offering price per share – Class A2 | $10.17 |
Net assets – Class C | $ 1,676,295 |
Shares outstanding – Class C1 | 172,664 |
Net asset value per share – Class C | $9.71 |
Net assets – Administrator Class | $ 74,369,924 |
Shares outstanding – Administrator Class1 | 7,662,956 |
Net asset value per share – Administrator Class | $9.71 |
Net assets – Institutional Class | $ 231,522,276 |
Shares outstanding – Institutional Class1 | 23,854,990 |
Net asset value per share – Institutional Class | $9.71 |
1 | The Fund has an unlimited number of authorized shares. |
2 | Maximum offering price is computed as 100/95.50 of net asset value. On investments of $50,000 or more, the offering price is reduced. |
Investment income | |
Interest | $ 7,632,568 |
Income from affiliated securities | 111,241 |
Total investment income | 7,743,809 |
Expenses | |
Management fee | 1,120,081 |
Administration fees | |
Class A | 144,387 |
Class C | 1,402 |
Administrator Class | 38,634 |
Institutional Class | 95,454 |
Shareholder servicing fees | |
Class A | 224,191 |
Class C | 2,179 |
Administrator Class | 96,153 |
Distribution fee | |
Class C | 6,529 |
Custody and accounting fees | 11,629 |
Professional fees | 43,921 |
Registration fees | 22,764 |
Shareholder report expenses | 21,818 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 1,957 |
Total expenses | 1,841,724 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (116,464) |
Class A | (9,024) |
Administrator Class | (57,951) |
Institutional Class | (59,659) |
Net expenses | 1,598,626 |
Net investment income | 6,145,183 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (11,362,944) |
Futures contracts | 1,833,034 |
Net realized losses on investments | (9,529,910) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | (12,136,628) |
Futures contracts | 31,569 |
Net change in unrealized gains (losses) on investments | (12,105,059) |
Net realized and unrealized gains (losses) on investments | (21,634,969) |
Net decrease in net assets resulting from operations | $(15,489,786) |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 6,145,183 | $ 9,261,287 | ||
Net realized losses on investments | (9,529,910) | (15,840,928) | ||
Net change in unrealized gains (losses) on investments | (12,105,059) | (64,246,074) | ||
Net decrease in net assets resulting from operations | (15,489,786) | (70,825,715) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (1,871,901) | (2,702,584) | ||
Class C | (11,540) | (10,895) | ||
Administrator Class | (881,440) | (1,343,333) | ||
Institutional Class | (2,915,708) | (4,534,056) | ||
Total distributions to shareholders | (5,680,589) | (8,590,868) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 604,940 | 5,886,059 | 1,408,891 | 15,372,202 |
Class C | 7,555 | 73,854 | 30,432 | 315,688 |
Administrator Class | 493,871 | 4,832,455 | 1,353,906 | 14,726,732 |
Institutional Class | 6,228,731 | 61,107,576 | 17,751,806 | 191,802,896 |
71,899,944 | 222,217,518 | |||
Reinvestment of distributions | ||||
Class A | 171,477 | 1,665,674 | 223,519 | 2,401,606 |
Class C | 1,019 | 9,901 | 883 | 9,353 |
Administrator Class | 89,371 | 867,869 | 122,729 | 1,319,682 |
Institutional Class | 224,555 | 2,181,233 | 314,703 | 3,374,424 |
4,724,677 | 7,105,065 | |||
Payment for shares redeemed | ||||
Class A | (2,085,304) | (20,322,206) | (5,223,872) | (56,935,298) |
Class C | (41,580) | (409,465) | (90,454) | (963,071) |
Administrator Class | (1,179,771) | (11,455,899) | (2,938,959) | (32,001,376) |
Institutional Class | (7,935,112) | (77,588,023) | (19,414,727) | (207,837,081) |
(109,775,593) | (297,736,826) | |||
Net decrease in net assets resulting from capital share transactions | (33,150,972) | (68,414,243) | ||
Total decrease in net assets | (54,321,347) | (147,830,826) | ||
Net assets | ||||
Beginning of period | 538,300,457 | 686,131,283 | ||
End of period | $ 483,979,110 | $ 538,300,457 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $10.11 | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.11 | 0.14 | 0.12 1 | 0.18 1 | 0.23 | 0.19 |
Net realized and unrealized gains (losses) on investments | (0.41) | (1.39) | (0.17) | 0.38 | 0.68 | (0.35) |
Total from investment operations | (0.30) | (1.25) | (0.05) | 0.56 | 0.91 | (0.16) |
Distributions to shareholders from | ||||||
Net investment income | (0.10) | (0.13) | (0.11) | (0.19) | (0.25) | (0.20) |
Tax basis return of capital | 0.00 | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.10) | (0.13) | (0.13) | (0.20) | (0.25) | (0.20) |
Net asset value, end of period | $9.71 | $10.11 | $11.49 | $11.67 | $11.31 | $10.65 |
Total return2 | (2.96)% | (10.95)% | (0.40)% | 5.02% | 8.65% | (1.44)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.90% | 0.89% | 0.89% | 0.91% | 0.91% | 0.90% |
Net expenses | 0.85% | 0.84% | 0.84% | 0.84% | 0.85% | 0.85% |
Net investment income | 2.26% | 1.28% | 1.00% | 1.56% | 2.20% | 1.86% |
Supplemental data | ||||||
Portfolio turnover rate | 67% | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $176,411 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $10.10 | $11.49 | $11.67 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.07 1 | 0.06 1 | 0.03 1 | 0.09 1 | 0.15 1 | 0.12 1 |
Net realized and unrealized gains (losses) on investments | (0.40) | (1.40) | (0.17) | 0.38 | 0.68 | (0.36) |
Total from investment operations | (0.33) | (1.34) | (0.14) | 0.47 | 0.83 | (0.24) |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.05) | (0.02) | (0.10) | (0.17) | (0.12) |
Tax basis return of capital | 0.00 | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.06) | (0.05) | (0.04) | (0.11) | (0.17) | (0.12) |
Net asset value, end of period | $9.71 | $10.10 | $11.49 | $11.67 | $11.31 | $10.65 |
Total return2 | (3.22)% | (11.71)% | (1.16)% | 4.24% | 7.84% | (2.18)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.65% | 1.63% | 1.64% | 1.66% | 1.66% | 1.65% |
Net expenses | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% | 1.60% |
Net investment income | 1.50% | 0.52% | 0.24% | 0.81% | 1.44% | 1.12% |
Supplemental data | ||||||
Portfolio turnover rate | 67% | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $1,676 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 | $11.01 |
Net investment income | 0.12 1 | 0.16 1 | 0.14 1 | 0.20 1 | 0.26 1 | 0.22 1 |
Net realized and unrealized gains (losses) on investments | (0.40) | (1.39) | (0.16) | 0.37 | 0.67 | (0.35) |
Total from investment operations | (0.28) | (1.23) | (0.02) | 0.57 | 0.93 | (0.13) |
Distributions to shareholders from | ||||||
Net investment income | (0.11) | (0.15) | (0.14) | (0.21) | (0.27) | (0.23) |
Tax basis return of capital | 0.00 | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.11) | (0.15) | (0.16) | (0.22) | (0.27) | (0.23) |
Net asset value, end of period | $9.71 | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Total return2 | (2.76)% | (10.78)% | (0.21)% | 5.15% | 8.88% | (1.23)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.84% | 0.83% | 0.83% | 0.85% | 0.85% | 0.84% |
Net expenses | 0.64% | 0.64% | 0.64% | 0.64% | 0.64% | 0.64% |
Net investment income | 2.47% | 1.49% | 1.21% | 1.75% | 2.42% | 2.07% |
Supplemental data | ||||||
Portfolio turnover rate | 67% | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $74,370 | $83,432 | $111,639 | $120,181 | $106,355 | $91,671 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 | $11.00 |
Net investment income | 0.13 1 | 0.17 | 0.16 1 | 0.21 1 | 0.27 1 | 0.24 1 |
Net realized and unrealized gains (losses) on investments | (0.40) | (1.38) | (0.17) | 0.38 | 0.68 | (0.35) |
Total from investment operations | (0.27) | (1.21) | (0.01) | 0.59 | 0.95 | (0.11) |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.17) | (0.15) | (0.23) | (0.29) | (0.24) |
Tax basis return of capital | 0.00 | 0.00 | (0.02) | (0.01) | 0.00 | 0.00 |
Total distributions to shareholders | (0.12) | (0.17) | (0.17) | (0.24) | (0.29) | (0.24) |
Net asset value, end of period | $9.71 | $10.10 | $11.48 | $11.66 | $11.31 | $10.65 |
Total return2 | (2.68)% | (10.63)% | (0.05)% | 5.31% | 9.05% | (0.99)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.58% | 0.56% | 0.56% | 0.58% | 0.58% | 0.57% |
Net expenses | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income | 2.63% | 1.66% | 1.36% | 1.87% | 2.56% | 2.22% |
Supplemental data | ||||||
Portfolio turnover rate | 67% | 309% | 221% | 111% | 178% | 197% |
Net assets, end of period (000s omitted) | $231,522 | $255,952 | $306,431 | $329,083 | $210,424 | $310,966 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 1,287,486 |
Gross unrealized losses | (63,229,355) |
Net unrealized losses | $(61,941,869) |
■ | 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 | $ 377,148,591 | $0 | $ 377,148,591 |
Asset-backed securities | 0 | 6,327,747 | 0 | 6,327,747 |
Corporate bonds and notes | 0 | 13,602,835 | 0 | 13,602,835 |
Non-agency mortgage-backed securities | 0 | 31,383,553 | 0 | 31,383,553 |
U.S. Treasury securities | 69,179,568 | 0 | 0 | 69,179,568 |
Yankee corporate bonds and notes | 0 | 2,523,988 | 0 | 2,523,988 |
Yankee government bonds | 0 | 15,805,980 | 0 | 15,805,980 |
Short-term investments | ||||
Investment companies | 5,302,678 | 0 | 0 | 5,302,678 |
74,482,246 | 446,792,694 | 0 | 521,274,940 | |
Futures contracts | 306,816 | 0 | 0 | 306,816 |
Total assets | $74,789,062 | $446,792,694 | $0 | $521,581,756 |
Liabilities | ||||
Futures contracts | $ 314,476 | $ 0 | $0 | $ 314,476 |
Total liabilities | $ 314,476 | $ 0 | $0 | $ 314,476 |
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 | |
$181,469,599 | $175,800,692 | $183,118,906 | $196,323,514 |
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 Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838img4932f8231.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g401838imgc488499c5.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR3004 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g478764img727ee4d51.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. |
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 2023. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA®‡, Michael J. Schueller, CFA®‡ |
Average annual total returns (%) as of February 28, 2023 | |||||||||||
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 | -9.83 | 0.58 | 2.62 | -5.68 | 1.52 | 3.08 | 1.01 | 0.93 | ||
Class C (EKHCX) | 1-21-1998 | -7.68 | 0.76 | 2.49 | -6.68 | 0.76 | 2.49 | 1.76 | 1.68 | ||
Administrator Class (EKHYX) | 4-14-1998 | – | – | – | -5.85 | 1.65 | 3.25 | 0.95 | 0.80 | ||
Institutional Class (EKHIX)3 | 10-31-2014 | – | – | – | -5.60 | 1.92 | 3.44 | 0.68 | 0.53 | ||
ICE BofA U.S. High Yield Constrained Index4 | – | – | – | – | -5.45 | 2.69 | 4.02 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, 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 2023. ICE Data Indices, LLC. All rights reserved. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
Enviva Partners LP, 6.50%, 1-15-2026 | 1.61 |
Gray Escrow II Incorporated, 5.38%, 11-15-2031 | 1.47 |
Enact Holdings Incorporated, 6.50%, 8-15-2025 | 1.34 |
Occidental Petroleum Corporation, 6.45%, 9-15-2036 | 1.27 |
PG&E Corporation, 5.25%, 7-1-2030 | 1.26 |
The Geo Group Incorporated, 11.74%, 3-23-2027 | 1.26 |
CoreCivic Incorporated, 8.25%, 4-15-2026 | 1.25 |
CCM Merger Incorporated , 6.38%, 5-1-2026 | 1.22 |
TerraForm Power Operating LLC, 5.00%, 1-31-2028 | 1.17 |
GIP III Stetson I LP, 8.88%, 7-18-2025 | 1.14 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g478764img228532434.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Beginning account value 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,027.88 | $4.68 | 0.93% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.18 | $4.66 | 0.93% |
Class C | ||||
Actual | $1,000.00 | $1,020.57 | $8.42 | 1.68% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.46 | $8.40 | 1.68% |
Administrator Class | ||||
Actual | $1,000.00 | $1,028.52 | $4.02 | 0.80% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.83 | $4.01 | 0.80% |
Institutional Class | ||||
Actual | $1,000.00 | $1,029.90 | $2.67 | 0.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.17 | $2.66 | 0.53% |
Shares | Value | ||||
Common stocks: 0.24% | |||||
Energy: 0.17% | |||||
Oil, gas & consumable fuels: 0.17% | |||||
Denbury Incorporated † | 6,070 | $ 506,056 | |||
Financials: 0.07% | |||||
Mortgage REITs: 0.07% | |||||
Starwood Property Trust Incorporated | 11,000 | 210,760 | |||
Total Common stocks (Cost $691,705) | 716,816 |
Interest rate | Maturity date | Principal | |||
Corporate bonds and notes: 82.17% | |||||
Communication services: 14.65% | |||||
Diversified telecommunication services: 0.81% | |||||
Cablevision Lightpath LLC 144A | 3.88% | 9-15-2027 | $ 860,000 | 701,038 | |
Cablevision Lightpath LLC 144A | 5.63 | 9-15-2028 | 800,000 | 596,000 | |
Level 3 Financing Incorporated 144A | 3.63 | 1-15-2029 | 1,775,000 | 1,138,982 | |
2,436,020 | |||||
Entertainment: 1.13% | |||||
Dave & Buster's Incorporated 144A | 7.63 | 11-1-2025 | 535,000 | 542,356 | |
Live Nation Entertainment Incorporated 144A | 3.75 | 1-15-2028 | 575,000 | 499,968 | |
Live Nation Entertainment Incorporated 144A | 5.63 | 3-15-2026 | 670,000 | 644,962 | |
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 1,735,000 | 1,705,939 | |
3,393,225 | |||||
Media: 12.71% | |||||
CCO Holdings LLC 144A | 4.25 | 1-15-2034 | 3,175,000 | 2,376,654 | |
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 3,000,000 | 2,467,560 | |
CCO Holdings LLC 144A | 5.00 | 2-1-2028 | 975,000 | 883,594 | |
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 1,975,000 | 1,827,408 | |
Cinemark USA Incorporated 144A« | 5.25 | 7-15-2028 | 1,675,000 | 1,407,419 | |
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 1,965,000 | 2,004,695 | |
Clear Channel Outdoor Holdings 144A | 7.50 | 6-1-2029 | 1,865,000 | 1,510,650 | |
CSC Holdings LLC 144A | 4.13 | 12-1-2030 | 1,670,000 | 1,206,876 | |
CSC Holdings LLC 144A | 5.75 | 1-15-2030 | 2,725,000 | 1,560,689 | |
DIRECTV Financing LLC 144A | 5.88 | 8-15-2027 | 1,675,000 | 1,497,481 | |
DISH DBS Corporation 144A | 5.75 | 12-1-2028 | 1,225,000 | 978,530 | |
DISH Network Corporation 144A | 11.75 | 11-15-2027 | 1,475,000 | 1,494,507 | |
Gray Escrow II Incorporated 144A | 5.38 | 11-15-2031 | 5,975,000 | 4,436,145 | |
Match Group Holdings II LLC 144A« | 5.63 | 2-15-2029 | 2,495,000 | 2,298,612 | |
Nexstar Broadcasting Incorporated 144A | 4.75 | 11-1-2028 | 950,000 | 830,557 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 905,000 | 840,503 | |
Outfront Media Capital Corporation 144A | 4.63 | 3-15-2030 | 1,275,000 | 1,042,363 | |
Outfront Media Capital Corporation 144A | 5.00 | 8-15-2027 | 1,250,000 | 1,128,125 | |
QVC Incorporated | 4.38 | 9-1-2028 | 1,330,000 | 741,063 | |
QVC Incorporated | 4.75 | 2-15-2027 | 1,220,000 | 780,800 | |
QVC Incorporated | 5.95 | 3-15-2043 | 700,000 | 336,218 | |
Scripps Escrow II Incorporated 144A« | 5.38 | 1-15-2031 | 1,625,000 | 1,150,468 | |
Scripps Escrow II Incorporated 144A | 5.88 | 7-15-2027 | 1,800,000 | 1,441,299 |
Interest rate | Maturity date | Principal | Value | ||
Media (continued) | |||||
Sirius XM Radio Incorporated 144A | 4.13% | 7-1-2030 | $1,860,000 | $ 1,511,677 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 2,815,000 | 2,579,308 | |
38,333,201 | |||||
Consumer discretionary: 12.65% | |||||
Auto components: 0.06% | |||||
Clarios Global LP 144A | 6.25 | 5-15-2026 | 176,000 | 172,744 | |
Automobiles: 0.55% | |||||
Ford Motor Company | 3.25 | 2-12-2032 | 1,035,000 | 784,641 | |
Ford Motor Company | 4.75 | 1-15-2043 | 1,200,000 | 875,156 | |
1,659,797 | |||||
Hotels, restaurants & leisure: 7.27% | |||||
Carnival Corporation 144A | 4.00 | 8-1-2028 | 1,175,000 | 993,392 | |
Carnival Corporation 144A | 6.00 | 5-1-2029 | 1,925,000 | 1,499,190 | |
Carnival Corporation 144A | 9.88 | 8-1-2027 | 1,850,000 | 1,883,282 | |
Carnival Holdings Bermuda Limited 144A | 10.38 | 5-1-2028 | 2,275,000 | 2,434,250 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,845,000 | 3,689,802 | |
Churchill Downs Incorporated 144A | 4.75 | 1-15-2028 | 1,655,000 | 1,506,492 | |
MGM Resorts International | 6.75 | 5-1-2025 | 635,000 | 636,568 | |
NCL Corporation Limited 144A | 5.88 | 3-15-2026 | 1,945,000 | 1,682,425 | |
NCL Corporation Limited 144A | 5.88 | 2-15-2027 | 1,310,000 | 1,215,025 | |
NCL Corporation Limited 144A« | 7.75 | 2-15-2029 | 830,000 | 722,515 | |
Royal Caribbean Cruises Limited 144A | 5.38 | 7-15-2027 | 200,000 | 175,787 | |
Royal Caribbean Cruises Limited 144A | 5.50 | 4-1-2028 | 2,655,000 | 2,314,098 | |
Royal Caribbean Cruises Limited 144A | 9.25 | 1-15-2029 | 905,000 | 959,961 | |
Royal Caribbean Cruises Limited 144A | 11.63 | 8-15-2027 | 2,075,000 | 2,209,958 | |
21,922,745 | |||||
Household durables: 0.39% | |||||
Toll Brothers Finance Corporation | 4.35 | 2-15-2028 | 1,260,000 | 1,160,449 | |
Multiline retail: 1.09% | |||||
LSF9 Atlantis Holdings LLC 144A | 7.75 | 2-15-2026 | 2,430,000 | 2,136,720 | |
Macy's Retail Holdings LLC 144A« | 5.88 | 4-1-2029 | 945,000 | 858,400 | |
Macy's Retail Holdings LLC 144A | 6.13 | 3-15-2032 | 355,000 | 305,300 | |
3,300,420 | |||||
Specialty retail: 2.46% | |||||
Bath & Body Works Incorporated 144A | 9.38 | 7-1-2025 | 635,000 | 671,513 | |
Michaels Companies Incorporated 144A | 7.88 | 5-1-2029 | 1,980,000 | 1,489,950 | |
NMG Holding Company Incorporated 144A | 7.13 | 4-1-2026 | 1,325,000 | 1,278,625 | |
PetSmart Incorporated 144A | 4.75 | 2-15-2028 | 2,510,000 | 2,284,616 | |
Rent-A-Center Incorporated 144A« | 6.38 | 2-15-2029 | 1,980,000 | 1,698,583 | |
7,423,287 | |||||
Textiles, apparel & luxury goods: 0.83% | |||||
G-III Apparel Group Limited 144A | 7.88 | 8-15-2025 | 2,640,000 | 2,488,200 |
Interest rate | Maturity date | Principal | Value | ||
Consumer staples: 0.62% | |||||
Food products: 0.62% | |||||
CHS Incorporated 144A | 5.25% | 5-15-2030 | $1,055,000 | $ 844,127 | |
US Foods Incorporated 144A | 6.25 | 4-15-2025 | 1,025,000 | 1,021,253 | |
1,865,380 | |||||
Energy: 15.77% | |||||
Energy equipment & services: 3.73% | |||||
Bristow Group Incorporated 144A | 6.88 | 3-1-2028 | 3,025,000 | 2,847,644 | |
Hilcorp Energy Company 144A | 5.75 | 2-1-2029 | 490,000 | 443,450 | |
Hilcorp Energy Company 144A | 6.00 | 4-15-2030 | 350,000 | 317,517 | |
Hilcorp Energy Company 144A | 6.25 | 11-1-2028 | 610,000 | 566,744 | |
Hilcorp Energy Company 144A | 6.25 | 4-15-2032 | 350,000 | 317,377 | |
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 900,000 | 866,322 | |
Oceaneering International Incorporated | 6.00 | 2-1-2028 | 1,875,000 | 1,778,663 | |
Pattern Energy Operations LP 144A | 4.50 | 8-15-2028 | 3,250,000 | 2,902,283 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 1,150,000 | 1,102,149 | |
USA Compression Partners LP | 6.88 | 9-1-2027 | 100,000 | 94,684 | |
11,236,833 | |||||
Oil, gas & consumable fuels: 12.04% | |||||
Aethon United 144A | 8.25 | 2-15-2026 | 1,600,000 | 1,538,931 | |
Archrock Partners LP 144A | 6.25 | 4-1-2028 | 415,000 | 393,951 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 1,650,000 | 1,600,715 | |
Buckeye Partners LP 144A | 4.50 | 3-1-2028 | 1,025,000 | 900,062 | |
CQP Holdco LP 144A | 5.50 | 6-15-2031 | 2,075,000 | 1,820,813 | |
DT Midstream Incorporated 144A | 4.38 | 6-15-2031 | 2,475,000 | 2,072,813 | |
Encino Acquisition Partners Company 144A | 8.50 | 5-1-2028 | 3,080,000 | 2,690,349 | |
EnLink Midstream Partners LP | 5.38 | 6-1-2029 | 1,200,000 | 1,114,278 | |
EnLink Midstream Partners LP 144A | 6.50 | 9-1-2030 | 1,050,000 | 1,034,177 | |
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 5,175,000 | 4,851,356 | |
EQM Midstream Partners 144A | 7.50 | 6-1-2027 | 20,000 | 19,600 | |
EQM Midstream Partners 144A | 7.50 | 6-1-2030 | 1,555,000 | 1,481,481 | |
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 1,000,000 | 964,360 | |
Hess Midstream Operation Company 144A | 5.50 | 10-15-2030 | 205,000 | 184,500 | |
Kinetik Holdings LP Company 144A | 5.88 | 6-15-2030 | 1,615,000 | 1,492,599 | |
Murphy Oil Corporation | 6.38 | 7-15-2028 | 710,000 | 685,381 | |
Nabors Industries Limited 144A | 7.38 | 5-15-2027 | 1,240,000 | 1,195,087 | |
Occidental Petroleum Corporation | 6.45 | 9-15-2036 | 3,800,000 | 3,819,000 | |
Rockies Express Pipeline LLC 144A | 6.88 | 4-15-2040 | 1,415,000 | 1,158,696 | |
Southwestern Energy Company | 4.75 | 2-1-2032 | 1,825,000 | 1,568,277 | |
Tallgrass Energy Partners LP 144A | 6.00 | 12-31-2030 | 3,155,000 | 2,720,683 | |
Tallgrass Energy Partners LP 144A | 6.00 | 9-1-2031 | 155,000 | 132,453 | |
Venture Global Calcasieu Pass LLC 144A | 6.25 | 1-15-2030 | 1,725,000 | 1,701,281 | |
Vital Energy Incorporated | 9.50 | 1-15-2025 | 1,165,000 | 1,174,402 | |
36,315,245 | |||||
Financials: 12.73% | |||||
Capital markets: 0.27% | |||||
Oppenheimer Holdings Incorporated | 5.50 | 10-1-2025 | 825,000 | 810,563 | |
Consumer finance: 5.24% | |||||
FirstCash Incorporated 144A | 4.63 | 9-1-2028 | 2,215,000 | 1,924,215 |
Interest rate | Maturity date | Principal | Value | ||
Consumer finance (continued) | |||||
FirstCash Incorporated 144A | 5.63% | 1-1-2030 | $ 210,000 | $ 185,753 | |
Ford Motor Credit Company LLC | 4.39 | 1-8-2026 | 1,600,000 | 1,504,976 | |
Ford Motor Credit Company LLC | 5.11 | 5-3-2029 | 3,325,000 | 3,039,383 | |
Ford Motor Credit Company LLC | 5.13 | 6-16-2025 | 200,000 | 193,076 | |
LFS TopCo LLC 144A | 5.88 | 10-15-2026 | 895,000 | 770,771 | |
Navient Corporation | 5.00 | 3-15-2027 | 1,325,000 | 1,177,925 | |
Navient Corporation | 5.63 | 8-1-2033 | 700,000 | 525,329 | |
Navient Corporation | 5.88 | 10-25-2024 | 350,000 | 340,221 | |
OneMain Finance Corporation | 5.38 | 11-15-2029 | 935,000 | 787,307 | |
OneMain Finance Corporation | 7.13 | 3-15-2026 | 575,000 | 558,963 | |
PECF USS Intermediate Holding III Corporation 144A | 8.00 | 11-15-2029 | 1,805,000 | 1,268,799 | |
PRA Group Incorporated 144A | 5.00 | 10-1-2029 | 2,075,000 | 1,768,336 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 1,375,000 | 1,186,474 | |
Rocket Mortgage LLC 144A | 4.00 | 10-15-2033 | 765,000 | 565,562 | |
15,797,090 | |||||
Diversified financial services: 2.47% | |||||
Camelot Return Merger Sub Incorporated 144A | 8.75 | 8-1-2028 | 2,640,000 | 2,508,000 | |
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 850,000 | 737,375 | |
Hat Holdings LLC 144A | 3.75 | 9-15-2030 | 495,000 | 373,666 | |
Hat Holdings LLC 144A | 6.00 | 4-15-2025 | 395,000 | 380,689 | |
LPL Holdings Incorporated 144A | 4.38 | 5-15-2031 | 2,570,000 | 2,223,129 | |
United Wholesale Mortgage LLC 144A | 5.50 | 11-15-2025 | 1,310,000 | 1,216,990 | |
7,439,849 | |||||
Insurance: 1.85% | |||||
Amwins Group Incorporated 144A | 4.88 | 6-30-2029 | 1,905,000 | 1,617,924 | |
AssuredPartners Incorporated 144A | 5.63 | 1-15-2029 | 1,050,000 | 889,657 | |
Broadstreet Partners Incorporated 144A | 5.88 | 4-15-2029 | 2,425,000 | 2,087,715 | |
Tri Pointe Homes Incorporated | 5.88 | 6-15-2024 | 1,000,000 | 987,500 | |
5,582,796 | |||||
Mortgage REITs: 0.67% | |||||
Starwood Property Trust Incorporated 144A | 4.38 | 1-15-2027 | 1,495,000 | 1,296,095 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 760,000 | 725,245 | |
2,021,340 | |||||
Thrifts & mortgage finance: 2.23% | |||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 4,115,000 | 4,044,016 | |
Ladder Capital Finance Holdings LP 144A | 4.25 | 2-1-2027 | 2,250,000 | 1,912,645 | |
Ladder Capital Finance Holdings LP 144A | 4.75 | 6-15-2029 | 65,000 | 52,856 | |
United Wholesale Mortgage LLC 144A | 5.50 | 4-15-2029 | 850,000 | 703,545 | |
6,713,062 | |||||
Health care: 1.63% | |||||
Health care providers & services: 1.10% | |||||
Air Methods Corporation 144A | 8.00 | 5-15-2025 | 755,000 | 45,300 | |
Pediatrix Medical Group 144A« | 5.38 | 2-15-2030 | 830,000 | 732,213 | |
Select Medical Corporation 144A | 6.25 | 8-15-2026 | 1,775,000 | 1,695,125 | |
Tenet Healthcare Corporation | 4.88 | 1-1-2026 | 875,000 | 833,338 | |
3,305,976 |
Interest rate | Maturity date | Principal | Value | ||
Pharmaceuticals: 0.53% | |||||
Catalent Pharma Solutions Company 144A | 5.00% | 7-15-2027 | $1,675,000 | $ 1,614,482 | |
Industrials: 9.11% | |||||
Aerospace & defense: 1.18% | |||||
Spirit AeroSystems Incorporated 144A | 7.50 | 4-15-2025 | 840,000 | 839,244 | |
Spirit AeroSystems Incorporated 144A | 9.38 | 11-30-2029 | 1,925,000 | 2,033,281 | |
TransDigm Group Incorporated | 7.50 | 3-15-2027 | 700,000 | 691,250 | |
3,563,775 | |||||
Airlines: 1.48% | |||||
American Airlines Group Incorporated 144A | 5.75 | 4-20-2029 | 1,275,000 | 1,212,672 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 1,135,000 | 1,055,454 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 2,185,000 | 2,193,194 | |
4,461,320 | |||||
Commercial services & supplies: 2.12% | |||||
Allied Universal Holdco LLC 144A | 6.00 | 6-1-2029 | 2,205,000 | 1,642,667 | |
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 1,000,000 | 949,760 | |
CoreCivic Incorporated | 8.25 | 4-15-2026 | 3,730,000 | 3,776,140 | |
6,368,567 | |||||
Machinery: 1.66% | |||||
Chart Industries Incorporated 144A | 7.50 | 1-1-2030 | 315,000 | 319,725 | |
Chart Industries Incorporated 144A | 9.50 | 1-1-2031 | 525,000 | 548,625 | |
TK Elevator US Newco Incorporated 144A | 5.25 | 7-15-2027 | 2,300,000 | 2,083,643 | |
Werner FinCo LP 144A | 8.75 | 7-15-2025 | 2,580,000 | 2,057,550 | |
5,009,543 | |||||
Road & rail: 1.52% | |||||
Uber Technologies Incorporated 144A | 4.50 | 8-15-2029 | 2,895,000 | 2,559,412 | |
Uber Technologies Incorporated 144A | 8.00 | 11-1-2026 | 2,000,000 | 2,030,453 | |
4,589,865 | |||||
Trading companies & distributors: 1.15% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 5.50 | 5-1-2028 | 2,205,000 | 1,969,201 | |
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 830,000 | 809,560 | |
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 675,000 | 693,513 | |
3,472,274 | |||||
Information technology: 5.22% | |||||
Communications equipment: 0.70% | |||||
Ciena Corporation 144A | 4.00 | 1-31-2030 | 1,000,000 | 851,250 | |
CommScope Technologies LLC 144A | 4.75 | 9-1-2029 | 415,000 | 338,225 | |
CommScope Technologies LLC 144A | 5.00 | 3-15-2027 | 1,195,000 | 911,112 | |
2,100,587 | |||||
Electronic equipment, instruments & components: 0.55% | |||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 1,660,000 | 1,675,049 |
Interest rate | Maturity date | Principal | Value | ||
IT services: 1.81% | |||||
Sabre GLBL Incorporated 144A | 9.25% | 4-15-2025 | $3,155,000 | $ 3,105,597 | |
Sabre GLBL Incorporated 144A | 11.25 | 12-15-2027 | 2,360,000 | 2,358,513 | |
5,464,110 | |||||
Software: 2.16% | |||||
McAfee Corporation 144A | 7.38 | 2-15-2030 | 1,800,000 | 1,426,547 | |
MPH Acquisition Holdings LLC 144A | 5.50 | 9-1-2028 | 820,000 | 621,273 | |
MPH Acquisition Holdings LLC 144A« | 5.75 | 11-1-2028 | 2,235,000 | 1,452,571 | |
NCR Corporation 144A | 6.13 | 9-1-2029 | 2,000,000 | 1,945,000 | |
SS&C Technologies Incorporated 144A | 5.50 | 9-30-2027 | 1,125,000 | 1,058,635 | |
6,504,026 | |||||
Materials: 2.85% | |||||
Chemicals: 0.49% | |||||
Avient Corporation 144A | 7.13 | 8-1-2030 | 405,000 | 406,013 | |
Chemours Company 144A | 4.63 | 11-15-2029 | 1,300,000 | 1,055,041 | |
1,461,054 | |||||
Containers & packaging: 1.30% | |||||
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 2,450,000 | 2,358,125 | |
Clydesdale Acquisition Holdings Incorporated 144A | 8.75 | 4-15-2030 | 1,735,000 | 1,567,364 | |
3,925,489 | |||||
Metals & mining: 0.70% | |||||
Arches Buyer Incorporated 144A | 4.25 | 6-1-2028 | 725,000 | 596,806 | |
Arches Buyer Incorporated 144A« | 6.13 | 12-1-2028 | 1,830,000 | 1,506,383 | |
2,103,189 | |||||
Paper & forest products: 0.36% | |||||
Clearwater Paper Corporation 144A | 4.75 | 8-15-2028 | 1,255,000 | 1,097,434 | |
Real estate: 2.93% | |||||
Equity REITs: 2.93% | |||||
GLP Capital LP | 3.25 | 1-15-2032 | 1,050,000 | 834,054 | |
Iron Mountain Incorporated 144A | 4.50 | 2-15-2031 | 3,800,000 | 3,146,315 | |
MPT Operating Partnership LP | 3.50 | 3-15-2031 | 3,335,000 | 2,286,009 | |
Service Properties Trust Company | 4.35 | 10-1-2024 | 1,825,000 | 1,746,890 | |
Service Properties Trust Company | 4.95 | 2-15-2027 | 915,000 | 788,821 | |
Service Properties Trust Company | 5.25 | 2-15-2026 | 50,000 | 45,375 | |
8,847,464 | |||||
Utilities: 4.01% | |||||
Electric utilities: 1.26% | |||||
PG&E Corporation | 5.25 | 7-1-2030 | 4,260,000 | 3,802,050 | |
Independent power & renewable electricity producers: 2.75% | |||||
NSG Holdings LLC 144A | 7.75 | 12-15-2025 | 1,806,439 | 1,770,311 | |
TerraForm Power Operating LLC 144A | 5.00 | 1-31-2028 | 3,830,000 | 3,523,600 | |
Vistra Operations Company LLC 144A | 4.38 | 5-1-2029 | 1,300,000 | 1,123,062 |
Interest rate | Maturity date | Principal | Value | ||
Independent power & renewable electricity producers (continued) | |||||
Vistra Operations Company LLC 144A | 5.63% | 2-15-2027 | $1,375,000 | $ 1,302,978 | |
Vistra Operations Company LLC (5 Year Treasury Constant Maturity +5.74%) 144Aʊ± | 7.00 | 12-15-2026 | 615,000 | 575,228 | |
8,295,179 | |||||
Total Corporate bonds and notes (Cost $273,369,938) | 247,733,679 | ||||
Loans: 7.05% | |||||
Communication services: 1.33% | |||||
Diversified telecommunication services: 0.75% | |||||
Intelsat Jackson Holdings SA (U.S. SOFR 1 Month +4.25%) ± | 9.18 | 2-1-2029 | 2,293,732 | 2,265,061 | |
Entertainment: 0.23% | |||||
Dave & Buster's Incorporated (U.S. SOFR 1 Month +5.00%) <± | 9.75 | 6-29-2029 | 696,849 | 698,765 | |
Media: 0.35% | |||||
Clear Channel Outdoor Holdings (1 Month LIBOR +3.50%) ± | 8.23 | 8-21-2026 | 581,992 | 550,466 | |
Hubbard Radio LLC (1 Month LIBOR +4.25%) ± | 8.89 | 3-28-2025 | 554,991 | 491,628 | |
1,042,094 | |||||
Consumer discretionary: 0.14% | |||||
Specialty retail: 0.14% | |||||
Michaels Companies Incorporated (1 Month LIBOR +4.25%) ± | 8.98 | 4-15-2028 | 460,327 | 420,623 | |
Energy: 2.01% | |||||
Oil, gas & consumable fuels: 2.01% | |||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 9.23 | 9-29-2028 | 2,095,490 | 2,086,501 | |
GIP III Stetson I LP (3 Month LIBOR +4.25%) ± | 8.88 | 7-18-2025 | 3,445,167 | 3,435,486 | |
M6 ETX Holdings II MidCo LLC (U.S. SOFR 1 Month +4.50%) ± | 9.16 | 9-19-2029 | 558,600 | 555,572 | |
6,077,559 | |||||
Financials: 1.09% | |||||
Diversified financial services: 0.69% | |||||
CTC Holdings LP (U.S. SOFR 1 Month +5.00%) ‡± | 9.95 | 2-20-2029 | 287,825 | 280,629 | |
Mallinckrodt International Finace SA (3 Month LIBOR +5.25%) <± | 9.99 | 9-30-2027 | 24,958 | 19,693 | |
Resolute Investment Managers Incorporated (1 Month LIBOR +4.25%) ‡<± | 8.98 | 4-30-2024 | 1,065,000 | 836,025 | |
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 8.13 | 5-30-2025 | 957,107 | 941,554 | |
2,077,901 | |||||
Insurance: 0.40% | |||||
Asurion LLC (1 Month LIBOR +3.00%) <± | 7.63 | 11-3-2024 | 785,000 | 529,914 | |
Asurion LLC (1 Month LIBOR +5.25%) ± | 9.88 | 1-31-2028 | 800,000 | 680,800 | |
1,210,714 |
Interest rate | Maturity date | Principal | Value | ||
Health care: 0.31% | |||||
Health care technology: 0.31% | |||||
Athenahealth Incorporated (U.S. SOFR 1 Month +3.50%) ± | 3.50% | 2-15-2029 | $ 77,114 | $ 71,138 | |
Athenahealth Incorporated (U.S. SOFR 1 Month +3.50%) ± | 8.06 | 2-15-2029 | 943,953 | 870,797 | |
941,935 | |||||
Industrials: 2.17% | |||||
Airlines: 0.81% | |||||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 10.00 | 6-21-2027 | 1,260,000 | 1,310,715 | |
SkyMiles IP Limited (3 Month LIBOR +3.75%) <± | 8.56 | 10-20-2027 | 1,086,500 | 1,123,854 | |
2,434,569 | |||||
Commercial services & supplies: 1.26% | |||||
The Geo Group Incorporated (1 Month LIBOR +7.13%) ± | 11.74 | 3-23-2027 | 3,768,293 | 3,793,879 | |
Machinery: 0.10% | |||||
Chart Industries Incorporated (U.S. SOFR 1 Month +3.75%) <± | 8.59 | 12-7-2029 | 305,000 | 304,430 | |
Total Loans (Cost $21,237,094) | 21,267,530 | ||||
Yankee corporate bonds and notes: 8.34% | |||||
Communication services: 0.93% | |||||
Media: 0.58% | |||||
Videotron Limited 144A | 5.13 | 4-15-2027 | 1,850,000 | 1,729,750 | |
Wireless telecommunication services: 0.35% | |||||
Connect U.S. Finco LLC 144A | 6.75 | 10-1-2026 | 1,150,000 | 1,063,796 | |
Consumer discretionary: 0.27% | |||||
Auto components: 0.27% | |||||
Adient Global Holdings Limited 144A | 4.88 | 8-15-2026 | 870,000 | 805,150 | |
Energy: 0.70% | |||||
Oil, gas & consumable fuels: 0.70% | |||||
NorthRiver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 2,230,000 | 2,099,965 | |
Financials: 1.31% | |||||
Diversified financial services: 1.31% | |||||
Castlelake Aviation Finance 144A« | 5.00 | 4-15-2027 | 1,905,000 | 1,711,006 | |
New Red Finance Incorporated 144A | 3.88 | 1-15-2028 | 850,000 | 756,380 | |
New Red Finance Incorporated 144A | 4.00 | 10-15-2030 | 1,795,000 | 1,482,526 | |
3,949,912 | |||||
Health care: 0.97% | |||||
Biotechnology: 0.51% | |||||
Grifols Escrow Issuer SA 144A | 4.75 | 10-15-2028 | 1,800,000 | 1,539,000 | |
Pharmaceuticals: 0.46% | |||||
Bausch Health Companies Incorporated 144A | 4.88 | 6-1-2028 | 770,000 | 480,291 | |
Teva Pharmaceutical Finance Netherlands III BV | 6.75 | 3-1-2028 | 950,000 | 913,188 | |
1,393,479 |
Interest rate | Maturity date | Principal | Value | ||
Industrials: 3.42% | |||||
Airlines: 1.57% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50% | 7-15-2026 | $2,475,000 | $ 2,635,875 | |
VistaJet Malta Finance PLC 144A | 6.38 | 2-1-2030 | 2,400,000 | 2,100,637 | |
4,736,512 | |||||
Electrical equipment: 0.92% | |||||
Sensata Technologies BV 144A | 4.00 | 4-15-2029 | 2,020,000 | 1,781,579 | |
Sensata Technologies BV 144A | 5.88 | 9-1-2030 | 1,060,000 | 1,005,103 | |
2,786,682 | |||||
Trading companies & distributors: 0.93% | |||||
Fly Leasing Limited 144A## | 7.00 | 10-15-2024 | 3,220,000 | 2,793,636 | |
Information technology: 0.40% | |||||
Technology hardware, storage & peripherals: 0.40% | |||||
Seagate HDD | 4.13 | 1-15-2031 | 1,468,000 | 1,217,985 | |
Materials: 0.34% | |||||
Containers & packaging: 0.34% | |||||
Ardagh Packaging Finance plc 144A | 6.00 | 6-15-2027 | 1,050,000 | 1,016,127 | |
Total Yankee corporate bonds and notes (Cost $27,463,765) | 25,131,994 |
Yield | Shares | ||||
Short-term investments: 3.27% | |||||
Investment companies: 3.27% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 1,483,915 | 1,483,915 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 8,363,671 | 8,363,671 | ||
Total Short-term investments (Cost $9,847,247) | 9,847,586 | ||||
Total investments in securities (Cost $332,609,749) | 101.07% | 304,697,605 | |||
Other assets and liabilities, net | (1.07) | (3,223,856) | |||
Total net assets | 100.00% | $301,473,749 |
† | 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. |
± | 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. |
## | 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. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
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 | $11,285,787 | $62,854,594 | $(72,656,466) | $ 0 | $ 0 | $ 1,483,915 | 1,483,915 | $ 75,436 | ||
Securities Lending Cash Investments LLC | 2,080,069 | 51,582,003 | (45,298,006) | (734) | 339 | 8,363,671 | 8,363,671 | 76,749 # | ||
$ (734) | $339 | $9,847,586 | $152,185 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $8,187,588 of securities loaned), at value (cost $322,762,502) | $ 294,850,019 |
Investments in affiliated securities, at value (cost $9,847,247) | 9,847,586 |
Cash | 39,909 |
Receivable for investments sold | 5,342,402 |
Receivable for interest | 4,685,539 |
Receivable for securities lending income, net | 22,180 |
Receivable for Fund shares sold | 10,985 |
Prepaid expenses and other assets | 44,755 |
Total assets | 314,843,375 |
Liabilities | |
Payable upon receipt of securities loaned | 8,363,671 |
Payable for investments purchased | 4,181,588 |
Payable for Fund shares redeemed | 418,551 |
Management fee payable | 101,150 |
Dividends payable | 89,398 |
Administration fees payable | 30,229 |
Distribution fee payable | 1,118 |
Accrued expenses and other liabilities | 183,921 |
Total liabilities | 13,369,626 |
Total net assets | $301,473,749 |
Net assets consist of | |
Paid-in capital | $ 391,598,846 |
Total distributable loss | (90,125,097) |
Total net assets | $301,473,749 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 179,077,789 |
Shares outstanding – Class A1 | 61,424,404 |
Net asset value per share – Class A | $2.92 |
Maximum offering price per share – Class A2 | $3.06 |
Net assets – Class C | $ 1,900,217 |
Shares outstanding – Class C1 | 649,855 |
Net asset value per share – Class C | $2.92 |
Net assets – Administrator Class | $ 13,579,299 |
Shares outstanding – Administrator Class1 | 4,652,214 |
Net asset value per share – Administrator Class | $2.92 |
Net assets – Institutional Class | $ 106,916,444 |
Shares outstanding – Institutional Class1 | 36,617,408 |
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 | $ 10,420,815 |
Income from affiliated securities | 179,746 |
Dividends | 32,300 |
Total investment income | 10,632,861 |
Expenses | |
Management fee | 834,153 |
Administration fees | |
Class A | 143,685 |
Class C | 1,633 |
Administrator Class | 6,804 |
Institutional Class | 43,229 |
Shareholder servicing fees | |
Class A | 224,177 |
Class C | 2,545 |
Administrator Class | 16,982 |
Distribution fee | |
Class C | 7,634 |
Custody and accounting fees | 8,997 |
Professional fees | 36,388 |
Registration fees | 16,100 |
Shareholder report expenses | 16,433 |
Trustees’ fees and expenses | 10,624 |
Other fees and expenses | 3,980 |
Total expenses | 1,373,364 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (140,266) |
Administrator Class | (4,763) |
Institutional Class | (37,826) |
Net expenses | 1,190,509 |
Net investment income | 9,442,352 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (8,649,855) |
Affiliated securities | (734) |
Net realized losses on investments | (8,650,589) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 8,147,165 |
Affiliated securities | 339 |
Net change in unrealized gains (losses) on investments | 8,147,504 |
Net realized and unrealized gains (losses) on investments | (503,085) |
Net increase in net assets resulting from operations | $ 8,939,267 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 9,442,352 | $ 14,605,041 | ||
Net realized losses on investments | (8,650,589) | (8,111,652) | ||
Net change in unrealized gains (losses) on investments | 8,147,504 | (50,715,580) | ||
Net increase (decrease) in net assets resulting from operations | 8,939,267 | (44,222,191) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (4,970,008) | (8,681,745) | ||
Class C | (48,619) | (104,228) | ||
Administrator Class | (385,253) | (681,298) | ||
Institutional Class | (3,202,376) | (5,359,209) | ||
Total distributions to shareholders | (8,606,256) | (14,826,480) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,004,991 | 2,910,882 | 2,258,343 | 7,258,246 |
Class C | 8,967 | 26,391 | 26,839 | 85,400 |
Administrator Class | 41,880 | 121,839 | 126,614 | 418,863 |
Institutional Class | 10,691,626 | 30,430,456 | 18,518,205 | 60,159,788 |
33,489,568 | 67,922,297 | |||
Reinvestment of distributions | ||||
Class A | 1,569,931 | 4,541,540 | 2,509,753 | 7,928,405 |
Class C | 16,777 | 48,616 | 32,772 | 104,172 |
Administrator Class | 124,482 | 360,732 | 201,763 | 638,979 |
Institutional Class | 1,088,597 | 3,155,988 | 1,659,213 | 5,256,201 |
8,106,876 | 13,927,757 | |||
Payment for shares redeemed | ||||
Class A | (5,082,782) | (14,735,123) | (9,975,519) | (32,130,537) |
Class C | (190,774) | (554,433) | (434,843) | (1,408,617) |
Administrator Class | (322,087) | (934,748) | (817,280) | (2,640,902) |
Institutional Class | (9,037,117) | (26,168,194) | (21,193,164) | (66,599,574) |
(42,392,498) | (102,779,630) | |||
Net decrease in net assets resulting from capital share transactions | (796,054) | (20,929,576) | ||
Total decrease in net assets | (463,043) | (79,978,247) | ||
Net assets | ||||
Beginning of period | 301,936,792 | 381,915,039 | ||
End of period | $301,473,749 | $ 301,936,792 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $2.92 | $3.45 | $3.33 | $3.29 | $3.28 | $3.40 |
Net investment income | 0.09 | 0.13 | 0.11 | 0.13 | 0.14 | 0.14 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.00 1 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.01) | (0.53) | 0.12 | 0.04 | 0.01 | (0.12) |
Total from investment operations | 0.08 | (0.40) | 0.23 | 0.17 | 0.15 | 0.02 |
Distributions to shareholders from | ||||||
Net investment income | (0.08) | (0.13) | (0.11) | (0.13) | (0.14) | (0.13) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.08) | (0.13) | (0.11) | (0.13) | (0.14) | (0.14) |
Net asset value, end of period | $2.92 | $2.92 | $3.45 | $3.33 | $3.29 | $3.28 |
Total return2 | 2.79% | (11.76)% | 7.07% | 5.31 % 3 | 4.79% | 0.68% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.02% | 1.01% | 1.01% | 1.04% | 1.04% | 1.02% |
Net expenses | 0.93% | 0.92% | 0.92% | 0.93% | 0.93% | 0.93% |
Net investment income | 2.95% | 4.08% | 3.29% | 4.01% | 4.36% | 4.26% |
Supplemental data | ||||||
Portfolio turnover rate | 30% | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $179,078 | $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. Returns for periods of less than one year are not annualized. |
3 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had an impact of less than 0.005% on total return. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $2.93 | $3.46 | $3.34 | $3.29 | $3.28 | $3.40 |
Net investment income | 0.07 1 | 0.11 1 | 0.09 1 | 0.11 1 | 0.12 1 | 0.12 |
Payment from affiliate | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 |
Net realized and unrealized gains (losses) on investments | (0.01) | (0.53) | 0.12 | 0.03 | 0.01 | (0.12) |
Total from investment operations | 0.06 | (0.42) | 0.21 | 0.15 | 0.13 | 0.00 |
Distributions to shareholders from | ||||||
Net investment income | (0.07) | (0.11) | (0.09) | (0.10) | (0.12) | (0.11) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.07) | (0.11) | (0.09) | (0.10) | (0.12) | (0.12) |
Net asset value, end of period | $2.92 | $2.93 | $3.46 | $3.34 | $3.29 | $3.28 |
Total return2 | 2.06% | (12.39)% | 6.25% | 4.83 % 3 | 4.00% | (0.07)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.77% | 1.76% | 1.76% | 1.79% | 1.79% | 1.77% |
Net expenses | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% |
Net investment income | 2.56% | 3.26% | 2.57% | 3.25% | 3.64% | 3.51% |
Supplemental data | ||||||
Portfolio turnover rate | 30% | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $1,900 | $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. Returns for periods of less than one year are not annualized. |
3 | During the year ended August 31, 2020, the Fund received a payment from an affiliate that had a 0.31% impact on the total return. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.29 | $3.41 |
Net investment income | 0.09 | 0.14 | 0.12 1 | 0.13 | 0.15 1 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.01) | (0.54) | 0.12 | 0.05 | 0.00 | (0.12) |
Total from investment operations | 0.08 | (0.40) | 0.24 | 0.18 | 0.15 | 0.03 |
Distributions to shareholders from | ||||||
Net investment income | (0.08) | (0.14) | (0.12) | (0.13) | (0.15) | (0.14) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.08) | (0.14) | (0.12) | (0.13) | (0.15) | (0.15) |
Net asset value, end of period | $2.92 | $2.92 | $3.46 | $3.34 | $3.29 | $3.29 |
Total return2 | 2.85% | (11.91)% | 7.20% | 5.76% | 4.60% | 0.82% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.96% | 0.95% | 0.95% | 0.99% | 0.98% | 0.96% |
Net expenses | 0.80% | 0.80% | 0.79% | 0.79% | 0.80% | 0.80% |
Net investment income | 3.01% | 4.20% | 3.42% | 4.14% | 4.48% | 4.39% |
Supplemental data | ||||||
Portfolio turnover rate | 30% | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $13,579 | $14,045 | $18,317 | $21,185 | $24,667 | $23,940 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $2.92 | $3.46 | $3.34 | $3.29 | $3.28 | $3.41 |
Net investment income | 0.10 | 0.14 | 0.12 | 0.14 | 0.15 | 0.16 |
Net realized and unrealized gains (losses) on investments | (0.01) | (0.54) | 0.13 | 0.05 | 0.01 | (0.13) |
Total from investment operations | 0.09 | (0.40) | 0.25 | 0.19 | 0.16 | 0.03 |
Distributions to shareholders from | ||||||
Net investment income | (0.09) | (0.14) | (0.13) | (0.14) | (0.15) | (0.15) |
Tax basis return of capital | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | (0.01) |
Total distributions to shareholders | (0.09) | (0.14) | (0.13) | (0.14) | (0.15) | (0.16) |
Net asset value, end of period | $2.92 | $2.92 | $3.46 | $3.34 | $3.29 | $3.28 |
Total return1 | 2.99% | (11.68)% | 7.48% | 6.04% | 5.20% | 0.79% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.69% | 0.68% | 0.69% | 0.71% | 0.71% | 0.69% |
Net expenses | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% | 0.53% |
Net investment income | 3.14% | 4.50% | 3.66% | 4.39% | 4.75% | 4.67% |
Supplemental data | ||||||
Portfolio turnover rate | 30% | 138% | 49% | 34% | 26% | 18% |
Net assets, end of period (000s omitted) | $106,916 | $98,975 | $120,658 | $73,568 | $75,877 | $134,770 |
1 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 1,306,573 |
Gross unrealized losses | (65,547,500) |
Net unrealized losses | $(64,240,927) |
■ | 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 | $ 506,056 | $ 0 | $ 0 | $ 506,056 |
Financials | 210,760 | 0 | 0 | 210,760 |
Corporate bonds and notes | 0 | 247,733,679 | 0 | 247,733,679 |
Loans | 0 | 20,150,876 | 1,116,654 | 21,267,530 |
Yankee corporate bonds and notes | 0 | 25,131,994 | 0 | 25,131,994 |
Short-term investments | ||||
Investment companies | 9,847,586 | 0 | 0 | 9,847,586 |
Total assets | $10,564,402 | $293,016,549 | $1,116,654 | $304,697,605 |
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 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $2,366,854 | $(2,366,854) | $0 |
Barclays Capital Incorporated | 4,555,714 | (4,555,714) | 0 |
BNP Paribas Securities Corporation | 560,296 | (560,296) | 0 |
Credit Suisse Securities (USA) LLC | 265,441 | (265,441) | 0 |
Nomura Securities International Incorporated | 84,466 | (84,466) | 0 |
UBS Securities LLC | 354,817 | (354,817) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR4323 02-23
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Government Bond Fund
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
Investment objective | The Fund seeks to provide current income consistent with capital preservation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Maulik Bhansali, CFA®‡, Jarad Vasquez |
Average annual total returns (%) as of February 28, 2023 | |||||||||||
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 | -6.27 | -0.38 | -0.07 | -4.35 | 0.02 | 0.13 | 0.79 | 0.78 | ||
Class C (MSDCX) | 5-31-2002 | -5.97 | -0.73 | -0.47 | -4.97 | -0.73 | -0.47 | 1.54 | 1.53 | ||
Class R6 (MSDRX)3 | 11-30-2012 | – | – | – | -3.94 | 0.42 | 0.54 | 0.41 | 0.37 | ||
Administrator Class (MNSGX) | 12-18-1992 | – | – | – | -4.17 | 0.20 | 0.32 | 0.73 | 0.60 | ||
Institutional Class (WSGIX) | 4-8-2005 | – | – | – | -4.00 | 0.38 | 0.50 | 0.46 | 0.42 | ||
Bloomberg U.S. 1-3 Year Government Bond Index4 | – | – | – | – | -2.76 | 0.81 | 0.65 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, 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, non-convertible domestic debt of the U.S. government and its agencies. The index also includes corporate debt guaranteed by the U.S. government. Only notes and bonds with a minimum maturity of one year up to a maximum maturity of 2.9 years are included. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
FHLMC, 2.82%, 5-1-2049 | 12.85 |
FHLMC, 3.65%, 2-1-2046 | 6.37 |
FNMA, 3.45%, 7-1-2049 | 5.82 |
FHLMC, 3.07%, 6-1-2043 | 4.56 |
FHLMC, 3.28%, 4-1-2047 | 3.71 |
FHLMC, 3.70%, 1-1-2049 | 3.66 |
U.S. Treasury Note, 4.25%, 12-31-2024 | 2.83 |
U.S. Treasury Note, 4.00%, 2-15-2026 | 2.81 |
FHLMC, 2.42%, 10-1-2043 | 2.44 |
FHLMC, 3.73%, 9-1-2047 | 2.33 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g473017imge83114394.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $ 989.22 | $3.85 | 0.78% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.93 | $3.91 | 0.78% |
Class C | ||||
Actual | $1,000.00 | $ 985.59 | $7.53 | 1.53% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.21 | $7.65 | 1.53% |
Class R6 | ||||
Actual | $1,000.00 | $ 991.31 | $1.83 | 0.37% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.96 | $1.86 | 0.37% |
Administrator Class | ||||
Actual | $1,000.00 | $ 990.15 | $2.96 | 0.60% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.82 | $3.01 | 0.60% |
Institutional Class | ||||
Actual | $1,000.00 | $ 991.03 | $2.07 | 0.42% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.71 | $2.11 | 0.42% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 70.17% | ||||||
FHLMC (12 Month LIBOR +1.63%) ± | 2.42% | 10-1-2043 | $ | 8,266,167 | $ 8,346,764 | |
FHLMC | 2.50 | 5-15-2047 | 5,948,503 | 5,489,946 | ||
FHLMC (12 Month LIBOR +1.62%) ± | 2.65 | 10-1-2043 | 6,051,247 | 6,138,787 | ||
FHLMC (12 Month LIBOR +1.65%) ± | 2.71 | 9-1-2045 | 5,867,320 | 5,954,787 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.82 | 5-1-2049 | 45,108,982 | 43,859,758 | ||
FHLMC (12 Month LIBOR +1.64%) ± | 2.83 | 7-1-2047 | 1,513,539 | 1,479,961 | ||
FHLMC (12 Month LIBOR +1.66%) ± | 3.07 | 6-1-2043 | 15,433,497 | 15,558,079 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 3.28 | 4-1-2047 | 12,702,935 | 12,681,440 | ||
FHLMC (12 Month LIBOR +1.62%) ± | 3.38 | 8-1-2046 | 6,035,247 | 6,046,343 | ||
FHLMC (12 Month LIBOR +1.85%) ± | 3.65 | 5-1-2042 | 533,088 | 536,855 | ||
FHLMC (12 Month LIBOR +1.62%) ± | 3.65 | 2-1-2046 | 21,665,538 | 21,731,326 | ||
FHLMC (12 Month LIBOR +1.63%) ± | 3.70 | 1-1-2049 | 12,496,456 | 12,482,646 | ||
FHLMC (12 Month LIBOR +1.69%) ± | 3.73 | 9-1-2047 | 7,816,918 | 7,962,303 | ||
FHLMC (30 Day Average U.S. SOFR +2.13%) ± | 4.21 | 6-1-2052 | 4,589,794 | 4,403,494 | ||
FHLMC Series 3284 Class AF (1 Month LIBOR +0.31%) ± | 4.90 | 3-15-2037 | 2,709,445 | 2,667,167 | ||
FHLMC Series 3632 Class PK | 5.00 | 2-15-2040 | 1,288,808 | 1,273,191 | ||
FHLMC Series 4940 Class AG | 3.00 | 5-15-2040 | 7,568,335 | 6,993,601 | ||
FNMA (12 Month LIBOR +1.60%) ± | 2.42 | 9-1-2043 | 2,776,812 | 2,848,057 | ||
FNMA | 3.00 | 5-25-2035 | 8,044,705 | 7,608,251 | ||
FNMA | 3.00 | 8-1-2036 | 3,158,026 | 2,921,679 | ||
FNMA (12 Month LIBOR +1.56%) ± | 3.38 | 9-1-2045 | 667,677 | 667,179 | ||
FNMA (12 Month LIBOR +1.61%) ± | 3.45 | 7-1-2049 | 20,853,159 | 19,879,460 | ||
FNMA | 3.50 | 7-1-2043 | 2,296,583 | 2,174,701 | ||
FNMA (12 Month LIBOR +1.58%) ± | 3.74 | 6-1-2045 | 534,174 | 538,075 | ||
FNMA (12 Month LIBOR +1.58%) ± | 3.83 | 1-1-2046 | 654,469 | 657,168 | ||
FNMA (1 Year Treasury Constant Maturity +2.04%) ± | 3.94 | 3-1-2049 | 2,460,451 | 2,406,927 | ||
FNMA | 4.00 | 3-1-2031 | 3,814,592 | 3,722,563 | ||
FNMA | 4.00 | 2-1-2034 | 2,087,489 | 2,002,184 | ||
FNMA | 4.00 | 6-1-2038 | 4,941,600 | 4,740,455 | ||
FNMA (12 Month LIBOR +1.59%) ± | 4.09 | 5-1-2047 | 1,372,568 | 1,392,218 | ||
FNMA (1 Month LIBOR +0.35%) ± | 4.97 | 1-25-2048 | 1,108,766 | 1,076,959 | ||
FNMA | 5.00 | 10-1-2040 | 608,548 | 613,193 | ||
FNMA (1 Month LIBOR +0.40%) ± | 5.02 | 11-25-2036 | 4,940,615 | 4,904,675 | ||
FNMA (1 Month LIBOR +0.40%) ± | 5.02 | 1-25-2044 | 1,427,428 | 1,410,834 | ||
FNMA (1 Month LIBOR +0.40%) ± | 5.02 | 7-25-2049 | 3,243,054 | 3,176,513 | ||
FNMA (1 Month LIBOR +0.55%) ± | 5.17 | 12-25-2037 | 1,052,064 | 1,047,471 | ||
FNMA (12 Month LIBOR +1.69%) ± | 6.06 | 11-1-2042 | 541,503 | 554,173 | ||
FNMA (12 Month LIBOR +1.58%) ± | 7.05 | 2-1-2046 | 649,770 | 666,655 | ||
FNMA Series 2019-33 Class MA | 3.50 | 7-25-2055 | 5,607,860 | 5,357,565 | ||
GNMA | 4.50 | 6-20-2048 | 1,393,136 | 1,369,596 | ||
GNMA Series 2010 Class FL (1 Month LIBOR +0.35%) ± | 4.95 | 12-20-2040 | 1,728,258 | 1,715,005 | ||
GNMA Series 2019 Class DF (1 Month LIBOR +0.45%) ± | 5.05 | 10-20-2049 | 2,554,452 | 2,508,477 | ||
Total Agency securities (Cost $247,783,262) | 239,566,481 | |||||
Asset-backed securities: 7.78% | ||||||
AmeriCredit Automobile Receivables Series 2022-1 Class A3 | 2.45 | 11-18-2026 | 2,271,000 | 2,186,489 | ||
Enterprise Fleet Financing LLC 144A%% | 5.59 | 10-22-2029 | 1,797,000 | 1,798,685 | ||
GM Financial Automobile Leasing Trust Series 2023 Class A4 | 5.16 | 1-20-2027 | 1,667,000 | 1,659,442 | ||
Hyundai Auto Receivables Trust Series 2022-C Class A4 | 5.52 | 10-16-2028 | 1,660,000 | 1,677,574 | ||
Navient Student Loan Trust Series 2019-GA Class A 144A | 2.40 | 10-15-2068 | 1,675,651 | 1,527,218 | ||
Navient Student Loan Trust Series 2020-DA Class A 144A | 1.69 | 5-15-2069 | 3,622,876 | 3,282,439 | ||
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 1,275,974 | 1,133,433 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Navient Student Loan Trust Series 2020-HA Class A 144A | 1.31% | 1-15-2069 | $ | 718,795 | $ 652,709 | |
Navient Student Loan Trust Series 2021-A Class A 144A | 0.84 | 5-15-2069 | 910,669 | 789,973 | ||
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ± | 4.98 | 1-25-2037 | 1,614,649 | 1,589,044 | ||
Nelnet Student Loan Trust Series 2016-1A Class A (1 Month LIBOR +0.80%) 144A± | 5.42 | 9-25-2065 | 2,878,848 | 2,855,683 | ||
SLC Student Loan Trust Series 2010-1 Class A (3 Month LIBOR +0.88%) ± | 5.83 | 11-25-2042 | 437,714 | 434,356 | ||
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A± | 6.04 | 2-17-2032 | 569,490 | 566,347 | ||
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A | 2.72 | 11-26-2040 | 51,035 | 50,777 | ||
SoFi Professional Loan Program LLC Series 2020-C Class AFX 144A | 1.95 | 2-15-2046 | 663,520 | 600,192 | ||
SoFi Professional Loan Program LLC Series 2021-A Class AFX 144A | 1.03 | 8-17-2043 | 2,327,918 | 1,934,211 | ||
T-Mobile US Trust Series 2022-1A Class A 144A | 4.91 | 5-22-2028 | 1,609,000 | 1,600,247 | ||
Westlake Automobile Receivables Series 2022-1A 144A | 2.42 | 7-15-2025 | 2,267,000 | 2,216,024 | ||
Total Asset-backed securities (Cost $28,034,248) | 26,554,843 | |||||
Non-agency mortgage-backed securities: 8.14% | ||||||
Angel Oak Mortgage Trust Series 2020-5 Class A1 144A±± | 1.37 | 5-25-2065 | 623,420 | 565,800 | ||
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A | 2.88 | 7-25-2049 | 523,245 | 485,804 | ||
BX Trust Series 2021-VOLT Class A (1 Month LIBOR +0.70%) 144A± | 5.29 | 9-15-2036 | 5,045,000 | 4,923,690 | ||
BX Trust Series 2021-XL2 Class A (1 Month LIBOR +0.69%) 144A± | 5.28 | 10-15-2038 | 4,630,795 | 4,515,058 | ||
Citigroup Commercial Mortgage Trust Series 2014-GC25 Class AAB | 3.37 | 10-10-2047 | 181,395 | 178,057 | ||
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 5.54 | 11-15-2038 | 2,520,512 | 2,459,096 | ||
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 5.37 | 5-25-2055 | 5,533,000 | 5,472,882 | ||
Verus Securitization Trust Series 2019-2 Class A1 144A±± | 2.91 | 7-25-2059 | 386,286 | 373,662 | ||
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 423,287 | 401,329 | ||
Verus Securitization Trust Series 2019-4 Class A1 144A | 2.64 | 11-25-2059 | 184,080 | 175,094 | ||
Verus Securitization Trust Series 2020-5 Class A1 144A | 1.22 | 5-25-2065 | 1,220,568 | 1,105,994 | ||
Verus Securitization Trust Series 2021-3 Class A1 144A±± | 1.05 | 6-25-2066 | 2,065,573 | 1,713,879 | ||
Verus Securitization Trust Series 2021-4 Class A1 144A±± | 0.94 | 7-25-2066 | 2,505,190 | 1,990,552 | ||
Verus Securitization Trust Series 2021-7 Class A1 144A±± | 1.83 | 10-25-2066 | 4,093,760 | 3,433,236 | ||
Total Non-agency mortgage-backed securities (Cost $29,918,798) | 27,794,133 | |||||
U.S. Treasury securities: 11.08% | ||||||
U.S. Treasury Note | 3.88 | 1-15-2026 | 5,554,000 | 5,458,541 | ||
U.S. Treasury Note | 4.00 | 12-15-2025 | 908,000 | 895,870 | ||
U.S. Treasury Note | 4.00 | 2-15-2026 | 9,735,000 | 9,600,383 | ||
U.S. Treasury Note | 4.13 | 1-31-2025 | 7,564,000 | 7,465,609 | ||
U.S. Treasury Note | 4.25 | 12-31-2024 | 9,774,000 | 9,664,424 | ||
U.S. Treasury Note | 4.25 | 10-15-2025 | 1,168,000 | 1,158,191 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Note | 4.50% | 11-30-2024 | $ | 410,000 | $ 407,037 | |
U.S. Treasury Note | 4.50 | 11-15-2025 | 3,173,000 | 3,167,670 | ||
Total U.S. Treasury securities (Cost $38,564,810) | 37,817,725 |
Yield | Shares | |||||
Short-term investments: 1.87% | ||||||
Investment companies: 1.87% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 6,406,330 | 6,406,330 | |||
Total Short-term investments (Cost $6,406,330) | 6,406,330 | |||||
Total investments in securities (Cost $350,707,448) | 99.04% | 338,139,512 | ||||
Other assets and liabilities, net | 0.96 | 3,262,353 | ||||
Total net assets | 100.00% | $341,401,865 |
± | Variable rate investment. 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 coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
## | All or a portion of this security is segregated for when-issued securities. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
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 | $9,265,106 | $121,240,489 | $(124,099,265) | $0 | $0 | $6,406,330 | 6,406,330 | $140,666 |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 774 | 6-30-2023 | $158,117,098 | $157,684,359 | $ 0 | $ (432,739) | |
Short | |||||||
10-Year U.S. Ultra Treasury Notes | (59) | 6-21-2023 | (6,911,658) | (6,914,063) | 0 | (2,405) | |
5-Year U.S. Treasury Notes | (262) | 6-30-2023 | (28,129,784) | (28,048,328) | 81,456 | 0 | |
$81,456 | $(435,144) |
Assets | |
Investments in unaffiliated securities, at value (cost $344,301,118) | $ 331,733,182 |
Investments in affiliated securities, at value (cost $6,406,330) | 6,406,330 |
Cash | 1,050,153 |
Cash at broker segregated for futures contracts | 1,149,000 |
Principal paydown receivable | 3,223,710 |
Receivable for interest | 1,324,116 |
Receivable for Fund shares sold | 94,789 |
Prepaid expenses and other assets | 80,179 |
Total assets | 345,061,459 |
Liabilities | |
Payable for when-issued transactions | 1,796,510 |
Payable for investments purchased | 1,047,997 |
Payable for Fund shares redeemed | 536,132 |
Dividends payable | 118,197 |
Management fee payable | 73,434 |
Administration fees payable | 21,943 |
Payable for daily variation margin on open futures contracts | 21,702 |
Distribution fee payable | 1,266 |
Accrued expenses and other liabilities | 42,413 |
Total liabilities | 3,659,594 |
Total net assets | $ 341,401,865 |
Net assets consist of | |
Paid-in capital | $ 473,130,124 |
Total distributable loss | (131,728,259) |
Total net assets | $ 341,401,865 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 26,987,499 |
Shares outstanding – Class A1 | 3,054,966 |
Net asset value per share – Class A | $8.83 |
Maximum offering price per share – Class A2 | $9.01 |
Net assets – Class C | $ 2,197,821 |
Shares outstanding – Class C1 | 248,421 |
Net asset value per share – Class C | $8.85 |
Net assets – Class R6 | $ 38,686,739 |
Shares outstanding – Class R61 | 4,364,337 |
Net asset value per share – Class R6 | $8.86 |
Net assets – Administrator Class | $ 20,332,076 |
Shares outstanding – Administrator Class1 | 2,297,035 |
Net asset value per share – Administrator Class | $8.85 |
Net assets – Institutional Class | $ 253,197,730 |
Shares outstanding – Institutional Class1 | 28,617,949 |
Net asset value per share – Institutional Class | $8.85 |
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 | $ 5,459,023 |
Income from affiliated securities | 140,666 |
Total investment income | 5,599,689 |
Expenses | |
Management fee | 673,751 |
Administration fees | |
Class A | 22,569 |
Class C | 1,801 |
Class R6 | 6,146 |
Administrator Class | 12,259 |
Institutional Class | 115,619 |
Shareholder servicing fees | |
Class A | 35,263 |
Class C | 2,807 |
Administrator Class | 30,502 |
Distribution fee | |
Class C | 8,422 |
Custody and accounting fees | 14,629 |
Professional fees | 27,879 |
Registration fees | 28,495 |
Shareholder report expenses | 18,604 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 5,607 |
Total expenses | 1,014,978 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (82,981) |
Class R6 | (6,146) |
Administrator Class | (13,485) |
Institutional Class | (28,905) |
Net expenses | 883,461 |
Net investment income | 4,716,228 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (9,467,940) |
Futures contracts | (2,631,874) |
Net realized losses on investments | (12,099,814) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 3,308,334 |
Futures contracts | (282,742) |
Net change in unrealized gains (losses) on investments | 3,025,592 |
Net realized and unrealized gains (losses) on investments | (9,074,222) |
Net decrease in net assets resulting from operations | $ (4,357,994) |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 4,716,228 | $ 4,606,625 | ||
Net realized losses on investments | (12,099,814) | (20,233,978) | ||
Net change in unrealized gains (losses) on investments | 3,025,592 | (18,519,705) | ||
Net decrease in net assets resulting from operations | (4,357,994) | (34,147,058) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (358,369) | (598,430) | ||
Class C | (20,204) | (17,988) | ||
Class R6 | (604,665) | (758,267) | ||
Administrator Class | (330,853) | (434,404) | ||
Institutional Class | (4,164,697) | (7,869,553) | ||
Total distributions to shareholders | (5,478,788) | (9,678,642) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 49,177 | 437,256 | 170,022 | 1,592,587 |
Class C | 6,031 | 53,612 | 8,053 | 74,814 |
Class R6 | 273,871 | 2,435,621 | 1,230,686 | 11,586,137 |
Administrator Class | 242,405 | 2,171,324 | 378,650 | 3,509,562 |
Institutional Class | 3,453,730 | 30,684,604 | 16,694,832 | 156,076,726 |
35,782,417 | 172,839,826 | |||
Reinvestment of distributions | ||||
Class A | 38,953 | 344,752 | 62,180 | 581,610 |
Class C | 2,279 | 20,204 | 1,944 | 17,988 |
Class R6 | 64,016 | 568,559 | 76,231 | 712,095 |
Administrator Class | 36,828 | 326,569 | 46,297 | 432,110 |
Institutional Class | 396,153 | 3,511,428 | 745,676 | 6,981,870 |
4,771,512 | 8,725,673 | |||
Payment for shares redeemed | ||||
Class A | (440,972) | (3,907,461) | (3,825,387) | (35,919,031) |
Class C | (47,208) | (422,042) | (233,246) | (2,192,919) |
Class R6 | (727,895) | (6,478,170) | (1,425,467) | (13,557,384) |
Administrator Class | (987,632) | (8,767,974) | (748,286) | (7,075,499) |
Institutional Class | (12,115,896) | (107,589,879) | (39,209,404) | (364,188,674) |
(127,165,526) | (422,933,507) | |||
Net decrease in net assets resulting from capital share transactions | (86,611,597) | (241,368,008) | ||
Total decrease in net assets | (96,448,379) | (285,193,708) | ||
Net assets | ||||
Beginning of period | 437,850,244 | 723,043,952 | ||
End of period | $ 341,401,865 | $ 437,850,244 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.04 | $9.71 | $9.85 | $9.73 | $9.60 | $9.85 |
Net investment income | 0.09 1 | 0.04 1 | 0.00 1,2 | 0.15 | 0.21 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.19) | (0.59) | (0.04) | 0.18 | 0.16 | (0.20) |
Total from investment operations | (0.10) | (0.55) | (0.04) | 0.33 | 0.37 | (0.06) |
Distributions to shareholders from | ||||||
Net investment income | (0.11) | (0.12) | (0.10) | (0.21) | (0.24) | (0.19) |
Net asset value, end of period | $8.83 | $9.04 | $9.71 | $9.85 | $9.73 | $9.60 |
Total return3 | (1.08)% | (5.65)% | (0.45)% | 3.41% | 3.92% | (0.56)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.82% | 0.79% | 0.79% | 0.81% | 0.81% | 0.80% |
Net expenses | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% | 0.78% |
Net investment income | 2.15% | 0.38% | 0.01% | 1.32% | 2.22% | 1.36% |
Supplemental data | ||||||
Portfolio turnover rate | 229% | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $26,987 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income (loss) | 0.06 | (0.03) 1 | (0.07) 1 | 0.07 | 0.14 1 | 0.06 1 |
Net realized and unrealized gains (losses) on investments | (0.19) | (0.58) | (0.06) | 0.18 | 0.16 | (0.19) |
Total from investment operations | (0.13) | (0.61) | (0.13) | 0.25 | 0.30 | (0.13) |
Distributions to shareholders from | ||||||
Net investment income | (0.08) | (0.05) | (0.02) | (0.13) | (0.17) | (0.12) |
Net asset value, end of period | $8.85 | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Total return2 | (1.44)% | (6.26)% | (1.29)% | 2.64% | 3.14% | (1.30)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.56% | 1.53% | 1.54% | 1.56% | 1.56% | 1.55% |
Net expenses | 1.53% | 1.52% | 1.53% | 1.53% | 1.53% | 1.53% |
Net investment income (loss) | 1.40% | (0.34)% | (0.69)% | 0.61% | 1.49% | 0.62% |
Supplemental data | ||||||
Portfolio turnover rate | 229% | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $2,198 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class R6 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.07 | $9.74 | $9.89 | $9.77 | $9.64 | $9.89 |
Net investment income | 0.11 | 0.09 | 0.04 | 0.19 | 0.25 1 | 0.16 1 |
Net realized and unrealized gains (losses) on investments | (0.19) | (0.60) | (0.05) | 0.18 | 0.16 | (0.17) |
Total from investment operations | (0.08) | (0.51) | (0.01) | 0.37 | 0.41 | (0.01) |
Distributions to shareholders from | ||||||
Net investment income | (0.13) | (0.16) | (0.14) | (0.25) | (0.28) | (0.24) |
Net asset value, end of period | $8.86 | $9.07 | $9.74 | $9.89 | $9.77 | $9.64 |
Total return2 | (0.87)% | (5.24)% | (0.13)% | 3.83% | 4.34% | (0.14)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.44% | 0.42% | 0.41% | 0.43% | 0.43% | 0.42% |
Net expenses | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% | 0.37% |
Net investment income | 2.57% | 0.93% | 0.42% | 1.77% | 2.62% | 1.64% |
Supplemental data | ||||||
Portfolio turnover rate | 229% | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $38,687 | $43,142 | $47,471 | $48,371 | $41,987 | $35,472 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.06 | $9.73 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income | 0.10 1 | 0.06 | 0.02 1 | 0.16 1 | 0.23 1 | 0.15 1 |
Net realized and unrealized gains (losses) on investments | (0.19) | (0.59) | (0.05) | 0.19 | 0.16 | (0.19) |
Total from investment operations | (0.09) | (0.53) | (0.03) | 0.35 | 0.39 | (0.04) |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.14) | (0.11) | (0.23) | (0.26) | (0.21) |
Net asset value, end of period | $8.85 | $9.06 | $9.73 | $9.87 | $9.75 | $9.62 |
Total return2 | (0.99)% | (5.47)% | (0.26)% | 3.60% | 4.10% | (0.37)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.75% | 0.73% | 0.73% | 0.75% | 0.75% | 0.74% |
Net expenses | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% | 0.60% |
Net investment income | 2.30% | 0.68% | 0.20% | 1.54% | 2.41% | 1.56% |
Supplemental data | ||||||
Portfolio turnover rate | 229% | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $20,332 | $27,229 | $32,375 | $36,262 | $38,816 | $71,997 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 | $9.87 |
Net investment income | 0.11 1 | 0.07 1 | 0.04 1 | 0.17 | 0.25 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.19) | (0.57) | (0.06) | 0.19 | 0.16 | (0.19) |
Total from investment operations | (0.08) | (0.50) | (0.02) | 0.36 | 0.41 | (0.02) |
Distributions to shareholders from | ||||||
Net investment income | (0.13) | (0.16) | (0.13) | (0.24) | (0.28) | (0.23) |
Net asset value, end of period | $8.85 | $9.06 | $9.72 | $9.87 | $9.75 | $9.62 |
Total return2 | (0.90)% | (5.20)% | (0.19)% | 3.78% | 4.29% | (0.20)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.48% | 0.46% | 0.46% | 0.48% | 0.48% | 0.47% |
Net expenses | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% | 0.42% |
Net investment income | 2.48% | 0.79% | 0.37% | 1.72% | 2.57% | 1.75% |
Supplemental data | ||||||
Portfolio turnover rate | 229% | 367% | 294% | 395% | 635% | 331% |
Net assets, end of period (000s omitted) | $253,198 | $334,060 | $570,276 | $451,715 | $445,211 | $493,372 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 438,531 |
Gross unrealized losses | (12,551,311) |
Net unrealized losses | $(12,112,780) |
■ | 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 | $ 239,566,481 | $0 | $ 239,566,481 |
Asset-backed securities | 0 | 26,554,843 | 0 | 26,554,843 |
Non-agency mortgage-backed securities | 0 | 27,794,133 | 0 | 27,794,133 |
U.S. Treasury securities | 37,817,725 | 0 | 0 | 37,817,725 |
Short-term investments | ||||
Investment companies | 6,406,330 | 0 | 0 | 6,406,330 |
44,224,055 | 293,915,457 | 0 | 338,139,512 | |
Futures contracts | 81,456 | 0 | 0 | 81,456 |
Total assets | $44,305,511 | $293,915,457 | $0 | $338,220,968 |
Liabilities | ||||
Futures contracts | $ 435,144 | $ 0 | $0 | $ 435,144 |
Total liabilities | $ 435,144 | $ 0 | $0 | $ 435,144 |
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 | |
$724,327,990 | $176,180,468 | $710,525,222 | $261,811,067 |
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 Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g473017img92b415ca1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g473017imgdc8c93995.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR0932 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g462443img2a4976131.jpg)
Short-Term Bond Plus Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g462443img46efbd952.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 2023. 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. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g462443imgfe2554d63.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 February 28, 2023 | |||||||||||
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 | -4.91 | 1.00 | 0.98 | -2.97 | 1.41 | 1.19 | 0.82 | 0.73 | ||
Class C (WFSHX) | 3-31-2008 | -4.85 | 0.62 | 0.57 | -3.85 | 0.62 | 0.57 | 1.57 | 1.48 | ||
Class R6 (SSTYX)3 | 7-31-2018 | – | – | – | -2.78 | 1.67 | 1.46 | 0.44 | 0.41 | ||
Institutional Class (SSHIX) | 8-31-1999 | – | – | – | -2.82 | 1.65 | 1.45 | 0.49 | 0.46 | ||
Bloomberg U.S. 1-3 Year Government/Credit Bond Index4 | – | – | – | – | -2.51 | 1.00 | 0.87 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses, which include the impact of 0.01% in acquired fund fees and expenses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report, which do not include acquired fund fees and expenses. |
2 | The manager has contractually committed through December 31, 2023, to waive fees and/or reimburse expenses to the extent necessary to cap total annual fund operating expenses after fee waivers at 0.72% for Class A, 1.47% for Class C, 0.40% for Class R6, and 0.45% for Institutional Class. Brokerage commissions, stamp duty fees, interest, taxes, acquired fund fees and expenses (if any), and extraordinary expenses are excluded from the expense caps. Prior to or after the commitment expiration date, the caps may be increased or the commitment to maintain the caps may be terminated only with the approval of the Board of Trustees. Without these caps, the Fund’s returns would have been lower. The expense ratio paid by an investor is the net expense ratio (the total annual fund operating expenses after fee waivers) as stated in the prospectuses. |
3 | Historical performance shown for the Class R6 shares prior to their inception reflects the performance of the Institutional Class shares, and includes the higher expenses applicable to the Institutional Class shares. If these expenses had not been included, returns for the Class R6 shares would be higher. |
4 | The Bloomberg U.S. 1-3 Year Government/Credit Bond Index is the one- to three-year component of the Bloomberg U.S. Government/Credit Bond Index that includes securities in the Government and Credit Indexes. The Government Index includes Treasuries (that is, public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (that is, publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
U.S. Treasury Note, 3.25%, 8-31-2024 | 11.43 |
U.S. Treasury Note, 0.38%, 12-31-2025 | 9.01 |
U.S. Treasury Note, 1.13%, 1-15-2025 | 5.66 |
France, 0.75%, 2-25-2028 | 1.45 |
Germany, 1.30%, 10-15-2027 | 1.23 |
CPS Auto Receivables Trust 2021-A Class D, 1.16%, 12-15-2026 | 0.67 |
AVIS Budget Rental Car Funding Series 2019-2A Class A , 3.35%, 9-22-2025 | 0.64 |
U.S. Treasury Note, 0.25%, 5-15-2024 | 0.62 |
Anchorage Capital CLO Limited Series 2015-6A Class B2RR , 6.64%, 7-15-2030 | 0.60 |
CIFC Funding Limited Series 2018-1A Class A , 5.79%, 4-18-2031 | 0.60 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g462443img729761514.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,000.51 | $3.57 | 0.72% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.22 | $3.61 | 0.72% |
Class C | ||||
Actual | $1,000.00 | $ 995.44 | $7.27 | 1.47% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.50 | $7.35 | 1.47% |
Class R6 | ||||
Actual | $1,000.00 | $1,002.06 | $1.99 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.81 | $2.01 | 0.40% |
Institutional Class | ||||
Actual | $1,000.00 | $1,001.82 | $2.23 | 0.45% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.56 | $2.26 | 0.45% |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 0.58% | ||||||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25% | 4-1-2032 | $ | 15,278 | $ 15,109 | |
FHLMC (3 Year Treasury Constant Maturity +2.28%) ± | 3.34 | 5-1-2026 | 2,732 | 2,692 | ||
FHLMC | 3.50 | 10-15-2025 | 90,872 | 88,934 | ||
FHLMC | 4.00 | 5-1-2025 | 114,932 | 112,348 | ||
FHLMC (12 Month LIBOR +1.91%) ± | 4.16 | 9-1-2031 | 1,657 | 1,633 | ||
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.17 | 4-1-2038 | 75,880 | 76,432 | ||
FHLMC Series 2597 Class AE | 5.50 | 4-15-2033 | 9,108 | 9,078 | ||
FHLMC Series 2642 Class AR | 4.50 | 7-15-2023 | 5,795 | 5,772 | ||
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 3.88 | 5-25-2044 | 290,348 | 290,456 | ||
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 201,803 | 222,454 | ||
FHLMC Series T-57 Class 2A1 ±± | 3.69 | 7-25-2043 | 49,089 | 45,509 | ||
FHLMC Series T-59 Class 2A1 ±± | 3.57 | 10-25-2043 | 513,807 | 385,427 | ||
FNMA (1 Year Treasury Constant Maturity +1.27%) ± | 3.40 | 8-1-2034 | 56,750 | 55,441 | ||
FNMA (12 Month LIBOR +1.77%) ± | 3.92 | 7-1-2044 | 250,275 | 255,487 | ||
FNMA | 4.00 | 6-25-2026 | 97,601 | 95,686 | ||
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 4.00 | 8-1-2036 | 388,783 | 395,961 | ||
FNMA | 4.00 | 8-25-2037 | 26,561 | 26,328 | ||
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.32 | 11-1-2031 | 22,034 | 21,656 | ||
FNMA | 5.50 | 3-1-2023 | 4 | 4 | ||
FNMA | 6.00 | 3-1-2033 | 124,391 | 125,953 | ||
FNMA | 6.50 | 8-1-2031 | 115,551 | 121,304 | ||
FNMA | 9.00 | 11-1-2024 | 7,350 | 7,338 | ||
FNMA Grantor Trust Series 2002-T12 Class A4 | 9.50 | 5-25-2042 | 331,422 | 345,656 | ||
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 15,978 | 17,514 | ||
FNMA Series 2003-W11 Class A1 ±± | 4.72 | 6-25-2033 | 3,719 | 3,762 | ||
FNMA Series 2003-W6 Class 6A ±± | 3.74 | 8-25-2042 | 261,901 | 250,698 | ||
FNMA Series 2003-W6 Class PT4 ±± | 8.38 | 10-25-2042 | 32,656 | 34,974 | ||
FNMA Series 2005-84 Class MB | 5.75 | 10-25-2035 | 98,142 | 98,447 | ||
FNMA Series 2006-W1 Class 2AF2 (1 Month LIBOR +0.19%) ± | 4.81 | 2-25-2046 | 558,709 | 552,193 | ||
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 156,983 | 155,381 | ||
GNMA | 4.50 | 4-20-2035 | 23,059 | 22,625 | ||
GNMA | 8.00 | 12-15-2023 | 289 | 289 | ||
Total Agency securities (Cost $3,982,619) | 3,842,541 | |||||
Asset-backed securities: 9.05% | ||||||
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 1,842,581 | 1,635,104 | ||
AVIS Budget Rental Car Funding Series 2019-2A Class A 144A | 3.35 | 9-22-2025 | 4,330,000 | 4,192,423 | ||
AVIS Budget Rental Car Funding Series 2020-1A Class B 144A | 2.68 | 8-20-2026 | 2,220,000 | 2,041,705 | ||
Bankers Healthcare Group Series 2021-A Class A 144A | 1.42 | 11-17-2033 | 1,494,675 | 1,389,523 | ||
Brean Asset-Backed Securities Trust 2021-RM2 Class A 144A±± | 1.75 | 10-25-2061 | 1,716,703 | 1,495,583 | ||
Cajun Global LLC Series 2021-1 Class A2 144A | 3.93 | 11-20-2051 | 981,250 | 831,013 | ||
Chase Auto Credit Linked Note Series 2020-1 Class B 144A | 0.99 | 1-25-2028 | 628,735 | 620,882 | ||
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56 | 9-25-2045 | 771,928 | 719,526 | ||
CPS Auto Receivables Trust 2021-A Class D 144A | 1.16 | 12-15-2026 | 4,645,000 | 4,420,677 | ||
CPS Auto Receivables Trust Series 2020-A Class D 144A | 2.90 | 12-15-2025 | 2,095,551 | 2,082,648 |
Interest rate | Maturity date | Principal | Value | |||
Asset-backed securities (continued) | ||||||
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47% | 10-25-2045 | $ | 3,093,750 | $ 2,977,428 | |
Drive Auto Receivables Trust Series 2019 Class 3D | 3.18 | 10-15-2026 | 2,272,426 | 2,252,402 | ||
DT Auto Owner Trust Series 2020-2A Class C 144A | 3.28 | 3-16-2026 | 1,295,175 | 1,282,615 | ||
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 5.62 | 12-25-2056 | 218,081 | 218,110 | ||
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 1,800,000 | 1,720,079 | ||
Freedom Financial Trust Series 2021-1CP Class B 144A | 1.41 | 3-20-2028 | 97,756 | 97,416 | ||
Gracie Point International Funding Series 2021-1A Class B (1 Month LIBOR +1.40%) 144A± | 5.97 | 11-1-2023 | 1,500,000 | 1,498,455 | ||
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 2,325,000 | 2,157,110 | ||
Lendmark Funding Trust Series 2019-2A Class A 144A | 2.78 | 4-20-2028 | 1,865,377 | 1,828,119 | ||
Mission Lane Master Trust Series 2021 Class A 144A | 1.59 | 9-15-2026 | 3,000,000 | 2,935,478 | ||
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 2,285,484 | 1,923,421 | ||
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 284,614 | 282,118 | ||
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 558,074 | 538,568 | ||
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 2,850,922 | 2,651,918 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 447,623 | 443,353 | ||
Pagaya AI Debt Selection Trust Series 2021-HG1 Class A 144A | 1.22 | 1-16-2029 | 1,869,839 | 1,782,640 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 2,010,000 | 1,902,782 | ||
Prodigy Finance Series 2021 Class A (1 Month LIBOR +1.25%) 144A± | 5.87 | 7-25-2051 | 1,769,537 | 1,729,393 | ||
Santander Drive Auto Receivables Trust Series 2021-1 Class C | 0.75 | 2-17-2026 | 2,590,997 | 2,557,914 | ||
Service Experts Issuer Series 2021-1A Class A 144A | 2.67 | 2-2-2032 | 2,147,815 | 1,949,527 | ||
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 5.44 | 12-17-2068 | 2,101,757 | 2,059,202 | ||
SLM Student Loan Trust Series 2012-3 Class A (1 Month LIBOR +0.65%) ± | 5.27 | 12-27-2038 | 1,228,572 | 1,208,909 | ||
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 5.17 | 5-26-2055 | 622,581 | 602,048 | ||
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 886,887 | 799,785 | ||
Taco Bell Funding LLC Series 2021 Class A2 144A | 1.95 | 8-25-2051 | 2,725,500 | 2,352,098 | ||
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 5.11 | 1-25-2046 | 412,800 | 410,424 | ||
Total Asset-backed securities (Cost $62,737,387) | 59,590,396 | |||||
Corporate bonds and notes: 20.84% | ||||||
Communication services: 1.29% | ||||||
Diversified telecommunication services: 0.45% | ||||||
T-Mobile USA Incorporated | 4.95 | 3-15-2028 | 3,000,000 | 2,944,919 | ||
Media: 0.35% | ||||||
Magallanes Incorporated 144A | 3.64 | 3-15-2025 | 1,000,000 | 953,841 | ||
Magallanes Incorporated 144A | 3.76 | 3-15-2027 | 1,500,000 | 1,376,002 | ||
2,329,843 |
Interest rate | Maturity date | Principal | Value | |||
Wireless telecommunication services: 0.49% | ||||||
Sprint Corporation | 7.63% | 3-1-2026 | $ | 2,000,000 | $ 2,077,002 | |
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 1,125,000 | 1,112,027 | ||
3,189,029 | ||||||
Consumer discretionary: 1.15% | ||||||
Hotels, restaurants & leisure: 0.54% | ||||||
Genting New York LLC 144A | 3.30 | 2-15-2026 | 1,080,000 | 944,632 | ||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 2,155,000 | 2,073,912 | ||
Royal Caribbean Cruises Limited | 4.25 | 6-15-2023 | 500,000 | 536,414 | ||
3,554,958 | ||||||
Internet & direct marketing retail: 0.28% | ||||||
QVC Incorporated | 4.85 | 4-1-2024 | 2,000,000 | 1,877,520 | ||
Textiles, apparel & luxury goods: 0.33% | ||||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 2,241,000 | 2,148,559 | ||
Consumer staples: 0.45% | ||||||
Tobacco: 0.45% | ||||||
Philip Morris International Incorporated | 4.88 | 2-15-2028 | 3,000,000 | 2,936,764 | ||
Energy: 1.25% | ||||||
Oil, gas & consumable fuels: 1.25% | ||||||
Energy Transfer LP | 5.55 | 2-15-2028 | 2,415,000 | 2,405,702 | ||
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 2,205,000 | 2,181,624 | ||
Plains All American Pipeline LP | 4.65 | 10-15-2025 | 758,000 | 739,524 | ||
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 3,000,000 | 2,880,398 | ||
8,207,248 | ||||||
Financials: 10.39% | ||||||
Banks: 4.23% | ||||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81 | 10-24-2024 | 3,000,000 | 2,906,216 | ||
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 2,500,000 | 2,323,948 | ||
Bank of America Corporation (U.S. SOFR +0.91%) ± | 1.66 | 3-11-2027 | 2,370,000 | 2,110,524 | ||
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 1,000,000 | 992,609 | ||
Citigroup Incorporated (U.S. SOFR +1.28%) ± | 3.07 | 2-24-2028 | 2,500,000 | 2,268,855 | ||
Citigroup Incorporated (U.S. SOFR +1.55%) ± | 5.61 | 9-29-2026 | 3,000,000 | 3,000,021 | ||
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 2,000,000 | 1,857,170 | ||
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 1,220,000 | 1,144,509 | ||
JPMorgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 835,000 | 733,236 | ||
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 3,000,000 | 2,970,659 | ||
Santander Holdings USA Incorporated (U.S. SOFR +1.38%) ± | 4.26 | 6-9-2025 | 800,000 | 777,322 | ||
Santander Holdings USA Incorporated (U.S. SOFR +2.33%) ± | 5.81 | 9-9-2026 | 1,250,000 | 1,249,775 | ||
Truist Financial Corporation (U.S. SOFR +1.44%) ± | 4.87 | 1-26-2029 | 2,800,000 | 2,747,953 | ||
Wells Fargo & Company (U.S. SOFR +1.51%) ± | 3.53 | 3-24-2028 | 3,000,000 | 2,777,994 | ||
27,860,791 |
Interest rate | Maturity date | Principal | Value | |||
Capital markets: 1.61% | ||||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.91%) ± | 1.95% | 10-21-2027 | $ | 3,000,000 | $ 2,627,837 | |
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 2,000,000 | 1,989,812 | ||
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 2,000,000 | 1,852,503 | ||
Morgan Stanley (U.S. SOFR +1.99%) ± | 2.19 | 4-28-2026 | 2,305,000 | 2,148,402 | ||
Morgan Stanley (U.S. SOFR +1.73%) ± | 5.12 | 2-1-2029 | 2,035,000 | 1,998,389 | ||
10,616,943 | ||||||
Consumer finance: 0.93% | ||||||
Daimler Finance North America LLC 144A | 5.15 | 1-16-2026 | 2,000,000 | 1,977,679 | ||
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 2,000,000 | 1,837,935 | ||
General Motors Financial Company | 6.00 | 1-9-2028 | 1,300,000 | 1,308,421 | ||
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 1,115,000 | 987,448 | ||
6,111,483 | ||||||
Diversified financial services: 1.68% | ||||||
Bankers Healthcare Group BHG Series 2021 Class A-B 144A | 2.79 | 11-17-2033 | 1,335,000 | 1,152,270 | ||
Blackstone Holdings Finance Company 144A | 5.90 | 11-3-2027 | 2,145,000 | 2,178,194 | ||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 1,000,000 | 936,372 | ||
Equitable Financial Life 144A | 5.50 | 12-2-2025 | 3,080,000 | 3,063,489 | ||
GTP Acquisition Partners Corporation 144A | 3.48 | 6-15-2050 | 1,900,000 | 1,799,030 | ||
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 2,000,000 | 1,907,012 | ||
11,036,367 | ||||||
Insurance: 1.82% | ||||||
Brighthouse Financial Incorporated 144A | 1.00 | 4-12-2024 | 2,000,000 | 1,888,100 | ||
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 3,022,000 | 2,851,153 | ||
Guardian Life Global Funding 144A | 5.55 | 10-28-2027 | 2,815,000 | 2,874,315 | ||
Met Life Incorporated 144A | 4.40 | 6-30-2027 | 2,000,000 | 1,941,608 | ||
Protective Life Global 144A | 1.62 | 4-15-2026 | 2,370,000 | 2,114,770 | ||
Security Benefit Company 144A | 1.25 | 5-17-2024 | 335,000 | 315,271 | ||
11,985,217 | ||||||
Mortgage REITs: 0.12% | ||||||
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 65,000 | 61,174 | ||
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 750,000 | 742,773 | ||
803,947 | ||||||
Health care: 0.45% | ||||||
Biotechnology: 0.45% | ||||||
Amgen Incorporated %% | 5.15 | 3-2-2028 | 3,000,000 | 2,988,130 | ||
Industrials: 1.07% | ||||||
Aerospace & defense: 0.31% | ||||||
The Boeing Company | 4.51 | 5-1-2023 | 2,000,000 | 1,997,140 | ||
Airlines: 0.76% | ||||||
American Airline Series 2014-1 | 3.70 | 4-15-2027 | 1,635,066 | 1,529,408 | ||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 2,250,403 | 2,185,888 |
Interest rate | Maturity date | Principal | Value | |||
Airlines (continued) | ||||||
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25% | 1-30-2025 | $ | 747,240 | $ 740,832 | |
United Airlines Pass-Through Trust Certificates Series 2020-1 Class B | 4.88 | 7-15-2027 | 586,035 | 568,044 | ||
5,024,172 | ||||||
Information technology: 1.41% | ||||||
IT services: 0.73% | ||||||
Fiserv Incorporated %% | 5.45 | 3-2-2028 | 3,000,000 | 2,995,836 | ||
Kyndryl Holdings Incorporated | 2.05 | 10-15-2026 | 2,150,000 | 1,847,989 | ||
4,843,825 | ||||||
Semiconductors & semiconductor equipment: 0.68% | ||||||
Intel Corporation | 4.88 | 2-10-2028 | 3,000,000 | 2,956,170 | ||
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 1,525,000 | 1,501,708 | ||
4,457,878 | ||||||
Materials: 0.19% | ||||||
Chemicals: 0.19% | ||||||
Celanese US Holding LLC | 6.17 | 7-15-2027 | 1,245,000 | 1,235,773 | ||
Real estate: 1.38% | ||||||
Equity REITs: 1.38% | ||||||
Brandywine Operating Partnership Series 3 | 7.55 | 3-15-2028 | 1,140,000 | 1,117,688 | ||
EPR Properties Company | 4.50 | 4-1-2025 | 1,500,000 | 1,437,550 | ||
Omega Healthcare Investors Incorporated | 4.75 | 1-15-2028 | 145,000 | 136,001 | ||
Piedmont Operating Partnership LP | 4.45 | 3-15-2024 | 1,765,000 | 1,739,465 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 1,490,000 | 1,409,356 | ||
Service Properties Trust | 4.50 | 6-15-2023 | 1,500,000 | 1,498,828 | ||
VICI Properties LP | 4.38 | 5-15-2025 | 1,835,000 | 1,765,986 | ||
9,104,874 | ||||||
Utilities: 1.81% | ||||||
Electric utilities: 1.15% | ||||||
NextEra Energy Capital Company %% | 6.05 | 3-1-2025 | 1,750,000 | 1,760,657 | ||
Southern California Edison Company | 0.70 | 4-3-2023 | 2,200,000 | 2,191,263 | ||
Southern California Edison Company %% | 5.30 | 3-1-2028 | 3,605,000 | 3,588,021 | ||
7,539,941 | ||||||
Multi-utilities: 0.66% | ||||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 765,000 | 765,000 | ||
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 5.21 | 5-13-2024 | 680,000 | 676,737 | ||
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 5.28 | 3-2-2023 | 443,000 | 443,000 | ||
Evergy Missouri West Incorporated 144A | 5.15 | 12-15-2027 | 2,500,000 | 2,477,306 | ||
4,362,043 | ||||||
Total Corporate bonds and notes (Cost $143,049,256) | 137,157,364 |
Interest rate | Maturity date | Principal | Value | |||
Foreign corporate bonds and notes : 1.10% | ||||||
Communication services: 0.22% | ||||||
Media: 0.22% | ||||||
SES SA ʊ | 2.88% | 12-31-2049 | EUR | 1,625,000 | $ 1,445,994 | |
Consumer staples: 0.23% | ||||||
Tobacco: 0.23% | ||||||
Altria Group Incorporated | 1.70 | 6-15-2025 | EUR | 1,515,000 | 1,520,275 | |
Financials: 0.16% | ||||||
Banks: 0.16% | ||||||
Permanent TSB Group | 2.13 | 9-26-2024 | EUR | 1,000,000 | 1,034,568 | |
Industrials: 0.27% | ||||||
Containers & packaging: 0.19% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 1,500,000 | 1,259,102 | |
Electrical equipment: 0.08% | ||||||
Gamma Bidco SpA 144A | 6.25 | 7-15-2025 | EUR | 500,000 | 532,140 | |
Real estate: 0.22% | ||||||
Equity REITs: 0.22% | ||||||
Aedas Homes Opco SLU 144A | 4.00 | 8-15-2026 | EUR | 1,500,000 | 1,426,308 | |
Total Foreign corporate bonds and notes (Cost $8,884,407) | 7,218,387 | |||||
Foreign government bonds : 3.73% | ||||||
Bonos y Obligaciones del Estado ¤ | 0.00 | 1-31-2028 | EUR | 2,680,000 | 2,410,574 | |
Brazil ¤ | 0.00 | 1-1-2024 | BRL | 17,000,000 | 2,925,298 | |
France | 0.75 | 2-25-2028 | EUR | 10,045,000 | 9,518,488 | |
Germany | 1.30 | 10-15-2027 | EUR | 8,175,000 | 8,115,943 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 6,895,000 | 1,552,111 | |
Total Foreign government bonds (Cost $25,384,304) | 24,522,414 | |||||
Loans: 0.58% | ||||||
Communication services: 0.43% | ||||||
Media: 0.43% | ||||||
CSC Holdings LLC (3 Month LIBOR +2.25%) ± | 6.84 | 7-17-2025 | $ | 1,948,605 | 1,878,280 | |
Gray Television Incorporated (1 Month LIBOR +2.50%) ± | 7.07 | 2-7-2024 | 991,640 | 989,984 | ||
2,868,264 | ||||||
Financials: 0.15% | ||||||
Diversified financial services: 0.15% | ||||||
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 8.13 | 5-30-2025 | 991,610 | 975,496 | ||
Total Loans (Cost $3,894,459) | 3,843,760 |
Interest rate | Maturity date | Principal | Value | |||
Municipal obligations: 0.43% | ||||||
Indiana: 0.13% | ||||||
Education revenue: 0.13% | ||||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 1.47% | 2-25-2044 | $ | 873,166 | $ 871,402 | |
New Jersey: 0.30% | ||||||
Miscellaneous revenue: 0.30% | ||||||
New Jersey Transportation Trust Fund Authority System Series B | 2.55 | 6-15-2023 | 2,000,000 | 1,984,896 | ||
Total Municipal obligations (Cost $2,865,361) | 2,856,298 | |||||
Non-agency mortgage-backed securities: 19.55% | ||||||
Achieve Mortgage Series 2022-HE1 Class A 144A±± | 7.00 | 10-25-2037 | 2,539,748 | 2,541,553 | ||
Affirm Incorporated Series 2021-B Class A 144A | 1.03 | 8-17-2026 | 3,653,000 | 3,501,497 | ||
Ajax Mortgage Loan Trust Series 2021-E Class A1 144A±± | 1.74 | 12-25-2060 | 3,082,397 | 2,615,972 | ||
Anchorage Capital CLO Limited Series 2015-6A Class B2RR (3 Month LIBOR +1.85%) 144A± | 6.64 | 7-15-2030 | 4,000,000 | 3,964,240 | ||
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 429,727 | 385,163 | ||
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 662,497 | 609,771 | ||
APEX Credit CLO LLC Series 2017 Class 2A (3 Month LIBOR +1.60%) 144A± | 6.35 | 9-20-2029 | 3,000,000 | 2,915,511 | ||
Auburn CLO Limited. Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 6.43 | 10-20-2030 | 470,000 | 461,859 | ||
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 5.87 | 4-24-2029 | 1,918,495 | 1,906,033 | ||
Bojangles Issuer LLC Series 2020-1A Class A2 144A | 3.83 | 10-20-2050 | 2,202,750 | 1,997,112 | ||
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 5.23 | 11-25-2069 | 2,187,313 | 2,170,720 | ||
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A | 2.72 | 11-25-2059 | 327,668 | 316,259 | ||
BX Trust Series 2021-ARIA Class D (1 Month LIBOR +1.90%) 144A± | 6.48 | 10-15-2036 | 2,165,000 | 2,063,282 | ||
Carlyle Global Market Series 2015-1A Class CR3 (3 Month LIBOR +2.00%) 144A± | 6.24 | 7-20-2031 | 3,000,000 | 2,825,346 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 202,643 | 195,833 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 883,524 | 836,081 | ||
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 1,715,701 | 1,666,841 | ||
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 1,409,871 | 1,341,633 | ||
CIFC Funding Limited Series 2017-2A (3 Month LIBOR +1.85%) 144A± | 6.66 | 4-20-2030 | 1,250,000 | 1,194,855 | ||
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 5.79 | 4-18-2031 | 4,000,000 | 3,943,695 | ||
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 102,146 | 100,462 | ||
Commercial Mortgage Trust Series 2012-CR4 Class A | 3.25 | 10-15-2045 | 2,000,000 | 1,814,009 | ||
Commercial Mortgage Trust Series 2014-CR14 Class B ±± | 4.59 | 2-10-2047 | 680,000 | 658,631 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Commercial Mortgage Trust Series 2015-DC1 Class A3 | 3.22% | 2-10-2048 | $ | 58,798 | $ 58,725 | |
ContiMortgage Home Equity Loan Trust Series 1996-2 Class IO ±± | 0.00 | 7-15-2027 | 367,709 | 4,413 | ||
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 4.01 | 6-19-2031 | 64,210 | 61,704 | ||
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 673,013 | 618,186 | ||
Credit Suisse Mortgage Trust Series 2021-AFC1 Class A2 144A±± | 1.07 | 3-25-2056 | 1,414,190 | 1,112,981 | ||
CSAIL Commercial Mortgage Trust Series 2016-C5 Class A4 | 3.49 | 11-15-2048 | 817,720 | 774,148 | ||
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.13%) 144A± | 5.73 | 12-19-2030 | 550,000 | 543,791 | ||
Dryden Senior Loan Fund Series 2019-72A (3 Month LIBOR +1.85%) 144A± | 6.71 | 5-15-2032 | 1,000,000 | 947,028 | ||
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 5.34 | 9-25-2033 | 148,734 | 145,360 | ||
FirstKey Homes Trust Series 2021 Class B 144A | 1.61 | 9-17-2038 | 2,235,000 | 1,948,620 | ||
FirstKey Homes Trust Series 2021 Class C 144A | 1.89 | 8-17-2038 | 1,835,000 | 1,591,983 | ||
FS Rialto Issuer Limited Series 2021-FL3 Class B (1 Month LIBOR +1.80%) 144A± | 6.39 | 11-16-2036 | 2,000,000 | 1,892,601 | ||
FWD Securitization Trust Series 2020-INV1 Class A3 144A±± | 2.44 | 1-25-2050 | 761,069 | 676,178 | ||
GCAT Series 2021-NQM1 Class A1 144A±± | 0.87 | 1-25-2066 | 1,206,508 | 1,006,076 | ||
Golden National Mortgage Asset-Backed Certificates Series 1998-GN1 Class M2 | 8.02 | 2-25-2027 | 34,322 | 33,451 | ||
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,209,251 | ||
Gracie Point International Funding 2022-1A (30 Day Average U.S. SOFR +2.75%) 144A± | 7.06 | 4-1-2024 | 1,595,000 | 1,594,462 | ||
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 103,116 | 96,515 | ||
Harbor Group International Limited Series 2021-FL1 Class A (1 Month LIBOR +1.05%) 144A± | 5.64 | 6-16-2036 | 1,560,692 | 1,498,076 | ||
Harbor Group International Limited Series 2021-FL2 Class C (1 Month LIBOR +1.80%) 144A± | 6.39 | 9-17-2036 | 1,000,000 | 944,563 | ||
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 5.59 | 11-15-2036 | 1,653,874 | 1,639,505 | ||
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60 | 11-25-2056 | 2,610,084 | 2,155,169 | ||
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A3 144A±± | 4.45 | 5-25-2067 | 4,005,000 | 3,390,583 | ||
Jonah Energy LLC Series 2022-1 Class A1 144A | 7.20 | 12-10-2037 | 2,557,479 | 2,534,573 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.21%) 144A± | 5.80 | 6-15-2035 | 566,915 | 523,117 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 5.55 | 7-15-2036 | 1,149,504 | 1,136,918 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2020 Class A7 144A±± | 3.50 | 7-25-2050 | 1,035,020 | 918,944 | ||
Madison Park Funding Limited Series 2012-0A (3 Month LIBOR +1.55%) 144A± | 6.36 | 7-27-2030 | 1,570,000 | 1,542,611 | ||
Marlette Funding Trust Series 2021-2A Class B 144A | 1.06 | 9-15-2031 | 3,321,048 | 3,250,675 | ||
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.84 | 10-25-2032 | 803 | 756 |
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± | 6.04% | 11-15-2038 | $ | 2,991,114 | $ 2,923,838 | |
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 5.53 | 7-15-2036 | 1,411,935 | 1,374,677 | ||
MF1 Multifamily Housing Mortgage Series 2022-FL8 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 5.78 | 2-19-2037 | 3,800,000 | 3,753,815 | ||
MFRA Trust Series 2020-NQM1 Class A2 144A±± | 1.79 | 8-25-2049 | 549,688 | 507,100 | ||
MFRA Trust Series 2021-NQM1 Class A2 144A±± | 1.38 | 4-25-2065 | 898,944 | 795,578 | ||
Morgan Stanley Capital I Trust 2014-150E Class A 144A | 3.91 | 9-9-2032 | 800,000 | 704,418 | ||
New Residential Mortgage Loan Series 2018-5A Class A1A 144A±± | 4.25 | 12-25-2057 | 1,825,378 | 1,736,599 | ||
New Residential Mortgage Loan Series 2019-6A Class A1B 144A±± | 3.50 | 9-25-2059 | 1,128,378 | 1,028,036 | ||
New York Mortgage Trust Series 2022 Class A1 144A | 2.04 | 7-25-2061 | 2,681,688 | 2,391,894 | ||
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A | 1.22 | 12-29-2051 | 584,320 | 560,321 | ||
Octagon Investment Partners Series 2017-1A Class A2R (3 Month LIBOR +1.45%) 144A± | 6.26 | 3-17-2030 | 2,190,000 | 2,144,135 | ||
Octane Receivables Trust 2023-1 Class A 144A | 5.87 | 5-21-2029 | 790,000 | 789,506 | ||
Octane Receivables Trust 2023-1 Class B 144A | 5.96 | 7-20-2029 | 645,000 | 643,250 | ||
Octane Receivables Trust Series 2022-2A Class A 144A | 5.11 | 2-22-2028 | 1,456,906 | 1,442,657 | ||
OPG Trust 2021-PORT (1 Month LIBOR +0.71%) 144A± | 5.30 | 10-15-2036 | 3,152,721 | 3,034,215 | ||
Pagaya AI Debt Selection Trust 2023-1 144A | 7.56 | 7-15-2030 | 3,305,000 | 3,312,733 | ||
PKHL Commercial Mortgage Trust Series 2021 Class B (1 Month LIBOR +1.18%) 144A± | 5.77 | 7-15-2038 | 3,342,000 | 3,134,045 | ||
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 162,431 | 159,933 | ||
Residential Mortgage Loan Trust Series 2021-1R Class A2 144A±± | 1.10 | 1-25-2065 | 300,022 | 275,639 | ||
Sound Point CLO Limited Series 2015-1RA Class AR (3 Month LIBOR +1.08%) 144A± | 5.87 | 4-15-2030 | 741,327 | 732,906 | ||
Sound Point CLO Limited Series 2015-1RA Class BR (3 Month LIBOR +1.55%) 144A± | 6.34 | 4-15-2030 | 2,660,000 | 2,573,750 | ||
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 1,321,259 | 1,257,781 | ||
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 358,238 | 352,939 | ||
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 368,641 | 349,165 | ||
Towd Point Mortgage Trust Series 2019-4 Class A1 144A±± | 2.90 | 10-25-2059 | 903,422 | 839,478 | ||
Towd Point Mortgage Trust Series 2019-MH1 Class A1 144A±± | 3.00 | 11-25-2058 | 163,479 | 160,542 | ||
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 5.44 | 2-15-2032 | 1,459,270 | 1,426,513 | ||
Venture CDO Limited Series 2017-29A (3 Month LIBOR +0.99%) 144A± | 5.85 | 9-7-2030 | 2,477,340 | 2,446,892 | ||
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 1,776,586 | 1,506,971 | ||
Verus Securitization Trust Series 2021-8 Class A2 144A±± | 2.29 | 11-25-2066 | 2,101,175 | 1,760,373 | ||
Verus Securitization Trust Series 2021-R1 Class A2 144A±± | 1.06 | 10-25-2063 | 131,880 | 118,380 |
Interest rate | Maturity date | Principal | Value | |||
Non-agency mortgage-backed securities (continued) | ||||||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02% | 4-25-2064 | $ | 1,025,380 | $ 913,089 | |
Vibrant CLO Limited (3 Month LIBOR +0.95%) 144A± | 5.70 | 6-20-2029 | 1,440,919 | 1,431,515 | ||
Voya CLO Limited Series 2017-1A (3 Month LIBOR +1.90%) 144A± | 6.69 | 4-17-2030 | 2,500,000 | 2,356,245 | ||
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.53 | 8-25-2032 | 47,308 | 47,984 | ||
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.53 | 8-25-2032 | 31,146 | 30,538 | ||
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 4.05 | 12-28-2037 | 3,787 | 3,724 | ||
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 5.79 | 10-18-2030 | 3,815,277 | 3,767,876 | ||
Zais CLO Limited Series 2017-1A (3 Month LIBOR +2.65%) 144A± | 7.44 | 7-15-2029 | 2,050,000 | 1,983,865 | ||
Total Non-agency mortgage-backed securities (Cost $135,426,546) | 128,650,236 | |||||
U.S. Treasury securities: 27.79% | ||||||
U.S. Treasury Note | 0.25 | 5-15-2024 | 4,355,000 | 4,107,650 | ||
U.S. Treasury Note | 0.38 | 12-31-2025 | 66,440,000 | 59,274,342 | ||
U.S. Treasury Note | 1.13 | 1-15-2025 | 39,905,000 | 37,259,735 | ||
U.S. Treasury Note | 2.88 | 6-15-2025 | 2,470,000 | 2,373,902 | ||
U.S. Treasury Note | 3.25 | 8-31-2024 | 77,250,000 | 75,261,416 | ||
U.S. Treasury Note | 3.50 | 9-15-2025 | 1,690,000 | 1,645,571 | ||
U.S. Treasury Note | 3.50 | 1-31-2028 | 530,000 | 513,893 | ||
U.S. Treasury Note | 4.63 | 2-28-2025 | 2,480,000 | 2,472,056 | ||
Total U.S. Treasury securities (Cost $186,440,086) | 182,908,565 | |||||
Yankee corporate bonds and notes: 13.16% | ||||||
Consumer discretionary: 0.87% | ||||||
Auto components: 0.12% | ||||||
Faurecia SE | 7.25 | 6-15-2026 | 700,000 | 760,426 | ||
Automobiles: 0.35% | ||||||
Conti Gummi Finance BV | 1.13 | 9-25-2024 | 2,000,000 | 2,028,059 | ||
Stellantis NV | 5.25 | 4-15-2023 | 250,000 | 249,330 | ||
2,277,389 | ||||||
Internet & direct marketing retail: 0.40% | ||||||
Prosus NV 144A | 3.26 | 1-19-2027 | 3,000,000 | 2,667,615 | ||
Consumer staples: 0.29% | ||||||
Food products: 0.29% | ||||||
Viterra Finance BV 144A | 4.90 | 4-21-2027 | 2,000,000 | 1,894,660 | ||
Energy: 0.44% | ||||||
Oil, gas & consumable fuels: 0.44% | ||||||
BP Capital Markets plc (5 Year Treasury Constant Maturity +4.04%) ʊ± | 4.38 | 6-22-2025 | 3,000,000 | 2,860,175 |
Interest rate | Maturity date | Principal | Value | |||
Financials: 10.01% | ||||||
Banks: 6.41% | ||||||
Banco Santander (1 Year Treasury Constant Maturity +0.45%) ± | 0.70% | 6-30-2024 | $ | 2,000,000 | $ 1,961,460 | |
Bank of Montreal | 4.70 | 9-14-2027 | 2,460,000 | 2,405,589 | ||
Banque Fédérative du Crédit Mutuel 144A | 4.52 | 7-13-2025 | 3,000,000 | 2,931,645 | ||
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 1,155,000 | 1,112,138 | ||
BNP Paribas (U.S. SOFR +1.00%) 144A± | 1.32 | 1-13-2027 | 1,545,000 | 1,367,950 | ||
BNP Paribas (1 Year Treasury Constant Maturity +1.45%) 144A± | 5.13 | 1-13-2029 | 3,000,000 | 2,949,977 | ||
BPCE SA 144A | 4.75 | 7-19-2027 | 2,560,000 | 2,488,100 | ||
Central American Bank 144A | 1.14 | 2-9-2026 | 2,500,000 | 2,215,875 | ||
Crédit Agricole Group SA 144A | 5.30 | 7-12-2028 | 3,000,000 | 2,983,614 | ||
Danske Bank A/S (1 Year Treasury Constant Maturity +0.55%) 144A± | 0.98 | 9-10-2025 | 2,000,000 | 1,852,276 | ||
Danske Bank Class A (1 Year Treasury Constant Maturity +2.10%) 144A± | 6.47 | 1-9-2026 | 1,000,000 | 1,006,146 | ||
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 1,500,000 | 1,466,252 | ||
HSBC Holdings plc (U.S. SOFR +0.71%) ± | 0.98 | 5-24-2025 | 600,000 | 564,412 | ||
HSBC Holdings plc (U.S. SOFR +1.10%) ± | 2.25 | 11-22-2027 | 1,760,000 | 1,548,166 | ||
HSBC Holdings plc (U.S. SOFR +2.61%) ± | 5.21 | 8-11-2028 | 2,400,000 | 2,346,819 | ||
Intesa Sanpaolo SpA 144A | 3.25 | 9-23-2024 | 2,000,000 | 1,905,060 | ||
Mitsubishi UFJ Financial Group (1 Year Treasury Constant Maturity +1.90%) ± | 5.35 | 9-13-2028 | 2,950,000 | 2,921,171 | ||
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.08%) ± | 5.72 | 2-20-2026 | 3,000,000 | 2,995,824 | ||
Mizuho Financial Group (U.S. SOFR +1.24%) ± | 2.84 | 7-16-2025 | 1,000,000 | 956,292 | ||
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 1,375,000 | 1,365,533 | ||
Sumitomo Mitsui Financial Group Incorporated | 5.52 | 1-13-2028 | 2,840,000 | 2,832,498 | ||
42,176,797 | ||||||
Capital markets: 1.21% | ||||||
Credit Suisse Group AG (U.S. SOFR +2.04%) 144A± | 2.19 | 6-5-2026 | 3,000,000 | 2,583,997 | ||
Macquarie Group Limited (U.S. SOFR +1.07%) 144A± | 1.34 | 1-12-2027 | 1,885,000 | 1,656,858 | ||
UBS Group AG (1 Year Treasury Constant Maturity +0.85%) 144A± | 1.49 | 8-10-2027 | 2,000,000 | 1,733,288 | ||
UBS Group AG (1 Year Treasury Constant Maturity +1.55%) 144A± | 5.71 | 1-12-2027 | 2,000,000 | 1,995,807 | ||
7,969,950 | ||||||
Consumer finance: 0.23% | ||||||
Volkswagen Financial Services AG | 3.38 | 4-6-2028 | 1,500,000 | 1,514,215 | ||
Diversified financial services: 1.05% | ||||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.65 | 10-29-2024 | 2,500,000 | 2,319,192 | ||
African Export Import BA 144A | 2.63 | 5-17-2026 | 550,000 | 491,713 | ||
Avolon Holdings Funding Limited 144A | 2.53 | 11-18-2027 | 862,000 | 718,241 | ||
Avolon Holdings Funding Limited 144A | 5.50 | 1-15-2026 | 965,000 | 933,816 | ||
Cirsa Finance International 144A | 10.38 | 11-30-2027 | 400,000 | 448,042 | ||
New Red Finance Incorporated 144A« | 5.75 | 4-15-2025 | 2,000,000 | 1,987,510 | ||
6,898,514 |
Interest rate | Maturity date | Principal | Value | |||
Insurance: 0.69% | ||||||
Allied World Assurance Company Holdings Limited | 4.35% | 10-29-2025 | $ | 2,880,000 | $ 2,751,266 | |
Athene Global Funding | 0.37 | 9-10-2026 | 2,000,000 | 1,802,629 | ||
4,553,895 | ||||||
Thrifts & mortgage finance: 0.42% | ||||||
Nationwide Building Society 144A | 4.85 | 7-27-2027 | 2,860,000 | 2,787,911 | ||
Health care: 0.28% | ||||||
Biotechnology: 0.28% | ||||||
Mylan NV | 3.95 | 6-15-2026 | 2,000,000 | 1,870,366 | ||
Industrials: 0.05% | ||||||
Commercial services & supplies: 0.05% | ||||||
Verisure Holding AB 144A | 9.25 | 10-15-2027 | 300,000 | 335,574 | ||
Information technology: 0.40% | ||||||
Semiconductors & semiconductor equipment: 0.40% | ||||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 2,830,000 | 2,603,738 | ||
Materials: 0.30% | ||||||
Chemicals: 0.30% | ||||||
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 2,000,000 | 1,994,827 | ||
Real estate: 0.52% | ||||||
Equity REITs: 0.29% | ||||||
Scentre Group Trust 144A | 3.63 | 1-28-2026 | 2,000,000 | 1,883,293 | ||
Real estate management & development: 0.23% | ||||||
Cadillac Fairview Corporation Limited 144A | 3.88 | 3-20-2027 | 1,687,000 | 1,541,842 | ||
Total Yankee corporate bonds and notes (Cost $90,771,929) | 86,591,187 |
Yield | Shares | |||||
Short-term investments: 4.20% | ||||||
Investment companies: 4.20% | ||||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 27,568,373 | 27,568,373 | |||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 104,016 | 104,016 | |||
Total Short-term investments (Cost $27,672,379) | 27,672,389 | |||||
Total investments in securities (Cost $691,108,733) | 101.01% | 664,853,537 | ||||
Other assets and liabilities, net | (1.01) | (6,637,788) | ||||
Total net assets | 100.00% | $658,215,749 |
± | 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. |
## | All or a portion of this security is segregated for when-issued securities. |
« | 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. |
%% | The security is purchased on a when-issued basis. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
FHLMC | Federal Home Loan Mortgage Corporation |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
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 | $34,859,487 | $237,253,142 | $(244,544,256) | $ 0 | $ 0 | $ 27,568,373 | 27,568,373 | $ 566,656 | ||
Securities Lending Cash Investments LLC | 385,605 | 159,872,526 | (160,153,846) | (279) | 10 | 104,016 | 104,016 | 144,244 # | ||
$ (279) | $10 | $27,672,389 | $710,900 |
# | Amount shown represents income before fees and rebates. |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
2,615,000 EUR | 2,862,376 USD | Morgan Stanley | 3-31-2023 | $ 0 | $ (91,687) | |
208,037,384 JPY | 1,480,000 EUR | Morgan Stanley | 3-31-2023 | 0 | (71,134) | |
20,476,650 USD | 19,195,000 EUR | Morgan Stanley | 3-31-2023 | 138,837 | 0 | |
1,359,210 USD | 1,270,000 EUR | Morgan Stanley | 3-31-2023 | 13,598 | 0 | |
4,658,227 USD | 4,350,000 EUR | Morgan Stanley | 3-31-2023 | 49,241 | 0 | |
1,618,541 USD | 1,500,000 EUR | Morgan Stanley | 3-31-2023 | 29,235 | 0 | |
6,520,629 USD | 6,050,000 EUR | Morgan Stanley | 3-31-2023 | 110,431 | 0 | |
1,631,253 USD | 1,500,000 EUR | Morgan Stanley | 3-31-2023 | 41,947 | 0 | |
208,037,384 JPY | 1,480,000 EUR | Morgan Stanley | 3-31-2023 | 37,174 | 0 | |
757,575 USD | 695,000 EUR | Morgan Stanley | 3-31-2023 | 21,197 | 0 | |
876,187 USD | 805,000 EUR | Morgan Stanley | 3-31-2023 | 23,259 | 0 | |
$464,919 | $(162,821) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
2-Year U.S. Treasury Notes | 1,050 | 6-30-2023 | $214,500,898 | $213,912,890 | $ 0 | $ (588,008) | |
Short | |||||||
Euro-BOBL Futures | (40) | 3-8-2023 | (5,047,707) | (4,873,034) | 174,673 | 0 | |
10-Year U.S. Treasury Notes | (39) | 6-21-2023 | (4,361,880) | (4,354,594) | 7,286 | 0 | |
5-Year U.S. Treasury Notes | (527) | 6-30-2023 | (56,556,217) | (56,417,821) | 138,396 | 0 | |
$320,355 | $(588,008) |
Assets | |
Investments in unaffiliated securities (including $101,911 of securities loaned), at value (cost $663,436,354) | $ 637,181,148 |
Investments in affiliated securities, at value (cost $27,672,379) | 27,672,389 |
Segregated cash for forward foreign currency contracts | 220,000 |
Cash at broker segregated for futures contracts | 1,730,000 |
Receivable for investments sold | 9,005,621 |
Receivable for interest | 3,089,962 |
Receivable for Fund shares sold | 953,119 |
Unrealized gains on forward foreign currency contracts | 464,919 |
Principal paydown receivable | 5,185 |
Receivable for securities lending income, net | 229 |
Prepaid expenses and other assets | 106,484 |
Total assets | 680,429,056 |
Liabilities | |
Payable for when-issued transactions | 14,063,330 |
Payable for investments purchased | 4,077,382 |
Due to custodian bank, foreign currency, at value (cost $2,088,406) | 2,088,406 |
Payable for Fund shares redeemed | 1,022,953 |
Overdraft due to custodian bank | 392,101 |
Unrealized losses on forward foreign currency contracts | 162,821 |
Management fee payable | 159,373 |
Payable upon receipt of securities loaned | 104,016 |
Administration fees payable | 48,664 |
Payable for daily variation margin on open futures contracts | 7,638 |
Distribution fee payable | 2,014 |
Accrued expenses and other liabilities | 84,609 |
Total liabilities | 22,213,307 |
Total net assets | $658,215,749 |
Net assets consist of | |
Paid-in capital | $ 696,230,744 |
Total distributable loss | (38,014,995) |
Total net assets | $658,215,749 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 137,047,709 |
Shares outstanding – Class A1 | 16,521,609 |
Net asset value per share – Class A | $8.30 |
Maximum offering price per share – Class A2 | $8.47 |
Net assets – Class C | $ 3,396,799 |
Shares outstanding – Class C1 | 410,054 |
Net asset value per share – Class C | $8.28 |
Net assets – Class R6 | $ 13,915,034 |
Shares outstanding – Class R61 | 1,678,251 |
Net asset value per share – Class R6 | $8.29 |
Net assets – Institutional Class | $ 503,856,207 |
Shares outstanding – Institutional Class1 | 60,717,694 |
Net asset value per share – Institutional Class | $8.30 |
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 | $ 10,060,995 |
Income from affiliated securities | 638,069 |
Total investment income | 10,699,064 |
Expenses | |
Management fee | 1,075,565 |
Administration fees | |
Class A | 109,490 |
Class C | 3,065 |
Class R6 | 2,231 |
Institutional Class | 183,616 |
Shareholder servicing fees | |
Class A | 170,876 |
Class C | 4,781 |
Distribution fee | |
Class C | 14,343 |
Custody and accounting fees | 20,679 |
Professional fees | 35,556 |
Registration fees | 32,891 |
Shareholder report expenses | 30,318 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 8,415 |
Total expenses | 1,702,451 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (72,217) |
Class A | (47,902) |
Class C | (1,149) |
Class R6 | (744) |
Net expenses | 1,580,439 |
Net investment income | 9,118,625 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (5,207,653) |
Affiliated securities | (279) |
Forward foreign currency contracts | (74,660) |
Futures contracts | (2,976,719) |
Net realized losses on investments | (8,259,311) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 507,273 |
Affiliated securities | 10 |
Forward foreign currency contracts | (527,968) |
Futures contracts | (47,671) |
Net change in unrealized gains (losses) on investments | (68,356) |
Net realized and unrealized gains (losses) on investments | (8,327,667) |
Net increase in net assets resulting from operations | $ 790,958 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 9,118,625 | $ 8,785,034 | ||
Net realized losses on investments | (8,259,311) | (4,518,213) | ||
Net change in unrealized gains (losses) on investments | (68,356) | (32,399,021) | ||
Net increase (decrease) in net assets resulting from operations | 790,958 | (28,132,200) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (1,885,332) | (3,260,447) | ||
Class C | (37,430) | (66,976) | ||
Class R6 | (226,341) | (576,380) | ||
Institutional Class | (6,939,065) | (9,456,485) | ||
Total distributions to shareholders | (9,088,168) | (13,360,288) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,136,754 | 9,450,378 | 1,472,078 | 12,971,130 |
Class C | 11,058 | 91,836 | 111,895 | 994,577 |
Class R6 | 96,539 | 801,867 | 489,531 | 4,166,599 |
Institutional Class | 21,860,536 | 181,319,490 | 29,373,532 | 254,171,578 |
191,663,571 | 272,303,884 | |||
Reinvestment of distributions | ||||
Class A | 215,559 | 1,784,991 | 351,308 | 3,077,067 |
Class C | 4,527 | 37,430 | 7,551 | 66,318 |
Class R6 | 6,847 | 56,654 | 4,660 | 40,256 |
Institutional Class | 631,009 | 5,226,544 | 867,848 | 7,589,450 |
7,105,619 | 10,773,091 | |||
Payment for shares redeemed | ||||
Class A | (1,692,199) | (14,039,814) | (4,367,651) | (38,301,946) |
Class C | (108,692) | (901,175) | (203,015) | (1,765,491) |
Class R6 | (397,231) | (3,295,479) | (2,084,157) | (18,249,955) |
Institutional Class | (14,865,758) | (123,210,703) | (22,157,051) | (192,938,192) |
(141,447,171) | (251,255,584) | |||
Net increase in net assets resulting from capital share transactions | 57,322,019 | 31,821,391 | ||
Total increase (decrease) in net assets | 49,024,809 | (9,671,097) | ||
Net assets | ||||
Beginning of period | 609,190,940 | 618,862,037 | ||
End of period | $ 658,215,749 | $ 609,190,940 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.41 | $9.02 | $9.09 | $8.84 | $8.65 | $8.77 |
Net investment income | 0.11 | 0.11 1 | 0.14 | 0.19 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | (0.11) | (0.54) | 0.02 | 0.24 | 0.19 | (0.12) |
Total from investment operations | 0.00 | (0.43) | 0.16 | 0.43 | 0.39 | 0.03 |
Distributions to shareholders from | ||||||
Net investment income | (0.11) | (0.11) | (0.13) | (0.18) | (0.20) | (0.15) |
Net realized gains | 0.00 | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.11) | (0.18) | (0.23) | (0.18) | (0.20) | (0.15) |
Net asset value, end of period | $8.30 | $8.41 | $9.02 | $9.09 | $8.84 | $8.65 |
Total return2 | 0.05% | (4.83)% | 1.76% | 4.96% | 4.60% | 0.31% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.81% | 0.81% | 0.81% | 0.82% | 0.82% | 0.82% |
Net expenses | 0.72% | 0.70% | 0.70% | 0.71% | 0.72% | 0.72% |
Net investment income | 2.70% | 1.30% | 1.48% | 2.10% | 2.33% | 1.68% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $137,048 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.40 | $9.01 | $9.07 | $8.83 | $8.64 | $8.76 |
Net investment income | 0.08 1 | 0.05 | 0.06 | 0.12 | 0.14 | 0.08 |
Net realized and unrealized gains (losses) on investments | (0.12) | (0.55) | 0.04 | 0.24 | 0.19 | (0.12) |
Total from investment operations | (0.04) | (0.50) | 0.10 | 0.36 | 0.33 | (0.04) |
Distributions to shareholders from | ||||||
Net investment income | (0.08) | (0.04) | (0.06) | (0.12) | (0.14) | (0.08) |
Net realized gains | 0.00 | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.08) | (0.11) | (0.16) | (0.12) | (0.14) | (0.08) |
Net asset value, end of period | $8.28 | $8.40 | $9.01 | $9.07 | $8.83 | $8.64 |
Total return2 | (0.46)% | (5.57)% | 1.10% | 4.10% | 3.82% | (0.44)% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.55% | 1.55% | 1.56% | 1.56% | 1.57% | 1.57% |
Net expenses | 1.47% | 1.47% | 1.47% | 1.47% | 1.47% | 1.47% |
Net investment income | 1.92% | 0.53% | 0.71% | 1.36% | 1.57% | 0.93% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $3,397 | $4,225 | $5,286 | $5,773 | $7,146 | $8,588 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class R6 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 1 |
Net asset value, beginning of period | $8.40 | $9.02 | $9.08 | $8.83 | $8.66 | $8.64 |
Net investment income | 0.14 | 0.14 2 | 0.16 | 0.21 | 0.23 | 0.02 2 |
Net realized and unrealized gains (losses) on investments | (0.12) | (0.56) | 0.03 | 0.25 | 0.17 | 0.02 |
Total from investment operations | 0.02 | (0.42) | 0.19 | 0.46 | 0.40 | 0.04 |
Distributions to shareholders from | ||||||
Net investment income | (0.13) | (0.13) | (0.15) | (0.21) | (0.23) | (0.02) |
Net realized gains | 0.00 | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.13) | (0.20) | (0.25) | (0.21) | (0.23) | (0.02) |
Net asset value, end of period | $8.29 | $8.40 | $9.02 | $9.08 | $8.83 | $8.66 |
Total return3 | 0.21% | (4.65)% | 2.18% | 5.28% | 4.69% | 0.42% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.43% | 0.43% | 0.43% | 0.44% | 0.44% | 0.44% |
Net expenses | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% | 0.40% |
Net investment income | 2.99% | 1.55% | 1.79% | 2.41% | 2.71% | 2.24% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $13,915 | $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 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.41 | $9.03 | $9.09 | $8.84 | $8.65 | $8.78 |
Net investment income | 0.12 | 0.13 | 0.15 | 0.21 | 0.23 | 0.17 |
Net realized and unrealized gains (losses) on investments | (0.11) | (0.55) | 0.04 | 0.24 | 0.19 | (0.13) |
Total from investment operations | 0.01 | (0.42) | 0.19 | 0.45 | 0.42 | 0.04 |
Distributions to shareholders from | ||||||
Net investment income | (0.12) | (0.13) | (0.15) | (0.20) | (0.23) | (0.17) |
Net realized gains | 0.00 | (0.07) | (0.10) | 0.00 | 0.00 | 0.00 |
Total distributions to shareholders | (0.12) | (0.20) | (0.25) | (0.20) | (0.23) | (0.17) |
Net asset value, end of period | $8.30 | $8.41 | $9.03 | $9.09 | $8.84 | $8.65 |
Total return1 | 0.18% | (4.69)% | 2.13% | 5.23% | 4.88% | 0.46% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.47% | 0.48% | 0.48% | 0.49% | 0.49% | 0.49% |
Net expenses | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | 0.46% |
Net investment income | 2.97% | 1.57% | 1.69% | 2.37% | 2.60% | 1.95% |
Supplemental data | ||||||
Portfolio turnover rate | 44% | 65% | 65% | 88% | 43% | 43% |
Net assets, end of period (000s omitted) | $503,856 | $446,610 | $406,333 | $251,480 | $226,517 | $226,655 |
1 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 3,999,335 |
Gross unrealized losses | (28,318,245) |
Net unrealized losses | $(24,318,910) |
■ | 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 | $ 3,842,541 | $0 | $ 3,842,541 |
Asset-backed securities | 0 | 59,590,396 | 0 | 59,590,396 |
Corporate bonds and notes | 0 | 137,157,364 | 0 | 137,157,364 |
Foreign corporate bonds and notes | 0 | 7,218,387 | 0 | 7,218,387 |
Foreign government bonds | 0 | 24,522,414 | 0 | 24,522,414 |
Loans | 0 | 3,843,760 | 0 | 3,843,760 |
Municipal obligations | 0 | 2,856,298 | 0 | 2,856,298 |
Non-agency mortgage-backed securities | 0 | 128,650,236 | 0 | 128,650,236 |
U.S. Treasury securities | 182,908,565 | 0 | 0 | 182,908,565 |
Yankee corporate bonds and notes | 0 | 86,591,187 | 0 | 86,591,187 |
Short-term investments | ||||
Investment companies | 27,672,389 | 0 | 0 | 27,672,389 |
210,580,954 | 454,272,583 | 0 | 664,853,537 | |
Forward foreign currency contracts | 0 | 464,919 | 0 | 464,919 |
Futures contracts | 320,355 | 0 | 0 | 320,355 |
Total assets | $210,901,309 | $454,737,502 | $0 | $665,638,811 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 162,821 | $0 | $ 162,821 |
Futures contracts | 588,008 | 0 | 0 | 588,008 |
Total liabilities | $ 588,008 | $ 162,821 | $0 | $ 750,829 |
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 | |
$187,255,714 | $176,212,503 | $115,783,193 | $138,387,790 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Jefferies LLC | $101,911 | $(101,911) | $0 |
Futures contracts | |
Average notional balance on long futures | $211,680,327 |
Average notional balance on short futures | 42,573,229 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 2,544,459 |
Average contract amounts to sell | 16,008,125 |
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 | $ 320,355* | Unrealized losses on futures contracts | $ 588,008* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 464,919 | Unrealized losses on forward foreign currency contracts | 162,821 | |
$785,274 | $750,829 |
* | 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 February 28, 2023 is reported separately on the Statement of Assets and Liabilities. |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ (2,976,719) | $ (2,976,719) |
Foreign currency risk | (74,660) | 0 | (74,660) |
$(74,660) | $(2,976,719) | $(3,051,379) |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ (47,671) | $ (47,671) |
Foreign currency risk | (527,968) | 0 | (527,968) |
$(527,968) | $(47,671) | $(575,639) |
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 | $464,919 | $(162,821) | $0 | $302,098 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Morgan Stanley | $162,821 | $(162,821) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
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P.O. Box 219967
Kansas City, MO 64121-9967
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1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR3005 02-23
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Short-Term High Income Fund
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1 | The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value-weighted index with each stock's weight in the index proportionate to its market value. You cannot invest directly in an index. |
2 | The Morgan Stanley Capital International (MSCI) All Country World Index (ACWI) ex USA Index (Net) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the U.S. Source: MSCI. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. You cannot invest directly in an index. |
3 | The MSCI Emerging Markets (EM) Index (Net) (USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure equity market performance of emerging markets. You cannot invest directly in an index. |
4 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S.-dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
5 | The Bloomberg Global Aggregate ex-USD Index (unhedged) is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-income markets excluding the U.S.-dollar-denominated debt market. You cannot invest directly in an index. |
6 | The Bloomberg Municipal Bond Index is an unmanaged index composed of long-term tax-exempt bonds with a minimum credit rating of Baa. You cannot invest directly in an index. |
7 | The ICE BofA U.S. High Yield Index is a market-capitalization-weighted index of domestic and Yankee high-yield bonds. The index tracks the performance of high-yield securities traded in the U.S. bond market. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
1 | The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services. You cannot invest directly in an index. |
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President
Allspring Funds
Investment objective | The Fund seeks total return, consisting of a high level of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Chris Lee, CFA®‡, Michael J. Schueller, CFA®‡ |
Average annual total returns (%) as of February 28, 2023 | |||||||||||
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 | -2.83 | 2.38 | 2.42 | 0.18 | 3.00 | 2.73 | 0.92 | 0.81 | ||
Class C (WFHYX) | 3-31-2008 | -1.44 | 2.26 | 2.12 | -0.44 | 2.26 | 2.12 | 1.67 | 1.56 | ||
Administrator Class (WDHYX) | 7-30-2010 | – | – | – | 0.33 | 3.16 | 2.89 | 0.86 | 0.65 | ||
Institutional Class (STYIX) | 11-30-2012 | – | – | – | 0.48 | 3.32 | 3.05 | 0.59 | 0.50 | ||
ICE BofA 1-3 Year BB U.S. Cash Pay High Yield Index3 | – | – | – | – | 0.68 | 3.45 | 3.66 | – | – |
1 | Reflects the expense ratios as stated in the most recent prospectuses. The expense ratios shown are subject to change and may differ from the annualized expense ratios shown in the financial highlights of this report. |
2 | The manager has contractually committed through December 31, 2023, 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 | 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. You cannot invest directly in an index. Copyright 2023. ICE Data Indices, LLC. All rights reserved. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Ten largest holdings (%) as of February 28, 20231 | |
Enact Holdings Incorporated, 6.50%, 8-15-2025 | 1.93 |
Celanese US Holding LLC, 6.05%, 3-15-2025 | 1.83 |
NextEra Energy Operating Partners LP, 4.25%, 7-15-2024 | 1.77 |
CoreCivic Incorporated, 8.25%, 4-15-2026 | 1.46 |
Enviva Partners LP, 6.50%, 1-15-2026 | 1.42 |
Oceaneering International Incorporated, 4.65%, 11-15-2024 | 1.40 |
Ford Motor Credit Company LLC, 5.58%, 3-18-2024 | 1.39 |
NorthRiver Midstream Finance LP, 5.63%, 2-15-2026 | 1.36 |
Teva Pharmaceutical Finance Netherlands III BV, 6.00%, 4-15-2024 | 1.31 |
Las Vegas Sands Corporation, 3.20%, 8-8-2024 | 1.30 |
1 | Figures represent the percentage of the Fund's net assets. Holdings are subject to change and may have changed since the date specified. |
Credit quality as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g477331img8d623c154.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g477331imgb30a524a5.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,028.89 | $4.07 | 0.81% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.78 | $4.06 | 0.81% |
Class C | ||||
Actual | $1,000.00 | $1,026.39 | $7.84 | 1.56% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.06 | $7.80 | 1.56% |
Administrator Class | ||||
Actual | $1,000.00 | $1,029.69 | $3.27 | 0.65% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.57 | $3.26 | 0.65% |
Institutional Class | ||||
Actual | $1,000.00 | $1,030.47 | $2.52 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 80.47% | |||||
Communication services: 8.49% | |||||
Diversified telecommunication services: 0.02% | |||||
Level 3 Financing Incorporated 144A | 4.63% | 9-15-2027 | $ 525,000 | $ 392,438 | |
Entertainment: 2.02% | |||||
Dave & Buster's Incorporated 144A | 7.63 | 11-1-2025 | 16,246,000 | 16,469,383 | |
Live Nation Entertainment Incorporated 144A | 4.88 | 11-1-2024 | 13,250,000 | 12,852,500 | |
Live Nation Entertainment Incorporated 144A | 6.50 | 5-15-2027 | 3,350,000 | 3,293,887 | |
32,615,770 | |||||
Media: 4.33% | |||||
CCO Holdings LLC 144A | 5.13 | 5-1-2027 | 430,000 | 397,866 | |
CCO Holdings LLC 144A | 5.50 | 5-1-2026 | 21,100,000 | 20,361,500 | |
Cinemark USA Incorporated 144A | 8.75 | 5-1-2025 | 15,447,000 | 15,759,048 | |
Gray Television Incorporated 144A | 5.88 | 7-15-2026 | 12,152,000 | 10,975,500 | |
Nexstar Broadcasting Incorporated 144A | 5.63 | 7-15-2027 | 6,930,000 | 6,436,116 | |
Sirius XM Radio Incorporated 144A | 5.00 | 8-1-2027 | 9,000,000 | 8,257,500 | |
Townsquare Media Incorporated 144A | 6.88 | 2-1-2026 | 8,630,000 | 7,907,433 | |
70,094,963 | |||||
Wireless telecommunication services: 2.12% | |||||
Sprint Corporation | 7.13 | 6-15-2024 | 18,109,000 | 18,337,173 | |
Sprint Corporation | 7.88 | 9-15-2023 | 11,080,000 | 11,183,477 | |
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 4,848,750 | 4,792,834 | |
34,313,484 | |||||
Consumer discretionary: 14.69% | |||||
Auto components: 1.16% | |||||
Allison Transmission Incorporated 144A | 5.88 | 6-1-2029 | 915,000 | 866,963 | |
Clarios Global LP 144A | 6.25 | 5-15-2026 | 6,605,000 | 6,482,808 | |
Clarios Global LP 144A | 6.75 | 5-15-2025 | 7,058,000 | 7,016,584 | |
Goodyear Tire & Rubber Company « | 5.00 | 5-31-2026 | 4,624,000 | 4,450,600 | |
18,816,955 | |||||
Commercial services & supplies: 0.65% | |||||
Prime Security Services Borrower LLC 144A | 5.75 | 4-15-2026 | 10,850,000 | 10,483,813 | |
Hotels, restaurants & leisure: 8.67% | |||||
Carnival Corporation 144A | 9.88 | 8-1-2027 | 400,000 | 407,196 | |
Carnival Corporation 144A | 10.50 | 2-1-2026 | 8,110,000 | 8,393,668 | |
CCM Merger Incorporated 144A | 6.38 | 5-1-2026 | 3,145,000 | 3,018,057 | |
Cedar Fair LP 144A | 5.50 | 5-1-2025 | 18,580,000 | 18,353,132 | |
Hilton Domestic Operating Company Incorporated 144A | 5.38 | 5-1-2025 | 17,777,000 | 17,553,828 | |
International Game Technology plc 144A | 6.50 | 2-15-2025 | 4,600,000 | 4,611,500 | |
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 21,900,000 | 21,075,953 | |
MGM Resorts International | 6.75 | 5-1-2025 | 7,660,000 | 7,678,913 | |
NCL Corporation limited 144A | 8.38 | 2-1-2028 | 7,205,000 | 7,320,100 | |
Royal Caribbean Cruises Limited 144A | 5.38 | 7-15-2027 | 13,500,000 | 11,865,602 | |
Royal Caribbean Cruises Limited 144A | 11.50 | 6-1-2025 | 7,389,000 | 7,870,172 |
Interest rate | Maturity date | Principal | Value | ||
Hotels, restaurants & leisure (continued) | |||||
SeaWorld Parks & Entertainment Incorporated 144A | 8.75% | 5-1-2025 | $19,407,000 | $ 19,809,865 | |
Six Flags Entertainment Company 144A | 7.00 | 7-1-2025 | 12,225,000 | 12,354,585 | |
140,312,571 | |||||
Household durables: 0.48% | |||||
Newell Brands Incorporated | 4.45 | 4-1-2026 | 8,195,000 | 7,746,734 | |
Internet & direct marketing retail: 1.14% | |||||
QVC Incorporated | 4.85 | 4-1-2024 | 19,710,000 | 18,502,960 | |
Leisure products: 0.07% | |||||
Mattel Incorporated 144A | 3.38 | 4-1-2026 | 1,150,000 | 1,055,125 | |
Specialty retail: 1.21% | |||||
Bath & Body Works Incorporated 144A | 9.38 | 7-1-2025 | 18,196,000 | 19,242,270 | |
Penske Automotive Group Incorporated « | 3.50 | 9-1-2025 | 375,000 | 350,644 | |
19,592,914 | |||||
Textiles, apparel & luxury goods: 1.31% | |||||
G-III Apparel Group Limited 144A | 7.88 | 8-15-2025 | 17,595,000 | 16,583,288 | |
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 4,755,000 | 4,558,856 | |
21,142,144 | |||||
Consumer staples: 3.16% | |||||
Food products: 2.06% | |||||
Performance Food Group Incorporated 144A | 6.88 | 5-1-2025 | 14,552,000 | 14,583,374 | |
US Foods Incorporated 144A | 6.25 | 4-15-2025 | 18,903,000 | 18,833,893 | |
33,417,267 | |||||
Household products: 1.10% | |||||
Spectrum Brands Incorporated | 5.75 | 7-15-2025 | 18,137,000 | 17,783,656 | |
Energy: 13.25% | |||||
Energy equipment & services: 2.26% | |||||
Oceaneering International Incorporated | 4.65 | 11-15-2024 | 23,585,000 | 22,702,438 | |
USA Compression Partners LP | 6.88 | 4-1-2026 | 12,640,000 | 12,114,050 | |
USA Compression Partners LP | 6.88 | 9-1-2027 | 1,795,000 | 1,699,578 | |
36,516,066 | |||||
Oil, gas & consumable fuels: 10.99% | |||||
Aethon United 144A | 8.25 | 2-15-2026 | 13,865,000 | 13,335,796 | |
Antero Midstream Company 144A | 7.88 | 5-15-2026 | 7,618,000 | 7,693,828 | |
Antero Resources Corporation 144A | 8.38 | 7-15-2026 | 6,395,000 | 6,611,200 | |
Archrock Partners LP 144A | 6.88 | 4-1-2027 | 250,000 | 242,533 | |
Buckeye Partners LP 144A | 4.13 | 3-1-2025 | 6,795,000 | 6,370,240 | |
Buckeye Partners LP | 4.15 | 7-1-2023 | 8,019,000 | 7,959,659 | |
Crestwood Midstream Partners LP | 5.75 | 4-1-2025 | 16,325,000 | 15,834,641 | |
DCP Midstream Operating LP | 5.38 | 7-15-2025 | 8,640,000 | 8,533,435 | |
EnLink Midstream Partners LP | 4.15 | 6-1-2025 | 5,917,000 | 5,673,959 | |
Enviva Partners LP 144A | 6.50 | 1-15-2026 | 24,501,000 | 22,968,707 | |
EQM Midsteram Partners LP | 4.00 | 8-1-2024 | 7,785,000 | 7,436,694 | |
EQT Corporation | 6.13 | 2-1-2025 | 5,546,000 | 5,553,654 | |
Murphy Oil Corporation | 5.75 | 8-15-2025 | 6,086,000 | 6,024,200 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels (continued) | |||||
Range Resources Corporation | 4.88% | 5-15-2025 | $ 8,215,000 | $ 8,014,533 | |
Range Resources Corporation | 8.25 | 1-15-2029 | 1,910,000 | 1,960,138 | |
Rockies Express Pipeline LLC 144A | 3.60 | 5-15-2025 | 16,795,000 | 15,530,021 | |
Southwestern Energy Company | 5.70 | 1-23-2025 | 12,702,000 | 12,585,435 | |
Tallgrass Energy Partners LP 144A | 6.00 | 3-1-2027 | 20,290,000 | 18,839,054 | |
Western Gas Partners LP | 3.95 | 6-1-2025 | 1,735,000 | 1,648,250 | |
Western Gas Partners LP | 4.65 | 7-1-2026 | 5,335,000 | 5,068,250 | |
177,884,227 | |||||
Financials: 13.14% | |||||
Consumer finance: 5.46% | |||||
Ford Motor Credit Company LLC | 4.13 | 8-17-2027 | 4,600,000 | 4,098,410 | |
Ford Motor Credit Company LLC | 5.13 | 6-16-2025 | 3,955,000 | 3,818,076 | |
Ford Motor Credit Company LLC | 5.58 | 3-18-2024 | 22,725,000 | 22,565,925 | |
LFS TopCo LLC 144A | 5.88 | 10-15-2026 | 2,860,000 | 2,463,022 | |
Navient Corporation | 5.88 | 10-25-2024 | 14,850,000 | 14,435,091 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,265,000 | 2,271,569 | |
OneMain Finance Corporation | 3.50 | 1-15-2027 | 2,440,000 | 2,049,274 | |
OneMain Finance Corporation | 6.13 | 3-15-2024 | 17,485,000 | 17,239,874 | |
OneMain Finance Corporation | 7.13 | 3-15-2026 | 2,350,000 | 2,284,459 | |
PRA Group Incorporated 144A | 7.38 | 9-1-2025 | 6,880,000 | 6,857,336 | |
Rocket Mortgage LLC 144A | 2.88 | 10-15-2026 | 11,865,000 | 10,238,190 | |
88,321,226 | |||||
Diversified financial services: 2.57% | |||||
Hat Holdings LLC 144A | 3.38 | 6-15-2026 | 5,000,000 | 4,337,500 | |
Hat Holdings LLC 144A | 6.00 | 4-15-2025 | 21,550,000 | 20,769,244 | |
United Wholesale Mortgage LLC 144A | 5.50 | 11-15-2025 | 17,745,000 | 16,485,105 | |
41,591,849 | |||||
Insurance: 0.80% | |||||
Tri Pointe Homes Incorporated | 5.88 | 6-15-2024 | 13,183,000 | 13,018,213 | |
Mortgage REITs: 1.33% | |||||
Starwood Property Trust Incorporated 144A | 3.63 | 7-15-2026 | 2,930,000 | 2,563,938 | |
Starwood Property Trust Incorporated 144A | 3.75 | 12-31-2024 | 7,730,000 | 7,275,032 | |
Starwood Property Trust Incorporated | 4.75 | 3-15-2025 | 10,120,000 | 9,657,212 | |
Starwood Property Trust Incorporated 144A | 5.50 | 11-1-2023 | 2,040,000 | 2,020,342 | |
21,516,524 | |||||
Thrifts & mortgage finance: 2.98% | |||||
Enact Holdings Incorporated 144A | 6.50 | 8-15-2025 | 31,787,000 | 31,238,662 | |
Ladder Capital Finance Holdings LP 144A | 5.25 | 10-1-2025 | 18,090,000 | 16,903,500 | |
48,142,162 | |||||
Health care: 2.96% | |||||
Health care providers & services: 2.39% | |||||
MPT Operating Partnership LP « | 5.25 | 8-1-2026 | 15,940,000 | 14,218,161 | |
Tenet Healthcare Corporation | 4.63 | 7-15-2024 | 14,117,000 | 13,887,599 | |
Tenet Healthcare Corporation | 4.88 | 1-1-2026 | 11,135,000 | 10,604,825 | |
38,710,585 |
Interest rate | Maturity date | Principal | Value | ||
Health care technology: 0.57% | |||||
IQVIA Incorporated 144A | 5.00% | 10-15-2026 | $ 9,540,000 | $ 9,110,700 | |
Industrials: 11.39% | |||||
Aerospace & defense: 1.27% | |||||
TransDigm Group Incorporated 144A | 6.25 | 3-15-2026 | 20,820,000 | 20,544,049 | |
Airlines: 3.55% | |||||
American Airlines Group Incorporated 144A | 5.50 | 4-20-2026 | 5,315,000 | 5,172,816 | |
Delta Air Lines Incorporated | 7.38 | 1-15-2026 | 2,600,000 | 2,675,400 | |
Hawaiian Airlines Incorporated | 3.90 | 7-15-2027 | 3,504,115 | 3,158,889 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 13,345,000 | 12,409,716 | |
Mileage Plus Holdings LLC 144A | 6.50 | 6-20-2027 | 5,004,000 | 5,004,000 | |
Spirit Loyalty Cayman Limited 144A | 8.00 | 9-20-2025 | 28,971,000 | 29,079,642 | |
57,500,463 | |||||
Commercial services & supplies: 4.18% | |||||
Allied Universal Holdco LLC 144A | 6.63 | 7-15-2026 | 9,485,000 | 9,008,474 | |
Aramark Services Incorporated 144A | 6.38 | 5-1-2025 | 18,150,000 | 18,031,844 | |
CoreCivic Incorporated | 8.25 | 4-15-2026 | 23,400,000 | 23,689,458 | |
Stericycle Incorporated 144A | 5.38 | 7-15-2024 | 17,165,000 | 16,913,018 | |
67,642,794 | |||||
Road & rail: 1.10% | |||||
Uber Technologies Incorporated 144A | 7.50 | 5-15-2025 | 17,570,000 | 17,748,107 | |
Trading companies & distributors: 1.29% | |||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 21,351,000 | 20,825,187 | |
Information technology: 4.16% | |||||
Electronic equipment, instruments & components: 1.13% | |||||
Wesco Distribution Incorporated 144A | 7.13 | 6-15-2025 | 18,072,000 | 18,235,834 | |
IT services: 1.49% | |||||
Block Incorporated | 2.75 | 6-1-2026 | 1,760,000 | 1,570,423 | |
Sabre GLBL Incorporated 144A | 9.25 | 4-15-2025 | 13,005,000 | 12,801,361 | |
Sabre GLBL Incorporated 144A | 11.25 | 12-15-2027 | 9,790,000 | 9,783,832 | |
24,155,616 | |||||
Software: 0.96% | |||||
NCR Corporation 144A | 5.75 | 9-1-2027 | 2,060,000 | 1,996,629 | |
NortonLifeLock Incorporated 144A | 5.00 | 4-15-2025 | 13,997,000 | 13,596,126 | |
15,592,755 | |||||
Technology hardware, storage & peripherals: 0.58% | |||||
Western Digital Corporation | 4.75 | 2-15-2026 | 9,883,000 | 9,330,936 | |
Materials: 4.48% | |||||
Chemicals: 2.24% | |||||
Avient Corporation 144A | 5.75 | 5-15-2025 | 6,760,000 | 6,625,735 | |
Celanese US Holding LLC | 6.05 | 3-15-2025 | 29,775,000 | 29,664,805 | |
36,290,540 |
Interest rate | Maturity date | Principal | Value | ||
Containers & packaging: 1.34% | |||||
Berry Global Incorporated 144A | 4.88% | 7-15-2026 | $ 1,750,000 | $ 1,675,625 | |
Berry Global Incorporated 144A | 5.63 | 7-15-2027 | 140,000 | 134,750 | |
Owens-Brockway Packaging Incorporated 144A | 5.88 | 8-15-2023 | 5,025,000 | 4,997,233 | |
Sealed Air Corporation 144A | 5.13 | 12-1-2024 | 7,629,000 | 7,495,125 | |
Sealed Air Corporation 144A | 5.50 | 9-15-2025 | 7,550,000 | 7,428,747 | |
21,731,480 | |||||
Metals & mining: 0.31% | |||||
Cleveland-Cliffs Incorporated 144A | 6.75 | 3-15-2026 | 4,885,000 | 4,934,485 | |
Paper & forest products: 0.59% | |||||
Clearwater Paper Corporation 144A | 5.38 | 2-1-2025 | 9,870,000 | 9,570,445 | |
Real estate: 1.00% | |||||
Equity REITs: 1.00% | |||||
Service Properties Trust Company | 4.35 | 10-1-2024 | 12,732,000 | 12,187,070 | |
Service Properties Trust Company | 7.50 | 9-15-2025 | 4,085,000 | 4,048,970 | |
16,236,040 | |||||
Utilities: 3.75% | |||||
Electric utilities: 1.77% | |||||
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 29,632,000 | 28,631,920 | |
Independent power & renewable electricity producers: 1.98% | |||||
NSG Holdings LLC 144A | 7.75 | 12-15-2025 | 12,651,318 | 12,398,291 | |
Vistra Operations Company LLC 144A | 5.50 | 9-1-2026 | 14,725,000 | 14,063,747 | |
Vistra Operations Company LLC 144A | 5.63 | 2-15-2027 | 5,910,000 | 5,600,437 | |
32,062,475 | |||||
Total Corporate bonds and notes (Cost $1,337,472,984) | 1,302,115,472 | ||||
Loans: 6.19% | |||||
Communication services: 0.27% | |||||
Media: 0.27% | |||||
Gray Television Incorporated (3 Month LIBOR +2.50%) <± | 7.07 | 1-2-2026 | 1,725,000 | 1,700,557 | |
Hubbard Radio LLC (1 Month LIBOR +4.25%) ± | 8.89 | 3-28-2025 | 911,314 | 807,269 | |
The E.W. Scripps Company (1 Month LIBOR +2.00%) <± | 6.85 | 10-2-2024 | 1,900,000 | 1,887,726 | |
4,395,552 | |||||
Consumer discretionary: 1.00% | |||||
Auto components: 0.13% | |||||
Clarios Global LP (1 Month LIBOR +3.25%) ± | 7.88 | 4-30-2026 | 2,194,428 | 2,181,064 | |
Hotels, restaurants & leisure: 0.87% | |||||
Carnival Corporation (1 Month LIBOR +3.00%) ± | 7.63 | 6-30-2025 | 6,703,113 | 6,584,133 | |
SeaWorld Parks & Entertainment Incorporated (1 Month LIBOR +3.00%) ± | 7.69 | 8-25-2028 | 7,510,079 | 7,478,762 | |
14,062,895 |
Interest rate | Maturity date | Principal | Value | ||
Energy: 0.25% | |||||
Oil, gas & consumable fuels: 0.25% | |||||
GIP II Blue Holdings LP (1 Month LIBOR +4.50%) ± | 9.23% | 9-29-2028 | $ 4,091,960 | $ 4,074,405 | |
Financials: 1.34% | |||||
Diversified financial services: 0.64% | |||||
Resolute Investment Managers Incorporated (1 Month LIBOR +4.25%) ‡± | 8.98 | 4-30-2024 | 2,474,172 | 1,942,225 | |
Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.50%) ± | 8.13 | 5-30-2025 | 8,510,095 | 8,371,806 | |
10,314,031 | |||||
Insurance: 0.53% | |||||
Asurion LLC (1 Month LIBOR +3.00%) <± | 7.63 | 11-3-2024 | 8,598,340 | 8,563,001 | |
Mortgage REITs: 0.17% | |||||
Claros Mortgage Trust Incorporated (U.S. SOFR 1 Month +4.50%) ‡± | 9.16 | 8-9-2026 | 2,781,900 | 2,750,604 | |
Health care: 0.34% | |||||
Health care providers & services: 0.34% | |||||
Select Medical Corporation (3 Month LIBOR +2.50%) ± | 7.14 | 3-6-2025 | 5,450,000 | 5,421,061 | |
Industrials: 2.37% | |||||
Airlines: 1.78% | |||||
Mileage Plus Holdings LLC (1 Month LIBOR +5.25%) ± | 10.00 | 6-21-2027 | 8,437,500 | 8,777,109 | |
SkyMiles IP Limited (3 Month LIBOR +3.75%) <± | 8.56 | 10-20-2027 | 19,372,500 | 20,038,527 | |
28,815,636 | |||||
Commercial services & supplies: 0.41% | |||||
GFL Environmental Incorporated (U.S. SOFR 1 Month +3.00%) ± | 7.56 | 5-28-2027 | 2,572,500 | 2,574,712 | |
The Geo Group Incorporated (1 Month LIBOR +7.13%) <± | 11.74 | 3-23-2027 | 4,000,000 | 4,027,160 | |
6,601,872 | |||||
Machinery: 0.00% | |||||
Vertical US Newco Incorporated (1 Month LIBOR +3.50%) ± | 8.60 | 7-30-2027 | 21,261 | 20,766 | |
Road & rail: 0.18% | |||||
Uber Technologies Incorporated (1 Month LIBOR +3.50%) ± | 8.45 | 4-4-2025 | 2,855,205 | 2,852,093 | |
Materials: 0.24% | |||||
Chemicals: 0.24% | |||||
The Chemours Company (1 Month LIBOR +1.75%) <± | 6.39 | 4-3-2025 | 3,969,218 | 3,940,163 | |
Utilities: 0.38% | |||||
Electric utilities: 0.38% | |||||
ExGen Renewables IV LLC (1 Month LIBOR +2.50%) ± | 7.46 | 12-15-2027 | 6,242,650 | 6,221,175 | |
Total Loans (Cost $100,776,516) | 100,214,318 |
Interest rate | Maturity date | Principal | Value | ||
Yankee corporate bonds and notes: 9.81% | |||||
Communication services: 0.88% | |||||
Media: 0.88% | |||||
Clear Channel International Limited 144A« | 6.63% | 8-1-2025 | $ 3,000,000 | $ 2,925,149 | |
Videotron Limited 144A | 5.38 | 6-15-2024 | 11,523,000 | 11,398,201 | |
14,323,350 | |||||
Consumer discretionary: 0.66% | |||||
Auto components: 0.61% | |||||
Adient Global Holdings Limited 144A | 4.88 | 8-15-2026 | 10,605,000 | 9,814,503 | |
Automobiles: 0.05% | |||||
Stellantis NV | 5.25 | 4-15-2023 | 896,000 | 893,599 | |
Energy: 1.36% | |||||
Oil, gas & consumable fuels: 1.36% | |||||
NorthRiver Midstream Finance LP 144A | 5.63 | 2-15-2026 | 23,390,000 | 22,026,090 | |
Financials: 1.76% | |||||
Diversified financial services: 1.76% | |||||
DAE Funding LLC 144A | 2.63 | 3-20-2025 | 5,910,000 | 5,529,124 | |
FMG Resources Proprietary Limited 144A | 5.13 | 5-15-2024 | 6,771,000 | 6,686,363 | |
New Red Finance Incorporated 144A | 5.75 | 4-15-2025 | 16,390,000 | 16,287,644 | |
28,503,131 | |||||
Health care: 1.84% | |||||
Pharmaceuticals: 1.84% | |||||
Teva Pharmaceutical Finance Netherlands III BV | 6.00 | 4-15-2024 | 21,195,000 | 21,150,491 | |
Teva Pharmaceutical Finance Netherlands III BV | 7.13 | 1-31-2025 | 8,500,000 | 8,606,250 | |
29,756,741 | |||||
Industrials: 1.24% | |||||
Airlines: 0.75% | |||||
Air Canada Pass-Through Trust Series 2020-1 Class C 144A | 10.50 | 7-15-2026 | 11,315,000 | 12,050,475 | |
Electrical equipment: 0.10% | |||||
Sensata Technologies BV 144A | 5.63 | 11-1-2024 | 1,605,000 | 1,587,947 | |
Trading companies & distributors: 0.39% | |||||
Fly Leasing Limited 144A | 7.00 | 10-15-2024 | 7,330,000 | 6,359,425 | |
Materials: 2.07% | |||||
Chemicals: 0.83% | |||||
Park Aerospace Holdings Company 144A | 5.50 | 2-15-2024 | 13,602,000 | 13,439,665 | |
Containers & packaging: 0.83% | |||||
Ardagh Packaging Finance plc 144A | 5.25 | 4-30-2025 | 13,934,000 | 13,470,695 | |
Metals & mining: 0.41% | |||||
Constellium SE 144A | 5.88 | 2-15-2026 | 6,710,000 | 6,552,349 | |
Total Yankee corporate bonds and notes (Cost $163,873,377) | 158,777,970 |
Yield | Shares | Value | |||
Short-term investments: 4.45% | |||||
Investment companies: 4.45% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39% | 52,818,797 | $ 52,818,797 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 19,127,630 | 19,127,630 | ||
Total Short-term investments (Cost $71,945,784) | 71,946,427 | ||||
Total investments in securities (Cost $1,674,068,661) | 100.92% | 1,633,054,187 | |||
Other assets and liabilities, net | (0.92) | (14,941,976) | |||
Total net assets | 100.00% | $1,618,112,211 |
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 | $59,079,830 | $485,158,186 | $(491,419,219) | $ 0 | $ 0 | $ 52,818,797 | 52,818,797 | $ 1,121,106 | ||
Securities Lending Cash Investments LLC | 257,700 | 84,750,288 | (65,879,720) | (1,281) | 643 | 19,127,630 | 19,127,630 | 288,007 # | ||
$ (1,281) | $643 | $71,946,427 | $1,409,113 |
# | Amount shown represents income before fees and rebates. |
Assets | |
Investments in unaffiliated securities (including $18,742,713 of securities loaned), at value (cost $1,602,122,877) | $ 1,561,107,760 |
Investments in affiliated securities, at value (cost $71,945,784) | 71,946,427 |
Cash | 5,549,725 |
Receivable for interest | 25,047,076 |
Receivable for Fund shares sold | 2,811,899 |
Receivable for securities lending income, net | 32,660 |
Prepaid expenses and other assets | 169,728 |
Total assets | 1,666,665,275 |
Liabilities | |
Payable for investments purchased | 23,600,108 |
Payable upon receipt of securities loaned | 19,127,630 |
Payable for Fund shares redeemed | 4,939,193 |
Management fee payable | 499,829 |
Dividends payable | 179,859 |
Administration fees payable | 108,670 |
Distribution fee payable | 12,138 |
Accrued expenses and other liabilities | 85,637 |
Total liabilities | 48,553,064 |
Total net assets | $1,618,112,211 |
Net assets consist of | |
Paid-in capital | $ 1,712,057,765 |
Total distributable loss | (93,945,554) |
Total net assets | $1,618,112,211 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 107,968,402 |
Shares outstanding – Class A1 | 13,905,291 |
Net asset value per share – Class A | $7.76 |
Maximum offering price per share – Class A2 | $8.00 |
Net assets – Class C | $ 21,012,246 |
Shares outstanding – Class C1 | 2,705,311 |
Net asset value per share – Class C | $7.77 |
Net assets – Administrator Class | $ 42,750,924 |
Shares outstanding – Administrator Class1 | 5,506,697 |
Net asset value per share – Administrator Class | $7.76 |
Net assets – Institutional Class | $ 1,446,380,639 |
Shares outstanding – Institutional Class1 | 186,552,532 |
Net asset value per share – Institutional Class | $7.75 |
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 | $ 38,078,245 |
Income from affiliated securities | 1,235,464 |
Total investment income | 39,313,709 |
Expenses | |
Management fee | 3,339,838 |
Administration fees | |
Class A | 80,828 |
Class C | 16,017 |
Administrator Class | 25,680 |
Institutional Class | 491,723 |
Shareholder servicing fees | |
Class A | 126,294 |
Class C | 24,989 |
Administrator Class | 64,201 |
Distribution fee | |
Class C | 74,967 |
Custody and accounting fees | 30,562 |
Professional fees | 33,977 |
Registration fees | 29,845 |
Shareholder report expenses | 18,191 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 7,013 |
Total expenses | 4,374,750 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (527,884) |
Class A | (10,104) |
Class C | (1,001) |
Administrator Class | (30,817) |
Net expenses | 3,804,944 |
Net investment income | 35,508,765 |
Realized and unrealized gains (losses) on investments | |
Net realized losses on | |
Unaffiliated securities | (2,616,128) |
Affiliated securities | (1,281) |
Net realized losses on investments | (2,617,409) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 11,051,641 |
Affiliated securities | 643 |
Net change in unrealized gains (losses) on investments | 11,052,284 |
Net realized and unrealized gains (losses) on investments | 8,434,875 |
Net increase in net assets resulting from operations | $43,943,640 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 35,508,765 | $ 40,573,223 | ||
Net realized losses on investments | (2,617,409) | (1,017,745) | ||
Net change in unrealized gains (losses) on investments | 11,052,284 | (68,869,372) | ||
Net increase (decrease) in net assets resulting from operations | 43,943,640 | (29,313,894) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,384,502) | (4,440,504) | ||
Class C | (397,212) | (747,079) | ||
Administrator Class | (1,233,156) | (3,101,812) | ||
Institutional Class | (31,224,379) | (34,334,025) | ||
Total distributions to shareholders | (35,239,249) | (42,623,420) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 2,982,833 | 23,079,118 | 2,984,697 | 24,088,926 |
Class C | 560,191 | 4,342,521 | 461,803 | 3,733,142 |
Administrator Class | 810,232 | 6,289,058 | 2,784,449 | 22,285,584 |
Institutional Class | 105,544,262 | 816,059,569 | 86,332,743 | 683,450,660 |
849,770,266 | 733,558,312 | |||
Reinvestment of distributions | ||||
Class A | 300,841 | 2,327,254 | 537,113 | 4,300,266 |
Class C | 51,300 | 397,079 | 93,087 | 746,042 |
Administrator Class | 159,155 | 1,229,749 | 386,235 | 3,095,742 |
Institutional Class | 3,899,800 | 30,155,520 | 3,866,076 | 30,795,541 |
34,109,602 | 38,937,591 | |||
Payment for shares redeemed | ||||
Class A | (2,311,032) | (17,842,040) | (5,537,985) | (44,164,124) |
Class C | (440,335) | (3,408,382) | (1,550,050) | (12,485,964) |
Administrator Class | (3,296,043) | (25,567,680) | (5,289,215) | (41,553,437) |
Institutional Class | (50,582,104) | (391,710,391) | (62,445,161) | (496,501,163) |
(438,528,493) | (594,704,688) | |||
Net increase in net assets resulting from capital share transactions | 445,351,375 | 177,791,215 | ||
Total increase in net assets | 454,055,766 | 105,853,901 | ||
Net assets | ||||
Beginning of period | 1,164,056,445 | 1,058,202,544 | ||
End of period | $1,618,112,211 | $1,164,056,445 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $7.72 | $8.25 | $8.09 | $8.07 | $7.99 | $8.07 |
Net investment income | 0.18 | 0.29 | 0.28 | 0.26 | 0.25 | 0.24 |
Net realized and unrealized gains (losses) on investments | 0.04 | (0.51) | 0.18 | 0.02 | 0.09 | (0.08) |
Total from investment operations | 0.22 | (0.22) | 0.46 | 0.28 | 0.34 | 0.16 |
Distributions to shareholders from | ||||||
Net investment income | (0.18) | (0.31) | (0.30) | (0.26) | (0.26) | (0.24) |
Net asset value, end of period | $7.76 | $7.72 | $8.25 | $8.09 | $8.07 | $7.99 |
Total return1 | 2.89% | (2.73)% | 5.73% | 3.61% | 4.40% | 2.00% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.91% | 0.92% | 0.93% | 0.94% | 0.94% | 0.93% |
Net expenses | 0.81% | 0.81% | 0.80% | 0.81% | 0.81% | 0.81% |
Net investment income | 4.76% | 3.65% | 3.46% | 3.19% | 3.18% | 2.96% |
Supplemental data | ||||||
Portfolio turnover rate | 13% | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $107,968 | $99,828 | $123,375 | $97,985 | $104,671 | $127,024 |
1 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Class C | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $7.72 | $8.26 | $8.09 | $8.07 | $8.00 | $8.07 |
Net investment income | 0.15 1 | 0.24 | 0.24 | 0.20 | 0.19 | 0.18 |
Net realized and unrealized gains (losses) on investments | 0.05 | (0.53) | 0.17 | 0.02 | 0.08 | (0.07) |
Total from investment operations | 0.20 | (0.29) | 0.41 | 0.22 | 0.27 | 0.11 |
Distributions to shareholders from | ||||||
Net investment income | (0.15) | (0.25) | (0.24) | (0.20) | (0.20) | (0.18) |
Net asset value, end of period | $7.77 | $7.72 | $8.26 | $8.09 | $8.07 | $8.00 |
Total return2 | 2.64% | (3.58)% | 5.06% | 2.84% | 3.49% | 1.36% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.65% | 1.67% | 1.68% | 1.69% | 1.69% | 1.68% |
Net expenses | 1.56% | 1.56% | 1.56% | 1.56% | 1.56% | 1.56% |
Net investment income | 4.01% | 2.88% | 2.73% | 2.43% | 2.43% | 2.21% |
Supplemental data | ||||||
Portfolio turnover rate | 13% | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $21,012 | $19,567 | $29,136 | $46,066 | $59,113 | $77,169 |
1 | Calculated based upon average shares outstanding |
2 | Total return calculations do not include any sales charges. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $7.72 | $8.25 | $8.09 | $8.06 | $7.99 | $8.07 |
Net investment income | 0.19 | 0.30 | 0.30 1 | 0.27 | 0.27 | 0.25 |
Net realized and unrealized gains (losses) on investments | 0.04 | (0.51) | 0.17 | 0.03 | 0.08 | (0.08) |
Total from investment operations | 0.23 | (0.21) | 0.47 | 0.30 | 0.35 | 0.17 |
Distributions to shareholders from | ||||||
Net investment income | (0.19) | (0.32) | (0.31) | (0.27) | (0.28) | (0.25) |
Net asset value, end of period | $7.76 | $7.72 | $8.25 | $8.09 | $8.06 | $7.99 |
Total return2 | 2.97% | (2.58)% | 5.90% | 3.90% | 4.44% | 2.16% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.85% | 0.86% | 0.87% | 0.88% | 0.87% | 0.86% |
Net expenses | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% |
Net investment income | 4.85% | 3.80% | 3.63% | 3.29% | 3.34% | 3.13% |
Supplemental data | ||||||
Portfolio turnover rate | 13% | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $42,751 | $60,460 | $82,124 | $52,406 | $86,892 | $102,673 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $7.71 | $8.24 | $8.08 | $8.05 | $7.98 | $8.06 |
Net investment income | 0.19 | 0.32 | 0.31 1 | 0.29 | 0.28 | 0.27 |
Net realized and unrealized gains (losses) on investments | 0.04 | (0.52) | 0.17 | 0.03 | 0.08 | (0.08) |
Total from investment operations | 0.23 | (0.20) | 0.48 | 0.32 | 0.36 | 0.19 |
Distributions to shareholders from | ||||||
Net investment income | (0.19) | (0.33) | (0.32) | (0.29) | (0.29) | (0.27) |
Net asset value, end of period | $7.75 | $7.71 | $8.24 | $8.08 | $8.05 | $7.98 |
Total return2 | 3.05% | (2.44)% | 6.06% | 4.06% | 4.59% | 2.31% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.58% | 0.59% | 0.60% | 0.61% | 0.61% | 0.59% |
Net expenses | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
Net investment income | 5.12% | 3.99% | 3.78% | 3.47% | 3.49% | 3.27% |
Supplemental data | ||||||
Portfolio turnover rate | 13% | 43% | 63% | 78% | 44% | 34% |
Net assets, end of period (000s omitted) | $1,446,381 | $984,201 | $823,568 | $554,044 | $701,157 | $764,680 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 5,456,618 |
Gross unrealized losses | (48,910,092) |
Net unrealized losses | $(43,453,474) |
■ | 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 | $ 1,302,115,472 | $ 0 | $ 1,302,115,472 |
Loans | 0 | 95,521,489 | 4,692,829 | 100,214,318 |
Yankee corporate bonds and notes | 0 | 158,777,970 | 0 | 158,777,970 |
Short-term investments | ||||
Investment companies | 71,946,427 | 0 | 0 | 71,946,427 |
Total assets | $71,946,427 | $1,556,414,931 | $4,692,829 | $1,633,054,187 |
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 |
Unfunded commitments | Unrealized gain (loss) | |
Asurion LLC | $ 8,510,946 | $ 52,055 |
Gray Television Incorporated | 1,690,500 | 10,057 |
SkyMiles IP Limited | 4,400,044 | 36,706 |
The Chemours Company | 1,995,000 | 2,046 |
The E.W. Scripps Company | 1,876,250 | 11,476 |
The Geo Group Incoprated | 4,050,000 | (22,840) |
$22,522,740 | $ 89,500 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $ 3,308,805 | $ (3,308,805) | $0 |
Barclays Capital Incorporated | 14,862,736 | (14,862,736) | 0 |
Citigroup Global Markets Incorporated | 473,964 | (473,964) | 0 |
JPMorgan Securities LLC | 97,208 | (97,208) | 0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g477331img5408dafa1.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g477331img6d1051ee6.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR3017 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936img0a6a8f011.jpg)
Ultra Short-Term Income Fund
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936imgf1d0d61d2.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 2023. 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. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936img965a85b43.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 February 28, 2023 | |||||||||||
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 | -0.91 | 1.16 | 0.90 | 1.12 | 1.57 | 1.11 | 0.66 | 0.51 | ||
Class A2 (WUSNX)3 | 5-29-2020 | – | – | – | 1.08 | 1.56 | 1.10 | 0.56 | 0.41 | ||
Class C (WUSTX) | 7-18-2008 | -0.65 | 0.85 | 0.51 | 0.35 | 0.85 | 0.51 | 1.41 | 1.26 | ||
Administrator Class (WUSDX) | 4-8-2005 | – | – | – | 0.98 | 1.61 | 1.21 | 0.60 | 0.51 | ||
Institutional Class (SADIX) | 8-31-1999 | – | – | – | 1.24 | 1.84 | 1.43 | 0.33 | 0.26 | ||
Bloomberg Short-Term Government/Corporate Bond Index4 | – | – | – | – | 1.45 | 1.44 | 0.98 | – | – |
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, 2023, 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. |
Ten largest holdings (%) as of February 28, 20231 | |
SPDR Portfolio Short Term Corporate Bond ETF | 1.51 |
Santander Drive Auto Receivable Trust Series 2020-4 Class D, 1.48%, 1-15-2027 | 1.25 |
GA Global Funding Trust, 1.00%, 4-8-2024 | 1.19 |
SPGN TFLM Mortgage Trust Series 2022 Class A, 6.11%, 2-15-2039 | 1.16 |
Nationwide Building Society, 0.55%, 1-22-2024 | 1.16 |
Mercury Financial Credit Card Master Trust MFCC Series 2022-1A, 2.50%, 9-21-2026 | 1.14 |
Palmer Square Loan Funding Limited Series 2013-2A Class A1A3, 5.79%, 10-17-2031 | 1.07 |
iShares 0-5 Year High Yield Corporate Bond ETF | 1.05 |
OPG Trust Series 2021-PORT Class A, 5.07%, 10-15-2036 | 1.01 |
Danske Bank Class A, 3.77%, 3-28-2025 | 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. |
Portfolio composition as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936img2bbf205f4.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Class A | ||||
Actual | $1,000.00 | $1,018.48 | $2.50 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Class A2 | ||||
Actual | $1,000.00 | $1,018.97 | $2.00 | 0.40% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.81 | $2.01 | 0.40% |
Class C | ||||
Actual | $1,000.00 | $1,014.70 | $6.24 | 1.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.60 | $6.26 | 1.25% |
Administrator Class | ||||
Actual | $1,000.00 | $1,018.50 | $2.50 | 0.50% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.32 | $2.51 | 0.50% |
Institutional Class | ||||
Actual | $1,000.00 | $1,019.73 | $1.25 | 0.25% |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.55 | $1.25 | 0.25% |
Interest rate | Maturity date | Principal | Value | ||
Agency securities: 1.16% | |||||
FHLMC (1 Year Treasury Constant Maturity +2.21%) ± | 2.87% | 5-1-2035 | $ 74,183 | $ 74,255 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.25 | 4-1-2032 | 36,285 | 35,884 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.38 | 6-1-2032 | 275 | 271 | |
FHLMC (1 Year Treasury Constant Maturity +2.23%) ± | 3.74 | 3-1-2035 | 275,437 | 279,059 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.90 | 10-1-2038 | 264,976 | 259,256 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 3.99 | 9-1-2038 | 513,716 | 515,935 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.13 | 11-1-2035 | 670,828 | 685,368 | |
FHLMC (1 Year Treasury Constant Maturity +2.25%) ± | 4.17 | 4-1-2038 | 228,707 | 230,371 | |
FHLMC | 4.50 | 6-1-2024 | 89,545 | 88,889 | |
FHLMC | 4.50 | 9-1-2026 | 158,408 | 157,194 | |
FHLMC | 5.50 | 12-1-2023 | 9,389 | 9,374 | |
FHLMC | 6.00 | 1-1-2024 | 2,215 | 2,210 | |
FHLMC | 7.00 | 6-1-2031 | 148,016 | 149,796 | |
FHLMC Series 2611 Class HD | 5.00 | 5-15-2023 | 7,027 | 7,009 | |
FHLMC Series 2704 Class BH | 4.50 | 11-15-2023 | 14,625 | 14,556 | |
FHLMC Series 3924 Class MF (1 Month LIBOR +0.50%) ± | 5.09 | 9-15-2041 | 528,100 | 520,872 | |
FHLMC Series 4172 Class PB | 1.50 | 7-15-2040 | 2,591 | 2,583 | |
FHLMC Series 4889 Class CD | 3.00 | 4-15-2049 | 590,292 | 530,431 | |
FHLMC Series 4938 Class BF (1 Month LIBOR +0.50%) ± | 5.12 | 12-25-2049 | 2,978,424 | 2,916,397 | |
FHLMC Series QO04 Class AFL (12 Month Treasury Average +0.74%) ± | 3.88 | 5-25-2044 | 910,061 | 910,397 | |
FHLMC Series T-42 Class A6 | 9.50 | 2-25-2042 | 388,083 | 427,796 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.34 | 6-1-2032 | 53,911 | 53,345 | |
FNMA (1 Year Treasury Constant Maturity +2.22%) ± | 3.35 | 6-1-2034 | 337,922 | 336,704 | |
FNMA (6 Month LIBOR +1.51%) ± | 3.55 | 9-1-2037 | 171,350 | 171,640 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 3.68 | 10-1-2034 | 2,944 | 2,993 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.78 | 12-1-2040 | 85,100 | 83,658 | |
FNMA (1 Year Treasury Constant Maturity +2.21%) ± | 3.85 | 9-1-2035 | 141,034 | 143,477 | |
FNMA (12 Month LIBOR +1.77%) ± | 3.92 | 7-1-2044 | 750,823 | 766,461 | |
FNMA (1 Year Treasury Constant Maturity +2.24%) ± | 3.98 | 7-1-2038 | 1,031,700 | 1,051,828 | |
FNMA (1 Year Treasury Constant Maturity +2.31%) ± | 3.99 | 5-1-2036 | 182,436 | 185,091 | |
FNMA (1 Year Treasury Constant Maturity +2.27%) ± | 4.00 | 8-1-2036 | 660,932 | 673,134 | |
FNMA (1 Year Treasury Constant Maturity +2.20%) ± | 4.00 | 12-1-2040 | 1,212,934 | 1,232,695 | |
FNMA (1 Year Treasury Constant Maturity +2.23%) ± | 4.04 | 11-1-2038 | 287,857 | 293,251 | |
FNMA (1 Year Treasury Constant Maturity +2.02%) ± | 4.10 | 12-1-2034 | 113,441 | 114,903 | |
FNMA (1 Year Treasury Constant Maturity +2.19%) ± | 4.32 | 11-1-2031 | 31,670 | 31,126 | |
FNMA (1 Year Treasury Constant Maturity +2.26%) ± | 4.38 | 11-1-2035 | 37,836 | 37,135 | |
FNMA (1 Year Treasury Constant Maturity +2.36%) ± | 4.40 | 11-1-2034 | 315,111 | 321,958 | |
FNMA | 4.50 | 1-1-2027 | 282,523 | 280,159 | |
FNMA (12 Month Treasury Average +2.05%) ± | 4.80 | 8-1-2045 | 155,812 | 153,007 | |
FNMA | 5.00 | 6-1-2024 | 68,913 | 68,792 | |
FNMA | 6.50 | 8-1-2031 | 185,908 | 195,164 | |
FNMA (6 Month LIBOR +1.38%) ± | 6.50 | 10-1-2031 | 34,893 | 35,001 | |
FNMA Series 2000-T6 Class A2 | 9.50 | 11-25-2040 | 172,140 | 176,195 | |
FNMA Series 2001-T10 Class A3 | 9.50 | 12-25-2041 | 262,995 | 275,198 | |
FNMA Series 2001-T12 Class A3 | 9.50 | 8-25-2041 | 232,921 | 248,217 | |
FNMA Series 2002-T1 Class A4 | 9.50 | 11-25-2031 | 298,073 | 326,740 | |
FNMA Series 2002-W04 Class A6 ±± | 3.86 | 5-25-2042 | 315,910 | 302,117 | |
FNMA Series 2003-W11 Class A1 ±± | 4.72 | 6-25-2033 | 9,590 | 9,700 | |
FNMA Series 2003-W3 Class 1A4 ±± | 3.95 | 8-25-2042 | 17,235 | 15,976 | |
FNMA Series 2007-W2 Class 1A1 (1 Month LIBOR +0.32%) ± | 4.83 | 3-25-2037 | 187,811 | 184,536 | |
FNMA Series 2010-25 Class ND | 3.50 | 3-25-2025 | 11 | 11 | |
FNMA Series 2010-37 Class A1 | 5.41 | 5-25-2035 | 472,906 | 468,080 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA Series 2013-23 Class LF (1 Month LIBOR +0.35%) ± | 3.92% | 3-25-2043 | $ 2,641,400 | $ 2,599,492 | |
FNMA Series 2014-19 Class HA | 2.00 | 6-25-2040 | 152,237 | 142,797 | |
GNMA | 7.00 | 6-15-2033 | 219,776 | 230,756 | |
Total Agency securities (Cost $19,241,785) | 19,029,240 | ||||
Asset-backed securities: 14.14% | |||||
ACM Auto Trust Series 2022-1A Class A 144A | 3.23 | 4-20-2029 | 486,360 | 485,746 | |
Acres plc Series 2021-FL2 Class A (1 Month LIBOR +1.40%) 144A± | 6.00 | 1-15-2037 | 4,000,000 | 3,907,176 | |
American Credit Acceptance Receivables Trust Series 2019-4 Class D 144A | 2.97 | 12-12-2025 | 5,030,108 | 4,988,976 | |
American Credit Acceptance Receivables Trust Series 2021-1 Class C 144A | 0.83 | 3-15-2027 | 5,467,998 | 5,374,844 | |
Aqua Finance Trust Series 2021-A Class A 144A | 1.54 | 7-17-2046 | 2,017,626 | 1,790,439 | |
Bankers Healthcare Group Series 2021-A Class A 144A | 1.42 | 11-17-2033 | 2,535,065 | 2,356,721 | |
CarNow Auto Receivables Trust 2020 Class C 144A | 3.84 | 9-16-2024 | 732,095 | 730,904 | |
Carvana Auto Receivables Trust Series 2019-4A Class D 144A | 3.07 | 7-15-2025 | 8,340,130 | 8,228,152 | |
CommonBond Student Loan Trust Series 2018-B-GS Class A1 144A | 3.56 | 9-25-2045 | 2,350,131 | 2,190,594 | |
Credit Acceptance Auto Loan Trust Series 2020-3A Class A 144A | 1.24 | 10-15-2029 | 2,530,215 | 2,488,057 | |
Crossroads Asset Trust Series 2021-A Class A2 144A | 0.82 | 3-20-2024 | 155,460 | 154,924 | |
Dominos Pizza Master Issuer LLC Series 2015-1A Class A2 144A | 4.47 | 10-25-2045 | 15,937,500 | 15,338,266 | |
DT Auto Owner Trust Series 2019-4A Class D 144A | 2.85 | 7-15-2025 | 5,917,339 | 5,820,741 | |
DT Auto Owner Trust Series 2020-1A Class C 144A | 2.29 | 11-17-2025 | 683,233 | 681,304 | |
ECMC Group Student Loan Trust Series 2020-2A Class A (1 Month LIBOR +1.15%) 144A± | 5.77 | 11-25-2069 | 4,847,751 | 4,725,810 | |
Educational Services of America Incorporated Series 2015-2 Class A (1 Month LIBOR +1.00%) 144A± | 5.62 | 12-25-2056 | 229,869 | 229,900 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2 144A | 0.44 | 12-21-2026 | 3,951,063 | 3,840,119 | |
Exeter Automobile Receivables Trust Series 2021-3A Class C | 0.96 | 10-15-2026 | 8,418,000 | 8,044,237 | |
Exeter Automobile Receivables Trust Series 2020-1A Class D 144A | 2.73 | 12-15-2025 | 5,057,253 | 4,955,170 | |
Flagship Credit Auto Trust Series FCAT 2018-3 Class D 144A | 4.15 | 12-16-2024 | 2,579,141 | 2,559,106 | |
GLS Automobile Receivables Trust Series 2019-3A Class C 144A | 2.96 | 5-15-2025 | 1,824,492 | 1,810,483 | |
GLS Automobile Receivables Trust Series 2020-1A Class C 144A | 2.72 | 11-17-2025 | 7,953,524 | 7,868,157 | |
Hertz Vehicle Financing LLC Series 2021-1A Class A 144A | 1.21 | 12-26-2025 | 11,325,000 | 10,507,213 | |
Mercury Financial Credit Card Master Trust MFCC Series 2022-1A 144A | 2.50 | 9-21-2026 | 20,000,000 | 18,768,080 | |
MFRA Trust Series 2020-NQM1 Class A1 144A±± | 1.48 | 3-25-2065 | 1,203,872 | 1,107,871 | |
Navient Student Loan Trust Series 2017-3A Class A3 (1 Month LIBOR +1.05%) 144A± | 5.67 | 7-26-2066 | 5,526,821 | 5,489,723 | |
Navient Student Loan Trust Series 2018-CA Class A2 144A | 3.52 | 6-16-2042 | 408,948 | 401,029 | |
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 7,157,077 | 6,023,263 | |
Octane Receivables Trust Series 2020-1A Class A 144A | 1.71 | 2-20-2025 | 853,841 | 846,354 | |
Octane Receivables Trust Series 2021-1A Class A 144A | 0.93 | 3-22-2027 | 5,685,442 | 5,486,714 | |
Ondeck Asset Securitization Trust Series 2021-1A Class A 144A | 1.59 | 5-17-2027 | 8,487,858 | 7,895,378 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
OneMain Direct Auto Receivables Trust Series 2021-1A Class A 144A | 0.87% | 7-14-2028 | $11,760,000 | $ 10,989,624 | |
Oscar US Funding Trust Series 2018-2A Class A4 144A | 3.63 | 9-10-2025 | 507,150 | 504,867 | |
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 3,436,333 | 3,403,555 | |
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 9,340,000 | 8,841,781 | |
Santander Drive Auto Receivable Trust Series 2020-4 Class D | 1.48 | 1-15-2027 | 21,370,000 | 20,507,702 | |
Santander Drive Auto Receivable Trust Series 2021-2 Class B | 0.59 | 9-15-2025 | 35,003 | 34,938 | |
SLM Student Loan Trust Series 2003-10A Class A4 (3 Month LIBOR +0.67%) 144A± | 5.44 | 12-17-2068 | 16,002,778 | 15,678,762 | |
SLM Student Loan Trust Series 2004-B Class A3 (3 Month LIBOR +0.33%) ± | 5.10 | 3-15-2024 | 1,743,847 | 1,740,885 | |
SLM Student Loan Trust Series 2013-1 Class A3 (1 Month LIBOR +0.55%) ± | 5.17 | 5-26-2055 | 3,356,748 | 3,246,041 | |
SoFi Consumer Loan Program Trust Series 2021-1 Class A 144A | 0.49 | 9-25-2030 | 724,747 | 708,268 | |
SoFi Professional Loan Program LLC Series 2017-A Class A1 (1 Month LIBOR +0.70%) 144A± | 5.32 | 3-26-2040 | 327,704 | 327,192 | |
SpringCastle America Funding LLC 144A | 1.97 | 9-25-2037 | 2,724,010 | 2,456,482 | |
Taco Bell Funding LLC Series 2016-1A Class A23 144A | 4.97 | 5-25-2046 | 6,460,838 | 6,275,411 | |
Towd Point Asset Trust Series 2018-SL1 Class A (1 Month LIBOR +0.60%) 144A± | 5.11 | 1-25-2046 | 825,537 | 820,785 | |
Voya CLO Limited Series 2017-1A Class A1R (3 Month LIBOR +0.95%) 144A± | 5.74 | 4-17-2030 | 7,410,789 | 7,339,290 | |
Westlake Automobile Receivables Trust Series 2020-3A Class B 144A | 0.78 | 11-17-2025 | 4,480,598 | 4,470,798 | |
Total Asset-backed securities (Cost $243,160,879) | 232,441,832 | ||||
Corporate bonds and notes: 33.89% | |||||
Communication services: 0.23% | |||||
Wireless telecommunication services: 0.23% | |||||
Sprint Spectrum Company 144A | 4.74 | 3-20-2025 | 3,755,813 | 3,712,501 | |
Consumer discretionary: 1.89% | |||||
Hotels, restaurants & leisure: 0.87% | |||||
Las Vegas Sands Corporation | 3.20 | 8-8-2024 | 14,845,000 | 14,286,417 | |
Internet & direct marketing retail: 0.29% | |||||
QVC Incorporated | 4.85 | 4-1-2024 | 5,000,000 | 4,693,800 | |
Textiles, apparel & luxury goods: 0.73% | |||||
Michael Kors USA Incorporated 144A | 4.25 | 11-1-2024 | 12,574,000 | 12,055,323 | |
Consumer staples: 0.42% | |||||
Tobacco: 0.42% | |||||
Philip Morris International Incorporated | 4.88 | 2-13-2026 | 7,000,000 | 6,921,140 | |
Energy: 3.01% | |||||
Energy equipment & services: 0.72% | |||||
Alexander Funding Trust 144A | 1.84 | 11-15-2023 | 12,265,000 | 11,849,603 |
Interest rate | Maturity date | Principal | Value | ||
Oil, gas & consumable fuels: 2.29% | |||||
Energy Transfer Partners LP | 4.20% | 9-15-2023 | $ 4,866,000 | $ 4,832,663 | |
Plains All American Pipeline LP | 3.85 | 10-15-2023 | 8,971,000 | 8,875,897 | |
Sabine Pass Liquefaction LLC | 5.63 | 3-1-2025 | 10,000,000 | 9,988,421 | |
Vistra Operations Company LLC 144A | 3.55 | 7-15-2024 | 14,500,000 | 13,921,925 | |
37,618,906 | |||||
Financials: 17.72% | |||||
Banks: 4.22% | |||||
Bank of America Corporation (U.S. SOFR +0.74%) ± | 0.81 | 10-24-2024 | 12,000,000 | 11,624,864 | |
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53 | 12-6-2025 | 4,500,000 | 4,183,106 | |
Bank of America Corporation (U.S. SOFR +0.67%) ± | 1.84 | 2-4-2025 | 8,000,000 | 7,708,719 | |
Bank of America Corporation (3 Month LIBOR +0.94%) ± | 3.86 | 7-23-2024 | 4,894,000 | 4,857,828 | |
Citigroup Incorporated (U.S. SOFR +0.69%) ± | 0.78 | 10-30-2024 | 8,000,000 | 7,732,751 | |
Citigroup Incorporated (U.S. SOFR +0.67%) ± | 0.98 | 5-1-2025 | 2,000,000 | 1,888,806 | |
JPMorgan Chase & Company (U.S. SOFR +0.49%) ± | 0.77 | 8-9-2025 | 6,000,000 | 5,571,509 | |
JPMorgan Chase & Company (U.S. SOFR +0.54%) ± | 0.82 | 6-1-2025 | 6,280,000 | 5,891,404 | |
JPMorgan Chase & Company (U.S. SOFR +1.46%) ± | 1.51 | 6-1-2024 | 7,250,000 | 7,179,093 | |
JPMorgan Chase & Company (U.S. SOFR +0.92%) ± | 5.47 | 2-24-2026 | 5,000,000 | 5,007,600 | |
Santander Holdings USA Incorporated (U.S. SOFR +1.38%) ± | 4.26 | 6-9-2025 | 7,900,000 | 7,676,057 | |
69,321,737 | |||||
Capital markets: 2.51% | |||||
Goldman Sachs Group Incorporated (U.S. SOFR +0.49%) ± | 0.93 | 10-21-2024 | 8,000,000 | 7,743,341 | |
Morgan Stanley (U.S. SOFR +0.62%) ± | 0.73 | 4-5-2024 | 5,000,000 | 4,974,530 | |
Morgan Stanley (U.S. SOFR +0.56%) ± | 1.16 | 10-21-2025 | 8,000,000 | 7,410,012 | |
Morgan Stanley (U.S. SOFR +1.16%) ± | 3.62 | 4-17-2025 | 10,000,000 | 9,768,599 | |
Morgan Stanley (U.S. SOFR +0.94%) ± | 2.63 | 2-18-2026 | 12,000,000 | 11,318,760 | |
41,215,242 | |||||
Consumer finance: 3.89% | |||||
Bayer US Finance II LLC Company 144A | 3.88 | 12-15-2023 | 10,700,000 | 10,555,690 | |
BMW US Capital LLC 144A | 3.80 | 4-6-2023 | 5,000,000 | 4,993,173 | |
Daimler Finance North America LLC 144A | 1.75 | 3-10-2023 | 1,715,000 | 1,713,778 | |
Daimler Finance North America LLC 144A | 1.13 | 12-14-2023 | 10,780,000 | 10,432,771 | |
Daimler Finance North America LLC 144A | 5.15 | 1-16-2026 | 7,800,000 | 7,712,948 | |
Ford Motor Credit Company LLC | 2.30 | 2-10-2025 | 8,000,000 | 7,351,742 | |
Hyundai Capital America Company 144A | 0.80 | 1-8-2024 | 10,000,000 | 9,596,405 | |
Hyundai Capital America Company 144A | 1.25 | 9-18-2023 | 4,750,000 | 4,634,146 | |
Navient Corporation | 7.25 | 9-25-2023 | 2,400,000 | 2,406,960 | |
Onemain Finance Corporation | 5.63 | 3-15-2023 | 4,550,000 | 4,543,118 | |
63,940,731 | |||||
Diversified financial services: 1.90% | |||||
DAE Funding LLC 144A | 1.55 | 8-1-2024 | 5,250,000 | 4,915,955 | |
Equitable Financial Life 144A | 5.50 | 12-2-2025 | 10,615,000 | 10,558,097 | |
Jackson Financial Incorporated | 1.13 | 11-22-2023 | 5,725,000 | 5,548,453 | |
WEA Finance LLC 144A | 3.75 | 9-17-2024 | 10,766,000 | 10,265,444 | |
31,287,949 | |||||
Insurance: 5.20% | |||||
Athene Global Funding 144A | 1.20 | 10-13-2023 | 5,000,000 | 4,873,544 | |
Athene Global Funding 144A | 2.80 | 5-26-2023 | 5,000,000 | 4,971,902 |
Interest rate | Maturity date | Principal | Value | ||
Insurance (continued) | |||||
Athene Global Funding 144A | 0.91% | 8-19-2024 | $ 5,000,000 | $ 4,622,742 | |
Brighthouse Financial 144A | 0.60 | 6-28-2023 | 6,595,000 | 6,491,115 | |
Brighthouse Financial 144A | 1.75 | 1-13-2025 | 11,340,000 | 10,448,598 | |
GA Global Funding Trust 144A | 1.00 | 4-8-2024 | 20,775,000 | 19,600,494 | |
Met Tower Global Funding 144A | 0.70 | 4-5-2024 | 12,000,000 | 11,385,958 | |
Principal Life Global Funding II 144A | 1.38 | 1-10-2025 | 13,000,000 | 12,039,452 | |
Protective Life Global Funding 144A | 0.47 | 1-12-2024 | 10,000,000 | 9,596,865 | |
Security Benefit Company 144A | 1.25 | 5-17-2024 | 1,665,000 | 1,566,944 | |
85,597,614 | |||||
Health care: 1.35% | |||||
Biotechnology: 0.91% | |||||
Amgen Incorporated %% | 5.25 | 3-2-2025 | 15,000,000 | 14,966,642 | |
Health care providers & services: 0.44% | |||||
HCA Incorporated | 5.25 | 4-15-2025 | 7,360,000 | 7,287,602 | |
Industrials: 1.63% | |||||
Aerospace & defense: 0.53% | |||||
The Boeing Company | 1.43 | 2-4-2024 | 5,000,000 | 4,808,168 | |
The Boeing Company | 4.51 | 5-1-2023 | 4,000,000 | 3,994,280 | |
8,802,448 | |||||
Airlines: 0.78% | |||||
Delta Air Lines Incorporated 144A | 4.50 | 10-20-2025 | 9,166,612 | 8,903,822 | |
Delta Air Lines Pass-Through Certificates Series 2015-B | 4.25 | 1-30-2025 | 3,586,750 | 3,555,995 | |
US Airways Group Incorporated | 3.95 | 5-15-2027 | 388,352 | 367,946 | |
12,827,763 | |||||
Electrical equipment: 0.32% | |||||
Regal Rexnord Corporation 144A | 6.05 | 2-15-2026 | 5,255,000 | 5,212,864 | |
Information technology: 2.06% | |||||
IT services: 0.79% | |||||
Fidelity National Information Services Incorporated | 0.38 | 3-1-2023 | 13,000,000 | 13,000,000 | |
Semiconductors & semiconductor equipment: 1.10% | |||||
Intel Corporation | 4.88 | 2-10-2026 | 10,000,000 | 9,904,069 | |
Marvell Technology Incorporated | 4.20 | 6-22-2023 | 2,800,000 | 2,786,456 | |
Microchip Technology Incorporated | 2.67 | 9-1-2023 | 3,475,000 | 3,421,925 | |
Skyworks Solutions Incorporated « | 0.90 | 6-1-2023 | 2,000,000 | 1,974,401 | |
18,086,851 | |||||
Technology hardware, storage & peripherals: 0.17% | |||||
Western Digital Corporation | 4.75 | 2-15-2026 | 3,000,000 | 2,832,420 | |
Materials: 0.64% | |||||
Chemicals: 0.64% | |||||
Celanese US Holding LLC | 6.05 | 3-15-2025 | 10,600,000 | 10,560,770 | |
Real estate: 1.62% | |||||
Equity REITs: 1.62% | |||||
Camden Property Trust | 4.88 | 6-15-2023 | 3,000,000 | 2,992,079 |
Interest rate | Maturity date | Principal | Value | ||
Equity REITs (continued) | |||||
Piedmont Operating Partnership LP | 4.45% | 3-15-2024 | $10,235,000 | $ 10,086,924 | |
Service Properties Trust | 4.50 | 6-15-2023 | 3,500,000 | 3,497,265 | |
Simon Property Group LP (U.S. SOFR +0.43%) ± | 4.87 | 1-11-2024 | 10,000,000 | 9,975,823 | |
26,552,091 | |||||
Utilities: 3.32% | |||||
Electric utilities: 2.04% | |||||
American Electric Power | 0.75 | 11-1-2023 | 7,000,000 | 6,781,605 | |
Entergy Louisiana LLC | 0.62 | 11-17-2023 | 6,045,000 | 5,844,332 | |
NextEra Energy Capital Company %% | 6.05 | 3-1-2025 | 6,250,000 | 6,288,060 | |
NextEra Energy Operating Partners LP 144A | 4.25 | 7-15-2024 | 2,030,000 | 1,961,488 | |
Oncor Electric Delivery Company | 2.95 | 4-1-2025 | 5,105,000 | 4,861,304 | |
Southern California Edison Company | 0.70 | 4-3-2023 | 7,800,000 | 7,769,022 | |
33,505,811 | |||||
Gas utilities: 0.61% | |||||
Southern California Gas Company (3 Month LIBOR +0.35%) ± | 5.10 | 9-14-2023 | 10,000,000 | 9,985,804 | |
Multi-utilities: 0.67% | |||||
CenterPoint Energy Incorporated | 0.70 | 3-2-2023 | 4,625,000 | 4,625,000 | |
CenterPoint Energy Incorporated (U.S. SOFR +0.65%) ± | 5.21 | 5-13-2024 | 3,840,000 | 3,821,573 | |
CenterPoint Energy Incorporated (3 Month LIBOR +0.50%) ± | 5.28 | 3-2-2023 | 2,665,000 | 2,665,000 | |
11,111,573 | |||||
Total Corporate bonds and notes (Cost $576,424,458) | 557,233,602 |
Shares | |||||
Investment companies: 2.56% | |||||
Exchange-traded funds: 2.56% | |||||
iShares 0-5 Year High Yield Corporate Bond ETF | 417,000 | 17,238,780 | |||
SPDR Portfolio Short Term Corporate Bond ETF | 847,800 | 24,933,798 | |||
Total Investment companies (Cost $44,581,230) | 42,172,578 |
Principal | |||||
Municipal obligations: 0.12% | |||||
Indiana: 0.12% | |||||
Education revenue: 0.12% | |||||
Indiana Secondary Market for Education Loans Incorporated (1 Month LIBOR +0.80%) ± | 1.47 | 2-25-2044 | $ 1,962,821 | 1,939,571 | |
Total Municipal obligations (Cost $1,926,126) | 1,939,571 | ||||
Non-agency mortgage-backed securities: 26.76% | |||||
American Money Management Corporation Series 2014-14A Class A1R2 (3 Month LIBOR +1.02%) 144A± | 5.84 | 7-25-2029 | 5,436,229 | 5,416,903 | |
Angel Oak Mortgage Trust I LLC Series 2019-4 Class A1 144A±± | 2.99 | 7-26-2049 | 69,579 | 69,239 | |
Angel Oak Mortgage Trust I LLC Series 2020-4 Class A1 144A±± | 1.47 | 6-25-2065 | 859,453 | 770,326 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Angel Oak Mortgage Trust I LLC Series 2020-5 Class A2 144A±± | 1.58% | 5-25-2065 | $ 623,421 | $ 566,595 | |
Angel Oak Mortgage Trust I LLC Series 2020-R1 Class A1 144A±± | 0.99 | 4-25-2053 | 2,572,047 | 2,367,347 | |
Black Diamond CLO Limited Series 2017-1A Class A1 (3 Month LIBOR +1.05%) 144A± | 5.87 | 4-24-2029 | 525,718 | 522,302 | |
Bravo Residential Funding Trust Series 2020-RPL1 Class A1 144A±± | 2.50 | 5-26-2059 | 961,623 | 910,517 | |
Bravo Residential Funding Trust Series 2021-HE2 Class A1 (30 Day Average U.S. SOFR +0.75%) 144A± | 5.23 | 11-25-2069 | 6,324,762 | 6,276,781 | |
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A | 2.88 | 7-25-2049 | 1,231,107 | 1,143,016 | |
Carlyle C17 CLO Limited Series C17-A Class A1AR (3 Month LIBOR +1.03%) 144A± | 5.83 | 4-30-2031 | 3,000,000 | 2,984,163 | |
Cascade Funding Mortgage Trust Series 2018-RM2 Class A 144A±± | 4.00 | 10-25-2068 | 498,241 | 481,498 | |
Cascade Funding Mortgage Trust Series 2020-HB4 Class A 144A±± | 0.95 | 12-26-2030 | 2,016,238 | 1,958,819 | |
Cascade Funding Mortgage Trust Series 2021-AL1 Class B 144A | 1.39 | 9-22-2031 | 7,049,353 | 6,708,166 | |
Cascade Funding Mortgage Trust Series 2021-EBO1 Class A 144A±± | 0.98 | 11-25-2050 | 4,077,040 | 3,849,993 | |
Cascade Funding Mortgage Trust Series 2021-HB7 Class A 144A±± | 1.15 | 10-27-2031 | 3,721,119 | 3,491,696 | |
CCG Receivables Trust Series 2022-1 Class A2 144A | 3.91 | 7-16-2029 | 4,610,594 | 4,527,004 | |
CGMS Series 2015-1A Class AR3 (3 Month LIBOR +0.98%) 144A± | 5.79 | 7-20-2031 | 10,991,779 | 10,871,859 | |
CHNGE Mortgage Trust Series 2022-2 Class A1 144A±± | 3.76 | 3-25-2067 | 12,904,175 | 11,997,997 | |
CIFC Funding Limited Series 2018-1A Class A (3 Month LIBOR +1.00%) 144A± | 5.79 | 4-18-2031 | 1,750,000 | 1,725,366 | |
Colt Funding LLC Series 2020-2 Class A1 144A±± | 1.85 | 3-25-2065 | 244,453 | 240,421 | |
Colt Funding LLC Series 2021-1R Class A1 144A±± | 0.86 | 5-25-2065 | 2,611,940 | 2,177,812 | |
Colt Funding LLC Series 2021-HX1 Class A1 144A±± | 1.11 | 10-25-2066 | 11,336,980 | 9,151,529 | |
Commercial Mortgage Trust Series 2014-CR16 Class ASB | 3.65 | 4-10-2047 | 653,793 | 648,678 | |
Commercial Mortgage Trust Series 2014-UBS5 Class A2 | 3.03 | 9-10-2047 | 113,748 | 110,091 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 1A1 ±± | 3.25 | 6-19-2031 | 87,360 | 83,604 | |
Countrywide Home Loans Mortgage Pass-Through Trust Series 2001-HYB1 Class 2A1 ±± | 4.01 | 6-19-2031 | 54,820 | 52,680 | |
Credit Suisse Mortgage Trust Series 2020-AFC1 Class A3 144A±± | 2.51 | 2-25-2050 | 1,650,589 | 1,516,123 | |
Credit Suisse Mortgage Trust Series 2020-SPT1 Class A1 144A | 1.62 | 4-25-2065 | 695,050 | 679,386 | |
Credit Suisse Mortgage Trust Series 2021-NQM2 Class A1 144A±± | 1.18 | 2-25-2066 | 4,315,159 | 3,622,477 | |
Credit Suisse Mortgage Trust Series 2022-NQM1 Class A1 144A±± | 2.27 | 11-25-2066 | 6,410,547 | 5,538,550 | |
CSAIL Commercial Mortgage Trust Series 2018-CX12 Class A2 | 4.14 | 8-15-2051 | 825,009 | 819,787 | |
DBWF Mortgage Trust Series 2018-GLKS Class A (1 Month LIBOR +1.13%) 144A± | 5.73 | 12-19-2030 | 635,000 | 627,831 | |
Dryden Senior Loan Fund Series 2013-30A (3 Month LIBOR +0.82%) 144A± | 5.68 | 11-15-2028 | 4,196,205 | 4,169,190 | |
Dryden Senior Loan Fund Series 2019-80A AR (U.S. SOFR 3 Month +1.25%) 144A± | 5.91 | 1-17-2033 | 11,000,000 | 10,850,741 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Ellington Financial Mortgage Trust Series 2020-1 Class A1 144A±± | 2.01% | 5-25-2065 | $ 327,570 | $ 316,839 | |
Ellington Financial Mortgage Trust Series 2021-1 Class A1 144A±± | 0.80 | 2-25-2066 | 728,263 | 592,167 | |
EquiFirst Mortgage Loan Trust Series 2003-2 Class 3A3 (1 Month LIBOR +1.13%) ± | 5.34 | 9-25-2033 | 196,937 | 192,470 | |
GCAT Series 2022 HX1 Class A1 144A±± | 2.89 | 12-27-2066 | 15,265,993 | 13,615,407 | |
Goldman Sachs Mortgage Securities Trust Series 2013-GC16 Class AAB | 3.81 | 11-10-2046 | 250,856 | 249,510 | |
Goldman Sachs Mortgage Securities Trust Series 2014-GC22 Class A3 | 3.52 | 6-10-2047 | 1,233,338 | 1,209,251 | |
Goldman Sachs Mortgage Securities Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 9-27-2060 | 1,231,428 | 1,118,334 | |
Gracie Point International Funding Series 2022-1A Class A (30 Day Average U.S. SOFR +2.25%) 144A± | 6.77 | 4-1-2024 | 11,999,887 | 11,957,988 | |
GSMPS Mortgage Loan Trust Series 1998-1 Class A 144A±± | 8.00 | 9-19-2027 | 23,717 | 22,198 | |
HGI CRE CLO Limited Series 2021-FL2 Class A (1 Month LIBOR +1.00%) 144A± | 5.59 | 9-17-2036 | 8,070,000 | 7,694,275 | |
Hospitality Mortgage Trust Series 2019 Class A (1 Month LIBOR +1.00%) 144A± | 5.59 | 11-15-2036 | 3,728,874 | 3,696,476 | |
Imperial Fund Mortgage Trust Series 2020-NQM1 Class A1 144A±± | 1.38 | 10-25-2055 | 2,607,849 | 2,293,185 | |
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 2,163,167 | 1,781,262 | |
Imperial Fund Mortgage Trust Series 2021-NQM3 Class A1 144A±± | 1.60 | 11-25-2056 | 6,569,582 | 5,424,559 | |
Imperial Fund Mortgage Trust Series 2022-NQM3 Class A1 144A | 4.38 | 5-25-2067 | 14,065,049 | 13,407,364 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-PHH Class A (1 Month LIBOR +1.21%) 144A± | 5.80 | 6-15-2035 | 3,571,081 | 3,295,192 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-7 Class B2A 144A±± | 3.02 | 2-25-2050 | 2,303,783 | 1,820,674 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-MFP Class A (1 Month LIBOR +0.96%) 144A± | 5.55 | 7-15-2036 | 2,299,009 | 2,273,836 | |
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1 144A±± | 3.00 | 9-25-2059 | 7,946,074 | 7,368,575 | |
Marlette Funding Trust Series 2021-1A Class B 144A | 1.00 | 6-16-2031 | 2,102,013 | 2,083,628 | |
Master Mortgages Trust Series 2002-3 Class 4A1 ±± | 2.84 | 10-25-2032 | 1,607 | 1,513 | |
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 5.54 | 11-15-2038 | 7,976,304 | 7,781,950 | |
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5 Class A (U.S. SOFR 1 Month +0.96%) 144A± | 5.53 | 7-15-2036 | 7,530,320 | 7,331,611 | |
MF1 Multifamily Housing Mortgage Series 2021-FL7 Class A (1 Month LIBOR +1.08%) 144A± | 5.67 | 10-16-2036 | 12,000,000 | 11,776,926 | |
MF1 Multifamily Housing Mortgage Series 2022-FL8 Class A (30 Day Average U.S. SOFR +1.35%) 144A± | 5.78 | 2-19-2037 | 13,025,000 | 12,866,694 | |
MFRA Trust Series 2020-NQM3 Class A1 144A±± | 1.01 | 1-26-2065 | 1,170,308 | 1,071,546 | |
MFRA Trust Series 2021-NQM1 Class A1 144A±± | 1.15 | 4-25-2065 | 3,911,907 | 3,458,334 | |
Mill City Mortgage Loan Trust Series 2017-2 Class A1 144A±± | 2.75 | 7-25-2059 | 556,472 | 547,107 | |
Mill City Mortgage Loan Trust Series 2018-2 Class A1 144A±± | 3.50 | 5-25-2058 | 738,882 | 721,438 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
New Residential Mortgage Loan Series 2021-INV1 Class A6 144A±± | 2.50% | 6-25-2051 | $ 5,619,181 | $ 4,845,386 | |
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 5.37 | 5-25-2055 | 10,000,000 | 9,891,346 | |
Oceanview Mortgage Trust 2021-EBO1 Class 1A 144A | 1.22 | 12-29-2051 | 2,520,282 | 2,416,770 | |
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 5.81 | 3-17-2030 | 11,164,564 | 11,050,652 | |
OneMain Financial Issuance Trust Series 2020-1A Class A 144A | 3.84 | 5-14-2032 | 6,890,267 | 6,851,682 | |
Onslow Bay Financial LLC Series 2020-EXP1 Class 1A8 144A±± | 3.50 | 2-25-2060 | 690,604 | 607,833 | |
Onslow Bay Financial LLC Series 2021-NQM3 Class A1 144A±± | 1.05 | 7-25-2061 | 4,456,288 | 3,436,797 | |
OPG Trust Series 2021-PORT Class A (1 Month LIBOR +0.48%) 144A± | 5.07 | 10-15-2036 | 17,134,353 | 16,636,527 | |
Palmer Square Loan Funding Limited Series 2013-2A Class A1A3 (3 Month LIBOR +1.00%) 144A± | 5.79 | 10-17-2031 | 17,785,000 | 17,609,604 | |
PFS Financing Corporation Series 2020-E Class A 144A | 1.00 | 10-15-2025 | 15,000,000 | 14,568,899 | |
ReadyCap Commercial Mortgage Trust Series 2019-5 Class A 144A | 3.78 | 2-25-2052 | 410,855 | 404,537 | |
Residential Mortgage Loan Trust Series 2019-2 Class A1 144A±± | 2.91 | 5-25-2059 | 257,902 | 253,263 | |
Residential Mortgage Loan Trust Series 2021-1R Class A1 144A±± | 0.86 | 1-25-2065 | 3,000,218 | 2,754,211 | |
Salomon Brothers Mortgage Securities VII Series 1990-2 Class A ±± | 0.85 | 11-25-2049 | 76,387 | 76,053 | |
Sound Point CLO Limited Series 2015-1RA Class AR (3 Month LIBOR +1.08%) 144A± | 5.87 | 4-15-2030 | 10,399,283 | 10,281,158 | |
SPGN TFLM Mortgage Trust Series 2022 Class A (U.S. SOFR 1 Month +1.55%) 144A± | 6.11 | 2-15-2039 | 20,000,000 | 19,146,986 | |
Starwood Mortgage Residential Trust Series 2020-1 Class A3 144A±± | 2.56 | 2-25-2050 | 3,240,031 | 3,084,369 | |
Starwood Mortgage Residential Trust Series 2021-2 Class A1 144A±± | 0.94 | 5-25-2065 | 2,702,828 | 2,488,471 | |
TCI Symphony CLO Series 2016-1A Class AR2 (3 Month LIBOR +1.02%) 144A± | 5.84 | 10-13-2032 | 7,685,000 | 7,604,753 | |
Toorak Mortgage Trust Series 2021-INV2 Class A1 144A±± | 1.97 | 11-25-2056 | 12,893,469 | 10,708,252 | |
Towd Point Mortgage Trust Series 2017-1 Class A1 144A±± | 2.75 | 10-25-2056 | 503,765 | 496,314 | |
Towd Point Mortgage Trust Series 2017-4 Class A1 144A±± | 2.75 | 6-25-2057 | 909,661 | 861,602 | |
Towd Point Mortgage Trust Series 2017-6 Class A1 144A±± | 2.75 | 10-25-2057 | 945,920 | 899,351 | |
Towd Point Mortgage Trust Series 2018-2 Class A1 144A±± | 3.25 | 3-25-2058 | 1,675,071 | 1,604,771 | |
Towd Point Mortgage Trust Series 2018-3 Class A1 144A±± | 3.75 | 5-25-2058 | 3,466,162 | 3,301,852 | |
TPG Real Estate Finance Trust Series 2022-FL5 Class A (30 Day Average U.S. SOFR +1.65%) 144A± | 6.07 | 2-15-2039 | 15,000,000 | 14,599,064 | |
UBS Commercial Mortgage Trust Series 2018-NYCH Class A (1 Month LIBOR +0.85%) 144A± | 5.44 | 2-15-2032 | 3,574,342 | 3,494,107 | |
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 1,291,706 | 1,224,700 | |
Verus Securitization Trust Series 2020-2 Class A1 144A±± | 2.23 | 5-25-2060 | 188,958 | 181,168 | |
Verus Securitization Trust Series 2020-INV1 Class A1 144A±± | 1.98 | 3-25-2060 | 379,189 | 369,695 | |
Verus Securitization Trust Series 2021-1 Class A2 144A±± | 1.05 | 1-25-2066 | 3,618,936 | 2,965,532 |
Interest rate | Maturitydate | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03% | 2-25-2066 | $ 2,023,551 | $ 1,718,338 | |
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 3,604,211 | 3,209,508 | |
Wilshire Funding Corporation Series 1996-3 Class M2 ±± | 7.53 | 8-25-2032 | 78,194 | 79,311 | |
Wilshire Funding Corporation Series 1996-3 Class M3 ±± | 7.53 | 8-25-2032 | 45,384 | 44,498 | |
Wilshire Funding Corporation Series 1998-2 Class M1 (12 Month Treasury Average +2.00%) ± | 4.05 | 12-28-2037 | 72,322 | 71,128 | |
Wind River CLO Limited Series 2013-2A Class AR (3 Month LIBOR +1.00%) 144A± | 5.79 | 10-18-2030 | 16,119,547 | 15,919,278 | |
Zais Matrix CDO Series 2020-14A Class A1AR (3 Month LIBOR +1.20%) 144A± | 5.99 | 4-15-2032 | 11,511,261 | 11,427,608 | |
Total Non-agency mortgage-backed securities (Cost $465,194,219) | 440,084,170 | ||||
Yankee corporate bonds and notes: 13.77% | |||||
Consumer discretionary: 0.30% | |||||
Automobiles: 0.30% | |||||
Nissan Motor Company Limited 144A | 3.04 | 9-15-2023 | 4,500,000 | 4,422,904 | |
Stellantis NV | 5.25 | 4-15-2023 | 530,000 | 528,580 | |
4,951,484 | |||||
Consumer staples: 0.30% | |||||
Beverages: 0.30% | |||||
Coca-Cola Europacific Partners plc 144A | 0.50 | 5-5-2023 | 5,000,000 | 4,955,108 | |
Energy: 0.29% | |||||
Oil, gas & consumable fuels: 0.29% | |||||
Harvest Operations Corporation 144A | 1.00 | 4-26-2024 | 5,000,000 | 4,747,150 | |
Financials: 10.40% | |||||
Banks: 8.23% | |||||
Banco Bilbao Vizcaya Argentaria SA | 0.88 | 9-18-2023 | 5,000,000 | 4,871,399 | |
Banco Santander SA | 3.89 | 5-24-2024 | 10,000,000 | 9,787,238 | |
Banque Fédérative du Crédit Mutuel 144A | 4.94 | 1-26-2026 | 5,000,000 | 4,929,793 | |
Barclays Bank plc (1 Year Treasury Constant Maturity +0.80%) ± | 1.01 | 12-10-2024 | 5,135,000 | 4,944,440 | |
BNP Paribas 144A | 3.50 | 3-1-2023 | 4,000,000 | 4,000,000 | |
Corporación Andina de Fomento | 2.38 | 5-12-2023 | 4,860,000 | 4,829,576 | |
Credit Suisse New York | 3.63 | 9-9-2024 | 8,000,000 | 7,561,536 | |
Danske Bank Class A (1 Year Treasury Constant Maturity +1.45%) 144A± | 3.77 | 3-28-2025 | 16,850,000 | 16,489,307 | |
Deutsche Bank (U.S. SOFR +2.16%) ± | 2.22 | 9-18-2024 | 3,500,000 | 3,421,255 | |
HSBC Holdings plc (U.S. SOFR +0.58%) ± | 1.16 | 11-22-2024 | 10,000,000 | 9,648,062 | |
HSBC Holdings plc (3 Month LIBOR +1.21%) ± | 3.80 | 3-11-2025 | 10,000,000 | 9,789,901 | |
ING Groep NV (U.S. SOFR +1.64%) ± | 3.87 | 3-28-2026 | 4,000,000 | 3,847,853 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +0.68%) ± | 0.85 | 9-15-2024 | 4,000,000 | 3,894,342 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.08%) ± | 5.72 | 2-20-2026 | 5,000,000 | 4,993,040 | |
Mizuho Financial Group Incorporated (U.S. SOFR +0.87%) ± | 0.85 | 9-8-2024 | 6,990,000 | 6,806,293 | |
Mizuho Financial Group Incorporated (U.S. SOFR +1.25%) ± | 1.24 | 7-10-2024 | 2,420,000 | 2,380,755 | |
NatWest Markets plc 144A | 2.38 | 5-21-2023 | 5,290,000 | 5,253,577 | |
Nordea Bank AB 144A | 3.75 | 8-30-2023 | 10,000,000 | 9,918,714 |
Interest rate | Maturitydate | Principal | Value | ||
Banks (continued) | |||||
Sumitomo Mitsui Banking Corporation | 5.46% | 1-13-2026 | $10,000,000 | $ 9,978,045 | |
Toronto-Dominion Bank (U.S. SOFR +0.45%) ± | 4.87 | 9-28-2023 | 3,000,000 | 3,002,310 | |
Toronto-Dominion Bank | 5.10 | 1-9-2026 | 5,000,000 | 4,984,691 | |
135,332,127 | |||||
Capital markets: 0.42% | |||||
UBS AG 144A | 0.38 | 6-1-2023 | 7,000,000 | 6,917,559 | |
Diversified financial services: 0.59% | |||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.15 | 10-29-2023 | 10,000,000 | 9,703,659 | |
Thrifts & mortgage finance: 1.16% | |||||
Nationwide Building Society 144A | 0.55 | 1-22-2024 | 20,000,000 | 19,095,463 | |
Industrials: 0.57% | |||||
Transportation infrastructure: 0.57% | |||||
Sydney Airport Finance Company | 3.90 | 3-22-2023 | 9,265,000 | 9,257,477 | |
Information technology: 0.88% | |||||
Semiconductors & semiconductor equipment: 0.88% | |||||
Renesas Electronics Corporation 144A | 1.54 | 11-26-2024 | 15,670,000 | 14,417,167 | |
Materials: 1.03% | |||||
Chemicals: 1.03% | |||||
Park Aerospace Holdings Company 144A | 4.50 | 3-15-2023 | 4,000,000 | 3,996,673 | |
Syngenta Finance NV 144A | 4.44 | 4-24-2023 | 13,000,000 | 12,966,376 | |
16,963,049 | |||||
Total Yankee corporate bonds and notes (Cost $232,301,379) | 226,340,243 |
Yield | Shares | ||||
Short-term investments: 8.85% | |||||
Investment companies: 5.22% | |||||
Allspring Government Money Market Fund Select Class ♠∞## | 4.39 | 85,784,696 | 85,784,696 | ||
Securities Lending Cash Investments LLC ♠∩∞ | 4.54 | 30,522 | 30,522 | ||
85,815,218 |
Interest rate | Principal | ||||
U.S. Treasury securities: 3.63% | |||||
U.S. Treasury Bill ☼ | 4.51 | 4-18-2023 | $35,000,000 | 34,785,159 | |
U.S. Treasury Bill ☼ | 4.67 | 3-28-2023 | 25,000,000 | 24,915,294 | |
59,700,453 | |||||
Total Short-term investments (Cost $145,514,620) | 145,515,671 | ||||
Total investments in securities (Cost $1,728,344,696) | 101.25% | 1,664,756,907 | |||
Other assets and liabilities, net | (1.25) | (20,504,593) | |||
Total net assets | 100.00% | $1,644,252,314 |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | The coupon of the security is adjusted based on the principal and/or interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. The rate shown is the rate in effect at period end. |
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. |
## | All or a portion of this security is segregated for when-issued securities. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
☼ | Zero coupon security. The rate represents the current yield to maturity. |
%% | 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 |
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 | $90,308,312 | $578,530,368 | $(583,053,984) | $0 | $0 | $ 85,784,696 | 85,784,696 | $ 1,481,593 | ||
Securities Lending Cash Investments LLC | 0 | 96,427,807 | (96,397,288) | 0 | 3 | 30,522 | 30,522 | 72,451 # | ||
$0 | $3 | $85,815,218 | $1,554,044 |
# | 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 | 121 | 6-30-2023 | $ 12,992,561 | $ 12,953,617 | $ 0 | $ (38,944) | |
Long | |||||||
2-Year U.S. Treasury Notes | (998) | 6-30-2023 | (203,816,418) | (203,319,109) | 497,309 | 0 | |
10-Year U.S. Treasury Notes | (330) | 6-21-2023 | (36,908,216) | (36,846,563) | 61,653 | 0 | |
$558,962 | $(38,944) |
Assets | |
Investments in unaffiliated securities (including $29,677 of securities loaned), at value (cost $1,642,529,481) | $ 1,578,941,689 |
Investments in affiliated securities, at value (cost $85,815,215) | 85,815,218 |
Cash | 8,174 |
Cash at broker segregated for futures contracts | 2,919,000 |
Receivable for interest | 7,986,332 |
Receivable for Fund shares sold | 3,452,536 |
Principal paydown receivable | 128,814 |
Receivable for daily variation margin on open futures contracts | 23,391 |
Receivable for securities lending income, net | 50 |
Prepaid expenses and other assets | 93,095 |
Total assets | 1,679,368,299 |
Liabilities | |
Payable for when-issued transactions | 21,255,725 |
Payable for Fund shares redeemed | 12,171,877 |
Dividends payable | 1,289,435 |
Management fee payable | 170,866 |
Administration fees payable | 117,476 |
Payable upon receipt of securities loaned | 30,522 |
Payable for daily variation margin on open futures contracts | 16,429 |
Distribution fee payable | 2,615 |
Accrued expenses and other liabilities | 61,040 |
Total liabilities | 35,115,985 |
Total net assets | $1,644,252,314 |
Net assets consist of | |
Paid-in capital | $ 1,730,239,601 |
Total distributable loss | (85,987,287) |
Total net assets | $1,644,252,314 |
Computation of net asset value and offering price per share | |
Net assets – Class A | $ 187,295,227 |
Shares outstanding – Class A1 | 22,113,953 |
Net asset value per share – Class A | $8.47 |
Maximum offering price per share – Class A2 | $8.64 |
Net assets – Class A2 | $ 53,798,203 |
Shares outstanding – Class A21 | 6,355,964 |
Net asset value per share – Class A2 | $8.46 |
Net assets – Class C | $ 4,585,328 |
Shares outstanding – Class C1 | 542,007 |
Net asset value per share – Class C | $8.46 |
Net assets – Administrator Class | $ 12,759,703 |
Shares outstanding – Administrator Class1 | 1,513,416 |
Net asset value per share – Administrator Class | $8.43 |
Net assets – Institutional Class | $ 1,385,813,853 |
Shares outstanding – Institutional Class1 | 163,733,999 |
Net asset value per share – Institutional Class | $8.46 |
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 | $ 23,130,724 |
Income from affiliated securities | 1,542,161 |
Dividends | 863,352 |
Total investment income | 25,536,237 |
Expenses | |
Management fee | 2,229,098 |
Administration fees | |
Class A | 169,017 |
Class A2 | 57,740 |
Class C | 3,887 |
Administrator Class | 6,871 |
Institutional Class | 627,670 |
Shareholder servicing fees | |
Class A | 263,939 |
Class A2 | 54,131 |
Class C | 6,071 |
Administrator Class | 17,030 |
Distribution fee | |
Class C | 18,212 |
Custody and accounting fees | 25,541 |
Professional fees | 45,067 |
Registration fees | 69,672 |
Shareholder report expenses | 20,482 |
Trustees’ fees and expenses | 10,625 |
Other fees and expenses | 20,404 |
Total expenses | 3,645,457 |
Less: Fee waivers and/or expense reimbursements | |
Fund-level | (831,748) |
Class A | (87,414) |
Class A2 | (28,160) |
Class C | (1,922) |
Administrator Class | (1,198) |
Net expenses | 2,695,015 |
Net investment income | 22,841,222 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (3,818,657) |
Futures contracts | 7,206,612 |
Net realized gains on investments | 3,387,955 |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 5,590,671 |
Affiliated securities | 3 |
Futures contracts | 542,543 |
Net change in unrealized gains (losses) on investments | 6,133,217 |
Net realized and unrealized gains (losses) on investments | 9,521,172 |
Net increase in net assets resulting from operations | $32,362,394 |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 22,841,222 | $ 30,150,890 | ||
Net realized gains on investments | 3,387,955 | 2,203,909 | ||
Net change in unrealized gains (losses) on investments | 6,133,217 | (78,974,874) | ||
Net increase (decrease) in net assets resulting from operations | 32,362,394 | (46,620,075) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | ||||
Class A | (2,364,375) | (2,203,328) | ||
Class A2 | (822,945) | (1,210,667) | ||
Class C | (36,296) | (10,434) | ||
Administrator Class | (154,577) | (144,350) | ||
Institutional Class | (19,367,498) | (27,124,417) | ||
Total distributions to shareholders | (22,745,691) | (30,693,196) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | ||||
Class A | 1,528,324 | 12,812,164 | 5,895,635 | 50,420,825 |
Class A2 | 415,229 | 3,485,249 | 9,904,616 | 84,764,729 |
Class C | 73,616 | 618,057 | 159,424 | 1,346,884 |
Administrator Class | 295,839 | 2,473,013 | 813,408 | 6,904,746 |
Institutional Class | 41,276,356 | 346,532,030 | 273,686,740 | 2,334,975,807 |
365,920,513 | 2,478,412,991 | |||
Reinvestment of distributions | ||||
Class A | 253,343 | 2,129,195 | 232,255 | 1,967,202 |
Class A2 | 98,048 | 822,877 | 142,824 | 1,210,276 |
Class C | 3,749 | 31,486 | 1,082 | 9,096 |
Administrator Class | 18,257 | 152,803 | 16,776 | 141,490 |
Institutional Class | 1,312,791 | 11,027,777 | 1,711,908 | 14,504,288 |
14,164,138 | 17,832,352 | |||
Payment for shares redeemed | ||||
Class A | (8,788,881) | (73,778,784) | (10,433,023) | (88,799,648) |
Class A2 | (6,045,046) | (50,622,637) | (19,219,923) | (163,385,107) |
Class C | (156,686) | (1,314,223) | (263,806) | (2,242,894) |
Administrator Class | (561,419) | (4,701,825) | (1,559,646) | (13,205,778) |
Institutional Class | (99,896,375) | (837,357,887) | (369,065,613) | (3,132,101,475) |
(967,775,356) | (3,399,734,902) | |||
Net decrease in net assets resulting from capital share transactions | (587,690,705) | (903,489,559) | ||
Total decrease in net assets | (578,074,002) | (980,802,830) | ||
Net assets | ||||
Beginning of period | 2,222,326,316 | 3,203,129,146 | ||
End of period | $1,644,252,314 | $ 2,222,326,316 |
Year ended August 31 | ||||||
Class A | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.41 | $8.61 | $8.60 | $8.54 | $8.46 | $8.48 |
Net investment income | 0.09 1 | 0.07 | 0.07 | 0.16 | 0.17 1 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.20) | 0.01 | 0.06 | 0.08 | (0.02) |
Total from investment operations | 0.15 | (0.13) | 0.08 | 0.22 | 0.25 | 0.11 |
Distributions to shareholders from | ||||||
Net investment income | (0.09) | (0.07) | (0.07) | (0.16) | (0.17) | (0.13) |
Net asset value, end of period | $8.47 | $8.41 | $8.61 | $8.60 | $8.54 | $8.46 |
Total return2 | 1.85% | (1.51)% | 0.99% | 2.62% | 3.04% | 1.24% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.67% | 0.65% | 0.66% | 0.77% | 0.80% | 0.80% |
Net expenses | 0.50% | 0.49% | 0.49% | 0.64% | 0.70% | 0.70% |
Net investment income | 2.25% | 0.79% | 0.84% | 1.92% | 2.05% | 1.47% |
Supplemental data | ||||||
Portfolio turnover rate | 14% | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $187,295 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||
Class A2 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 1 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.52 |
Net investment income | 0.10 | 0.07 | 0.07 | 0.03 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.20) | 0.01 | 0.07 |
Total from investment operations | 0.16 | (0.13) | 0.08 | 0.10 |
Distributions to shareholders from | ||||
Net investment income | (0.10) | (0.07) | (0.07) | (0.03) |
Net asset value, end of period | $8.46 | $8.40 | $8.60 | $8.59 |
Total return2 | 1.90% | (1.49)% | 0.97% | 1.22% |
Ratios to average net assets (annualized) | ||||
Gross expenses | 0.57% | 0.62% | 0.65% | 0.66% |
Net expenses | 0.40% | 0.47% | 0.50% | 0.50% |
Net investment income | 2.29% | 0.75% | 0.73% | 1.38% |
Supplemental data | ||||
Portfolio turnover rate | 14% | 77% | 106% | 68% |
Net assets, end of period (000s omitted) | $53,798 | $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 | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 | $8.47 |
Net investment income | 0.06 | 0.01 | 0.01 1 | 0.10 | 0.11 | 0.06 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.19) | 0.01 | 0.05 | 0.08 | (0.01) |
Total from investment operations | 0.12 | (0.18) | 0.02 | 0.15 | 0.19 | 0.05 |
Distributions to shareholders from | ||||||
Net investment income | (0.06) | (0.02) | (0.01) | (0.10) | (0.11) | (0.06) |
Net asset value, end of period | $8.46 | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Total return2 | 1.47% | (2.13)% | 0.28% | 1.73% | 2.27% | 0.60% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 1.42% | 1.38% | 1.40% | 1.51% | 1.55% | 1.55% |
Net expenses | 1.25% | 1.11% * | 1.19% * | 1.40% | 1.45% | 1.45% |
Net investment income | 1.50% | 0.18% | 0.13% | 1.16% | 1.31% | 0.72% |
Supplemental data | ||||||
Portfolio turnover rate | 14% | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $4,585 | $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. Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Administrator Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.37 | $8.57 | $8.56 | $8.51 | $8.43 | $8.45 |
Net investment income | 0.09 | 0.07 1 | 0.07 1 | 0.17 | 0.19 1 | 0.13 |
Net realized and unrealized gains (losses) on investments | 0.06 | (0.20) | 0.01 | 0.05 | 0.08 | (0.01) |
Total from investment operations | 0.15 | (0.13) | 0.08 | 0.22 | 0.27 | 0.12 |
Distributions to shareholders from | ||||||
Net investment income | (0.09) | (0.07) | (0.07) | (0.17) | (0.19) | (0.14) |
Net asset value, end of period | $8.43 | $8.37 | $8.57 | $8.56 | $8.51 | $8.43 |
Total return2 | 1.85% | (1.53)% | 0.98% | 2.61% | 3.19% | 1.39% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.61% | 0.59% | 0.60% | 0.71% | 0.74% | 0.74% |
Net expenses | 0.50% | 0.50% | 0.50% | 0.54% | 0.55% | 0.55% |
Net investment income | 2.26% | 0.77% | 0.82% | 2.03% | 2.20% | 1.54% |
Supplemental data | ||||||
Portfolio turnover rate | 14% | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $12,760 | $14,740 | $21,336 | $15,359 | $13,748 | $15,037 |
1 | Calculated based upon average shares outstanding |
2 | Returns for periods of less than one year are not annualized. |
Year ended August 31 | ||||||
Institutional Class | Six months ended February 28, 2023 (unaudited) | 2022 | 2021 | 2020 | 2019 | 2018 |
Net asset value, beginning of period | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 | $8.48 |
Net investment income | 0.11 | 0.09 | 0.09 | 0.19 | 0.20 | 0.15 |
Net realized and unrealized gains (losses) on investments | 0.05 | (0.20) | 0.02 | 0.05 | 0.08 | (0.02) |
Total from investment operations | 0.16 | (0.11) | 0.11 | 0.24 | 0.28 | 0.13 |
Distributions to shareholders from | ||||||
Net investment income | (0.10) | (0.09) | (0.10) | (0.19) | (0.20) | (0.15) |
Net asset value, end of period | $8.46 | $8.40 | $8.60 | $8.59 | $8.54 | $8.46 |
Total return1 | 1.97% | (1.28)% | 1.23% | 2.83% | 3.40% | 1.59% |
Ratios to average net assets (annualized) | ||||||
Gross expenses | 0.34% | 0.32% | 0.33% | 0.44% | 0.47% | 0.47% |
Net expenses | 0.25% | 0.25% | 0.25% | 0.32% | 0.35% | 0.35% |
Net investment income | 2.48% | 1.01% | 1.03% | 2.25% | 2.41% | 1.80% |
Supplemental data | ||||||
Portfolio turnover rate | 14% | 77% | 106% | 68% | 36% | 55% |
Net assets, end of period (000s omitted) | $1,385,814 | $1,857,572 | $2,706,735 | $1,004,777 | $836,456 | $744,844 |
1 | Returns for periods of less than one year are not annualized. |
Gross unrealized gains | $ 870,040 |
Gross unrealized losses | (64,562,072) |
Net unrealized losses | $(63,692,032) |
■ | 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 | $ 19,029,240 | $0 | $ 19,029,240 |
Asset-backed securities | 0 | 232,441,832 | 0 | 232,441,832 |
Corporate bonds and notes | 0 | 557,233,602 | 0 | 557,233,602 |
Investment companies | 42,172,578 | 0 | 0 | 42,172,578 |
Municipal obligations | 0 | 1,939,571 | 0 | 1,939,571 |
Non-agency mortgage-backed securities | 0 | 440,084,170 | 0 | 440,084,170 |
Yankee corporate bonds and notes | 0 | 226,340,243 | 0 | 226,340,243 |
Short-term investments | ||||
Investment companies | 85,815,218 | 0 | 0 | 85,815,218 |
U.S. Treasury securities | 59,700,453 | 0 | 0 | 59,700,453 |
187,688,249 | 1,477,068,658 | 0 | 1,664,756,907 | |
Futures contracts | 558,962 | 0 | 0 | 558,962 |
Total assets | $188,247,211 | $1,477,068,658 | $0 | $1,665,315,869 |
Liabilities | ||||
Futures contracts | $ 38,944 | $ 0 | $0 | $ 38,944 |
Total liabilities | $ 38,944 | $ 0 | $0 | $ 38,944 |
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 |
Counterparty | Value of securities on loan | Collateral received1 | Net amount |
Bank of America Securities Incorporated | $29,677 | $(29,677) | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936img0a6a8f011.jpg)
P.O. Box 219967
Kansas City, MO 64121-9967
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g466936img820cfe595.jpg)
1-800-222-8222 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR3006 02-23
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g476761img9530e0c91.jpg)
■ | Allspring Managed Account CoreBuilder® Shares – Series CP |
Investment objective | The Fund seeks total return, consisting of current income and capital appreciation. |
Manager | Allspring Funds Management, LLC |
Subadviser | Allspring Global Investments, LLC |
Portfolio managers | Christopher Y. Kauffman, CFA®‡, Janet S. Rilling, CFA®‡, CPA, Michael J. Schueller, CFA®‡, Michal Stanczyk, Noah M. Wise, CFA®‡ |
Average annual total returns (%) as of February 28, 2023 | |||||
Expense ratios (%) | |||||
Inception date | 1 year | Since inception | Gross | Net 1 | |
Allspring Managed Account CoreBuilder Shares - Series CP (WFCPX) | 6-2-2021 | -9.11 | -6.42 | 0.96 | 0.00 |
Bloomberg U.S. Aggregate Bond Index2 | – | -9.72 | -7.03 ¤ | – | – |
¤ | Based on the Fund's inception date. |
1 | Generally, no ordinary fees or expenses are charged to the Fund. Allspring Funds Management, LLC has contractually committed to irrevocably absorb and pay or reimburse all ordinary operating expenses of the Fund, except portfolio transactions or other investment related costs (e.g., commissions), fees payable for services provided by the Fund’s securities lending agent (if any), interest, taxes, leverage expenses and other expenses not incurred in the ordinary course of the Fund’s business. This commitment has an indefinite term. |
2 | The Bloomberg U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment-grade, U.S. dollar–denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities, and commercial mortgage-backed securities. You cannot invest directly in an index. |
‡ | CFA® and Chartered Financial Analyst® are trademarks owned by CFA Institute. |
Credit quality as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g476761imgde7d4b392.jpg)
1 | The credit quality distribution of portfolio holdings reflected in the chart is based on ratings from Standard & Poor’s, Moody’s Investors Service, and/or Fitch Ratings Ltd. Credit quality ratings apply to the underlying holdings of the Fund and not to the Fund itself. The percentages of the portfolio with the ratings depicted in the chart are calculated based on the market value of fixed income securities held by the Fund. If a security was rated by all three rating agencies, the middle rating was utilized. If rated by two of the three rating agencies, the lower rating was utilized, and if rated by one of the rating agencies, that rating was utilized. Standard & Poor’s rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Ratings from A to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standing within the rating categories. Standard & Poor’s rates the creditworthiness of short-term notes from SP-1 (highest) to SP-3 (lowest). Moody’s rates the creditworthiness of bonds, ranging from Aaa (highest) to C (lowest). Ratings Aa to B may be modified by the addition of a number 1 (highest) to 3 (lowest) to show relative standing within the ratings categories. Moody’s rates the creditworthiness of short-term U.S. tax-exempt municipal securities from MIG 1/VMIG 1 (highest) to SG (lowest). Fitch rates the creditworthiness of bonds, ranging from AAA (highest) to D (lowest). Credit quality distribution is subject to change and may have changed since the date specified. |
Effective maturity distribution as of February 28, 20231 |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g476761imga93f1ca83.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 9-1-2022 | Ending account value 2-28-2023 | Expenses paid during the period1 | Annualized net expense ratio | |
Actual | $1,000.00 | $ 994.08 | $0.00 * | 0.00% * |
Hypothetical (5% return before expenses) | $1,000.00 | $1,024.79 | $0.00 * | 0.00% * |
Interest rate | Maturity date | Principal | Value | |||
Agency securities: 14.76% | ||||||
FHLB | 5.50% | 7-15-2036 | $ | 230,000 | $ 257,023 | |
FNMA %% | 5.50 | 3-13-2053 | 1,400,000 | 1,397,594 | ||
FNMA | 6.21 | 8-6-2038 | 95,000 | 111,769 | ||
GNMA %% | 2.00 | 3-21-2053 | 525,000 | 440,005 | ||
GNMA %% | 5.00 | 3-21-2053 | 900,000 | 889,172 | ||
Resolution Funding Corporation STRIPS ¤ | 0.00 | 4-15-2030 | 310,000 | 226,028 | ||
Total Agency securities (Cost $3,376,685) | 3,321,591 | |||||
Asset-backed securities: 16.17% | ||||||
Carvana Auto Receivables Trust Series 2019-2A Class D 144A | 3.28 | 1-15-2025 | 162,308 | 161,333 | ||
DB Master Finance LLC Series 21-1A Class A23 144A | 2.79 | 11-20-2051 | 301,188 | 241,932 | ||
DT Auto Owner Trust Series 2021-3A Class B 144A | 0.58 | 11-17-2025 | 340,000 | 331,521 | ||
ECMC Group Student Loan Trust Series 2018-1A Class A (1 Month LIBOR +0.75%) 144A± | 5.37 | 2-27-2068 | 205,606 | 198,111 | ||
Oak Street Investment Grade Net Lease Fund Series 2021-1A Class A3 144A | 2.80 | 1-20-2051 | 250,000 | 225,209 | ||
OneMain Financial Trust Series 2018-2A Class A 144A | 3.57 | 3-14-2033 | 250,000 | 245,936 | ||
Pagaya AI Debt Selection Trust Series 2021-1 Class A 144A | 1.18 | 11-15-2027 | 35,983 | 35,639 | ||
PFS Financing Corporation Series 2021-A Class A 144A | 0.71 | 4-15-2026 | 300,000 | 283,997 | ||
Taco Bell Funding LLC Series 2016-1A Class A23 144A | 4.97 | 5-25-2046 | 235,625 | 228,863 | ||
Wendy's Funding LLC Series 2021-1A Class A2II 144A | 2.78 | 6-15-2051 | 246,250 | 200,100 | ||
Westlake Automobile Receivable Series 2020-1A Class D 144A | 2.80 | 6-16-2025 | 340,000 | 335,120 | ||
Westlake Automobile Receivable Series 2020-3A Class C 144A | 1.24 | 11-17-2025 | 340,000 | 333,451 | ||
Westlake Automobile Receivable Series 2021-1A Class C 144A | 0.95 | 3-16-2026 | 415,000 | 399,462 | ||
Wingstop Funding LLC Series 2020-1A Class A2 144A | 2.84 | 12-5-2050 | 247,500 | 214,111 | ||
Zaxby's Funding LLC Series 2021-1A Class A2 144A | 3.24 | 7-30-2051 | 246,250 | 203,772 | ||
Total Asset-backed securities (Cost $3,869,215) | 3,638,557 | |||||
Corporate bonds and notes: 14.65% | ||||||
Communication services: 0.55% | ||||||
Media: 0.55% | ||||||
CCO Holdings LLC 144A | 4.50 | 8-15-2030 | 50,000 | 41,126 | ||
CSC Holdings LLC 144A | 4.63 | 12-1-2030 | 60,000 | 32,303 | ||
Scripps Escrow II Incorporated 144A | 5.38 | 1-15-2031 | 70,000 | 49,559 | ||
122,988 | ||||||
Consumer discretionary: 0.99% | ||||||
Diversified consumer services: 0.11% | ||||||
Howard University | 5.21 | 10-1-2052 | 30,000 | 24,512 | ||
Household durables: 0.19% | ||||||
KB Home Company | 4.80 | 11-15-2029 | 50,000 | 43,625 | ||
Specialty retail: 0.69% | ||||||
Michaels Companies Incorporated 144A | 7.88 | 5-1-2029 | 50,000 | 37,625 |
Interest rate | Maturity date | Principal | Value | |||
Specialty retail (continued) | ||||||
NMG Holding Company Incorporated 144A | 7.13% | 4-1-2026 | $ | 50,000 | $ 48,250 | |
Rent-A-Center Incorporated 144A | 6.38 | 2-15-2029 | 80,000 | 68,630 | ||
154,505 | ||||||
Energy: 1.76% | ||||||
Oil, gas & consumable fuels: 1.76% | ||||||
Aethon United 144A | 8.25 | 2-15-2026 | 160,000 | 153,893 | ||
Apache Corporation | 5.35 | 7-1-2049 | 60,000 | 47,525 | ||
Energy Transfer Partners LP | 5.00 | 5-15-2050 | 50,000 | 40,972 | ||
Harvest Midstream LP 144A | 7.50 | 9-1-2028 | 70,000 | 67,505 | ||
Rockies Express Pipeline LLC 144A | 4.95 | 7-15-2029 | 50,000 | 43,495 | ||
Tallgrass Energy Partners LP 144A | 6.00 | 12-31-2030 | 50,000 | 43,117 | ||
396,507 | ||||||
Financials: 4.64% | ||||||
Banks: 1.61% | ||||||
Citigroup Incorporated (5 Year Treasury Constant Maturity +3.60%) ʊ± | 4.00 | 12-10-2025 | 130,000 | 118,950 | ||
Citigroup Incorporated (U.S. SOFR 3 Month +4.78%) ± | 6.25 | 12-29-2049 | 50,000 | 49,815 | ||
Wells Fargo & Company (U.S. SOFR +1.32%) ± | 3.91 | 4-25-2026 | 200,000 | 192,912 | ||
361,677 | ||||||
Capital markets: 0.71% | ||||||
Morgan Stanley (U.S. SOFR +1.20%) ± | 2.51 | 10-20-2032 | 150,000 | 118,723 | ||
Morgan Stanley (U.S. SOFR +2.62%) ± | 5.30 | 4-20-2037 | 45,000 | 41,931 | ||
160,654 | ||||||
Consumer finance: 0.89% | ||||||
OneMain Finance Corporation | 7.13 | 3-15-2026 | 170,000 | 165,259 | ||
PECF USS Intermediate Holding III Corporation 144A | 8.00 | 11-15-2029 | 50,000 | 35,147 | ||
200,406 | ||||||
Insurance: 1.43% | ||||||
Hill City Funding Trust 144A | 4.05 | 8-15-2041 | 100,000 | 70,949 | ||
Maple Grove Funding Trust 144A | 4.16 | 8-15-2051 | 100,000 | 71,444 | ||
MetLife Incorporated | 5.00 | 7-15-2052 | 35,000 | 33,534 | ||
National Life Global Insurance Company (3 Month LIBOR +3.31%) 144A± | 5.25 | 7-19-2068 | 40,000 | 36,722 | ||
OneAmerica Financial Partners Incorporated 144A | 4.25 | 10-15-2050 | 25,000 | 18,189 | ||
Transatlantic Holdings Incorporated | 8.00 | 11-30-2039 | 73,000 | 91,085 | ||
321,923 | ||||||
Health care: 0.10% | ||||||
Pharmaceuticals: 0.10% | ||||||
Bausch Health Companies Incorporated 144A | 5.00 | 1-30-2028 | 50,000 | 21,559 | ||
Industrials: 1.37% | ||||||
Aerospace & defense: 0.30% | ||||||
The Boeing Company | 5.81 | 5-1-2050 | 70,000 | 66,585 |
Interest rate | Maturity date | Principal | Value | |||
Airlines: 0.54% | ||||||
American Airlines Group Incorporated 144A | 5.75% | 4-20-2029 | $ | 80,000 | $ 76,089 | |
Hawaiian Brand Intellectual Property Limited 144A | 5.75 | 1-20-2026 | 50,000 | 46,496 | ||
122,585 | ||||||
Industrial conglomerates: 0.14% | ||||||
General Electric Company (3 Month LIBOR +3.33%) ± | 8.10 | 12-29-2049 | 32,000 | 31,958 | ||
Trading companies & distributors: 0.39% | ||||||
Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 | 10-1-2025 | 38,000 | 37,064 | ||
Fortress Transportation & Infrastructure Investors LLC 144A | 9.75 | 8-1-2027 | 50,000 | 51,371 | ||
88,435 | ||||||
Information technology: 2.03% | ||||||
Electronic equipment, instruments & components: 0.04% | ||||||
Dell International LLC | 8.35 | 7-15-2046 | 8,000 | 9,082 | ||
IT services: 0.27% | ||||||
Fidelity National Information Services Incorporated | 5.63 | 7-15-2052 | 40,000 | 37,366 | ||
Global Payments Incorporated | 5.95 | 8-15-2052 | 25,000 | 23,114 | ||
60,480 | ||||||
Software: 1.72% | ||||||
Fortinet Incorporated | 2.20 | 3-15-2031 | 250,000 | 199,362 | ||
MPH Acquisition Holdings LLC 144A | 5.50 | 9-1-2028 | 60,000 | 45,459 | ||
MPH Acquisition Holdings LLC 144A | 5.75 | 11-1-2028 | 220,000 | 142,982 | ||
387,803 | ||||||
Materials: 1.34% | ||||||
Containers & packaging: 1.34% | ||||||
AptarGroup Incorporated | 3.60 | 3-15-2032 | 250,000 | 210,846 | ||
Clydesdale Acquisition Holdings Incorporated 144A | 8.75 | 4-15-2030 | 100,000 | 90,338 | ||
301,184 | ||||||
Real estate: 1.27% | ||||||
Equity REITs: 1.27% | ||||||
Brandywine Operating Partnership Series 3 | 7.55 | 3-15-2028 | 45,000 | 44,119 | ||
EPR Properties | 3.60 | 11-15-2031 | 25,000 | 18,814 | ||
EPR Properties | 3.75 | 8-15-2029 | 35,000 | 28,526 | ||
Sabra Health Care LP / Sabra Capital Corporation | 5.13 | 8-15-2026 | 125,000 | 118,235 | ||
Service Properties Trust Company | 4.35 | 10-1-2024 | 80,000 | 76,576 | ||
286,270 | ||||||
Utilities: 0.60% | ||||||
Electric utilities: 0.60% | ||||||
Edison International | 6.95 | 11-15-2029 | 100,000 | 104,989 | ||
Oklahoma Gas & Electric Company | 5.40 | 1-15-2033 | 30,000 | 30,104 | ||
135,093 | ||||||
Total Corporate bonds and notes (Cost $3,823,000) | 3,297,831 |
Interest rate | Maturity date | Principal | Value | |||
Foreign corporate bonds and notes : 6.43% | ||||||
Communication services: 1.85% | ||||||
Media: 1.13% | ||||||
SES SA (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +3.19%) | 2.88% | 12-31-2049 | EUR | 100,000 | $ 88,984 | |
Tele Columbus AG 144A | 3.88 | 5-2-2025 | EUR | 100,000 | 84,355 | |
Ziggo Bond Company BV 144A | 3.38 | 2-28-2030 | EUR | 100,000 | 80,121 | |
253,460 | ||||||
Wireless telecommunication services: 0.72% | ||||||
Tele2 AB Company | 0.75 | 3-23-2031 | EUR | 200,000 | 161,320 | |
Consumer discretionary: 0.45% | ||||||
Automobiles: 0.45% | ||||||
Peugeot SA Company | 2.00 | 3-20-2025 | EUR | 100,000 | 101,817 | |
Consumer staples: 0.87% | ||||||
Food products: 0.37% | ||||||
Sigma Holdings Company BV 144A | 5.75 | 5-15-2026 | EUR | 100,000 | 84,687 | |
Tobacco: 0.50% | ||||||
BAT International Finance plc | 2.25 | 1-16-2030 | EUR | 130,000 | 111,766 | |
Energy: 0.40% | ||||||
Oil, gas & consumable fuels: 0.40% | ||||||
Eni SpA | 1.13 | 9-19-2028 | EUR | 100,000 | 90,564 | |
Financials: 1.66% | ||||||
Banks: 0.92% | ||||||
Deutsche Bank (3 Month EURIBOR +2.95%) ± | 5.00 | 9-5-2030 | EUR | 200,000 | 205,259 | |
Consumer finance: 0.74% | ||||||
Abertis Finance BV Company (EUR Swap Annual (vs. 6 Month EURIBOR) 5 Year +2.63%) ʊ | 2.63 | 1-26-2027 | EUR | 100,000 | 87,260 | |
Cellnex Finance Company SA | 2.00 | 9-15-2032 | EUR | 100,000 | 79,705 | |
166,965 | ||||||
Industrials: 0.37% | ||||||
Containers & packaging: 0.37% | ||||||
Can-Pack SA 144A | 2.38 | 11-1-2027 | EUR | 100,000 | 83,940 | |
Materials: 0.40% | ||||||
Paper & forest products: 0.40% | ||||||
Ahlstrom-Munksjo Holding 3 Oy 144A | 3.63 | 2-4-2028 | EUR | 100,000 | 90,055 | |
Utilities: 0.43% | ||||||
Independent power & renewable electricity producers: 0.43% | ||||||
RWE AG | 2.75 | 5-24-2030 | EUR | 100,000 | 96,453 | |
Total Foreign corporate bonds and notes (Cost $1,803,519) | 1,446,286 | |||||
Foreign government bonds : 13.85% | ||||||
Bonos y Obligaciones del Estado ¤ | 0.00 | 1-31-2028 | EUR | 395,000 | 355,290 | |
Brazil ¤ | 0.00 | 7-1-2024 | BRL | 2,900,000 | 470,943 |
Interest rate | Maturity date | Principal | Value | |||
Foreign government bonds (continued) | ||||||
France | 0.75% | 2-25-2028 | EUR | 1,035,000 | $ 980,750 | |
Germany | 1.30 | 10-15-2027 | EUR | 995,000 | 987,812 | |
Malaysia | 3.88 | 3-14-2025 | MYR | 975,000 | 219,479 | |
Mexico | 3.75 | 2-21-2024 | EUR | 100,000 | 103,244 | |
Total Foreign government bonds (Cost $3,248,508) | 3,117,518 | |||||
Non-agency mortgage-backed securities: 19.52% | ||||||
Auburn CLO Limited. Series 2017-1A Class A2A (3 Month LIBOR +1.62%) 144A± | 6.43 | 10-20-2030 | $ | 250,000 | 245,670 | |
BX Trust Series 2019-OC11 Class A 144A | 3.20 | 12-9-2041 | 250,000 | 215,396 | ||
Carlyle Global Market Series 2017-2A Class R2 (3 Month LIBOR +1.60%) 144A± | 6.41 | 7-20-2031 | 250,000 | 239,954 | ||
Cascade Funding Mortgage Trust Series 2018-RM2 Class B 144A±± | 4.00 | 10-25-2068 | 294,508 | 278,694 | ||
Cascade Funding Mortgage Trust Series 2021-HB7 Class M2 144A±± | 2.68 | 10-27-2031 | 250,000 | 228,005 | ||
Dryden Senior Loan Fund Series 2020-78A Class A (3 Month LIBOR +1.18%) 144A± | 5.97 | 4-17-2033 | 400,000 | 395,664 | ||
FREMF Mortgage Trust Series 2019-KF70 Class B (1 Month LIBOR +2.30%) 144A± | 6.87 | 9-25-2029 | 88,488 | 85,608 | ||
Imperial Fund Mortgage Trust Series 2021-NQM1 Class A1 144A±± | 1.07 | 6-25-2056 | 144,597 | 119,068 | ||
JPMorgan Mortgage Trust Series 2020-1 Class A15 144A±± | 3.50 | 6-25-2050 | 87,745 | 77,257 | ||
Madison Park Funding Limited Series 2020-46A Class B1R (3 Month LIBOR +1.65%) 144A± | 6.44 | 10-15-2034 | 500,000 | 489,916 | ||
MF1 Multifamily Housing Mortgage Loan Trust Series 2022-FL8 Class C (30 Day Average U.S. SOFR +2.20%) 144A± | 6.63 | 2-19-2037 | 250,000 | 234,689 | ||
MFRA Trust Series 2020-NQM3 Class M1 144A±± | 2.65 | 1-26-2065 | 250,000 | 200,373 | ||
Neuberger Berman CLO Limited Series 2017-25A Class BR (3 Month LIBOR +1.35%) 144A± | 6.14 | 10-18-2029 | 250,000 | 244,172 | ||
Octagon Investment Partners Series 2017-1A Class A1R (3 Month LIBOR +1.00%) 144A± | 5.81 | 3-17-2030 | 244,837 | 242,339 | ||
Residential Mortgage Loan Trust Series 2019-3 Class A3 144A±± | 3.04 | 9-25-2059 | 45,231 | 44,314 | ||
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1 144A±± | 1.03 | 11-25-2055 | 85,170 | 74,678 | ||
Towd Point Mortgage Trust Series 2019-HY3 Class A2 (1 Month LIBOR +1.30%) 144A± | 5.92 | 10-25-2059 | 150,000 | 144,835 | ||
Towd Point Mortgage Trust Series 2020-4 Class A2 144A | 2.50 | 10-25-2060 | 350,000 | 278,507 | ||
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 85,448 | 76,091 | ||
Verus Securitization Trust Series 2021-R3 Class A2 144A±± | 1.28 | 4-25-2064 | 88,186 | 78,531 | ||
Wind River CLO Limited Series 2018-2A Class A2 (3 Month LIBOR +1.45%) 144A± | 6.24 | 7-15-2030 | 409,000 | 399,287 | ||
Total Non-agency mortgage-backed securities (Cost $4,759,014) | 4,393,048 | |||||
U.S. Treasury securities: 16.46% | ||||||
U.S. Treasury Bond | 2.00 | 8-15-2051 | 110,000 | 73,936 | ||
U.S. Treasury Bond ## | 2.25 | 5-15-2041 | 550,000 | 417,893 | ||
U.S. Treasury Bond | 3.00 | 2-15-2049 | 130,000 | 108,773 | ||
U.S. Treasury Bond | 3.00 | 8-15-2052 | 365,000 | 306,828 |
Interest rate | Maturity date | Principal | Value | |||
U.S. Treasury securities (continued) | ||||||
U.S. Treasury Bond ## | 3.13% | 5-15-2048 | $ | 1,385,000 | $ 1,182,281 | |
U.S. Treasury Note ## | 3.50 | 2-15-2033 | 395,000 | 381,977 | ||
U.S. Treasury Note | 4.00 | 11-15-2042 | 70,000 | 69,005 | ||
U.S. Treasury Note | 4.00 | 11-15-2052 | 185,000 | 188,295 | ||
U.S. Treasury Note ## | 4.13 | 11-15-2032 | 960,000 | 975,300 | ||
Total U.S. Treasury securities (Cost $4,032,403) | 3,704,288 | |||||
Yankee corporate bonds and notes: 5.16% | ||||||
Financials: 3.24% | ||||||
Banks: 2.35% | ||||||
Banco do Brasil SA 144A | 4.88 | 1-11-2029 | 200,000 | 185,940 | ||
Itau Unibanco Holding SA 144A | 3.25 | 1-24-2025 | 200,000 | 190,050 | ||
Macquire Bank Limited (5 Year Treasury Constant Maturity +1.70%) 144A± | 3.05 | 3-3-2036 | 200,000 | 151,976 | ||
527,966 | ||||||
Consumer finance: 0.49% | ||||||
Unifin Financiera SAB de CV 144A† | 9.88 | 1-28-2029 | 250,000 | 9,375 | ||
Volkswagen Financial Services AG | 3.38 | 4-6-2028 | 100,000 | 100,948 | ||
110,323 | ||||||
Insurance: 0.40% | ||||||
Athene Global Funding | 0.37 | 9-10-2026 | 100,000 | 90,131 | ||
Health care: 0.43% | ||||||
Life sciences tools & services: 0.43% | ||||||
Danaher Corporation | 2.50 | 3-30-2030 | 100,000 | 96,151 | ||
Materials: 0.38% | ||||||
Chemicals: 0.38% | ||||||
Westlake Chemical Corporation | 1.63 | 7-17-2029 | 100,000 | 85,874 | ||
Utilities: 1.11% | ||||||
Electric utilities: 1.11% | ||||||
Comision Federal de Electricidad SA de CV 144A | 3.88 | 7-26-2033 | 200,000 | 151,514 | ||
Duke Energy Corporation | 3.10 | 6-15-2028 | 100,000 | 99,435 | ||
250,949 | ||||||
Total Yankee corporate bonds and notes (Cost $1,508,577) | 1,161,394 | |||||
Yankee government bonds: 1.77% | ||||||
Dominican Republic 144A | 4.88 | 9-23-2032 | 230,000 | 192,241 | ||
Mexico | 6.35 | 2-9-2035 | 200,000 | 205,197 | ||
Total Yankee government bonds (Cost $436,149) | 397,438 |
Yield | Shares | Value | ||||
Short-term investments: 1.48% | ||||||
Investment companies: 1.48% | ||||||
Allspring Government Money Market Fund Select Class ♠∞ | 4.39% | 332,295 | $ 332,295 | |||
Total Short-term investments (Cost $332,295) | 332,295 | |||||
Total investments in securities (Cost $27,189,365) | 110.25% | 24,810,246 | ||||
Other assets and liabilities, net | (10.25) | (2,307,280) | ||||
Total net assets | 100.00% | $22,502,966 |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
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 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. |
† | Non-income-earning security |
♠ | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
ʊ | Security is perpetual in nature and has no stated maturity date. The date shown reflects the next call date. |
Abbreviations: | |
BRL | Brazilian real |
EUR | Euro |
EURIBOR | Euro Interbank Offered Rate |
FHLB | Federal Home Loan Bank |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MYR | Malaysian ringgit |
REIT | Real estate investment trust |
SOFR | Secured Overnight Financing Rate |
STRIPS | Separate trading of registered interest and principal securities |
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 | $1,224,726 | $5,840,201 | $(6,732,632) | $0 | $0 | $332,295 | 332,295 | $6,203 |
Currency to be received | Currency to be delivered | Counterparty | Settlement date | Unrealized gains | Unrealized losses | |
2,071,967 USD | 1,945,000 EUR | Citibank NA | 3-31-2023 | $ 11,167 | $ 0 | |
113,224 USD | 105,000 EUR | Citibank NA | 3-31-2023 | 1,973 | 0 | |
495,570 USD | 460,000 EUR | Citibank NA | 3-31-2023 | 8,183 | 0 | |
224,906 USD | 208,000 EUR | Citibank NA | 3-31-2023 | 4,523 | 0 | |
328,526 USD | 300,000 EUR | Citibank NA | 3-31-2023 | 10,665 | 0 | |
49,011 USD | 45,000 EUR | Citibank NA | 3-31-2023 | 1,332 | 0 | |
59,825 USD | 55,000 EUR | Citibank NA | 3-31-2023 | 1,550 | 0 | |
229,750 USD | 210,000 EUR | Citibank NA | 3-31-2023 | 7,247 | 0 | |
187,206 USD | 175,000 EUR | Citibank NA | 3-31-2023 | 1,787 | 0 | |
101,842 USD | 95,000 EUR | Citibank NA | 3-31-2023 | 1,186 | 0 | |
642,150 USD | 600,000 EUR | Citibank NA | 3-31-2023 | 6,428 | 0 | |
113,718 USD | 105,000 EUR | Citibank NA | 3-31-2023 | 2,466 | 0 | |
14,737,254 JPY | 113,718 USD | Citibank NA | 3-31-2023 | 0 | (5,039) | |
$58,507 | $(5,039) |
Description | Number of contracts | Expiration date | Notional cost | Notional value | Unrealized gains | Unrealized losses | |
Long | |||||||
10-Year U.S. Ultra Treasury Notes | 4 | 6-21-2023 | $ 467,710 | $ 468,750 | $ 1,040 | $ 0 | |
U.S. Ultra Treasury Bonds | 2 | 6-21-2023 | 271,561 | 270,125 | 0 | (1,436) | |
2-Year U.S. Treasury Notes | 42 | 6-30-2023 | 8,581,848 | 8,556,516 | 0 | (25,332) | |
5-Year U.S. Treasury Notes | 15 | 6-30-2023 | 1,610,648 | 1,605,820 | 0 | (4,828) | |
Short | |||||||
Euro-BOBL Futures | (4) | 3-8-2023 | (478,187) | (460,720) | 17,467 | 0 | |
Euro-Bund | (5) | 3-8-2023 | (708,754) | (664,550) | 44,204 | 0 | |
Euro-Schatz Futures | (2) | 3-8-2023 | (213,246) | (209,960) | 3,286 | 0 | |
10-Year U.S. Treasury Notes | (21) | 6-21-2023 | (2,348,705) | (2,344,781) | 3,924 | 0 | |
$69,921 | $(31,596) |
Assets | |
Investments in unaffiliated securities, at value (cost $26,857,070) | $ 24,477,951 |
Investments in affiliated securities, at value (cost $332,295) | 332,295 |
Cash at broker segregated for futures contracts | 140,000 |
Receivable for investments sold | 240,020 |
Receivable for interest | 188,749 |
Unrealized gains on forward foreign currency contracts | 58,507 |
Receivable for daily variation margin on open futures contracts | 4,613 |
Receivable from manager | 47 |
Prepaid expenses and other assets | 17,288 |
Total assets | 25,459,470 |
Liabilities | |
Payable for investments purchased | 2,757,074 |
Due to custodian bank, foreign currency, at value (cost $193,786) | 193,786 |
Unrealized losses on forward foreign currency contracts | 5,039 |
Accrued expenses and other liabilities | 605 |
Total liabilities | 2,956,504 |
Total net assets | $22,502,966 |
Net assets consist of | |
Paid-in capital | $ 26,824,305 |
Total distributable loss | (4,321,339) |
Total net assets | $22,502,966 |
Computation of net asset value per share | |
Net assets | $ 22,502,966 |
Share outstanding 1 | 1,352,547 |
Net asset value per share | $16.64 |
1 | The Fund has an unlimited number of authorized shares. |
Investment income | |
Interest | $ 460,226 |
Income from affiliated securities | 6,203 |
Total investment income | 466,429 |
Expenses | |
Custody and accounting fees | 4,734 |
Professional fees | 13,123 |
Registration fees | 19,884 |
Shareholder report expenses | 6,526 |
Trustees’ fees and expenses | 11,716 |
Other fees and expenses | 2,323 |
Total expenses | 58,306 |
Less: Fee waivers and/or expense reimbursements | (58,306) |
Net expenses | 0 |
Net investment income | 466,429 |
Realized and unrealized gains (losses) on investments | |
Net realized gains (losses) on | |
Unaffiliated securities | (1,159,946) |
Foreign currency and foreign currency translations | 1,885 |
Forward foreign currency contracts | 7,525 |
Futures contracts | (134,760) |
Net realized losses on investments | (1,285,296) |
Net change in unrealized gains (losses) on | |
Unaffiliated securities | 744,476 |
Forward foreign currency contracts | (43,895) |
Futures contracts | 29,361 |
Net change in unrealized gains (losses) on investments | 729,942 |
Net realized and unrealized gains (losses) on investments | (555,354) |
Net decrease in net assets resulting from operations | $ (88,925) |
Six months ended February 28, 2023 (unaudited) | Year ended August 31, 2022 | |||
Operations | ||||
Net investment income | $ 466,429 | $ 732,682 | ||
Net realized losses on investments | (1,285,296) | (499,398) | ||
Net change in unrealized gains (losses) on investments | 729,942 | (3,174,526) | ||
Net decrease in net assets resulting from operations | (88,925) | (2,941,242) | ||
Distributions to shareholders from | ||||
Net investment income and net realized gains | (667,062) | (961,294) | ||
Capital share transactions | Shares | Shares | ||
Proceeds from shares sold | 660 | 10,878 | 26,564 | 496,561 |
Reinvestment of distributions | 37,014 | 605,851 | 38,309 | 711,015 |
Net increase in net assets resulting from capital share transactions | 616,729 | 1,207,576 | ||
Total decrease in net assets | (139,258) | (2,694,960) | ||
Net assets | ||||
Beginning of period | 22,642,224 | 25,337,184 | ||
End of period | $22,502,966 | $22,642,224 |
Year ended August 31 | |||
Six months ended February 28, 2023 (unaudited) | 2022 | 2021 1 | |
Net asset value, beginning of period | $17.22 | $20.27 | $20.00 |
Net investment income | 0.35 | 0.57 | 0.14 |
Net realized and unrealized gains (losses) on investments | (0.43) | (2.86) | 0.13 |
Total from investment operations | (0.08) | (2.29) | 0.27 |
Distributions to shareholders from | |||
Net investment income | (0.46) | (0.72) | 0.00 |
Net realized gains | (0.04) | (0.04) | 0.00 |
Total distributions to shareholders | (0.50) | (0.76) | 0.00 |
Net asset value, end of period | $16.64 | $17.22 | $20.27 |
Total return | (0.59)% | (11.59)% | 1.35% |
Ratios to average net assets (annualized) | |||
Gross expenses | 0.53% | 0.96% | 0.83% |
Net expenses2 | 0.00% | 0.00% | 0.00% |
Net investment income | 4.22% | 3.04% | 2.75% |
Supplemental data | |||
Portfolio turnover rate | 88% | 125% | 27% |
Net assets, end of period (000s omitted) | $22,503 | $22,642 | $25,337 |
1 | For the period from June 2, 2021 (commencement of operations) to August 31, 2021 |
2 | 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 | $ 170,733 |
Gross unrealized losses | (5,570,694) |
Net unrealized losses | $(5,399,961) |
■ | 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 | $ 3,321,591 | $0 | $ 3,321,591 |
Asset-backed securities | 0 | 3,638,557 | 0 | 3,638,557 |
Corporate bonds and notes | 0 | 3,297,831 | 0 | 3,297,831 |
Foreign corporate bonds and notes | 0 | 1,446,286 | 0 | 1,446,286 |
Foreign government bonds | 0 | 3,117,518 | 0 | 3,117,518 |
Non-agency mortgage-backed securities | 0 | 4,393,048 | 0 | 4,393,048 |
U.S. Treasury securities | 3,704,288 | 0 | 0 | 3,704,288 |
Yankee corporate bonds and notes | 0 | 1,161,394 | 0 | 1,161,394 |
Yankee government bonds | 0 | 397,438 | 0 | 397,438 |
Short-term investments | ||||
Investment companies | 332,295 | 0 | 0 | 332,295 |
4,036,583 | 20,773,663 | 0 | 24,810,246 | |
Forward foreign currency contracts | 0 | 58,507 | 0 | 58,507 |
Futures contracts | 69,921 | 0 | 0 | 69,921 |
Total assets | $4,106,504 | $20,832,170 | $0 | $24,938,674 |
Liabilities | ||||
Forward foreign currency contracts | $ 0 | $ 5,039 | $0 | $ 5,039 |
Futures contracts | 31,596 | 0 | 0 | 31,596 |
Total liabilities | $ 31,596 | $ 5,039 | $0 | $ 36,635 |
Purchases at cost | Sales proceeds | |||
U.S. government | Non-U.S. government | U.S. government | Non-U.S. government | |
$7,299,893 | $16,071,394 | $6,672,815 | $13,180,041 |
Futures contracts | |
Average notional balance on long futures | $10,833,227 |
Average notional balance on short futures | 5,208,224 |
Forward foreign currency contracts | |
Average contract amounts to buy | $ 285,672 |
Average contract amounts to sell | 2,705,852 |
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 | $ 69,921* | Unrealized losses on futures contracts | $ 31,596* | |
Foreign currency risk | Unrealized gains on forward foreign currency contracts | 58,507 | Unrealized losses on forward foreign currency contracts | 5,039 | |
$128,428 | $36,635 |
Net realized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ (134,760) | $ (134,760) |
Foreign currency risk | 7,525 | 0 | 7,525 |
$7,525 | $(134,760) | $(127,235) |
Net change in unrealized gains (losses) on derivatives | |||
Forward foreign currency contracts | Futures contracts | Total | |
Interest rate risk | $ 0 | $ 29,361 | $ 29,361 |
Foreign currency risk | (43,895) | 0 | (43,895) |
$(43,895) | $29,361 | $(14,534) |
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 | $58,507 | $(5,039) | $0 | $53,468 |
Counterparty | Gross amounts of liabilities in the Statement of Assets and Liabilities | Amounts subject to netting agreements | Collateral pledged | Net amount of liabilities |
Citibank NA | $5,039 | $(5,039) | $0 | $0 |
Name and year of birth | Position held and length of service* | Principal occupations during past five years or longer | Current other public company or investment company directorships |
William R. Ebsworth (Born 1957) | Trustee, since 2015 | Retired. From 1984 to 2013, equities analyst, portfolio manager, research director and chief investment officer at Fidelity Management and Research Company in Boston, Tokyo, and Hong Kong, and retired in 2013 as Chief Investment Officer of Fidelity Strategic Advisers, Inc. where he led a team of investment professionals managing client assets. Prior thereto, Board member of Hong Kong Securities Clearing Co., Hong Kong Options Clearing Corp., the Thailand International Fund, Ltd., Fidelity Investments Life Insurance Company, and Empire Fidelity Investments Life Insurance Company. Audit Committee Chair and Investment Committee Chair of the Vincent Memorial Hospital Foundation (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. Member of the Advisory Board of CEF of East Central Florida. 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 | Distinguished Visiting Fellow at the Hoover Institution since 2022. 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, from 2007-2022. 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 and Chief Executive Officer of Allspring Funds Management, LLC since 2017 and Head of Global Fund Governance of Allspring Global Investments since 2022. Prior thereto, co-president of Galliard Capital Management, LLC, an affiliate of Allspring Funds Management, LLC, from 2019 to 2022 and 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. |
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. |
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) | Chief Legal Officer, since 2022; Secretary, since 2021 | Senior Counsel of the Allspring Legal Department since 2021. Senior Counsel of the Wells Fargo Legal Department from 2018 to 2021. Previously, Counsel for Barings LLC from 2015 to 2018. Prior to joining Barings, Associate at Morgan, Lewis & Bockius LLP from 2008 to 2015. |
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g476761img9530e0c91.jpg)
Attn: Managed Account Services
P.O. Box 1450
Milwaukee, WI 53201
![](https://capedge.com/proxy/N-CSRS/0001193125-23-132101/g476761img7822e96b4.jpg)
1-888-877-9275 or visit the Fund's website at allspringglobal.com. Read the prospectus carefully before you invest or send money.
SAR4903 02-23
ITEM 2. CODE OF ETHICS
=======================
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
=========================================
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
===============================================
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
==============================================
Not applicable.
ITEM 6. INVESTMENTS
====================
A Portfolio of Investments for each series of Allspring Funds Trust is included as part of the report to shareholders filed under Item 1 of this Form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
===============================================================
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
==============================================================================
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMEENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
===================================================================
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
============================================================
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that have been implemented since the registrant’s last provided disclosure in response to the requirements of this Item.
ITEM 11. CONTROLS AND PROCEDURES
==================================
(a) The President and Treasurer have concluded that the Allspring Funds Trust disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) provide reasonable assurances that material information relating to the registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report.
(b) There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the most recent fiscal half-year of the period covered by this report that materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURES OF SECURITIES LENDING ACTIVITES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
====================================================================
Not applicable.
ITEM 13. EXHIBITS
=================
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 26, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the date indicated.
Allspring Funds Trust | ||
By: | /s/ Andrew Owen | |
Andrew Owen | ||
President | ||
Date: April 26, 2023 |
By: | /s/ Jeremy DePalma | |||
Jeremy DePalma | ||||
Treasurer | ||||
Date: April 26, 2023 |