Schedule of investments
Optimum Fixed Income Fund
December 31, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Agency Asset-Backed Securities — 0.02% | |||
SLM Student Loan Trust | |||
Series 2003-11 A6 144A 0.753% (LIBOR03M + 0.55%) 12/15/25 #, • | 76,750 | $ 76,730 | |
Series 2008-9 A 1.624% (LIBOR03M + 1.50%) 4/25/23 • | 608,673 | 612,805 | |
Total Agency Asset-Backed Securities (cost $685,843) | 689,535 | ||
Agency Collateralized Mortgage Obligations — 2.71% | |||
Fannie Mae Connecticut Avenue Securities | |||
Series 2017-C03 1M2 3.103% (LIBOR01M + 3.00%) 10/25/29 • | 5,805,287 | 5,939,944 | |
Series 2017-C04 2M2 2.953% (LIBOR01M + 2.85%) 11/25/29 • | 350,290 | 359,070 | |
Series 2018-C01 1M2 2.353% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30 • | 1,056,403 | 1,068,335 | |
Series 2018-C03 1M2 2.253% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30 • | 529,063 | 535,426 | |
Fannie Mae Grantor Trust | |||
Series 1999-T2 A1 7.50% 1/19/39 • | 3,938 | 4,211 | |
Series 2004-T1 1A2 6.50% 1/25/44 | 3,754 | 4,295 | |
Fannie Mae REMIC Trust | |||
Series 2004-W11 1A2 6.50% 5/25/44 | 26,842 | 30,843 | |
Series 2004-W15 1A1 6.00% 8/25/44 | 18,848 | 21,189 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
Fannie Mae REMICs | |||
Series 1999-19 PH 6.00% 5/25/29 | 33,445 | $ 37,060 | |
Series 2001-14 Z 6.00% 5/25/31 | 2,078 | 2,274 | |
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,477,761 | 1,241,369 | |
Series 2008-24 ZA 5.00% 4/25/38 | 5,183,353 | 5,775,058 | |
Series 2009-2 AS 5.598% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39 Σ, • | 290,230 | 43,624 | |
Series 2009-68 SA 6.648% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39 Σ, • | 119,553 | 19,601 | |
Series 2011-118 DC 4.00% 11/25/41 | 289,839 | 305,262 | |
Series 2017-40 GZ 3.50% 5/25/47 | 389,636 | 411,883 | |
Series 2017-95 FA 0.436% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47 • | 279,660 | 279,035 | |
Freddie Mac REMICs | |||
Series 2165 PE 6.00% 6/15/29 | 30,741 | 34,160 | |
Series 3143 BC 5.50% 2/15/36 | 854,363 | 973,687 | |
Series 3289 SA 6.64% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37 Σ, • | 370,545 | 77,152 | |
Series 4676 KZ 2.50% 7/15/45 | 376,409 | 381,074 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | |||
Series 2017-DNA3 M2 2.603% (LIBOR01M + 2.50%) 3/25/30 • | 312,988 | 319,011 | |
Series 2018-HQA1 M2 2.403% (LIBOR01M + 2.30%) 9/25/30 • | 728,973 | 737,204 |
NQ-OPTFI [12/21] 2/22 (2028215) 1
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 2.053% (LIBOR01M + 1.95%) 10/25/49 #, • | 363,239 | $ 364,315 | |
Series 2019-HQA4 M2 144A 2.153% (LIBOR01M + 2.05%) 11/25/49 #, • | 308,521 | 309,018 | |
Series 2020-DNA2 M2 144A 1.953% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #, • | 349,321 | 350,526 | |
Series 2020-DNA6 M2 144A 2.05% (SOFR + 2.00%) 12/25/50 #, • | 3,600,000 | 3,619,147 | |
Series 2021-DNA1 M2 144A 1.85% (SOFR + 1.80%) 1/25/51 #, • | 7,000,000 | 7,015,462 | |
Series 2021-DNA3 M2 144A 2.15% (SOFR + 2.10%) 10/25/33 #, • | 2,500,000 | 2,544,639 | |
Series 2021-DNA5 M2 144A 1.70% (SOFR + 1.65%) 1/25/34 #, • | 3,300,000 | 3,314,130 | |
Series 2021-HQA1 M2 144A 2.30% (SOFR + 2.25%) 8/25/33 #, • | 7,000,000 | 7,046,302 | |
Series 2021-HQA2 M2 144A 2.10% (SOFR + 2.05%) 12/25/33 #, • | 5,000,000 | 5,009,512 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 10,505 | 12,319 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 3,948 | 4,467 |
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2008-65 SB 5.896% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38 Σ, • | 299,651 | $ 35,422 | |
Series 2009-2 SE 5.716% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39 Σ, • | 1,009,634 | 133,578 | |
Series 2011-H21 FT 0.84% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 • | 4,516,265 | 4,500,997 | |
Series 2011-H23 FA 0.781% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61 • | 2,858,854 | 2,876,763 | |
Series 2012-H08 FB 0.681% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62 • | 396,035 | 397,482 | |
Series 2012-H18 NA 0.601% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62 • | 242,846 | 243,622 | |
Series 2012-H29 SA 0.596% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62 • | 3,099,098 | 3,109,489 | |
Series 2013-113 LY 3.00% 5/20/43 | 173,000 | 183,245 | |
Series 2015-H10 FA 0.681% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65 • | 9,772,847 | 9,829,440 |
2 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Collateralized Mortgage Obligations (continued) | |||
GNMA | |||
Series 2015-H11 FC 0.631% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65 • | 1,175,018 | $ 1,180,282 | |
Series 2015-H12 FB 0.681% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65 • | 4,794,778 | 4,821,588 | |
Series 2015-H20 FB 0.681% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65 • | 1,339,730 | 1,347,763 | |
Series 2015-H30 FD 0.681% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65 • | 77,828 | 78,172 | |
Series 2016-H06 FD 1.001% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65 • | 1,403,788 | 1,423,577 | |
Series 2017-163 ZK 3.50% 11/20/47 | 3,449,614 | 3,629,648 | |
Total Agency Collateralized Mortgage Obligations (cost $80,630,674) | 81,981,672 | ||
Agency Commercial Mortgage-Backed Securities — 0.23% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ♦ | 1,070,000 | 1,125,933 | |
FREMF Mortgage Trust | |||
Series 2012-K18 B 144A 4.172% 1/25/45 #, • | 1,000,000 | 999,561 | |
Series 2012-K22 B 144A 3.679% 8/25/45 #, • | 665,000 | 674,878 |
Principal amount° | Value (US $) | ||
Agency Commercial Mortgage-Backed Securities (continued) | |||
FREMF Mortgage Trust | |||
Series 2013-K24 B 144A 3.506% 11/25/45 #, • | 3,675,000 | $ 3,740,470 | |
Series 2017-K71 B 144A 3.753% 11/25/50 #, • | 470,000 | 506,170 | |
Total Agency Commercial Mortgage-Backed Securities (cost $6,879,794) | 7,047,012 | ||
Agency Mortgage-Backed Securities — 17.02% | |||
Fannie Mae | |||
5.50% 3/1/37 | 5,958 | 6,453 | |
5.50% 7/1/37 | 2,659 | 2,751 | |
Fannie Mae S.F. 15 yr | |||
2.00% 3/1/36 | 3,671,200 | 3,779,152 | |
2.50% 7/1/36 | 13,533,795 | 14,064,760 | |
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 3,276,433 | 3,329,195 | |
2.00% 4/1/41 | 1,497,940 | 1,514,941 | |
2.00% 5/1/41 | 2,965,118 | 3,012,864 | |
3.00% 9/1/37 | 1,639,179 | 1,730,745 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 8,640,631 | 8,630,243 | |
2.00% 1/1/51 | 4,812,027 | 4,801,954 | |
2.00% 2/1/51 | 4,127,904 | 4,128,589 | |
2.00% 3/1/51 | 6,840,328 | 6,825,461 | |
2.00% 5/1/51 | 1,278,566 | 1,276,352 | |
2.00% 8/1/51 | 1,488,167 | 1,489,165 | |
2.50% 10/1/50 | 1,562,234 | 1,602,271 | |
2.50% 1/1/51 | 3,319,534 | 3,389,943 | |
2.50% 5/1/51 | 1,202,252 | 1,229,591 | |
2.50% 7/1/51 | 17,827,705 | 18,227,032 | |
2.50% 8/1/51 | 7,782,222 | 7,997,808 | |
2.50% 9/1/51 | 5,216,927 | 5,331,716 | |
2.50% 11/1/51 | 5,270,903 | 5,391,567 | |
2.50% 12/1/51 | 1,720,000 | 1,761,000 | |
3.00% 10/1/42 | 1,468,142 | 1,558,879 | |
3.00% 4/1/43 | 501,271 | 531,026 | |
3.00% 1/1/47 | 1,942,290 | 2,047,651 | |
3.00% 11/1/48 | 772,662 | 810,126 | |
3.00% 12/1/49 | 4,213,429 | 4,425,135 | |
3.00% 3/1/50 | 1,938,255 | 2,037,597 | |
3.00% 7/1/50 | 1,023,481 | 1,065,266 | |
3.00% 8/1/50 | 2,354,495 | 2,439,941 | |
3.00% 5/1/51 | 686,800 | 721,999 | |
3.00% 7/1/51 | 5,259,723 | 5,551,163 | |
3.00% 8/1/51 | 10,846,047 | 11,374,974 |
NQ-OPTFI [12/21] 2/22 (2028215) 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% 12/1/51 | 2,226,000 | $ 2,311,252 | |
3.50% 7/1/47 | 2,175,316 | 2,342,107 | |
3.50% 12/1/47 | 464,748 | 492,720 | |
3.50% 1/1/48 | 1,072,927 | 1,138,282 | |
3.50% 2/1/48 | 1,904,853 | 2,043,750 | |
3.50% 7/1/48 | 1,502,700 | 1,592,247 | |
3.50% 11/1/48 | 1,239,578 | 1,310,708 | |
3.50% 1/1/50 | 1,708,635 | 1,801,707 | |
3.50% 3/1/50 | 810,804 | 859,098 | |
3.50% 8/1/51 | 1,224,687 | 1,302,193 | |
4.00% 10/1/40 | 10,316 | 11,327 | |
4.00% 11/1/40 | 44,750 | 48,882 | |
4.00% 3/1/46 | 61,058 | 66,581 | |
4.00% 4/1/47 | 600,260 | 655,858 | |
4.00% 6/1/48 | 2,937,705 | 3,189,658 | |
4.00% 9/1/48 | 3,083,892 | 3,283,959 | |
4.00% 10/1/48 | 2,903,714 | 3,174,294 | |
4.00% 1/1/49 | 58,763 | 62,527 | |
4.00% 3/1/49 | 172,788 | 183,755 | |
4.00% 6/1/49 | 701,821 | 761,084 | |
4.50% 5/1/35 | 33,598 | 36,829 | |
4.50% 8/1/35 | 58,901 | 64,860 | |
4.50% 9/1/35 | 71,542 | 78,783 | |
4.50% 5/1/39 | 204,890 | 226,442 | |
4.50% 6/1/40 | 150,683 | 166,686 | |
4.50% 7/1/40 | 196,209 | 209,451 | |
4.50% 2/1/41 | 632,335 | 699,050 | |
4.50% 4/1/41 | 29,726 | 32,755 | |
4.50% 1/1/42 | 2,230,171 | 2,451,305 | |
4.50% 10/1/45 | 618,063 | 682,020 | |
4.50% 5/1/46 | 355,823 | 392,692 | |
4.50% 4/1/48 | 819,448 | 904,856 | |
4.50% 7/1/48 | 189,996 | 203,365 | |
4.50% 8/1/48 | 141,107 | 151,130 | |
4.50% 9/1/48 | 278,010 | 302,817 | |
4.50% 12/1/48 | 287,576 | 307,513 | |
4.50% 1/1/49 | 3,760,990 | 4,113,653 | |
4.50% 1/1/50 | 1,043,777 | 1,131,587 | |
5.00% 3/1/34 | 1,063 | 1,197 | |
5.00% 4/1/34 | 5,021 | 5,675 | |
5.00% 8/1/34 | 9,748 | 11,006 | |
5.00% 4/1/35 | 1,782 | 1,944 | |
5.00% 12/1/37 | 1,087 | 1,209 | |
5.00% 3/1/38 | 60,640 | 68,588 | |
5.00% 6/1/38 | 2,237 | 2,442 | |
5.00% 5/1/40 | 68,209 | 76,784 | |
5.00% 7/1/47 | 421,104 | 476,866 | |
5.50% 12/1/33 | 8,217 | 9,036 | |
5.50% 2/1/35 | 163,343 | 186,394 | |
5.50% 5/1/44 | 7,762,708 | 8,834,471 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
6.00% 9/1/36 | 10,346 | $ 11,459 | |
6.00% 8/1/38 | 29,261 | 32,327 | |
6.00% 12/1/38 | 3,534 | 4,099 | |
6.00% 6/1/41 | 1,184,163 | 1,367,480 | |
6.00% 7/1/41 | 3,973,192 | 4,595,810 | |
6.00% 1/1/42 | 997,915 | 1,155,796 | |
6.50% 11/1/33 | 1,659 | 1,843 | |
6.50% 2/1/36 | 27,852 | 31,991 | |
6.50% 3/1/36 | 49,430 | 55,269 | |
6.50% 6/1/36 | 42,003 | 48,303 | |
6.50% 2/1/38 | 16,487 | 18,711 | |
6.50% 11/1/38 | 2,406 | 2,789 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 1/1/51 | 13,751,000 | 13,708,632 | |
2.50% 1/1/51 | 11,524,000 | 11,757,237 | |
3.00% 1/1/51 | 138,000,000 | 142,962,935 | |
3.00% 2/1/51 | 21,000,000 | 21,723,236 | |
2.50% 2/1/51 | 29,600,000 | 30,123,923 | |
Freddie Mac ARM | |||
2.00% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 • | 13,155 | 13,216 | |
2.43% (LIBOR12M + 2.18%, Cap 10.516%, Floor 2.18%) 5/1/37 • | 45,874 | 48,297 | |
Freddie Mac S.F. 15 yr | |||
2.00% 12/1/35 | 2,838,907 | 2,909,037 | |
3.00% 3/1/35 | 8,763,641 | 9,239,871 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 3,737,203 | 3,792,758 | |
2.00% 4/1/41 | 3,410,042 | 3,464,956 | |
2.00% 6/1/41 | 516,371 | 524,687 | |
2.50% 6/1/41 | 6,760,573 | 6,980,042 | |
5.50% 10/1/23 | 2,975 | 3,254 | |
5.50% 8/1/24 | 2,406 | 2,633 | |
Freddie Mac S.F. 30 yr | |||
2.00% 4/1/51 | 1,554,721 | 1,551,311 | |
2.00% 9/1/51 | 5,383,600 | 5,375,947 | |
2.00% 11/1/51 | 7,921,408 | 7,904,317 | |
2.50% 10/1/50 | 2,843,771 | 2,928,360 | |
2.50% 11/1/50 | 2,584,791 | 2,647,176 | |
2.50% 2/1/51 | 4,856,541 | 5,001,232 | |
2.50% 10/1/51 | 7,185,657 | 7,396,223 | |
3.00% 11/1/46 | 2,711,740 | 2,860,586 | |
3.00% 11/1/49 | 2,776,693 | 2,884,648 | |
3.00% 12/1/49 | 638,571 | 666,070 | |
3.00% 1/1/50 | 736,250 | 771,109 | |
3.00% 12/1/50 | 204,767 | 215,853 |
4 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
3.00% 5/1/51 | 6,540,478 | $ 6,950,453 | |
3.00% 8/1/51 | 1,708,504 | 1,797,772 | |
3.50% 8/1/48 | 24,413 | 25,745 | |
3.50% 9/1/48 | 2,108,778 | 2,239,774 | |
3.50% 11/1/48 | 5,398,717 | 5,811,906 | |
4.00% 12/1/45 | 535,741 | 589,409 | |
4.00% 7/1/47 | 189,241 | 202,981 | |
4.00% 10/1/47 | 1,785,429 | 1,902,351 | |
4.50% 8/1/48 | 1,039,108 | 1,124,315 | |
4.50% 3/1/49 | 234,261 | 252,318 | |
4.50% 4/1/49 | 928,307 | 1,008,206 | |
4.50% 8/1/49 | 1,976,837 | 2,169,489 | |
5.50% 9/1/41 | 1,644,694 | 1,879,383 | |
6.50% 11/1/33 | 16,312 | 18,337 | |
6.50% 1/1/35 | 43,572 | 50,984 | |
7.00% 1/1/38 | 5,222 | 5,464 | |
GNMA I S.F. 30 yr | |||
3.00% 8/15/45 | 5,558,401 | 5,817,997 | |
3.00% 3/15/50 | 516,137 | 532,360 | |
GNMA I S.F. 30 yr TBA 4.00% 1/20/51 | 6,000,000 | 6,318,202 | |
GNMA II S.F. 30 yr | |||
3.00% 8/20/50 | 993,749 | 1,047,194 | |
5.50% 5/20/37 | 61,358 | 69,977 | |
6.00% 4/20/34 | 1,813 | 1,923 | |
Total Agency Mortgage-Backed Securities (cost $515,684,484) | 515,150,668 | ||
Collateralized Debt Obligations — 5.79% | |||
Adagio V CLO DAC Series V-A ARR 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 10/15/31 #, • | EUR | 1,100,000 | 1,248,909 |
AMMC CLO 16 Series 2015-16A AR2 144A 1.107% (LIBOR03M + 0.98%, Floor 0.98%) 4/14/29 #, • | 1,131,778 | 1,130,403 | |
AMMC CLO 21 Series 2017-21A A 144A 1.382% (LIBOR03M + 1.25%) 11/2/30 #, • | 2,400,000 | 2,405,016 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Anchorage Capital CLO 9 Series 2016-9A AR2 144A 1.264% (LIBOR03M + 1.14%, Floor 1.14%) 7/15/32 #, • | 1,800,000 | $ 1,799,548 | |
Anchorage Capital CLO 11 Series 2019-11A AR 144A 1.268% (LIBOR03M + 1.14%, Floor 1.14%) 7/22/32 #, • | 1,200,000 | 1,199,698 | |
Apex Credit CLO Series 2018-1A A2 144A 1.154% (LIBOR03M + 1.03%) 4/25/31 #, • | 2,400,000 | 2,354,446 | |
Aqueduct European CLO DAC Series 2017-1A AR 144A 0.64% (EUR003M + 0.64%, Floor 0.64%) 7/20/30 #, • | EUR | 1,888,798 | 2,147,195 |
Ares European CLO Series 7A A1RR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 10/15/30 #, • | EUR | 1,300,000 | 1,476,730 |
Ares European CLO X DAC Series 10A AR 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 2,700,000 | 3,072,124 |
Ares European CLO XII DAC Series 12A AR 144A 0.85% (EUR003M + 0.85%, Floor 0.85%) 4/20/32 #, • | EUR | 300,000 | 340,859 |
NQ-OPTFI [12/21] 2/22 (2028215) 5
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Ares European CLO XIV DAC Series 14A A 144A 1.12% (EUR003M + 1.12%, Floor 1.12%) 10/21/33 #, • | EUR | 3,750,000 | $ 4,251,994 |
Ares XL CLO Series 2016-40A A1RR 144A 0.99% (LIBOR03M + 0.87%, Floor 0.87%) 1/15/29 #, • | 2,200,000 | 2,198,385 | |
Ares XXXIX CLO Series 2016-39A A1R2 144A 1.172% (LIBOR03M + 1.05%, Floor 1.05%) 4/18/31 #, • | 1,500,000 | 1,498,549 | |
ASSURANT CLO Series 2018-3A AR 144A 1.172% (LIBOR03M + 1.04%, Floor 1.04%) 10/20/31 #, • | 1,200,000 | 1,199,699 | |
Atlas Senior Loan Fund X Series 2018-10A A 144A 1.214% (LIBOR03M + 1.09%) 1/15/31 #, • | 1,473,303 | 1,474,435 | |
Atrium XII Series 12A AR 144A 0.958% (LIBOR03M + 0.83%) 4/22/27 #, • | 2,240,631 | 2,241,339 | |
Aurium CLO IV DAC Series 4A AR 144A 0.73% (EUR003M + 0.73%, Floor 0.73%) 1/16/31 #, • | EUR | 3,000,000 | 3,411,791 |
Bain Capital Euro CLO DAC Series 2018-2A AR 144A 0.74% (EUR003M + 0.74%, Floor 0.74%) 1/20/32 #, • | EUR | 1,300,000 | 1,475,551 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Benefit Street Partners CLO XII Series 2017-12A A1R 144A 1.074% (LIBOR03M + 0.95%, Floor 0.95%) 10/15/30 #, • | 500,000 | $ 499,280 | |
Benefit Street Partners CLO XVII Series 2019-17A AR 144A 1.204% (LIBOR03M + 1.08%, Floor 1.08%) 7/15/32 #, • | 700,000 | 699,029 | |
Black Diamond CLO DAC Series 2019-1A A1R 144A 0.98% (EUR003M + 0.98%, Floor 0.98%) 5/15/32 #, • | EUR | 300,000 | 340,345 |
Blackrock European CLO VII DAC Series 7A AR 144A 0.62% (EUR003M + 0.62%, Floor 0.62%) 10/15/31 #, • | EUR | 2,200,000 | 2,498,293 |
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 | 1,584,447 |
BNPP AM Euro CLO DAC | |||
Series 2018-1A AR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/31 #, • | EUR | 250,000 | 284,305 |
Series 2019-1A AR 144A 0.82% (EUR003M + 0.82%, Floor 0.82%) 7/22/32 #, • | EUR | 1,000,000 | 1,137,365 |
6 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Cairn CLO IV DAC Series 2014-4A ARRR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/30/31 #, • | EUR | 1,600,000 | $ 1,814,290 |
Cairn CLO X DAC Series 2018-10A AR 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, • | EUR | 1,400,000 | 1,590,688 |
Carlyle Euro CLO DAC | |||
Series 2017-3A A1R 144A 0.70% (EUR003M + 0.70%, Floor 0.70%) 1/15/31 #, • | EUR | 1,900,000 | 2,149,700 |
Series 2019-2A A1R 144A 0.89% (EUR003M + 0.89%, Floor 0.89%) 8/15/32 #, • | EUR | 600,000 | 681,736 |
Carlyle Global Market Strategies CLO Series 13-1A A1RR 144A 1.105% (LIBOR03M + 0.95%, Floor 0.95%) 8/14/30 #, • | 2,500,000 | 2,499,370 | |
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 | 1,692,737 |
CARLYLE US CLO Series 2017-1A A1R 144A 1.132% (LIBOR03M + 1.00%, Floor 1.00%) 4/20/31 #, • | 1,500,000 | 1,498,323 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
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 | $ 1,360,066 |
Dryden 27 R Euro CLO DAC Series 2017-27A AR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 4/15/33 #, • | EUR | 2,200,000 | 2,490,516 |
Dryden 36 Senior Loan Fund Series 2014-36A AR3 144A 1.144% (LIBOR03M + 1.02%, Floor 1.02%) 4/15/29 #, • | 3,517,211 | 3,519,578 | |
Dryden 52 Euro CLO DAC Series 2017-52A AR 144A 0.86% (EUR003M + 0.86%, Floor 0.86%) 5/15/34 #, • | EUR | 2,200,000 | 2,487,092 |
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 | 4,517,736 |
Galaxy XXI CLO Series 2015-21A AR 144A 1.152% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,650,000 | 1,650,056 | |
GoldenTree Loan Management EUR CLO DAC Series 3A AR 144A 0.90% (EUR003M + 0.90%, Floor 0.90%) 1/20/32 #, • | EUR | 300,000 | 339,587 |
NQ-OPTFI [12/21] 2/22 (2028215) 7
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Goldentree Loan Management US CLO 2 Series 2017-2A AR 144A 1.042% (LIBOR03M + 0.91%, Floor 0.91%) 11/20/30 #, • | 3,300,000 | $ 3,299,172 | |
Harvest CLO XI DAC Series 11A ARR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 6/26/30 #, • | EUR | 1,700,000 | 1,929,978 |
Harvest CLO XVI DAC Series 16A ARR 144A 0.64% (EUR003M + 0.64%, Floor 0.64%) 10/15/31 #, • | EUR | 2,000,000 | 2,265,048 |
Harvest CLO XXI DAC Series 21A A2R 144A 1.04% 7/15/31 # | EUR | 250,000 | 282,889 |
ICG US CLO Series 2014-1A A1A2 144A 1.332% (LIBOR03M + 1.20%, Floor 1.20%) 10/20/34 #, • | 1,500,000 | 1,499,622 | |
Invesco Euro CLO I DAC Series 1A A1R 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 7/15/31 #, • | EUR | 250,000 | 283,499 |
Jubilee CLO DAC | |||
Series 2014-11A ARR 144A 0.61% (EUR003M + 0.61%, Floor 0.61%) 4/15/30 #, • | EUR | 1,700,000 | 1,928,035 |
Series 2014-12A ARRR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/30 #, • | EUR | 600,000 | 683,422 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Jubilee CLO DAC | |||
Series 2016-17A A1RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 1,400,000 | $ 1,589,268 |
Series 2016-17A A2RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, • | EUR | 500,000 | 568,837 |
KKR CLO 18 Series 18 AR 144A 1.062% (LIBOR03M + 0.94%, Floor 0.94%) 7/18/30 #, • | 500,000 | 499,765 | |
Laurelin DAC Series 2016-1A ARR 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 10/20/31 #, • | EUR | 2,100,000 | 2,382,563 |
LCM XIII Series 13A AR3 144A 1.086% (LIBOR03M + 0.87%, Floor 0.87%) 7/19/27 #, • | 4,300,000 | 4,300,000 | |
LCM XV Series 15A AR2 144A 1.132% (LIBOR03M + 1.00%, Floor 1.00%) 7/20/30 #, • | 3,300,000 | 3,291,163 | |
Man GLG Euro CLO Series 6A A 144A 0.90% (EUR003M + 0.90%, Floor 0.90%) 10/15/32 #, • | EUR | 250,000 | 282,827 |
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 | 1,250,930 |
8 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
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 | $ 2,160,119 |
Man GLG US CLO Series 2018-1A A1R 144A 1.272% (LIBOR03M + 1.14%) 4/22/30 #, • | 3,000,000 | 3,002,658 | |
Marathon CLO Series 2021-16A A1A 144A 1.324% (LIBOR03M + 1.20%, Floor 1.20%) 4/15/34 #, • | 1,250,000 | 1,249,685 | |
Marathon CLO V Series 2013-5A A1R 144A 1.03% (LIBOR03M + 0.87%) 11/21/27 #, • | 196,051 | 195,693 | |
Midocean Credit CLO IX Series 2018-9A A1 144A 1.284% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #, • | 1,250,000 | 1,250,787 | |
Mountain View CLO X Series 2015-10A AR 144A 0.942% (LIBOR03M + 0.82%, Floor 0.82%) 10/13/27 #, • | 966,726 | 966,917 | |
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 | 339,735 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Oaktree CLO Series 2019-4A A1R 144A 3.038% (LIBOR03M + 1.12%, Floor 1.12%) 10/20/32 #, • | 500,000 | $ 499,874 | |
OCP CLO Series 2015-9A A1R 144A 0.926% (LIBOR03M + 0.80%) 7/15/27 #, • | 18,561 | 18,558 | |
OCP Euro CLO DAC Series 2020-4A AR 144A 0.88% (EUR003M + 0.88%, Floor 0.88%) 9/22/34 #, • | EUR | 1,900,000 | 2,155,707 |
Octagon Investment Partners 51 Series 2021-1A A 144A 1.282% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/34 #, • | 1,750,000 | 1,753,460 | |
OZLM IX Series 2014-9A A1A3 144A 1.232% (LIBOR03M + 1.10%, Floor 1.10%) 10/20/31 #, • | 500,000 | 499,874 | |
OZLM XVI Series 2017-16A A1R 144A 1.185% (LIBOR03M + 1.03%, Floor 1.03%) 5/16/30 #, • | 2,600,000 | 2,599,345 |
NQ-OPTFI [12/21] 2/22 (2028215) 9
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
OZLM XXIV Series 2019-24A A1AR 144A 1.294% (LIBOR03M + 1.16%, Floor 1.16%) 7/20/32 #, • | 2,100,000 | $ 2,099,471 | |
Palmer Square European Loan Funding DAC Series 2021-1A A 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 4/15/31 #, • | EUR | 2,100,000 | 2,377,684 |
Palmer Square Loan Funding | |||
Series 2021-3A A1 144A 0.971% (LIBOR03M + 0.80%, Floor 0.80%) 7/20/29 #, • | 700,000 | 699,486 | |
Series 2021-4A A1 144A 0.928% (LIBOR03M + 0.80%, Floor 0.80%) 10/15/29 #, • | 2,500,000 | 2,498,075 | |
Sculptor European CLO V DAC Series 5A AR 144A 0.79% (EUR003M + 0.79%, Floor 0.79%) 1/14/32 #, • | EUR | 3,300,000 | 3,748,311 |
Segovia European CLO DAC Series 2019-6A AR 144A 0.88% (EUR003M + 0.88%, Floor 0.88%) 7/20/32 #, • | EUR | 1,600,000 | 1,821,026 |
Signal Peak CLO 5 Series 2018-5A A 144A 1.234% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, • | 1,800,000 | 1,802,448 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Sound Point CLO IX Series 2015-2A ARRR 144A 1.342% (LIBOR03M + 1.21%, Floor 1.21%) 7/20/32 #, • | 2,600,000 | $ 2,598,892 | |
Sound Point CLO XIV Series 2016-3A AR2 144A 1.114% (LIBOR03M + 0.99%, Floor 0.99%) 1/23/29 #, • | 5,579,909 | 5,579,183 | |
Sound Point CLO XVI Series 2017-2A AR 144A 1.104% (LIBOR03M + 0.98%) 7/25/30 #, • | 4,400,000 | 4,398,896 | |
Sounds Point CLO IV-R Series 2013-3RA A 144A 1.272% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #, • | 1,000,000 | 999,467 | |
Stratus CLO Series 2021-3A A 144A 0.95% (LIBOR03M + 0.95%, Floor 0.95%) 12/29/29 #, • | 2,000,000 | 2,000,000 | |
Symphony Static CLO I Series 2021-1A A 144A 0.959% (LIBOR03M + 0.83%, Floor 0.83%) 10/25/29 #, • | 500,000 | 499,678 | |
THL Credit Wind River CLO Series 2019-3A AR 144A 1.204% (LIBOR03M + 1.08%, Floor 1.08%) 4/15/31 #, • | 3,100,000 | 3,093,617 |
10 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Tikehau CLO DAC Series 2015-1A ARR 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 8/4/34 #, • | EUR | 2,000,000 | $ 2,262,386 |
Toro European CLO 7 DAC Series 7A ARE 144A 0.81% (EUR003M + 0.81%, Floor 0.81%) 2/15/34 #, • | EUR | 1,900,000 | 2,163,150 |
Toro European CLO DAC Series 6A AR 144A 0.92% (EUR003M + 0.92%, Floor 0.92%) 1/12/32 #, • | EUR | 300,000 | 341,138 |
Venture 34 CLO Series 2018-34A A 144A 1.354% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 2,500,000 | 2,498,567 | |
Venture 38 CLO Series 2019-38A A1R 144A 1.314% (LIBOR03M + 1.16%, Floor 1.16%) 7/30/32 #, • | 2,900,000 | 2,899,269 | |
Venture 42 CLO Series 2021-42A A1A 144A 1.254% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, • | 1,300,000 | 1,296,221 | |
Venture XVII CLO Series 2014-17A ARR 144A 1.004% (LIBOR03M + 0.88%) 4/15/27 #, • | 312,786 | 312,667 | |
Venture XX CLO Series 2015-20A AR 144A 0.944% (LIBOR03M + 0.82%) 4/15/27 #, • | 287,834 | 287,702 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Venture XXIV CLO Series 2016-24A ARR 144A 1.032% (LIBOR03M + 0.90%, Floor 0.90%) 10/20/28 #, • | 464,912 | $ 464,795 | |
Venture XXVI CLO Series 2017-26A AR 144A 1.232% (LIBOR03M + 1.10%, Floor 1.10%) 1/20/29 #, • | 3,400,000 | 3,399,147 | |
Vibrant CLO IV Series 2016-4A A1RR 144A 1.208% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, • | 1,300,000 | 1,299,674 | |
Vibrant CLO VI Series 2017-6A AR 144A 1.164% (LIBOR03M + 0.95%) 6/20/29 #, • | 3,063,793 | 3,060,263 | |
Vibrant CLO VII Series 2017-7A A1R 144A 1.172% (LIBOR03M + 1.04%, Floor 1.04%) 9/15/30 #, • | 4,500,000 | 4,498,870 | |
Vibrant CLO XI Series 2019-11A A1R1 144A 1.252% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, • | 1,500,000 | 1,499,623 | |
Voya Series 2012-4A A1R3 144A 1.124% (LIBOR03M + 1.00%) 10/15/30 #, • | 1,400,000 | 1,399,649 |
NQ-OPTFI [12/21] 2/22 (2028215) 11
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Z Capital Credit Partners CLO Series 2015-1A A1R 144A 1.072% (LIBOR03M + 0.95%, Floor 0.95%) 7/16/27 #, • | 130,163 | $ 130,118 | |
Total Collateralized Debt Obligations (cost $179,248,578) | 175,320,113 | ||
Convertible Bond — 0.09% | |||
Kaman 3.25% exercise price $65.26, maturity date 5/1/24 | 2,540,000 | 2,633,980 | |
Total Convertible Bond (cost $2,582,774) | 2,633,980 | ||
Corporate Bonds — 34.10% | |||
Banking — 10.39% | |||
Access Bank | |||
144A 6.125% 9/21/26 # | 425,000 | 424,469 | |
144A 9.125% 10/7/26 #, μ, ψ | 475,000 | 466,165 | |
Akbank TAS 144A 6.80% 2/6/26 # | 610,000 | 591,572 | |
Banco Bilbao Vizcaya Argentaria 5.875% 9/24/23 μ, ψ | EUR | 1,200,000 | 1,453,295 |
Banco Continental 144A 2.75% 12/10/25 # | 915,000 | 889,668 | |
Banco de Bogota 144A 6.25% 5/12/26 # | 405,000 | 437,945 | |
Banco de Credito e Inversiones 144A 2.875% 10/14/31 # | 605,000 | 596,908 | |
Banco GNB Sudameris 144A 7.50% 4/16/31 #, μ | 420,000 | 418,490 | |
Banco Industrial 144A 4.875% 1/29/31 #, μ | 695,000 | 690,410 | |
Banco Mercantil del Norte | |||
144A 6.625% 1/24/32 #, μ, ψ | 425,000 | 423,725 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Banco Mercantil del Norte | |||
144A 8.375% 10/14/30 #, μ, ψ | 375,000 | $ 430,843 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 188,002 | |
Banco Santander 2.958% 3/25/31 | 1,000,000 | 1,021,297 | |
Banco Santander Mexico 144A 5.95% 10/1/28 #, μ | 280,000 | 295,071 | |
Bangkok Bank 144A 5.00% 9/23/25 #, μ, ψ | 480,000 | 498,734 | |
Bank Hapoalim 144A 3.255% 1/21/32 #, μ | 835,000 | 830,825 | |
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, μ | 500,000 | 503,438 | |
Bank of America | |||
2.482% 9/21/36 μ | 12,865,000 | 12,475,521 | |
3.55% 3/5/24 μ | 2,100,000 | 2,162,893 | |
3.864% 7/23/24 μ | 2,200,000 | 2,292,908 | |
3.974% 2/7/30 μ | 3,400,000 | 3,748,574 | |
4.125% 1/22/24 | 200,000 | 212,597 | |
4.30% 1/28/25 μ, ψ | 900,000 | 911,250 | |
Bank of China 144A 5.00% 11/13/24 # | 455,000 | 496,643 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 890,000 | 949,630 | |
Bank of New York Mellon 4.70% 9/20/25 μ, ψ | 2,560,000 | 2,737,280 | |
Barclays | |||
1.535% (LIBOR03M + 1.38%) 5/16/24 • | 1,800,000 | 1,822,793 | |
2.667% 3/10/32 μ | 1,025,000 | 1,017,620 | |
3.33% 11/24/42 μ | 1,300,000 | 1,325,377 | |
3.375% 4/2/25 μ | EUR | 500,000 | 610,709 |
3.811% 3/10/42 μ | 2,105,000 | 2,248,228 | |
4.61% 2/15/23 μ | 700,000 | 703,014 | |
4.972% 5/16/29 μ | 3,000,000 | 3,424,585 | |
5.20% 5/12/26 | 2,979,000 | 3,330,805 | |
6.375% 12/15/25 μ, ψ | GBP | 500,000 | 734,329 |
12 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Barclays | |||
7.125% 6/15/25 μ, ψ | GBP | 1,800,000 | $ 2,687,594 |
7.25% 3/15/23 μ, ψ | GBP | 700,000 | 992,557 |
7.75% 9/15/23 μ, ψ | 400,000 | 430,248 | |
Barclays Bank 7.625% 11/21/22 | 439,000 | 463,250 | |
BBVA Bancomer 144A 5.125% 1/18/33 #, μ | 410,000 | 421,425 | |
BDO Unibank 2.125% 1/13/26 | 795,000 | 798,492 | |
BNP Paribas | |||
144A 1.904% 9/30/28 #, μ | 1,800,000 | 1,758,487 | |
144A 2.159% 9/15/29 #, μ | 600,000 | 588,665 | |
144A 2.871% 4/19/32 #, μ | 300,000 | 304,491 | |
144A 3.052% 1/13/31 #, μ | 2,600,000 | 2,677,335 | |
144A 7.375% 8/19/25 #, μ, ψ | 700,000 | 795,862 | |
7.375% 8/19/25 μ, ψ | 500,000 | 568,473 | |
Citigroup | |||
2.52% 11/3/32 μ | 1,470,000 | 1,469,881 | |
3.20% 10/21/26 | 1,000,000 | 1,060,362 | |
4.00% 12/10/25 μ, ψ | 1,400,000 | 1,414,000 | |
4.044% 6/1/24 μ | 1,800,000 | 1,876,560 | |
4.05% 7/30/22 | 150,000 | 153,079 | |
4.075% 4/23/29 μ | 3,400,000 | 3,752,530 | |
Cooperatieve Rabobank | |||
3.75% 7/21/26 | 1,350,000 | 1,455,495 | |
4.375% 8/4/25 | 2,000,000 | 2,168,250 | |
Credit Agricole 144A 2.811% 1/11/41 # | 3,155,000 | 3,025,580 | |
Credit Suisse Group | |||
144A 2.593% 9/11/25 #, μ | 1,105,000 | 1,129,126 | |
3.80% 6/9/23 | 2,300,000 | 2,383,788 | |
144A 3.869% 1/12/29 #, μ | 1,065,000 | 1,140,938 | |
144A 4.194% 4/1/31 #, μ | 4,045,000 | 4,465,762 | |
144A 4.207% 6/12/24 #, μ | 410,000 | 426,740 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Credit Suisse Group | |||
144A 4.50% 9/3/30 #, μ, ψ | 820,000 | $ 800,525 | |
144A 5.25% 2/11/27 #, μ, ψ | 885,000 | 915,975 | |
144A 6.25% 12/18/24 #, μ, ψ | 2,000,000 | 2,136,000 | |
144A 6.375% 8/21/26 #, μ, ψ | 1,900,000 | 2,052,570 | |
6.525% 12/11/23 μ, ψ | 400,000 | 433,095 | |
Credit Suisse Group Funding Guernsey 3.80% 9/15/22 | 3,350,000 | 3,422,909 | |
Deutsche Bank | |||
2.129% 11/24/26 μ | 700,000 | 699,129 | |
3.547% 9/18/31 μ | 4,135,000 | 4,356,940 | |
3.729% 1/14/32 μ | 3,115,000 | 3,188,260 | |
3.961% 11/26/25 μ | 5,700,000 | 6,023,147 | |
5.00% 2/14/22 | 3,100,000 | 3,114,141 | |
Development Bank of Kazakhstan 144A 2.95% 5/6/31 # | 300,000 | 298,879 | |
Emirates NBD Bank 2.625% 2/18/25 | 495,000 | 512,320 | |
Fifth Third Bancorp | |||
2.55% 5/5/27 | 1,201,000 | 1,239,741 | |
3.65% 1/25/24 | 790,000 | 827,999 | |
3.95% 3/14/28 | 1,119,000 | 1,235,929 | |
Fifth Third Bank 3.85% 3/15/26 | 835,000 | 901,581 | |
Goldman Sachs Group | |||
0.523% 3/8/23 | 700,000 | 697,932 | |
0.673% 3/8/24 μ | 700,000 | 697,021 | |
1.431% 3/9/27 μ | 2,000,000 | 1,960,260 | |
1.542% 9/10/27 μ | 6,235,000 | 6,112,179 | |
2.65% 10/21/32 μ | 640,000 | 644,646 | |
3.20% 2/23/23 | 2,200,000 | 2,256,821 | |
4.223% 5/1/29 μ | 4,700,000 | 5,225,079 | |
Hana Bank 144A 1.25% 12/16/26 # | 345,000 | 339,134 | |
HSBC Holdings | |||
1.16% (LIBOR03M + 1.00%) 5/18/24 • | 1,000,000 | 1,009,676 | |
1.589% 5/24/27 μ | 2,200,000 | 2,152,751 | |
2.848% 6/4/31 μ | 2,700,000 | 2,734,105 | |
2.871% 11/22/32 μ | 1,200,000 | 1,211,279 |
NQ-OPTFI [12/21] 2/22 (2028215) 13
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
HSBC Holdings | |||
4.30% 3/8/26 | 200,000 | $ 219,370 | |
4.70% 3/9/31 μ, ψ | 500,000 | 501,250 | |
5.25% 9/16/22 μ, ψ | EUR | 1,900,000 | 2,233,452 |
5.875% 9/28/26 μ, ψ | GBP | 500,000 | 731,368 |
6.00% 5/22/27 μ, ψ | 800,000 | 863,000 | |
ICICI Bank 144A 4.00% 3/18/26 # | 535,000 | 572,138 | |
ING Groep 6.875% 4/16/22 μ, ψ | 200,000 | 203,500 | |
Intesa Sanpaolo | |||
144A 4.00% 9/23/29 # | 1,300,000 | 1,395,626 | |
7.75% 1/11/27 μ, ψ | EUR | 200,000 | 276,798 |
JPMorgan Chase & Co. | |||
1.024% (LIBOR03M + 0.90%) 4/25/23 • | 1,000,000 | 1,002,293 | |
1.47% 9/22/27 μ | 475,000 | 465,818 | |
2.545% 11/8/32 μ | 5,585,000 | 5,622,632 | |
3.22% 3/1/25 μ | 500,000 | 520,058 | |
3.328% 4/22/52 μ | 455,000 | 488,052 | |
4.005% 4/23/29 μ | 900,000 | 994,182 | |
4.023% 12/5/24 μ | 4,730,000 | 4,989,346 | |
4.60% 2/1/25 μ, ψ | 1,185,000 | 1,217,587 | |
5.00% 8/1/24 μ, ψ | 400,000 | 411,250 | |
Lloyds Banking Group | |||
2.438% 2/5/26 μ | 300,000 | 306,060 | |
2.858% 3/17/23 μ | 2,900,000 | 2,911,369 | |
3.50% 4/1/26 μ | EUR | 200,000 | 251,677 |
Mitsubishi UFJ Financial Group | |||
2.193% 2/25/25 | 1,700,000 | 1,734,958 | |
2.559% 2/25/30 | 1,800,000 | 1,817,259 | |
3.218% 3/7/22 | 500,000 | 502,513 | |
Mizuho Financial Group | |||
2.226% 5/25/26 μ | 1,600,000 | 1,624,979 | |
2.564% 9/13/31 | 1,400,000 | 1,366,035 | |
2.591% 5/25/31 μ | 2,000,000 | 2,019,575 | |
Morgan Stanley | |||
2.484% 9/16/36 μ | 5,700,000 | 5,494,834 | |
3.625% 1/20/27 | 4,000,000 | 4,339,638 | |
5.00% 11/24/25 | 2,075,000 | 2,325,023 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Nationwide Building Society | |||
144A 3.766% 3/8/24 #, μ | 800,000 | $ 824,223 | |
144A 4.302% 3/8/29 #, μ | 5,200,000 | 5,734,512 | |
NatWest Group | |||
1.626% (LIBOR03M + 1.47%) 5/15/23 • | 1,000,000 | 1,004,299 | |
3.498% 5/15/23 μ | 500,000 | 504,415 | |
4.80% 4/5/26 | 5,000,000 | 5,566,816 | |
5.125% 5/12/27 μ, ψ | GBP | 500,000 | 711,460 |
NBK SPC 144A 1.625% 9/15/27 #, μ | 1,065,000 | 1,039,674 | |
NongHyup Bank 144A 0.875% 7/28/24 # | 430,000 | 425,993 | |
Nykredit Realkredit | |||
1.00% 10/1/50 | DKK | 75,700,000 | 11,219,322 |
1.00% 10/1/53 | DKK | 3,300,000 | 475,900 |
1.00% 10/1/53 | DKK | 1,000,000 | 142,451 |
1.50% 10/1/53 | DKK | 50,200,000 | 7,533,401 |
1.50% 10/1/53 | DKK | 38,000,000 | 5,625,493 |
2.00% 10/1/53 | DKK | 7,200,000 | 1,099,722 |
Oversea-Chinese Banking 144A 4.25% 6/19/24 # | 660,000 | 702,542 | |
PNC Bank | |||
2.70% 11/1/22 | 250,000 | 254,208 | |
3.875% 4/10/25 | 1,145,000 | 1,230,306 | |
4.05% 7/26/28 | 2,400,000 | 2,693,648 | |
PNC Financial Services Group 2.60% 7/23/26 | 2,845,000 | 2,985,501 | |
QNB Finance 2.625% 5/12/25 | 1,160,000 | 1,192,950 | |
Santander UK Group Holdings | |||
3.823% 11/3/28 μ | 3,200,000 | 3,437,231 | |
7.375% 6/24/22 μ, ψ | GBP | 2,200,000 | 3,050,394 |
Shinhan Financial Group 144A 3.34% 2/5/30 #, μ | 410,000 | 422,423 | |
Skandinaviska Enskilda Banken 5.625% 5/13/22 μ, ψ | 600,000 | 610,725 |
14 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Societe Generale | |||
144A 4.25% 4/14/25 # | 3,600,000 | $ 3,834,051 | |
7.875% 12/18/23 μ, ψ | 500,000 | 548,125 | |
Standard Chartered | |||
144A 7.50% 4/2/22 #, μ, ψ | 500,000 | 507,985 | |
7.75% 4/2/23 μ, ψ | 300,000 | 317,397 | |
Sumitomo Mitsui Financial Group | |||
1.474% 7/8/25 | 2,600,000 | 2,588,566 | |
2.222% 9/17/31 | 2,300,000 | 2,258,481 | |
SVB Financial Group | |||
1.80% 10/28/26 | 795,000 | 792,752 | |
1.80% 2/2/31 | 775,000 | 735,488 | |
4.00% 5/15/26 μ, ψ | 2,345,000 | 2,359,656 | |
Swedbank 6.00% 3/17/22 μ, ψ | 400,000 | 404,000 | |
Truist Bank 2.636% 9/17/29 μ | 5,182,000 | 5,330,031 | |
Truist Financial | |||
1.887% 6/7/29 μ | 3,485,000 | 3,434,322 | |
4.95% 9/1/25 μ, ψ | 1,465,000 | 1,575,449 | |
UBS | |||
5.125% 5/15/24 | 200,000 | 214,416 | |
7.625% 8/17/22 | 950,000 | 986,844 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 400,000 | 391,156 | |
144A 3.126% 8/13/30 #, μ | 2,000,000 | 2,092,501 | |
144A 4.125% 9/24/25 # | 2,940,000 | 3,176,978 | |
UniCredit | |||
144A 4.027% (LIBOR03M + 3.90%) 1/14/22 #, • | 2,200,000 | 2,201,843 | |
7.50% 6/3/26 μ, ψ | EUR | 600,000 | 803,875 |
144A 7.83% 12/4/23 # | 2,900,000 | 3,234,745 | |
9.25% 6/3/22 μ, ψ | EUR | 400,000 | 473,047 |
US Bancorp | |||
1.45% 5/12/25 | 1,565,000 | 1,572,631 | |
2.491% 11/3/36 μ | 950,000 | 947,389 | |
3.375% 2/5/24 | 2,915,000 | 3,057,091 | |
3.60% 9/11/24 | 1,275,000 | 1,355,070 | |
3.70% 1/15/27 μ, ψ | 930,000 | 932,139 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
US Bancorp | |||
3.95% 11/17/25 | 2,820,000 | $ 3,091,815 | |
US Bank 3.40% 7/24/23 | 815,000 | 847,698 | |
Virgin Money UK | |||
3.375% 4/24/26 μ | GBP | 100,000 | 139,943 |
4.00% 9/25/26 μ | GBP | 800,000 | 1,149,010 |
4.00% 9/3/27 μ | GBP | 100,000 | 145,567 |
Wells Fargo & Co. | |||
3.196% 6/17/27 μ | 900,000 | 949,350 | |
3.584% 5/22/28 μ | 5,300,000 | 5,701,825 | |
3.90% 3/15/26 μ, ψ | 3,380,000 | 3,475,062 | |
314,490,153 | |||
Basic Industry — 1.33% | |||
AngloGold Ashanti Holdings 3.375% 11/1/28 | 850,000 | 842,164 | |
Braskem Netherlands Finance 4.50% 1/10/28 | 800,000 | 849,236 | |
Corp Nacional del Cobre de Chile | |||
144A 3.70% 1/30/50 # | 225,000 | 230,332 | |
144A 4.25% 7/17/42 # | 200,000 | 221,483 | |
CSN Inova Ventures 144A 6.75% 1/28/28 # | 525,000 | 553,458 | |
Equate Petrochemical 144A 2.625% 4/28/28 # | 385,000 | 386,444 | |
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 360,000 | 387,844 | |
144A 7.50% 4/1/25 # | 2,740,000 | 2,822,131 | |
GC Treasury Center 144A 4.30% 3/18/51 # | 635,000 | 700,633 | |
Georgia-Pacific | |||
144A 1.75% 9/30/25 # | 925,000 | 929,316 | |
144A 2.10% 4/30/27 # | 735,000 | 744,572 | |
144A 2.30% 4/30/30 # | 1,660,000 | 1,663,793 | |
8.00% 1/15/24 | 2,242,000 | 2,547,396 | |
NQ-OPTFI [12/21] 2/22 (2028215) 15
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
ICL Group 144A 6.375% 5/31/38 # | 390,000 | $ 503,100 | |
INEOS Styrolution Group 144A 2.25% 1/16/27 # | EUR | 500,000 | 556,086 |
International Flavors & Fragrances 144A 3.268% 11/15/40 # | 1,685,000 | 1,714,115 | |
JSW Steel 144A 5.05% 4/5/32 # | 305,000 | 300,561 | |
LYB International Finance III 3.375% 10/1/40 | 2,005,000 | 2,092,682 | |
MEGlobal Canada 144A 5.00% 5/18/25 # | 400,000 | 437,215 | |
Methanex 5.25% 12/15/29 | 2,515,000 | 2,655,865 | |
Newmont | |||
2.25% 10/1/30 | 2,615,000 | 2,581,361 | |
2.60% 7/15/32 | 420,000 | 421,276 | |
2.80% 10/1/29 | 3,850,000 | 3,962,734 | |
OCP | |||
144A 3.75% 6/23/31 # | 500,000 | 487,320 | |
144A 4.50% 10/22/25 # | 320,000 | 338,628 | |
144A 5.125% 6/23/51 # | 240,000 | 227,344 | |
Olin 5.625% 8/1/29 | 705,000 | 764,777 | |
Phosagro OAO via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 380,000 | 387,940 | |
Sasol Financing USA | |||
4.375% 9/18/26 | 580,000 | 584,286 | |
5.875% 3/27/24 | 1,255,000 | 1,311,237 | |
Stillwater Mining 144A 4.00% 11/16/26 # | 575,000 | 565,239 | |
Suzano Austria 3.125% 1/15/32 | 465,000 | 450,697 | |
Vale Overseas 3.75% 7/8/30 | 575,000 | 596,125 | |
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 1,575,000 | 1,537,594 | |
Volcan Cia Minera 144A 4.375% 2/11/26 # | 615,000 | 593,374 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
Westlake Chemical 3.125% 8/15/51 | 4,310,000 | $ 4,161,380 | |
40,109,738 | |||
Brokerage — 0.31% | |||
Charles Schwab | |||
4.00% 6/1/26 μ, ψ | 950,000 | 970,188 | |
5.375% 6/1/25 μ, ψ | 2,495,000 | 2,725,787 | |
Jefferies Group | |||
2.625% 10/15/31 | 2,925,000 | 2,880,128 | |
6.45% 6/8/27 | 331,000 | 403,574 | |
6.50% 1/20/43 | 880,000 | 1,217,782 | |
XP 144A 3.25% 7/1/26 # | 1,355,000 | 1,300,902 | |
9,498,361 | |||
Capital Goods — 1.10% | |||
Abertis Infraestructuras Finance 3.248% 11/24/25 μ, ψ | EUR | 1,500,000 | 1,744,419 |
Aeropuerto Internacional de Tocumen 144A 5.125% 8/11/61 # | 200,000 | 210,087 | |
Aeropuertos Argentina 2000 144A 8.50% 8/1/31 # | 665,724 | 584,172 | |
Artera Services 144A 9.033% 12/4/25 # | 1,365,000 | 1,445,603 | |
Boeing | |||
1.95% 2/1/24 | 2,000,000 | 2,023,709 | |
3.25% 2/1/28 | 3,400,000 | 3,545,686 | |
3.75% 2/1/50 | 3,410,000 | 3,553,581 | |
Caterpillar 2.60% 4/9/30 | 25,000 | 26,078 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 3,884,000 | 3,720,231 | |
Cemex 144A 5.20% 9/17/30 # | 475,000 | 510,756 | |
HTA Group 144A 7.00% 12/18/25 # | 755,000 | 789,353 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 454,000 | 486,167 | |
IHS Holding 144A 5.625% 11/29/26 # | 440,000 | 445,720 | |
Klabin Austria 144A 5.75% 4/3/29 # | 450,000 | 490,595 |
16 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Otis Worldwide | |||
3.112% 2/15/40 | 1,173,000 | $ 1,205,763 | |
3.362% 2/15/50 | 202,000 | 213,483 | |
Rolls-Royce 144A 5.75% 10/15/27 # | 1,000,000 | 1,106,900 | |
Rutas 2 and 7 Finance 144A 2.741% 9/30/36 #, ^ | 755,000 | 557,824 | |
SAN Miguel Industrias Pet 144A 3.50% 8/2/28 # | 860,000 | 842,697 | |
Standard Industries 144A 3.375% 1/15/31 # | 1,568,000 | 1,513,120 | |
State Agency of Roads of Ukraine 144A 6.25% 6/24/28 # | 575,000 | 500,045 | |
Summit Digitel Infrastructure 144A 2.875% 8/12/31 # | 785,000 | 757,288 | |
TD SYNNEX | |||
144A 2.375% 8/9/28 # | 800,000 | 777,181 | |
144A 2.65% 8/9/31 # | 1,200,000 | 1,155,184 | |
Teledyne Technologies | |||
2.25% 4/1/28 | 1,980,000 | 1,980,076 | |
2.75% 4/1/31 | 1,730,000 | 1,756,154 | |
TransDigm 144A 6.25% 3/15/26 # | 748,000 | 778,399 | |
UltraTech Cement 144A 2.80% 2/16/31 # | 660,000 | 637,891 | |
33,358,162 | |||
Communications — 3.62% | |||
Alibaba Group Holding 2.70% 2/9/41 | 750,000 | 685,874 | |
Altice Financing 144A 5.00% 1/15/28 # | 865,000 | 845,494 | |
Altice France | |||
2.125% 2/15/25 | EUR | 1,900,000 | 2,110,938 |
144A 5.50% 10/15/29 # | 1,375,000 | 1,356,719 | |
Altice France Holding 144A 6.00% 2/15/28 # | 1,550,000 | 1,483,040 | |
Amazon.com | |||
1.20% 6/3/27 | 620,000 | 611,968 | |
1.50% 6/3/30 | 1,000,000 | 970,169 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
AT&T | |||
2.55% 12/1/33 | 2,673,000 | $ 2,617,409 | |
3.10% 2/1/43 | 1,264,000 | 1,231,381 | |
3.50% 6/1/41 | 1,680,000 | 1,730,270 | |
3.50% 9/15/53 | 1,590,000 | 1,607,142 | |
B2W Digital 144A 4.375% 12/20/30 # | 635,000 | 573,227 | |
British Telecommunications 144A 3.25% 11/8/29 # | 1,700,000 | 1,739,581 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 500,000 | 512,618 | |
144A 5.00% 2/1/28 # | 900,000 | 937,800 | |
Charter Communications Operating | |||
4.40% 12/1/61 | 4,987,000 | 5,171,738 | |
4.464% 7/23/22 | 4,330,000 | 4,394,357 | |
4.908% 7/23/25 | 430,000 | 473,860 | |
5.05% 3/30/29 | 3,800,000 | 4,354,246 | |
Clear Channel Outdoor Holdings 144A 7.75% 4/15/28 # | 420,000 | 450,043 | |
Comcast | |||
3.20% 7/15/36 | 1,830,000 | 1,955,065 | |
3.70% 4/15/24 | 2,970,000 | 3,156,955 | |
Connect Finco 144A 6.75% 10/1/26 # | 1,740,000 | 1,831,524 | |
CSC Holdings 144A 4.625% 12/1/30 # | 890,000 | 843,667 | |
Digicel Group Holdings PIK 10.00% 4/1/24 > | 360,547 | 360,940 | |
Discovery Communications 4.00% 9/15/55 | 9,005,000 | 9,531,072 | |
Fox 3.666% 1/25/22 | 900,000 | 901,789 | |
Frontier Communications Holdings 144A 5.875% 10/15/27 # | 1,165,000 | 1,233,787 | |
JD.com 3.875% 4/29/26 | 525,000 | 562,190 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 270,000 | 303,804 |
NQ-OPTFI [12/21] 2/22 (2028215) 17
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Sprint 7.625% 3/1/26 | 200,000 | $ 240,373 | |
Sprint Spectrum 144A 4.738% 9/20/29 # | 1,190,312 | 1,246,870 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | 395,000 | 409,220 | |
Telefonica Moviles Chile 144A 3.537% 11/18/31 # | 615,000 | 613,386 | |
Tencent Holdings | |||
144A 1.031% (LIBOR03M + 0.91%) 4/11/24 #, • | 200,000 | 201,230 | |
144A 2.88% 4/22/31 # | 370,000 | 376,995 | |
144A 3.68% 4/22/41 # | 400,000 | 416,011 | |
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 3,005,631 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,415,000 | 1,534,816 | |
T-Mobile USA | |||
1.50% 2/15/26 | 2,915,000 | 2,882,187 | |
144A 2.40% 3/15/29 # | 1,850,000 | 1,869,503 | |
2.55% 2/15/31 | 550,000 | 547,674 | |
3.00% 2/15/41 | 3,550,000 | 3,472,329 | |
3.30% 2/15/51 | 1,500,000 | 1,468,464 | |
144A 3.40% 10/15/52 # | 1,090,000 | 1,087,001 | |
3.50% 4/15/25 | 895,000 | 948,882 | |
3.75% 4/15/27 | 1,255,000 | 1,359,668 | |
3.875% 4/15/30 | 1,400,000 | 1,532,617 | |
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 415,000 | 422,009 | |
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 585,000 | 561,893 | |
VEON Holdings 144A 3.375% 11/25/27 # | 760,000 | 742,657 | |
Verizon Communications | |||
1.256% (LIBOR03M + 1.10%) 5/15/25 • | 3,200,000 | 3,264,116 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Verizon Communications | |||
2.10% 3/22/28 | 1,100,000 | $ 1,102,896 | |
144A 2.355% 3/15/32 # | 1,570,000 | 1,548,740 | |
2.55% 3/21/31 | 800,000 | 807,958 | |
3.40% 3/22/41 | 1,845,000 | 1,935,054 | |
4.125% 3/16/27 | 1,500,000 | 1,668,542 | |
4.50% 8/10/33 | 6,325,000 | 7,446,953 | |
ViacomCBS 4.375% 3/15/43 | 1,270,000 | 1,448,150 | |
Vmed O2 UK Financing I 144A 4.25% 1/31/31 # | 1,885,000 | 1,850,354 | |
Vodafone Group | |||
4.25% 9/17/50 | 1,070,000 | 1,238,261 | |
4.875% 6/19/49 | 4,385,000 | 5,543,770 | |
VTR Comunicaciones 144A 4.375% 4/15/29 # | 685,000 | 679,188 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 555,000 | 547,524 | |
Ziggo Bond | |||
144A 3.375% 2/28/30 # | EUR | 500,000 | 556,496 |
144A 5.125% 2/28/30 # | 300,000 | 301,949 | |
109,418,034 | |||
Consumer Cyclical — 2.31% | |||
Alsea 144A 7.75% 12/14/26 # | 615,000 | 638,330 | |
Aptiv 3.10% 12/1/51 | 3,718,000 | 3,548,189 | |
Carnival 144A 7.625% 3/1/26 # | 1,748,000 | 1,834,622 | |
Daimler Finance North America | |||
144A 1.056% (LIBOR03M + 0.90%) 2/15/22 #, • | 1,100,000 | 1,100,995 | |
144A 3.40% 2/22/22 # | 500,000 | 502,054 | |
Daimler Trucks Finance North America 144A 2.375% 12/14/28 # | 3,120,000 | 3,136,753 | |
Falabella 144A 3.375% 1/15/32 # | 425,000 | 421,360 | |
Ford Motor Credit | |||
1.355% 2/7/25 | EUR | 200,000 | 229,334 |
18 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Ford Motor Credit | |||
1.49% (LIBOR03M + 1.27%) 3/28/22 • | 400,000 | $ 399,822 | |
1.744% 7/19/24 | EUR | 100,000 | 115,875 |
2.33% 11/25/25 | EUR | 200,000 | 237,463 |
2.386% 2/17/26 | EUR | 500,000 | 596,772 |
2.70% 8/10/26 | 700,000 | 707,000 | |
2.748% 6/14/24 | GBP | 100,000 | 136,439 |
2.90% 2/16/28 | 765,000 | 768,010 | |
3.25% 9/15/25 | EUR | 1,000,000 | 1,223,399 |
3.55% 10/7/22 | 1,500,000 | 1,524,450 | |
4.535% 3/6/25 | GBP | 1,100,000 | 1,576,140 |
4.542% 8/1/26 | 5,205,000 | 5,659,423 | |
5.125% 6/16/25 | 600,000 | 653,280 | |
Future Retail 144A 5.60% 1/22/25 # | 565,000 | 357,080 | |
General Motors | |||
5.40% 10/2/23 | 685,000 | 733,501 | |
6.125% 10/1/25 | 685,000 | 787,551 | |
6.60% 4/1/36 | 1,652,000 | 2,237,892 | |
General Motors Financial | |||
2.40% 10/15/28 | 2,345,000 | 2,340,350 | |
4.35% 4/9/25 | 875,000 | 942,075 | |
5.25% 3/1/26 | 2,570,000 | 2,884,693 | |
5.70% 9/30/30 μ, ψ | 1,780,000 | 2,035,875 | |
Hilton Domestic Operating | |||
144A 3.625% 2/15/32 # | 700,000 | 697,484 | |
144A 4.00% 5/1/31 # | 2,300,000 | 2,355,384 | |
Hilton Grand Vacations Borrower Escrow 144A 5.00% 6/1/29 # | 900,000 | 923,900 | |
Hyatt Hotels | |||
1.10% (SOFR + 1.05%) 10/1/23 • | 400,000 | 401,200 | |
1.30% 10/1/23 | 300,000 | 300,103 | |
1.80% 10/1/24 | 300,000 | 300,317 | |
Hyundai Capital America 144A 3.50% 11/2/26 # | 470,000 | 499,818 | |
Hyundai Capital Services 144A 0.75% 9/15/23 # | 1,800,000 | 1,778,786 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
InRetail Consumer 144A 3.25% 3/22/28 # | 530,000 | $ 525,466 | |
Marriott International 3.50% 10/15/32 | 900,000 | 943,830 | |
Melco Resorts Finance | |||
144A 5.375% 12/4/29 # | 200,000 | 194,310 | |
5.75% 7/21/28 | 200,000 | 201,388 | |
MGM China Holdings | |||
144A 4.75% 2/1/27 # | 725,000 | 718,914 | |
144A 5.25% 6/18/25 # | 400,000 | 397,424 | |
MGM Resorts International 4.75% 10/15/28 | 1,215,000 | 1,253,242 | |
Nemak 144A 3.625% 6/28/31 # | 600,000 | 585,861 | |
Nissan Motor | |||
144A 3.043% 9/15/23 # | 1,800,000 | 1,847,704 | |
144A 4.345% 9/17/27 # | 2,700,000 | 2,916,980 | |
144A 4.81% 9/17/30 # | 800,000 | 895,647 | |
Nissan Motor Acceptance | |||
144A 2.45% 9/15/28 # | 300,000 | 291,810 | |
144A 2.80% 1/13/22 # | 200,000 | 200,116 | |
144A 3.875% 9/21/23 # | 3,000,000 | 3,122,091 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 1,270,000 | 1,286,866 | |
Sands China | |||
144A 2.30% 3/8/27 # | 200,000 | 188,487 | |
144A 2.85% 3/8/29 # | 400,000 | 376,990 | |
144A 3.25% 8/8/31 # | 200,000 | 188,199 | |
3.80% 1/8/26 | 400,000 | 402,478 | |
4.375% 6/18/30 | 490,000 | 500,689 | |
5.40% 8/8/28 | 1,800,000 | 1,940,373 | |
Scientific Games International 144A 8.25% 3/15/26 # | 1,890,000 | 1,991,635 |
NQ-OPTFI [12/21] 2/22 (2028215) 19
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Six Flags Entertainment 144A 4.875% 7/31/24 # | 1,225,000 | $ 1,238,646 | |
Toyota Industries 144A 3.11% 3/12/22 # | 1,600,000 | 1,604,932 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 660,000 | 675,180 | |
Wynn Macau | |||
5.50% 1/15/26 | 200,000 | 188,223 | |
5.50% 10/1/27 | 200,000 | 186,200 | |
144A 5.625% 8/26/28 # | 440,000 | 408,100 | |
69,857,500 | |||
Consumer Non-Cyclical — 3.65% | |||
AbbVie | |||
2.85% 5/14/23 | 900,000 | 920,209 | |
2.95% 11/21/26 | 2,650,000 | 2,794,269 | |
3.20% 5/14/26 | 500,000 | 530,603 | |
3.25% 10/1/22 | 300,000 | 304,083 | |
3.45% 3/15/22 | 1,000,000 | 1,000,922 | |
3.75% 11/14/23 | 1,200,000 | 1,256,878 | |
4.05% 11/21/39 | 3,193,000 | 3,670,617 | |
Amgen | |||
2.00% 1/15/32 | 1,005,000 | 974,282 | |
2.20% 2/21/27 | 3,300,000 | 3,380,147 | |
2.80% 8/15/41 | 4,170,000 | 4,017,938 | |
Anheuser-Busch InBev Worldwide | |||
4.50% 6/1/50 | 3,705,000 | 4,577,020 | |
4.70% 2/1/36 | 2,390,000 | 2,888,850 | |
Ashtead Capital | |||
144A 1.50% 8/12/26 # | 665,000 | 653,497 | |
144A 2.45% 8/12/31 # | 585,000 | 570,251 | |
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 542,236 | |
BAT Capital 2.259% 3/25/28 | 1,500,000 | 1,462,941 | |
BAT International Finance 1.668% 3/25/26 | 1,065,000 | 1,046,569 | |
Bausch Health 144A 6.25% 2/15/29 # | 3,257,000 | 3,100,273 | |
Baxter International 144A 3.132% 12/1/51 # | 2,336,000 | 2,409,363 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Becton Dickinson Euro Finance 1.336% 8/13/41 | EUR | 700,000 | $ 760,686 |
Bellis Acquisition 144A 3.25% 2/16/26 # | GBP | 3,300,000 | 4,310,952 |
Bidvest Group UK 144A 3.625% 9/23/26 # | 780,000 | 778,401 | |
Boston Scientific | |||
3.375% 5/15/22 | 400,000 | 404,067 | |
4.00% 3/1/29 | 3,300,000 | 3,668,058 | |
Centene 3.375% 2/15/30 | 1,000,000 | 1,020,055 | |
Coty 144A 5.00% 4/15/26 # | 1,700,000 | 1,753,431 | |
CVS Health | |||
3.75% 4/1/30 | 780,000 | 856,065 | |
4.30% 3/25/28 | 4,913,000 | 5,517,796 | |
4.78% 3/25/38 | 1,030,000 | 1,255,981 | |
5.05% 3/25/48 | 2,635,000 | 3,451,170 | |
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ♦ | 65,580 | 76,422 | |
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,538,487 | |
Gilead Sciences 4.15% 3/1/47 | 3,305,000 | 3,900,684 | |
Global Payments | |||
2.15% 1/15/27 | 740,000 | 743,366 | |
2.65% 2/15/25 | 1,839,000 | 1,891,257 | |
2.90% 11/15/31 | 725,000 | 736,153 | |
3.20% 8/15/29 | 2,150,000 | 2,241,600 | |
HCA | |||
4.125% 6/15/29 | 3,400,000 | 3,744,870 | |
7.58% 9/15/25 | 30,000 | 35,453 | |
IHS Markit 3.625% 5/1/24 | 600,000 | 630,804 | |
Imperial Brands Finance 144A 3.75% 7/21/22 # | 470,000 | 475,241 | |
Indigo Group 1.625% 4/19/28 | EUR | 1,700,000 | 2,014,856 |
International Container Terminal Services 4.75% 6/17/30 | 745,000 | 816,236 | |
Kernel Holding 144A 6.50% 10/17/24 # | 375,000 | 379,848 | |
MHP 144A 6.25% 9/19/29 # | 425,000 | 402,900 |
20 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
NBM US Holdings 144A 6.625% 8/6/29 # | 495,000 | $ 542,117 | |
Pernod Ricard 144A 4.25% 7/15/22 # | 150,000 | 152,950 | |
Pilgrim's Pride 144A 5.875% 9/30/27 # | 1,458,000 | 1,541,091 | |
Prime Security Services Borrower 144A 6.25% 1/15/28 # | 3,020,000 | 3,153,710 | |
Regeneron Pharmaceuticals | |||
1.75% 9/15/30 | 825,000 | 781,117 | |
2.80% 9/15/50 | 1,170,000 | 1,099,698 | |
Royalty Pharma 1.75% 9/2/27 | 7,625,000 | 7,496,575 | |
StoneCo 144A 3.95% 6/16/28 # | 855,000 | 754,183 | |
Takeda Pharmaceutical | |||
2.05% 3/31/30 | 1,315,000 | 1,289,200 | |
3.025% 7/9/40 | 985,000 | 1,004,451 | |
3.175% 7/9/50 | 3,462,000 | 3,499,633 | |
Tenet Healthcare | |||
144A 4.25% 6/1/29 # | 1,790,000 | 1,820,913 | |
144A 6.125% 10/1/28 # | 1,815,000 | 1,920,733 | |
Teva Pharmaceutical Finance Netherlands III | |||
5.125% 5/9/29 | 365,000 | 358,448 | |
6.75% 3/1/28 | 385,000 | 410,608 | |
Thermo Fisher Scientific 2.80% 10/15/41 | 1,022,000 | 1,035,843 | |
United Rentals North America 3.875% 2/15/31 | 869,000 | 883,530 | |
Viatris | |||
1.65% 6/22/25 | 320,000 | 319,043 | |
2.30% 6/22/27 | 265,000 | 266,720 | |
2.70% 6/22/30 | 1,940,000 | 1,948,718 | |
4.00% 6/22/50 | 450,000 | 480,345 | |
Zimmer Biomet Holdings 3.15% 4/1/22 | 300,000 | 300,608 | |
110,566,021 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy — 3.37% | |||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 330,000 | $ 391,264 | |
Azure Power Energy 144A 3.575% 8/19/26 # | 410,000 | 414,715 | |
BP Capital Markets 4.875% 3/22/30 μ, ψ | 2,750,000 | 2,976,875 | |
Canacol Energy 144A 5.75% 11/24/28 # | 1,245,000 | 1,240,761 | |
Chevron USA 3.90% 11/15/24 | 565,000 | 605,028 | |
CNX Resources 144A 6.00% 1/15/29 # | 2,785,000 | 2,900,313 | |
Continental Resources 4.375% 1/15/28 | 2,835,000 | 3,069,681 | |
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 1,737,000 | 1,806,741 | |
Devon Energy 4.75% 5/15/42 | 630,000 | 731,024 | |
Ecopetrol | |||
4.625% 11/2/31 | 1,165,000 | 1,134,722 | |
5.375% 6/26/26 | 385,000 | 406,213 | |
Energy Transfer | |||
4.95% 5/15/28 | 700,000 | 777,020 | |
5.00% 10/1/22 | 1,500,000 | 1,530,002 | |
5.25% 4/15/29 | 655,000 | 750,920 | |
5.50% 6/1/27 | 3,200,000 | 3,652,673 | |
6.25% 4/15/49 | 4,420,000 | 5,784,731 | |
6.50% 11/15/26 μ, ψ | 3,380,000 | 3,447,600 | |
Enterprise Products Operating | |||
3.20% 2/15/52 | 4,365,000 | 4,292,601 | |
3.30% 2/15/53 | 570,000 | 568,167 | |
EQT 6.625% 2/1/25 | 1,100,000 | 1,241,647 | |
Equinor 1.75% 1/22/26 | 655,000 | 659,575 | |
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 745,000 | 743,243 | |
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | 535,000 | 517,990 | |
Geopark 144A 5.50% 1/17/27 # | 555,000 | 535,458 | |
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 395,000 | 411,294 |
NQ-OPTFI [12/21] 2/22 (2028215) 21
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Investment Energy Resources 144A 6.25% 4/26/29 # | 685,000 | $ 736,526 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | 121,000 | 159,350 | |
KazTransGas JSC 144A 4.375% 9/26/27 # | 896,000 | 976,483 | |
Kosmos Energy 144A 7.75% 5/1/27 # | 425,000 | 406,597 | |
Lukoil Capital DAC | |||
144A 2.80% 4/26/27 # | 965,000 | 952,103 | |
144A 3.60% 10/26/31 # | 865,000 | 844,184 | |
MC Brazil Downstream Trading 144A 7.25% 6/30/31 # | 705,000 | 703,030 | |
Medco Laurel Tree 144A 6.95% 11/12/28 # | 1,185,000 | 1,175,416 | |
MPLX | |||
1.75% 3/1/26 | 685,000 | 678,804 | |
4.125% 3/1/27 | 2,000,000 | 2,189,713 | |
Murphy Oil 5.875% 12/1/27 | 2,587,000 | 2,675,126 | |
NuStar Logistics | |||
5.625% 4/28/27 | 205,000 | 216,992 | |
6.375% 10/1/30 | 2,337,000 | 2,597,646 | |
Oil and Gas Holding 144A 7.625% 11/7/24 # | 200,000 | 216,250 | |
ONEOK | |||
4.35% 3/15/29 | 1,500,000 | 1,636,351 | |
7.50% 9/1/23 | 2,840,000 | 3,088,710 | |
PDC Energy 5.75% 5/15/26 | 1,205,000 | 1,246,759 | |
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 209,566 | |
Petrobras Global Finance | |||
5.999% 1/27/28 | 3,500,000 | 3,821,212 | |
6.75% 6/3/50 | 505,000 | 529,066 | |
6.85% 6/5/15 | 1,700,000 | 1,690,607 | |
7.25% 3/17/44 | 600,000 | 665,409 | |
Petroleos Mexicanos | |||
5.95% 1/28/31 | 1,655,000 | 1,611,473 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Petroleos Mexicanos | |||
144A 6.70% 2/16/32 # | 821,807 | $ 831,649 | |
6.75% 9/21/47 | 390,000 | 346,895 | |
7.69% 1/23/50 | 240,000 | 232,074 | |
Petronas Capital | |||
144A 2.48% 1/28/32 # | 200,000 | 200,906 | |
144A 3.50% 4/21/30 # | 440,000 | 476,520 | |
144A 4.55% 4/21/50 # | 700,000 | 869,237 | |
144A 4.80% 4/21/60 # | 1,100,000 | 1,458,953 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 695,000 | 709,208 | |
Qatar Energy | |||
144A 1.375% 9/12/26 # | 280,000 | 274,924 | |
144A 2.25% 7/12/31 # | 855,000 | 849,100 | |
Rio Oil Finance Trust Series 2014-1 9.25% 7/6/24 | 95,810 | 103,178 | |
SA Global Sukuk 144A 2.694% 6/17/31 # | 425,000 | 428,284 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 1,455,000 | 1,616,527 | |
5.75% 5/15/24 | 8,496,000 | 9,244,683 | |
Santos Finance 144A 3.649% 4/29/31 # | 1,700,000 | 1,732,678 | |
Saudi Arabian Oil | |||
144A 3.50% 11/24/70 # | 505,000 | 493,284 | |
144A 4.25% 4/16/39 # | 530,000 | 598,816 | |
Southwestern Energy 7.75% 10/1/27 | 2,050,000 | 2,213,487 | |
Tengizchevroil Finance Co International 144A 2.625% 8/15/25 # | 484,000 | 485,765 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 6,275,000 | 6,380,832 | |
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 370,000 | 340,940 |
22 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Tullow Oil 144A 10.25% 5/15/26 # | 610,000 | $ 617,134 | |
UEP Penonome II 144A 6.50% 10/1/38 # | 533,864 | 559,671 | |
Uzbekneftegaz 144A 4.75% 11/16/28 # | 200,000 | 192,960 | |
Woodside Finance 144A 3.70% 9/15/26 # | 400,000 | 426,142 | |
YPF 144A 6.95% 7/21/27 # | 970,000 | 636,029 | |
101,937,507 | |||
Finance Companies — 1.98% | |||
AerCap Ireland Capital DAC | |||
1.65% 10/29/24 | 500,000 | 499,349 | |
2.45% 10/29/26 | 200,000 | 201,755 | |
3.00% 10/29/28 | 2,300,000 | 2,334,312 | |
3.40% 10/29/33 | 4,543,000 | 4,630,960 | |
3.50% 1/15/25 | 300,000 | 313,384 | |
3.65% 7/21/27 | 1,665,000 | 1,755,964 | |
4.45% 10/1/25 | 1,200,000 | 1,292,662 | |
4.45% 4/3/26 | 150,000 | 163,188 | |
4.50% 9/15/23 | 460,000 | 482,659 | |
4.625% 7/1/22 | 1,100,000 | 1,121,598 | |
4.625% 10/15/27 | 745,000 | 824,754 | |
6.50% 7/15/25 | 1,350,000 | 1,543,776 | |
Air Lease | |||
2.875% 1/15/26 | 2,050,000 | 2,116,477 | |
3.00% 2/1/30 | 5,330,000 | 5,325,817 | |
3.375% 7/1/25 | 670,000 | 699,673 | |
4.125% 12/15/26 μ, ψ | 715,000 | 711,425 | |
4.25% 2/1/24 | 900,000 | 948,730 | |
Aircastle 4.125% 5/1/24 | 2,500,000 | 2,611,756 | |
Ally Financial 4.70% 5/15/26 μ, ψ | 1,605,000 | 1,670,203 | |
Aviation Capital Group 144A 3.875% 5/1/23 # | 1,000,000 | 1,029,702 | |
Avolon Holdings Funding 144A 2.528% 11/18/27 # | 116,000 | 112,762 | |
B3 SA - Brasil Bolsa Balcao 144A 4.125% 9/20/31 # | 900,000 | 868,509 | |
BOC Aviation 3.00% 5/23/22 | 300,000 | 301,547 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
BOC Aviation USA 144A 1.625% 4/29/24 # | 415,000 | $ 414,587 | |
China Evergrande Group 10.00% 4/11/23 | 550,000 | 86,625 | |
CIFI Holdings Group 6.45% 11/7/24 | 430,000 | 424,625 | |
DAE Funding | |||
144A 1.55% 8/1/24 # | 200,000 | 198,743 | |
144A 1.625% 2/15/24 # | 1,500,000 | 1,482,188 | |
144A 3.375% 3/20/28 # | 1,685,000 | 1,707,116 | |
3.375% 3/20/28 | 2,700,000 | 2,735,438 | |
GE Capital UK Funding Unlimited 5.875% 1/18/33 | GBP | 300,000 | 548,386 |
Goodman HK Finance 4.375% 6/19/24 | 1,095,000 | 1,164,264 | |
Jyske Realkredit | |||
1.50% 10/1/53 | DKK | 3,300,000 | 499,644 |
1.50% 10/1/53 | DKK | 5,300,000 | 788,260 |
Kaisa Group Holdings 9.375% 6/30/24 | 380,000 | 101,650 | |
KWG Group Holdings 7.40% 3/5/24 | 440,000 | 328,900 | |
Logicor Financing 3.25% 11/13/28 | EUR | 3,400,000 | 4,397,939 |
Longfor Group Holdings 3.95% 9/16/29 | 495,000 | 513,220 | |
Nordea Kredit Realkreditaktieselskab | |||
1.00% 10/1/50 | DKK | 2,300,000 | 338,026 |
1.50% 10/1/53 | DKK | 5,300,000 | 784,672 |
1.50% 10/1/53 | DKK | 1,900,000 | 285,130 |
1.50% 10/1/53 | DKK | 700,000 | 100,870 |
OneMain Finance 6.125% 3/15/24 | 1,500,000 | 1,592,145 | |
ORIX 3.20% 1/19/22 | 500,000 | 500,563 | |
Owl Rock Capital 2.875% 6/11/28 | 500,000 | 491,168 | |
Realkredit Danmark | |||
1.00% 10/1/50 | DKK | 13,100,000 | 1,924,273 |
1.00% 10/1/53 | DKK | 800,000 | 115,370 |
1.50% 10/1/53 | DKK | 9,700,000 | 1,455,179 |
1.50% 10/1/53 | DKK | 4,700,000 | 694,166 |
2.00% 10/1/53 | DKK | 2,900,000 | 437,819 |
NQ-OPTFI [12/21] 2/22 (2028215) 23
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 | $ 1,033,765 |
Sirius Real Estate 1.125% 6/22/26 | EUR | 2,400,000 | 2,710,298 |
SMBC Aviation Capital Finance DAC 144A 3.00% 7/15/22 # | 400,000 | 404,167 | |
59,820,158 | |||
Insurance — 0.66% | |||
AIA Group | |||
144A 3.375% 4/7/30 # | 375,000 | 405,763 | |
144A 3.90% 4/6/28 # | 1,000,000 | 1,105,401 | |
Ambac Assurance 144A 5.10% #, ** | 29,743 | 40,157 | |
Aon 2.90% 8/23/51 | 2,420,000 | 2,335,520 | |
Arthur J Gallagher & Co. 3.50% 5/20/51 | 1,834,000 | 1,941,416 | |
Athene Global Funding 144A 1.444% (LIBOR03M + 1.23%) 7/1/22 #, • | 700,000 | 703,803 | |
Athora Netherlands 2.375% 5/17/24 | EUR | 2,100,000 | 2,485,577 |
Brighthouse Financial | |||
3.85% 12/22/51 | 750,000 | 741,462 | |
4.70% 6/22/47 | 1,035,000 | 1,138,556 | |
5.625% 5/15/30 | 850,000 | 1,015,319 | |
Fairfax Financial Holdings 4.625% 4/29/30 | 1,000,000 | 1,121,304 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 417,000 | 433,054 | |
Jackson Financial | |||
144A 3.125% 11/23/31 # | 995,000 | 1,001,333 | |
144A 4.00% 11/23/51 # | 975,000 | 985,084 | |
MetLife 3.85% 9/15/25 μ, ψ | 1,520,000 | 1,554,200 | |
Prudential Financial 3.70% 3/13/51 | 1,660,000 | 1,893,900 | |
Sagicor Financial 144A 5.30% 5/13/28 # | 965,000 | 990,568 | |
19,892,417 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Real Estate Investment Trusts — 0.62% | |||
American Tower | |||
3.00% 6/15/23 | 600,000 | $ 617,130 | |
3.375% 5/15/24 | 500,000 | 522,370 | |
American Tower Trust #1 144A 3.07% 3/15/48 # | 1,285,000 | 1,286,947 | |
CIBANCO Institucion de Banca Multiple Trust 144A 4.375% 7/22/31 # | 645,000 | 618,997 | |
Cromwell Ereit Lux Finco 2.125% 11/19/25 | EUR | 600,000 | 701,718 |
Crown Castle International | |||
3.80% 2/15/28 | 2,115,000 | 2,303,221 | |
4.30% 2/15/29 | 2,745,000 | 3,067,045 | |
CyrusOne 1.45% 1/22/27 | EUR | 1,400,000 | 1,628,370 |
EPR Properties 4.50% 6/1/27 | 1,700,000 | 1,796,247 | |
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,754,650 | |
MGM Growth Properties Operating Partnership 5.75% 2/1/27 | 145,000 | 164,021 | |
MPT Operating Partnership 3.692% 6/5/28 | GBP | 1,600,000 | 2,266,248 |
Public Storage 0.50% 9/9/30 | EUR | 500,000 | 551,738 |
Trust Fibra Uno 144A 5.25% 1/30/26 # | 575,000 | 630,229 | |
18,908,931 | |||
Technology — 1.31% | |||
Autodesk 2.40% 12/15/31 | 1,885,000 | 1,881,644 | |
Broadcom | |||
144A 3.137% 11/15/35 # | 2,789,000 | 2,808,619 | |
144A 3.419% 4/15/33 # | 1,600,000 | 1,679,082 | |
144A 3.469% 4/15/34 # | 6,257,000 | 6,557,305 | |
4.11% 9/15/28 | 816,000 | 895,361 | |
Broadridge Financial Solutions 2.60% 5/1/31 | 2,698,000 | 2,710,977 | |
CDW | |||
2.67% 12/1/26 | 465,000 | 477,313 |
24 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology (continued) | |||
CDW | |||
3.276% 12/1/28 | 2,673,000 | $ 2,743,861 | |
3.569% 12/1/31 | 480,000 | 500,285 | |
Dell International 5.45% 6/15/23 | 160,000 | 168,839 | |
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,767,738 | |
Micron Technology 2.703% 4/15/32 | 875,000 | 877,502 | |
NXP | |||
144A 2.70% 5/1/25 # | 180,000 | 186,200 | |
144A 3.125% 2/15/42 # | 925,000 | 932,529 | |
144A 3.25% 5/11/41 # | 1,740,000 | 1,801,770 | |
144A 3.875% 6/18/26 # | 3,250,000 | 3,511,142 | |
144A 4.625% 6/1/23 # | 1,000,000 | 1,046,914 | |
144A 4.875% 3/1/24 # | 3,280,000 | 3,525,132 | |
144A 5.55% 12/1/28 # | 440,000 | 527,557 | |
Qorvo 144A 3.375% 4/1/31 # | 1,765,000 | 1,799,532 | |
SK Hynix | |||
144A 1.50% 1/19/26 # | 600,000 | 587,547 | |
144A 2.375% 1/19/31 # | 610,000 | 587,782 | |
39,574,631 | |||
Transportation — 1.27% | |||
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 855,000 | 819,530 | |
Air Canada 144A 3.875% 8/15/26 # | 300,000 | 306,395 | |
American Airlines 144A 5.50% 4/20/26 # | 500,000 | 520,715 | |
American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 ♦ | 1,217,470 | 1,208,989 | |
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 4/15/30 ♦ | 1,003,380 | 999,603 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
American Airlines 2019-1 Class AA Pass Through Trust 3.15% 8/15/33 ♦ | 183,743 | $ 186,188 | |
American Airlines 2021-1 Class A Pass Through Trust 2.875% 1/11/36 ♦ | 100,000 | 99,481 | |
Azul Investments | |||
144A 5.875% 10/26/24 # | 430,000 | 401,650 | |
144A 7.25% 6/15/26 # | 400,000 | 366,920 | |
British Airways 2018-1 Class AA Pass Through Trust 144A 3.80% 3/20/33 #, ♦ | 1,192,775 | 1,244,381 | |
British Airways 2019-1 Class AA Pass Through Trust 144A 3.30% 6/15/34 #, ♦ | 282,298 | 291,628 | |
Canadian Pacific Railway | |||
2.45% 12/2/31 | 1,665,000 | 1,699,472 | |
3.00% 12/2/41 | 245,000 | 251,007 | |
Delta Air Lines | |||
3.625% 3/15/22 | 500,000 | 500,019 | |
144A 7.00% 5/1/25 # | 3,389,000 | 3,878,010 | |
7.375% 1/15/26 | 1,858,000 | 2,189,385 | |
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/24 #, ♦ | 273,243 | 270,635 | |
ERAC USA Finance 144A 2.70% 11/1/23 # | 300,000 | 307,727 | |
Gol Finance 144A 8.00% 6/30/26 # | 410,000 | 386,343 | |
Kansas City Southern 3.00% 5/15/23 | 500,000 | 511,661 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 678,364 | 716,647 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 3,375,000 | 3,607,892 |
NQ-OPTFI [12/21] 2/22 (2028215) 25
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Penske Truck Leasing | |||
144A 3.95% 3/10/25 # | 1,000,000 | $ 1,066,320 | |
144A 4.45% 1/29/26 # | 2,100,000 | 2,307,182 | |
144A 4.875% 7/11/22 # | 300,000 | 306,556 | |
Southwest Airlines | |||
5.125% 6/15/27 | 2,380,000 | 2,722,808 | |
5.25% 5/4/25 | 1,680,000 | 1,867,393 | |
United Airlines | |||
144A 4.375% 4/15/26 # | 2,005,000 | 2,093,320 | |
144A 4.625% 4/15/29 # | 4,961,000 | 5,126,350 | |
United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/29 ♦ | 1,716,270 | 1,883,202 | |
US Airways 2012-2 Class A Pass Through Trust 4.625% 12/3/26 ♦ | 331,655 | 330,638 | |
38,468,047 | |||
Utilities — 2.18% | |||
Abu Dhabi National Energy 144A 2.00% 4/29/28 # | 665,000 | 659,115 | |
Adani Electricity Mumbai 144A 3.867% 7/22/31 # | 640,000 | 624,728 | |
AEP Texas 2.40% 10/1/22 | 200,000 | 202,437 | |
AES Andes 144A 7.125% 3/26/79 #, μ | 605,000 | 627,025 | |
Alfa Desarrollo 144A 4.55% 9/27/51 # | 840,000 | 830,441 | |
Calpine | |||
144A 4.50% 2/15/28 # | 453,000 | 470,771 | |
144A 5.00% 2/1/31 # | 1,535,000 | 1,537,371 | |
144A 5.125% 3/15/28 # | 454,000 | 461,618 | |
Cikarang Listrindo 144A 4.95% 9/14/26 # | 540,000 | 550,935 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Clean Renewable Power Mauritius 144A 4.25% 3/25/27 # | 450,000 | $ 461,614 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 240,000 | 245,473 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 2,330,000 | 2,423,200 | |
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 1,313,767 | |
Electricite de France 2.875% 12/15/26 μ, ψ | EUR | 1,400,000 | 1,638,204 |
Enel Finance International | |||
144A 1.875% 7/12/28 # | 665,000 | 648,878 | |
144A 2.25% 7/12/31 # | 725,000 | 702,026 | |
144A 2.875% 7/12/41 # | 2,085,000 | 2,002,949 | |
ENN Energy Holdings 144A 2.625% 9/17/30 # | 605,000 | 601,915 | |
Entergy 4.00% 7/15/22 | 300,000 | 303,682 | |
Entergy Arkansas 4.20% 4/1/49 | 870,000 | 1,034,698 | |
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 252,792 | |
Entergy Mississippi 3.85% 6/1/49 | 1,465,000 | 1,688,276 | |
Entergy Texas 3.55% 9/30/49 | 700,000 | 740,677 | |
Essential Utilities | |||
2.704% 4/15/30 | 695,000 | 706,896 | |
3.351% 4/15/50 | 675,000 | 700,753 | |
Evergy Kansas Central 3.45% 4/15/50 | 1,185,000 | 1,273,525 | |
FirstEnergy 3.35% 7/15/22 | 200,000 | 200,870 | |
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 875,000 | 1,001,411 | |
Greenko Power II 144A 4.30% 12/13/28 # | 695,000 | 708,031 | |
Infraestructura Energetica Nova 144A 4.875% 1/14/48 # | 395,000 | 399,689 |
26 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Israel Electric 144A 5.00% 11/12/24 # | 325,000 | $ 353,072 | |
Louisville Gas and Electric 4.25% 4/1/49 | 2,685,000 | 3,285,447 | |
Minejesa Capital 144A 5.625% 8/10/37 # | 400,000 | 418,604 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 720,000 | 698,537 | |
NextEra Energy Capital Holdings | |||
0.59% (SOFR + 0.54%) 3/1/23 • | 100,000 | 100,169 | |
0.65% 3/1/23 | 2,800,000 | 2,794,936 | |
3.00% 1/15/52 | 1,105,000 | 1,105,808 | |
Oglethorpe Power 3.75% 8/1/50 | 1,620,000 | 1,737,737 | |
Oryx Funding 144A 5.80% 2/3/31 # | 660,000 | 699,940 | |
Pacific Gas and Electric | |||
1.20% (SOFR + 1.15%) 11/14/22 • | 700,000 | 701,141 | |
2.10% 8/1/27 | 9,195,000 | 8,884,488 | |
3.00% 6/15/28 | 800,000 | 806,416 | |
3.25% 6/1/31 | 420,000 | 421,827 | |
3.30% 3/15/27 | 700,000 | 712,776 | |
3.30% 8/1/40 | 3,982,000 | 3,699,214 | |
3.50% 6/15/25 | 400,000 | 415,658 | |
3.50% 8/1/50 | 1,100,000 | 1,021,742 | |
4.50% 7/1/40 | 1,100,000 | 1,147,716 | |
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 620,000 | 735,624 | |
Perusahaan Listrik Negara | |||
144A 3.875% 7/17/29 # | 605,000 | 641,306 | |
144A 4.125% 5/15/27 # | 300,000 | 320,487 | |
144A 5.25% 5/15/47 # | 185,000 | 206,832 | |
PG&E 5.25% 7/1/30 | 1,625,000 | 1,707,054 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Utilities (continued) | |||
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | 715,000 | $ 757,386 | |
Sempra Energy 4.875% 10/15/25 μ, ψ | 1,055,000 | 1,132,310 | |
Southern California Edison | |||
3.65% 2/1/50 | 1,525,000 | 1,617,760 | |
4.00% 4/1/47 | 880,000 | 972,438 | |
4.875% 3/1/49 | 2,330,000 | 2,851,415 | |
Systems Energy Resources 2.14% 12/9/25 | 800,000 | 803,019 | |
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 165,000 | 174,892 | |
65,939,518 | |||
Total Corporate Bonds (cost $1,005,491,200) | 1,031,839,178 | ||
Municipal Bonds — 1.11% | |||
American Municipal Power, Ohio | |||
(Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 2,845,380 | |
Chicago, Illinois Transit Authority Sales Tax Receipts Revenue | |||
(Pension Funding) Series A 6.899% 12/1/40 | 1,800,000 | 2,537,370 | |
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | 1,800,000 | 2,537,370 | |
Commonwealth of Puerto Rico | |||
Series A 144A 3.707% 6/1/22 # | 3,595,000 | 3,540,967 | |
Series A 144A 5.00% 6/1/22 # | 1,965,000 | 1,960,088 | |
Series A 144A 5.25% 6/1/22 # | 4,490,000 | 4,494,984 | |
Series A 5.25% 6/1/22 | 1,740,000 | 1,742,175 |
NQ-OPTFI [12/21] 2/22 (2028215) 27
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
GDB Debt Recovery Authority of Puerto Rico | |||
7.50% 8/20/40 | 4,035,000 | $ 3,853,425 | |
Golden State Tobacco Securitization | |||
(Senior) Series A1 2.587% 6/1/29 | 1,700,000 | 1,710,506 | |
Municipal Electric Authority of Georgia | |||
(Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,748,000 | 2,707,862 | |
New Jersey Transportation Trust Fund Authority | |||
(Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | 1,862,446 | |
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 | 921,025 | |
New York State Urban Development | |||
(Build America Bonds) Series E 5.77% 3/15/39 | 800,000 | 986,248 | |
Oregon State Taxable Pension | |||
5.892% 6/1/27 | 30,000 | 35,152 | |
Pennsylvania Higher Education Assistance Agency Revenue | |||
(Student Loans) Series 2006-2 A-3 0.254% (LIBOR03M + 0.13%) 10/25/36 • | 323,137 | 318,712 |
Principal amount° | Value (US $) | ||
Municipal Bonds (continued) | |||
South Carolina Public Service Authority | |||
(Santee Cooper) Series D 4.77% 12/1/45 | 145,000 | $ 187,959 | |
West Virginia Tobacco Settlement Finance Authority | |||
(Class 1 Senior Current Interest Bonds) | |||
Series A 1.82% 6/1/26 | 250,000 | 248,665 | |
Series A 2.351% 6/1/28 | 300,000 | 300,963 | |
Series A 2.551% 6/1/29 | 300,000 | 301,938 | |
Series A 2.951% 6/1/31 | 500,000 | 510,345 | |
Total Municipal Bonds (cost $31,352,443) | 33,603,580 | ||
Non-Agency Asset-Backed Securities — 2.25% | |||
ABFC Trust Series 2006-HE1 A2D 0.322% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 • | 282,013 | 195,522 | |
Argent Securities Trust | |||
Series 2006-M1 A2C 0.402% (LIBOR01M + 0.30%, Floor 0.30%) 7/25/36 • | 1,149,769 | 470,601 | |
Series 2006-W4 A2C 0.422% (LIBOR01M + 0.32%, Floor 0.32%) 5/25/36 • | 598,308 | 207,189 | |
Avis Budget Rental Car Funding AESOP Series 2019-2A A 144A 3.35% 9/22/25 # | 1,660,000 | 1,738,452 | |
Bear Stearns Asset-Backed Securities I Trust Series 2005-FR1 M2 1.107% (LIBOR01M + 1.005%, Floor 1.005%) 6/25/35 • | 1,205,630 | 1,199,400 |
28 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 2.743% 10/25/36 • | 108,688 | $ 70,817 | |
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 289 | 293 | |
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 1.603% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #, • | 3,600,000 | 3,659,769 | |
Citicorp Residential Mortgage Trust Series 2006-3 A5 4.881% 11/25/36 • | 386,914 | 390,918 | |
Countrywide Asset-Backed Certificates | |||
Series 2004-3 2A 0.502% (LIBOR01M + 0.40%, Floor 0.40%) 8/25/34 • | 30,753 | 30,146 | |
Series 2006-1 AF6 4.571% 7/25/36 • | 50,273 | 50,577 | |
Series 2006-26 2A4 0.322% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37 • | 1,333,433 | 1,305,529 | |
Series 2007-6 2A4 0.412% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37 • | 925,796 | 881,109 | |
CWABS Asset-Backed Certificates Trust | |||
Series 2005-3 MV7 2.052% (LIBOR01M + 1.95%, Floor 1.95%) 8/25/35 • | 4,200,000 | 4,244,517 | |
Series 2006-11 1AF6 6.15% 9/25/46 • | 49,558 | 50,187 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
CWABS Asset-Backed Certificates Trust | |||
Series 2006-17 2A2 0.252% (LIBOR01M + 0.15%, Floor 0.15%) 3/25/47 • | 829,674 | $ 820,287 | |
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 1,600,000 | 1,568,981 | |
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 4,700,000 | 4,573,142 | |
Discover Card Execution Note Trust Series 2019-A1 A1 3.04% 7/15/24 | 400,000 | 400,333 | |
Domino's Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 7,363,000 | 7,393,991 | |
EquiFirst Mortgage Loan Trust Series 2004-2 M7 3.102% (LIBOR01M + 3.00%, Floor 3.00%) 10/25/34 • | 662,361 | 687,303 | |
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 0.422% (LIBOR01M + 0.32%, Floor 0.32%) 4/25/36 • | 687,074 | 674,727 |
NQ-OPTFI [12/21] 2/22 (2028215) 29
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Fremont Home Loan Trust Series 2004-B M1 0.972% (LIBOR01M + 0.87%, Floor 0.87%) 5/25/34 • | 2,182,790 | $ 2,172,796 | |
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 0.402% (LIBOR01M + 0.30%, Floor 0.30%) 8/25/36 • | 1,767,847 | 1,037,203 | |
GSAMP Trust | |||
Series 2006-FM3 A2D 0.332% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36 • | 844,967 | 514,850 | |
Series 2007-SEA1 A 144A 0.402% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #, • | 578,674 | 558,864 | |
Hardee's Funding Series 2018-1A A2II 144A 4.959% 6/20/48 # | 483,750 | 507,492 | |
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 0.342% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37 • | 1,188,728 | 944,094 | |
HSI Asset Securitization Trust Series 2006-HE1 2A1 0.202% (LIBOR01M + 0.10%, Floor 0.10%) 10/25/36 • | 23,021 | 11,568 | |
Hyundai Auto Receivables Trust Series 2020-C A2 0.26% 9/15/23 | 124,217 | 124,210 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
JPMorgan Chase Bank Series 2021-3 B 144A 0.76% 2/26/29 # | 1,157,610 | $ 1,150,353 | |
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 0.342% (LIBOR01M + 0.24%, Floor 0.24%) 8/25/36 • | 325,653 | 323,489 | |
Lendingpoint Asset Securitization Trust Series 2021-B A 144A 1.11% 2/15/29 # | 1,182,956 | 1,178,781 | |
Long Beach Mortgage Loan Trust | |||
Series 2006-1 2A4 0.702% (LIBOR01M + 0.60%, Floor 0.60%) 2/25/36 • | 2,588,336 | 2,399,946 | |
Series 2006-7 1A 0.257% (LIBOR01M + 0.155%, Floor 0.155%) 8/25/36 • | 2,513,312 | 1,588,322 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 500,000 | 504,067 | |
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE1 A2C 0.252% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36 • | 4,022,382 | 2,927,749 |
30 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Morgan Stanley ABS Capital I Trust | |||
Series 2007-HE5 A2D 0.442% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37 • | 2,967,754 | $ 1,701,187 | |
New Century Home Equity Loan Trust Series 2005-1 M2 0.822% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.72%) 3/25/35 • | 233,599 | 233,424 | |
Option One Mortgage Loan Trust | |||
Series 2005-1 M1 0.882% (LIBOR01M + 0.78%, Floor 0.78%) 2/25/35 • | 1,362,504 | 1,356,007 | |
Series 2007-4 2A4 0.412% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37 • | 5,220,020 | 3,673,644 | |
PFS Financing Series 2021-A A 144A 0.71% 4/15/26 # | 1,800,000 | 1,774,547 | |
RAAC Trust Series 2005-SP2 2A 0.702% (LIBOR01M + 0.60%, Cap 14.00%, Floor 0.60%) 6/25/44 • | 217,641 | 199,459 | |
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 133,411 | 136,266 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Soundview Home Loan Trust Series 2006-OPT1 2A4 0.642% (LIBOR01M + 0.54%, Floor 0.54%) 3/25/36 • | 161,968 | $ 161,810 | |
Structured Asset Investment Loan Trust Series 2003-BC2 M1 1.482% (LIBOR01M + 1.38%, Floor 1.38%) 4/25/33 • | 15,778 | 15,775 | |
Structured Asset Securities Mortgage Loan Trust | |||
Series 2006-BC1 A6 0.372% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 • | 1,164,370 | 1,120,191 | |
Series 2006-BC2 A1 0.257% (LIBOR01M + 0.155%, Floor 0.155%) 9/25/36 • | 3,352,615 | 2,623,210 | |
Tesla Auto Lease Trust Series 2021-A A2 144A 0.36% 3/20/25 # | 262,717 | 262,145 | |
Towd Point Mortgage Trust | |||
Series 2017-1 A1 144A 2.75% 10/25/56 #, • | 307,320 | 309,969 | |
Series 2017-2 A1 144A 2.75% 4/25/57 #, • | 37,732 | 38,027 | |
Series 2017-4 M1 144A 3.25% 6/25/57 #, • | 615,000 | 635,067 | |
Series 2018-1 A1 144A 3.00% 1/25/58 #, • | 239,226 | 242,244 | |
Series 2019-4 A1 144A 2.90% 10/25/59 #, • | 6,985,547 | 7,119,945 | |
Total Non-Agency Asset-Backed Securities (cost $67,943,885) | 68,160,491 | ||
NQ-OPTFI [12/21] 2/22 (2028215) 31
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations — 1.67% | |||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 • | 864,239 | $ 601,961 | |
ARM Mortgage Trust | |||
Series 2004-5 3A1 2.543% 4/25/35 • | 2,815 | 2,812 | |
Series 2005-10 3A31 2.494% 1/25/36 • | 75,987 | 72,305 | |
Series 2006-2 1A4 3.156% 5/25/36 • | 375,172 | 363,936 | |
Banc of America Funding Trust | |||
Series 2005-E 7A1 1.655% (COF 11 + 1.43%, Floor 1.43%) 6/20/35 • | 69,823 | 61,121 | |
Series 2006-I 1A1 2.105% 12/20/36 • | 102,662 | 106,160 | |
Banc of America Mortgage Trust Series 2003-D 2A1 3.45% 5/25/33 • | 48,693 | 51,210 | |
Bear Stearns ARM Trust Series 2003-5 2A1 2.504% 8/25/33 • | 16,583 | 16,681 | |
Chase Mortgage Finance Trust Series 2005-A1 3A1 2.897% 12/25/35 • | 44,296 | 42,529 | |
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ♦ | 714,290 | 448,306 | |
Connecticut Avenue Securities Trust | |||
Series 2018-R07 1M2 144A 2.502% (LIBOR01M + 2.40%) 4/25/31 #, • | 189,263 | 190,044 | |
Series 2019-R01 2M2 144A 2.553% (LIBOR01M + 2.45%) 7/25/31 #, • | 119,147 | 119,682 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Connecticut Avenue Securities Trust | |||
Series 2019-R02 1M2 144A 2.403% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #, • | 557,194 | $ 559,495 | |
Series 2019-R07 1M2 144A 2.203% (LIBOR01M + 2.10%) 10/25/39 #, • | 733,777 | 735,401 | |
Series 2020-R01 1M2 144A 2.153% (LIBOR01M + 2.05%, Floor 2.05%) 1/25/40 #, • | 1,227,152 | 1,231,840 | |
CSMC Mortgage-Backed Trust | |||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 626,792 | 534,256 | |
Series 2007-1 5A14 6.00% 2/25/37 | 162,646 | 140,986 | |
Series 2007-3 4A6 0.352% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37 • | 88,498 | 75,359 | |
Series 2007-3 4A12 6.648% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37 Σ, • | 88,498 | 20,196 | |
Series 2007-3 4A15 5.50% 4/25/37 | 39,296 | 37,416 | |
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, • | 905,774 | 915,483 | |
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 19,936 | 19,910 | |
GS Mortgage-Backed Securities Trust | |||
Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, • | 2,394,385 | 2,411,809 |
32 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
GS Mortgage-Backed Securities Trust | |||
Series 2021-PJ7 A2 144A 2.50% 1/25/52 #, • | 2,439,717 | $ 2,438,036 | |
GSR Mortgage Loan Trust Series 2007-AR1 2A1 2.77% 3/25/47 • | 410,304 | 314,754 | |
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 0.462% (LIBOR01M + 0.36%, Cap 11.50%, Floor 0.36%) 6/25/37 • | 3,255,442 | 2,222,630 | |
JPMorgan Mortgage Trust | |||
Series 2006-A6 2A4L 2.931% 10/25/36 • | 203,579 | 177,695 | |
Series 2006-A7 2A2 3.11% 1/25/37 • | 41,024 | 38,682 | |
Series 2007-A1 6A1 2.622% 7/25/35 • | 47,801 | 48,860 | |
Series 2014-2 B1 144A 3.418% 6/25/29 #, • | 25,710 | 25,701 | |
Series 2014-2 B2 144A 3.418% 6/25/29 #, • | 25,710 | 25,701 | |
Series 2015-4 B1 144A 3.574% 6/25/45 #, • | 554,249 | 563,398 | |
Series 2015-4 B2 144A 3.574% 6/25/45 #, • | 236,886 | 240,487 | |
Series 2015-5 B2 144A 2.339% 5/25/45 #, • | 480,494 | 482,404 | |
Series 2015-6 B1 144A 3.519% 10/25/45 #, • | 217,978 | 221,334 | |
Series 2015-6 B2 144A 3.519% 10/25/45 #, • | 212,086 | 214,963 | |
Series 2016-4 B1 144A 3.825% 10/25/46 #, • | 198,451 | 201,606 | |
Series 2016-4 B2 144A 3.825% 10/25/46 #, • | 361,806 | 367,050 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
JPMorgan Mortgage Trust | |||
Series 2017-1 B3 144A 3.469% 1/25/47 #, • | 886,320 | $ 895,732 | |
Series 2017-2 A3 144A 3.50% 5/25/47 #, • | 65,041 | 65,474 | |
Series 2020-2 A3 144A 3.50% 7/25/50 #, • | 218,657 | 221,282 | |
Series 2020-5 A3 144A 3.00% 12/25/50 #, • | 1,146,358 | 1,160,164 | |
Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 580,970 | 585,877 | |
Series 2021-1 A3 144A 2.50% 6/25/51 #, • | 808,628 | 808,394 | |
Series 2021-10 A3 144A 2.50% 12/25/51 #, • | 1,634,349 | 1,634,286 | |
Series 2021-13 B1 144A 3.155% 4/25/52 #, • | 1,983,184 | 2,035,001 | |
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,187,440 | 534,990 | |
Ludgate Funding | |||
Series 2006-1X A2A 0.297% (BP0003M + 0.19%) 12/1/60 • | GBP | 1,177,195 | 1,543,261 |
Series 2008-W1X A1 1.078% (BP0003M + 0.60%) 1/1/61 • | GBP | 505,239 | 673,757 |
Mansard Mortgages Series 2007-1X A2 0.314% (BP0003M + 0.18%) 4/15/47 • | GBP | 539,441 | 704,307 |
MASTR Alternative Loan Trust | |||
Series 2004-3 8A1 7.00% 4/25/34 | 1,202 | 1,241 | |
Series 2004-5 6A1 7.00% 6/25/34 | 18,362 | 19,082 | |
NQ-OPTFI [12/21] 2/22 (2028215) 33
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
MASTR ARM Trust Series 2004-4 4A1 2.618% 5/25/34 • | 39,118 | $ 39,181 | |
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 2.24% 2/25/34 • | 2,171 | 2,237 | |
Morgan Stanley Residential Mortgage Loan Trust | |||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, • | 806,754 | 807,247 | |
Series 2021-1 A2 144A 2.50% 3/25/51 #, • | 740,892 | 741,344 | |
Series 2021-4 A3 144A 2.50% 7/25/51 #, • | 824,549 | 824,558 | |
New Residential Mortgage Loan Trust | |||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, • | 173,319 | 177,205 | |
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, • | 3,952,588 | 4,024,902 | |
RALI Series Trust | |||
Series 2007-QA5 2A1 5.881% 9/25/37 • | 2,190,161 | 1,829,666 | |
Series 2007-QH8 A 1.01% 10/25/37 • | 1,344,868 | 1,329,046 | |
RCKT Mortgage Trust | |||
Series 2021-1 A1 144A 2.50% 3/25/51 #, • | 822,231 | 824,255 | |
Series 2021-6 A1 144A 2.50% 12/25/51 #, =, • | 1,671,000 | 1,664,149 | |
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 0.442% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #, • | 649,797 | 640,108 |
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Sequoia Mortgage Trust | |||
Series 2004-5 A3 0.872% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.56%) 6/20/34 • | 99,441 | $ 98,809 | |
Series 2007-1 4A1 2.834% 9/20/46 • | 256,321 | 198,272 | |
Series 2015-1 B2 144A 3.909% 1/25/45 #, • | 166,344 | 166,482 | |
Series 2017-5 B2 144A 3.80% 8/25/47 #, • | 2,964,172 | 3,003,813 | |
Series 2019-CH1 A1 144A 4.50% 3/25/49 #, • | 30,161 | 30,250 | |
Series 2020-4 A2 144A 2.50% 11/25/50 #, • | 684,874 | 687,005 | |
Structured ARM Loan Trust Series 2006-1 7A4 2.841% 2/25/36 • | 126,999 | 120,584 | |
Structured Asset Mortgage Investments II Trust Series 2005-AR5 A2 0.604% (LIBOR01M + 0.50%, Cap 11.00%, Floor 0.50%) 7/19/35 • | 146,275 | 141,999 | |
Trinity Square Series 2021-1A A 144A 0.90% (SONIA3M + 0.85%) 7/15/59 #, • | GBP | 3,712,352 | 5,031,678 |
WaMu Mortgage Pass Through Certificates Trust | |||
Series 2005-AR16 1A3 2.644% 12/25/35 ♦, • | 189,668 | 193,179 | |
Series 2007-HY1 3A3 3.051% 2/25/37 ♦, • | 130,859 | 129,711 | |
Series 2007-HY7 4A1 3.109% 7/25/37 ♦, • | 253,108 | 256,447 |
34 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations (continued) | |||
Wells Fargo Mortgage-Backed Securities Trust | |||
Series 2006-AR5 2A1 2.639% 4/25/36 • | ��2,418 | $ 2,400 | |
Series 2006-AR11 A6 2.821% 8/25/36 • | 128,330 | 126,307 | |
Series 2020-1 A1 144A 3.00% 12/25/49 #, • | 178,109 | 180,227 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $52,386,102) | 50,496,108 | ||
Non-Agency Commercial Mortgage-Backed Securities — 4.85% | |||
BANK | |||
Series 2017-BNK5 A5 3.39% 6/15/60 | 1,430,000 | 1,537,796 | |
Series 2017-BNK5 B 3.896% 6/15/60 • | 605,000 | 645,893 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,110,000 | 1,196,845 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 8,491,628 | |
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | 2,205,882 | |
Series 2019-BN23 A3 2.92% 12/15/52 | 2,550,000 | 2,690,576 | |
Benchmark Mortgage Trust | |||
Series 2018-B1 A5 3.666% 1/15/51 • | 2,310,000 | 2,512,456 | |
Series 2020-B17 A5 2.289% 3/15/53 | 3,460,000 | 3,479,659 | |
Series 2020-B20 A5 2.034% 10/15/53 | 10,650,000 | 10,491,009 | |
Series 2020-B21 A5 1.978% 12/17/53 | 1,300,000 | 1,274,958 | |
Series 2020-B22 A5 1.973% 1/15/54 | 2,050,000 | 2,009,017 | |
Series 2021-B24 A5 2.584% 3/15/54 | 6,790,000 | 6,988,115 | |
Series 2021-B25 A5 2.577% 4/15/54 | 5,550,000 | 5,708,573 | |
Series 2021-B29 A5 2.388% 9/15/54 | 6,000,000 | 6,073,828 | |
Cantor Commercial Real Estate Lending | |||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,579,082 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Cantor Commercial Real Estate Lending | |||
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | $ 4,156,604 | |
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 843,216 | |
CD Mortgage Trust | |||
Series 2017-CD6 B 3.911% 11/13/50 • | 440,000 | 464,441 | |
Series 2019-CD8 A4 2.912% 8/15/57 | 8,775,000 | 9,208,375 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.839% 12/10/54 | 3,100,000 | 3,362,467 | |
Citigroup Commercial Mortgage Trust | |||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 825,310 | |
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,458,269 | |
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,375,990 | |
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 681,771 | |
Series 2019-C7 A4 3.102% 12/15/72 | 7,455,000 | 7,931,985 | |
COMM Mortgage Trust | |||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,100,000 | 1,127,562 | |
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,322,208 | |
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | 629,222 | |
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 823,687 | |
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,495,137 | |
DB-JPM Mortgage Trust Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 946,566 | |
GS Mortgage Securities Trust | |||
Series 2015-GC32 A4 3.764% 7/10/48 | 1,000,000 | 1,066,148 | |
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,385,799 |
NQ-OPTFI [12/21] 2/22 (2028215) 35
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
GS Mortgage Securities Trust | |||
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | $ 2,069,071 | |
Series 2018-GS9 A4 3.992% 3/10/51 • | 570,000 | 632,496 | |
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,366,494 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 5,000,000 | 5,294,787 | |
Series 2020-GC47 A5 2.377% 5/12/53 | 3,716,000 | 3,764,613 | |
JPM-BB Commercial Mortgage Securities Trust | |||
Series 2015-C31 A3 3.801% 8/15/48 | 8,930,213 | 9,480,848 | |
Series 2015-C33 A4 3.77% 12/15/48 | 570,000 | 612,564 | |
JPM-DB Commercial Mortgage Securities Trust | |||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,716,888 | |
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | 1,121,160 | |
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | 2,570,859 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 358,501 | |
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,274,159 | |
LB-UBS Commercial Mortgage Trust Series 2006-C6 AJ 5.452% 9/15/39 • | 248,213 | 112,069 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 1,021,223 | |
Series 2015-C27 ASB 3.557% 12/15/47 | 1,690,093 | 1,753,954 | |
Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | 1,528,380 | |
Morgan Stanley Capital I Trust | |||
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | 1,064,006 |
Principal amount° | Value (US $) | ||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||
Morgan Stanley Capital I Trust | |||
Series 2020-HR8 A4 2.041% 7/15/53 | 4,415,000 | $ 4,343,349 | |
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, • | 480,000 | 480,744 | |
VMC Finance Series 2021-FL4 A 144A 1.204% (LIBOR01M + 1.10%, Floor 1.10%) 6/16/36 #, • | 1,911,674 | 1,905,335 | |
Wells Fargo Commercial Mortgage Trust | |||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 288,917 | |
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 543,568 | |
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,262,154 | |
Series 2017-C38 A5 3.453% 7/15/50 | 905,000 | 975,320 | |
Series 2020-C58 A4 2.092% 7/15/53 | 2,300,000 | 2,276,423 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $144,897,003) | 146,807,956 | ||
Loan Agreements — 2.81% | |||
Acrisure 4.75% (LIBOR03M + 4.25%) 2/15/27 • | 300,000 | 300,375 | |
Acrisure Tranche B 3.724% (LIBOR02M + 3.50%) 2/15/27 • | 408,262 | 404,520 | |
Advantage Sales & Marketing Tranche B-1 5.25% (LIBOR03M + 4.50%) 10/28/27 • | 704,684 | 706,358 | |
Applied Systems 1st Lien 3.50% (LIBOR01M + 3.00%) 9/19/24 • | 837,656 | 838,375 |
36 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Applied Systems 2nd Lien 6.25% (LIBOR03M + 5.50%) 9/19/25 • | 2,087,212 | $ 2,110,259 | |
Aramark Services Tranche B-3 1.851% (LIBOR01M + 1.75%) 3/11/25 • | 359,075 | 355,335 | |
Aramark Services Tranche B-5 2.601% (LIBOR01M + 2.50%) 4/6/28 • | 377,049 | 375,949 | |
Array Technologies 3.75% (LIBOR03M + 3.25%) 10/14/28 • | 449 | 446 | |
Aruba Investments Holdings 1st Lien 4.50% (LIBOR06M + 4.00%) 11/24/27 • | 352,342 | 353,223 | |
Aruba Investments Holdings 2nd Lien 8.50% (LIBOR06M + 7.75%) 11/24/28 • | 355,000 | 358,550 | |
AssuredPartners 3.604% (LIBOR01M + 3.50%) 2/12/27 • | 938,289 | 932,425 | |
Avantor Funding Tranche B-5 2.75% (LIBOR01M + 2.25%) 11/8/27 • | 828,748 | 828,619 | |
Ball Metalpack Finco 1st Lien 4.676% (LIBOR03M + 4.50%) 7/31/25 • | 517,320 | 518,613 | |
Ball Metalpack Finco 2nd Lien 9.75% (LIBOR03M + 8.75%) 7/31/26 • | 79,000 | 79,296 | |
Bausch Health 3.104% (LIBOR01M + 3.00%) 6/2/25 • | 229,473 | 228,740 | |
Berry Global Tranche Z 1.864% (LIBOR02M + 1.75%) 7/1/26 • | 617,900 | 614,650 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
BMC Software 3.974% (LIBOR03M + 3.75%) 10/2/25 • | 336,568 | $ 335,657 | |
BW Gas & Convenience Holdings Tranche B 4.00% (LIBOR01M + 3.50%) 3/31/28 • | 1,049,725 | 1,049,725 | |
BWay Holding 3.354% (LIBOR01M + 3.25%) 4/3/24 • | 153,577 | 151,795 | |
Caesars Resort Collection Tranche B 2.854% (LIBOR01M + 2.75%) 12/23/24 • | 1,981,433 | 1,973,755 | |
Caesars Resort Collection Tranche B-1 3.604% (LIBOR01M + 3.50%) 7/21/25 • | 1,876,265 | 1,879,344 | |
Calpine | |||
2.11% (LIBOR01M + 2.00%) 4/5/26 • | 243,750 | 241,236 | |
2.61% (LIBOR01M + 2.50%) 12/16/27 • | 256,236 | 254,894 | |
Camelot US Acquisition l 4.00% (LIBOR01M + 3.00%) 10/30/26 • | 643,500 | 643,339 | |
Carnival Tranche B 3.75% (LIBOR03M + 3.00%) 6/30/25 • | 493,750 | 489,121 | |
Castlelake Aviation One DAC Tranche B 3.25% (LIBOR03M + 2.75%) 10/22/26 • | 538,650 | 537,191 | |
CenturyLink Tranche B 2.354% (LIBOR01M + 2.25%) 3/15/27 • | 987,406 | 976,837 | |
Change Healthcare Holdings 3.50% (LIBOR01M + 2.50%) 3/1/24 • | 171,021 | 171,043 |
NQ-OPTFI [12/21] 2/22 (2028215) 37
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Charter Communications Operating Tranche B2 1.86% (LIBOR01M + 1.75%) 2/1/27 • | 479,943 | $ 475,953 | |
Chemours Tranche B-2 1.86% (LIBOR03M + 1.75%) 4/3/25 • | 825,180 | 819,335 | |
Connect US Finco 4.50% (LIBOR01M + 3.50%) 12/11/26 • | 637,642 | 638,489 | |
Core & Main Tranche B-1 2.602% (LIBOR01M + 2.50%) 7/27/28 • | 535,575 | 533,064 | |
CoreLogic 1st Lien 4.00% (LIBOR01M + 3.50%) 6/2/28 • | 473,813 | 474,168 | |
CSC Holdings | |||
2.36% (LIBOR03M + 2.25%) 7/17/25 • | 310,375 | 306,030 | |
2.61% (LIBOR03M + 2.50%) 4/15/27 • | 286,215 | 283,114 | |
DaVita Tranche B-1 1.854% (LIBOR01M + 1.75%) 8/12/26 • | 790,838 | 787,762 | |
Delta Air Lines TBD 10/20/27 X | 500,000 | 529,937 | |
Ecovyst Catalyst Technologies 3.25% (LIBOR03M + 2.75%) 6/9/28 • | 407,950 | 408,545 | |
EFS Cogen Holdings I Tranche B 4.50% (LIBOR03M + 3.50%) 10/1/27 • | 466,367 | 460,732 | |
Electron Bidco 3.75% (LIBOR03M + 3.25%) 11/1/28 • | 500,000 | 499,420 | |
Ensemble RCM 3.879% (LIBOR03M + 3.75%) 8/3/26 • | 359,720 | 360,035 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 735,000 | 754,661 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Epicor Software Tranche C 4.00% (LIBOR01M + 3.25%) 7/30/27 • | 1,318,312 | $ 1,319,100 | |
Frontier Communications Tranche B 4.50% (LIBOR03M + 3.75%) 5/1/28 • | 1,736,875 | 1,738,612 | |
Gainwell Acquisition Tranche B 4.75% (LIBOR03M + 4.00%) 10/1/27 • | 1,197,900 | 1,202,766 | |
Garda World Security Tranche B-2 4.36% (LIBOR01M + 4.25%) 10/30/26 • | 191,971 | 191,971 | |
Gardner Denver Tranche B-1 1.854% (LIBOR01M + 1.75%) 3/1/27 • | 667,429 | 661,223 | |
Global Medical Response 5.25% (LIBOR06M + 4.25%) 10/2/25 • | 1,164,192 | 1,160,408 | |
Golden Nugget 3.25% (LIBOR01M + 2.50%) 10/4/23 • | 852,567 | 848,498 | |
Granite US Holdings Tranche B 4.224% (LIBOR03M + 4.00%) 9/30/26 • | 135,468 | 135,637 | |
Gray Television Tranche B-2 2.599% (LIBOR03M + 2.50%) 2/7/24 • | 1,018,322 | 1,017,304 | |
Grupo Aeromexico | |||
12.50% - 13.50% (LIBOR03M + 12.50%) 12/30/21 =, • | 1,021,656 | 1,021,656 | |
9.00% (LIBOR03M + 8.00%) 12/30/21 =, • | 1,300,000 | 1,300,000 | |
Hamilton Projects Acquiror 5.50% (LIBOR03M + 4.50%) 6/17/27 • | 917,579 | 919,012 |
38 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Heartland Dental | |||
3.604% (LIBOR01M + 3.50%) 4/30/25 • | 824,331 | $ 817,182 | |
4.104% (LIBOR03M + 4.00%) 4/30/25 • | 457,700 | 457,175 | |
Hilton Grand Vacations Borrower 3.50% (LIBOR01M + 3.00%) 8/2/28 • | 997,500 | 1,000,305 | |
Hilton Worldwide Finance Tranche B-2 1.852% (LIBOR01M + 1.75%) 6/22/26 • | 1,172,387 | 1,164,246 | |
HUB International 2.875% (LIBOR03M + 2.75%) 4/25/25 • | 356,603 | 352,666 | |
Informatica 2.875% (LIBOR01M + 2.75%) 10/27/28 • | 635,000 | 633,492 | |
IQVIA Tranche B-3 1.974% (LIBOR03M + 1.75%) 6/11/25 • | 502,707 | 501,485 | |
IRB Holding 4.25% (LIBOR03M + 3.25%) 12/15/27 • | 3,569,472 | 3,573,934 | |
JBS USA LUX 2.102% (LIBOR01M + 2.00%) 5/1/26 • | 160,463 | 160,279 | |
Kenan Advantage Group Tranche B 4.50% (LIBOR01M + 3.75%) 3/24/26 • | 460,350 | 460,062 | |
Loyalty Ventures Tranche B 5.00% (LIBOR01M + 4.50%) 11/3/27 • | 125,000 | 124,844 | |
Madison Safety & Flow TBD 12/14/28 X | 1,585,000 | 1,586,981 | |
Medrisk Tranche B 1st Lien 4.50% (LIBOR01M + 3.75%) 5/10/28 • | 488,775 | 489,080 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Michaels Tranche B 5.00% (LIBOR03M + 4.25%) 4/15/28 • | 1,207 | $ 1,197 | |
Mileage Plus Holdings 6.25% (LIBOR03M + 5.25%) 6/21/27 • | 1,000,000 | 1,058,125 | |
MPH Acquisition Holdings 4.75% (LIBOR01M + 4.25%) 9/1/28 • | 1,800,000 | 1,764,562 | |
Numericable US Tranche B-11 2.879% (LIBOR03M + 2.75%) 7/31/25 • | 345,516 | 342,205 | |
Numericable US Tranche B-13 4.118% (LIBOR02M + 4.00%) 8/14/26 • | 130,950 | 130,514 | |
Olympus Water US Holding Tranche B 4.25% (LIBOR03M + 3.75%) 11/9/28 • | 575,000 | 573,762 | |
ON Semiconductor Tranche B-4 2.104% (LIBOR01M + 2.00%) 9/19/26 • | 1,265,064 | 1,265,459 | |
Organon & Co. 3.50% (LIBOR06M + 3.00%) 6/2/28 • | 2,072,958 | 2,078,356 | |
Pactiv Evergreen Group Holdings Tranche B-3 4.00% (LIBOR01M + 3.50%) 9/25/28 • | 299,250 | 298,988 | |
PAE 1st Lien TBD 10/19/27 X | 2,878,500 | 2,885,996 | |
Pelican Products TBD 12/29/28 X | 280,000 | 279,125 | |
Penn National Gaming Tranche B-1 3.00% (LIBOR01M + 2.25%) 10/15/25 • | 868,117 | 868,463 | |
Peraton Tranche B 1st Lien 4.50% (LIBOR01M + 3.75%) 2/1/28 • | 1,047,087 | 1,049,425 |
NQ-OPTFI [12/21] 2/22 (2028215) 39
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
PG&E Tranche B 3.50% (LIBOR03M + 3.00%) 6/23/25 • | 1,439,919 | $ 1,427,920 | |
Pilot Travel Centers Tranche B 2.104% (LIBOR01M + 2.00%) 8/4/28 • | 728,175 | 724,737 | |
Pre-Paid Legal Services TBD 12/15/28 X | 1,255,000 | 1,248,333 | |
Prestige Brands Tranche B5 2.50% (LIBOR01M + 2.00%) 6/9/28 • | 362,083 | 362,762 | |
Pretium PKG Holdings 1st Lien 4.50% (LIBOR06M + 4.00%) 10/2/28 • | 710,000 | 709,493 | |
Prime Security Services Borrower Tranche B-1 3.50% (LIBOR01M + 2.75%) 9/23/26 • | 406,389 | 406,458 | |
RealPage 1st Lien 3.75% (LIBOR01M + 3.25%) 4/24/28 • | 997,500 | 995,754 | |
Reynolds Group Holdings Tranche B-2 3.354% (LIBOR01M + 3.25%) 2/5/26 • | 470,250 | 468,151 | |
Russell Investments US Institutional Holdco 4.50% (LIBOR06M + 3.50%) 5/30/25 • | 425,673 | 426,365 | |
Ryan Specialty Group Tranche B-1 3.75% (LIBOR01M + 3.00%) 9/1/27 • | 587,562 | 588,603 | |
Scientific Games International Tranche B-5 2.854% (LIBOR01M + 2.75%) 8/14/24 • | 739,248 | 737,538 | |
Sinclair Televison Group Tranche B-3 3.11% (LIBOR03M + 3.00%) 4/1/28 • | 637,369 | 631,128 |
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Spirit Aerosystems Tranche B 4.25% (LIBOR01M + 3.75%) 1/15/25 • | 777,165 | $ 779,350 | |
SS&C Technologies Tranche B-3 1.854% (LIBOR01M + 1.75%) 4/16/25 • | 179,518 | 177,673 | |
SS&C Technologies Tranche B-4 1.854% (LIBOR01M + 1.75%) 4/16/25 • | 145,728 | 144,230 | |
Stars Group Holdings 2.474% (LIBOR03M + 2.25%) 7/21/26 • | 127,838 | 127,540 | |
Tecta America 1st Lien 5.00% (LIBOR01M + 4.25%) 4/10/28 • | 302,444 | 303,011 | |
Tecta America 2nd Lien 9.25% (LIBOR01M + 8.50%) 4/9/29 • | 405,000 | 405,000 | |
Telenet Financing Tranche AR 2.11% (LIBOR03M + 2.00%) 4/28/28 • | 545,000 | 536,186 | |
Terrier Media Buyer Tranche B 3.604% (LIBOR01M + 3.50%) 12/17/26 • | 512,592 | 510,990 | |
Transdigm Tranche F 2.354% (LIBOR01M + 2.25%) 12/9/25 • | 587,207 | 580,033 | |
TricorBraun 3.75% (LIBOR03M + 3.25%) 3/3/28 • | 482,721 | 479,817 | |
UKG 1st Lien 3.75% (LIBOR03M + 3.25%) 5/4/26 • | 2,445,328 | 2,436,158 | |
Ultimate Software Group 1st Lien 3.854% (LIBOR01M + 3.75%) 5/4/26 • | 1,941,711 | 1,939,041 | |
United Airlines Tranche B 4.50% (LIBOR03M + 3.75%) 4/21/28 • | 298,496 | 300,155 |
40 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
United Rentals (North America) 1.854% (LIBOR03M + 1.75%) 10/31/25 • | 48,375 | $ 48,634 | |
US Foods Tranche B TBD 11/17/28 X | 1,500,000 | 1,500,937 | |
USI 3.474% (LIBOR03M + 3.25%) 12/2/26 • | 164,349 | 163,506 | |
USI Tranche B 3.224% (LIBOR03M + 3.00%) 5/16/24 • | 570,078 | 566,633 | |
Vertical Midco Tranche B 4.00% (LIBOR06M + 3.50%) 7/30/27 • | 724,807 | 726,166 | |
Vistra Operations 1.854% - 1.859% (LIBOR01M + 1.75%) 12/31/25 • | 514,369 | 511,062 | |
Whole Earth Brands 5.50% (LIBOR03M + 4.50%) 2/2/28 • | 381,168 | 379,818 | |
Zayo Group Holdings 3.104% (LIBOR01M + 3.00%) 3/9/27 • | 2,954,377 | 2,918,062 | |
Zekelman Industries 2.103% (LIBOR01M + 2.00%) 1/24/27 • | 271,817 | 269,438 | |
Total Loan Agreements (cost $84,436,265) | 85,005,692 | ||
�� | |||
Sovereign Bonds — 4.05%Δ | |||
Albania — 0.01% | |||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | 178,129 |
178,129 | |||
Angola — 0.01% | |||
Angolan Government International Bonds | |||
144A 8.25% 5/9/28 # | 200,000 | 201,465 | |
8.25% 5/9/28 | 200,000 | 201,465 | |
402,930 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Argentina — 0.01% | |||
Argentine Republic Government International Bonds | |||
0.50% 7/9/30 ~ | 645,050 | $ 227,387 | |
1.00% 7/9/29 | 31,833 | 11,619 | |
1.125% 7/9/35 ~ | 674,580 | 216,716 | |
455,722 | |||
Armenia — 0.01% | |||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 200,000 | 187,042 | |
187,042 | |||
Azerbaijan — 0.01% | |||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 319,000 | 323,677 | |
323,677 | |||
Bahrain — 0.01% | |||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 333,689 | |
333,689 | |||
Brazil — 0.85% | |||
Brazil Letras do Tesouro Nacional | |||
7.751% 7/1/22 ^ | BRL | 4,600,000 | 782,902 |
8.522% 10/1/22 ^ | BRL | 40,000,000 | 6,606,014 |
9.699% 4/1/22 ^ | BRL | 89,100,000 | 15,607,046 |
Brazil Notas do Tesouro Nacional Series F 10.00% 1/1/27 | BRL | 12,000,000 | 2,106,029 |
Brazilian Government International Bonds | |||
3.875% 6/12/30 | 532,000 | 516,971 | |
4.75% 1/14/50 | 233,000 | 207,605 | |
25,826,567 | |||
Chile — 0.10% | |||
Bonos de la Tesoreria de la Republica en pesos | |||
144A 2.30% 10/1/28 # | CLP | 1,105,000,000 | 1,065,666 |
144A 2.80% 10/1/33 # | CLP | 1,630,000,000 | 1,429,185 |
NQ-OPTFI [12/21] 2/22 (2028215) 41
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Chile (continued) | |||
Chile Government International Bonds | |||
2.55% 1/27/32 | 258,000 | $ 258,000 | |
3.50% 1/25/50 | 200,000 | 207,468 | |
2,960,319 | |||
Colombia — 0.03% | |||
Colombia Government International Bonds | |||
3.00% 1/30/30 | 272,000 | 249,118 | |
3.25% 4/22/32 | 300,000 | 270,375 | |
4.125% 2/22/42 | 217,000 | 181,737 | |
5.00% 6/15/45 | 200,000 | 181,250 | |
5.20% 5/15/49 | 200,000 | 184,030 | |
1,066,510 | |||
Costa Rica — 0.01% | |||
Costa Rica Government International Bond 144A 5.625% 4/30/43 # | 200,000 | 172,002 | |
172,002 | |||
Cyprus — 0.05% | |||
Cyprus Government International Bond 3.875% 5/6/22 | EUR | 1,200,000 | 1,387,738 |
1,387,738 | |||
Dominican Republic — 0.04% | |||
Dominican Republic International Bonds | |||
144A 4.50% 1/30/30 # | 367,000 | 373,881 | |
144A 4.875% 9/23/32 # | 885,000 | 901,594 | |
1,275,475 | |||
Ecuador — 0.02% | |||
Ecuador Government International Bonds | |||
144A 0.50% 7/31/40 #, ~ | 278,501 | 163,793 | |
144A 1.00% 7/31/35 #, ~ | 328,384 | 217,144 | |
144A 5.00% 7/31/30 #, ~ | 125,307 | 104,161 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Ecuador (continued) | |||
Ecuador Government International Bonds | |||
144A 6.61% 7/31/30 #, ^ | 35,470 | $ 20,130 | |
505,228 | |||
Egypt — 0.04% | |||
Egypt Government International Bonds | |||
144A 5.75% 5/29/24 # | 591,000 | 615,748 | |
7.903% 2/21/48 | 400,000 | 336,674 | |
144A 8.70% 3/1/49 # | 359,000 | 320,020 | |
1,272,442 | |||
El Salvador — 0.00% | |||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 275,000 | 152,625 | |
152,625 | |||
Gabon — 0.01% | |||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 194,765 | |
194,765 | |||
Georgia — 0.01% | |||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 199,450 | |
199,450 | |||
Ghana — 0.01% | |||
Ghana Government International Bond 144A 7.75% 4/7/29 # | 230,000 | 193,257 | |
193,257 | |||
Guatemala — 0.01% | |||
Guatemala Government Bond 144A 4.875% 2/13/28 # | 400,000 | 431,404 | |
431,404 |
42 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Indonesia — 0.11% | |||
Indonesia Government International Bonds | |||
144A 4.625% 4/15/43 # | 200,000 | $ 235,744 | |
5.25% 1/17/42 | 200,000 | 251,390 | |
Indonesia Treasury Bond 6.125% 5/15/28 | IDR | 40,390,000,000 | 2,887,707 |
3,374,841 | |||
Israel — 0.37% | |||
Israel Government Bond 5.50% 1/31/22 | ILS | 10,300,000 | 3,328,160 |
Israel Government International Bonds | |||
2.75% 7/3/30 | 1,200,000 | 1,278,204 | |
3.875% 7/3/50 | 200,000 | 233,943 | |
Makam Treasury Bill 0.00% 3/2/22 ^ | ILS | 13,700,000 | 4,415,446 |
State of Israel | |||
3.375% 1/15/50 | 200,000 | 216,767 | |
3.80% 5/13/60 | 1,600,000 | 1,855,152 | |
11,327,672 | |||
Ivory Coast — 0.02% | |||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 590,000 | 622,916 | |
622,916 | |||
Jordan — 0.01% | |||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 207,110 | |
207,110 | |||
Kazakhstan — 0.01% | |||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 297,337 | |
297,337 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Kenya — 0.01% | |||
Republic of Kenya Government International Bond 144A 8.00% 5/22/32 # | 200,000 | $ 218,982 | |
218,982 | |||
Kuwait — 0.08% | |||
Kuwait International Government Bond 2.75% 3/20/22 | 2,400,000 | 2,414,400 | |
2,414,400 | |||
Lebanon — 0.00% | |||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 582,000 | 62,856 | |
62,856 | |||
Malaysia — 0.14% | |||
Malaysia Government Bond 3.955% 9/15/25 | MYR | 16,639,000 | 4,123,447 |
4,123,447 | |||
Mexico — 0.05% | |||
Mexican Bonos 8.50% 5/31/29 | MXN | 25,500,000 | 1,318,875 |
Mexico Government International Bond 4.60% 2/10/48 | 209,000 | 223,485 | |
1,542,360 | |||
Mongolia — 0.02% | |||
Mongolia Government International Bonds | |||
144A 3.50% 7/7/27 # | 200,000 | 188,739 | |
144A 5.625% 5/1/23 # | 306,000 | 315,570 | |
504,309 | |||
Morocco — 0.01% | |||
Morocco Government International Bond 144A 2.375% 12/15/27 # | 300,000 | 293,150 | |
293,150 |
NQ-OPTFI [12/21] 2/22 (2028215) 43
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Nigeria — 0.02% | |||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 537,000 | $ 530,690 | |
530,690 | |||
North Macedonia — 0.01% | |||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 181,274 |
181,274 | |||
Oman — 0.01% | |||
Oman Government International Bond 144A 6.75% 1/17/48 # | 343,000 | 349,762 | |
349,762 | |||
Pakistan — 0.01% | |||
Pakistan Government International Bond 144A 7.375% 4/8/31 # | 200,000 | 199,075 | |
199,075 | |||
Panama — 0.02% | |||
Panama Bonos del Tesoro 3.362% 6/30/31 | 200,000 | 201,500 | |
Panama Government International Bond 144A 3.75% 4/17/26 # | 363,000 | 386,087 | |
587,587 | |||
Paraguay — 0.03% | |||
Paraguay Government International Bonds | |||
144A 4.95% 4/28/31 # | 300,000 | 337,875 | |
144A 5.40% 3/30/50 # | 403,000 | 461,939 | |
799,814 | |||
Peru — 0.03% | |||
Peru Government Bond 6.95% 8/12/31 | PEN | 663,000 | 178,298 |
Peruvian Government International Bonds | |||
2.392% 1/23/26 | 323,000 | 328,494 |
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Peru (continued) | |||
Peruvian Government International Bonds | |||
2.844% 6/20/30 | 512,000 | $ 518,564 | |
5.625% 11/18/50 | 35,000 | 49,333 | |
1,074,689 | |||
Qatar — 0.11% | |||
Qatar Government International Bonds | |||
144A 4.40% 4/16/50 # | 400,000 | 497,774 | |
5.103% 4/23/48 | 2,200,000 | 2,982,483 | |
3,480,257 | |||
Romania — 0.07% | |||
Romanian Government International Bonds | |||
144A 1.75% 7/13/30 # | EUR | 1,800,000 | 1,916,923 |
144A 2.625% 12/2/40 # | EUR | 123,000 | 125,182 |
144A 3.375% 1/28/50 # | EUR | 109,000 | 117,240 |
2,159,345 | |||
Russia — 0.04% | |||
Russian Foreign Bond - Eurobonds | |||
144A 4.25% 6/23/27 # | 600,000 | 649,762 | |
144A 4.375% 3/21/29 # | 200,000 | 220,831 | |
144A 5.25% 6/23/47 # | 200,000 | 253,704 | |
1,124,297 | |||
Saudi Arabia — 0.31% | |||
Saudi Government International Bonds | |||
144A 2.875% 3/4/23 # | 2,200,000 | 2,255,189 | |
144A 3.25% 11/17/51 # | 200,000 | 197,625 | |
144A 3.625% 3/4/28 # | 541,000 | 590,166 | |
4.50% 10/26/46 | 800,000 | 939,864 | |
144A 4.50% 10/26/46 # | 800,000 | 939,864 |
44 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Saudi Arabia (continued) | |||
Saudi Government International Bonds | |||
144A 5.00% 4/17/49 # | 3,500,000 | $ 4,448,941 | |
��9,371,649 | |||
Senegal — 0.01% | |||
Senegal Government International Bonds | |||
144A 5.375% 6/8/37 # | EUR | 200,000 | 216,670 |
144A 6.75% 3/13/48 # | 210,000 | 206,514 | |
423,184 | |||
Serbia — 0.02% | |||
Serbia International Bonds | |||
144A 1.00% 9/23/28 # | EUR | 200,000 | 216,173 |
144A 2.125% 12/1/30 # | 200,000 | 187,970 | |
144A 3.125% 5/15/27 # | EUR | 100,000 | 121,621 |
525,764 | |||
South Africa — 0.13% | |||
Republic of South Africa Government International Bonds | |||
4.85% 9/30/29 | 3,200,000 | 3,312,960 | |
5.75% 9/30/49 | 200,000 | 192,850 | |
5.875% 6/22/30 | 268,000 | 299,363 | |
3,805,173 | |||
Spain — 0.99% | |||
Spain Government Bond 0.00% 1/31/27 | EUR | 26,300,000 | 29,984,020 |
29,984,020 | |||
Sri Lanka — 0.01% | |||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 # | 453,000 | 232,326 | |
232,326 |
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 | $ 203,350 | |
203,350 | |||
Turkey — 0.03% | |||
Hazine Mustesarligi Varlik Kiralama 144A 5.125% 6/22/26 # | 200,000 | 191,740 | |
Turkey Government International Bond 7.625% 4/26/29 | 500,000 | 501,022 | |
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 350,000 | 321,850 | |
1,014,612 | |||
Ukraine — 0.05% | |||
Ukraine Government International Bonds | |||
144A 6.876% 5/21/29 # | 200,000 | 177,670 | |
144A 7.75% 9/1/26 # | 804,000 | 768,632 | |
144A 9.75% 11/1/28 # | 515,000 | 522,514 | |
1,468,816 | |||
United Kingdom — 0.00% | |||
United Kingdom Gilt 1.75% 9/7/22 | GBP | 100,000 | 136,726 |
136,726 | |||
Uruguay — 0.05% | |||
Uruguay Government International Bonds | |||
4.375% 1/23/31 | 232,000 | 267,672 | |
8.50% 3/15/28 | UYU | 62,100,000 | 1,384,677 |
1,652,349 | |||
Uzbekistan — 0.02% | |||
Republic of Uzbekistan International Bonds | |||
144A 3.90% 10/19/31 # | 200,000 | 191,990 |
NQ-OPTFI [12/21] 2/22 (2028215) 45
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Sovereign Bonds Δ(continued) | |||
Uzbekistan (continued) | |||
Republic of Uzbekistan International Bonds | |||
144A 5.375% 2/20/29 # | 448,000 | $ 477,497 | |
669,487 | |||
Total Sovereign Bonds (cost $122,686,096) | 122,482,597 | ||
Supranational Banks — 0.02% | |||
Banque Ouest Africaine de Developpement | |||
144A 2.75% 1/22/33 # | EUR | 200,000 | 240,104 |
144A 5.00% 7/27/27 # | 406,000 | 449,556 | |
Total Supranational Banks (cost $639,178) | 689,660 | ||
US Treasury Obligations — 26.11% | |||
US Treasury Bonds | |||
1.25% 5/15/50 | 1,800,000 | 1,529,226 | |
1.375% 11/15/40 | 100,000 | 91,164 | |
1.625% 11/15/50 | 13,500,000 | 12,581,895 | |
1.75% 8/15/41 | 14,945,000 | 14,494,316 | |
1.875% 2/15/41 | 52,800,000 | 52,278,188 | |
1.875% 2/15/51 | 2,700,000 | 2,672,367 | |
1.875% 11/15/51 | 10,195,000 | 10,116,945 | |
2.00% 11/15/41 | 1,855,000 | 1,876,738 | |
2.00% 2/15/50 | 16,000,000 | 16,258,125 | |
2.00% 8/15/51 | 17,695,000 | 18,043,370 | |
2.25% 8/15/46 | 30,690,000 | 32,461,869 | |
2.50% 2/15/45 | 37,100,000 | 40,814,348 | |
2.75% 8/15/42 | 900,000 | 1,025,789 | |
2.75% 11/15/42 | 1,400,000 | 1,596,109 | |
2.875% 5/15/43 | 2,200,000 | 2,557,328 | |
2.875% 8/15/45 | 16,700,000 | 19,614,020 | |
3.00% 5/15/47 | 900,000 | 1,092,727 | |
3.00% 8/15/48 | 3,770,000 | 4,614,568 | |
3.125% 5/15/48 | 1,490,000 | 1,862,733 | |
US Treasury Floating Rate Notes 0.125% (USBMMY3M + 0.35%) 10/31/23 • | 20,000,000 | 20,005,606 | |
US Treasury Notes | |||
0.50% 2/28/26 | 19,200,000 | 18,657,750 | |
0.50% 4/30/27 | 10,900,000 | 10,458,039 |
Principal amount° | Value (US $) | ||
US Treasury Obligations (continued) | |||
US Treasury Notes | |||
0.50% 6/30/27 | 12,900,000 | $ 12,346,711 | |
0.50% 10/31/27 | 13,200,000 | 12,564,750 | |
0.625% 5/15/30 | 10,300,000 | 9,632,914 | |
0.625% 8/15/30 | 13,800,000 | 12,872,812 | |
0.75% 12/31/23 | 530,000 | 530,145 | |
0.75% 3/31/26 | 16,700,000 | 16,384,266 | |
0.875% 11/15/30 | 16,600,000 | 15,786,212 | |
1.00% 12/15/24 | 37,925,000 | 37,970,923 | |
1.125% 2/28/27 | 16,900,000 | 16,770,610 | |
1.25% 8/31/24 | 25,600,000 | 25,838,001 | |
1.25% 12/31/26 | 13,040,000 | 13,027,775 | |
1.375% 10/31/28 | 29,070,000 | 28,960,987 | |
1.375% 11/15/31 | 17,275,000 | 17,061,763 | |
1.50% 1/31/27 ∞ | 1,700,000 | 1,719,125 | |
1.50% 11/30/28 | 1,400,000 | 1,405,906 | |
1.625% 9/30/26 | 8,300,000 | 8,442,008 | |
1.625% 10/31/26 | 12,900,000 | 13,122,223 | |
1.625% 11/30/26 | 25,000,000 | 25,430,665 | |
1.75% 12/31/26 | 10,900,000 | 11,158,449 | |
1.875% 7/31/22 | 39,700,000 | 40,073,339 | |
1.875% 8/31/24 ∞ | 2,170,000 | 2,225,437 | |
2.00% 11/30/22 | 7,700,000 | 7,811,942 | |
2.00% 6/30/24 | 7,700,000 | 7,915,961 | |
2.125% 3/31/24 ∞ | 2,010,000 | 2,068,965 | |
2.125% 11/30/24 | 11,130,000 | 11,502,595 | |
2.25% 11/15/24 | 11,030,000 | 11,436,300 | |
2.25% 3/31/26 | 24,500,000 | 25,551,778 | |
2.375% 2/29/24 ∞ | 4,000,000 | 4,136,250 | |
2.375% 8/15/24 ∞ | 1,820,000 | 1,889,956 | |
2.375% 4/30/26 | 10,900,000 | 11,432,652 | |
2.50% 1/31/24 | 2,790,000 | 2,890,048 | |
2.50% 2/28/26 | 3,700,000 | 3,895,262 | |
2.625% 3/31/25 | 12,700,000 | 13,348,891 | |
2.75% 7/31/23 | 46,200,000 | 47,755,642 | |
2.875% 11/30/23 ∞ | 2,500,000 | 2,602,539 | |
2.875% 7/31/25 | 15,500,000 | 16,472,988 | |
2.875% 11/30/25 | 8,100,000 | 8,635,043 | |
US Treasury Strip Principal 2.26% 5/15/44 ^ | 4,290,000 | 2,758,651 | |
Total US Treasury Obligations (cost $785,558,247) | 790,133,704 |
46 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Number of shares | Value (US $) | ||
Common Stock — 0.00% | |||
Century Communications =, † | 1,975,000 | $ 0 | |
Total Common Stock (cost $59,790) | 0 | ||
Preferred Stock — 0.01% | |||
General Electric 3.533% (LIBOR03M + 3.33%) **, • | 300,000 | 298,500 | |
Total Preferred Stock (cost $299,875) | 298,500 |
Number of contracts | |||
Options Purchased — 0.04% | |||
Put Swaptions — 0.04% | |||
30 yr IRS pay a fixed rate 2.102% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 9/15/23, notional amount 10,089,600 (MS) | 4,800,000 | 260,599 | |
30 yr IRS pay a fixed rate 2.06% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23, notional amount 31,930,000 (BOFA) | 15,500,000 | 927,625 | |
Options Purchased (premium paid $1,145,185) | 1,188,224 |
Number of shares | |||
Short-Term Investments — 6.02% | |||
Money Market Mutual Funds — 2.35% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 17,778,763 | 17,778,763 |
Number of shares | Value (US $) | ||
Short-Term Investments (continued) | |||
Money Market Mutual Funds (continued) | |||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 17,778,763 | $ 17,778,763 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.02%) | 17,778,763 | 17,778,763 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.03%) | 17,778,763 | 17,778,763 | |
71,115,052 |
Principal amount° | |||
Repurchase Agreements — 3.67% | |||
US Treasury repurchase agreement with Standard Chartered Bank 0.04%, dated 12/30/21, to be repurchased 1/3/22, repurchase price $55,100,184 (collateralized by US government obligation; 2.50% - 2.875% 8/15/45 - 2/15/46; market value $56,910,698) | 55,100,000 | 55,100,000 |
NQ-OPTFI [12/21] 2/22 (2028215) 47
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Principal amount° | Value (US $) | ||
Repurchase Agreements (continued) | |||
US Treasury repurchase agreement with Standard Chartered Bank 0.04%, dated 12/31/21, to be repurchased 1/4/22, repurchase price $55,900,186 (collateralized by US government obligation; 2.75% 8/15/47; market value $56,113,600) | 55,900,000 | $ 55,900,000 | |
111,000,000 | |||
Total Short-Term Investments (cost $182,115,052) | 182,115,052 | ||
Total Value of Securities Before Options Written—108.90% (cost $3,264,722,468) | 3,295,643,722 |
Number of contracts | |||
Options Written — (0.09%) | |||
Call Swaptions — (0.03%) | |||
1 yr IRS pay a fixed rate 0.87% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 11/2/22, notional amount (135,807,000) (GS) | (156,100,000) | (724,696) | |
(724,696) | |||
Equity Put Options — (0.00%) | |||
Fannie Mae strike price $104.06, expiration date 1/6/22, notional amount ($187,312,500) | (1,800,000) | (7,276) | |
(7,276) |
Number of contracts | Value (US $) | ||
Options Written (continued) | |||
Put Swaptions — (0.06%) | |||
1 yr IRS pay a fixed rate 1.27% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 11/2/22, notional amount (198,247,000) (GS) | (156,100,000) | $ (390,289) | |
5 yr IRS pay a fixed rate 1.96% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 9/15/23, notional amount (47,040,000) (MS) | (24,000,000) | (336,429) | |
5 yr IRS pay a fixed rate 2.00% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23, notional amount (155,000,000) (BOFA) | (77,500,000) | (1,088,287) | |
CDX.ITRX.EUR 35 5 yr strike price $3.50, expiration date 1/19/22, notional amount (7,700,000) (JPMCB) | (2,200,000) | (654) | |
CDX.ITRX.EUR 35 5 yr strike price $3.50, expiration date 1/19/22, notional amount (8,750,000) (CITI) | (2,500,000) | (743) | |
CDX.ITRX.EUR 36 5 yr strike price $0.90, expiration date 3/16/22, notional amount (11,610,000) (BOFA) | (12,900,000) | (4,405) |
48 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
Number of contracts | Value (US $) | ||
Options Written (continued) | |||
CDX.ITRX.EUR 36 5 yr strike price $0.90, expiration date 3/16/22, notional amount (11,700,000) (JPMCB) | (13,000,000) | $ (4,439) | |
CDX.NA.HY 36 5 yr strike price $102, expiration date 1/19/22, notional amount (1,285,200,000) (DB) | (12,600,000) | (3,390) | |
CDX.NA.IG 37 5 yr strike price $0.85, expiration date 1/19/22, notional amount (3,145,000) (CITI) | (3,700,000) | (91) | |
CDX.NA.IG 37 5 yr strike price $0.90, expiration date 4/20/22, notional amount (13,140,000) (BOFA) | (14,600,000) | (8,962) | |
CDX.NA.IG 37 5 yr strike price $0.90, expiration date 4/20/22, notional amount (2,880,000) (JPMCB) | (3,200,000) | (1,964) | |
(1,839,653) | |||
Total Options Written (premium received $1,922,948) | (2,571,625) | ||
Liabilities Net of Receivables and Other Assets—(8.81%)★ | (266,656,330) | ||
Net Assets Applicable to 314,820,187 Shares Outstanding—100.00% | $3,026,415,767 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
∞ | 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 December 31, 2021. |
Δ | Securities have been classified by country of origin. |
X | This loan will settle after December 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
‡ | Non-income producing security. Security is currently in default. |
** | Perpetual security with no stated maturity date. |
† | Non-income producing security. |
> | PIK. 40.98% of the income received was in cash and 59.02% was in principal. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at December 31, 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. |
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 December 31, 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 December 31, 2021, the aggregate value of Rule 144A securities was $620,231,416, which represents 20.49% of the Fund's net assets. |
ψ | Perpetual security. Maturity date represents next call date. |
★ | Includes $3,764,000 cash collateral held at brokers for certain open derivatives, $762,000 cash collateral pledged for TBA transactions, and $930,000 cash collateral due to brokers for certain open derivatives. |
NQ-OPTFI [12/21] 2/22 (2028215) 49
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at December 31, 2021:
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BAML | CAD | (410,000) | USD | 324,503 | 1/7/22 | $381 | $— | |||||
BAML | DKK | (53,335,000) | USD | 8,201,551 | 4/1/22 | 20,161 | — | |||||
BAML | INR | 3,050,120 | USD | (40,122) | 2/10/22 | 638 | — | |||||
BAML | MXN | 15,143,000 | USD | (727,416) | 1/12/22 | 10,663 | — | |||||
BAML | MXN | (6,594,000) | USD | 319,238 | 2/18/22 | — | (92) | |||||
BAML | MXN | (15,143,000) | USD | 720,494 | 3/4/22 | — | (11,037) | |||||
BAML | MXN | (11,297,000) | USD | 539,753 | 3/18/22 | — | (4,488) | |||||
BAML | ZAR | 19,429,064 | USD | (1,223,608) | 11/8/22 | — | (54,745) | |||||
BNP | BRL | (58,100,000) | USD | 10,013,276 | 4/4/22 | — | (167,790) | |||||
BNP | BRL | (2,200,000) | USD | 383,489 | 7/5/22 | 8,537 | — | |||||
BNP | DKK | (31,490,000) | USD | 4,887,725 | 4/1/22 | 57,276 | — | |||||
BNP | EUR | (98,112,000) | USD | 111,636,727 | 2/2/22 | — | (139,426) | |||||
BNP | GBP | (15,358,000) | USD | 20,800,256 | 2/2/22 | 14,337 | — | |||||
BNP | INR | 5,365,350 | USD | (70,936) | 2/10/22 | 764 | — | |||||
BNP | JPY | (32,257) | USD | 280 | 1/5/22 | — | — | |||||
BNP | JPY | 106,109,217 | USD | (921,646) | 2/2/22 | 1,045 | — | |||||
BNP | MXN | (15,143,000) | USD | 739,483 | 1/12/22 | 1,404 | — | |||||
BNP | ZAR | 22,579,000 | USD | (1,407,162) | 2/18/22 | 82 | — | |||||
BNP | ZAR | 7,965,690 | USD | (503,826) | 5/16/22 | — | (13,373) | |||||
BNP | ZAR | 32,392,222 | USD | (2,028,748) | 8/16/22 | — | (58,153) | |||||
BNP | ZAR | 17,180,265 | USD | (1,071,354) | 11/8/22 | — | (37,780) | |||||
CITI | DKK | (87,415,000) | USD | 13,626,074 | 4/1/22 | 216,940 | — | |||||
CITI | ILS | (10,869,075) | USD | 3,329,438 | 1/31/22 | — | (167,071) | |||||
CITI | ILS | (13,700,190) | USD | 4,182,700 | 3/2/22 | — | (225,775) | |||||
CITI | MXN | 3,484,000 | USD | (168,060) | 2/18/22 | 660 | — | |||||
CITI | MXN | 3,628,000 | USD | (167,182) | 4/18/22 | 6,520 | — | |||||
CITI | ZAR | 6,039,000 | USD | (372,563) | 2/18/22 | 3,820 | — | |||||
DB | INR | 5,086,653 | USD | (66,994) | 2/10/22 | 982 | — | |||||
JPMCB | BRL | 18,169,801 | USD | (3,171,797) | 2/2/22 | 64,298 | — | |||||
JPMCB | BRL | (31,000,000) | USD | 5,332,575 | 4/4/22 | — | (99,663) | |||||
JPMCB | BRL | (2,400,000) | USD | 436,744 | 7/5/22 | 27,706 | — | |||||
JPMCB | BRL | (40,000,000) | USD | 6,934,804 | 10/4/22 | 303,068 | — | |||||
JPMCB | DKK | (44,510,000) | USD | 6,905,680 | 4/1/22 | 78,013 | — | |||||
JPMCB | EUR | (1,342,000) | USD | 1,514,715 | 1/28/22 | — | (14,036) | |||||
JPMCB | EUR | (26,500,000) | USD | 30,135,800 | 2/18/22 | — | (63,925) | |||||
JPMCB | INR | 10,235,559 | USD | (135,108) | 2/10/22 | 1,676 | — | |||||
JPMCB | KRW | (128,698,084) | USD | 108,854 | 3/16/22 | 818 | — | |||||
JPMCB | MXN | 2,685,000 | USD | (126,540) | 2/18/22 | 3,488 | — | |||||
JPMCB | PEN | (688,800) | USD | 169,906 | 1/28/22 | — | (2,440) | |||||
TD | EUR | (4,570,000) | USD | 5,187,864 | 2/18/22 | — | (20,164) | |||||
Total Foreign Currency Exchange Contracts | $823,277 | $(1,079,958) |
50 NQ-OPTFI [12/21] 2/22 (2028215)
(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 | |||||||
131 | Euro-BTP | $21,925,586 | $22,295,695 | 3/8/22 | $— | $(370,109) | $(2,097) | ||||||
(73) | Euro-Bund | (14,242,646) | (14,459,485) | 3/8/22 | 216,839 | — | 1,228 | ||||||
(30) | Long 10 yr Gilt | (5,071,752) | (5,063,679) | 3/29/22 | — | (8,073) | (4,882) | ||||||
101 | US Treasury 2 yr Notes | 22,035,359 | 22,080,466 | 3/31/22 | — | (45,107) | 4,734 | ||||||
137 | US Treasury 3 yr Notes | 31,216,734 | 31,258,794 | 3/31/22 | — | (42,060) | 12,844 | ||||||
881 | US Treasury 5 yr Notes | 106,580,352 | 106,226,440 | 3/31/22 | 353,912 | — | 61,944 | ||||||
435 | US Treasury 10 yr Notes | 56,753,906 | 56,462,245 | 3/22/22 | 291,661 | — | 27,188 | ||||||
(190) | US Treasury 10 yr Notes | (24,789,063) | (24,545,200) | 3/22/22 | — | (243,863) | (11,875) | ||||||
(378) | US Treasury 10 yr Ultra Notes | (55,353,375) | (54,558,327) | 3/22/22 | — | (795,048) | (100,405) | ||||||
505 | US Treasury Long Bonds | 81,020,938 | 80,673,063 | 3/22/22 | 347,875 | — | 284,063 | ||||||
(258) | US Treasury Ultra Bonds | (50,858,250) | (50,713,253) | 3/22/22 | — | (144,997) | (403,126) | ||||||
Total Futures Contracts | $169,656,759 | $1,210,287 | $(1,649,257) | $(130,384) |
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% | $24,330 | $25,443 | $— | $(1,113) | $314 | |||||||
Boeing 2.60% 10/20/25 Baa3 12/20/26-Quarterly | 3,800,000 | 1.000% | (12,345) | (22,661) | 10,316 | — | 2,760 | |||||||
Boeing 2.60% 10/30/25 Baa2 6/20/23-Quarterly | 1,400,000 | 1.000% | 8,002 | 2,972 | 5,030 | — | 140 | |||||||
Boeing 2.60% 10/30/25 Baa2 6/26/26-Quarterly | 700,000 | 1.000% | (157) | (4,625) | 4,468 | — | 417 | |||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 37,876 | 56,420 | — | (18,544) | 1,037 | |||||||
CDX.ITRX.EUR.344 12/20/25-Quarterly | EUR 8,000,000 | 1.000% | 235,707 | 222,403 | 13,304 | — | (178) | |||||||
CDX.ITRX.EUR.344 12/20/26-Quarterly | EUR 8,100,000 | 1.000% | 240,255 | 226,385 | 13,870 | — | (190) | |||||||
CDX.ITRX.EUR.354 6/20/26-Quarterly | EUR 1,400,000 | 1.000% | 41,126 | 37,582 | 3,544 | — | (26) | |||||||
CDX.NA.HY.375 12/20/26-Quarterly | 10,000,000 | 5.000% | 919,653 | 817,168 | 102,485 | — | 1,050 |
NQ-OPTFI [12/21] 2/22 (2028215) 51
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): | ||||||||||||||
CDX.NA.IG.356 12/20/25-Quarterly | 400,000 | 1.000% | $9,557 | $8,380 | $1,177 | $— | $29 | |||||||
CDX.NA.IG.366 6/20/26-Quarterly | 1,900,000 | 1.000% | 46,413 | 42,166 | 4,247 | — | 200 | |||||||
CDX.NA.IG.376 12/20/26-Quarterly | 30,500,000 | 1.000% | 745,240 | 694,676 | 50,564 | — | 3,360 | |||||||
General Electric 2.70% 10/9/22 Baa1 12/20/26-Quarterly | 1,200,000 | 1.000% | 17,967 | 12,913 | 5,054 | — | 409 | |||||||
General Electric 2.70% 10/9/22 Baa1 6/20/26-Quarterly | 600,000 | 1.000% | 9,765 | 5,183 | 4,582 | — | 112 | |||||||
Stellantis 5.00% 1/11/21 Baa3 6/20/26-Quarterly | EUR 3,100,000 | 5.000% | 633,110 | 656,837 | — | (23,727) | 2,390 | |||||||
Telefonica Emisiones 1.00% 5/12/20 Baa3 6/20/28-Quarterly | EUR 1,300,000 | 1.000% | 4,977 | 1,031 | 3,946 | — | 941 | |||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR 2,700,000 | 1.000% | 21,820 | 747 | 21,073 | — | 1,838 | |||||||
Valeo 1.00% Baa3 6/20/26-Quarterly | EUR 400,000 | 1.000% | (4,456) | (6,393) | 1,937 | — | 118 | |||||||
Valeo 1.00% Baa3 6/20/28-Quarterly | EUR 3,000,000 | 1.000% | (144,252) | (127,710) | — | (16,542) | 1,383 | |||||||
2,834,588 | 2,648,917 | 245,597 | (59,926) | 16,104 | ||||||||||
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% | (17,102) | 13,945 | — | (31,047) | — | |||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 6/20/26-Quarterly | 2,570,000 | 1.000% | 96,923 | 72,635 | 24,288 | — | — | |||||||
Protection SoldMoody's Ratings: | ||||||||||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/22-Quarterly | 250,000 | 1.000% | 504 | (354) | 858 | — | — | |||||||
CITI Republic of Brazil 4.25% 1/7/25 Ba2 6/20/22-Quarterly | 100,000 | 1.000% | 181 | (589) | 770 | — | — |
52 NQ-OPTFI [12/21] 2/22 (2028215)
(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): | ||||||||||||||
CITI Republic of Colombia 10.375% 1/28/33 Baa2 12/20/24-Quarterly | 200,000 | 1.000% | $(2,598) | $441 | $— | $(3,039) | $— | |||||||
DB CMBX.NA.AAA7 10/17/57-Monthly | 14,200,000 | 0.500% | 97,205 | (823,811) | 921,016 | — | — | |||||||
GSC Republic of Brazil 4.25% 1/7/25 Ba2 6/20/22-Quarterly | 500,000 | 1.000% | 905 | (3,025) | 3,930 | — | — | |||||||
JPMCB HOCHTIEF 1.00% 3/7/2025 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 239,110 | 249,092 | — | (9,982) | — | |||||||
JPMCB HOCHTIEF 5.00% 3/7/2025 BBB 12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 239,110 | 247,057 | — | (7,947) | — | |||||||
JPMCB Republic of South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | 841 | (13,303) | 14,144 | — | — | |||||||
655,079 | (257,912) | 965,006 | (52,015) | — | ||||||||||
Total CDS Contracts | $3,489,667 | $2,391,005 | $1,210,603 | $(111,941) | $16,104 |
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount4 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation5 | Unrealized Depreciation5 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared: | ||||||||||||||
1 yr IRS9 3/24/23- (28 Days/ 28 Days) | MXN 1,450,000,000 | (4.797)%/ 5.66% | $(1,170,730) | $(51,554) | $— | $(1,119,176) | $(28,570) | |||||||
2 yr IRS103/30/23- (Semiannually/ Quarterly) | 7,600,000 | 0.25%/ (0.132)% | 36,600 | (4,230) | 40,830 | — | (4,418) | |||||||
2 yr IRS11 1/2/23- (At Maturity/ At Maturity) | BRL 166,400,000 | 0%/ 0% | (1,239,390) | (103,121) | — | (1,136,269) | (39,478) | |||||||
2 yr IRS12 3/3/22- (Semiannually/ Semiannually) | CAD 8,800,000 | (0.45)%/ 1.27% | 9,117 | 11,131 | — | (2,014) | — | |||||||
2 yr IRS12 3/3/22- (Semiannually/ Semiannually) | CAD 2,400,000 | (0.45)%/ 1.273% | 2,495 | 3,045 | — | (550) | (13,023) |
NQ-OPTFI [12/21] 2/22 (2028215) 53
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount4 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation5 | Unrealized Depreciation5 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
2 yr IRS12 6/17/22- (Semiannually/ Semiannually) | CAD 4,000,000 | (0.448)%/ 1.50% | $11,782 | $16,207 | $— | $(4,425) | $290 | |||||||
3 yr IRS11 1/2/24- (At Maturity/ At Maturity) | BRL 110,400,000 | 0%/ 0% | (940,951) | 23,777 | — | (964,728) | 229,063 | |||||||
3 yr IRS11 1/2/24- (At Maturity/ At Maturity) | BRL 58,300,000 | 0%/ 0% | 22,710 | — | 22,710 | — | (7,235) | |||||||
3 yr IRS11 1/2/24- (At Maturity/ At Maturity) | BRL 6,800,000 | 0%/ 0% | 5,008 | — | 5,008 | — | (941) | |||||||
3 yr IRS11 1/2/24- (At Maturity/ At Maturity) | BRL 24,800,000 | 0%/ 0% | 10,941 | — | 10,941 | — | (3,337) | |||||||
5 yr IRS10 2/18/26- (Quarterly/ Semiannually) | 42,100,000 | (0.124)%/ 0.64% | (1,121,535) | (301,135) | — | (820,400) | 5,427 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Semiannually) | CAD 800,000 | (0.45)%/ 1.29% | (9,018) | 3,810 | — | (12,828) | (7,325) | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Semiannually) | CAD 2,600,000 | (0.45)%/ 1.275% | (30,267) | 11,366 | — | (41,633) | 29,941 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Semiannually) | CAD 1,600,000 | (0.45)%/ 1.276% | (18,586) | 7,036 | — | (25,622) | 1,208 | |||||||
5 yr IRS12 3/3/25- (Semiannually/ Semiannually) | CAD 2,900,000 | (0.45)%/ 1.22% | (37,673) | 8,529 | — | (46,202) | 2,187 | |||||||
5 yr IRS12 3/4/25- (Semiannually/ Semiannually) | CAD 20,500,000 | (0.45)%/ 1.235% | (258,765) | 68,090 | — | (326,855) | 15,487 | |||||||
5 yr IRS12 6/16/26- (Semiannually/ Semiannually) | CAD 30,300,000 | (0.45)%/ 1.00% | (832,154) | (395,170) | — | (436,984) | 29,830 | |||||||
5 yr IRS13 9/16/25- (Annually/ Annually) | GBP 5,700,000 | 0.50%/ (0.05)% | 161,000 | (44,044) | 205,044 | — | (2,638) | |||||||
5 yr IRS13 3/16/27- (Annually/ Annually) | GBP 28,100,000 | 0.50%/ (0.05)% | 1,052,298 | 157,574 | 894,724 | — | 5,334 | |||||||
6 yr IRS11 1/4/27- (At Maturity/ At Maturity) | BRL 6,600,000 | 0%/ 0% | 14,856 | — | 14,856 | — | (3,741) | |||||||
7 yr IRS10 12/16/22- (Semiannually/ Quarterly) | 41,600,000 | 2.25%/ (0.118)% | (692,316) | (1,335,081) | 642,765 | — | (8,840) |
54 NQ-OPTFI [12/21] 2/22 (2028215)
(Unaudited)
IRS Contracts8 | ||||||||||||||
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount4 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation5 | Unrealized Depreciation5 | Variation Margin Due from (Due to) Brokers | |||||||
Centrally Cleared (continued): | ||||||||||||||
10 yr IRS10 10/1/31- (Quarterly/ Semiannually) | 8,600,000 | 0.131%/ 1.80% | $174,936 | $121,565 | $53,371 | $— | $(5,304) | |||||||
30 yr IRS103/30/51- (Semiannually/ Quarterly) | 600,000 | 1.15%/ (0.132)% | 82,691 | 113,908 | — | (31,217) | 77,647 | |||||||
30 yr IRS1012/15/21- (Semiannually/ Quarterly) | 4,600,000 | 0.05%/ (2.00)% | (307,048) | (261,696) | — | (45,352) | (29,478) | |||||||
Total IRS Contracts | $(5,073,999) | $(1,949,993) | $1,890,249 | $(5,014,255) | $242,086 |
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 $(168,493). |
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 CDOR06M. |
13 | Rate resets based on BP0012M. |
Summary of abbreviations: |
ABS – Asset-Backed Security |
ARM – Adjustable Rate Mortgage |
NQ-OPTFI [12/21] 2/22 (2028215) 55
Schedule of investments
Optimum Fixed Income Fund (Unaudited)
Summary of abbreviations: (continued) |
BAML – Bank of America Merrill Lynch |
BB – Barclays Bank |
BNP – BNP Paribas |
BP0003M – 3 Month Sterling LIBOR Interest Rate |
BP0012M – 12 Month Sterling LIBOR Interest Rate |
BTP – Buoni del Tesoro Poliennali |
CDOR06M – 6 Month Canadian Dollar Offered Rate |
CDS – Credit Default Swap |
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe |
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 |
LIBOR02M – ICE LIBOR USD 2 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
Summary of abbreviations: (continued) |
LIBOR06M – ICE LIBOR USD 6 Month |
LIBOR12M – ICE LIBOR USD 12 Month |
MASTR – Mortgage Asset Securitization Transactions, Inc. |
MS – Morgan Stanley |
MXIBTIIE – Mexico 28 days interbank rate |
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 |
TD – TD Bank |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
yr – Year |
Summary of currencies: |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CLP – Chilean Peso |
DKK – Danish Krone |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
IDR – Indonesian Rupiah |
ILS – Israeli New Shekel |
INR – Indian Rupee |
JPY – Japanese Yen |
KRW – South Korean Won |
MXN – Mexican Peso |
MYR – Malaysian Ringgit |
PEN – Peruvian Sol |
USD – US Dollar |
UYU – Uruguayan Peso |
ZAR – South African Rand |
56 NQ-OPTFI [12/21] 2/22 (2028215)