Schedule of investments
Optimum Fixed Income Fund
June 30, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Asset-Backed Securities — 0.03% | |||
SLM Student Loan Trust | |||
Series 2003-11 A6 144A 0.669% (LIBOR03M + 0.55%) 12/15/25 #, • | 116,007 | $115,993 | |
Series 2008-9 A 1.676% (LIBOR03M + 1.50%) 4/25/23 • | 647,593 | 653,061 | |
Total Agency Asset-Backed Securities (cost $764,404) | 769,054 | ||
Agency Collateralized Mortgage Obligations — 3.00% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C03 1M2 3.092% (LIBOR01M + 3.00%) 10/25/29 • | 6,239,502 | 6,433,445 | |
Series 2017-C04 2M2 2.942% (LIBOR01M + 2.85%) 11/25/29 • | 356,344 | 365,146 | |
Series 2018-C01 1M2 2.342% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30 • | 1,074,538 | 1,089,424 | |
Series 2018-C02 2M2 2.292% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30 • | 404,966 | 409,343 | |
Series 2018-C03 1M2 2.242% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 537,868 | 544,429 | |
Series 2018-C05 1M2 2.442% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31 • | 422,423 | 427,487 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 4,301 | 4,655 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 4,209 | 4,916 | |
Fannie Mae REMIC Trust | |||
Series 2004-W11 1A2 6.50% 5/25/44 | 28,700 | 33,671 | |
Series 2004-W15 1A1 6.00% 8/25/44 | 22,270 | 25,545 | |
Fannie Mae REMICs | |||
Series 2011-118 DC 4.00% 11/25/41 | 422,422 | 453,377 | |
Series 1999-19 PH 6.00% 5/25/29 | 40,384 | 45,485 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICs | |||
Series 2001-14 Z 6.00% 5/25/31 | 2,433 | $2,707 | |
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,588,228 | 1,343,527 | |
Series 2008-24 ZA 5.00% 4/25/38 | 5,958,153 | 6,768,706 | |
Series 2009-2 AS 5.609% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39 Σ, • | 346,957 | 55,543 | |
Series 2009-68 SA 6.659% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39 Σ, • | 136,273 | 23,458 | |
Series 2017-40 GZ 3.50% 5/25/47 | 382,887 | 415,688 | |
Series 2017-77 HZ 3.50% 10/25/47 | 511,562 | 537,248 | |
Series 2017-95 FA 0.46% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47 • | 319,693 | 318,999 | |
Freddie Mac REMICs | |||
Series 2165 PE 6.00% 6/15/29 | 35,395 | 40,029 | |
Series 3143 BC 5.50% 2/15/36 | 957,274 | 1,112,534 | |
Series 3289 SA 6.677% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37 Σ, • | 420,724 | 87,196 | |
Series 4676 KZ 2.50% 7/15/45 | 371,738 | 384,348 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA1 M2 3.342% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29 • | 706,361 | 731,769 | |
Series 2017-DNA3 M2 2.592% (LIBOR01M + 2.50%) 3/25/30 • | 315,000 | 322,013 | |
Series 2018-HQA1 M2 2.392% (LIBOR01M + 2.30%) 9/25/30 • | 741,521 | 752,189 |
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Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2019-DNA4 M2 144A 2.042% (LIBOR01M + 1.95%) 10/25/49 #, • | 735,253 | $739,139 | |
Series 2019-HQA4 M2 144A 2.142% (LIBOR01M + 2.05%) 11/25/49 #, • | 682,162 | 684,545 | |
Series 2020-DNA2 M1 144A 0.842% (LIBOR01M + 0.75%, Floor 0.75%) 2/25/50 #, • | 258,780 | 258,780 | |
Series 2020-DNA2 M2 144A 1.942% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #, • | 500,000 | 504,070 | |
Series 2020-DNA6 M2 144A 2.018% (SOFR + 2.00%) 12/25/50 #, • | 3,600,000 | 3,638,304 | |
Series 2020-HQA2 M1 144A 1.192% (LIBOR01M + 1.10%) 3/25/50 #, • | 153,857 | 153,905 | |
Series 2021-DNA1 M2 144A 1.818% (SOFR + 1.80%) 1/25/51 #, • | 7,000,000 | 7,036,453 | |
Series 2021-DNA3 M2 144A 2.118% (SOFR + 2.10%) 10/25/33 #, • | 2,500,000 | 2,553,519 | |
Series 2021-HQA1 M2 144A 2.268% (SOFR + 2.25%) 8/25/33 #, • | 7,000,000 | 7,091,999 | |
Series 2021-HQA2 M2 144A 2.067% (SOFR + 2.05%) 12/25/33 #, =, • | 5,000,000 | 5,015,572 | |
Freddie Mac Structured Agency Credit Risk Trust Series 2018-HQA2 M1 144A 0.842% (LIBOR01M + 0.75%) 10/25/48 #, • | 249,693 | 249,693 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 11,014 | $13,096 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 4,469 | 5,161 | |
GNMA | |||
Series 2008-65 SB 5.907% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38 Σ, • | 348,626 | 49,718 | |
Series 2009-2 SE 5.727% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39 Σ, • | 1,158,136 | 173,780 | |
Series 2011-H21 FT 0.75% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 • | 5,013,432 | 4,996,240 | |
Series 2011-H23 FA 0.807% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61 • | 3,243,436 | 3,273,129 | |
Series 2012-H08 FB 0.707% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62 • | 495,525 | 498,366 | |
Series 2012-H18 NA 0.627% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62 • | 293,337 | 294,881 | |
Series 2012-H29 SA 0.622% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62 • | 3,368,950 | 3,391,169 | |
Series 2013-113 LY 3.00% 5/20/43 | 173,000 | 187,189 | |
Series 2015-H10 FA 0.707% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65 • | 10,555,713 | 10,659,356 | |
Series 2015-H11 FC 0.657% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65 • | 1,299,391 | 1,306,039 |
2 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2015-H12 FB 0.707% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65 • | 5,410,169 | $5,461,817 | |
Series 2015-H20 FB 0.707% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65 • | 1,480,715 | 1,495,971 | |
Series 2015-H30 FD 0.707% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65 • | 87,653 | 88,290 | |
Series 2016-H06 FD 1.027% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65 • | 1,494,084 | 1,522,866 | |
Series 2017-34 DY 3.50% 3/20/47 | 230,000 | 250,462 | |
Series 2017-163 ZK 3.50% 11/20/47 | 3,743,204 | 4,001,741 | |
Total Agency Collateralized Mortgage Obligations (cost $86,149,229) | 88,328,127 | ||
Agency Commercial Mortgage-Backed Securities — 0.38% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 1,070,000 | 1,148,492 | |
FREMF Mortgage Trust | |||
Series 2011-K15 B 144A 5.088% 8/25/44 #, • | 75,000 | 74,981 | |
Series 2012-K18 B 144A 4.316% 1/25/45 #, • | 1,000,000 | 1,018,194 | |
Series 2012-K22 B 144A 3.811% 8/25/45 #, • | 665,000 | 686,665 | |
Series 2013-K24 B 144A 3.627% 11/25/45 #, • | 3,675,000 | 3,799,796 | |
Series 2013-K25 C 144A 3.745% 11/25/45 #, • | 500,000 | 516,692 | |
Series 2014-K716 B 144A 3.847% 8/25/47 #, • | 269,461 | 269,388 |
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities (continued) | |||
FREMF Mortgage Trust | |||
Series 2014-K717 B 144A 3.714% 11/25/47 #, • | 1,225,000 | $1,227,867 | |
Series 2014-K717 C 144A 3.714% 11/25/47 #, • | 1,290,000 | 1,292,332 | |
Series 2016-K53 B 144A 4.158% 3/25/49 #, • | 280,000 | 308,811 | |
Series 2016-K722 B 144A 3.989% 7/25/49 #, • | 425,000 | 447,427 | |
Series 2017-K71 B 144A 3.881% 11/25/50 #, • | 470,000 | 517,408 | |
Total Agency Commercial Mortgage-Backed Securities (cost $10,974,965) | 11,308,053 | ||
Agency Mortgage-Backed Securities — 19.75% | |||
Fannie Mae | |||
5.50% 3/1/37 | 6,078 | 6,666 | |
5.50% 7/1/37 | 2,711 | 2,822 | |
Fannie Mae S.F. 15 yr | |||
2.00% 3/1/36 | 7,616,719 | 7,886,255 | |
2.00% 3/1/36 | 3,893,635 | 4,038,697 | |
2.50% 7/1/36 | 14,497,198 | 15,175,525 | |
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 3,519,344 | 3,592,818 | |
2.00% 4/1/41 | 1,586,988 | 1,612,574 | |
2.00% 5/1/41 | 3,123,167 | 3,176,612 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 3,253,427 | 3,287,154 | |
2.00% 12/1/50 | 2,291,312 | 2,317,882 | |
2.00% 12/1/50 | 3,682,424 | 3,726,260 | |
2.00% 1/1/51 | 1,545,085 | 1,561,853 | |
2.00% 1/1/51 | 3,857,551 | 3,897,540 | |
2.00% 1/1/51 | 1,152,006 | 1,164,337 | |
2.00% 2/1/51 | 1,619,217 | 1,636,002 | |
2.00% 2/1/51 | 1,129,983 | 1,141,697 | |
2.00% 2/1/51 | 1,676,205 | 1,695,659 | |
2.00% 3/1/51 | 3,699,108 | 3,738,601 | |
2.00% 3/1/51 | 3,547,261 | 3,584,067 | |
2.00% 5/1/51 | 1,313,763 | 1,327,381 | |
2.50% 10/1/50 | 1,701,364 | 1,764,772 | |
2.50% 1/1/51 | 3,922,949 | 4,061,302 | |
2.50% 2/1/51 | 4,401,431 | 4,556,660 | |
2.50% 4/1/51 | 4,682,848 | 4,848,002 | |
2.50% 5/1/51 | 1,130,684 | 1,170,561 | |
2.50% 5/1/51 | 1,261,449 | 1,308,868 |
NQ-OPTFI [6/21] 8/21 (1750335) 3
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
3.00% 10/1/42 | 1,618,432 | $1,741,995 | |
3.00% 4/1/43 | 616,715 | 655,260 | |
3.00% 11/1/46 | 2,781,427 | 2,941,859 | |
3.00% 11/1/46 | 3,985,708 | 4,183,957 | |
3.00% 1/1/47 | 2,302,109 | 2,436,603 | |
3.00% 11/1/48 | 957,654 | 1,000,708 | |
3.00% 11/1/48 | 953,005 | 1,001,876 | |
3.00% 10/1/49 | 1,989,529 | 2,079,661 | |
3.00% 12/1/49 | 5,007,381 | 5,314,128 | |
3.00% 3/1/50 | 2,043,187 | 2,143,613 | |
3.00% 3/1/50 | 2,279,549 | 2,413,267 | |
3.00% 3/1/50 | 2,695,530 | 2,834,557 | |
3.00% 6/1/50 | 2,253,866 | 2,350,789 | |
3.00% 7/1/50 | 13,287,606 | 13,876,950 | |
3.00% 7/1/50 | 1,288,155 | 1,345,998 | |
3.00% 8/1/50 | 5,353,834 | 5,593,305 | |
3.00% 9/1/50 | 2,045,611 | 2,134,141 | |
3.00% 5/1/51 | 784,255 | 827,695 | |
3.50% 7/1/47 | 2,659,960 | 2,864,771 | |
3.50% 12/1/47 | 617,815 | 653,455 | |
3.50% 1/1/48 | 1,395,196 | 1,475,924 | |
3.50% 2/1/48 | 2,334,451 | 2,514,053 | |
3.50% 7/1/48 | 1,966,053 | 2,075,494 | |
3.50% 11/1/48 | 1,633,760 | 1,723,045 | |
3.50% 1/1/50 | 3,603,238 | 3,793,784 | |
3.50% 3/1/50 | 1,342,544 | 1,421,736 | |
4.00% 10/1/40 | 11,400 | 12,535 | |
4.00% 11/1/40 | 54,458 | 59,569 | |
4.00% 3/1/46 | 70,257 | 76,065 | |
4.00% 4/1/47 | 730,775 | 798,620 | |
4.00% 6/1/48 | 3,561,597 | 3,886,388 | |
4.00% 9/1/48 | 271,525 | 293,369 | |
4.00% 9/1/48 | 2,389,542 | 2,547,327 | |
4.00% 9/1/48 | 2,301,992 | 2,452,246 | |
4.00% 10/1/48 | 3,446,927 | 3,773,224 | |
4.00% 1/1/49 | 83,645 | 89,111 | |
4.00% 3/1/49 | 244,319 | 260,216 | |
4.00% 6/1/49 | 884,801 | 956,867 | |
4.50% 5/1/35 | 39,272 | 43,012 | |
4.50% 8/1/35 | 68,643 | 75,520 | |
4.50% 9/1/35 | 80,382 | 88,627 | |
4.50% 5/1/39 | 110,432 | 123,175 | |
4.50% 5/1/39 | 130,304 | 144,784 | |
4.50% 6/1/40 | 178,199 | 197,828 | |
4.50% 7/1/40 | 222,530 | 241,625 | |
4.50% 2/1/41 | 768,463 | 848,143 | |
4.50% 4/1/41 | 30,909 | 34,075 | |
4.50% 1/1/42 | 2,656,286 | 2,945,853 | |
4.50% 10/1/45 | 719,569 | 792,835 | |
4.50% 5/1/46 | 171,458 | 190,707 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
4.50% 5/1/46 | 251,738 | $279,170 | |
4.50% 4/1/48 | 955,188 | 1,064,221 | |
4.50% 7/1/48 | 267,148 | 287,436 | |
4.50% 8/1/48 | 198,404 | 213,422 | |
4.50% 9/1/48 | 335,372 | 366,570 | |
4.50% 12/1/48 | 456,110 | 489,393 | |
4.50% 1/1/49 | 3,026,216 | 3,319,576 | |
4.50% 1/1/49 | 1,703,515 | 1,853,166 | |
4.50% 1/1/50 | 1,338,706 | 1,455,263 | |
5.00% 3/1/34 | 1,206 | 1,374 | |
5.00% 4/1/34 | 5,174 | 5,921 | |
5.00% 8/1/34 | 11,288 | 12,901 | |
5.00% 4/1/35 | 2,475 | 2,737 | |
5.00% 12/1/37 | 1,222 | 1,377 | |
5.00% 3/1/38 | 5,963 | 6,553 | |
5.00% 3/1/38 | 59,685 | 68,020 | |
5.00% 6/1/38 | 849 | 932 | |
5.00% 6/1/38 | 1,813 | 1,992 | |
5.00% 2/1/39 | 3,787 | 4,147 | |
5.00% 5/1/40 | 69,491 | 79,042 | |
5.00% 7/1/47 | 493,420 | 564,421 | |
5.50% 12/1/33 | 8,493 | 9,492 | |
5.50% 2/1/35 | 183,095 | 213,026 | |
5.50% 5/1/44 | 5,415,005 | 6,264,232 | |
5.50% 5/1/44 | 534,361 | 618,181 | |
5.50% 5/1/44 | 745,721 | 862,718 | |
5.50% 5/1/44 | 2,248,789 | 2,605,674 | |
6.00% 9/1/36 | 10,658 | 12,038 | |
6.00% 8/1/38 | 29,769 | 33,530 | |
6.00% 12/1/38 | 4,184 | 4,963 | |
6.00% 6/1/41 | 1,348,017 | 1,596,804 | |
6.00% 7/1/41 | 1,783,461 | 2,115,979 | |
6.00% 7/1/41 | 2,787,497 | 3,302,414 | |
6.00% 1/1/42 | 1,142,557 | 1,353,609 | |
6.50% 11/1/33 | 1,705 | 1,925 | |
6.50% 2/1/36 | 28,816 | 33,743 | |
6.50% 3/1/36 | 50,937 | 58,000 | |
6.50% 6/1/36 | 17,365 | 20,917 | |
6.50% 6/1/36 | 31,381 | 36,084 | |
6.50% 2/1/38 | 17,144 | 19,806 | |
6.50% 11/1/38 | 3,298 | 3,898 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 7/1/51 | 17,446,000 | 17,615,008 | |
2.50% 7/1/51 | 29,165,000 | 30,165,269 | |
2.50% 8/1/51 | 41,079,000 | 42,407,649 | |
2.50% 9/1/51 | 30,521,000 | 31,440,207 | |
3.00% 8/1/51 | 100,400,000 | 104,586,600 | |
3.00% 9/1/51 | 55,000,000 | 57,241,894 |
4 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac ARM | |||
2.00% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 • | 13,600 | $13,618 | |
2.43% (LIBOR12M + 2.18%, Cap 10.466%, Floor 2.18%) 5/1/37 • | 61,820 | 66,170 | |
Freddie Mac S.F. 15 yr | |||
1.50% 3/1/36 | 5,532,274 | 5,612,834 | |
2.00% 12/1/35 | 5,730,089 | 5,942,154 | |
3.00% 3/1/35 | 10,592,429 | 11,238,979 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 4,031,263 | 4,115,424 | |
2.00% 4/1/41 | 3,620,240 | 3,695,821 | |
2.50% 6/1/41 | 7,204,185 | 7,497,316 | |
5.50% 10/1/23 | 5,162 | 5,745 | |
5.50% 8/1/24 | 3,148 | 3,503 | |
Freddie Mac S.F. 30 yr | |||
2.50% 10/1/50 | 3,133,854 | 3,277,134 | |
2.50% 11/1/50 | 2,902,222 | 3,010,528 | |
2.50% 2/1/51 | 5,266,128 | 5,508,349 | |
3.00% 11/1/49 | 3,557,242 | 3,714,322 | |
3.00% 12/1/49 | 816,315 | 855,452 | |
3.00% 1/1/50 | 881,781 | 925,756 | |
3.00% 12/1/50 | 234,729 | 249,925 | |
3.00% 5/1/51 | 7,015,796 | 7,545,094 | |
3.50% 8/1/48 | 35,010 | 36,901 | |
3.50% 9/1/48 | 2,528,077 | 2,685,575 | |
3.50% 9/1/48 | 84,457 | 90,010 | |
3.50% 11/1/48 | 6,417,199 | 6,952,826 | |
4.00% 12/1/45 | 637,775 | 702,187 | |
4.00% 7/1/47 | 253,656 | 272,149 | |
4.00% 10/1/47 | 2,356,200 | 2,525,396 | |
4.50% 8/1/48 | 1,369,994 | 1,490,600 | |
4.50% 1/1/49 | 975,560 | 1,075,703 | |
4.50% 3/1/49 | 332,914 | 360,518 | |
4.50% 4/1/49 | 1,219,498 | 1,335,440 | |
4.50% 8/1/49 | 2,501,792 | 2,755,151 | |
5.50% 9/1/41 | 1,910,168 | 2,216,415 | |
6.50% 11/1/33 | 17,090 | 19,580 | |
6.50% 1/1/35 | 48,049 | 57,224 | |
7.00% 1/1/38 | 5,314 | 5,569 | |
GNMA I S.F. 30 yr 3.00% 3/15/50 | 815,440 | 848,389 | |
GNMA II S.F. 30 yr | |||
3.00% 8/20/50 | 1,200,184 | 1,275,445 | |
5.50% 5/20/37 | 64,115 | 73,299 | |
6.00% 4/20/34 | 2,846 | 3,140 | |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
GNMA II S.F. 30 yr TBA 4.00% 8/20/51 | 6,000,000 | $6,343,360 | |
Total Agency Mortgage-Backed Securities (cost $579,141,074) | 581,715,207 | ||
Collateralized Debt Obligations — 4.46% | |||
Adagio V CLO DAC Series V-A ARR 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 10/15/31 #, • | EUR | 1,100,000 | 1,307,008 |
AMMC CLO 16 Series 2015-16A AR2 144A 1.166% (LIBOR03M + 0.98%, Floor 0.98%) 4/14/29 #, • | 1,400,000 | 1,399,649 | |
AMMC CLO 21 Series 2017-21A A 144A 1.426% (LIBOR03M + 1.25%) 11/2/30 #, • | 2,400,000 | 2,406,120 | |
Apex Credit CLO Series 2018-1A A2 144A 1.206% (LIBOR03M + 1.03%) 4/25/31 #, • | 2,400,000 | 2,348,081 | |
Aqueduct European CLO DAC Series 2017-1A AR 144A 0.64% (EUR003M + 0.64%, Floor 0.64%) 7/20/30 #, • | EUR | 1,900,000 | 2,273,798 |
Ares European CLO Series 7A A1RR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 10/15/30 #, • | EUR | 1,300,000 | 1,542,343 |
Ares European CLO X DAC Series 10A AR 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 2,700,000 | 3,200,725 |
Ares European CLO XIV DAC Series 14A A 144A 1.12% (EUR003M + 1.12%, Floor 1.12%) 10/21/33 #, • | EUR | 3,750,000 | 4,457,492 |
NQ-OPTFI [6/21] 8/21 (1750335) 5
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
ASSURANT CLO Series 2018-3A AR 144A 1.141% (LIBOR03M + 1.04%, Floor 1.04%) 10/20/31 #, • | 1,200,000 | $1,200,000 | |
Atlas Senior Loan Fund X Series 2018-10A A 144A 1.274% (LIBOR03M + 1.09%) 1/15/31 #, • | 1,473,303 | 1,474,706 | |
Atrium XII Series 12A AR 144A 1.014% (LIBOR03M + 0.83%) 4/22/27 #, • | 2,264,136 | 2,263,568 | |
Bain Capital Euro DAC Series 2018-2A AR 144A 0.74% (EUR003M + 0.74%, Floor 0.74%) 1/20/32 #, • | EUR | 1,300,000 | 1,544,777 |
Blackrock European CLO VII DAC Series 7A AR 144A 0.62% (EUR003M + 0.62%, Floor 0.62%) 10/15/31 #, • | EUR | 2,200,000 | 2,625,238 |
BlueMountain Fuji EUR CLO III DAC Series 3A A1R 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 1/15/31 #, • | EUR | 1,400,000 | 1,659,705 |
BNPP AM Euro CLO Series 2018-1A AR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/31 #, • | EUR | 250,000 | 299,120 |
Cairn CLO IV Series 2014-4A ARRR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/30/31 #, • | EUR | 1,600,000 | 1,901,949 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Cairn CLO X BV Series 2018-10A AR 144A 0.78% (EUR003M + 0.78%) 10/15/31 #, • | EUR | 1,400,000 | $1,659,635 |
Carlyle Global Market Strategies Series 13-1A A1RR 144A 1.061% (LIBOR03M + 0.95%, Floor 0.95%) 8/14/30 # | 2,500,000 | 2,500,000 | |
Carlyle Global Market Strategies Euro CLO | |||
Series 2014-2A AR1 144A 0.75% (EUR003M + 0.75%, Floor 0.75%) 11/15/31 #, • | EUR | 1,500,000 | 1,770,045 |
Series 2017-3A A1R 144A 0.70% (EUR003M + 0.70%, Floor 0.70%) 1/15/31 #, • | EUR | 1,900,000 | 2,252,362 |
Catamaran CLO Series 2013-1A AR 144A 1.031% (LIBOR03M + 0.85%) 1/27/28 #, • | 1,628,620 | 1,628,381 | |
CFIP CLO Series 2017-1A A 144A 1.41% (LIBOR03M + 1.22%) 1/18/30 #, • | 2,300,000 | 2,299,420 | |
CVC Cordatus Loan Fund VII DAC Series 7A ARR 144A 0.63% (EUR003M + 0.63%, Floor 0.63%) 9/15/31 #, • | EUR | 1,200,000 | 1,421,353 |
Dryden 36 Senior Loan Fund Series 2014-36A AR3 144A 1.204% (LIBOR03M + 1.02%, Floor 1.02%) 4/15/29 #, • | 3,600,000 | 3,603,845 | |
Dryden 52 Euro CLO DAC Series 2017-52A AR 144A 0.86% (EUR003M + 0.86%) 5/15/34 #, • | EUR | 2,200,000 | 2,608,650 |
6 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Dryden XXVII-R Euro CLO Series 2017-27A AR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 4/15/33 #, • | EUR | 2,200,000 | $2,616,296 |
Euro-Galaxy III CLO DAC Series 2013-3A ARRR 144A 0.62% (EUR003M + 0.62%, Floor 0.62%) 4/24/34 #, • | EUR | 4,000,000 | 4,752,529 |
Galaxy XXI CLO Series 2015-21A AR 144A 1.208% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,650,000 | 1,651,204 | |
Harvest CLO XI DAC Series 11A ARR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 6/26/30 #, • | EUR | 1,700,000 | 2,015,319 |
Harvest CLO XVI DAC Series 16A ARR 144A 0.64% (EUR003M + 0.64%, Floor 0.64%) 10/15/31 #, • | EUR | 2,000,000 | 2,368,514 |
Harvest CLO XXI DAC Series 21A A2R 144A 1.04% 7/15/31 # | EUR | 250,000 | 295,898 |
Invesco Euro CLO I DAC Series 1A A1R 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 7/15/31 #, • | EUR | 250,000 | 296,279 |
Jubilee CLO | |||
Series 2014-11A ARR 144A 0.61% (EUR003M + 0.61%, Floor 0.61%) 4/15/30 #, • | EUR | 1,700,000 | 2,015,203 |
Series 2014-12A ARRR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/30 #, • | EUR | 600,000 | 717,617 |
Series 2016-17A A1RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 1,400,000 | 1,674,605 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Jubilee CLO | |||
Series 2016-17A A2RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 500,000 | $598,101 |
Laurelin DAC Series 2016-1A ARR 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 10/20/31 #, • | EUR | 2,100,000 | 2,504,278 |
LCM XV Series 15A AR2 144A 1.188% (LIBOR03M + 1.00%, Floor 1.00%) 7/20/30 #, • | 3,300,000 | 3,299,172 | |
Man GLG Euro CLO Series 6A A 144A 0.90% (EUR003M + 0.90%, Floor 0.90%) 10/15/32 #, • | EUR | 250,000 | 297,622 |
Man GLG Euro CLO III DAC Series 3A AR 144A 0.68% (EUR003M + 0.68%, Floor 0.68%) 10/15/30 #, • | EUR | 1,100,000 | 1,314,214 |
Man GLG Euro CLO V DAC Series 5A A1R 144A 0.69% (EUR003M + 0.69%, Floor 0.69%) 12/15/31 #, • | EUR | 1,900,000 | 2,266,269 |
Man GLG US CLO Series 2018-1A A1R 144A 1.328% (LIBOR03M + 1.14%) 4/22/30 #, • | 3,000,000 | 3,003,204 | |
Marathon CLO Series 2021-16A A1A 144A 1.399% (LIBOR03M + 1.20%, Floor 1.20%) 4/15/34 #, • | 1,250,000 | 1,249,669 | |
Marathon CLO V Series 2013-5A A1R 144A 1.019% (LIBOR03M + 0.87%) 11/21/27 #, • | 443,178 | 441,737 |
NQ-OPTFI [6/21] 8/21 (1750335) 7
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Midocean Credit CLO IX Series 2018-9A A1 144A 1.338% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 1,250,000 | $1,250,961 | |
Mountain View CLO X Series 2015-10A AR 144A 1.008% (LIBOR03M + 0.82%, Floor 0.82%) 10/13/27 #, • | 1,278,072 | 1,278,651 | |
Oak Hill European Credit Partners IV DAC Series 2015-4A A1RE 144A 0.73% (EUR003M + 0.73%, Floor 0.73%) 1/20/32 #, • | EUR | 300,000 | 354,467 |
OCP CLO | |||
Series 2015-9A A1R 144A 0.984% (LIBOR03M + 0.80%) 7/15/27 #, • | 326,306 | 326,362 | |
Series 2015-10A A1R 144A 1.00% (LIBOR03M + 0.82%) 10/26/27 #, • | 1,039,102 | 1,037,792 | |
Series 2017-13A A1A 144A 1.444% (LIBOR03M + 1.26%) 7/15/30 #, • | 1,000,000 | 1,001,043 | |
Octagon Investment Partners 51 Series 2021-1A A 144A 1.285% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/34 #, • | 1,750,000 | 1,749,554 | |
OZLM XVI Series 2017-16A A1R 144A 1.186% (LIBOR03M + 1.03%, Floor 1.03%) 5/16/30 #, • | 2,600,000 | 2,599,345 | |
Palmer Square European Loan Funding DAC Series 2020-2A A 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 2/15/30 #, • | EUR | 1,748,508 | 2,090,763 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Palmer Square Loan Funding Series 2021-3A A1 144A 0.80% (LIBOR03M + 0.80%, Floor 0.80%) 7/20/29 #, • | 700,000 | $700,000 | |
Segovia European CLO Series 2014-1A AR 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 4/15/30 #, • | EUR | 500,000 | 592,621 |
Segovia European CLO DAC Series 2019-6A AR 144A 0.88% (EUR003M + 0.88%, Floor 0.88%) 7/20/32 #, • | EUR | 1,600,000 | 1,897,200 |
Signal Peak CLO 5 Series 2018-5A A 144A 1.286% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 1,800,000 | 1,802,914 | |
Sound Point CLO XIV Series 2016-3A AR2 144A 1.163% (LIBOR03M + 0.99%, Floor 0.99%) 1/23/29 #, • | 6,498,186 | 6,499,401 | |
Sound Point CLO XVI Series 2017-2A AR 144A 1.156% (LIBOR03M + 0.98%) 7/25/30 #, • | 4,400,000 | 4,398,891 | |
Sounds Point CLO IV-R Series 2013-3RA A 144A 1.34% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #, • | 1,000,000 | 999,418 | |
Venture 34 CLO Series 2018-34A A 144A 1.414% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 2,500,000 | 2,503,997 | |
Venture 42 CLO Series 2021-42A A1A 144A 1.311% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, • | 1,300,000 | 1,299,662 |
8 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Venture XVII CLO Series 2014-17A ARR 144A 1.064% (LIBOR03M + 0.88%) 4/15/27 #, • | 338,942 | $338,607 | |
Venture XX CLO Series 2015-20A AR 144A 1.004% (LIBOR03M + 0.82%) 4/15/27 #, • | 614,649 | 614,056 | |
Venture XXIV CLO Series 2016-24A ARR 144A 1.088% (LIBOR03M + 0.90%, Floor 0.90%) 10/20/28 #, • | 491,314 | 491,191 | |
Venture XXVI CLO Series 2017-26A AR 144A 1.288% (LIBOR03M + 1.10%, Floor 1.10%) 1/20/29 #, • | 3,400,000 | 3,399,143 | |
Vibrant CLO VI Series 2017-6A AR 144A 1.085% (LIBOR03M + 0.95%) 6/20/29 #, • | 3,900,000 | 3,899,021 | |
Vibrant CLO VII Series 2017-7A A1R 144A 1.228% (LIBOR03M + 1.04%, Floor 1.04%) 9/15/30 #, • | 4,500,000 | 4,498,866 | |
Z Capital Credit Partners CLO Series 2015-1A A1R 144A 1.134% (LIBOR03M + 0.95%, Floor 0.95%) 7/16/27 #, • | 730,784 | 729,578 | |
Total Collateralized Debt Obligations (cost $132,177,271) | 131,379,204 | ||
Corporate Bonds — 31.83% | |||
Banking — 9.70% | |||
Akbank TAS 144A 6.80% 2/6/26 # | 610,000 | 645,206 | |
Banco Bilbao Vizcaya Argentaria 5.875% 9/24/23 μ, ψ | EUR | 400,000 | 513,430 |
Banco Continental 144A 2.75% 12/10/25 # | 915,000 | 905,406 | |
Banco de Bogota 144A 6.25% 5/12/26 # | 405,000 | 443,995 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Banco de Credito e Inversiones 144A 3.50% 10/12/27 # | 500,000 | $537,505 | |
Banco GNB Sudameris 144A 7.50% 4/16/31 #, μ | 785,000 | 799,405 | |
Banco Industrial 144A 4.875% 1/29/31 #, μ | 695,000 | 727,286 | |
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, μ, ψ | 475,000 | 575,557 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 193,953 | |
Banco Santander | |||
2.958% 3/25/31 | 1,000,000 | 1,031,096 | |
6.25% 9/11/21 μ, ψ | EUR | 1,300,000 | 1,558,454 |
Banco Santander Mexico 144A 5.95% 10/1/28 #, μ | 280,000 | 303,845 | |
Bangkok Bank 144A 5.00% 9/23/25 #, μ, ψ | 480,000 | 507,086 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 500,000 | 515,000 | |
Bank of America | |||
1.898% 7/23/31 μ | 3,095,000 | 3,011,681 | |
2.087% 6/14/29 μ | 5,220,000 | 5,267,329 | |
2.676% 6/19/41 μ | 5,500,000 | 5,345,920 | |
3.55% 3/5/24 μ | 2,100,000 | 2,206,866 | |
3.864% 7/23/24 μ | 2,200,000 | 2,346,269 | |
3.974% 2/7/30 μ | 3,400,000 | 3,860,156 | |
4.125% 1/22/24 | 200,000 | 217,835 | |
4.30% 1/28/25 μ, ψ | 900,000 | 931,725 | |
Bank of China 144A 5.00% 11/13/24 # | 455,000 | 508,258 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 890,000 | 954,614 | |
Bank of New York Mellon 4.70% 9/20/25 μ, ψ | 2,560,000 | 2,800,000 |
NQ-OPTFI [6/21] 8/21 (1750335) 9
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Barclays | |||
1.536% (LIBOR03M + 1.38%) 5/16/24 • | 1,800,000 | $1,833,755 | |
2.667% 3/10/32 μ | 1,025,000 | 1,031,534 | |
3.375% 4/2/25 μ | EUR | 500,000 | 646,112 |
4.61% 2/15/23 μ | 700,000 | 717,998 | |
4.972% 5/16/29 μ | 3,000,000 | 3,515,877 | |
5.20% 5/12/26 | 2,979,000 | 3,410,255 | |
6.375% 12/15/25 μ, ψ | GBP | 500,000 | 775,484 |
7.125% 6/15/25 μ, ψ | GBP | 1,800,000 | 2,850,981 |
7.25% 3/15/23 μ, ψ | GBP | 700,000 | 1,047,029 |
Barclays Bank 7.625% 11/21/22 | 439,000 | 478,970 | |
BBVA Bancomer 144A 5.125% 1/18/33 #, μ | 410,000 | 428,327 | |
BBVA USA 3.875% 4/10/25 | 1,145,000 | 1,262,218 | |
BDO Unibank 2.125% 1/13/26 | 795,000 | 820,082 | |
BNP Paribas | |||
144A 2.871% 4/19/32 #, μ | 300,000 | 308,304 | |
144A 3.052% 1/13/31 #, μ | 2,600,000 | 2,744,671 | |
144A 4.705% 1/10/25 #, μ | 1,600,000 | 1,746,852 | |
144A 7.375% 8/19/25 #, μ, ψ | 700,000 | 816,420 | |
7.375% 8/19/25 μ, ψ | 500,000 | 583,157 | |
Citigroup | |||
3.20% 10/21/26 | 1,000,000 | 1,084,287 | |
4.00% 12/10/25 μ, ψ | 1,400,000 | 1,450,750 | |
4.044% 6/1/24 μ | 1,800,000 | 1,918,022 | |
4.05% 7/30/22 | 150,000 | 155,877 | |
4.075% 4/23/29 μ | 3,400,000 | 3,859,902 | |
Cooperatieve Rabobank | |||
3.75% 7/21/26 | 1,350,000 | 1,487,533 | |
4.375% 8/4/25 | 2,000,000 | 2,234,800 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 1,105,000 | $1,150,254 | |
3.80% 6/9/23 | 2,300,000 | 2,438,396 | |
144A 3.869% 1/12/29 #, μ | 1,065,000 | 1,173,803 | |
144A 4.194% 4/1/31 #, μ | 4,045,000 | 4,549,930 | |
144A 4.207% 6/12/24 #, μ | 410,000 | 436,845 | |
144A 4.50% 9/3/30 #, μ, ψ | 820,000 | 815,818 | |
144A 5.25% 2/11/27 #, μ, ψ | 885,000 | 938,100 | |
144A 6.25% 12/18/24 #, μ, ψ | 2,000,000 | 2,194,778 | |
144A 6.375% 8/21/26 #, μ, ψ | 1,900,000 | 2,119,383 | |
Credit Suisse Group Funding Guernsey 3.80% 9/15/22 | 3,350,000 | 3,486,837 | |
Deutsche Bank | |||
2.129% 11/24/26 μ | 700,000 | 710,787 | |
3.547% 9/18/31 μ | 4,135,000 | 4,406,309 | |
3.729% 1/14/32 μ | 3,115,000 | 3,173,558 | |
3.961% 11/26/25 μ | 5,700,000 | 6,166,071 | |
4.25% 10/14/21 | 2,000,000 | 2,021,760 | |
5.00% 2/14/22 | 3,100,000 | 3,185,105 | |
Development Bank of Kazakhstan 144A 2.95% 5/6/31 # | 300,000 | 299,220 | |
Development Bank of Mongolia 144A 7.25% 10/23/23 # | 415,000 | 448,523 | |
Emirates NBD Bank 2.625% 2/18/25 | 495,000 | 518,512 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 1,201,000 | 1,270,457 | |
3.65% 1/25/24 | 790,000 | 846,530 | |
3.95% 3/14/28 | 1,119,000 | 1,288,764 | |
Fifth Third Bank 3.85% 3/15/26 | 835,000 | 926,793 | |
Goldman Sachs Group | |||
0.523% 3/8/23 | 700,000 | 700,681 | |
0.673% 3/8/24 μ | 700,000 | 701,381 | |
1.431% 3/9/27 μ | 2,000,000 | 1,995,222 | |
1.542% 9/10/27 μ | 6,235,000 | 6,225,175 | |
3.20% 2/23/23 | 2,200,000 | 2,295,973 | |
4.223% 5/1/29 μ | 4,700,000 | 5,363,938 | |
Hana Bank 144A 1.25% 12/16/26 # | 770,000 | 763,388 |
10 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
HSBC Holdings | |||
1.155% (LIBOR03M + 1.00%) 5/18/24 • | 1,000,000 | $1,013,520 | |
1.589% 5/24/27 μ | 2,200,000 | 2,205,896 | |
2.848% 6/4/31 μ | 2,700,000 | 2,805,075 | |
4.00% 3/9/26 μ, ψ | 400,000 | 407,500 | |
4.30% 3/8/26 | 200,000 | 225,751 | |
4.70% 3/9/31 μ, ψ | 500,000 | 520,000 | |
5.875% 9/28/26 μ, ψ | GBP | 500,000 | 777,229 |
6.00% 5/22/27 μ, ψ | 800,000 | 890,000 | |
ICICI Bank 144A 4.00% 3/18/26 # | 535,000 | 579,414 | |
ING Groep 6.875% 4/16/22 μ, ψ | 200,000 | 208,313 | |
Intesa Sanpaolo | |||
144A 4.00% 9/23/29 # | 1,300,000 | 1,427,719 | |
7.75% 1/11/27 μ, ψ | EUR | 200,000 | 290,943 |
Itau Unibanco Holding 144A 3.875% 4/15/31 #, μ | 470,000 | 468,094 | |
JPMorgan Chase & Co. | |||
1.076% (LIBOR03M + 0.90%) 4/25/23 • | 1,000,000 | 1,007,323 | |
2.58% 4/22/32 μ | 5,940,000 | 6,100,518 | |
3.22% 3/1/25 μ | 500,000 | 531,326 | |
3.328% 4/22/52 μ | 1,160,000 | 1,240,390 | |
4.005% 4/23/29 μ | 900,000 | 1,018,776 | |
4.023% 12/5/24 μ | 4,730,000 | 5,107,485 | |
4.60% 2/1/25 μ, ψ | 1,185,000 | 1,229,497 | |
5.00% 8/1/24 μ, ψ | 400,000 | 423,030 | |
Lloyds Banking Group | |||
2.438% 2/5/26 μ | 300,000 | 312,999 | |
2.858% 3/17/23 μ | 2,900,000 | 2,949,873 | |
3.50% 4/1/26 μ | EUR | 200,000 | 266,977 |
Mitsubishi UFJ Financial Group | |||
1.179% (LIBOR03M + 1.06%) 9/13/21 • | 1,354,000 | 1,356,720 | |
2.193% 2/25/25 | 1,700,000 | 1,769,911 | |
2.559% 2/25/30 | 1,800,000 | 1,876,684 | |
3.218% 3/7/22 | 500,000 | 510,260 | |
Mizrahi Tefahot Bank 144A 3.077% 4/7/31 #, μ | 555,000 | 562,978 | |
Mizuho Financial Group | |||
1.259% (LIBOR03M + 1.14%) 9/13/21 • | 1,900,000 | 1,904,061 | |
2.226% 5/25/26 μ | 1,600,000 | 1,656,940 | |
2.591% 5/25/31 μ | 2,000,000 | 2,058,696 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Morgan Stanley | |||
1.593% 5/4/27 μ | 1,050,000 | $1,057,888 | |
1.794% 2/13/32 μ | 90,000 | 86,555 | |
2.188% 4/28/26 μ | 3,705,000 | 3,848,652 | |
3.625% 1/20/27 | 4,000,000 | 4,438,956 | |
5.00% 11/24/25 | 2,075,000 | 2,394,096 | |
Nationwide Building Society | |||
144A 3.766% 3/8/24 #, μ | 800,000 | 840,453 | |
144A 4.302% 3/8/29 #, μ | 5,200,000 | 5,878,026 | |
Natwest Group | |||
1.626% (LIBOR03M + 1.47%) 5/15/23 • | 1,000,000 | 1,010,701 | |
3.498% 5/15/23 μ | 500,000 | 513,078 | |
4.80% 4/5/26 | 5,000,000 | 5,727,352 | |
5.125% 5/12/27 μ, ψ | GBP | 500,000 | 746,384 |
8.625% 8/15/21 μ, ψ | 5,900,000 | 5,956,315 | |
Oversea-Chinese Banking 144A 4.25% 6/19/24 # | 660,000 | 719,055 | |
PNC Bank | |||
2.70% 11/1/22 | 250,000 | 257,466 | |
4.05% 7/26/28 | 2,400,000 | 2,779,949 | |
PNC Financial Services Group 2.60% 7/23/26 | 2,845,000 | 3,034,987 | |
QNB Finance 2.625% 5/12/25 | 1,160,000 | 1,215,650 | |
Santander UK 3.75% 11/15/21 | 200,000 | 202,645 | |
Santander UK Group Holdings | |||
3.823% 11/3/28 μ | 3,200,000 | 3,520,957 | |
7.375% 6/24/22 μ, ψ | GBP | 2,200,000 | 3,218,202 |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 410,000 | 429,071 | |
Societe Generale | |||
144A 4.25% 4/14/25 # | 3,600,000 | 3,910,935 | |
144A 7.375% 9/13/21 #, μ, ψ | 700,000 | 708,001 | |
Standard Chartered 144A 7.50% 4/2/22 #, μ, ψ | 500,000 | 522,115 | |
Sumitomo Mitsui Financial Group 1.474% 7/8/25 | 2,600,000 | 2,627,479 |
NQ-OPTFI [6/21] 8/21 (1750335) 11
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
SVB Financial Group | |||
1.80% 2/2/31 | 775,000 | $742,507 | |
4.10% 2/15/31 μ, ψ | 2,390,000 | 2,425,838 | |
Swedbank 6.00% 3/17/22 μ, ψ | 400,000 | 412,494 | |
Truist Bank 2.636% 9/17/29 μ | 5,182,000 | 5,432,498 | |
Truist Financial | |||
1.887% 6/7/29 μ | 3,485,000 | 3,498,953 | |
4.95% 9/1/25 μ, ψ | 1,465,000 | 1,612,965 | |
UBS | |||
5.125% 5/15/24 | 200,000 | 220,920 | |
7.625% 8/17/22 | 500,000 | 538,014 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 400,000 | 397,499 | |
144A 3.126% 8/13/30 #, μ | 2,000,000 | 2,146,087 | |
144A 4.125% 9/24/25 # | 2,940,000 | 3,282,285 | |
7.125% 8/10/21 μ, ψ | 540,000 | 543,375 | |
UniCredit | |||
144A 4.086% (LIBOR03M + 3.90%) 1/14/22 #, • | 2,200,000 | 2,239,874 | |
7.50% 6/3/26 μ, ψ | EUR | 600,000 | 845,426 |
144A 7.83% 12/4/23 # | 2,900,000 | 3,361,854 | |
9.25% 6/3/22 μ, ψ | EUR | 200,000 | 254,445 |
US Bancorp | |||
1.45% 5/12/25 | 1,565,000 | 1,601,262 | |
3.375% 2/5/24 | 2,915,000 | 3,122,797 | |
3.60% 9/11/24 | 1,275,000 | 1,390,397 | |
3.95% 11/17/25 | 2,820,000 | 3,174,945 | |
US Bank 3.40% 7/24/23 | 815,000 | 864,030 | |
Virgin Money UK | |||
3.375% 4/24/26 μ | GBP | 100,000 | 147,238 |
4.00% 9/25/26 μ | GBP | 800,000 | 1,212,383 |
4.00% 9/3/27 μ | GBP | 100,000 | 153,533 |
Wells Fargo & Co. | |||
3.196% 6/17/27 μ | 900,000 | 971,891 | |
3.584% 5/22/28 μ | 5,300,000 | 5,842,656 | |
3.90% 3/15/26 μ, ψ | 3,380,000 | 3,501,426 | |
285,815,823 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry — 1.33% | |||
AngloGold Ashanti Holdings 3.75% 10/1/30 | 595,000 | $616,289 | |
Braskem Netherlands Finance 4.50% 1/10/28 | 800,000 | 843,960 | |
Corp Nacional del Cobre de Chile | |||
144A 3.15% 1/14/30 # | 246,000 | 258,506 | |
144A 4.25% 7/17/42 # | 200,000 | 226,798 | |
CSN Inova Ventures 144A 6.75% 1/28/28 # | 525,000 | 581,306 | |
Equate Petrochemical | |||
144A 2.625% 4/28/28 # | 385,000 | 389,774 | |
144A 4.25% 11/3/26 # | 445,000 | 495,366 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 360,000 | 392,742 | |
144A 7.50% 4/1/25 # | 2,740,000 | 2,849,970 | |
GC Treasury Center 144A 4.30% 3/18/51 # | 635,000 | 697,161 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 925,000 | 949,368 | |
144A 2.10% 4/30/27 # | 735,000 | 758,886 | |
144A 2.30% 4/30/30 # | 1,660,000 | 1,698,151 | |
8.00% 1/15/24 | 2,242,000 | 2,656,796 | |
Gold Fields Orogen Holdings BVI 144A 6.125% 5/15/29 # | 715,000 | 849,992 | |
ICL Group 144A 6.375% 5/31/38 # | 390,000 | 499,200 | |
INEOS Styrolution Group 144A 2.25% 1/16/27 # | EUR | 500,000 | 586,650 |
International Flavors & Fragrances 144A 3.268% 11/15/40 # | 1,685,000 | 1,731,767 | |
LyondellBasell Industries 4.625% 2/26/55 | 2,615,000 | 3,159,409 | |
Methanex 5.25% 12/15/29 | 2,515,000 | 2,713,056 |
12 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Metinvest 144A 7.65% 10/1/27 # | 616,000 | $685,208 | |
Minera Mexico 144A 4.50% 1/26/50 # | 480,000 | 538,646 | |
Newmont | |||
2.25% 10/1/30 | 2,615,000 | 2,610,208 | |
2.80% 10/1/29 | 3,850,000 | 4,066,139 | |
OCP | |||
144A 3.75% 6/23/31 # | 500,000 | 506,125 | |
144A 4.50% 10/22/25 # | 320,000 | 347,530 | |
144A 6.875% 4/25/44 # | 210,000 | 256,835 | |
Olin 5.625% 8/1/29 | 705,000 | 776,046 | |
Orbia Advance 144A 5.875% 9/17/44 # | 360,000 | 438,129 | |
Phosagro OAO via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 380,000 | 396,300 | |
Sasol Financing USA | |||
4.375% 9/18/26 | 580,000 | 601,028 | |
5.875% 3/27/24 | 1,255,000 | 1,343,496 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 495,000 | 518,082 | |
Suzano Austria 3.125% 1/15/32 | 445,000 | 441,271 | |
Vale Overseas 3.75% 7/8/30 | 575,000 | 612,921 | |
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 1,575,000 | 1,549,320 | |
Volcan Cia Minera 144A 4.375% 2/11/26 # | 615,000 | 610,861 | |
39,253,292 | |||
Brokerage — 0.31% | |||
Charles Schwab | |||
4.00% 6/1/26 μ, ψ | 950,000 | 992,750 | |
5.375% 6/1/25 μ, ψ | 2,495,000 | 2,763,961 | |
Jefferies Group | |||
4.15% 1/23/30 | 2,205,000 | 2,475,502 | |
6.45% 6/8/27 | 331,000 | 412,485 | |
6.50% 1/20/43 | 880,000 | 1,218,385 | |
XP 144A 3.25% 7/1/26 # | 1,355,000 | 1,341,450 | |
9,204,533 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods — 0.75% | |||
Abertis Infraestructuras Finance 3.248% 11/24/25 μ, ψ | EUR | 1,500,000 | $1,843,047 |
Aeropuertos Argentina 2000 PIK 144A 6.875% 2/1/27 #, > | 695,986 | 604,788 | |
ATP Tower Holdings 144A 4.05% 4/27/26 # | 650,000 | 670,085 | |
Bioceanico Sovereign Certificate 144A 2.884% 6/5/34 #, ^ | 573,288 | 425,242 | |
Boeing 1.95% 2/1/24 | 2,000,000 | 2,049,091 | |
Caterpillar 2.60% 4/9/30 | 25,000 | 26,677 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 1,645,000 | 1,642,055 | |
Cemex | |||
144A 3.875% 7/11/31 # | 400,000 | 407,100 | |
144A 5.125% 6/8/26 #, μ, ψ | 500,000 | 516,725 | |
Heathrow Funding 144A 4.875% 7/15/23 # | 200,000 | 200,293 | |
HTA Group 144A 7.00% 12/18/25 # | 755,000 | 806,257 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 454,000 | 488,189 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 565,000 | 590,425 | |
Klabin Austria 144A 5.75% 4/3/29 # | 450,000 | 514,937 | |
Otis Worldwide | |||
3.112% 2/15/40 | 1,173,000 | 1,214,586 | |
3.362% 2/15/50 | 202,000 | 213,069 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 1,680,000 | 1,850,100 | |
Rolls-Royce 144A 5.75% 10/15/27 # | 1,000,000 | 1,102,780 | |
Rutas 2 and 7 Finance 144A 3.169% 9/30/36 #, ^ | 410,000 | 297,937 | |
Standard Industries | |||
144A 3.375% 1/15/31 # | 1,083,000 | 1,038,121 | |
144A 5.00% 2/15/27 # | 309,000 | 320,394 |
NQ-OPTFI [6/21] 8/21 (1750335) 13
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Teledyne Technologies | |||
2.25% 4/1/28 | 1,980,000 | $2,017,449 | |
2.75% 4/1/31 | 1,730,000 | 1,778,471 | |
TransDigm 144A 6.25% 3/15/26 # | 748,000 | 790,075 | |
UltraTech Cement 144A 2.80% 2/16/31 # | 660,000 | 639,641 | |
22,047,534 | |||
Communications — 3.93% | |||
Alibaba Group Holding 2.70% 2/9/41 | 750,000 | 717,630 | |
Altice Financing 144A 5.00% 1/15/28 # | 2,040,000 | 2,005,289 | |
Altice France 2.125% 2/15/25 | EUR | 1,900,000 | 2,200,545 |
Altice France Holding 144A 6.00% 2/15/28 # | 1,550,000 | 1,545,629 | |
Amazon.com | |||
1.20% 6/3/27 | 620,000 | 618,484 | |
1.50% 6/3/30 | 1,000,000 | 978,384 | |
AT&T | |||
144A 2.55% 12/1/33 # | 2,673,000 | 2,650,856 | |
3.10% 2/1/43 | 1,264,000 | 1,241,042 | |
3.50% 6/1/41 | 1,680,000 | 1,748,239 | |
144A 3.50% 9/15/53 # | 1,590,000 | 1,599,838 | |
B2W Digital 144A 4.375% 12/20/30 # | 835,000 | 837,827 | |
British Telecommunications 144A 3.25% 11/8/29 # | 1,700,000 | 1,807,783 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 500,000 | 521,232 | |
144A 5.00% 2/1/28 # | 900,000 | 945,000 | |
Charter Communications Operating | |||
4.40% 12/1/61 | 4,235,000 | 4,559,306 | |
4.464% 7/23/22 | 4,330,000 | 4,483,377 | |
4.908% 7/23/25 | 430,000 | 487,429 | |
5.05% 3/30/29 | 3,800,000 | 4,494,374 | |
Clear Channel Outdoor Holdings 144A 7.75% 4/15/28 # | 420,000 | 440,498 | |
Comcast | |||
3.20% 7/15/36 | 1,830,000 | 1,968,618 | |
3.70% 4/15/24 | 2,970,000 | 3,222,167 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Connect Finco 144A 6.75% 10/1/26 # | 1,740,000 | $1,842,242 | |
CSC Holdings 144A 4.625% 12/1/30 # | 890,000 | 874,300 | |
Digicel Group Holdings PIK 10.00% 4/1/24 >> | 356,977 | 344,858 | |
Discovery Communications | |||
4.00% 9/15/55 | 5,585,000 | 5,922,369 | |
4.125% 5/15/29 | 5,735,000 | 6,431,189 | |
Fox 3.666% 1/25/22 | 900,000 | 917,792 | |
JD.com 3.875% 4/29/26 | 525,000 | 579,539 | |
Level 3 Financing 144A 3.625% 1/15/29 # | 1,165,000 | 1,125,879 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 270,000 | 311,371 | |
Prosus 144A 3.832% 2/8/51 # | 620,000 | 579,246 | |
Sable International Finance 144A 5.75% 9/7/27 # | 245,000 | 258,145 | |
Sprint | |||
7.25% 9/15/21 | 300,000 | 305,060 | |
7.625% 3/1/26 | 200,000 | 244,526 | |
Sprint Spectrum 144A 4.738% 9/20/29 # | 1,373,438 | 1,477,132 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | 395,000 | 415,540 | |
Tencent Holdings | |||
144A 1.098% (LIBOR03M + 0.91%) 4/11/24 #, • | 200,000 | 200,804 | |
144A 2.88% 4/22/31 # | 370,000 | 383,042 | |
144A 3.68% 4/22/41 # | 400,000 | 429,623 | |
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 3,100,014 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,415,000 | 1,599,689 |
14 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
T-Mobile USA | |||
1.50% 2/15/26 | 2,915,000 | $2,945,622 | |
2.55% 2/15/31 | 550,000 | 557,700 | |
3.00% 2/15/41 | 3,550,000 | 3,515,104 | |
3.30% 2/15/51 | 1,500,000 | 1,499,400 | |
3.50% 4/15/25 | 895,000 | 972,471 | |
3.75% 4/15/27 | 1,255,000 | 1,389,768 | |
3.875% 4/15/30 | 1,400,000 | 1,569,750 | |
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 700,000 | 774,606 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 585,000 | 624,936 | |
VEON Holdings 144A 3.375% 11/25/27 # | 760,000 | 766,764 | |
Verizon Communications | |||
1.256% (LIBOR03M + 1.10%) 5/15/25 • | 3,200,000 | 3,302,048 | |
2.10% 3/22/28 | 1,630,000 | 1,665,282 | |
2.55% 3/21/31 | 1,840,000 | 1,882,115 | |
3.40% 3/22/41 | 930,000 | 984,997 | |
3.55% 3/22/51 | 915,000 | 978,914 | |
4.125% 3/16/27 | 1,500,000 | 1,709,397 | |
4.50% 8/10/33 | 6,325,000 | 7,567,398 | |
ViacomCBS | |||
4.375% 3/15/43 | 2,945,000 | 3,415,809 | |
4.95% 1/15/31 | 1,955,000 | 2,358,786 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 1,885,000 | 1,854,412 | |
Vodafone Group | |||
4.25% 9/17/50 | 1,070,000 | 1,252,064 | |
4.875% 6/19/49 | 4,385,000 | 5,540,982 | |
VTR Comunicaciones 144A 4.375% 4/15/29 # | 685,000 | 685,788 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 725,000 | 741,414 | |
Ziggo Bond | |||
144A 3.375% 2/28/30 # | EUR | 500,000 | 586,353 |
144A 5.125% 2/28/30 # | 300,000 | 307,649 | |
115,865,436 | |||
Consumer Cyclical — 2.04% | |||
BMW US Capital 144A 3.40% 8/13/21 # | 300,000 | 301,097 | |
Carnival 144A 7.625% 3/1/26 # | 1,748,000 | 1,900,950 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Daimler Finance North America | |||
144A 1.056% (LIBOR03M + 0.90%) 2/15/22 #, • | 1,100,000 | $1,105,978 | |
144A 2.00% 7/6/21 # | 400,000 | 400,081 | |
144A 2.20% 10/30/21 # | 200,000 | 201,288 | |
144A 3.40% 2/22/22 # | 500,000 | 510,076 | |
144A 3.75% 11/5/21 # | 300,000 | 303,491 | |
Ford Motor Credit | |||
1.355% 2/7/25 | EUR | 200,000 | 237,474 |
1.416% (LIBOR03M + 1.27%) 3/28/22 • | 400,000 | 399,093 | |
1.744% 7/19/24 | EUR | 100,000 | 120,518 |
2.33% 11/25/25 | EUR | 200,000 | 245,586 |
2.386% 2/17/26 | EUR | 500,000 | 616,464 |
2.748% 6/14/24 | GBP | 100,000 | 140,490 |
2.90% 2/16/28 | 765,000 | 762,334 | |
3.25% 9/15/25 | EUR | 1,000,000 | 1,273,080 |
3.55% 10/7/22 | 1,500,000 | 1,542,188 | |
4.535% 3/6/25 | GBP | 1,100,000 | 1,633,972 |
4.542% 8/1/26 | 5,205,000 | 5,675,272 | |
5.125% 6/16/25 | 600,000 | 661,500 | |
Future Retail 144A 5.60% 1/22/25 # | 565,000 | 430,813 | |
General Motors | |||
5.00% 10/1/28 | 939,000 | 1,102,037 | |
5.40% 10/2/23 | 685,000 | 754,698 | |
6.125% 10/1/25 | 685,000 | 811,382 | |
6.60% 4/1/36 | 982,000 | 1,349,644 | |
General Motors Financial | |||
2.35% 1/8/31 | 540,000 | 533,339 | |
4.35% 4/9/25 | 875,000 | 967,568 | |
5.20% 3/20/23 | 231,000 | 248,801 | |
5.25% 3/1/26 | 2,570,000 | 2,969,751 | |
5.70% 9/30/30 μ, ψ | 1,780,000 | 1,998,050 | |
Grupo Axo 144A 5.75% 6/8/26 # | 435,000 | 435,594 | |
Hilton Domestic Operating | |||
144A 3.625% 2/15/32 # | 700,000 | 692,188 | |
144A 4.00% 5/1/31 # | 2,300,000 | 2,323,460 | |
NQ-OPTFI [6/21] 8/21 (1750335) 15
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Hilton Grand Vacations Borrower Escrow 144A 5.00% 6/1/29 # | 900,000 | $921,375 | |
Hyundai Capital America 144A 3.50% 11/2/26 # | 470,000 | 509,077 | |
Kia 144A 1.00% 4/16/24 # | 605,000 | 608,502 | |
Marriott International 3.50% 10/15/32 | 900,000 | 957,249 | |
McDonald's 0.614% (LIBOR03M + 0.43%) 10/28/21 • | 2,300,000 | 2,302,954 | |
MGM China Holdings 144A 4.75% 2/1/27 # | 525,000 | 536,146 | |
MGM Resorts International 4.75% 10/15/28 | 1,215,000 | 1,293,368 | |
Nemak 144A 3.625% 6/28/31 # | 600,000 | 604,170 | |
Nissan Motor | |||
144A 3.043% 9/15/23 # | 1,800,000 | 1,878,162 | |
144A 4.345% 9/17/27 # | 600,000 | 660,067 | |
144A 4.81% 9/17/30 # | 600,000 | 678,019 | |
Nissan Motor Acceptance | |||
144A 2.80% 1/13/22 # | 200,000 | 202,281 | |
144A 3.65% 9/21/21 # | 300,000 | 302,019 | |
144A 3.875% 9/21/23 # | 3,000,000 | 3,176,659 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 1,270,000 | 1,331,659 | |
Sands China | |||
3.80% 1/8/26 | 400,000 | 428,688 | |
4.375% 6/18/30 | 490,000 | 531,581 | |
5.40% 8/8/28 | 1,800,000 | 2,091,942 | |
Scientific Games International 144A 8.25% 3/15/26 # | 1,890,000 | 2,029,350 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 1,225,000 | 1,238,781 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Toyota Industries 144A 3.11% 3/12/22 # | 1,600,000 | $1,628,489 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 570,000 | 635,208 | |
Volkswagen Group of America Finance | |||
144A 0.994% (LIBOR03M + 0.86%) 9/24/21 #, • | 1,500,000 | 1,502,828 | |
144A 4.00% 11/12/21 # | 500,000 | 507,025 | |
Wolverine World Wide 144A 5.00% 9/1/26 # | 400,000 | 411,610 | |
Wynn Macau 144A 5.625% 8/26/28 # | 440,000 | 460,077 | |
60,075,543 | |||
Consumer Non-Cyclical — 3.28% | |||
AbbVie | |||
2.85% 5/14/23 | 900,000 | 936,909 | |
2.95% 11/21/26 | 2,650,000 | 2,850,483 | |
3.20% 5/14/26 | 500,000 | 542,549 | |
3.25% 10/1/22 | 300,000 | 308,493 | |
3.45% 3/15/22 | 1,000,000 | 1,016,926 | |
3.75% 11/14/23 | 1,200,000 | 1,287,767 | |
4.05% 11/21/39 | 3,193,000 | 3,713,617 | |
Amgen 2.20% 2/21/27 | 3,300,000 | 3,429,017 | |
Anheuser-Busch InBev Worldwide 4.50% 6/1/50 | 2,240,000 | 2,730,659 | |
Auna 144A 6.50% 11/20/25 # | 690,000 | 714,933 | |
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 556,415 | |
BAT Capital 2.259% 3/25/28 | 1,500,000 | 1,490,357 | |
BAT International Finance 1.668% 3/25/26 | 1,065,000 | 1,065,223 | |
Bausch Health 144A 6.25% 2/15/29 # | 3,257,000 | 3,225,407 | |
Bellis Acquisition 144A 3.25% 2/16/26 # | GBP | 3,300,000 | 4,579,155 |
Biogen 3.15% 5/1/50 | 3,195,000 | 3,144,619 | |
Boston Scientific | |||
3.375% 5/15/22 | 400,000 | 410,816 | |
4.00% 3/1/29 | 3,300,000 | 3,757,062 |
16 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Centene | |||
3.375% 2/15/30 | 1,000,000 | $1,046,675 | |
144A 5.375% 8/15/26 # | 745,000 | 779,564 | |
Coty 144A 5.00% 4/15/26 # | 1,700,000 | 1,728,509 | |
CVS Health | |||
3.75% 4/1/30 | 780,000 | 874,005 | |
4.30% 3/25/28 | 6,944,000 | 7,983,727 | |
4.78% 3/25/38 | 1,030,000 | 1,269,043 | |
5.05% 3/25/48 | 5,000 | 6,506 | |
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ♦ | 67,664 | 80,243 | |
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,564,760 | |
Equifax 1.026% (LIBOR03M + 0.87%) 8/15/21 • | 700,000 | 700,639 | |
Gilead Sciences 4.15% 3/1/47 | 3,305,000 | 3,902,044 | |
Global Payments | |||
2.65% 2/15/25 | 1,839,000 | 1,939,183 | |
3.20% 8/15/29 | 2,150,000 | 2,304,401 | |
HCA | |||
4.125% 6/15/29 | 3,400,000 | 3,831,431 | |
7.58% 9/15/25 | 30,000 | 36,300 | |
IHS Markit 3.625% 5/1/24 | 600,000 | 645,165 | |
Imperial Brands Finance 144A 3.75% 7/21/22 # | 470,000 | 482,338 | |
International Container Terminal Services 4.75% 6/17/30 | 745,000 | 834,516 | |
JBS USA Food 144A 5.75% 1/15/28 # | 385,000 | 412,420 | |
Kernel Holding 144A 6.50% 10/17/24 # | 375,000 | 403,613 | |
MHP 144A 7.75% 5/10/24 # | 520,000 | 566,107 | |
NBM US Holdings 144A 6.625% 8/6/29 # | 495,000 | 557,370 | |
New York and Presbyterian Hospital 4.063% 8/1/56 | 690,000 | 863,643 | |
Pernod Ricard 144A 4.25% 7/15/22 # | 150,000 | 155,768 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 1,458,000 | 1,554,665 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Prime Security Services Borrower 144A 6.25% 1/15/28 # | 3,020,000 | $3,216,360 | |
Rede D'or Finance 144A 4.50% 1/22/30 # | 710,000 | 729,791 | |
Regeneron Pharmaceuticals 1.75% 9/15/30 | 825,000 | 782,768 | |
Royalty Pharma 144A 1.75% 9/2/27 # | 7,625,000 | 7,510,115 | |
StoneCo 144A 3.95% 6/16/28 # | 855,000 | 854,162 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 1,315,000 | 1,305,632 | |
3.025% 7/9/40 | 985,000 | 996,254 | |
3.175% 7/9/50 | 985,000 | 997,667 | |
Tenet Healthcare | |||
144A 4.25% 6/1/29 # | 1,790,000 | 1,814,613 | |
144A 6.125% 10/1/28 # | 1,815,000 | 1,939,309 | |
Teva Pharmaceutical Finance Netherlands II 1.125% 10/15/24 | EUR | 300,000 | 334,204 |
Teva Pharmaceutical Finance Netherlands III 6.75% 3/1/28 | 720,000 | 790,380 | |
Ulker Biskuvi Sanayi 144A 6.95% 10/30/25 # | 600,000 | 651,762 | |
United Rentals North America 3.875% 2/15/31 | 869,000 | 885,294 | |
Universal Health Services 144A 5.00% 6/1/26 # | 210,000 | 216,069 | |
Viatris | |||
144A 1.65% 6/22/25 # | 320,000 | 324,063 | |
144A 2.30% 6/22/27 # | 265,000 | 270,762 | |
144A 2.70% 6/22/30 # | 1,940,000 | 1,963,257 | |
144A 4.00% 6/22/50 # | 450,000 | 476,714 | |
Zimmer Biomet Holdings 3.15% 4/1/22 | 300,000 | 304,811 | |
96,647,029 | |||
Energy — 3.55% | |||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 330,000 | 390,063 |
NQ-OPTFI [6/21] 8/21 (1750335) 17
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
BP Capital Markets 4.875% 3/22/30 μ, ψ | 2,465,000 | $2,712,733 | |
Chevron USA 3.90% 11/15/24 | 565,000 | 620,236 | |
CNX Resources 144A 6.00% 1/15/29 # | 2,785,000 | 3,015,083 | |
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 1,737,000 | 1,821,679 | |
Ecopetrol | |||
5.375% 6/26/26 | 300,000 | 331,155 | |
6.875% 4/29/30 | 635,000 | 767,245 | |
Enable Midstream Partners 4.95% 5/15/28 | 700,000 | 801,956 | |
Energean Israel Finance 144A 4.875% 3/30/26 # | 405,000 | 415,792 | |
Energy Transfer | |||
5.00% 10/1/22 | 1,500,000 | 1,563,968 | |
5.25% 4/15/29 | 1,100,000 | 1,300,327 | |
5.50% 6/1/27 | 3,200,000 | 3,756,286 | |
6.25% 4/15/49 | 4,420,000 | 5,809,893 | |
6.50% 11/15/26 μ, ψ | 1,145,000 | 1,170,190 | |
Enterprise Products Operating 3.20% 2/15/52 | 4,365,000 | 4,340,298 | |
EQT 7.625% 2/1/25 | 1,100,000 | 1,284,569 | |
Equinor 1.75% 1/22/26 | 655,000 | 674,860 | |
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 745,000 | 741,823 | |
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | 535,000 | 533,882 | |
Geopark 144A 5.50% 1/17/27 # | 845,000 | 854,515 | |
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | 540,000 | 582,878 | |
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 395,000 | 420,663 | |
Investment Energy Resources 144A 6.25% 4/26/29 # | 685,000 | 742,369 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 121,000 | 160,527 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 896,000 | 997,069 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Kinder Morgan 3.60% 2/15/51 | 1,205,000 | $1,230,294 | |
Kinder Morgan Energy Partners 5.00% 10/1/21 | 620,000 | 620,000 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 645,000 | 682,674 | |
Marathon Oil 4.40% 7/15/27 | 7,615,000 | 8,633,458 | |
MPLX | |||
1.75% 3/1/26 | 685,000 | 692,773 | |
4.125% 3/1/27 | 2,000,000 | 2,236,424 | |
Murphy Oil 5.875% 12/1/27 | 2,587,000 | 2,703,738 | |
NuStar Logistics | |||
5.625% 4/28/27 | 205,000 | 220,215 | |
6.375% 10/1/30 | 2,337,000 | 2,588,566 | |
Oil and Gas Holding 144A 7.625% 11/7/24 # | 200,000 | 224,250 | |
ONEOK | |||
4.35% 3/15/29 | 1,500,000 | 1,694,627 | |
7.50% 9/1/23 | 2,840,000 | 3,201,092 | |
PDC Energy 5.75% 5/15/26 | 1,205,000 | 1,260,346 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 211,017 | |
Petrobras Global Finance | |||
5.999% 1/27/28 | 3,500,000 | 4,025,123 | |
6.75% 6/3/50 | 505,000 | 591,135 | |
6.85% 6/5/15 | 1,700,000 | 1,945,395 | |
7.25% 3/17/44 | 600,000 | 736,056 | |
Petroleos Mexicanos | |||
5.95% 1/28/31 | 1,655,000 | 1,609,901 | |
6.49% 1/23/27 | 1,213,000 | 1,282,748 | |
6.75% 9/21/47 | 230,000 | 203,840 | |
Petronas Capital | |||
144A 2.48% 1/28/32 # | 200,000 | 201,539 | |
144A 3.50% 4/21/30 # | 440,000 | 482,682 | |
144A 4.55% 4/21/50 # | 700,000 | 865,476 | |
144A 4.80% 4/21/60 # | 1,100,000 | 1,461,970 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 695,000 | 721,709 | |
Qatar Petroleum 144A 2.25% 7/12/31 # | 855,000 | 845,911 |
18 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Rio Oil Finance Trust Series 2014-1 9.25% 7/6/24 | 109,358 | $121,388 | |
SA Global Sukuk 144A 2.694% 6/17/31 # | 425,000 | 430,806 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 1,455,000 | 1,664,169 | |
5.75% 5/15/24 | 8,496,000 | 9,538,985 | |
6.25% 3/15/22 | 400,000 | 410,343 | |
Saudi Arabian Oil | |||
144A 3.50% 11/24/70 # | 505,000 | 491,724 | |
144A 4.25% 4/16/39 # | 530,000 | 594,548 | |
Southwestern Energy 7.75% 10/1/27 | 2,050,000 | 2,226,802 | |
Tengizchevroil Finance Co International 144A 2.625% 8/15/25 # | 484,000 | 497,507 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 8,165,000 | 8,478,658 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 370,000 | 347,341 | |
Tullow Oil 144A 10.25% 5/15/26 # | 920,000 | 967,835 | |
UEP Penonome II 144A 6.50% 10/1/38 # | 547,214 | 560,560 | |
Woodside Finance 144A 3.70% 9/15/26 # | 400,000 | 432,932 | |
YPF 144A 6.95% 7/21/27 # | 970,000 | 686,857 | |
104,433,473 | |||
Finance Companies — 1.51% | |||
AerCap Ireland Capital DAC | |||
1.75% 1/30/26 | 590,000 | 583,380 | |
3.50% 1/15/25 | 300,000 | 318,083 | |
3.65% 7/21/27 | 2,700,000 | 2,886,102 | |
4.45% 10/1/25 | 1,200,000 | 1,322,163 | |
4.45% 4/3/26 | 150,000 | 164,800 | |
4.50% 9/15/23 | 460,000 | 493,423 | |
4.625% 7/1/22 | 1,100,000 | 1,144,121 | |
4.625% 10/15/27 | 745,000 | 835,042 | |
6.50% 7/15/25 | 1,350,000 | 1,584,422 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Air Lease | |||
2.875% 1/15/26 | 2,050,000 | $2,155,569 | |
3.00% 2/1/30 | 2,850,000 | 2,893,830 | |
3.375% 7/1/25 | 670,000 | 720,238 | |
4.25% 2/1/24 | 900,000 | 976,489 | |
Aircastle 4.125% 5/1/24 | 2,500,000 | 2,666,926 | |
Ally Financial 4.70% 5/15/26 μ, ψ | 1,340,000 | 1,391,188 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 545,000 | 535,462 | |
Aviation Capital Group 144A 3.875% 5/1/23 # | 1,000,000 | 1,048,082 | |
BOC Aviation | |||
2.375% 9/15/21 | 600,000 | 600,927 | |
3.00% 5/23/22 | 300,000 | 304,574 | |
BOC Aviation USA 144A 1.625% 4/29/24 # | 415,000 | 418,545 | |
Corp Inmobiliaria Vesta 144A 3.625% 5/13/31 # | 740,000 | 754,167 | |
DAE Funding | |||
144A 1.55% 8/1/24 # | 200,000 | 199,974 | |
144A 1.625% 2/15/24 # | 1,500,000 | 1,520,625 | |
144A 3.375% 3/20/28 # | 1,685,000 | 1,727,824 | |
3.375% 3/20/28 | 2,700,000 | 2,768,620 | |
GATX 0.896% (LIBOR03M + 0.72%) 11/5/21 • | 2,100,000 | 2,104,056 | |
GE Capital UK Funding Unlimited 5.875% 1/18/33 | GBP | 300,000 | 569,884 |
Goodman HK Finance 4.375% 6/19/24 | 1,095,000 | 1,188,129 | |
Kaisa Group Holdings 9.375% 6/30/24 | 630,000 | 596,139 | |
Logicor Financing 3.25% 11/13/28 | EUR | 3,400,000 | 4,694,349 |
Longfor Group Holdings 3.95% 9/16/29 | 495,000 | 534,538 | |
OneMain Finance 6.125% 3/15/24 | 1,500,000 | 1,616,250 | |
ORIX 3.20% 1/19/22 | 500,000 | 507,243 | |
Park Aerospace Holdings 144A 5.25% 8/15/22 # | 135,000 | 141,297 |
NQ-OPTFI [6/21] 8/21 (1750335) 19
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
Samhallsbyggnadsbolaget i Norden 1.125% 9/4/26 | EUR | 900,000 | $1,095,532 |
Shimao Group Holdings 5.60% 7/15/26 | 590,000 | 621,079 | |
SMBC Aviation Capital Finance DAC 144A 3.00% 7/15/22 # | 400,000 | 409,257 | |
Yuzhou Group Holdings 7.70% 2/20/25 | 510,000 | 437,977 | |
44,530,306 | |||
Insurance — 0.41% | |||
AIA Group | |||
144A 3.375% 4/7/30 # | 375,000 | 414,654 | |
144A 3.90% 4/6/28 # | 1,000,000 | 1,124,931 | |
Ambac Assurance 144A 5.10% #, ** | 29,743 | 41,819 | |
Ambac LSNI 144A 6.00% (LIBOR03M + 5.00%) 2/12/23 #, • | 107,888 | 107,956 | |
Athene Global Funding 144A 1.368% (LIBOR03M + 1.23%) 7/1/22 #, • | 700,000 | 707,174 | |
Athora Netherlands 2.375% 5/17/24 | EUR | 2,100,000 | 2,608,332 |
Brighthouse Financial 5.625% 5/15/30 | 850,000 | 1,035,377 | |
Fairfax Financial Holdings 4.625% 4/29/30 | 1,000,000 | 1,147,526 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 417,000 | 445,562 | |
MetLife 3.85% 9/15/25 μ, ψ | 1,520,000 | 1,601,700 | |
Prudential Financial 3.70% 3/13/51 | 1,660,000 | 1,896,341 | |
Sagicor Financial 144A 5.30% 5/13/28 # | 765,000 | 792,731 | |
11,924,103 | |||
Real Estate Investment Trusts — 0.61% | |||
American Tower | |||
3.00% 6/15/23 | 600,000 | 628,977 | |
3.375% 5/15/24 | 500,000 | 535,153 | |
American Tower Trust #1 144A 3.07% 3/15/48 # | 1,285,000 | 1,292,595 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts (continued) | |||
Crown Castle International | |||
3.80% 2/15/28 | 2,115,000 | $2,351,637 | |
4.30% 2/15/29 | 2,745,000 | 3,161,460 | |
CubeSmart 3.00% 2/15/30 | 1,153,000 | 1,209,674 | |
CyrusOne 1.45% 1/22/27 | EUR | 1,400,000 | 1,694,097 |
EPR Properties 4.50% 6/1/27 | 1,700,000 | 1,814,784 | |
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,794,103 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 145,000 | 161,557 | |
MPT Operating Partnership 3.692% 6/5/28 | GBP | 1,600,000 | 2,362,628 |
18,006,665 | |||
Technology — 1.04% | |||
Broadcom | |||
3.459% 9/15/26 | 2,353,000 | 2,564,167 | |
144A 3.469% 4/15/34 # | 4,242,000 | 4,491,345 | |
4.11% 9/15/28 | 1,052,000 | 1,184,498 | |
Broadridge Financial Solutions 2.60% 5/1/31 | 2,698,000 | 2,750,124 | |
Dell International | |||
5.45% 6/15/23 | 600,000 | 651,090 | |
6.02% 6/15/26 | 400,000 | 480,428 | |
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,854,658 | |
NXP | |||
144A 2.70% 5/1/25 # | 180,000 | 190,007 | |
144A 3.25% 5/11/41 # | 1,740,000 | 1,791,757 | |
144A 3.875% 6/18/26 # | 3,250,000 | 3,602,930 | |
144A 4.625% 6/1/23 # | 1,000,000 | 1,075,150 | |
144A 4.875% 3/1/24 # | 3,280,000 | 3,612,743 | |
144A 5.55% 12/1/28 # | 440,000 | 541,496 | |
Oracle | |||
2.875% 3/25/31 | 1,360,000 | 1,415,633 | |
3.65% 3/25/41 | 1,275,000 | 1,354,076 |
20 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
SK Hynix | |||
144A 1.50% 1/19/26 # | 600,000 | $592,499 | |
144A 2.375% 1/19/31 # | 610,000 | 595,235 | |
30,747,836 | |||
Transportation — 1.12% | |||
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 855,000 | 680,725 | |
American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 ♦ | 1,052,463 | 1,047,958 | |
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 4/15/30 ♦ | 1,035,619 | 1,055,250 | |
American Airlines 2019-1 Class AA Pass Through Trust 3.15% 8/15/33 ♦ | 94,586 | 97,414 | |
Ashtead Capital 144A 5.25% 8/1/26 # | 400,000 | 417,766 | |
Azul Investments | |||
144A 5.875% 10/26/24 # | 430,000 | 419,725 | |
144A 7.25% 6/15/26 # | 400,000 | 392,968 | |
British Airways 2018-1 Class AA Pass Through Trust 144A 3.80% 3/20/33 #, ♦ | 1,248,024 | 1,304,139 | |
Delta Air Lines | |||
3.625% 3/15/22 | 500,000 | 507,134 | |
144A 7.00% 5/1/25 # | 5,800,000 | 6,772,505 | |
7.375% 1/15/26 | 1,734,000 | 2,035,934 | |
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/24 #, ♦ | 404,887 | 406,992 | |
ERAC USA Finance | |||
144A 2.70% 11/1/23 # | 300,000 | 313,456 | |
144A 4.50% 8/16/21 # | 200,000 | 201,036 | |
Gol Finance 144A 8.00% 6/30/26 # | 410,000 | 416,671 | |
Kansas City Southern 3.00% 5/15/23 | 500,000 | 518,965 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 695,000 | $721,163 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 3,375,000 | 3,720,094 | |
Penske Truck Leasing | |||
144A 3.95% 3/10/25 # | 1,000,000 | 1,094,710 | |
144A 4.45% 1/29/26 # | 2,100,000 | 2,362,250 | |
144A 4.875% 7/11/22 # | 300,000 | 313,015 | |
Southwest Airlines | |||
5.125% 6/15/27 | 2,380,000 | 2,801,565 | |
5.25% 5/4/25 | 1,680,000 | 1,917,848 | |
Union Pacific 3.25% 2/5/50 | 765,000 | 808,513 | |
United Airlines | |||
144A 4.375% 4/15/26 # | 210,000 | 217,650 | |
144A 4.625% 4/15/29 # | 580,000 | 601,025 | |
United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/29 ♦ | 1,427,475 | 1,586,883 | |
US Airways 2012-2 Class A Pass Through Trust 4.625% 12/3/26 ♦ | 347,692 | 351,064 | |
33,084,418 | |||
Utilities — 2.25% | |||
Abu Dhabi National Energy 144A 2.00% 4/29/28 # | 665,000 | 670,187 | |
Adani Electricity Mumbai 144A 3.949% 2/12/30 # | 475,000 | 475,228 | |
AEP Texas 2.40% 10/1/22 | 200,000 | 204,576 | |
AES Gener 144A 7.125% 3/26/79 #, μ | 605,000 | 648,503 | |
American Transmission Systems 144A 5.25% 1/15/22 # | 1,955,000 | 2,002,048 |
NQ-OPTFI [6/21] 8/21 (1750335) 21
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Calpine | |||
144A 4.50% 2/15/28 # | 453,000 | $462,626 | |
144A 5.00% 2/1/31 # | 1,535,000 | 1,530,395 | |
144A 5.125% 3/15/28 # | 454,000 | 462,587 | |
Cikarang Listrindo 144A 4.95% 9/14/26 # | 540,000 | 554,602 | |
Clean Renewable Power Mauritius 144A 4.25% 3/25/27 # | 815,000 | 831,320 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 240,000 | 248,838 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 2,330,000 | 2,481,450 | |
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 1,341,985 | |
Electricite de France 2.875% 12/15/26 μ, ψ | EUR | 1,400,000 | 1,714,390 |
Enel Finance International 144A 2.875% 5/25/22 # | 1,100,000 | 1,124,311 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 605,000 | 604,782 | |
Entergy 4.00% 7/15/22 | 300,000 | 309,518 | |
Entergy Arkansas 4.20% 4/1/49 | 870,000 | 1,059,139 | |
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 257,828 | |
Entergy Mississippi 3.85% 6/1/49 | 1,465,000 | 1,689,069 | |
Entergy Texas 3.55% 9/30/49 | 700,000 | 749,041 | |
Essential Utilities | |||
2.704% 4/15/30 | 695,000 | 722,365 | |
3.351% 4/15/50 | 675,000 | 698,735 | |
Evergy Kansas Central 3.45% 4/15/50 | 1,185,000 | 1,303,973 | |
FirstEnergy 3.35% 7/15/22 | 200,000 | 203,361 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 875,000 | 1,029,743 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Infraestructura Energetica Nova | |||
144A 3.75% 1/14/28 # | 225,000 | $242,583 | |
144A 4.875% 1/14/48 # | 395,000 | 405,825 | |
Israel Electric 144A 5.00% 11/12/24 # | 325,000 | 364,073 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | 670,000 | 689,417 | |
Louisville Gas and Electric 4.25% 4/1/49 | 2,685,000 | 3,315,565 | |
Minejesa Capital 144A 5.625% 8/10/37 # | 400,000 | 434,348 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 995,000 | 999,975 | |
NextEra Energy Capital Holdings | |||
0.581% (SOFR + 0.54%) 3/1/23 • | 100,000 | 100,564 | |
0.65% 3/1/23 | 2,800,000 | 2,812,109 | |
2.403% 9/1/21 | 1,700,000 | 1,706,194 | |
Oryx Funding 144A 5.80% 2/3/31 # | 660,000 | 698,465 | |
Pacific Gas and Electric | |||
1.531% (LIBOR03M + 1.375%) 11/15/21 • | 2,200,000 | 2,204,632 | |
2.10% 8/1/27 | 9,195,000 | 8,939,971 | |
2.50% 2/1/31 | 735,000 | 689,937 | |
3.00% 6/15/28 | 800,000 | 804,825 | |
3.25% 6/1/31 | 420,000 | 413,595 | |
3.30% 3/15/27 | 700,000 | 725,426 | |
3.30% 8/1/40 | 1,796,000 | 1,625,779 | |
3.50% 6/15/25 | 400,000 | 419,779 | |
3.50% 8/1/50 | 1,100,000 | 981,841 | |
4.50% 7/1/40 | 1,100,000 | 1,102,346 | |
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 620,000 | 746,909 | |
Perusahaan Listrik Negara | |||
144A 3.875% 7/17/29 # | 605,000 | 641,548 | |
144A 4.125% 5/15/27 # | 300,000 | 325,725 | |
144A 5.25% 5/15/47 # | 185,000 | 208,669 | |
PG&E 5.25% 7/1/30 | 2,970,000 | 3,006,635 |
22 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | 715,000 | $775,632 | |
Sempra Energy 4.875% 10/15/25 μ, ψ | 1,055,000 | 1,147,312 | |
Southern California Edison | |||
3.65% 2/1/50 | 1,525,000 | 1,527,945 | |
4.00% 4/1/47 | 880,000 | 927,334 | |
4.875% 3/1/49 | 2,330,000 | 2,765,864 | |
Systems Energy Resources 2.14% 12/9/25 | 800,000 | 809,227 | |
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 165,000 | 178,555 | |
66,119,204 | |||
Total Corporate Bonds (cost $888,108,704) | 937,755,195 | ||
Municipal Bonds — 0.60% | |||
American Municipal Power, Ohio | |||
(Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 2,823,465 | |
California State Various Purposes | |||
(High-Speed Passenger Train Bonds) Series C 0.881% (LIBOR01M + 0.78%) 4/1/47 • | 1,250,000 | 1,251,450 | |
Chicago, Illinois Transit Authority Sales Tax Receipts Revenue | |||
(Pension Funding) Series A 6.899% 12/1/40 | 1,800,000 | 2,562,732 | |
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | 1,800,000 | 2,560,410 | |
Municipal Electric Authority of Georgia | |||
(Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,748,000 | 2,695,591 |
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
New Jersey Transportation Trust Fund Authority | |||
(Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | $1,897,188 | |
New York City, New York Transitional Finance Authority Future Tax Secured Revenue | |||
(Build America Bonds) Subordinate Series A-1 5.508% 8/1/37 | 700,000 | 937,454 | |
New York State Urban Development | |||
(Build America Bonds) Series E 5.77% 3/15/39 | 800,000 | 998,672 | |
Oregon State Taxable Pension | |||
5.892% 6/1/27 | 30,000 | 36,269 | |
Pennsylvania Higher Education Assistance Agency Revenue | |||
(Student Loans) Series 2006-2 A-3 0.306% (LIBOR03M + 0.13%) 10/25/36 • | 355,905 | 351,445 | |
South Carolina Public Service Authority | |||
(Santee Cooper) Series D 4.77% 12/1/45 | 145,000 | 182,265 | |
West Virginia Tobacco Settlement Finance Authority | |||
(Class 1 Senior Current Interest Bonds) | |||
Series A 1.82% 6/1/26 | 250,000 | 252,837 | |
Series A 2.351% 6/1/28 | 300,000 | 306,255 | |
Series A 2.551% 6/1/29 | 300,000 | 308,118 | |
Series A 2.951% 6/1/31 | 500,000 | 517,930 | |
Total Municipal Bonds (cost $15,409,373) | 17,682,081 | ||
Non-Agency Asset-Backed Securities — 2.50% | |||
ABFC Trust Series 2006-HE1 A2D 0.312% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 • | 302,694 | 214,646 |
NQ-OPTFI [6/21] 8/21 (1750335) 23
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Argent Securities Trust | |||
Series 2006-M1 A2C 0.392% (LIBOR01M + 0.30%, Floor 0.30%) 7/25/36 • | 1,182,905 | $472,712 | |
Series 2006-W4 A2C 0.412% (LIBOR01M + 0.32%, Floor 0.32%) 5/25/36 • | 614,460 | 221,519 | |
Bear Stearns Asset-Backed Securities I Trust Series 2005-FR1 M2 1.097% (LIBOR01M + 1.005%, Floor 1.005%) 6/25/35 • | 1,408,237 | 1,398,480 | |
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 2.85% 10/25/36 • | 111,294 | 76,804 | |
Bear Stearns Second Lien Trust Series 2007-SV1A M2 144A 1.442% (LIBOR01M + 1.35%, Cap 11.00%, Floor 1.35%) 1/25/36 #, • | 58,071 | 57,970 | |
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 347 | 357 | |
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 1.592% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #, • | 3,600,000 | 3,657,508 | |
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.073% 11/25/36 • | 498,274 | 510,458 | |
Countrywide Asset-Backed Certificates | |||
Series 2004-3 2A 0.492% (LIBOR01M + 0.40%, Floor 0.40%) 8/25/34 • | 35,356 | 34,445 | |
Series 2006-1 AF6 4.558% 7/25/36 • | 77,478 | 78,842 | |
Series 2006-26 2A4 0.312% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37 • | 1,591,080 | 1,543,780 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Countrywide Asset-Backed Certificates | |||
Series 2007-6 2A4 0.402% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37 • | 924,677 | $857,061 | |
CWABS Asset-Backed Certificates Trust | |||
Series 2005-3 MV7 2.042% (LIBOR01M + 1.95%, Floor 1.95%) 8/25/35 • | 4,200,000 | 4,212,028 | |
Series 2006-11 1AF6 6.15% 9/25/46 • | 70,408 | 72,354 | |
Series 2006-17 2A2 0.242% (LIBOR01M + 0.15%, Floor 0.15%) 3/25/47 • | 1,009,845 | 994,163 | |
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 1,600,000 | 1,620,794 | |
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 4,700,000 | 4,676,741 | |
Discover Card Execution Note Trust Series 2019-A1 A1 3.04% 7/15/24 | 400,000 | 406,233 | |
Domino's Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 7,400,000 | 7,656,706 | |
EquiFirst Mortgage Loan Trust Series 2004-2 M7 3.092% (LIBOR01M + 3.00%, Floor 3.00%) 10/25/34 • | 662,361 | 695,663 | |
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 0.412% (LIBOR01M + 0.32%, Floor 0.32%) 4/25/36 • | 687,074 | 668,555 | |
Ford Credit Auto Lease Trust Series 2021-A B 0.47% 5/15/24 | 1,300,000 | 1,299,640 |
24 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Fremont Home Loan Trust Series 2004-B M1 0.962% (LIBOR01M + 0.87%, Floor 0.87%) 5/25/34 • | 2,323,724 | $2,280,658 | |
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 0.392% (LIBOR01M + 0.30%, Floor 0.30%) 8/25/36 • | 1,840,077 | 1,095,548 | |
GSAMP Trust | |||
Series 2006-FM3 A2D 0.322% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36 • | 891,526 | 552,916 | |
Series 2007-SEA1 A 144A 0.392% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #, • | 649,960 | 631,819 | |
Hardee's Funding Series 2018-1A A2II 144A 4.959% 6/20/48 # | 486,250 | 515,585 | |
Harley-Davidson Motorcycle Trust Series 2020-A A2A 1.83% 1/17/23 | 19,402 | 19,414 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 1,215,325 | 1,208,361 | |
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 0.332% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37 • | 1,253,704 | 953,518 | |
HSI Asset Securitization Trust Series 2006-HE1 2A1 0.192% (LIBOR01M + 0.10%, Floor 0.10%) 10/25/36 • | 24,021 | 12,236 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Hyundai Auto Receivables Trust Series 2020-C A2 0.26% 9/15/23 | 270,311 | $270,445 | |
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 0.332% (LIBOR01M + 0.24%, Floor 0.24%) 8/25/36 • | 423,581 | 419,853 | |
Long Beach Mortgage Loan Trust | |||
Series 2006-1 2A4 0.692% (LIBOR01M + 0.60%, Floor 0.60%) 2/25/36 • | 2,714,630 | 2,484,886 | |
Series 2006-7 1A 0.247% (LIBOR01M + 0.155%, Floor 0.155%) 8/25/36 • | 2,633,478 | 1,664,820 | |
Mercedes-Benz Auto Lease Trust Series 2020-A A2 1.82% 3/15/22 | 16,857 | 16,869 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 500,000 | 510,346 | |
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE1 A2C 0.242% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36 • | 4,265,554 | 3,109,109 | |
Series 2007-HE5 A2D 0.432% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37 • | 3,153,943 | 1,740,330 | |
New Century Home Equity Loan Trust Series 2005-1 M2 0.812% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.72%) 3/25/35 • | 233,599 | 232,273 | |
Nissan Auto Lease Trust Series 2020-A A2A 1.80% 5/16/22 | 94,933 | 95,038 | |
Option One Mortgage Loan Trust | |||
Series 2005-1 M1 0.872% (LIBOR01M + 0.78%, Floor 0.78%) 2/25/35 • | 1,543,189 | 1,537,104 |
NQ-OPTFI [6/21] 8/21 (1750335) 25
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Option One Mortgage Loan Trust | |||
Series 2007-4 2A4 0.402% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37 • | 5,555,457 | $3,906,449 | |
PFS Financing | |||
Series 2020-G A 144A 0.97% 2/15/26 # | 2,000,000 | 2,013,631 | |
Series 2021-A A 144A 0.71% 4/15/26 # | 1,800,000 | 1,798,565 | |
RAAC Trust Series 2005-SP2 2A 0.692% (LIBOR01M + 0.60%, Cap 14.00%, Floor 0.60%) 6/25/44 • | 239,172 | 217,989 | |
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 162,745 | 167,760 | |
Soundview Home Loan Trust Series 2006-OPT1 2A4 0.362% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 200,338 | 200,118 | |
Structured Asset Investment Loan Trust Series 2003-BC2 M1 1.472% (LIBOR01M + 1.38%, Floor 1.38%) 4/25/33 • | 15,778 | 15,816 | |
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC1 A6 0.362% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 1,244,107 | 1,180,105 | |
Series 2006-BC2 A1 0.247% (LIBOR01M + 0.155%, Floor 0.155%) 9/25/36 • | 3,589,488 | 2,796,829 | |
Tesla Auto Lease Trust Series 2021-A A2 144A 0.36% 3/20/25 # | 310,000 | 310,163 | |
Towd Point Mortgage Trust | |||
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 476,416 | 483,707 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Towd Point Mortgage Trust | |||
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 58,958 | $59,780 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 615,000 | 650,673 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 315,969 | 324,321 | |
Series 2019-4 A1 144A 2.90% 10/25/59 #, • | 8,313,368 | 8,597,210 | |
Total Non-Agency Asset-Backed Securities (cost $72,296,746) | 73,501,703 | ||
Non-Agency Collateralized Mortgage Obligations — 1.72% | |||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 • | 924,823 | 666,228 | |
ARM Mortgage Trust | |||
Series 2004-5 3A1 2.595% 4/25/35 • | 3,011 | 3,008 | |
Series 2005-10 3A31 2.699% 1/25/36 • | 81,860 | 79,443 | |
Series 2006-2 1A4 3.226% 5/25/36 • | 407,270 | 396,011 | |
Banc of America Funding Trust | |||
Series 2005-E 7A1 1.773% (COF 11 + 1.43%, Floor 1.43%) 6/20/35 • | 81,286 | 71,038 | |
Series 2006-I 1A1 2.321% 12/20/36 • | 125,960 | 130,180 | |
Banc of America Mortgage Trust Series 2003-D 2A1 3.175% 5/25/33 • | 76,402 | 79,273 | |
Bear Stearns ARM Trust Series 2003-5 2A1 2.723% 8/25/33 • | 22,946 | 23,092 | |
Chase Mortgage Finance Trust Series 2005-A1 3A1 3.00% 12/25/35 • | 47,797 | 46,971 | |
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ♦ | 783,043 | 533,607 |
26 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 2.492% (LIBOR01M + 2.40%) 4/25/31 #, • | 345,291 | $347,187 | |
Series 2019-R01 2M2 144A 2.542% (LIBOR01M + 2.45%) 7/25/31 #, • | 221,709 | 222,912 | |
Series 2019-R02 1M2 144A 2.392% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #, • | 1,097,333 | 1,104,900 | |
Series 2019-R07 1M2 144A 2.192% (LIBOR01M + 2.10%) 10/25/39 #, • | 1,445,662 | 1,451,634 | |
Series 2020-R01 1M2 144A 2.142% (LIBOR01M + 2.05%, Floor 2.05%) 1/25/40 #, • | 1,960,150 | 1,968,204 | |
CSMC Mortgage-Backed Trust | |||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 690,810 | 604,944 | |
Series 2007-1 5A14 6.00% 2/25/37 | 177,320 | 157,699 | |
Series 2007-3 4A6 0.342% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37 • | 116,408 | 98,390 | |
Series 2007-3 4A12 6.659% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37 Σ, • | 116,408 | 28,477 | |
Series 2007-3 4A15 5.50% 4/25/37 | 51,689 | 49,115 | |
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, • | 976,997 | 1,002,033 | |
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 21,181 | 21,093 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
GS Mortgage-Backed Securities Trust Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, • | 2,655,453 | $2,719,219 | |
GSR Mortgage Loan Trust Series 2007-AR1 2A1 2.863% 3/25/47 • | 457,060 | 363,936 | |
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 0.272% (LIBOR01M + 0.18%, Cap 11.50%, Floor 0.18%) 6/25/37 • | 3,641,833 | 2,556,779 | |
JPMorgan Mortgage Trust | |||
Series 2006-A6 2A4L 3.132% 10/25/36 • | 235,399 | 209,324 | |
Series 2006-A7 2A2 3.092% 1/25/37 • | 46,795 | 43,746 | |
Series 2007-A1 6A1 2.761% 7/25/35 • | 61,191 | 62,352 | |
Series 2014-2 B1 144A 3.418% 6/25/29 #, • | 35,296 | 36,364 | |
Series 2014-2 B2 144A 3.418% 6/25/29 #, • | 35,296 | 36,219 | |
Series 2015-4 B1 144A 3.585% 6/25/45 #, • | 598,747 | 608,965 | |
Series 2015-4 B2 144A 3.585% 6/25/45 #, • | 255,905 | 259,823 | |
Series 2015-5 B2 144A 2.462% 5/25/45 #, • | 527,629 | 538,793 | |
Series 2015-6 B1 144A 3.528% 10/25/45 #, • | 248,773 | 254,768 | |
Series 2015-6 B2 144A 3.528% 10/25/45 #, • | 242,050 | 247,301 | |
Series 2016-4 B1 144A 3.829% 10/25/46 #, • | 206,352 | 212,353 | |
Series 2016-4 B2 144A 3.829% 10/25/46 #, • | 376,211 | 384,448 |
NQ-OPTFI [6/21] 8/21 (1750335) 27
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2017-1 B3 144A 3.498% 1/25/47 #, • | 899,451 | $909,332 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 91,910 | 93,519 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 343,585 | 350,462 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 1,907,085 | 1,930,849 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 865,621 | 878,670 | |
Series 2021-1 A3 144A 2.50% 6/25/51 #, • | 1,017,437 | 1,036,156 | |
Lanark Master Issuer Series 2019-1A 1A1 144A 0.92% (LIBOR03M + 0.77%) 12/22/69 #, • | 400,000 | 400,245 | |
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,219,420 | 584,954 | |
Ludgate Funding | |||
Series 2006-1X A2A 0.27% (BP0003M + 0.19%) 12/1/60 • | GBP | 1,248,565 | 1,678,142 |
Series 2008-W1X A1 0.676% (BP0003M + 0.60%) 1/1/61 • | GBP | 524,029 | 719,613 |
Mansard Mortgages Series 2007-1X A2 0.263% (BP0003M + 0.18%) 4/15/47 • | GBP | 580,285 | 777,658 |
MASTR Alternative Loan Trust | |||
Series 2004-3 8A1 7.00% 4/25/34 | 1,283 | 1,309 | |
Series 2004-5 6A1 7.00% 6/25/34 | 18,864 | 19,556 | |
MASTR ARM Trust Series 2004-4 4A1 2.707% 5/25/34 • | 45,770 | 46,828 | |
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 2.30% 2/25/34 • | 2,246 | 2,306 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Morgan Stanley Residential Mortgage Loan Trust | |||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, • | 918,247 | $933,419 | |
Series 2021-1 A2 144A 2.50% 3/25/51 #, • | 814,375 | 827,831 | |
New Residential Mortgage Loan Trust | |||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 217,571 | 226,123 | |
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, • | 4,586,695 | 4,779,049 | |
RALI Series Trust | |||
Series 2007-QA5 2A1 5.915% 9/25/37 • | 2,366,242 | 2,043,625 | |
Series 2007-QH8 A 1.023% 10/25/37 • | 1,498,636 | 1,439,688 | |
RCKT Mortgage Trust Series 2021-1 A1 144A 2.50% 3/25/51 #, • | 883,339 | 897,890 | |
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 0.432% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #, • | 736,985 | 718,424 | |
RFMSI Series Trust Series 2004-S9 2A1 4.75% 12/25/19 | 28 | 29 | |
Sequoia Mortgage Trust | |||
Series 2004-5 A3 0.719% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.56%) 6/20/34 • | 109,226 | 108,227 | |
Series 2007-1 4A1 2.86% 9/20/46 • | 292,327 | 226,111 | |
Series 2015-1 B2 144A 3.892% 1/25/45 #, • | 199,167 | 203,292 | |
Series 2017-5 B2 144A 3.838% 8/25/47 # | 3,010,143 | 3,107,450 | |
Series 2019-CH1 A1 144A 4.50% 3/25/49 #, • | 93,748 | 94,474 |
28 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Sequoia Mortgage Trust | |||
Series 2020-4 A2 144A 2.50% 11/25/50 #, • | 822,230 | $838,899 | |
Structured ARM Loan Trust Series 2006-1 7A4 2.914% 2/25/36 • | 156,279 | 147,761 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A2 0.593% (LIBOR01M + 0.50%, Cap 11.00%, Floor 0.50%) 7/19/35 • | 196,136 | 189,745 | |
Trinity Square Series 2021-1A A 144A 0.899% (SONIA3M + 0.85%) 7/15/59 #, • | GBP | 4,200,000 | 5,832,751 |
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2005-AR16 1A3 2.724% 12/25/35 ♦, • | 220,685 | 224,544 | |
Series 2007-HY1 3A3 3.115% 2/25/37 ♦, • | 147,372 | 146,311 | |
Series 2007-HY7 4A1 3.233% 7/25/37 ♦, • | 311,774 | 314,539 | |
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR5 2A1 2.634% 4/25/36 • | 15,415 | 15,250 | |
Series 2006-AR11 A6 2.968% 8/25/36 • | 142,295 | 140,190 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 268,089 | 273,707 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $51,826,599) | 50,778,757 | ||
Non-Agency Commercial Mortgage-Backed Securities — 4.64% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 1,430,000 | 1,572,107 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
BANK | |||
Series 2017-BNK5 B 3.896% 6/15/60 • | 605,000 | $663,750 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,110,000 | 1,225,677 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 8,641,190 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | 2,243,462 | |
Series 2019-BN23 A3 2.92% 12/15/52 | 1,050,000 | 1,126,023 | |
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 2,310,000 | 2,574,715 | |
Series 2020-B17 A5 2.289% 3/15/53 | 3,460,000 | 3,543,465 | |
Series 2020-B20 A5 2.034% 10/15/53 | 10,650,000 | 10,655,082 | |
Series 2020-B21 A5 1.978% 12/17/53 | 650,000 | 646,648 | |
Series 2020-B22 A5 1.973% 1/15/54 | 650,000 | 646,617 | |
Series 2021-B24 A5 2.584% 3/15/54 | 6,790,000 | 7,100,049 | |
Series 2021-B25 A5 2.577% 4/15/54 | 4,270,000 | 4,466,111 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,636,289 | |
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 4,243,068 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 857,528 | |
CD Mortgage Trust | |||
Series 2017-CD6 B 3.911% 11/13/50 • | 440,000 | 474,732 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 8,775,000 | 9,358,248 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.839% 12/10/54 | 3,100,000 | 3,438,898 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 850,367 | |
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,493,056 | |
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,411,023 |
NQ-OPTFI [6/21] 8/21 (1750335) 29
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Citigroup Commercial Mortgage Trust | |||
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | $698,251 | |
Series 2019-C7 A4 3.102% 12/15/72 | 6,450,000 | 7,013,548 | |
COMM Mortgage Trust | |||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,100,000 | 1,148,822 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,387,691 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | 645,444 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 846,352 | |
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,567,070 | |
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 969,034 | |
GS Mortgage Securities Trust | |||
Series 2015-GC32 A4 3.764% 7/10/48 | 1,000,000 | 1,097,560 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,429,552 | |
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 2,126,027 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 570,000 | 649,107 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,398,109 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 5,000,000 | 5,398,809 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 716,000 | 738,821 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.801% 8/15/48 | 8,967,272 | 9,777,225 | |
Series 2015-C33 A4 3.77% 12/15/48 | 570,000 | 629,032 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,755,112 | |
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | 1,152,983 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | $2,640,674 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 363,297 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,312,568 | |
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 705,000 | 706,039 | |
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 690,000 | 691,052 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 419,451 | 224,365 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 1,043,006 | |
Series 2015-C27 ASB 3.557% 12/15/47 | 1,934,843 | 2,039,074 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | 1,555,822 | |
Morgan Stanley Capital I Trust | |||
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | 1,085,012 | |
Series 2020-HR8 A4 2.041% 7/15/53 | 4,415,000 | 4,430,843 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 480,000 | 487,609 | |
VMC Finance Series 2021-FL4 A 144A 1.183% (LIBOR01M + 1.10%, Floor 1.10%) 6/16/36 #, • | 2,300,000 | 2,300,715 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 296,155 |
30 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Wells Fargo Commercial Mortgage Trust | |||
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | $558,146 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,291,073 | |
Series 2017-C38 A5 3.453% 7/15/50 | 905,000 | 997,012 | |
Series 2020-C58 A4 2.092% 7/15/53 | 2,300,000 | 2,313,920 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $131,899,543) | 136,633,036 | ||
Loan Agreements — 2.75% | |||
Acrisure Tranche B 3.604% (LIBOR01M + 3.50%) 2/15/27 • | 410,340 | 406,442 | |
Advantage Sales & Marketing 1st Lien 6.00% (LIBOR03M + 5.25%) 10/28/27 • | 708,243 | 716,401 | |
American Airlines Tranche B 2.073% (LIBOR01M + 2.00%) 12/14/23 • | 519,013 | 507,443 | |
Applied Systems 1st Lien 3.75% (LIBOR03M + 3.25%) 9/19/24 • | 837,656 | 851,686 | |
Applied Systems 2nd Lien 6.25% (LIBOR03M + 5.50%) 9/19/25 • | 2,087,212 | 2,122,173 | |
Aramark Services Tranche B-3 1.854% (LIBOR01M + 1.75%) 3/11/25 • | 359,075 | 356,008 | |
Aramark Services Tranche B-5 2.604% (LIBOR01M + 2.50%) 4/6/28 • | 428,925 | 427,853 | |
Array Technologies 3.75% (LIBOR03M + 3.25%) 10/14/27 • | 535,943 | 525,894 | |
Aruba Investments Holdings 1st Lien 4.75% (LIBOR03M + 4.00%) 11/24/27 • | 354,113 | 355,883 | |
Aruba Investments Holdings 2nd Lien 8.50% (LIBOR06M + 7.75%) 11/24/28 • | 355,000 | 358,550 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
AssuredPartners 3.604% (LIBOR01M + 3.50%) 2/12/27 • | 943,076 | $939,034 | |
Avantor Tranche B-4 3.25% (LIBOR01M + 2.25%) 11/8/27 • | 830,825 | 832,279 | |
Ball Metalpack Finco 2nd Lien 9.75% (LIBOR01M + 8.75%) 7/31/26 • | 79,000 | 78,210 | |
Bausch Health 3.104% (LIBOR01M + 3.00%) 6/2/25 • | 268,192 | 267,438 | |
Berry Global Tranche Z 1.827% (LIBOR01M + 1.75%) 7/1/26 • | 617,900 | 614,038 | |
Boxer Parent 3.855% (LIBOR01M + 3.75%) 10/2/25 • | 338,516 | 336,929 | |
BW Gas & Convenience Holdings Tranche B 4.00% (LIBOR01M + 3.50%) 3/17/28 • | 1,055,000 | 1,056,319 | |
BWay Holding 3.354% (LIBOR01M + 3.25%) 4/3/24 • | 154,381 | 150,949 | |
Caesars Resort Collection Tranche B-1 4.605% (LIBOR01M + 4.50%) 7/21/25 • | 1,885,765 | 1,894,336 | |
Caesars Resort Collection Tranche B 2.854% (LIBOR01M + 2.75%) 12/23/24 • | 1,591,753 | 1,579,897 | |
Calpine | |||
2.11% (LIBOR01M + 2.00%) 4/5/26 • | 245,000 | 242,232 | |
2.61% (LIBOR01M + 2.50%) 12/16/27 • | 257,530 | 256,232 | |
Camelot US Acquisition l 4.00% (LIBOR01M + 3.00%) 10/30/26 • | 646,750 | 647,882 | |
Carnival Tranche B 3.75% (LIBOR03M + 3.00%) 6/30/25 • | 495,000 | 495,696 | |
CenturyLink Tranche B 2.354% (LIBOR01M + 2.25%) 3/15/27 • | 992,443 | 980,735 | |
Change Healthcare Holdings 3.50% (LIBOR01M + 2.50%) 3/1/24 • | 180,312 | 180,325 |
NQ-OPTFI [6/21] 8/21 (1750335) 31
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Charter Communications Operating Tranche B2 1.85% (LIBOR03M + 1.75%) 2/1/27 • | 482,398 | $479,202 | |
Chemours Tranche B-2 1.86% (LIBOR01M + 1.75%) 4/3/25 • | 887,372 | 880,162 | |
CityCenter Holdings 3.00% (LIBOR01M + 2.25%) 4/18/24 • | 900,641 | 894,771 | |
Connect US Finco 4.50% (LIBOR01M + 3.50%) 12/11/26 • | 640,888 | 642,356 | |
Core & Main 3.75% (LIBOR01M + 2.75%) 8/1/24 • | 536,917 | 537,365 | |
CoreLogic 1st Lien TBD 6/4/28 X | 475,000 | 474,777 | |
Coty Tranche A 1.75% (LIBOR01M + 1.75%) 4/5/23 • | 111,516 | 131,403 | |
CSC Holdings | |||
2.323% (LIBOR01M + 2.25%) 7/17/25 • | 312,000 | 308,685 | |
2.573% (LIBOR01M + 2.50%) 4/15/27 • | 287,671 | 285,484 | |
DaVita Tranche B-1 1.854% (LIBOR01M + 1.75%) 8/12/26 • | 794,873 | 791,437 | |
EFS Cogen Holdings I Tranche B 4.50% (LIBOR03M + 3.50%) 10/1/27 • | 643,909 | 644,196 | |
Ensemble RCM 3.936% (LIBOR03M + 3.75%) 8/3/26 • | 361,560 | 362,163 | |
Epicor Software Tranche C 4.00% (LIBOR01M + 3.25%) 7/30/27 • | 1,324,987 | 1,324,687 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 735,000 | 762,333 | |
ExamWorks Group Tranche B-1 4.25% (LIBOR03M + 3.25%) 7/27/23 • | 716,278 | 717,789 | |
Frontier Communications Tranche B 4.50% (LIBOR01M + 3.75%) 5/1/28 • | 1,750,000 | 1,754,102 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Gainwell Acquisition Tranche B 4.75% (LIBOR03M + 4.00%) 10/1/27 • | 1,203,950 | $1,209,217 | |
Garda World Security Tranche B-2 4.35% (LIBOR01M + 4.25%) 10/30/26 • | 191,971 | 193,085 | |
Gardner Denver Tranche B-1 1.854% (LIBOR01M + 1.75%) 3/1/27 • | 670,825 | 664,177 | |
Global Medical Response 5.75% (LIBOR03M + 4.75%) 10/2/25 • | 1,169,010 | 1,175,586 | |
Granite US Holdings Tranche B 4.148% (LIBOR03M + 4.00%) 9/30/26 • | 135,809 | 135,957 | |
Gray Television Tranche B-2 2.342% (LIBOR01M + 2.25%) 2/7/24 • | 1,018,322 | 1,014,928 | |
Grupo Aeromexico | |||
9.00% (LIBOR03M + 8.00%) 12/31/21 =, • | 1,300,000 | 1,300,000 | |
13.457% (LIBOR03M + 12.50%) 8/19/22 • | 1,021,656 | 1,017,876 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 919,902 | 913,002 | |
Heartland Dental | |||
3.604% (LIBOR01M + 3.50%) 4/30/25 • | 828,599 | 820,377 | |
4.073% (LIBOR01M + 4.00%) 4/30/25 • | 460,000 | 459,655 | |
Hilton Grand Vacations Borrower 1st Lien TBD 5/22/28 X | 1,000,000 | 1,001,719 | |
Hilton Worldwide Finance Tranche B-2 1.842% (LIBOR01M + 1.75%) 6/22/26 • | 1,172,387 | 1,164,107 | |
HUB International 2.926% (LIBOR03M + 2.75%) 4/25/25 • | 358,451 | 354,829 | |
Informatica 3.354% (LIBOR01M + 3.25%) 2/25/27 • | 635,750 | 632,881 | |
Informatica 2nd Lien 7.125% 2/25/25 | 1,018,000 | 1,043,450 |
32 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
IQVIA Tranche B-3 1.897% (LIBOR03M + 1.75%) 6/11/25 • | 538,350 | $535,911 | |
IRB Holding 4.25% (LIBOR03M + 3.25%) 12/15/27 • | 2,493,750 | 2,495,049 | |
JBS USA LUX 2.093% (LIBOR01M + 2.00%) 5/1/26 • | 161,288 | 161,086 | |
Kenan Advantage Group Tranche B 4.50% (LIBOR01M + 3.75%) 3/24/26 • | 462,675 | 463,947 | |
Magenta Buyer 1st Lien TBD 5/3/28 X | 600,000 | 600,643 | |
Medrisk Tranche B 1st Lien 4.50% (LIBOR01M + 3.75%) 5/10/28 • | 490,000 | 490,796 | |
Michaels Tranche B 5.00% (LIBOR03M + 4.25%) 4/15/28 • | 485,237 | 487,866 | |
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/21/27 • | 1,000,000 | 1,068,828 | |
Numericable US Tranche B-11 2.936% (LIBOR03M + 2.75%) 7/31/25 • | 347,325 | 342,084 | |
Numericable US Tranche B-13 4.156% (LIBOR03M + 4.00%) 8/14/26 • | 131,625 | 131,598 | |
ON Semiconductor Tranche B-4 2.104% (LIBOR01M + 2.00%) 9/19/26 • | 1,271,535 | 1,268,862 | |
Organon & Co. 3.50% (LIBOR03M + 3.00%) 6/2/28 • | 2,150,000 | 2,154,416 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 873,117 | 871,778 | |
Peraton Tranche B 1st Lien 4.50% (LIBOR01M + 3.75%) 2/1/28 • | 1,052,363 | 1,057,378 | |
PG&E Tranche B 3.50% (LIBOR03M + 3.00%) 6/23/25 • | 1,447,228 | 1,430,042 | |
PQ 3.25% (LIBOR03M + 2.75%) 6/9/28 • | 410,000 | 410,000 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
PQ Tranche B 2.436% (LIBOR03M + 2.25%) 2/7/27 • | 183,942 | $183,827 | |
Precisely Software 1st Lien 5.00% (LIBOR03M + 4.25%) 4/23/28 • | 1,495,000 | 1,493,505 | |
Prestige Brands Tranche B TBD 6/9/28 X | 395,000 | 395,790 | |
Prestige Brands Tranche B-4 4.25% (LIBOR03M + 2.00%) 1/26/24 • | 260,641 | 261,083 | |
Pretium PKG Holdings 1st Lien 4.75% (LIBOR03M + 4.00%) 11/5/27 • | 597,000 | 599,052 | |
Prime Security Services Borrower Tranche B-1 3.50% (LIBOR01M + 2.75%) 9/23/26 • | 408,436 | 408,479 | |
Proofpoint TBD 6/9/28 X | 910,000 | 906,161 | |
RealPage 1st Lien 3.75% (LIBOR03M + 3.25%) 4/24/28 • | 1,000,000 | 998,375 | |
Reynolds Group Holdings Tranche B-2 3.354% (LIBOR01M + 3.25%) 2/5/26 • | 472,625 | 470,164 | |
Russell Investments US Institutional Holdco 4.50% (LIBOR03M + 3.50%) 5/30/25 • | 425,673 | 423,917 | |
Ryan Specialty Group Tranche B-1 3.75% (LIBOR01M + 3.00%) 9/1/27 • | 590,538 | 591,571 | |
Scientific Games International Tranche B-5 2.854% (LIBOR01M + 2.75%) 8/14/24 • | 743,088 | 738,676 | |
Sinclair Television Group Tranche B-3 3.10% (LIBOR01M + 3.00%) 4/1/28 • | 640,572 | 635,501 | |
Solenis International 1st Lien 4.135% (LIBOR03M + 4.00%) 6/26/25 • | 577,521 | 578,140 | |
Spirit Aerosystems 6.00% (LIBOR01M + 5.25%) 1/15/25 • | 781,075 | 788,398 |
NQ-OPTFI [6/21] 8/21 (1750335) 33
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
SS&C Technologies Tranche B-3 1.854% (LIBOR01M + 1.75%) 4/16/25 • | 203,913 | $201,832 | |
SS&C Technologies Tranche B-4 1.854% (LIBOR01M + 1.75%) 4/16/25 • | 159,110 | 157,486 | |
Stars Group Holdings 3.648% (LIBOR03M + 3.50%) 7/10/25 • | 128,158 | 128,627 | |
Tecta America 1st Lien 5.00% (LIBOR03M + 4.25%) 4/10/28 • | 303,964 | 304,914 | |
Tecta America 2nd Lien 9.25% (LIBOR03M + 8.50%) 4/6/29 • | 405,000 | 405,000 | |
Telenet Financing Tranche AR 2.073% (LIBOR01M + 2.00%) 4/30/28 • | 545,000 | 537,974 | |
Terrier Media Buyer Tranche B 3.604% (LIBOR01M + 3.50%) 12/17/26 • | 515,181 | 513,392 | |
Transdigm Tranche F 2.354% (LIBOR01M + 2.25%) 12/9/25 • | 590,203 | 582,128 | |
TricorBraun | |||
3.267% (LIBOR03M + 3.25%) 3/3/28 • | 2,969 | 2,950 | |
3.75% (LIBOR06M + 3.25%) 3/3/28 • | 395,941 | 393,436 | |
UKG 4.00% (LIBOR03M + 3.25%) 5/4/26 • | 2,451,487 | 2,456,084 | |
Ultimate Software Group 1st Lien 3.855% (LIBOR01M + 3.75%) 5/4/26 • | 1,951,643 | 1,955,031 | |
United Rentals (North America) 1.854% (LIBOR01M + 1.75%) 10/31/25 • | 48,625 | 48,902 | |
US Foods 1.854% (LIBOR01M + 1.75%) 6/27/23 • | 2,967,817 | 2,944,208 | |
USI 3.397% (LIBOR03M + 3.25%) 12/2/26 • | 165,186 | 163,903 | |
USI Tranche B 3.147% (LIBOR03M + 3.00%) 5/16/24 • | 573,055 | 568,552 | |
Vertical Midco Tranche B 4.478% (LIBOR03M + 4.25%) 7/30/27 • | 730,271 | 732,503 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Vistra Operations 1.85% (LIBOR01M + 1.75%) 12/31/25 • | 517,250 | $514,340 | |
Whole Earth Brands 5.50% (LIBOR03M + 4.50%) 2/2/28 • | 383,088 | 381,172 | |
Zayo Group Holdings 3.104% (LIBOR01M + 3.00%) 3/9/27 • | 2,954,377 | 2,925,448 | |
Zekelman Industries 2.092% (LIBOR01M + 2.00%) 1/24/27 • | 271,817 | 269,297 | |
Total Loan Agreements (cost $80,183,011) | 80,902,724 | ||
Regional Bond — 0.07%Δ | |||
Spain — 0.07% | |||
Autonomous Community of Catalonia 4.90% 9/15/21 | EUR | 1,800,000 | 2,156,974 |
2,156,974 | |||
Total Regional Bond (cost $2,009,198) | 2,156,974 | ||
Sovereign Bonds — 3.29%Δ | |||
Albania — 0.01% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | 191,531 |
191,531 | |||
Angola — 0.01% | |||
Angolan Government International Bonds | |||
144A 8.25% 5/9/28 # | 200,000 | 209,282 | |
8.25% 5/9/28 | 200,000 | 209,282 | |
418,564 | |||
Argentina — 0.02% | |||
Argentine Republic Government International Bonds | |||
0.125% 7/9/30 ~ | 645,050 | 232,676 | |
0.125% 7/9/35 ~ | 674,580 | 215,198 | |
1.00% 7/9/29 | 57,007 | 21,730 | |
469,604 |
34 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Armenia — 0.01% | |||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 200,000 | $189,626 | |
189,626 | |||
Azerbaijan — 0.01% | |||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 319,000 | 331,521 | |
331,521 | |||
Bahrain — 0.01% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 339,885 | |
339,885 | |||
Bermuda — 0.01% | |||
Bermuda Government International Bond 144A 2.375% 8/20/30 # | 200,000 | 200,500 | |
200,500 | |||
Brazil — 0.88% | |||
Brazil Letras do Tesouro Nacional | |||
3.657% 10/1/21 ^ | BRL | 47,200,000 | 9,375,774 |
4.071% 1/1/22 ^ | BRL | 82,700,000 | 16,169,755 |
Brazilian Government International Bonds | |||
3.875% 6/12/30 | 223,000 | 225,263 | |
4.75% 1/14/50 | 233,000 | 226,723 | |
25,997,515 | |||
Chile — 0.06% | |||
Bonos de la Tesoreria de la Republica en pesos 144A 2.30% 10/1/28 # | CLP | 1,105,000,000 | 1,332,785 |
Chile Government International Bonds | |||
2.55% 1/27/32 | 258,000 | 264,321 | |
3.50% 1/25/50 | 200,000 | 209,913 | |
1,807,019 | |||
Colombia — 0.03% | |||
Colombia Government International Bonds | |||
3.00% 1/30/30 | 272,000 | 266,972 | |
3.25% 4/22/32 | 300,000 | 294,588 | |
4.00% 2/26/24 | 202,000 | 214,275 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Colombia (continued) | |||
Colombia Government International Bonds | |||
5.00% 6/15/45 | 200,000 | $213,190 | |
989,025 | |||
Costa Rica — 0.01% | |||
Costa Rica Government International Bond 144A 5.625% 4/30/43 # | 200,000 | 185,780 | |
185,780 | |||
Cyprus — 0.05% | |||
Cyprus Government International Bond 3.875% 5/6/22 | EUR | 1,200,000 | 1,475,348 |
1,475,348 | |||
Dominican Republic — 0.04% | |||
Dominican Republic International Bonds | |||
144A 4.50% 1/30/30 # | 367,000 | 376,179 | |
144A 4.875% 9/23/32 # | 450,000 | 464,625 | |
144A 6.00% 7/19/28 # | 435,000 | 495,465 | |
1,336,269 | |||
Ecuador — 0.02% | |||
Ecuador Government International Bonds | |||
144A 0.50% 7/31/30 #, ~ | 125,307 | 107,452 | |
144A 0.50% 7/31/35 #, ~ | 328,384 | 226,585 | |
144A 0.50% 7/31/40 #, ~ | 278,501 | 173,715 | |
144A 6.61% 7/31/30 #, ^ | 35,471 | 19,730 | |
527,482 | |||
Egypt — 0.05% | |||
Egypt Government International Bonds | |||
144A 5.75% 5/29/24 # | 591,000 | 630,597 | |
7.903% 2/21/48 | 400,000 | 397,108 | |
144A 8.70% 3/1/49 # | 359,000 | 380,325 | |
1,408,030 |
NQ-OPTFI [6/21] 8/21 (1750335) 35
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
El Salvador — 0.01% | |||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 275,000 | $235,125 | |
235,125 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 202,007 | |
202,007 | |||
Georgia — 0.01% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 204,016 | |
204,016 | |||
Ghana — 0.01% | |||
Ghana Government International Bond 144A 7.75% 4/7/29 # | 230,000 | 235,635 | |
235,635 | |||
Guatemala — 0.01% | |||
Guatemala Government Bond 144A 4.875% 2/13/28 # | 400,000 | 452,000 | |
452,000 | |||
Honduras — 0.01% | |||
Honduras Government International Bond 144A 5.625% 6/24/30 # | 300,000 | 315,450 | |
315,450 | |||
Indonesia — 0.10% | |||
Indonesia Government International Bond 144A 4.625% 4/15/43 # | 200,000 | 232,064 | |
Indonesia Treasury Bond 6.125% 5/15/28 | IDR | 40,390,000,000 | 2,789,695 |
3,021,759 | |||
Israel — 0.52% | |||
Israel Government Bonds | |||
0.01% 11/30/21 • | ILS | 8,900,000 | 2,730,072 |
5.50% 1/31/22 | ILS | 10,300,000 | 3,262,190 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Israel (continued) | |||
Israel Government International Bonds | |||
2.75% 7/3/30 | 1,200,000 | $1,282,427 | |
3.875% 7/3/50 | 200,000 | 231,930 | |
Israel Treasury Bill 0.00% 11/30/21 ^ | ILS | 5,300,000 | 1,625,773 |
Makam Treasury Bill 0.00% 3/2/22 ^ | ILS | 13,700,000 | 4,222,011 |
State of Israel | |||
3.375% 1/15/50 | 200,000 | 214,116 | |
3.80% 5/13/60 | 1,600,000 | 1,825,991 | |
15,394,510 | |||
Ivory Coast — 0.02% | |||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 590,000 | 624,202 | |
624,202 | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 208,390 | |
208,390 | |||
Kazakhstan — 0.01% | |||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 303,357 | |
303,357 | |||
Kenya — 0.01% | |||
Republic of Kenya Government International Bonds | |||
144A 6.30% 1/23/34 # | 200,000 | 200,375 | |
144A 8.00% 5/22/32 # | 200,000 | 225,611 | |
425,986 | |||
Kuwait — 0.08% | |||
Kuwait International Government Bond 2.75% 3/20/22 | 2,400,000 | 2,443,884 | |
2,443,884 | |||
Lebanon — 0.00% | |||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 582,000 | 77,479 | |
77,479 |
36 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Malaysia — 0.14% | |||
Malaysia Government Bond 3.955% 9/15/25 | MYR | 16,639,000 | $4,231,910 |
4,231,910 | |||
Mexico — 0.06% | |||
Mexican Bonos 8.50% 5/31/29 | MXN | 25,500,000 | 1,408,929 |
Mexico Government International Bond 4.60% 2/10/48 | 458,000 | 493,021 | |
1,901,950 | |||
Mongolia — 0.02% | |||
Mongolia Government International Bonds | |||
3.50% 7/7/27 # | 200,000 | 197,091 | |
144A 5.625% 5/1/23 # | 306,000 | 323,977 | |
521,068 | |||
Morocco — 0.02% | |||
Morocco Government International Bonds | |||
144A 1.375% 3/30/26 # | EUR | 150,000 | 180,665 |
144A 2.375% 12/15/27 # | 300,000 | 295,173 | |
475,838 | |||
Nigeria — 0.02% | |||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 537,000 | 579,995 | |
579,995 | |||
North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 196,529 |
196,529 | |||
Oman — 0.01% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 343,000 | 342,357 | |
342,357 | |||
Panama — 0.04% | |||
Panama Bonos del Tesoro 3.362% 6/30/31 | 200,000 | 200,766 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Panama (continued) | |||
Panama Government International Bonds | |||
3.16% 1/23/30 | 252,000 | $264,917 | |
144A 3.75% 4/17/26 # | 580,000 | 626,902 | |
1,092,585 | |||
Paraguay — 0.03% | |||
Paraguay Government International Bonds | |||
144A 4.95% 4/28/31 # | 300,000 | 345,378 | |
144A 5.40% 3/30/50 # | 403,000 | 471,812 | |
817,190 | |||
Peru — 0.03% | |||
Peruvian Government International Bonds | |||
2.392% 1/23/26 | 323,000 | 334,001 | |
2.844% 6/20/30 | 512,000 | 528,399 | |
5.625% 11/18/50 | 35,000 | 48,279 | |
910,679 | |||
Qatar — 0.12% | |||
Qatar Government International Bonds | |||
144A 4.40% 4/16/50 # | 400,000 | 487,788 | |
5.103% 4/23/48 | 2,200,000 | 2,926,181 | |
3,413,969 | |||
Romania — 0.01% | |||
Romanian Government International Bonds | |||
144A 2.625% 12/2/40 # | EUR | 123,000 | 144,893 |
144A 3.375% 1/28/50 # | EUR | 223,000 | 282,685 |
427,578 | |||
Russia — 0.04% | |||
Russian Foreign Bond - Eurobonds | |||
144A 4.25% 6/23/27 # | 600,000 | 670,878 | |
144A 4.375% 3/21/29 # | 200,000 | 225,671 | |
144A 5.25% 6/23/47 # | 200,000 | 251,867 | |
1,148,416 |
NQ-OPTFI [6/21] 8/21 (1750335) 37
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Saudi Arabia — 0.35% | |||
Saudi Government International Bonds | |||
2.375% 10/26/21 | 1,000,000 | $1,006,520 | |
144A 2.875% 3/4/23 # | 2,200,000 | 2,285,712 | |
144A 3.625% 3/4/28 # | 541,000 | 598,876 | |
4.50% 10/26/46 | 800,000 | 940,420 | |
144A 4.50% 10/26/46 # | 800,000 | 940,420 | |
144A 5.00% 4/17/49 # | 3,500,000 | 4,430,475 | |
10,202,423 | |||
Senegal — 0.01% | |||
Senegal Government International Bonds | |||
144A 5.375% 6/8/37 # | EUR | 200,000 | 233,830 |
144A 6.75% 3/13/48 # | 210,000 | 212,669 | |
446,499 | |||
Serbia — 0.01% | |||
Serbia International Bonds | |||
144A 2.125% 12/1/30 # | 200,000 | 190,000 | |
144A 3.125% 5/15/27 # | EUR | 100,000 | 132,143 |
322,143 | |||
South Africa — 0.13% | |||
Republic of South Africa Government International Bonds | |||
4.85% 9/30/29 | 3,000,000 | 3,189,975 | |
5.75% 9/30/49 | 200,000 | 205,067 | |
5.875% 6/22/30 | 268,000 | 306,407 | |
3,701,449 | |||
Sri Lanka — 0.01% | |||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 # | 453,000 | 280,774 | |
280,774 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Trinidad and Tobago — 0.01% | |||
Trinidad & Tobago Government International Bond 144A 4.50% 6/26/30 # | 200,000 | $209,070 | |
209,070 | |||
Turkey — 0.04% | |||
Hazine Mustesarligi Varlik Kiralama 144A 5.125% 6/22/26 # | 200,000 | 200,066 | |
Turkey Government International Bond 7.625% 4/26/29 | 500,000 | 548,875 | |
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 350,000 | 347,725 | |
1,096,666 | |||
Ukraine — 0.05% | |||
Ukraine Government International Bonds | |||
144A 7.75% 9/1/26 # | 804,000 | 889,677 | |
144A 9.75% 11/1/28 # | 515,000 | 614,965 | |
1,504,642 | |||
United Kingdom — 0.00% | |||
United Kingdom Gilt 1.75% 9/7/22 | GBP | 100,000 | 141,125 |
141,125 | |||
Uruguay — 0.08% | |||
Uruguay Government International Bonds | |||
4.375% 1/23/31 | 791,000 | 922,314 | |
4.50% 8/14/24 | 57,000 | 62,027 | |
8.50% 3/15/28 | UYU | 62,100,000 | 1,481,860 |
2,466,201 | |||
Uzbekistan — 0.02% | |||
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # | 448,000 | 502,701 | |
502,701 | |||
Total Sovereign Bonds (cost $91,738,351) | 96,945,256 | ||
38 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Principal amount° | Value (US $) | ||
Supranational Banks — 0.03% | |||
Banco Latinoamericano de Comercio Exterior 144A 2.375% 9/14/25 # | 200,000 | $205,297 | |
Banque Ouest Africaine de Developpement | |||
144A 2.75% 1/22/33 # | EUR | 200,000 | 249,349 |
144A 5.00% 7/27/27 # | 406,000 | 452,948 | |
Total Supranational Banks (cost $838,214) | 907,594 | ||
US Treasury Obligations — 30.48% | |||
US Treasury Bonds | |||
1.25% 5/15/50 | 1,800,000 | 1,470,305 | |
1.625% 11/15/50 | 13,500,000 | 12,128,906 | |
1.875% 2/15/41 | 63,430,000 | 62,111,849 | |
1.875% 2/15/51 | 17,725,000 | 16,921,836 | |
2.00% 2/15/50 | 16,000,000 | 15,723,750 | |
2.25% 8/15/46 | 7,900,000 | 8,170,946 | |
2.50% 2/15/45 | 37,100,000 | 40,152,054 | |
2.75% 8/15/42 | 900,000 | 1,014,504 | |
2.75% 11/15/42 | 1,400,000 | 1,577,023 | |
2.875% 5/15/43 | 2,200,000 | 2,530,859 | |
2.875% 8/15/45 | 16,700,000 | 19,310,679 | |
3.00% 5/15/47 | 900,000 | 1,070,473 | |
3.00% 8/15/48 | 3,770,000 | 4,502,499 | |
3.125% 5/15/48 | 1,490,000 | 1,817,625 | |
US Treasury Inflation Indexed Notes | |||
0.125% 7/15/30 | 14,274,991 | 15,760,599 | |
0.875% 1/15/29 | 9,835,959 | 11,388,654 | |
1.75% 1/15/28 | 13,155,317 | 15,907,720 | |
2.375% 1/15/25 | 9,633,968 | 11,198,471 | |
2.375% 1/15/27 | 1,721,525 | 2,109,717 | |
2.50% 1/15/29 | 37,315 | 48,095 | |
US Treasury Notes | |||
0.25% 6/15/24 | 46,615,000 | 46,332,760 | |
0.50% 2/28/26 | 19,200,000 | 18,912,374 | |
0.50% 4/30/27 | 10,900,000 | 10,574,278 | |
0.50% 6/30/27 | 12,900,000 | 12,479,743 | |
0.50% 10/31/27 | 13,200,000 | 12,694,172 | |
0.625% 5/15/30 | 10,300,000 | 9,629,293 | |
0.625% 8/15/30 | 13,800,000 | 12,858,797 | |
0.75% 3/31/26 | 16,700,000 | 16,627,590 | |
0.875% 6/30/26 | 89,845,000 | 89,806,394 | |
0.875% 11/15/30 | 16,600,000 | 15,788,157 | |
1.125% 8/31/21 | 2,500,000 | 2,504,495 | |
1.125% 2/28/27 | 16,900,000 | 17,024,769 | |
1.25% 8/31/24 | 25,600,000 | 26,209,001 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Notes | |||
1.25% 6/30/28 | 23,680,000 | $23,718,849 | |
1.375% 11/15/40 | 100,000 | 89,867 | |
1.50% 1/31/27 ∞ | 1,700,000 | 1,748,012 | |
1.50% 2/15/30 | 24,700,000 | 24,947,966 | |
1.625% 9/30/26 | 8,300,000 | 8,601,200 | |
1.625% 10/31/26 | 12,900,000 | 13,364,098 | |
1.625% 11/30/26 | 25,000,000 | 25,895,508 | |
1.625% 5/15/31 | 21,790,000 | 22,127,065 | |
1.75% 12/31/26 | 10,900,000 | 11,363,250 | |
1.875% 7/31/22 | 39,700,000 | 40,462,986 | |
1.875% 8/31/24 | 2,170,000 | 2,264,047 | |
2.00% 10/31/21 ∞ | 1,600,000 | 1,610,341 | |
2.00% 11/30/22 | 7,700,000 | 7,900,621 | |
2.00% 6/30/24 | 7,700,000 | 8,054,020 | |
2.125% 3/31/24 | 2,010,000 | 2,104,768 | |
2.125% 11/30/24 | 11,130,000 | 11,725,195 | |
2.25% 11/15/24 | 11,030,000 | 11,662,932 | |
2.25% 3/31/26 | 24,500,000 | 26,117,382 | |
2.375% 2/29/24 | 4,000,000 | 4,211,562 | |
2.375% 8/15/24 ∞ | 1,820,000 | 1,927,174 | |
2.375% 4/30/26 | 10,900,000 | 11,689,399 | |
2.50% 1/31/24 | 2,790,000 | 2,943,941 | |
2.50% 2/28/26 | 3,700,000 | 3,984,726 | |
2.625% 3/31/25 | 12,700,000 | 13,642,579 | |
2.75% 7/31/23 | 46,200,000 | 48,594,819 | |
2.875% 11/30/23 | 2,500,000 | 2,653,418 | |
2.875% 7/31/25 | 15,500,000 | 16,854,433 | |
2.875% 11/30/25 | 8,100,000 | 8,839,442 | |
US Treasury Strip Principal 2.26% 5/15/44 ^ | 4,290,000 | 2,656,051 | |
Total US Treasury Obligations (cost $888,521,919) | 898,114,038 |
Number of shares | |||
Common Stock — 0.00% | |||
Century Communications =, † | 1,975,000 | 0 | |
Total Common Stock (cost $59,790) | 0 | ||
Preferred Stock — 0.01% | |||
General Electric 3.449% (LIBOR03M + 3.33%) **, • | 300,000 | 294,375 | |
Total Preferred Stock (cost $299,875) | 294,375 |
NQ-OPTFI [6/21] 8/21 (1750335) 39
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Number of contracts | Value (US $) | ||
Options Purchased — 0.00% | |||
Put Swaptions — 0.00% | |||
10 yr IRS pay a fixed rate 1.80% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 9/29/21, notional amount 53,460,000 (MSCI) | 29,700,000 | $106,935 | |
Options Purchased (premium paid $653,400) | 106,935 |
Number of shares | |||
Short-Term Investments — 5.51% | |||
Money Market Mutual Funds — 2.99% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 22,043,125 | 22,043,125 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 22,043,125 | 22,043,125 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.02%) | 22,043,125 | 22,043,125 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 22,043,125 | 22,043,125 | |
88,172,500 |
Principal amount | Value (US $) | ||
Repurchase Agreements — 2.17% | |||
US Treasury repurchase agreement with J.P. Morgan Securities 0.03%, dated 6/29/21, to be repurchased 7/1/21, repurchase price $32,900,027 (collateralized by US government obligation; 2.50% 5/15/46; market value $33,750,625) | 32,900,000 | $32,900,000 | |
US Treasury repurchase agreement with J.P. Morgan Securities 0.04%, dated 6/30/21, to be repurchased 7/2/21, repurchase price $31,000,034 (collateralized by US government obligation; 0.625% 1/15/24; market value $31,535,720) | 31,000,000 | 31,000,000 | |
63,900,000 | |||
US Treasury Obligation — 0.35%≠ | |||
United States Cash Management Bill 0.01% 9/14/21∞ | 10,288,000 | 10,287,143 | |
10,287,143 | |||
Total Short-Term Investments (cost $162,360,286) | 162,359,643 | ||
Total Value of Securities Before Options Written—111.05% (cost $3,195,411,952) | 3,271,637,956 |
40 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Number of contracts | Value (US $) | ||
Options Written — (0.00%) | |||
Put Swaptions — (0.00%) | |||
10 yr IRS pay a fixed rate 2.30% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 9/29/21, notional amount (68,310,000) (MSCI) | (29,700,000) | $(15,937) | |
CDX.NA.IG 36 5 yr strike price $0.75, expiration date 8/18/21, notional amount (3,075,000) (BAML) | (4,100,000) | (806) | |
CDX.NA.IG 36 5 yr strike price $0.95, expiration date 9/15/21, notional amount (6,365,000) (CITI) | (6,700,000) | (1,507) | |
(18,250) | |||
Total Options Written (premium received $246,545) | (18,250) | ||
Liabilities Net of Receivables and Other Assets—(11.05%)★ | (325,488,957) | ||
Net Assets Applicable to 298,738,578 Shares Outstanding—100.00% | $2,946,130,749 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
† | Non-income producing security. |
∞ | Fully or partially pledged as collateral for futures and swap contracts. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at June 30, 2021. |
Δ | Securities have been classified by country of origin. |
X | This loan will settle after June 30, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
‡ | Non-income producing security. Security is currently in default. |
** | Perpetual security with no stated maturity date. |
>> | PIK. 100% of the income received was in the form of principal. |
≠ | The rate shown is the effective yield at the time of purchase. |
> | PIK. 63% of the income received was in principal and 37% was in cash. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2021. Rate will reset at a future date. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
Σ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2021, the aggregate value of Rule 144A securities was $550,887,731, which represents 18.70% of the Fund's net assets. |
ψ | Perpetual security. Maturity date represents next call date. |
★ | Includes $2,146,000 cash collateral held at brokers for certain open derivatives, $1,567,000 cash collateral pledged for TBA transactions, and $420,000 cash collateral due to brokers for certain open derivatives. |
NQ-OPTFI [6/21] 8/21 (1750335) 41
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Unfunded Loan Commitments
The Fund may invest in floating rate loans. In connection with these investments, the Fund may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. The following unfunded loan commitment was outstanding at June 30, 2021:
Borrower | Principal Amount | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
TricorBraun 3.75% (LIBOR06M + 3.25%) 3/3/28 | $86,090 | $86,090 | $85,545 | $(545) |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at June 30, 2021:
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BAML | BRL | 18,169,801 | USD | (3,422,549) | 7/2/21 | $229,693 | $— | |||||
BAML | EUR | (1,367,000) | USD | 1,632,344 | 7/2/21 | 11,354 | — | |||||
BAML | GBP | (737,000) | USD | 1,040,795 | 7/2/21 | 21,297 | — | |||||
BAML | INR | 23,338,266 | USD | (316,987) | 9/15/21 | — | (6,107) | |||||
BAML | MXN | (9,332,000) | USD | 472,390 | 7/14/21 | 5,071 | — | |||||
BNP | BRL | (77,000,000) | USD | 13,560,396 | 1/4/22 | — | (1,500,649) | |||||
BNP | EUR | (65,697,000) | USD | 80,370,608 | 7/2/21 | 2,467,013 | — | |||||
BNP | EUR | 72,600,000 | USD | (86,096,340) | 7/2/21 | — | (7,157) | |||||
BNP | EUR | (72,600,000) | USD | 86,152,792 | 8/3/21 | 5,200 | — | |||||
BNP | ILS | (5,301,590) | USD | 1,632,262 | 11/30/21 | 2,484 | — | |||||
BNP | JPY | (106,100,000) | USD | 955,941 | 7/2/21 | 889 | — | |||||
BNP | JPY | 106,100,000 | USD | (970,117) | 7/2/21 | — | (15,065) | |||||
BNP | JPY | 106,100,000 | USD | (956,206) | 8/3/21 | — | (893) | |||||
BNP | KRW | (128,438,975) | USD | 115,257 | 9/15/21 | 1,628 | — | |||||
BNP | MXN | (4,214,000) | USD | 208,750 | 11/8/21 | 1,042 | — | |||||
CITI | EUR | (3,577,000) | USD | 4,255,818 | 7/2/21 | 14,207 | — | |||||
CITI | GBP | 16,882,000 | USD | (23,409,256) | 7/2/21 | — | (56,241) | |||||
CITI | GBP | (16,882,000) | USD | 23,411,137 | 8/3/21 | 55,937 | — | |||||
CITI | ILS | (8,001,600) | USD | 2,472,262 | 11/30/21 | 12,464 | — | |||||
CITI | ILS | (900,225) | USD | 276,634 | 11/30/21 | — | (106) | |||||
CITI | ILS | (10,869,075) | USD | 3,329,438 | 1/31/22 | — | (15,721) | |||||
CITI | ILS | (13,700,190) | USD | 4,182,700 | 3/2/22 | — | (36,297) | |||||
CITI | ZAR | 53,353,653 | USD | (3,830,407) | 9/15/21 | — | (131,645) | |||||
CITI | ZAR | 49,239,861 | USD | (3,593,403) | 9/16/21 | — | (180,301) | |||||
JPMCB | BRL | (18,169,801) | USD | 3,697,558 | 7/2/21 | 45,316 | — | |||||
JPMCB | BRL | 18,169,801 | USD | (3,686,268) | 8/3/21 | — | (47,099) | |||||
JPMCB | BRL | (47,200,000) | USD | 8,349,389 | 10/4/21 | — | (1,022,802) | |||||
JPMCB | BRL | (5,700,000) | USD | 997,113 | 1/4/22 | — | (117,795) | |||||
JPMCB | EUR | (1,959,000) | USD | 2,339,055 | 7/2/21 | 16,071 | — | |||||
JPMCB | EUR | (1,392,000) | USD | 1,686,118 | 7/30/21 | 34,496 | — | |||||
JPMCB | GBP | (16,145,000) | USD | 22,851,847 | 7/2/21 | 518,331 | — | |||||
JPMCB | MXN | (5,811,000) | USD | 280,467 | 7/14/21 | — | (10,530) | |||||
Total Foreign Currency Exchange Contracts | $3,442,493 | $(3,148,408) |
42 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
Futures Contracts Exchange-Traded | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
133 | Euro-BTP | $23,878,076 | $23,911,194 | 9/8/21 | $— | $(33,118) | $103,006 | ||||||
(73) | Euro-Bund | (14,941,079) | (14,934,154) | 9/8/21 | — | (6,925) | (46,888) | ||||||
(28) | Long 10 yr Gilt | (4,961,620) | (4,945,740) | 9/28/21 | — | (15,880) | (5,409) | ||||||
689 | US Treasury 5 yr Notes | 85,043,055 | 85,243,852 | 9/30/21 | — | (200,797) | 43,062 | ||||||
(204) | US Treasury 5 yr Notes | (25,179,656) | (25,337,417) | 9/30/21 | 157,761 | — | (12,750) | ||||||
162 | US Treasury 10 yr Notes | 21,465,000 | 21,535,891 | 9/21/21 | — | (70,891) | 37,968 | ||||||
(382) | US Treasury 10 yr Ultra Notes | (56,231,594) | (55,839,548) | 9/21/21 | — | (392,046) | (185,033) | ||||||
337 | US Treasury Long Bonds | 54,172,750 | 53,688,346 | 9/21/21 | 484,404 | — | 221,156 | ||||||
(168) | US Treasury Ultra Bonds | (32,371,500) | (31,452,546) | 9/21/21 | — | (918,954) | (189,000) | ||||||
Total Futures Contracts | $51,869,878 | $642,165 | $(1,638,611) | $(33,888) |
Swap Contracts
CDS Contracts1 | ||||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
Protection SoldMoody's Ratings: | ||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24-Quarterly | 1,800,000 | 1.000% | $32,181 | $30,639 | $1,542 | $— | $110 | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 54,380 | 65,473 | — | (11,093) | (644) | |||||||
CDX.ITRX.EUR.344 12/20/25-Quarterly | EUR 8,000,000 | 1.000% | 259,412 | 249,155 | 10,257 | — | (2,751) | |||||||
CDX.ITRX.EUR.344 6/20/26-Quarterly | EUR 9,500,000 | 1.000% | 300,208 | 282,292 | 17,916 | — | (3,630) | |||||||
CDX.NA.HY.355 12/20/25-Quarterly | 600,000 | 5.000% | 60,794 | 56,506 | 4,288 | — | (154) | |||||||
CDX.NA.HY.365 6/22/26-Quarterly | 3,400,000 | 5.000% | 347,248 | 321,390 | 25,858 | — | (950) | |||||||
CDX.NA.IG.356 12/20/25-Quarterly | 5,800,000 | 1.000% | 146,175 | 136,946 | 9,229 | — | (491) | |||||||
CDX.NA.IG.366 6/20/26-Quarterly | 30,500,000 | 1.000% | 774,153 | 720,765 | 53,388 | — | (2,406) | |||||||
Stellantis 5.00% 1/11/21 Baa3 6/20/26-Quarterly | EUR 1,900,000 | 5.000% | 442,396 | 447,523 | — | (5,127) | (5,013) | |||||||
Telefonica Emisiones 1.00% 5/12/20 Baa3 6/20/28-Quarterly | EUR 1,300,000 | 1.000% | 11,243 | 1,108 | 10,135 | — | (175) |
NQ-OPTFI [6/21] 8/21 (1750335) 43
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | |||||||
Protection SoldMoody's Ratings (continued): | �� | |||||||||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR 2,700,000 | 1.000% | $15,622 | $802 | $14,820 | $— | $2,438 | |||||||
2,443,812 | 2,312,599 | 147,433 | (16,220) | (13,666) | ||||||||||
Over-The-Counter: | ||||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||||
JPMCB Mexico 10.375% 1/28/33 Baa2 6/22/26-Quarterly | 2,085,000 | 1.000% | (6,262) | 15,517 | — | (21,779) | — | |||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 12/20/26-Quarterly | 2,570,000 | 1.000% | 80,805 | 80,805 | — | — | — | |||||||
JPMCB HOCHTIEF 1.75% 3/7/2025 BBB 12/20/25-Quarterly | EUR 2,200,000 | 5.000% | 473,330 | 467,224 | 6,106 | — | — | |||||||
Protection SoldMoody's Ratings: | ||||||||||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/22-Quarterly | 250,000 | 1.000% | 1,360 | (738) | 2,098 | — | — | |||||||
CITI Barclays Bank 1.75% 1/8/25 AAA 12/20/21-Quarterly | EUR 1,400,000 | 1.000% | 6,093 | 4,495 | 1,598 | — | — | |||||||
CITI Republic of Brazil 4.25% 1/7/25 Ba2 6/20/22-Quarterly | 100,000 | 1.000% | 441 | (1,227) | 1,668 | — | — | |||||||
CITI Republic of Colombia 10.375% 1/28/33 Baa2 12/20/24-Quarterly | 200,000 | 1.000% | (72) | 516 | — | (588) | — | |||||||
DB CMBX.NA.AAA7 10/17/57-Monthly | 14,200,000 | 0.500% | 143,006 | (835,406) | 978,412 | — | — | |||||||
GSC Republic of Brazil 4.25% 1/7/25 Ba2 6/20/22-Quarterly | 500,000 | 1.000% | 2,207 | (6,300) | 8,507 | — | — | |||||||
JPMCB Republic of South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | (853) | (16,712) | 15,859 | — | — | |||||||
700,055 | (291,826) | 1,014,248 | (22,367) | — | ||||||||||
Total CDS Contracts | $3,143,867 | $2,020,773 | $1,161,681 | $(38,587) | $(13,666) |
44 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to Brokers) | |||||||
Centrally Cleared: | ||||||||||||||
1 yr IRS9 3/24/23- (28 Days/ 28 Days) | MXN 1,450,000,000 | (5.66)%/ 4.797% | $(602,800) | $(72,103) | $— | $(530,697) | $2,608 | |||||||
2 yr IRS103/30/23- (Semiannually/ Quarterly) | 7,600,000 | 0.25%/ (0.199)% | 2,904 | (5,948) | 8,852 | — | (686) | |||||||
2 yr IRS11 1/2/23- (At Maturity/ At Maturity) | BRL 166,400,000 | 0.068%/ (2.15)% | (93,720) | (149,496) | 55,776 | — | (8,286) | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 306,100,000 | 3.364%/ (2.54)% | (349,574) | (159,619) | — | (189,955) | (2,091) | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 9,000,000 | 2.886%/ (2.15)% | 22,073 | 13,732 | 8,341 | — | 14 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 11,300,000 | 2.883%/ (2.15)% | 27,800 | 17,307 | 10,493 | — | 17 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 69,100,000 | 2.859%/ (2.15)% | 170,515 | 108,655 | 61,860 | — | 90 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 29,900,000 | 2.871%/ (2.14)% | 74,942 | 46,869 | 28,073 | — | 40 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 42,200,000 | 2.87%/ (2.15)% | 106,125 | 66,426 | 39,699 | — | 54 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 175,200,000 | 2.85%/ (2.18)% | 448,779 | 282,052 | 166,727 | — | 193 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 28,300,000 | 2.86%/ (2.13)% | 72,348 | 45,466 | 26,882 | — | 32 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 23,200,000 | 2.86%/ (2.12)% | 59,479 | 37,405 | 22,074 | — | 25 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 11,500,000 | 2.88%/ (2.12)% | 29,037 | 18,200 | 10,837 | — | 14 | |||||||
2 yr IRS11 1/3/22- (At Maturity/ At Maturity) | BRL 93,600,000 | 3.55%/ (2.045)% | (177,084) | (92,758) | — | (84,326) | (408) | |||||||
2 yr IRS12 3/3/22- (Semiannually/ Quarterly) | CAD 8,800,000 | (1.27)%/ 0.438% | 38,526 | 40,048 | — | (1,522) | (324) |
NQ-OPTFI [6/21] 8/21 (1750335) 45
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to Brokers) | |||||||
Centrally Cleared (continued): | ||||||||||||||
2 yr IRS12 3/3/22- (Semiannually/ Quarterly) | CAD 2,400,000 | (1.273)%/ 0.438% | $10,540 | $10,956 | $— | $(416) | $(89) | |||||||
2 yr IRS12 6/17/22- (Semiannually/ Quarterly) | CAD 4,000,000 | (1.50)%/ 0.438% | 30,744 | 32,682 | — | (1,938) | (202) | |||||||
3 yr IRS11 1/2/24- (At Maturity/ At Maturity) | BRL 110,400,000 | 0.075%/ (2.15)% | (47,573) | 29,227 | — | (76,800) | (9,721) | |||||||
5 yr IRS10 3/3/25- (Semiannually/ Quarterly) | 42,100,000 | (0.64)%/ 0.189% | (497,651) | (337,854) | — | (159,797) | 30,889 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Quarterly) | CAD 800,000 | (1.29)%/ 0.438% | 1,128 | 4,389 | — | (3,261) | 127 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Quarterly) | CAD 2,600,000 | (1.275)%/ 0.438% | 2,523 | 13,095 | — | (10,572) | 415 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Quarterly) | CAD 1,600,000 | (1.276)%/ 0.438% | 1,599 | 8,106 | — | (6,507) | 255 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Quarterly) | CAD 2,900,000 | (1.22)%/ 0.438% | (1,856) | 9,826 | — | (11,682) | 464 | |||||||
5 yr IRS12 3/4/25- (Semiannually/ Quarterly) | CAD 20,500,000 | (1.235)%/ 0.438% | (4,119) | 78,436 | — | (82,555) | 3,285 | |||||||
5 yr IRS12 6/16/26- (Semiannually/ Quarterly) | CAD 30,300,000 | (0.01)%/ 0.438% | (525,150) | (437,926) | — | (87,224) | 10,789 | |||||||
5 yr IRS13 9/16/25- (Semiannually/ Semiannually) | GBP 5,700,000 | 0.50%/ (0.048)% | (28,774) | (49,795) | 21,021 | — | (4,322) | |||||||
5 yr IRS14 9/15/26- (Annually/ Annually) | GBP 28,100,000 | 0.005%/ 0% | (457) | (57,032) | 56,575 | — | (31,842) | |||||||
7 yr IRS10 12/16/22- (Semiannually/ Quarterly) | 41,600,000 | 2.25%/ (2.41)% | (1,232,865) | (1,259,458) | 26,593 | — | (212) | |||||||
10 yr IRS10 3/3/25- (Semiannually/ Quarterly) | 8,600,000 | (1.80)%/ 0.202% | 250,137 | 127,848 | 122,289 | — | 31,303 | |||||||
30 yr IRS10 3/30/51- (Semiannually/ Quarterly) | 600,000 | 1.15%/ (0.199)% | 87,213 | 115,870 | — | (28,657) | (4,869) |
46 NQ-OPTFI [6/21] 8/21 (1750335)
(Unaudited)
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount2 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation3 | Unrealized Depreciation3 | Variation Margin Due from (Due to Brokers) | |||||||
Centrally Cleared (continued): | ||||||||||||||
30 yr IRS10 12/15/21- (Semiannually/ Quarterly) | 4,600,000 | (0.20)%/ 0.199% | $(249,646) | $(266,097) | $16,451 | $— | $(42,683) | |||||||
Total IRS Contracts | $(2,374,857) | $(1,781,491) | $682,543 | $(1,275,909) | $(25,121) |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts and foreign currency exchange contracts presented above represent the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin are reflected in the Fund's net assets.
1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(30,656). |
4 | Markit’s iTraxx Europe Subordinated Financials Index, or the ITRX EUR SUB FIN, is comprised of 25 Financial entities from the Markit iTraxx® Europe Index referencing subordinated debt. |
5 | Markit’s North America High Yield CDX Index, or the CDX.NA.HY Index, is composed of 100 liquid North American entities with high yield credit ratings that trade is in the CDS market. |
6 | Markit’s North America Investment Grade Index, or the CDX.NA.IG Index, is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market. |
7 | Markit’s CMBX Index, or the CMBX.NA Index, is a synthetic tradable index referencing a basket of 25 commercial mortgage backed securities in North America. Credit-quality rating are measured on a scale that generally ranges from AAA (highest) to |
BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government. | |
8 | An IRS agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts. |
9 | Rate resets based on MXIBTIIE. |
10 | Rate resets based on LIBOR03M. |
11 | Rate paid based on Brazil CETIP Interbank Deposit. |
12 | Rate resets based on CAD0003M. |
13 | Rate resets based on BP0006M. |
14 | Rate resets based on BP0012M. |
Summary of abbreviations: |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
BAML – Bank of America Merrill Lynch |
BB – Barclays Bank |
BNP – BNP Paribas |
BP0003M – 3 Month Sterling LIBOR Interest Rate |
BP0006M – 6 Month Sterling LIBOR Interest Rate |
BP0012M – 12 Month Sterling LIBOR Interest Rate |
BTP – Buoni del Tesoro Poliennali |
CDS – Credit Default Swap |
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe |
NQ-OPTFI [6/21] 8/21 (1750335) 47
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Summary of abbreviations: (continued) |
CDX.NA.HY – Credit Default Swap Index North America High Yield |
CDX.NA.IG – Credit Default Swap Index North America Investment Grade |
CITI – Citigroup |
CLO – Collateralized Loan Obligation |
COF 11 – Cost of Funds for the 11th District of San Francisco |
DAC – Designated Activity Company |
DB – Deutsche Bank |
EUR003M – EURIBOR EUR 3 Month |
EURIBOR – Euro interbank offered rate |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
GSC – Goldman Sachs Bank USA |
H15T1Y – US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
ICE – Intercontinental Exchange, Inc. |
IRS – Interest Rate Swap |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
JSC – Joint Stock Company |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
LIBOR12M – ICE LIBOR USD 12 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
Summary of abbreviations: (continued) |
MSCI – Morgan Stanley Capital International |
PIK – Payment-in-kind |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
SONIA3M – 3 Month Sterling Overnight Indexed Average |
TBA – To be announced |
TBD – To be determined |
yr – Year |
Summary of currencies: |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CLP – Chilean Peso |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
IDR – Indonesia Rupiah |
ILS – Israel Shekel |
INR – Indian Rupee |
JPY – Japanese Yen |
KRW – South Korean Won |
MXN – Mexican Peso |
MYR – Malaysia Ringgit |
USD – US Dollar |
UYU – Uruguay Peso |
ZAR – South Africa Rand |
48 NQ-OPTFI [6/21] 8/21 (1750335)